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 | |||||||
| ||||||||
SEASONS SERIES TRUST | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
| ||||||||
21650 Oxnard Street, 10th Floor, 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 |
| ||||||
| ||||||||
Date of reporting period: | September 30, 2018 |
| ||||||
Item 1. Reports to Stockholders
SEASONS SERIES TRUST
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2018
Table of Contents
Shareholder Letter | 2 | ||||||
Expense Example | 3 | ||||||
Seasons Strategies | |||||||
SA Multi-Managed Growth Portfolio | 6 | ||||||
SA Multi-Managed Moderate Growth Portfolio | 32 | ||||||
SA Multi-Managed Income/Equity Portfolio | 62 | ||||||
SA Multi-Managed Income Portfolio | 86 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 110 | ||||||
SA T. Rowe Price Growth Stock Portfolio | 149 | ||||||
Seasons Select | |||||||
SA Multi-Managed Large Cap Growth Portfolio | 155 | ||||||
SA Multi-Managed Large Cap Value Portfolio | 163 | ||||||
SA Multi-Managed Mid Cap Growth Portfolio | 172 | ||||||
SA Multi-Managed Mid Cap Value Portfolio | 186 | ||||||
SA Multi-Managed Small Cap Portfolio | 200 | ||||||
SA Multi-Managed International Equity Portfolio | 216 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 230 | ||||||
SA Wellington Real Return Portfolio | 281 | ||||||
Seasons Focused | |||||||
SA Columbia Focused Growth Portfolio | 287 | ||||||
SA Columbia Focused Value Portfolio | 290 | ||||||
Seasons Managed Allocation | |||||||
SA Allocation Growth Portfolio | 293 | ||||||
SA Allocation Moderate Growth Portfolio | 296 | ||||||
SA Allocation Moderate Portfolio | 299 | ||||||
SA Allocation Balanced Portfolio | 302 | ||||||
Statements of Assets and Liabilities | 305 | ||||||
Statements of Operations | 313 | ||||||
Statements of Changes in Net Assets | 317 | ||||||
Notes to Financial Statements | 324 | ||||||
Financial Highlights | 372 | ||||||
Supplement to Prospectus | 386 |
Dear Seasons Series Trust Investor:
We are pleased to present the semi-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 September 30, 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 September 30, 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 April 1, 2018 and held until September 30, 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 September 30, 2018" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 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 September 30, 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 September 30, 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 September 30, 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) September 30, 2018
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at April 1, 2018 | Ending Account Value Using Actual Return at September 30, 2018 | Expenses Paid During the Six Months Ended September 30, 2018* | Beginning Account Value at April 1, 2018 | Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2018 | Expenses Paid During the Six Months Ended September 30, 2018* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,092.24 | $ | 6.66 | $ | 1,000.00 | $ | 1,018.70 | $ | 6.43 | 1.27 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,091.12 | $ | 7.44 | $ | 1,000.00 | $ | 1,017.95 | $ | 7.18 | 1.42 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,090.75 | $ | 7.91 | $ | 1,000.00 | $ | 1,017.50 | $ | 7.64 | 1.51 | % | |||||||||||||||||
SA Multi-Managed Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,072.09 | $ | 5.66 | $ | 1,000.00 | $ | 1,019.60 | $ | 5.52 | 1.09 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,071.43 | $ | 6.44 | $ | 1,000.00 | $ | 1,018.85 | $ | 6.28 | 1.24 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,069.93 | $ | 6.95 | $ | 1,000.00 | $ | 1,018.35 | $ | 6.78 | 1.34 | % | |||||||||||||||||
SA Multi-Managed Income/ Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,042.90 | $ | 5.74 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.67 | 1.12 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,042.97 | $ | 6.50 | $ | 1,000.00 | $ | 1,018.70 | $ | 6.43 | 1.27 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,042.04 | $ | 7.01 | $ | 1,000.00 | $ | 1,018.20 | $ | 6.93 | 1.37 | % | |||||||||||||||||
SA Multi-Managed Income# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,021.72 | $ | 5.88 | $ | 1,000.00 | $ | 1,019.25 | $ | 5.87 | 1.16 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,020.83 | $ | 6.64 | $ | 1,000.00 | $ | 1,018.50 | $ | 6.63 | 1.31 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,019.93 | $ | 7.14 | $ | 1,000.00 | $ | 1,018.00 | $ | 7.13 | 1.41 | % | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,060.08 | $ | 4.75 | $ | 1,000.00 | $ | 1,020.46 | $ | 4.66 | 0.92 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,059.26 | $ | 5.52 | $ | 1,000.00 | $ | 1,019.70 | $ | 5.42 | 1.07 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,059.45 | $ | 6.04 | $ | 1,000.00 | $ | 1,019.20 | $ | 5.92 | 1.17 | % | |||||||||||||||||
SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,109.48 | $ | 4.65 | $ | 1,000.00 | $ | 1,020.66 | $ | 4.46 | 0.88 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,108.77 | $ | 5.44 | $ | 1,000.00 | $ | 1,019.90 | $ | 5.22 | 1.03 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,107.92 | $ | 5.97 | $ | 1,000.00 | $ | 1,019.40 | $ | 5.72 | 1.13 | % | |||||||||||||||||
SA Multi-Managed Large Cap Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,142.95 | $ | 4.19 | $ | 1,000.00 | $ | 1,021.16 | $ | 3.95 | 0.78 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,141.81 | $ | 4.99 | $ | 1,000.00 | $ | 1,020.41 | $ | 4.71 | 0.93 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,141.22 | $ | 5.53 | $ | 1,000.00 | $ | 1,019.90 | $ | 5.22 | 1.03 | % | |||||||||||||||||
SA Multi-Managed Large Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,061.60 | $ | 4.08 | $ | 1,000.00 | $ | 1,021.11 | $ | 4.00 | 0.79 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,061.08 | $ | 4.86 | $ | 1,000.00 | $ | 1,020.36 | $ | 4.76 | 0.94 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,059.88 | $ | 5.37 | $ | 1,000.00 | $ | 1,019.85 | $ | 5.27 | 1.04 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,118.02 | $ | 4.94 | $ | 1,000.00 | $ | 1,020.41 | $ | 4.71 | 0.93 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,117.29 | $ | 5.73 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.47 | 1.08 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,116.95 | $ | 6.26 | $ | 1,000.00 | $ | 1,019.15 | $ | 5.97 | 1.18 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,054.80 | $ | 4.79 | $ | 1,000.00 | $ | 1,020.41 | $ | 4.71 | 0.93 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,054.36 | $ | 5.56 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.47 | 1.08 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,053.89 | $ | 6.08 | $ | 1,000.00 | $ | 1,019.15 | $ | 5.97 | 1.18 | % |
4
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) September 30, 2018
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at April 1, 2018 | Ending Account Value Using Actual Return at September 30, 2018 | Expenses Paid During the Six Months Ended September 30, 2018* | Beginning Account Value at April 1, 2018 | Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2018 | Expenses Paid During the Six Months Ended September 30, 2018* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Small Cap# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,102.24 | $ | 4.80 | $ | 1,000.00 | $ | 1,020.51 | $ | 4.61 | 0.91 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,101.37 | $ | 5.58 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.37 | 1.06 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,100.80 | $ | 6.11 | $ | 1,000.00 | $ | 1,019.25 | $ | 5.87 | 1.16 | % | |||||||||||||||||
SA Multi-Managed International Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 997.94 | $ | 4.76 | $ | 1,000.00 | $ | 1,020.31 | $ | 4.81 | 0.95 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 995.88 | $ | 5.50 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.57 | 1.10 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 996.90 | $ | 6.01 | $ | 1,000.00 | $ | 1,019.05 | $ | 6.07 | 1.20 | % | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 997.40 | $ | 3.45 | $ | 1,000.00 | $ | 1,021.61 | $ | 3.50 | 0.69 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 997.39 | $ | 4.16 | $ | 1,000.00 | $ | 1,020.91 | $ | 4.20 | 0.83 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 997.38 | $ | 4.66 | $ | 1,000.00 | $ | 1,020.41 | $ | 4.71 | 0.93 | % | |||||||||||||||||
SA Wellington Real Return# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,004.15 | $ | 2.91 | $ | 1,000.00 | $ | 1,022.16 | $ | 2.94 | 0.58 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,003.14 | $ | 4.17 | $ | 1,000.00 | $ | 1,020.91 | $ | 4.20 | 0.83 | % | |||||||||||||||||
SA Columbia Focused Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,125.34 | $ | 4.05 | $ | 1,000.00 | $ | 1,021.26 | $ | 3.85 | 0.76 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,124.40 | $ | 4.85 | $ | 1,000.00 | $ | 1,020.51 | $ | 4.61 | 0.91 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,123.77 | $ | 5.38 | $ | 1,000.00 | $ | 1,020.00 | $ | 5.11 | 1.01 | % | |||||||||||||||||
SA Columbia Focused Value# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,072.69 | $ | 3.74 | $ | 1,000.00 | $ | 1,021.46 | $ | 3.65 | 0.72 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,071.82 | $ | 4.52 | $ | 1,000.00 | $ | 1,020.71 | $ | 4.41 | 0.87 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,071.50 | $ | 5.04 | $ | 1,000.00 | $ | 1,020.21 | $ | 4.91 | 0.97 | % | |||||||||||||||||
SA Allocation Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,055.36 | $ | 0.77 | $ | 1,000.00 | $ | 1,024.32 | $ | 0.76 | 0.15 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,053.44 | $ | 2.06 | $ | 1,000.00 | $ | 1,023.06 | $ | 2.03 | 0.40 | % | |||||||||||||||||
SA Allocation Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,045.96 | $ | 0.56 | $ | 1,000.00 | $ | 1,024.52 | $ | 0.56 | 0.11 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,044.37 | $ | 1.90 | $ | 1,000.00 | $ | 1,023.21 | $ | 1.88 | 0.37 | % | |||||||||||||||||
SA Allocation Moderate# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,040.48 | $ | 0.61 | $ | 1,000.00 | $ | 1,024.47 | $ | 0.61 | 0.12 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,038.86 | $ | 1.89 | $ | 1,000.00 | $ | 1,023.21 | $ | 1.88 | 0.37 | % | |||||||||||||||||
SA Allocation Balanced# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,029.55 | $ | 0.66 | $ | 1,000.00 | $ | 1,024.42 | $ | 0.66 | 0.13 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,028.70 | $ | 1.93 | $ | 1,000.00 | $ | 1,023.16 | $ | 1.93 | 0.38 | % |
* Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 183 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 September 30, 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 September 30, 2018" and the "Annualized Expense Ratio" would have been lower.
5
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 8.9 | % | |||||
Federal National Mtg. Assoc. | 5.6 | ||||||
E-Commerce/Products | 3.8 | ||||||
Web Portals/ISP | 3.6 | ||||||
Applications Software | 3.4 | ||||||
Electronic Components-Semiconductors | 3.4 | ||||||
United States Treasury Notes | 3.1 | ||||||
Finance-Credit Card | 2.8 | ||||||
Medical-Drugs | 2.6 | ||||||
Medical-Biomedical/Gene | 2.5 | ||||||
Computers | 2.5 | ||||||
Federal Home Loan Mtg. Corp. | 2.4 | ||||||
Government National Mtg. Assoc. | 2.3 | ||||||
Medical-HMO | 2.2 | ||||||
Real Estate Investment Trusts | 2.2 | ||||||
Retail-Restaurants | 1.9 | ||||||
Diversified Manufacturing Operations | 1.8 | ||||||
Diversified Banking Institutions | 1.8 | ||||||
Banks-Commercial | 1.7 | ||||||
Enterprise Software/Service | 1.5 | ||||||
Beverages-Non-alcoholic | 1.4 | ||||||
Consulting Services | 1.4 | ||||||
Tobacco | 1.3 | ||||||
United States Treasury Bonds | 1.1 | ||||||
Electronic Forms | 1.1 | ||||||
Electronic Components-Misc. | 1.0 | ||||||
Aerospace/Defense-Equipment | 1.0 | ||||||
Insurance-Property/Casualty | 0.9 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
E-Commerce/Services | 0.9 | ||||||
Internet Content-Entertainment | 0.9 | ||||||
Entertainment Software | 0.8 | ||||||
Medical Instruments | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Commercial Services | 0.8 | ||||||
Transport-Rail | 0.8 | ||||||
Athletic Footwear | 0.8 | ||||||
Commercial Services-Finance | 0.8 | ||||||
Cable/Satellite TV | 0.7 | ||||||
Therapeutics | 0.7 | ||||||
Repurchase Agreements | 0.7 | ||||||
Aerospace/Defense | 0.7 | ||||||
Semiconductor Equipment | 0.6 | ||||||
Containers-Metal/Glass | 0.6 | ||||||
Computer Services | 0.6 | ||||||
Electric-Integrated | 0.6 | ||||||
Multimedia | 0.6 | ||||||
Industrial Gases | 0.6 | ||||||
Computer Aided Design | 0.6 | ||||||
Coatings/Paint | 0.5 | ||||||
Foreign Government Obligations | 0.5 | ||||||
Cosmetics & Toiletries | 0.5 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Cruise Lines | 0.5 | ||||||
Building Products-Cement | 0.5 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Sovereign | 0.5 | ||||||
Building-Residential/Commercial | 0.5 | ||||||
Auto/Truck Parts & Equipment-Original | 0.5 | ||||||
Medical Products | 0.5 |
Savings & Loans/Thrifts | 0.4 | % | |||||
Telephone-Integrated | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Food-Catering | 0.4 | ||||||
Broadcast Services/Program | 0.4 | ||||||
Finance-Consumer Loans | 0.4 | ||||||
Medical Information Systems | 0.4 | ||||||
Medical-Hospitals | 0.4 | ||||||
U.S. Government Agencies | 0.4 | ||||||
Web Hosting/Design | 0.4 | ||||||
Industrial Automated/Robotic | 0.4 | ||||||
Airlines | 0.3 | ||||||
Computer Software | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Independent Power Producers | 0.3 | ||||||
Retail-Gardening Products | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Insurance-Life/Health | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Data Processing/Management | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Banks-Super Regional | 0.2 | ||||||
Coal | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Computers-Integrated Systems | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Municipal Bonds & Notes | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Insurance-Multi-line | 0.2 | ||||||
Energy-Alternate Sources | 0.2 | ||||||
Rubber/Plastic Products | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Retail-Home Furnishings | 0.2 | ||||||
Footwear & Related Apparel | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Racetracks | 0.2 | ||||||
Cellular Telecom | 0.2 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Television | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Water | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Brewery | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Transport-Truck | 0.1 |
6
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Home Furnishings | 0.1 | % | |||||
Electronic Parts Distribution | 0.1 | ||||||
B2B/E-Commerce | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Poultry | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Real Estate Operations & Development | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Vitamins & Nutrition Products | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
106.1 | % |
* Calculated as a percentage of net assets
7
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 72.8% | |||||||||||
Aerospace/Defense — 0.6% | |||||||||||
Boeing Co. | 904 | $ | 336,198 | ||||||||
Aerospace/Defense-Equipment — 0.9% | |||||||||||
Curtiss-Wright Corp. | 400 | 54,968 | |||||||||
L3 Technologies, Inc. | 1,792 | 381,015 | |||||||||
Moog, Inc., Class A | 200 | 17,194 | |||||||||
453,177 | |||||||||||
Airlines — 0.3% | |||||||||||
United Continental Holdings, Inc.† | 2,060 | 183,464 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 450 | 9,873 | |||||||||
Applications Software — 3.3% | |||||||||||
Microsoft Corp. | 10,477 | 1,198,254 | |||||||||
salesforce.com, Inc.† | 3,492 | 555,333 | |||||||||
1,753,587 | |||||||||||
Athletic Footwear — 0.8% | |||||||||||
NIKE, Inc., Class B | 4,819 | 408,266 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 4,925 | 89,783 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.5% | |||||||||||
Aptiv PLC | 2,869 | 240,709 | |||||||||
Meritor, Inc.† | 150 | 2,904 | |||||||||
243,613 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 1,475 | 64,753 | |||||||||
B2B/E-Commerce — 0.1% | |||||||||||
ePlus, Inc.† | 500 | 46,350 | |||||||||
Banks-Commercial — 1.6% | |||||||||||
1st Source Corp. | 325 | 17,101 | |||||||||
BancFirst Corp. | 925 | 55,454 | |||||||||
BancorpSouth Bank | 1,300 | 42,510 | |||||||||
Banner Corp. | 2,100 | 130,557 | |||||||||
Cadence BanCorp | 75 | 1,959 | |||||||||
Cathay General Bancorp | 500 | 20,720 | |||||||||
CenterState Bank Corp. | 239 | 6,704 | |||||||||
Central Pacific Financial Corp. | 1,575 | 41,627 | |||||||||
Central Valley Community Bancorp | 125 | 2,701 | |||||||||
Citizens & Northern Corp. | 125 | 3,269 | |||||||||
City Holding Co. | 325 | 24,960 | |||||||||
CVB Financial Corp. | 2,125 | 47,430 | |||||||||
East West Bancorp, Inc. | 24 | 1,449 | |||||||||
FCB Financial Holdings, Inc., Class A† | 1,575 | 74,655 | |||||||||
First Commonwealth Financial Corp. | 2,150 | 34,701 | |||||||||
First Community Bancshares, Inc. | 150 | 5,082 | |||||||||
First Financial Bancorp | 542 | 16,097 | |||||||||
First Hawaiian, Inc. | 450 | 12,222 | |||||||||
First Interstate BancSystem, Inc., Class A | 325 | 14,560 | |||||||||
Great Western Bancorp, Inc. | 150 | 6,329 | |||||||||
Guaranty Bancorp | 225 | 6,683 | |||||||||
Hope Bancorp, Inc. | 1,044 | 16,881 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Independent Bank Corp./ Massachusetts | 75 | $ | 6,195 | ||||||||
Independent Bank Corp./Michigan | 600 | 14,190 | |||||||||
OFG Bancorp | 1,175 | 18,976 | |||||||||
PacWest Bancorp | 350 | 16,678 | |||||||||
Sierra Bancorp | 150 | 4,335 | |||||||||
Simmons First National Corp., Class A | 614 | 18,082 | |||||||||
Southside Bancshares, Inc. | 110 | 3,828 | |||||||||
TCF Financial Corp. | 1,325 | 31,548 | |||||||||
Trustmark Corp. | 450 | 15,143 | |||||||||
UMB Financial Corp. | 325 | 23,042 | |||||||||
Union Bankshares Corp. | 266 | 10,249 | |||||||||
Webster Financial Corp. | 300 | 17,688 | |||||||||
West Bancorporation, Inc. | 200 | 4,700 | |||||||||
Westamerica Bancorporation | 1,225 | 73,696 | |||||||||
842,001 | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Walker & Dunlop, Inc. | 450 | 23,796 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 125 | 4,706 | |||||||||
Beverages-Non-alcoholic — 1.4% | |||||||||||
Coca-Cola Co. | 11,598 | 535,711 | |||||||||
Monster Beverage Corp.† | 3,538 | 206,195 | |||||||||
741,906 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery, Inc., Class C† | 3,649 | 107,938 | |||||||||
Hemisphere Media Group, Inc.† | 1,375 | 19,181 | |||||||||
MSG Networks, Inc., Class A† | 1,000 | 25,800 | |||||||||
152,919 | |||||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
EMCOR Group, Inc. | 1,900 | 142,709 | |||||||||
MYR Group, Inc.† | 625 | 20,400 | |||||||||
163,109 | |||||||||||
Building Products-Cement — 0.5% | |||||||||||
Continental Building Products, Inc.† | 2,750 | 103,262 | |||||||||
Vulcan Materials Co. | 1,529 | 170,025 | |||||||||
273,287 | |||||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 600 | 38,460 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
MasTec, Inc.† | 325 | 14,511 | |||||||||
Building-Residential/Commercial — 0.5% | |||||||||||
Beazer Homes USA, Inc.† | 90 | 945 | |||||||||
Hovnanian Enterprises, Inc., Class A† | 11,875 | 19,000 | |||||||||
KB Home | 5,400 | 129,114 | |||||||||
Taylor Morrison Home Corp., Class A† | 4,550 | 82,082 | |||||||||
TRI Pointe Group, Inc.† | 725 | 8,990 | |||||||||
240,131 |
8
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cable/Satellite TV — 0.4% | |||||||||||
Liberty Broadband Corp., Class C† | 2,669 | $ | 224,997 | ||||||||
WideOpenWest, Inc.† | 987 | 11,064 | |||||||||
236,061 | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 250 | 10,930 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Minerals Technologies, Inc. | 550 | 37,180 | |||||||||
OMNOVA Solutions, Inc.† | 1,850 | 18,223 | |||||||||
Sensient Technologies Corp. | 200 | 15,302 | |||||||||
70,705 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc.† | 600 | 9,546 | |||||||||
Coal — 0.2% | |||||||||||
Arch Coal, Inc., Class A | 350 | 31,290 | |||||||||
NACCO Industries, Inc., Class A | 325 | 10,644 | |||||||||
Peabody Energy Corp. | 625 | 22,275 | |||||||||
SunCoke Energy, Inc.† | 275 | 3,195 | |||||||||
Warrior Met Coal, Inc. | 2,075 | 56,108 | |||||||||
123,512 | |||||||||||
Coatings/Paint — 0.5% | |||||||||||
Sherwin-Williams Co. | 630 | 286,782 | |||||||||
Commercial Services — 0.8% | |||||||||||
Acacia Research Corp.† | 2,000 | 6,400 | |||||||||
Care.com, Inc.† | 625 | 13,819 | |||||||||
CoStar Group, Inc.† | 541 | 227,674 | |||||||||
Medifast, Inc. | 75 | 16,616 | |||||||||
ServiceMaster Global Holdings, Inc.† | 2,566 | 159,169 | |||||||||
423,678 | |||||||||||
Commercial Services-Finance — 0.7% | |||||||||||
Euronet Worldwide, Inc.† | 150 | 15,033 | |||||||||
Green Dot Corp., Class A† | 275 | 24,425 | |||||||||
MarketAxess Holdings, Inc. | 175 | 31,236 | |||||||||
Travelport Worldwide, Ltd. | 3,775 | 63,684 | |||||||||
Worldpay, Inc., Class A† | 2,310 | 233,934 | |||||||||
368,312 | |||||||||||
Computer Aided Design — 0.6% | |||||||||||
Aspen Technology, Inc.† | 1,200 | 136,692 | |||||||||
Autodesk, Inc.† | 1,016 | 158,608 | |||||||||
295,300 | |||||||||||
Computer Data Security — 0.0% | |||||||||||
Carbon Black, Inc.† | 150 | 3,177 | |||||||||
Computer Services — 0.6% | |||||||||||
Amdocs, Ltd. | 3,303 | 217,932 | |||||||||
Science Applications International Corp. | 700 | 56,420 | |||||||||
Syntel, Inc.† | 425 | 17,416 | |||||||||
Unisys Corp.† | 1,825 | 37,230 | |||||||||
328,998 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Software — 0.3% | |||||||||||
Box, Inc., Class A† | 450 | $ | 10,760 | ||||||||
SendGrid, Inc.† | 100 | 3,679 | |||||||||
SS&C Technologies Holdings, Inc. | 2,957 | 168,046 | |||||||||
182,485 | |||||||||||
Computers — 2.5% | |||||||||||
Apple, Inc. | 5,823 | 1,314,484 | |||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
NetScout Systems, Inc.† | 4,850 | 122,462 | |||||||||
Computers-Periphery Equipment — 0.0% | |||||||||||
Electronics For Imaging, Inc.† | 200 | 6,816 | |||||||||
Consulting Services — 1.4% | |||||||||||
Gartner, Inc.† | 2,989 | 473,756 | |||||||||
Huron Consulting Group, Inc.† | 1,275 | 62,985 | |||||||||
Navigant Consulting, Inc. | 925 | 21,331 | |||||||||
Verisk Analytics, Inc.† | 1,465 | 176,606 | |||||||||
734,678 | |||||||||||
Containers-Metal/Glass — 0.6% | |||||||||||
Ball Corp. | 7,820 | 344,002 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging Holding Co. | 3,595 | 50,366 | |||||||||
Cosmetics & Toiletries — 0.5% | |||||||||||
Edgewell Personal Care Co.† | 275 | 12,713 | |||||||||
Estee Lauder Cos., Inc., Class A | 1,889 | 274,510 | |||||||||
287,223 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 4,844 | 278,191 | |||||||||
Data Processing/Management — 0.2% | |||||||||||
CSG Systems International, Inc. | 50 | 2,007 | |||||||||
Fair Isaac Corp.† | 500 | 114,275 | |||||||||
116,282 | |||||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Thermo Fisher Scientific, Inc. | 1,058 | 258,237 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,325 | 19,743 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Utah Medical Products, Inc. | 125 | 11,775 | |||||||||
Distribution/Wholesale — 0.3% | |||||||||||
Essendant, Inc. | 350 | 4,487 | |||||||||
Fastenal Co. | 2,481 | 143,947 | |||||||||
Titan Machinery, Inc.† | 1,925 | 29,809 | |||||||||
178,243 | |||||||||||
Diversified Manufacturing Operations — 1.8% | |||||||||||
A.O. Smith Corp. | 3,598 | 192,025 | |||||||||
Actuant Corp., Class A | 1,275 | 35,573 | |||||||||
Harsco Corp.† | 900 | 25,695 | |||||||||
Illinois Tool Works, Inc. | 2,503 | 353,223 | |||||||||
Parker-Hannifin Corp. | 2,044 | 375,953 | |||||||||
982,469 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
DexCom, Inc.† | 80 | 11,443 |
9
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
E-Commerce/Products — 3.8% | |||||||||||
Amazon.com, Inc.† | 932 | $ | 1,866,796 | ||||||||
Wayfair, Inc., Class A† | 1,147 | 169,377 | |||||||||
2,036,173 | |||||||||||
E-Commerce/Services — 0.9% | |||||||||||
Booking Holdings, Inc.† | 185 | 367,040 | |||||||||
Liberty Expedia Holdings, Inc., Class A† | 1,200 | 56,448 | |||||||||
Shutterfly, Inc.† | 475 | 31,298 | |||||||||
454,786 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
New Media Investment Group, Inc. | 750 | 11,768 | |||||||||
E-Services/Consulting — 0.1% | |||||||||||
Perficient, Inc.† | 2,025 | 53,966 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 225 | 6,338 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 900 | 7,425 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Atlantic Power Corp.† | 10,650 | 23,430 | |||||||||
Electric-Integrated — 0.2% | |||||||||||
El Paso Electric Co. | 625 | 35,750 | |||||||||
PNM Resources, Inc. | 450 | 17,753 | |||||||||
Portland General Electric Co. | 1,025 | 46,750 | |||||||||
100,253 | |||||||||||
Electronic Components-Misc. — 1.0% | |||||||||||
Bel Fuse, Inc., Class B | 125 | 3,313 | |||||||||
Benchmark Electronics, Inc. | 1,850 | 43,290 | |||||||||
Flex, Ltd.† | 16,595 | 217,726 | |||||||||
OSI Systems, Inc.† | 700 | 53,417 | |||||||||
Sensata Technologies Holding PLC† | 3,668 | 181,749 | |||||||||
Vishay Intertechnology, Inc. | 1,425 | 28,999 | |||||||||
528,494 | |||||||||||
Electronic Components-Semiconductors — 3.2% | |||||||||||
Amkor Technology, Inc.† | 4,100 | 30,299 | |||||||||
Microchip Technology, Inc. | 3,872 | 305,539 | |||||||||
NVIDIA Corp. | 2,144 | 602,507 | |||||||||
Rambus, Inc.† | 10,475 | 114,282 | |||||||||
Synaptics, Inc.† | 900 | 41,058 | |||||||||
Texas Instruments, Inc. | 5,164 | 554,046 | |||||||||
Xperi Corp. | 3,800 | 56,430 | |||||||||
1,704,161 | |||||||||||
Electronic Forms — 1.1% | |||||||||||
Adobe Systems, Inc.† | 2,240 | 604,688 | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Stoneridge, Inc.† | 1,975 | 58,697 | |||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Tech Data Corp.† | 650 | 46,521 | |||||||||
Energy-Alternate Sources — 0.2% | |||||||||||
FutureFuel Corp. | 1,175 | 21,784 | |||||||||
Pattern Energy Group, Inc., Class A | 850 | 16,890 |
Security Description | Shares | Value (Note 2) | |||||||||
Energy-Alternate Sources (continued) | |||||||||||
Renewable Energy Group, Inc.† | 550 | $ | 15,840 | ||||||||
REX American Resources Corp.† | 650 | 49,107 | |||||||||
103,621 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
VSE Corp. | 525 | 17,393 | |||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Briggs & Stratton Corp. | 1,950 | 37,499 | |||||||||
Enterprise Software/Service — 1.5% | |||||||||||
Domo, Inc., Class B† | 1,275 | 27,349 | |||||||||
Donnelley Financial Solutions, Inc.† | 700 | 12,544 | |||||||||
Manhattan Associates, Inc.† | 250 | 13,650 | |||||||||
MicroStrategy, Inc., Class A† | 100 | 14,062 | |||||||||
Progress Software Corp. | 2,550 | 89,989 | |||||||||
SVMK, Inc.† | 800 | 12,824 | |||||||||
Tyler Technologies, Inc.† | 1,098 | 269,076 | |||||||||
Ultimate Software Group, Inc.† | 1,095 | 352,798 | |||||||||
792,292 | |||||||||||
Entertainment Software — 0.8% | |||||||||||
Activision Blizzard, Inc. | 5,434 | 452,054 | |||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Credit Acceptance Corp.† | 65 | 28,475 | |||||||||
Finance-Consumer Loans — 0.4% | |||||||||||
Nelnet, Inc., Class A | 425 | 24,297 | |||||||||
Synchrony Financial | 5,196 | 161,492 | |||||||||
185,789 | |||||||||||
Finance-Credit Card — 2.8% | |||||||||||
Mastercard, Inc., Class A | 3,143 | 699,663 | |||||||||
Visa, Inc., Class A | 5,409 | 811,837 | |||||||||
1,511,500 | |||||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Evercore, Inc., Class A | 200 | 20,110 | |||||||||
Houlihan Lokey, Inc. | 850 | 38,190 | |||||||||
TD Ameritrade Holding Corp. | 4,326 | 228,543 | |||||||||
286,843 | |||||||||||
Finance-Other Services — 0.7% | |||||||||||
CME Group, Inc. | 956 | 162,721 | |||||||||
Intercontinental Exchange, Inc. | 2,684 | 201,005 | |||||||||
WageWorks, Inc.† | 775 | 33,131 | |||||||||
396,857 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 3,100 | 33,139 | |||||||||
MGIC Investment Corp.† | 1,350 | 17,968 | |||||||||
NMI Holdings, Inc., Class A† | 625 | 14,156 | |||||||||
Radian Group, Inc. | 350 | 7,235 | |||||||||
72,498 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 125 | 4,213 | |||||||||
Food-Catering — 0.4% | |||||||||||
Aramark | 4,941 | 212,562 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 1,550 | 11,005 |
10
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 4,675 | $ | 90,321 | ||||||||
Post Holdings, Inc.† | 150 | 14,706 | |||||||||
105,027 | |||||||||||
Food-Retail — 0.0% | |||||||||||
Ingles Markets, Inc., Class A | 550 | 18,838 | |||||||||
Footwear & Related Apparel — 0.2% | |||||||||||
Crocs, Inc.† | 1,550 | 32,999 | |||||||||
Deckers Outdoor Corp.† | 175 | 20,752 | |||||||||
Weyco Group, Inc. | 75 | 2,639 | |||||||||
Wolverine World Wide, Inc. | 950 | 37,097 | |||||||||
93,487 | |||||||||||
Gambling (Non-Hotel) — 0.2% | |||||||||||
Pinnacle Entertainment, Inc.† | 3,900 | 131,391 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Northwest Natural Holding Co. | 150 | 10,035 | |||||||||
Southwest Gas Holdings, Inc. | 300 | 23,709 | |||||||||
33,744 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,300 | 47,814 | |||||||||
Human Resources — 0.2% | |||||||||||
Barrett Business Services, Inc. | 1,050 | 70,119 | |||||||||
Cross Country Healthcare, Inc.† | 2,425 | 21,170 | |||||||||
TrueBlue, Inc.† | 975 | 25,399 | |||||||||
116,688 | |||||||||||
Independent Power Producers — 0.3% | |||||||||||
NRG Energy, Inc. | 3,787 | 141,634 | |||||||||
Vistra Energy Corp.† | 576 | 14,331 | |||||||||
155,965 | |||||||||||
Industrial Automated/Robotic — 0.4% | |||||||||||
Cognex Corp. | 3,366 | 187,890 | |||||||||
Industrial Gases — 0.6% | |||||||||||
Air Products & Chemicals, Inc. | 1,790 | 299,019 | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
CNO Financial Group, Inc. | 1,800 | 38,196 | |||||||||
Primerica, Inc. | 525 | 63,289 | |||||||||
101,485 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 175 | 14,079 | |||||||||
Insurance-Property/Casualty — 0.9% | |||||||||||
Ambac Financial Group, Inc.† | 100 | 2,042 | |||||||||
First American Financial Corp. | 325 | 16,767 | |||||||||
Kinsale Capital Group, Inc. | 500 | 31,930 | |||||||||
Navigators Group, Inc. | 500 | 34,550 | |||||||||
ProAssurance Corp. | 375 | 17,606 | |||||||||
Progressive Corp. | 5,076 | 360,599 | |||||||||
Third Point Reinsurance, Ltd.† | 650 | 8,450 | |||||||||
Universal Insurance Holdings, Inc. | 375 | 18,206 | |||||||||
490,150 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 125 | 4,713 |
Security Description | Shares | Value (Note 2) | |||||||||
Internet Content-Entertainment — 0.9% | |||||||||||
Facebook, Inc., Class A† | 2,753 | $ | 452,758 | ||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 225 | 23,924 | |||||||||
Zix Corp.† | 2,400 | 13,320 | |||||||||
37,244 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 325 | 4,030 | |||||||||
Stifel Financial Corp. | 140 | 7,176 | |||||||||
Virtus Investment Partners, Inc. | 100 | 11,375 | |||||||||
22,581 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Bloom Energy Corp. Class A† | 200 | 6,816 | |||||||||
Machinery-General Industrial — 0.2% | |||||||||||
Applied Industrial Technologies, Inc. | 450 | 35,213 | |||||||||
DXP Enterprises, Inc.† | 800 | 32,056 | |||||||||
Kadant, Inc. | 425 | 45,836 | |||||||||
113,105 | |||||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 475 | 7,101 | |||||||||
Medical Information Systems — 0.4% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 3,000 | 42,750 | |||||||||
athenahealth, Inc.† | 1,094 | 146,158 | |||||||||
188,908 | |||||||||||
Medical Instruments — 0.8% | |||||||||||
AngioDynamics, Inc.† | 1,800 | 39,132 | |||||||||
Boston Scientific Corp.† | 9,162 | 352,737 | |||||||||
NuVasive, Inc.† | 625 | 44,362 | |||||||||
436,231 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Medpace Holdings, Inc.† | 575 | 34,448 | |||||||||
Medical Products — 0.4% | |||||||||||
Integer Holdings Corp.† | 1,550 | 128,572 | |||||||||
Luminex Corp. | 500 | 15,155 | |||||||||
MiMedx Group, Inc.† | 2,425 | 14,987 | |||||||||
Orthofix Medical, Inc.† | 300 | 17,343 | |||||||||
OrthoPediatrics Corp.† | 250 | 9,160 | |||||||||
185,217 | |||||||||||
Medical-Biomedical/Gene — 2.4% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 1,725 | 35,811 | |||||||||
Achillion Pharmaceuticals, Inc.† | 5,325 | 19,596 | |||||||||
Alder Biopharmaceuticals, Inc.† | 1,350 | 22,477 | |||||||||
AMAG Pharmaceuticals, Inc.† | 1,275 | 25,500 | |||||||||
Amicus Therapeutics, Inc.† | 2,175 | 26,296 | |||||||||
AnaptysBio, Inc.† | 1,632 | 162,825 | |||||||||
Aptinyx, Inc.† | 875 | 25,340 | |||||||||
Arena Pharmaceuticals, Inc.† | 655 | 30,143 | |||||||||
Arvinas, Inc.† | 100 | 1,687 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 800 | 30,040 | |||||||||
Bluebird Bio, Inc.† | 100 | 14,600 | |||||||||
Celgene Corp.† | 3,056 | 273,481 |
11
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
CytomX Therapeutics, Inc.† | 750 | $ | 13,875 | ||||||||
Forty Seven, Inc.† | 1,275 | 19,023 | |||||||||
Gilead Sciences, Inc. | 396 | 30,575 | |||||||||
Homology Medicines, Inc.† | 900 | 20,574 | |||||||||
Insmed, Inc.† | 3,768 | 76,189 | |||||||||
Menlo Therapeutics, Inc.† | 600 | 5,910 | |||||||||
Myriad Genetics, Inc.† | 900 | 41,400 | |||||||||
NewLink Genetics Corp.† | 2,600 | 6,214 | |||||||||
Novavax, Inc.† | 10,850 | 20,398 | |||||||||
Puma Biotechnology, Inc.† | 525 | 24,071 | �� | ||||||||
Regeneron Pharmaceuticals, Inc.† | 573 | 231,515 | |||||||||
REGENXBIO, Inc.† | 450 | 33,975 | |||||||||
resTORbio, Inc.† | 450 | 6,813 | |||||||||
Sangamo Therapeutics, Inc.† | 425 | 7,204 | |||||||||
Selecta Biosciences, Inc.† | 1,575 | 24,491 | |||||||||
Solid Biosciences, Inc.† | 700 | 33,026 | |||||||||
Spark Therapeutics, Inc.† | 350 | 19,093 | |||||||||
Synlogic, Inc.† | 1,267 | 18,004 | |||||||||
Y-mAbs Therapeutics, Inc.† | 100 | 2,656 | |||||||||
1,302,802 | |||||||||||
Medical-Drugs — 2.5% | |||||||||||
Aimmune Therapeutics, Inc.† | 700 | 19,096 | |||||||||
Bristol-Myers Squibb Co. | 4,999 | 310,338 | |||||||||
Clovis Oncology, Inc.† | 825 | 24,230 | |||||||||
Eagle Pharmaceuticals, Inc.† | 175 | 12,133 | |||||||||
Eli Lilly & Co. | 3,216 | 345,109 | |||||||||
Global Blood Therapeutics, Inc.† | 1,690 | 64,220 | |||||||||
Gritstone Oncology, Inc.† | 300 | 4,272 | |||||||||
Horizon Pharma PLC† | 1,875 | 36,712 | |||||||||
Lannett Co., Inc.† | 700 | 3,325 | |||||||||
Mallinckrodt PLC† | 1,225 | 35,905 | |||||||||
Merck & Co., Inc. | 3,681 | 261,130 | |||||||||
Paratek Pharmaceuticals, Inc.† | 1,750 | 16,975 | |||||||||
Prestige Consumer Healthcare, Inc.† | 1,150 | 43,573 | |||||||||
Principia Biopharma, Inc.† | 50 | 1,461 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 465 | 38,018 | |||||||||
Seres Therapeutics, Inc.† | 2,225 | 16,888 | |||||||||
Sutro Biopharma, Inc.† | 250 | 3,750 | |||||||||
Synergy Pharmaceuticals, Inc.† | 7,100 | 12,070 | |||||||||
TG Therapeutics, Inc.† | 1,550 | 8,680 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,350 | 30,983 | |||||||||
Voyager Therapeutics, Inc.† | 1,175 | 22,231 | |||||||||
1,311,099 | |||||||||||
Medical-Generic Drugs — 0.3% | |||||||||||
Endo International PLC† | 3,550 | 59,746 | |||||||||
Mylan NV† | 3,390 | 124,074 | |||||||||
183,820 | |||||||||||
Medical-HMO — 2.0% | |||||||||||
Humana, Inc. | 1,275 | 431,613 | |||||||||
Molina Healthcare, Inc.† | 850 | 126,395 | |||||||||
Tivity Health, Inc.† | 2,625 | 84,394 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
Triple-S Management Corp., Class B† | 1,325 | $ | 25,029 | ||||||||
UnitedHealth Group, Inc. | 1,510 | 401,720 | |||||||||
WellCare Health Plans, Inc.† | 50 | 16,025 | |||||||||
1,085,176 | |||||||||||
Medical-Hospitals — 0.3% | |||||||||||
Community Health Systems, Inc.† | 1,875 | 6,488 | |||||||||
Quorum Health Corp.† | 3,750 | 21,975 | |||||||||
Surgery Partners, Inc.† | 850 | 14,025 | |||||||||
Tenet Healthcare Corp.† | 3,225 | 91,783 | |||||||||
134,271 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Civitas Solutions, Inc.† | 2,100 | 30,975 | |||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. | 725 | 11,977 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
LB Foster Co., Class A† | 150 | 3,083 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,025 | 44,444 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Kaiser Aluminum Corp. | 400 | 43,624 | |||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
FreightCar America, Inc.† | 225 | 3,616 | |||||||||
Hillenbrand, Inc. | 1,175 | 61,452 | |||||||||
65,068 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 1,450 | 17,473 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 800 | 12,040 | |||||||||
Multimedia — 0.4% | |||||||||||
Entravision Communications Corp., Class A | 1,450 | 7,105 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 5,914 | 219,942 | |||||||||
227,047 | |||||||||||
Office Furnishings-Original — 0.0% | |||||||||||
Interface, Inc. | 386 | 9,013 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
ACCO Brands Corp. | 8,000 | 90,400 | |||||||||
Oil Companies-Exploration & Production — 0.7% | |||||||||||
Anadarko Petroleum Corp. | 2,049 | 138,123 | |||||||||
Denbury Resources, Inc.† | 6,275 | 38,905 | |||||||||
EP Energy Corp., Class A† | 4,856 | 11,363 | |||||||||
Gulfport Energy Corp.† | 7,700 | 80,157 | |||||||||
PDC Energy, Inc.† | 325 | 15,912 | |||||||||
Sanchez Energy Corp.† | 1,950 | 4,485 | |||||||||
Unit Corp.† | 725 | 18,894 | |||||||||
W&T Offshore, Inc.† | 7,775 | 74,951 | |||||||||
382,790 |
12
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Natural Gas Services Group, Inc.† | 325 | $ | 6,858 | ||||||||
US Silica Holdings, Inc. | 1,375 | 25,891 | |||||||||
32,749 | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Adams Resources & Energy, Inc. | 75 | 3,184 | |||||||||
Delek US Holdings, Inc. | 1,225 | 51,977 | |||||||||
Murphy USA, Inc.† | 400 | 34,184 | |||||||||
89,345 | |||||||||||
Oil-Field Services — 0.2% | |||||||||||
Archrock, Inc. | 1,975 | 24,095 | |||||||||
FTS International, Inc.† | 800 | 9,432 | |||||||||
MRC Global, Inc.† | 2,675 | 50,209 | |||||||||
SEACOR Holdings, Inc.† | 175 | 8,647 | |||||||||
92,383 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. | 250 | 13,043 | |||||||||
Verso Corp., Class A† | 475 | 15,993 | |||||||||
29,036 | |||||||||||
Poultry — 0.1% | |||||||||||
Pilgrim's Pride Corp.† | 1,000 | 18,090 | |||||||||
Sanderson Farms, Inc. | 125 | 12,921 | |||||||||
31,011 | |||||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 1,650 | 93,076 | |||||||||
Powell Industries, Inc. | 500 | 18,130 | |||||||||
111,206 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Deluxe Corp. | 625 | 35,588 | |||||||||
Ennis, Inc. | 1,800 | 36,810 | |||||||||
72,398 | |||||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 5,025 | 35,175 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 5,200 | 52,052 | |||||||||
Tribune Publishing Co.† | 1,125 | 18,371 | |||||||||
70,423 | |||||||||||
Racetracks — 0.2% | |||||||||||
Penn National Gaming, Inc.† | 2,225 | 73,247 | |||||||||
Speedway Motorsports, Inc. | 500 | 8,925 | |||||||||
82,172 | |||||||||||
Real Estate Investment Trusts — 2.1% | |||||||||||
American Assets Trust, Inc. | 575 | 21,442 | |||||||||
American Tower Corp. | 2,444 | 355,113 | |||||||||
Ashford Hospitality Trust, Inc. | 3,800 | 24,282 | |||||||||
Capstead Mtg. Corp. | 6,775 | 53,590 | |||||||||
CBL & Associates Properties, Inc. | 600 | 2,394 | |||||||||
Cherry Hill Mtg. Investment Corp. | 650 | 11,765 | |||||||||
City Office REIT, Inc. | 175 | 2,209 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 331 | 12,439 | |||||||||
CoreSite Realty Corp. | 825 | 91,690 | |||||||||
CubeSmart | 400 | 11,412 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
DiamondRock Hospitality Co. | 3,475 | $ | 40,553 | ||||||||
Dynex Capital, Inc. | 250 | 1,595 | |||||||||
EastGroup Properties, Inc. | 275 | 26,295 | |||||||||
EPR Properties | 25 | 1,710 | |||||||||
Equity LifeStyle Properties, Inc. | 150 | 14,467 | |||||||||
First Industrial Realty Trust, Inc. | 300 | 9,420 | |||||||||
Franklin Street Properties Corp. | 525 | 4,195 | |||||||||
GEO Group, Inc. | 2,700 | 67,932 | |||||||||
Gladstone Commercial Corp. | 125 | 2,394 | |||||||||
Government Properties Income Trust | 150 | 1,694 | |||||||||
Hersha Hospitality Trust | 1,400 | 31,738 | |||||||||
Highwoods Properties, Inc. | 225 | 10,634 | |||||||||
Hospitality Properties Trust | 625 | 18,025 | |||||||||
InfraREIT, Inc.† | 175 | 3,701 | |||||||||
Invesco Mtg. Capital, Inc. | 1,175 | 18,588 | |||||||||
Invitation Homes, Inc. | 3,218 | 73,724 | |||||||||
LTC Properties, Inc. | 625 | 27,569 | |||||||||
Mack-Cali Realty Corp. | 550 | 11,693 | |||||||||
National Retail Properties, Inc. | 75 | 3,362 | |||||||||
Pebblebrook Hotel Trust | 475 | 17,276 | |||||||||
Pennsylvania Real Estate Investment Trust | 325 | 3,075 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 325 | 6,152 | |||||||||
PS Business Parks, Inc. | 150 | 19,063 | |||||||||
Ramco-Gershenson Properties Trust | 1,125 | 15,300 | |||||||||
RLJ Lodging Trust | 350 | 7,711 | |||||||||
Saul Centers, Inc. | 300 | 16,800 | |||||||||
Taubman Centers, Inc. | 200 | 11,966 | |||||||||
Two Harbors Investment Corp. | 3,113 | 46,477 | |||||||||
Xenia Hotels & Resorts, Inc. | 250 | 5,925 | |||||||||
1,105,370 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
Alexander & Baldwin, Inc. | 259 | 5,877 | |||||||||
Cushman & Wakefield PLC† | 1,475 | 25,060 | |||||||||
30,937 | |||||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
American Eagle Outfitters, Inc. | 1,975 | 49,039 | |||||||||
Children's Place, Inc. | 625 | 79,875 | |||||||||
128,914 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 275 | 9,721 | |||||||||
Retail-Automobile — 0.1% | |||||||||||
Asbury Automotive Group, Inc.† | 500 | 34,375 | |||||||||
Retail-Discount — 0.0% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 550 | 14,729 | |||||||||
Retail-Gardening Products — 0.3% | |||||||||||
Tractor Supply Co. | 1,563 | 142,045 | |||||||||
Retail-Home Furnishings — 0.2% | |||||||||||
RH† | 725 | 94,982 |
13
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Jewelry — 0.1% | |||||||||||
Movado Group, Inc. | 1,225 | $ | 51,327 | ||||||||
Signet Jewelers, Ltd. | 75 | 4,945 | |||||||||
56,272 | |||||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 325 | 24,811 | |||||||||
Retail-Restaurants — 1.8% | |||||||||||
Bloomin' Brands, Inc. | 5,650 | 111,814 | |||||||||
Brinker International, Inc. | 1,025 | 47,898 | |||||||||
Dunkin' Brands Group, Inc. | 1,520 | 112,054 | |||||||||
McDonald's Corp. | 1,692 | 283,055 | |||||||||
Starbucks Corp. | 6,751 | 383,727 | |||||||||
938,548 | |||||||||||
Rubber/Plastic Products — 0.2% | |||||||||||
Myers Industries, Inc. | 175 | 4,069 | |||||||||
Trinseo SA | 1,250 | 97,875 | |||||||||
101,944 | |||||||||||
Savings & Loans/Thrifts — 0.4% | |||||||||||
BankFinancial Corp. | 500 | 7,970 | |||||||||
Beneficial Bancorp, Inc. | 3,892 | 65,775 | |||||||||
Capitol Federal Financial, Inc. | 125 | 1,592 | |||||||||
First Defiance Financial Corp. | 225 | 6,775 | |||||||||
Flushing Financial Corp. | 425 | 10,370 | |||||||||
Investors Bancorp, Inc. | 1,450 | 17,791 | |||||||||
Meridian Bancorp, Inc. | 3,125 | 53,125 | |||||||||
Northfield Bancorp, Inc. | 3,150 | 50,148 | |||||||||
People's United Financial, Inc. | 723 | 12,378 | |||||||||
225,924 | |||||||||||
Schools — 0.0% | |||||||||||
K12, Inc.† | 1,000 | 17,700 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
Cirrus Logic, Inc.† | 1,475 | 56,935 | |||||||||
Semiconductor Equipment — 0.6% | |||||||||||
Advanced Energy Industries, Inc.† | 150 | 7,747 | |||||||||
Cohu, Inc. | 225 | 5,648 | |||||||||
Entegris, Inc. | 850 | 24,607 | |||||||||
Lam Research Corp. | 2,024 | 307,041 | |||||||||
345,043 | |||||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 275 | 2,970 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Frontier Communications Corp. | 7,675 | 49,811 | |||||||||
Windstream Holdings, Inc.† | 3,650 | 17,885 | |||||||||
67,696 | |||||||||||
Television — 0.1% | |||||||||||
ION Media Networks, Inc.†(1)(9)(13) | 2 | 1,681 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 2,075 | 58,826 | |||||||||
60,507 | |||||||||||
Textile-Apparel — 0.0% | |||||||||||
Perry Ellis International, Inc.† | 400 | 10,932 |
Security Description | Shares | Value (Note 2) | |||||||||
Therapeutics — 0.7% | |||||||||||
Flexion Therapeutics, Inc.† | 775 | $ | 14,500 | ||||||||
La Jolla Pharmaceutical Co.† | 700 | 14,091 | |||||||||
Mersana Therapeutics, Inc.† | 850 | 8,500 | |||||||||
Neurocrine Biosciences, Inc.† | 2,172 | 267,047 | |||||||||
Sarepta Therapeutics, Inc.† | 349 | 56,367 | |||||||||
Xencor, Inc.† | 850 | 33,125 | |||||||||
393,630 | |||||||||||
Tobacco — 1.0% | |||||||||||
Altria Group, Inc. | 9,040 | 545,202 | |||||||||
Transactional Software — 0.1% | |||||||||||
ACI Worldwide, Inc.† | 525 | 14,774 | |||||||||
Synchronoss Technologies, Inc.† | 4,575 | 30,195 | |||||||||
44,969 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 44 | 351 | |||||||||
Transport-Rail — 0.7% | |||||||||||
CSX Corp. | 4,824 | 357,217 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 600 | 29,130 | |||||||||
Covenant Transportation Group, Inc., Class A† | 175 | 5,086 | |||||||||
Schneider National, Inc., Class B | 300 | 7,494 | |||||||||
YRC Worldwide, Inc.† | 750 | 6,735 | |||||||||
48,445 | |||||||||||
Travel Services — 0.0% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 1,525 | 22,646 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 466 | 16,259 | |||||||||
Vitamins & Nutrition Products — 0.1% | |||||||||||
Herbalife Nutrition, Ltd.† | 200 | 10,910 | |||||||||
USANA Health Sciences, Inc.† | 125 | 15,069 | |||||||||
25,979 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 1,025 | 62,669 | |||||||||
Web Hosting/Design — 0.4% | |||||||||||
Endurance International Group Holdings, Inc.† | 1,350 | 11,880 | |||||||||
GoDaddy, Inc., Class A† | 1,985 | 165,529 | |||||||||
NIC, Inc. | 1,400 | 20,720 | |||||||||
198,129 | |||||||||||
Web Portals/ISP — 3.6% | |||||||||||
Alphabet, Inc., Class C† | 1,610 | 1,921,487 | |||||||||
Wireless Equipment — 0.2% | |||||||||||
InterDigital, Inc. | 1,050 | 84,000 | |||||||||
Total Common Stocks (cost $28,849,410) | 38,966,128 |
14
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5% | |||||||||||
Diversified Banking Institutions — 0.5% | |||||||||||
Societe Generale SA 8.25% due 11/29/2018(2) | $ | 270,000 | $ | 271,701 | |||||||
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 $290,653) | 271,702 | ||||||||||
ASSET BACKED SECURITIES — 8.9% | |||||||||||
Diversified Financial Services — 8.9% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.39% (1 ML+0.17%) due 01/25/2037(3) | 7,656 | 7,464 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 726 | 726 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 3.85% (3 ML+1.51%) due 01/15/2029*(8) | 250,915 | 251,302 | |||||||||
Apidos CLO XXI FRS Series 2015-21A, Class A1R 3.26% (3 ML+0.93%) due 07/18/2027*(8) | 250,000 | 249,634 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.79% (1 ML+1.58%) due 10/25/2034(9) | 2,055 | 2,067 | |||||||||
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class AR 3.26% (3 ML+1.05%) due 08/05/2027*(8) | 265,000 | 264,739 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.53% due 09/15/2060(4)(5)(6) | 1,000,000 | 38,685 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5) | 81,972 | 81,215 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5) | 78,891 | 78,195 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(7) | 24,398 | 24,281 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(7) | 28,258 | 28,125 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(5) | 78,044 | 77,245 |
Security Description | Principal Amount(14) | 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) | $ | 74,797 | $ | 74,947 | |||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(3)(5) | 25,585 | 23,921 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(4)(5)(6) | 99,821 | 3,821 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(4)(5)(6) | 124,929 | 4,805 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 2,042 | 2,016 | |||||||||
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048(4) | 39,000 | 39,070 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 5,568 | 5,530 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(5) | 78,693 | 77,709 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4) | 39,000 | 39,101 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(4) | 20,000 | 20,295 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(3) | 15,837 | 15,473 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(9) | 54,726 | 54,441 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(5) | 54,050 | 53,681 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(4) | 35,000 | 34,185 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(4) | 45,267 | 45,062 | |||||||||
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(4) | 43,000 | 43,448 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4) | 100,000 | 103,620 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3) | 7,809 | 6,876 |
15
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.81% due 06/15/2057(4)(5)(6) | $ | 321,889 | $ | 12,674 | |||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(4) | 40,000 | 40,155 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(9) | 49,875 | 49,561 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(3)(5) | 23,709 | 23,760 | |||||||||
GS Mtg. Securities Trust Series 2016-CS3, Class A4 2.85% due 10/10/2049(4) | 44,000 | 41,320 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4) | 46,000 | 46,021 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(4) | 40,000 | 40,851 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.32% (1 ML+0.10%) due 03/25/2037(9) | 54,904 | 27,809 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.75% due 01/25/2036(3)(5) | 10,775 | 10,709 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(3)(5) | 5,305 | 4,834 | |||||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 1,731 | 1,731 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.76% (1 ML+0.54%) due 05/25/2035(3) | 13,681 | 13,602 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(4) | 39,000 | 38,838 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4) | 25,000 | 25,235 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(4) | 60,000 | 61,217 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(7) | 96,536 | 96,270 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(8) | $ | 250,000 | $ | 249,972 | |||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 3.34% (3 ML+1.00%) due 07/25/2026*(8) | 270,000 | 269,920 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(3)(5) | 6,647 | 6,809 | |||||||||
MFRA Trust VRS Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(5)(7) | 85,973 | 85,080 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(5) | 80,894 | 79,009 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.10% due 12/15/2047(4)(5)(6) | 96,530 | 3,829 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4) | 42,000 | 41,074 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3) | 9,239 | 7,357 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.50% (1 ML+0.28%) due 10/25/2035(3) | 29,419 | 29,089 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(3) | 71,360 | 73,177 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(5) | 67,664 | 67,855 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(5) | 74,385 | 74,701 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(5) | 70,913 | 71,247 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(5) | 80,531 | 80,776 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.32% due 06/25/2036(3)(5) | 29,016 | 25,681 |
16
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | 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) | $ | 7,343 | $ | 7,054 | |||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 100,000 | 99,060 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 83,371 | 82,923 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 100,000 | 98,288 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 45,177 | 45,415 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(9) | 9,322 | 5,846 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(7)(9) | 60,549 | 30,201 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(3) | 929 | 894 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.35% (1 ML+0.13%) due 05/25/2037(9) | 25,441 | 19,380 | |||||||||
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 3.71% due 02/20/2047(3)(5) | 23,089 | 21,480 | |||||||||
Shackleton CLO, Ltd. FRS Series 2015-8A, Class A1R 3.27% (3 ML+0.92%) due 10/20/2027*(8) | 270,000 | 269,232 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(9) | 50,000 | 46,453 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5) | 68,610 | 67,174 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5) | 80,443 | 78,181 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(8) | 265,000 | 264,961 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(4) | 30,000 | 30,283 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(3)(5) | $ | 17,762 | $ | 18,008 | |||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(3)(5) | 13,129 | 13,420 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(3)(5) | 760 | 770 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(5) | 7,999 | 7,965 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 30,000 | 29,787 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(4) | 35,000 | 35,655 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(4) | 36,000 | 36,895 | |||||||||
Total Asset Backed Securities (cost $4,788,138) | 4,761,167 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 6.4% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 26,000 | 24,753 | |||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 25,000 | 24,889 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 10,000 | 9,952 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,028 | |||||||||
39,869 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 5,000 | 4,425 | |||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 5,000 | 4,938 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 10,000 | 9,822 | |||||||||
14,760 |
17
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | $ | 15,000 | $ | 14,347 | |||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 10,000 | 9,783 | |||||||||
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023 | 10,000 | 9,928 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 5,000 | 4,957 | |||||||||
39,015 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 5,000 | 4,453 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 15,000 | 14,002 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 10,000 | 9,933 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 10,000 | 10,824 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 15,000 | 14,588 | |||||||||
53,800 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 15,000 | 14,816 | |||||||||
Banks-Super Regional — 0.2% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 10,000 | 9,280 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 55,000 | 53,681 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 30,000 | 28,784 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 20,000 | 18,840 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 10,000 | 10,131 | |||||||||
120,716 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | $ | 15,000 | $ | 14,337 | |||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 5,000 | 4,821 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 15,000 | 14,035 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 12,000 | 12,293 | |||||||||
45,486 | |||||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 15,000 | 14,575 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 10,000 | 9,896 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 15,000 | 12,993 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 15,000 | 14,560 | |||||||||
52,024 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020* | 17,000 | 16,827 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 7,000 | 6,865 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 8,000 | 7,806 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 10,000 | 10,264 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 7,000 | 7,464 | |||||||||
49,226 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 20,000 | 20,450 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 12,000 | 11,790 |
18
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | $ | 2,000 | $ | 2,005 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 20,000 | 20,335 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 5,000 | 5,077 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 15,000 | 15,009 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 32,000 | 34,399 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 15,000 | 13,302 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 5,000 | 4,902 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 25,000 | 23,659 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 8,000 | 7,260 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 10,000 | 8,962 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 20,000 | 17,068 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 10,000 | 10,096 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 15,000 | 15,310 | |||||||||
177,384 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 5,000 | 5,188 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 15,000 | 15,562 | |||||||||
20,750 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | $ | 5,000 | $ | 5,044 | |||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 5,000 | 4,802 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 15,000 | 14,275 | |||||||||
19,077 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 5,000 | 4,921 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 35,000 | 34,933 | |||||||||
39,854 | |||||||||||
Computers — 0.0% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 10,000 | 8,972 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,138 | |||||||||
14,110 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 25,000 | 24,177 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 5,000 | 5,010 | |||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 12,000 | 12,075 | |||||||||
17,085 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 4,848 | |||||||||
Diversified Banking Institutions — 1.2% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 55,000 | 54,297 | |||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | 15,000 | 14,731 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 35,000 | 33,659 |
19
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | 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 | $ | 28,877 | |||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 5,000 | 4,880 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 40,000 | 40,226 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 10,000 | 9,616 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 15,000 | 14,001 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024 | 30,000 | 30,239 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 10,000 | 9,403 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 15,000 | 14,722 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 6,000 | 6,055 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 25,000 | 26,633 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 19,000 | 18,806 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 15,000 | 14,628 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 25,000 | 24,155 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 5,000 | 4,759 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 15,000 | 14,309 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 15,000 | 13,904 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 10,000 | 9,854 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | $ | 5,000 | $ | 5,103 | |||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 15,000 | 18,029 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 8,000 | 9,624 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 25,000 | 24,225 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 34,000 | 33,699 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 15,000 | 14,208 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023 | 10,000 | 10,199 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 15,000 | 14,979 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 25,000 | 24,308 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 35,000 | 33,208 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 20,000 | 19,205 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 20,000 | 19,692 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 10,000 | 9,598 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 5,000 | 4,961 | |||||||||
628,792 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 10,000 | 9,883 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 5,000 | 4,824 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 15,000 | 14,686 | |||||||||
19,510 |
20
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | $ | 10,000 | $ | 9,875 | |||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 4,872 | |||||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026* | 15,000 | 15,169 | |||||||||
20,041 | |||||||||||
Electric-Integrated — 0.4% | |||||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 4,000 | 4,035 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 10,000 | 9,468 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 10,000 | 9,842 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 15,000 | 13,035 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 5,000 | 4,476 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 5,000 | 4,566 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 15,000 | 14,868 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 5,000 | 5,078 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 35,000 | 34,124 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 9,699 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026 | 25,000 | 22,769 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024 | 10,000 | 9,543 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 25,000 | 28,416 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021 | 5,000 | 5,002 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | $ | 5,000 | $ | 4,980 | |||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 15,000 | 13,749 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025 | 5,000 | 4,967 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 5,000 | 4,803 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 10,000 | 9,327 | |||||||||
212,747 | |||||||||||
Electronic Components-Semiconductors — 0.2% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 30,000 | 29,648 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 5,000 | 4,645 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 35,000 | 34,006 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 7,000 | 6,920 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 10,000 | 9,938 | |||||||||
85,157 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 10,000 | 9,689 | |||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 15,000 | 14,689 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 5,000 | 4,748 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 15,000 | 15,900 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 15,000 | 14,764 |
21
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.00% due 04/04/2016†(9) | $ | 7,000 | $ | 196 | |||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1)(9) | 7,000 | 1 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1)(9) | 10,000 | 1 | |||||||||
198 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 45,000 | 43,786 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 10,000 | 8,832 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 15,000 | 14,975 | |||||||||
23,807 | |||||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 15,000 | 14,648 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 12,000 | 11,910 | |||||||||
Insurance Brokers — 0.0% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 5,000 | 4,864 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 5,000 | 4,859 | |||||||||
9,723 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 14,000 | 14,315 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 10,000 | 9,858 | |||||||||
24,173 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021 | 90,000 | 90,173 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Insurance-Multi-line (continued) | |||||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | $ | 5,000 | $ | 4,325 | |||||||
94,498 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 2,000 | 3,071 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 7,000 | 7,210 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 5,000 | 5,019 | |||||||||
Medical Information Systems — 0.0% | |||||||||||
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 12,000 | 12,060 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 15,000 | 14,820 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 30,000 | 28,985 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 15,000 | 14,344 | |||||||||
43,329 | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 15,000 | 14,568 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 5,000 | 4,705 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 5,000 | 4,975 | |||||||||
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047 | 25,000 | 23,685 | |||||||||
47,933 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 20,000 | 19,971 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028* | 5,000 | 4,861 |
22
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Generic Drugs (continued) | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | $ | 5,000 | $ | 4,620 | |||||||
9,481 | |||||||||||
Medical-HMO — 0.2% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 5,000 | 4,791 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 10,000 | 9,500 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 15,548 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025* | 10,000 | 9,972 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028* | 55,000 | 54,840 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 10,000 | 10,020 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 10,000 | 10,048 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048 | 5,000 | 5,018 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 5,000 | 5,351 | |||||||||
125,088 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 5,000 | 4,863 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 7,000 | 6,648 | |||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 55,000 | 54,657 | |||||||||
66,168 | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 10,000 | 9,568 | |||||||||
Multimedia — 0.2% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 15,000 | 18,480 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 35,000 | 35,238 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Multimedia (continued) | |||||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | $ | 5,000 | $ | 4,364 | |||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 20,000 | 19,131 | |||||||||
77,213 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 15,000 | 14,625 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 15,000 | 13,721 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 5,000 | 4,580 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | 10,000 | 10,264 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,088 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 4,000 | 4,058 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 10,000 | 9,697 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 5,000 | 5,630 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 5,000 | 4,888 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 12,000 | 12,045 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 7,000 | 7,210 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 7,000 | 7,035 | |||||||||
70,495 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 5,000 | 4,755 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 10,000 | 9,863 |
23
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Refining & Marketing (continued) | |||||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | $ | 12,000 | $ | 11,407 | |||||||
26,025 | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 99,000 | 98,081 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 15,000 | 15,002 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 8,869 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 20,000 | 19,947 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 10,000 | 10,228 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 5,000 | 5,140 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033* | 3,905 | 4,145 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034* | 7,371 | 7,899 | |||||||||
169,311 | |||||||||||
Pipelines — 0.2% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 15,000 | 14,656 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 5,000 | 4,875 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 5,000 | 5,040 | |||||||||
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 5,000 | 5,074 | |||||||||
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 10,000 | 10,276 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 5,000 | 4,809 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 5,000 | 4,660 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,010 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | $ | 5,000 | $ | 4,850 | |||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 15,000 | 14,379 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 5,000 | 4,723 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 5,000 | 4,886 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 15,000 | 14,734 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 15,000 | 14,389 | |||||||||
Williams Cos., Inc. Senior Notes 4.30% due 03/04/2024 | 5,000 | 5,044 | |||||||||
117,405 | |||||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 5,000 | 5,014 | |||||||||
Real Estate Investment Trusts — 0.1% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 10,000 | 9,637 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 5,000 | 4,751 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 25,000 | 24,637 | |||||||||
39,025 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 5,000 | 5,100 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 10,000 | 9,888 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.88% due 09/15/2026 | 5,000 | 5,131 | |||||||||
20,119 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 8,000 | 6,914 |
24
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | $ | 35,000 | $ | 35,152 | |||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 10,000 | 9,915 | |||||||||
Starbucks Corp. Senior Notes 3.80% due 08/15/2025 | 10,000 | 9,934 | |||||||||
Starbucks Corp. Senior Notes 4.00% due 11/15/2028 | 5,000 | 4,986 | |||||||||
24,835 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 5,000 | 4,763 | |||||||||
Telephone-Integrated — 0.3% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 20,000 | 19,417 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 5,000 | 4,935 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 15,000 | 14,425 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 2,000 | 1,723 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 15,000 | 13,705 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 5,000 | 4,983 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 22,000 | 20,966 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 20,000 | 19,835 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 15,000 | 14,265 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 10,000 | 10,081 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 10,000 | 10,033 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 10,000 | 10,662 | |||||||||
145,030 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Tobacco — 0.3% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | $ | 40,000 | $ | 39,118 | |||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 15,000 | 13,120 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 80,000 | 78,397 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024* | 10,000 | 9,531 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 20,000 | 18,607 | |||||||||
158,773 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 20,000 | 18,954 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 25,000 | 25,426 | |||||||||
44,380 | |||||||||||
Transport-Services — 0.0% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 5,000 | 4,537 | |||||||||
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045 | 5,000 | 4,563 | |||||||||
9,100 | |||||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021* | 10,000 | 10,009 | |||||||||
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023* | 10,000 | 10,041 | |||||||||
20,050 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $3,512,466) | 3,447,665 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.7% | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 30,000 | 29,400 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 25,000 | 24,631 |
25
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | $ | 5,000 | $ | 4,493 | |||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 10,000 | 9,776 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 5,000 | 4,816 | |||||||||
14,592 | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021 | 50,000 | 51,961 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 5,000 | 4,776 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 15,000 | 14,962 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 12,000 | 12,480 | |||||||||
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021 | 5,000 | 4,992 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 20,000 | 19,318 | |||||||||
36,790 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 5,000 | 4,967 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 5,000 | 4,925 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 10,000 | 10,007 | |||||||||
Mylan NV Company Guar. Notes 3.95% due 06/15/2026 | 5,000 | 4,730 | |||||||||
24,629 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 30,000 | 32,877 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | $ | 20,000 | $ | 19,477 | |||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 10,000 | 10,043 | |||||||||
29,520 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 11,000 | 10,496 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022*(9) | ARS | 546,996 | 6,889 | ||||||||
17,385 | |||||||||||
Pipelines — 0.0% | |||||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 5,000 | 5,091 | |||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 15,000 | 16,297 | |||||||||
Telephone-Integrated — 0.0% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 10,000 | 12,064 | |||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 8,000 | 8,220 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 10,000 | 11,538 | |||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 7,000 | 6,737 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 5,000 | 5,388 | |||||||||
12,125 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $384,005) | 351,351 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.2% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 5,000 | 4,731 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 10,000 | 9,912 |
26
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | $ | 15,000 | $ | 19,067 | |||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 5,000 | 5,342 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 30,000 | 32,629 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 15,000 | 21,894 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 20,000 | 20,230 | |||||||||
Total Municipal Bonds & Notes (cost $115,539) | 113,805 | ||||||||||
U.S. GOVERNMENT AGENCIES — 10.3% | |||||||||||
Federal Home Loan Mtg. Corp. — 2.4% | |||||||||||
2.50% due 01/01/2028 | 3,110 | 3,022 | |||||||||
2.50% due 04/01/2028 | 8,966 | 8,710 | |||||||||
3.00% due October TBA | 400,000 | 382,713 | |||||||||
3.50% due 03/01/2042 | 2,967 | 2,943 | |||||||||
3.50% due 09/01/2043 | 25,618 | 25,411 | |||||||||
3.50% due 08/01/2048 | 134,999 | 132,956 | |||||||||
3.50% due October TBA | 65,000 | 63,974 | |||||||||
4.00% due 09/01/2040 | 4,141 | 4,196 | |||||||||
4.00% due October TBA | 500,000 | 504,901 | |||||||||
4.50% due 01/01/2039 | 537 | 557 | |||||||||
5.00% due 07/01/2021 | 6,259 | 6,293 | |||||||||
5.50% due 07/01/2034 | 3,340 | 3,613 | |||||||||
6.50% due 05/01/2029 | 512 | 567 | |||||||||
7.50% due 08/01/2023 | 37 | 37 | |||||||||
7.50% due 04/01/2028 | 512 | 573 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037 | 767 | 790 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(4)(5) | 20,000 | 19,950 | |||||||||
Series 2012-K706, Class B 4.17% due 11/25/2044*(4)(5) 20,000 19,971 Series 2010-K8, Class B 5.44% due 09/25/2043*(4)(5) | 25,000 | 25,731 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.74% due 03/25/2027(4)(5)(6) | 124,404 | 5,419 |
Security Description | Principal Amount(14) | 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(4) | $ | 40,000 | $ | 39,038 | |||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043* | 9,855 | 9,970 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 2.88% (1 ML+0.75%) due 09/25/2048*(3) | 25,000 | 25,049 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3) 650 622 Series 3883, Class PB 3.00% due 05/15/2041(3) 7,884 7,736 Series 1577, Class PK 6.50% due 09/15/2023(3) | 882 | 919 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(3) | 163 | 172 | |||||||||
1,295,833 | |||||||||||
Federal National Mtg. Assoc. — 5.6% | |||||||||||
2.50% due 02/01/2043 | 68,141 | 63,393 | |||||||||
2.64% due 03/01/2027 | 23,347 | 22,183 | |||||||||
2.78% due 03/01/2027 | 20,826 | 19,939 | |||||||||
2.88% due 11/01/2027 | 80,000 | 75,778 | |||||||||
2.97% due 06/01/2027 | 34,235 | 33,052 | |||||||||
2.97% due 06/01/2030 | 40,000 | 36,980 | |||||||||
3.00% due 07/01/2027 | 55,000 | 52,649 | |||||||||
3.00% due 01/01/2028 | 6,164 | 6,125 | |||||||||
3.13% due 02/01/2027 | 45,000 | 43,857 | |||||||||
3.16% due 08/01/2027 | 75,000 | 72,724 | |||||||||
3.50% due 08/01/2026 | 7,992 | 8,037 | |||||||||
3.50% due 09/01/2026 | 7,681 | 7,724 | |||||||||
3.50% due 10/01/2028 | 10,526 | 10,623 | |||||||||
3.50% due 11/01/2047 | 199,017 | 195,958 | |||||||||
3.50% due 03/01/2048 | 98,309 | 96,798 | |||||||||
3.50% due October TBA | 1,470,000 | 1,446,523 | |||||||||
4.00% due 11/01/2025 | 1,394 | 1,427 | |||||||||
4.00% due 09/01/2040 | 3,822 | 3,889 | |||||||||
4.00% due 11/01/2040 | 1,366 | 1,390 | |||||||||
4.00% due 12/01/2040 | 17,821 | 18,131 | |||||||||
4.00% due 10/01/2041 | 5,709 | 5,808 | |||||||||
4.00% due 11/01/2041 | 6,070 | 6,178 | |||||||||
4.00% due 01/01/2042 | 5,651 | 5,749 | |||||||||
4.00% due 12/01/2043 | 16,006 | 16,330 | |||||||||
4.00% due October TBA | 190,000 | 191,855 | |||||||||
4.50% due 11/01/2022 | 2,750 | 2,799 | |||||||||
4.50% due 01/01/2039 | 1,521 | 1,584 | |||||||||
4.50% due 06/01/2039 | 18,061 | 18,711 | |||||||||
4.50% due 09/01/2039 | 3,262 | 3,397 |
27
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.50% due 09/01/2040 | $ | 6,446 | $ | 6,708 | |||||||
4.50% due 05/01/2041 | 3,131 | 3,257 | |||||||||
5.00% due 06/01/2019 | 64 | 66 | |||||||||
5.00% due 05/01/2035 | 567 | 602 | |||||||||
5.00% due 06/01/2040 | 23,949 | 25,443 | |||||||||
5.00% due 07/01/2040 | 5,523 | 5,876 | |||||||||
5.00% due October TBA | 100,000 | 104,969 | |||||||||
5.50% due 11/01/2020 | 1,058 | 1,070 | |||||||||
5.50% due 04/01/2021 | 20,274 | 20,570 | |||||||||
5.50% due 12/01/2029 | 932 | 994 | |||||||||
5.50% due 06/01/2035 | 57,889 | 62,542 | |||||||||
5.50% due 08/01/2037 | 9,338 | 10,068 | |||||||||
5.50% due 06/01/2038 | 4,622 | 4,989 | |||||||||
6.00% due 12/01/2033 | 4,279 | 4,711 | |||||||||
6.00% due 05/01/2034 | 315 | 346 | |||||||||
6.00% due 06/01/2040 | 112 | 124 | |||||||||
6.50% due 10/01/2037 | 140 | 153 | |||||||||
7.00% due 06/01/2037 | 4,159 | 4,658 | |||||||||
Federal National Mtg. Assoc. FRS 3.90% (12 ML + 1.57%) due 05/01/2037 1,221 1,271 4.55% (12 ML + 1.82%) due 10/01/2040 | 1,317 | 1,374 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(3) 10,000 10,917 Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(3) | 20,143 | 22,533 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3) | 5,725 | 5,481 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(3) | 6,821 | 6,391 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(3) | 13,624 | 12,799 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(3) | 14,274 | 13,677 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(3) | 11,628 | 11,145 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(3) | 18,402 | 17,975 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(3) | 16,288 | 15,876 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(3) | 18,843 | 18,365 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(3) | 17,936 | 17,484 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(3) | 8,609 | 8,620 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(3) | 19,300 | 19,312 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(3) | $ | 21,000 | $ | 20,820 | |||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(3) | 15,767 | 15,699 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(3) | 22,175 | 22,085 | |||||||||
2,968,561 | |||||||||||
Government National Mtg. Assoc. — 2.3% | |||||||||||
3.00% due October TBA | 200,000 | 193,687 | |||||||||
3.50% due October TBA | 500,000 | 497,168 | |||||||||
4.00% due 09/15/2041 | 146,217 | 148,954 | |||||||||
4.00% due October TBA | 100,000 | 101,699 | |||||||||
4.50% due 06/15/2041 | 52,936 | 55,225 | |||||||||
4.50% due October TBA | 200,000 | 206,681 | |||||||||
6.00% due 11/15/2031 | 17,084 | 18,458 | |||||||||
7.00% due 05/15/2033 | 5,169 | 5,807 | |||||||||
9.00% due 11/15/2021 | 51 | 53 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(3) | 21,061 | 20,112 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(3) | 103 | 113 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(3) | 1,532 | 1,702 | |||||||||
1,249,659 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 6,000 | 5,999 | |||||||||
Total U.S. Government Agencies (cost $5,575,355) | 5,520,052 | ||||||||||
U.S. GOVERNMENT TREASURIES — 4.2% | |||||||||||
United States Treasury Bonds — 1.1% | |||||||||||
2.88% due 08/15/2045(10)(12) | 156,000 | 146,896 | |||||||||
2.88% due 11/15/2046 | 93,000 | 87,463 | |||||||||
3.00% due 05/15/2045 | 16,000 | 15,439 | |||||||||
3.00% due 11/15/2045 | 101,000 | 97,406 | |||||||||
3.00% due 02/15/2047 | 50,000 | 48,185 | |||||||||
3.00% due 02/15/2048 | 90,000 | 86,614 | |||||||||
3.63% due 08/15/2043 | 65,000 | 69,751 | |||||||||
3.75% due 11/15/2043 | 55,000 | 60,223 | |||||||||
611,977 | |||||||||||
United States Treasury Notes — 3.1% | |||||||||||
0.38% due 07/15/2027(11)TIPS | 381,174 | 364,140 | |||||||||
1.13% due 09/30/2021 | 147,000 | 139,604 | |||||||||
1.25% due 10/31/2021 | 621,000 | 591,090 | |||||||||
1.88% due 03/31/2022 | 204,000 | 197,004 | |||||||||
2.00% due 02/15/2025 | 20,000 | 18,836 | |||||||||
2.88% due 05/31/2025 | 240,000 | 238,013 | |||||||||
2.88% due 05/15/2028 | 85,000 | 83,718 | |||||||||
1,632,405 | |||||||||||
Total U.S. Government Treasuries (cost $2,316,757) | 2,244,382 |
28
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% | |||||||||||
Sovereign — 0.5% | |||||||||||
Abu Dhabi Government Senior Notes 3.13% due 10/11/2027* | $ | 200,000 | $ | 189,000 | |||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 56,000 | 63,144 | |||||||||
Total Foreign Government Obligations (cost $263,680) | 252,144 | ||||||||||
Total Long-Term Investment Securities (cost $46,096,003) | 55,928,396 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.9% | |||||||||||
Foreign Government Obligations — 0.5% | |||||||||||
Government of Egypt Bills 16.77% due 03/05/2019 | EGP | 100,000 | 5,155 | ||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 300,000 | 16,638 | ||||||||
Government of Japan Bills (0.16)% due 08/13/2018 | JPY | 31,300,000 | 275,521 | ||||||||
297,314 | |||||||||||
U.S. Government Agencies — 0.4% | |||||||||||
Federal Home Loan Bank 1.88% due 10/01/2018 | 200,000 | 200,000 | |||||||||
Total Short-Term Investment Securities (cost $504,683) | 497,314 | ||||||||||
REPURCHASE AGREEMENTS — 0.7% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | 70,000 | 70,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 20,000 | 20,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 150,000 | 150,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 25,000 | 25,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | 115,000 | 115,000 | |||||||||
Total Repurchase Agreements (cost $380,000) | 380,000 | ||||||||||
TOTAL INVESTMENTS (cost $46,980,686)(16) | 106.1 | % | 56,805,710 | ||||||||
Liabilities in excess of other assets | (6.1 | ) | (3,285,026 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 53,520,684 |
† 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 September 30, 2018, the aggregate value of these securities was $4,492,315 representing 8.4% 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) Commercial Mortgage Backed Security
(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) Interest Only
(7) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2018.
(8) Collateralized Loan Obligation
(9) Illiquid security. At September 30, 2018, the aggregate value of these securities was $244,527 representing 0.5% of net assets.
(10) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(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 swap contracts.
(13) 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 September 30, 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 | 2 | $ | 0 | $ | 1,681 | $ | 840.19 | 0.00 | % |
(14) Denominated in United States dollars unless otherwise indicated.
(15) See Note 2 for details of Joint Repurchase Agreements.
(16) 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.
29
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (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 September 30, 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 | Canada 10 Year Bonds | December 2018 | $ | 205,512 | $ | 205,350 | $ | (162 | ) | |||||||||||||||||
1 | Long | Long Gilt Future | December 2018 | 157,288 | 157,633 | 345 | |||||||||||||||||||||
2 | Long | U.S. Treasury Long Bonds | December 2018 | 288,749 | 281,000 | (7,749 | ) | ||||||||||||||||||||
3 | Short | U.S. Treasury 10 Year Notes | December 2018 | 360,117 | 356,344 | 3,773 | |||||||||||||||||||||
12 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2018 | 1,532,798 | 1,512,000 | 20,798 | |||||||||||||||||||||
3 | Long | E-Mini Russell 2000 Index | December 2018 | 259,326 | 255,120 | (4,206 | ) | ||||||||||||||||||||
2 | Long | U.S. Treasury 2 Year Notes | December 2018 | 421,361 | 421,469 | 108 | |||||||||||||||||||||
10 | Long | U.S. Treasury 5 Year Notes | December 2018 | 1,132,813 | 1,124,766 | (8,047 | ) | ||||||||||||||||||||
2 | Long | U.S. Treasury Ultra Bonds | December 2018 | 313,525 | 308,563 | (4,962 | ) | ||||||||||||||||||||
$ | (102 | ) |
* 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 | ||||||||||||||||||
JPMorgan Chase Bank | JPY | 31,300,000 | USD | 284,525 | 11/13/2018 | $ | 8,209 | $ | — | ||||||||||||||
Net Unrealized Appreciation(Depreciation) | $ | 8,209 | $ | — |
JPY — Japanese Yen
USD — United States Dollar
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 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | 6,251 | |||||||||||||||
USD | 130 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (2,843 | ) | 12,563 | ||||||||||||||||
$ | (2,843 | ) | $ | 18,814 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
30
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 58,826 | $ | — | $ | 1,681 | $ | 60,507 | |||||||||||
Other Industries | 38,905,621 | — | — | 38,905,621 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Diversified Banking Institutions | — | 271,701 | — | 271,701 | |||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Asset Backed Securities | — | 4,761,167 | — | 4,761,167 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 196 | 2 | 198 | |||||||||||||||
Other Industries | — | 3,447,467 | — | 3,447,467 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 351,351 | — | 351,351 | |||||||||||||||
Municipal Bond & Notes | — | 113,805 | — | 113,805 | |||||||||||||||
U.S. Government Agencies | — | 5,520,052 | — | 5,520,052 | |||||||||||||||
U.S. Government Treasuries | — | 2,244,382 | — | 2,244,382 | |||||||||||||||
Foreign Government Obligations | — | 252,144 | — | 252,144 | |||||||||||||||
Short-Term Investment Securities | — | 497,314 | — | 497,314 | |||||||||||||||
Repurchase Agreements | — | 380,000 | — | 380,000 | |||||||||||||||
Total Investments at Value | $ | 38,964,447 | $ | 17,839,579 | $ | 1,684 | $ | 56,805,710 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 25,024 | $ | — | $ | — | $ | 25,024 | |||||||||||
Forward Foreign Currency Contracts | — | 8,209 | — | 8,209 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 18,814 | — | 18,814 | |||||||||||||||
Total Other Financial Instruments | $ | 25,024 | $ | 27,023 | $ | — | $ | 52,047 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 25,126 | $ | — | $ | — | $ | 25,126 |
* 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
31
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 13.4 | % | |||||
Federal National Mtg. Assoc. | 8.5 | ||||||
United States Treasury Notes | 6.2 | ||||||
Federal Home Loan Mtg. Corp. | 4.8 | ||||||
Government National Mtg. Assoc. | 3.6 | ||||||
E-Commerce/Products | 3.0 | ||||||
Diversified Banking Institutions | 2.8 | ||||||
Electronic Components-Semiconductors | 2.8 | ||||||
Web Portals/ISP | 2.7 | ||||||
Applications Software | 2.6 | ||||||
Repurchase Agreements | 2.2 | ||||||
Medical-Biomedical/Gene | 2.2 | ||||||
Medical-Drugs | 2.2 | ||||||
Finance-Credit Card | 2.1 | ||||||
Real Estate Investment Trusts | 2.1 | ||||||
Medical-HMO | 2.0 | ||||||
Computers | 1.9 | ||||||
Banks-Commercial | 1.7 | ||||||
Retail-Restaurants | 1.5 | ||||||
Diversified Manufacturing Operations | 1.4 | ||||||
Tobacco | 1.3 | ||||||
Enterprise Software/Service | 1.1 | ||||||
Beverages-Non-alcoholic | 1.0 | ||||||
Consulting Services | 1.0 | ||||||
United States Treasury Bonds | 1.0 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
Foreign Government Obligations | 0.9 | ||||||
Cable/Satellite TV | 0.9 | ||||||
Electronic Forms | 0.8 | ||||||
Electronic Components-Misc. | 0.8 | ||||||
Electric-Integrated | 0.8 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Insurance-Property/Casualty | 0.7 | ||||||
Medical Instruments | 0.7 | ||||||
Commercial Services-Finance | 0.7 | ||||||
E-Commerce/Services | 0.7 | ||||||
Transport-Rail | 0.6 | ||||||
Internet Content-Entertainment | 0.6 | ||||||
Entertainment Software | 0.6 | ||||||
Athletic Footwear | 0.6 | ||||||
Therapeutics | 0.6 | ||||||
Commercial Services | 0.6 | ||||||
Aerospace/Defense | 0.6 | ||||||
Telephone-Integrated | 0.5 | ||||||
Multimedia | 0.5 | ||||||
Sovereign | 0.5 | ||||||
Semiconductor Equipment | 0.5 | ||||||
Pharmacy Services | 0.5 | ||||||
Containers-Metal/Glass | 0.5 | ||||||
Computer Services | 0.5 | ||||||
Coatings/Paint | 0.5 | ||||||
Computer Aided Design | 0.5 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Medical Products | 0.4 | ||||||
Medical-Hospitals | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Building Products-Cement | 0.4 | ||||||
Cosmetics & Toiletries | 0.4 |
Cruise Lines | 0.4 | % | |||||
Diagnostic Equipment | 0.4 | ||||||
Savings & Loans/Thrifts | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Finance-Consumer Loans | 0.4 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Medical Information Systems | 0.3 | ||||||
Banks-Super Regional | 0.3 | ||||||
Municipal Bonds & Notes | 0.3 | ||||||
Insurance-Multi-line | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Airlines | 0.3 | ||||||
Web Hosting/Design | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Industrial Automated/Robotic | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Computer Software | 0.3 | ||||||
Insurance-Life/Health | 0.3 | ||||||
Data Processing/Management | 0.3 | ||||||
U.S. Government Agencies | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Coal | 0.2 | ||||||
Computers-Integrated Systems | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Energy-Alternate Sources | 0.2 | ||||||
Rubber/Plastic Products | 0.2 | ||||||
Brewery | 0.2 | ||||||
Retail-Home Furnishings | 0.2 | ||||||
Footwear & Related Apparel | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Cellular Telecom | 0.2 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Racetracks | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Television | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Water | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Metal-Iron | 0.1 |
32
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
E-Services/Consulting | 0.1 | % | |||||
Electric-Generation | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
B2B/E-Commerce | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Poultry | 0.1 | ||||||
Real Estate Operations & Development | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Music | 0.1 | ||||||
111.9 | % |
* Calculated as a percentage of net assets
33
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 57.8% | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Boeing Co. | 1,142 | $ | 424,710 | ||||||||
Aerospace/Defense-Equipment — 0.6% | |||||||||||
Curtiss-Wright Corp. | 575 | 79,017 | |||||||||
L3 Technologies, Inc. | 2,154 | 457,983 | |||||||||
Moog, Inc., Class A | 275 | 23,642 | |||||||||
560,642 | |||||||||||
Airlines — 0.3% | |||||||||||
United Continental Holdings, Inc.† | 2,559 | 227,905 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 675 | 14,810 | |||||||||
Applications Software — 2.5% | |||||||||||
Microsoft Corp. | 13,140 | 1,502,822 | |||||||||
salesforce.com, Inc.† | 4,285 | 681,443 | |||||||||
2,184,265 | |||||||||||
Athletic Footwear — 0.6% | |||||||||||
NIKE, Inc., Class B | 6,168 | 522,553 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 7,300 | 133,079 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Aptiv PLC | 3,551 | 297,929 | |||||||||
Meritor, Inc.† | 200 | 3,872 | |||||||||
301,801 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 2,175 | 95,482 | |||||||||
B2B/E-Commerce — 0.1% | |||||||||||
ePlus, Inc.† | 750 | 69,525 | |||||||||
Banks-Commercial — 1.4% | |||||||||||
1st Source Corp. | 485 | 25,521 | |||||||||
BancFirst Corp. | 1,375 | 82,431 | |||||||||
BancorpSouth Bank | 1,950 | 63,765 | |||||||||
Banner Corp. | 3,125 | 194,281 | |||||||||
Cadence BanCorp | 125 | 3,265 | |||||||||
Cathay General Bancorp, Class B | 750 | 31,080 | |||||||||
CenterState Bank Corp. | 369 | 10,350 | |||||||||
Central Pacific Financial Corp. | 2,325 | 61,450 | |||||||||
Central Valley Community Bancorp | 175 | 3,782 | |||||||||
Citizens & Northern Corp. | 200 | 5,230 | |||||||||
City Holding Co. | 475 | 36,480 | |||||||||
CVB Financial Corp. | 3,150 | 70,308 | |||||||||
East West Bancorp, Inc. | 18 | 1,087 | |||||||||
FCB Financial Holdings, Inc., Class A† | 2,325 | 110,205 | |||||||||
First Commonwealth Financial Corp. | 3,175 | 51,244 | |||||||||
First Community Bancshares, Inc. | 200 | 6,776 | |||||||||
First Financial Bancorp | 821 | 24,384 | |||||||||
First Hawaiian, Inc. | 675 | 18,333 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
First Interstate BancSystem, Inc., Class A | 475 | $ | 21,280 | ||||||||
Great Western Bancorp, Inc. | 225 | 9,493 | |||||||||
Guaranty Bancorp | 325 | 9,652 | |||||||||
Hope Bancorp, Inc. | 1,558 | 25,193 | |||||||||
Independent Bank Corp./ Massachusetts | 100 | 8,260 | |||||||||
Independent Bank Corp./ Michigan | 900 | 21,285 | |||||||||
OFG Bancorp | 1,775 | 28,666 | |||||||||
PacWest Bancorp | 525 | 25,016 | |||||||||
Sierra Bancorp | 225 | 6,503 | |||||||||
Simmons First National Corp., Class A | 905 | 26,652 | |||||||||
Southside Bancshares, Inc. | 152 | 5,290 | |||||||||
TCF Financial Corp. | 1,950 | 46,429 | |||||||||
Trustmark Corp. | 675 | 22,714 | |||||||||
UMB Financial Corp. | 475 | 33,677 | |||||||||
Union Bankshares Corp. | 384 | 14,796 | |||||||||
Webster Financial Corp. | 450 | 26,532 | |||||||||
West Bancorporation, Inc. | 300 | 7,050 | |||||||||
Westamerica Bancorporation | 1,800 | 108,288 | |||||||||
1,246,748 | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Walker & Dunlop, Inc. | 650 | 34,372 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 180 | 6,777 | |||||||||
Beverages-Non-alcoholic — 1.0% | |||||||||||
Coca-Cola Co. | 14,408 | 665,505 | |||||||||
Monster Beverage Corp.† | 4,377 | 255,092 | |||||||||
920,597 | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery, Inc., Class C† | 4,569 | 135,151 | |||||||||
Hemisphere Media Group, Inc.† | 2,050 | 28,598 | |||||||||
MSG Networks, Inc., Class A† | 1,500 | 38,700 | |||||||||
202,449 | |||||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
EMCOR Group, Inc. | 2,825 | 212,186 | |||||||||
MYR Group, Inc.† | 950 | 31,008 | |||||||||
243,194 | |||||||||||
Building Products-Cement — 0.4% | |||||||||||
Continental Building Products, Inc.† | 4,100 | 153,955 | |||||||||
Vulcan Materials Co. | 1,894 | 210,613 | |||||||||
364,568 | |||||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 900 | 57,690 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
MasTec, Inc.† | 475 | 21,209 |
34
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
Beazer Homes USA, Inc.† | 25 | $ | 262 | ||||||||
Hovnanian Enterprises, Inc., Class A† | 17,625 | 28,200 | |||||||||
KB Home | 8,025 | 191,878 | |||||||||
Taylor Morrison Home Corp., Class A† | 6,775 | 122,221 | |||||||||
TRI Pointe Group, Inc.† | 1,100 | 13,640 | |||||||||
356,201 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Liberty Broadband Corp., Class C† | 3,305 | 278,611 | |||||||||
WideOpenWest, Inc.† | 1,489 | 16,692 | |||||||||
295,303 | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 375 | 16,395 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Minerals Technologies, Inc. | 825 | 55,770 | |||||||||
OMNOVA Solutions, Inc.† | 2,725 | 26,841 | |||||||||
Sensient Technologies Corp. | 300 | 22,953 | |||||||||
105,564 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc.† | 900 | 14,319 | |||||||||
Coal — 0.2% | |||||||||||
Arch Coal, Inc., Class A | 525 | 46,935 | |||||||||
NACCO Industries, Inc., Class A | 475 | 15,556 | |||||||||
Peabody Energy Corp. | 925 | 32,967 | |||||||||
SunCoke Energy, Inc.† | 400 | 4,648 | |||||||||
Warrior Met Coal, Inc. | 3,100 | 83,824 | |||||||||
183,930 | |||||||||||
Coatings/Paint — 0.4% | |||||||||||
Sherwin-Williams Co. | 780 | 355,064 | |||||||||
Commercial Services — 0.6% | |||||||||||
Acacia Research Corp.† | 2,950 | 9,440 | |||||||||
Care.com, Inc.† | 925 | 20,452 | |||||||||
CoStar Group, Inc.† | 671 | 282,384 | |||||||||
Medifast, Inc. | 125 | 27,694 | |||||||||
ServiceMaster Global Holdings, Inc.† | 2,850 | 176,785 | |||||||||
516,755 | |||||||||||
Commercial Services-Finance — 0.6% | |||||||||||
Euronet Worldwide, Inc.† | 225 | 22,549 | |||||||||
Green Dot Corp., Class A† | 400 | 35,528 | |||||||||
MarketAxess Holdings, Inc. | 275 | 49,085 | |||||||||
Travelport Worldwide, Ltd. | 5,625 | 94,894 | |||||||||
Worldpay, Inc., Class A† | 2,859 | 289,531 | |||||||||
491,587 | |||||||||||
Computer Aided Design — 0.5% | |||||||||||
Aspen Technology, Inc.† | 1,775 | 202,190 | |||||||||
Autodesk, Inc.† | 1,253 | 195,606 | |||||||||
397,796 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Data Security — 0.0% | |||||||||||
Carbon Black, Inc.† | 225 | $ | 4,766 | ||||||||
Computer Services — 0.5% | |||||||||||
Amdocs, Ltd. | 3,776 | 249,140 | |||||||||
Science Applications International Corp. | 1,025 | 82,615 | |||||||||
Syntel, Inc.† | 625 | 25,613 | |||||||||
Unisys Corp.† | 2,725 | 55,590 | |||||||||
412,958 | |||||||||||
Computer Software — 0.3% | |||||||||||
Box, Inc., Class A† | 675 | 16,139 | |||||||||
SendGrid, Inc.† | 125 | 4,599 | |||||||||
SS&C Technologies Holdings, Inc. | 3,659 | 207,941 | |||||||||
228,679 | |||||||||||
Computers — 1.9% | |||||||||||
Apple, Inc. | 7,232 | 1,632,552 | |||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
NetScout Systems, Inc.† | 7,200 | 181,800 | |||||||||
Computers-Periphery Equipment — 0.0% | |||||||||||
Electronics For Imaging, Inc.† | 275 | 9,372 | |||||||||
Consulting Services — 1.0% | |||||||||||
Gartner, Inc.† | 3,611 | 572,344 | |||||||||
Huron Consulting Group, Inc.† | 1,875 | 92,625 | |||||||||
Navigant Consulting, Inc. | 1,400 | 32,284 | |||||||||
Verisk Analytics, Inc.† | 1,806 | 217,713 | |||||||||
914,966 | |||||||||||
Containers-Metal/Glass — 0.5% | |||||||||||
Ball Corp. | 9,726 | 427,847 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging Holding Co. | 5,325 | 74,603 | |||||||||
Cosmetics & Toiletries — 0.4% | |||||||||||
Edgewell Personal Care Co.† | 425 | 19,648 | |||||||||
Estee Lauder Cos., Inc., Class A | 2,346 | 340,920 | |||||||||
360,568 | |||||||||||
Cruise Lines — 0.4% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 6,055 | 347,739 | |||||||||
Data Processing/Management — 0.2% | |||||||||||
CSG Systems International, Inc. | 75 | 3,011 | |||||||||
Fair Isaac Corp.† | 750 | 171,412 | |||||||||
174,423 | |||||||||||
Diagnostic Equipment — 0.4% | |||||||||||
Thermo Fisher Scientific, Inc. | 1,385 | 338,051 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,975 | 29,428 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Utah Medical Products, Inc. | 175 | 16,485 |
35
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Distribution/Wholesale — 0.3% | |||||||||||
Essendant, Inc. | 525 | $ | 6,731 | ||||||||
Fastenal Co. | 3,123 | 181,196 | |||||||||
Titan Machinery, Inc.† | 2,850 | 44,132 | |||||||||
232,059 | |||||||||||
Diversified Manufacturing Operations — 1.4% | |||||||||||
A.O. Smith Corp. | 4,541 | 242,353 | |||||||||
Actuant Corp., Class A | 1,900 | 53,010 | |||||||||
Harsco Corp.† | 1,350 | 38,542 | |||||||||
Illinois Tool Works, Inc. | 3,006 | 424,207 | |||||||||
Parker-Hannifin Corp. | 2,599 | 478,034 | |||||||||
1,236,146 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
DexCom, Inc.† | 102 | 14,590 | |||||||||
E-Commerce/Products — 2.9% | |||||||||||
Amazon.com, Inc.† | 1,156 | 2,315,468 | |||||||||
Wayfair, Inc., Class A† | 1,418 | 209,396 | |||||||||
2,524,864 | |||||||||||
E-Commerce/Services — 0.7% | |||||||||||
Booking Holdings, Inc.† | 235 | 466,240 | |||||||||
Liberty Expedia Holdings, Inc., Class A† | 1,775 | 83,496 | |||||||||
Shutterfly, Inc.† | 700 | 46,123 | |||||||||
595,859 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
New Media Investment Group, Inc. | 1,125 | 17,651 | |||||||||
E-Services/Consulting — 0.1% | |||||||||||
Perficient, Inc.† | 3,000 | 79,950 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 325 | 9,155 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 1,325 | 10,931 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Atlantic Power Corp.† | 15,850 | 34,870 | |||||||||
Electric-Integrated — 0.2% | |||||||||||
El Paso Electric Co. | 925 | 52,910 | |||||||||
PNM Resources, Inc. | 675 | 26,629 | |||||||||
Portland General Electric Co. | 1,500 | 68,415 | |||||||||
147,954 | |||||||||||
Electronic Components-Misc. — 0.8% | |||||||||||
Bel Fuse, Inc., Class B | 200 | 5,300 | |||||||||
Benchmark Electronics, Inc. | 2,750 | 64,350 | |||||||||
Flex, Ltd.† | 20,537 | 269,445 | |||||||||
OSI Systems, Inc.† | 1,050 | 80,126 | |||||||||
Sensata Technologies Holding PLC† | 4,631 | 229,466 | |||||||||
Vishay Intertechnology, Inc. | 2,125 | 43,244 | |||||||||
691,931 | |||||||||||
Electronic Components-Semiconductors — 2.5% | |||||||||||
Amkor Technology, Inc.† | 6,100 | 45,079 | |||||||||
Microchip Technology, Inc. | 4,801 | 378,847 | |||||||||
NVIDIA Corp. | 2,663 | 748,356 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Rambus, Inc.† | 15,575 | $ | 169,923 | ||||||||
Synaptics, Inc.† | 1,325 | 60,447 | |||||||||
Texas Instruments, Inc. | 6,457 | 692,772 | |||||||||
Xperi Corp. | 5,625 | 83,531 | |||||||||
2,178,955 | |||||||||||
Electronic Forms — 0.8% | |||||||||||
Adobe Systems, Inc.† | 2,748 | 741,823 | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Stoneridge, Inc.† | 2,950 | 87,674 | |||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Tech Data Corp.† | 975 | 69,781 | |||||||||
Energy-Alternate Sources — 0.2% | |||||||||||
FutureFuel Corp. | 1,725 | 31,981 | |||||||||
Pattern Energy Group, Inc., Class A | 1,250 | 24,838 | |||||||||
Renewable Energy Group, Inc.† | 800 | 23,040 | |||||||||
REX American Resources Corp.† | 950 | 71,772 | |||||||||
151,631 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
VSE Corp. | 800 | 26,504 | |||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Briggs & Stratton Corp. | 2,875 | 55,286 | |||||||||
Enterprise Software/Service — 1.1% | |||||||||||
Domo, Inc., Class B† | 1,875 | 40,219 | |||||||||
Donnelley Financial Solutions, Inc.† | 1,050 | 18,816 | |||||||||
Manhattan Associates, Inc.† | 375 | 20,475 | |||||||||
MicroStrategy, Inc., Class A† | 150 | 21,093 | |||||||||
Progress Software Corp. | 3,775 | 133,220 | |||||||||
SVMK, Inc.† | 1,200 | 19,236 | |||||||||
Tyler Technologies, Inc.† | 1,359 | 333,036 | |||||||||
Ultimate Software Group, Inc.† | 1,284 | 413,692 | |||||||||
999,787 | |||||||||||
Entertainment Software — 0.6% | |||||||||||
Activision Blizzard, Inc. | 6,693 | 556,791 | |||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 75 | 32,855 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Nelnet, Inc., Class A | 650 | 37,161 | |||||||||
Synchrony Financial | 6,430 | 199,844 | |||||||||
237,005 | |||||||||||
Finance-Credit Card — 2.1% | |||||||||||
Mastercard, Inc., Class A | 3,904 | 869,069 | |||||||||
Visa, Inc., Class A | 6,718 | 1,008,305 | |||||||||
1,877,374 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Evercore, Inc., Class A | 300 | 30,165 | |||||||||
Houlihan Lokey, Inc. | 1,275 | 57,286 | |||||||||
TD Ameritrade Holding Corp. | 5,347 | 282,482 | |||||||||
369,933 |
36
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Finance-Other Services — 0.6% | |||||||||||
CME Group, Inc. | 1,182 | $ | 201,188 | ||||||||
Intercontinental Exchange, Inc. | 3,322 | 248,785 | |||||||||
WageWorks, Inc.† | 1,150 | 49,162 | |||||||||
499,135 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 4,600 | 49,174 | |||||||||
MGIC Investment Corp.† | 2,000 | 26,620 | |||||||||
NMI Holdings, Inc., Class A† | 925 | 20,951 | |||||||||
Radian Group, Inc. | 525 | 10,852 | |||||||||
107,597 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 175 | 5,898 | |||||||||
Food-Catering — 0.3% | |||||||||||
Aramark | 6,137 | 264,014 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 2,325 | 16,508 | |||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 6,975 | 134,757 | |||||||||
Post Holdings, Inc.† | 225 | 22,059 | |||||||||
156,816 | |||||||||||
Food-Retail — 0.0% | |||||||||||
Ingles Markets, Inc., Class A | 800 | 27,400 | |||||||||
Footwear & Related Apparel — 0.2% | |||||||||||
Crocs, Inc.† | 2,300 | 48,967 | |||||||||
Deckers Outdoor Corp.† | 275 | 32,609 | |||||||||
Weyco Group, Inc. | 100 | 3,518 | |||||||||
Wolverine World Wide, Inc. | 1,400 | 54,670 | |||||||||
139,764 | |||||||||||
Gambling (Non-Hotel) — 0.2% | |||||||||||
Pinnacle Entertainment, Inc.† | 5,800 | 195,402 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Northwest Natural Holding Co. | 225 | 15,053 | |||||||||
Southwest Gas Holdings, Inc. | 450 | 35,563 | |||||||||
50,616 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,925 | 70,801 | |||||||||
Human Resources — 0.2% | |||||||||||
Barrett Business Services, Inc. | 1,550 | 103,509 | |||||||||
Cross Country Healthcare, Inc.† | 3,600 | 31,428 | |||||||||
TrueBlue, Inc.† | 1,425 | 37,121 | |||||||||
172,058 | |||||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 4,687 | 175,294 | |||||||||
Vistra Energy Corp.† | 858 | 21,347 | |||||||||
196,641 |
Security Description | Shares | Value (Note 2) | |||||||||
Industrial Automated/Robotic — 0.3% | |||||||||||
Cognex Corp. | 4,181 | $ | 233,383 | ||||||||
Industrial Gases — 0.4% | |||||||||||
Air Products & Chemicals, Inc. | 2,220 | 370,851 | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
CNO Financial Group, Inc. | 2,700 | 57,294 | |||||||||
Primerica, Inc. | 775 | 93,426 | |||||||||
150,720 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 275 | 22,124 | |||||||||
Insurance-Property/Casualty — 0.7% | |||||||||||
Ambac Financial Group, Inc.† | 150 | 3,063 | |||||||||
First American Financial Corp. | 500 | 25,795 | |||||||||
Kinsale Capital Group, Inc. | 750 | 47,895 | |||||||||
Navigators Group, Inc. | 750 | 51,825 | |||||||||
ProAssurance Corp. | 550 | 25,823 | |||||||||
Progressive Corp. | 6,283 | 446,344 | |||||||||
Third Point Reinsurance, Ltd.† | 975 | 12,675 | |||||||||
Universal Insurance Holdings, Inc. | 550 | 26,702 | |||||||||
640,122 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 175 | 6,598 | |||||||||
Internet Content-Entertainment — 0.6% | |||||||||||
Facebook, Inc., Class A† | 3,420 | 562,453 | |||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 350 | 37,215 | |||||||||
Zix Corp.† | 3,550 | 19,703 | |||||||||
56,918 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 500 | 6,200 | |||||||||
Stifel Financial Corp. | 225 | 11,534 | |||||||||
Virtus Investment Partners, Inc. | 150 | 17,062 | |||||||||
34,796 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Bloom Energy Corp. Class A† | 100 | 3,408 | |||||||||
Machinery-General Industrial — 0.2% | |||||||||||
Applied Industrial Technologies, Inc. | 675 | 52,819 | |||||||||
DXP Enterprises, Inc.† | 1,175 | 47,082 | |||||||||
Kadant, Inc. | 625 | 67,406 | |||||||||
167,307 | |||||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 725 | 10,839 | |||||||||
Medical Information Systems — 0.3% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 4,450 | 63,413 | |||||||||
athenahealth, Inc.† | 1,517 | 202,671 | |||||||||
266,084 |
37
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Instruments — 0.6% | |||||||||||
AngioDynamics, Inc.† | 2,700 | $ | 58,698 | ||||||||
Boston Scientific Corp.† | 11,565 | 445,252 | |||||||||
NuVasive, Inc.† | 900 | 63,882 | |||||||||
567,832 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Medpace Holdings, Inc.† | 875 | 52,421 | |||||||||
Medical Products — 0.3% | |||||||||||
Integer Holdings Corp.† | 2,300 | 190,785 | |||||||||
Luminex Corp. | 725 | 21,975 | |||||||||
MiMedx Group, Inc.† | 3,625 | 22,402 | |||||||||
Orthofix Medical, Inc.† | 425 | 24,569 | |||||||||
OrthoPediatrics Corp.† | 350 | 12,824 | |||||||||
272,555 | |||||||||||
Medical-Biomedical/Gene — 2.0% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 2,575 | 53,457 | |||||||||
Achillion Pharmaceuticals, Inc.† | 7,925 | 29,164 | |||||||||
Alder Biopharmaceuticals, Inc.† | 2,025 | 33,716 | |||||||||
AMAG Pharmaceuticals, Inc.† | 1,900 | 38,000 | |||||||||
Amicus Therapeutics, Inc.† | 3,250 | 39,292 | |||||||||
AnaptysBio, Inc.† | 1,988 | 198,343 | |||||||||
Aptinyx, Inc.† | 1,275 | 36,924 | |||||||||
Arena Pharmaceuticals, Inc.† | 995 | 45,790 | |||||||||
Arvinas, Inc.† | 50 | 844 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 1,175 | 44,121 | |||||||||
Bluebird Bio, Inc.† | 175 | 25,550 | |||||||||
Celgene Corp.† | 3,872 | 346,505 | |||||||||
CytomX Therapeutics, Inc.† | 1,100 | 20,350 | |||||||||
Forty Seven, Inc.† | 1,900 | 28,348 | |||||||||
Gilead Sciences, Inc. | 492 | 37,987 | |||||||||
Homology Medicines, Inc.† | 1,325 | 30,290 | |||||||||
Insmed, Inc.† | 4,745 | 95,944 | |||||||||
Menlo Therapeutics, Inc.† | 900 | 8,865 | |||||||||
Myriad Genetics, Inc.† | 1,325 | 60,950 | |||||||||
NewLink Genetics Corp.† | 3,850 | 9,202 | |||||||||
Novavax, Inc.† | 16,125 | 30,315 | |||||||||
Puma Biotechnology, Inc.† | 775 | 35,534 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 697 | 281,616 | |||||||||
REGENXBIO, Inc.† | 675 | 50,962 | |||||||||
resTORbio, Inc.† | 650 | 9,841 | |||||||||
Sangamo Therapeutics, Inc.† | 625 | 10,594 | |||||||||
Selecta Biosciences, Inc.† | 2,350 | 36,542 | |||||||||
Solid Biosciences, Inc.† | 1,025 | 48,359 | |||||||||
Spark Therapeutics, Inc.† | 525 | 28,639 | |||||||||
Synlogic, Inc.† | 1,909 | 27,127 | |||||||||
Y-mAbs Therapeutics, Inc.† | 125 | 3,320 | |||||||||
1,746,491 | |||||||||||
Medical-Drugs — 2.0% | |||||||||||
Aimmune Therapeutics, Inc.† | 1,050 | 28,644 | |||||||||
Bristol-Myers Squibb Co. | 6,098 | 378,564 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Clovis Oncology, Inc.† | 1,225 | $ | 35,978 | ||||||||
Eagle Pharmaceuticals, Inc.† | 275 | 19,066 | |||||||||
Eli Lilly & Co. | 4,031 | 432,567 | |||||||||
Global Blood Therapeutics, Inc.† | 2,304 | 87,552 | |||||||||
Gritstone Oncology, Inc.† | 500 | 7,120 | |||||||||
Horizon Pharma PLC† | 2,775 | 54,334 | |||||||||
Lannett Co., Inc.† | 1,050 | 4,988 | |||||||||
Mallinckrodt PLC† | 1,800 | 52,758 | |||||||||
Merck & Co., Inc. | 4,627 | 328,239 | |||||||||
Paratek Pharmaceuticals, Inc.† | 2,600 | 25,220 | |||||||||
Prestige Brands Holdings, Inc.† | 1,700 | 64,413 | |||||||||
Principia Biopharma, Inc.† | 100 | 2,922 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 670 | 54,779 | |||||||||
Seres Therapeutics, Inc.† | 3,300 | 25,047 | |||||||||
Sutro Biopharma, Inc. | 400 | 6,000 | |||||||||
Synergy Pharmaceuticals, Inc.† | 10,550 | 17,935 | |||||||||
TG Therapeutics, Inc.† | 2,300 | 12,880 | |||||||||
Vanda Pharmaceuticals, Inc.† | 2,000 | 45,900 | |||||||||
Voyager Therapeutics, Inc.† | 1,750 | 33,110 | |||||||||
1,718,016 | |||||||||||
Medical-Generic Drugs — 0.3% | |||||||||||
Endo International PLC† | 5,300 | 89,199 | |||||||||
Mylan NV† | 4,135 | 151,341 | |||||||||
240,540 | |||||||||||
Medical-HMO — 1.6% | |||||||||||
Humana, Inc. | 1,583 | 535,877 | |||||||||
Molina Healthcare, Inc.† | 1,275 | 189,592 | |||||||||
Tivity Health, Inc.† | 3,900 | 125,385 | |||||||||
Triple-S Management Corp., Class B† | 1,975 | 37,308 | |||||||||
UnitedHealth Group, Inc. | 1,929 | 513,191 | |||||||||
WellCare Health Plans, Inc.† | 75 | 24,037 | |||||||||
1,425,390 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
Community Health Systems, Inc.† | 2,800 | 9,688 | |||||||||
Quorum Health Corp.† | 5,575 | 32,669 | |||||||||
Surgery Partners, Inc.† | 1,275 | 21,038 | |||||||||
Tenet Healthcare Corp.† | 4,775 | 135,896 | |||||||||
199,291 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Civitas Solutions, Inc.† | 3,100 | 45,725 | |||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. | 1,075 | 17,759 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
LB Foster Co., Class A† | 200 | 4,110 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,525 | 66,124 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Kaiser Aluminum Corp. | 600 | 65,436 |
38
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
FreightCar America, Inc.† | 350 | $ | 5,624 | ||||||||
Hillenbrand, Inc. | 1,750 | 91,525 | |||||||||
97,149 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 2,150 | 25,908 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 1,200 | 18,060 | |||||||||
Multimedia — 0.3% | |||||||||||
Entravision Communications Corp., Class A | 2,150 | 10,535 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 7,318 | 272,156 | |||||||||
282,691 | |||||||||||
Office Furnishings-Original — 0.0% | |||||||||||
Interface, Inc. | 582 | 13,590 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
ACCO Brands Corp. | 11,875 | 134,187 | |||||||||
Oil Companies-Exploration & Production — 0.6% | |||||||||||
Anadarko Petroleum Corp. | 2,537 | 171,019 | |||||||||
Denbury Resources, Inc.† | 9,350 | 57,970 | |||||||||
EP Energy Corp., Class A† | 7,219 | 16,892 | |||||||||
Gulfport Energy Corp.† | 11,425 | 118,934 | |||||||||
PDC Energy, Inc.† | 500 | 24,480 | |||||||||
Sanchez Energy Corp.† | 2,900 | 6,670 | |||||||||
Unit Corp.† | 1,075 | 28,015 | |||||||||
W&T Offshore, Inc.† | 11,550 | 111,342 | |||||||||
535,322 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Natural Gas Services Group, Inc.† | 475 | 10,023 | |||||||||
US Silica Holdings, Inc. | 2,050 | 38,601 | |||||||||
48,624 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Adams Resources & Energy, Inc. | 125 | 5,308 | |||||||||
Delek US Holdings, Inc. | 1,800 | 76,374 | |||||||||
Murphy USA, Inc.† | 575 | 49,139 | |||||||||
130,821 | |||||||||||
Oil-Field Services — 0.2% | |||||||||||
Archrock, Inc. | 2,925 | 35,685 | |||||||||
FTS International, Inc.† | 1,200 | 14,148 | |||||||||
MRC Global, Inc.† | 3,950 | 74,141 | |||||||||
SEACOR Holdings, Inc.† | 275 | 13,588 | |||||||||
137,562 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Domtar Corp. | 350 | 18,259 | |||||||||
Verso Corp., Class A† | 725 | 24,411 | |||||||||
42,670 | |||||||||||
Poultry — 0.1% | |||||||||||
Pilgrim's Pride Corp.† | 1,475 | 26,683 | |||||||||
Sanderson Farms, Inc. | 200 | 20,674 | |||||||||
47,357 |
Security Description | Shares | Value (Note 2) | |||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 2,475 | $ | 139,615 | ||||||||
Powell Industries, Inc. | 775 | 28,101 | |||||||||
167,716 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Deluxe Corp. | 950 | 54,093 | |||||||||
Ennis, Inc. | 2,650 | 54,192 | |||||||||
108,285 | |||||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 7,475 | 52,325 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 7,700 | 77,077 | |||||||||
Tribune Publishing Co.† | 1,675 | 27,353 | |||||||||
104,430 | |||||||||||
Racetracks — 0.1% | |||||||||||
Penn National Gaming, Inc.† | 3,325 | 109,459 | |||||||||
Speedway Motorsports, Inc. | 750 | 13,387 | |||||||||
122,846 | |||||||||||
Real Estate Investment Trusts — 1.8% | |||||||||||
American Assets Trust, Inc. | 850 | 31,696 | |||||||||
American Tower Corp. | 3,060 | 444,618 | |||||||||
Ashford Hospitality Trust, Inc. | 5,625 | 35,944 | |||||||||
Capstead Mtg. Corp. | 10,350 | 81,868 | |||||||||
CBL & Associates Properties, Inc. | 925 | 3,691 | |||||||||
Cherry Hill Mtg. Investment Corp. | 975 | 17,648 | |||||||||
City Office REIT, Inc. | 250 | 3,155 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 484 | 18,189 | |||||||||
CoreSite Realty Corp. | 1,225 | 136,146 | |||||||||
CubeSmart | 600 | 17,118 | |||||||||
DiamondRock Hospitality Co. | 5,150 | 60,100 | |||||||||
Dynex Capital, Inc. | 375 | 2,393 | |||||||||
EastGroup Properties, Inc. | 400 | 38,248 | |||||||||
EPR Properties | 50 | 3,421 | |||||||||
Equity LifeStyle Properties, Inc. | 225 | 21,701 | |||||||||
First Industrial Realty Trust, Inc. | 450 | 14,130 | |||||||||
Franklin Street Properties Corp. | 775 | 6,192 | |||||||||
GEO Group, Inc. | 4,000 | 100,640 | |||||||||
Gladstone Commercial Corp. | 175 | 3,351 | |||||||||
Government Properties Income Trust | 250 | 2,823 | |||||||||
Hersha Hospitality Trust | 2,075 | 47,040 | |||||||||
Highwoods Properties, Inc. | 325 | 15,360 | |||||||||
Hospitality Properties Trust | 925 | 26,677 | |||||||||
InfraREIT, Inc.† | 275 | 5,816 | |||||||||
Invesco Mtg. Capital, Inc. | 1,725 | 27,289 | |||||||||
Invitation Homes, Inc. | 4,308 | 98,696 | |||||||||
LTC Properties, Inc. | 950 | 41,904 | |||||||||
Mack-Cali Realty Corp. | 800 | 17,008 |
39
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
National Retail Properties, Inc. | 125 | $ | 5,603 | ||||||||
Pebblebrook Hotel Trust | 700 | 25,459 | |||||||||
Pennsylvania Real Estate Investment Trust | 475 | 4,494 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 475 | 8,992 | |||||||||
PS Business Parks, Inc. | 225 | 28,595 | |||||||||
Ramco-Gershenson Properties Trust | 1,650 | 22,440 | |||||||||
RLJ Lodging Trust | 500 | 11,015 | |||||||||
Saul Centers, Inc. | 450 | 25,200 | |||||||||
Taubman Centers, Inc. | 300 | 17,949 | |||||||||
Two Harbors Investment Corp. | 4,629 | 69,111 | |||||||||
Xenia Hotels & Resorts, Inc. | 375 | 8,888 | |||||||||
1,550,608 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
Alexander & Baldwin, Inc. | 401 | 9,099 | |||||||||
Cushman & Wakefield PLC† | 2,175 | 36,953 | |||||||||
46,052 | |||||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
American Eagle Outfitters, Inc. | 2,925 | 72,628 | |||||||||
Children's Place, Inc. | 920 | 117,576 | |||||||||
190,204 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 425 | 15,024 | |||||||||
Retail-Automobile — 0.1% | |||||||||||
Asbury Automotive Group, Inc.† | 725 | 49,844 | |||||||||
Retail-Discount — 0.0% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 800 | 21,424 | |||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 1,939 | 176,216 | |||||||||
Retail-Home Furnishings — 0.2% | |||||||||||
RH† | 1,075 | 140,836 | |||||||||
Retail-Jewelry — 0.1% | |||||||||||
Movado Group, Inc. | 1,850 | 77,515 | |||||||||
Signet Jewelers, Ltd. | 125 | 8,241 | |||||||||
85,756 | |||||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Dillard's, Inc., Class A | 500 | 38,170 | |||||||||
Retail-Restaurants — 1.4% | |||||||||||
Bloomin' Brands, Inc. | 8,400 | 166,236 | |||||||||
Brinker International, Inc. | 1,525 | 71,263 | |||||||||
Dunkin' Brands Group, Inc. | 1,886 | 139,036 | |||||||||
McDonald's Corp. | 2,094 | 350,305 | |||||||||
Starbucks Corp. | 8,334 | 473,705 | |||||||||
1,200,545 |
Security Description | Shares | Value (Note 2) | |||||||||
Rubber/Plastic Products — 0.2% | |||||||||||
Myers Industries, Inc. | 275 | $ | 6,394 | ||||||||
Trinseo SA | 1,850 | 144,855 | |||||||||
151,249 | |||||||||||
Savings & Loans/Thrifts — 0.4% | |||||||||||
BankFinancial Corp. | 750 | 11,955 | |||||||||
Beneficial Bancorp, Inc. | 5,792 | 97,885 | |||||||||
Capitol Federal Financial, Inc. | 175 | 2,229 | |||||||||
First Defiance Financial Corp. | 350 | 10,538 | |||||||||
Flushing Financial Corp. | 650 | 15,860 | |||||||||
Investors Bancorp, Inc. | 2,125 | 26,074 | |||||||||
Meridian Bancorp, Inc. | 4,650 | 79,050 | |||||||||
Northfield Bancorp, Inc. | 4,675 | 74,426 | |||||||||
People's United Financial, Inc. | 1,072 | 18,353 | |||||||||
336,370 | |||||||||||
Schools — 0.0% | |||||||||||
K12, Inc.† | 1,475 | 26,108 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
Cirrus Logic, Inc.† | 2,200 | 84,920 | |||||||||
Semiconductor Equipment — 0.5% | |||||||||||
Advanced Energy Industries, Inc.† | 225 | 11,621 | |||||||||
Cohu, Inc. | 325 | 8,158 | |||||||||
Entegris, Inc. | 1,275 | 36,911 | |||||||||
Lam Research Corp. | 2,531 | 383,953 | |||||||||
440,643 | |||||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 425 | 4,590 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Frontier Communications Corp. | 11,525 | 74,797 | |||||||||
Windstream Holdings, Inc.† | 5,445 | 26,681 | |||||||||
101,478 | |||||||||||
Television — 0.1% | |||||||||||
ION Media Networks, Inc.†(1)(2)(3) | 4 | 3,361 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 3,100 | 87,885 | |||||||||
91,246 | |||||||||||
Textile-Apparel — 0.0% | |||||||||||
Perry Ellis International, Inc.† | 575 | 15,715 | |||||||||
Therapeutics — 0.6% | |||||||||||
Flexion Therapeutics, Inc.† | 1,150 | 21,517 | |||||||||
La Jolla Pharmaceutical Co.† | 1,050 | 21,137 | |||||||||
Mersana Therapeutics, Inc.† | 1,250 | 12,500 | |||||||||
Neurocrine Biosciences, Inc.† | 2,794 | 343,522 | |||||||||
Sarepta Therapeutics, Inc.† | 459 | 74,133 | |||||||||
Xencor, Inc.† | 1,250 | 48,712 | |||||||||
521,521 | |||||||||||
Tobacco — 0.8% | |||||||||||
Altria Group, Inc. | 11,231 | 677,342 |
40
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transactional Software — 0.1% | |||||||||||
ACI Worldwide, Inc.† | 775 | $ | 21,809 | ||||||||
Synchronoss Technologies, Inc.† | 6,749 | 44,543 | |||||||||
66,352 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 66 | 526 | |||||||||
Transport-Rail — 0.5% | |||||||||||
CSX Corp. | 5,991 | 443,634 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 900 | 43,695 | |||||||||
Covenant Transportation Group, Inc., Class A† | 275 | 7,992 | |||||||||
Schneider National, Inc., Class B | 450 | 11,241 | |||||||||
YRC Worldwide, Inc.† | 1,125 | 10,102 | |||||||||
73,030 | |||||||||||
Travel Services — 0.0% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 2,275 | 33,784 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 583 | 20,341 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife, Ltd.† | 325 | 17,729 | |||||||||
USANA Health Sciences, Inc.† | 175 | 21,096 | |||||||||
38,825 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 1,525 | 93,238 | |||||||||
Web Hosting/Design — 0.3% | |||||||||||
Endurance International Group Holdings, Inc.† | 2,000 | 17,600 | |||||||||
GoDaddy, Inc., Class A† | 2,465 | 205,556 | |||||||||
NIC, Inc. | 2,075 | 30,710 | |||||||||
253,866 | |||||||||||
Web Portals/ISP — 2.7% | |||||||||||
Alphabet, Inc., Class C† | 1,988 | 2,372,618 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
InterDigital, Inc. | 1,550 | 124,000 | |||||||||
Total Common Stocks (cost $37,912,532) | 50,906,447 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.0% | |||||||||||
Banks-Commercial — 0.2% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(4) | EUR | 200,000 | 229,307 | ||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(4) | 200,000 | 219,994 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(4) | 225,000 | 221,906 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(4) | EUR | 200,000 | 229,308 | ||||||||
671,208 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
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 $888,876) | 900,516 | ||||||||||
ASSET BACKED SECURITIES — 13.4% | |||||||||||
Diversified Financial Services — 13.4% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.39% (1 ML+0.17%) due 01/25/2037(5) | 26,797 | 26,124 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 1,162 | 1,162 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(6) | 250,000 | 249,972 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.34% (3 ML+1.00%) due 07/28/2028*(6) | 250,000 | 249,871 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(5)(7) | 33,080 | 32,504 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(5)(7) | 31,318 | 31,101 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.79% (1 ML+1.58%) due 10/25/2034(3) | 8,221 | 8,266 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.45% (3 ML+1.12%) due 01/18/2025*(6) | 147,480 | 147,405 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(7)(8)(9) | 996,911 | 54,279 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(8) | 95,000 | 92,528 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(7) | 105,743 | 104,767 | |||||||||
Bayview Koitere Fund Trust VRS Series 2018-RN4, Class A1 3.62% due 03/28/2033*(10) | 52,449 | 52,186 |
41
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(7) | $ | 78,891 | $ | 78,195 | |||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(10) | 30,905 | 30,755 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RN8, Class A1 3.35% due 11/28/2032*(10) | 28,258 | 28,125 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(7) | 74,303 | 73,794 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(7) | 75,758 | 75,284 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(7) | 97,555 | 96,557 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2018-RN3, Class A1 3.67% due 03/28/2033*(10) | 31,923 | 31,827 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(7) | 78,536 | 78,694 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.01% (1 ML+0.85%) due 08/15/2036*(8) | 131,000 | 131,000 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(5)(7) | 86,988 | 81,332 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.17% (1 ML+0.95%) due 08/25/2028* | 150,000 | 150,197 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(7)(8)(9) | 186,666 | 7,144 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(7)(8)(9) | 327,814 | 12,608 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 8,575 | 8,469 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(6) | $ | 250,000 | $ | 248,259 | |||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 3.34% (3 ML+1.00%) due 01/15/2031*(6) | 105,000 | 104,411 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 3.57% (3 ML+1.23%) due 10/17/2029*(6) | 250,000 | 250,207 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(6) | 250,000 | 249,193 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 13,920 | 13,825 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(5)(7) | 99,940 | 98,691 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(8) | 101,000 | 101,261 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(8) | 65,000 | 66,474 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(5) | 43,553 | 42,550 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(3) | 54,726 | 54,441 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(5)(7) | 64,859 | 64,418 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(8) | 90,000 | 87,903 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(8) | 105,000 | 105,631 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(8) | 125,267 | 124,700 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(8) | 123,000 | 125,024 |
42
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(8) | $ | 60,000 | $ | 61,250 | |||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5) | 32,119 | 28,280 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(7)(8)(9) | 994,151 | 39,144 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(8) | 105,000 | 105,408 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(5)(7) | 44,778 | 43,658 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(3) | 49,875 | 49,561 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 3.54% (3 ML+1.21%) due 07/18/2030*(6) | 250,000 | 250,049 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(5)(7) | 66,385 | 66,528 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 3.56% (3 ML+1.22%) due 07/24/2030*(6) | 250,000 | 249,952 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(8) | 110,000 | 107,120 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(8) | 30,000 | 32,826 | |||||||||
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(8) | 83,126 | 83,240 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(8) | 120,000 | 120,055 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(8) | 115,000 | 117,445 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(5)(7) | 20,464 | 18,646 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.91% due 04/25/2036(5)(7) | $ | 6,304 | $ | 5,641 | |||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 5,193 | 5,193 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.76% (1 ML+0.54%) due 05/25/2035(5) | 48,642 | 48,364 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(8) | 64,000 | 65,835 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(8) | 60,000 | 60,564 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(10) | 121,635 | 121,301 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.81% (1 ML+1.55%) due 02/01/2023*(5) | 69,387 | 68,264 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.86% (1 ML+1.75%) due 10/01/2022*(5) | 42,116 | 41,928 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.01% (1 ML+1.75%) due 09/01/2022*(1)(5) | 47,934 | 47,964 | |||||||||
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(6) | 250,000 | 249,973 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(5)(7) | 30,954 | 32,068 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(5)(7) | 21,604 | 22,129 | |||||||||
MFRA Trust VRS Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(10) | 85,973 | 85,080 |
43
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(7) | $ | 80,894 | $ | 79,010 | |||||||
Mill City Mtg. Loan Trust VRS Series 2018-1, Class A1 3.25% due 05/25/2062*(7) | 103,093 | 102,960 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(7)(8)(9) | 284,763 | 11,296 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(8) | 20,000 | 20,401 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(7)(8)(9) | 109,041 | 9,335 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(8) | 100,000 | 100,576 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5) | 30,561 | 24,335 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.50% (1 ML+0.28%) due 10/25/2035(5) | 92,835 | 91,792 | |||||||||
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.14% (3 ML + 0.80%) due 01/15/2028*(6) | 250,000 | 249,452 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 50,000 | 49,573 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(5) | 93,481 | 95,862 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(5)(7) | 73,029 | 72,908 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(5)(7) | 37,847 | 37,867 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(5)(7) | $ | 66,170 | $ | 65,851 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(5)(7) | 125,179 | 125,532 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(5)(7) | 122,722 | 123,402 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(5)(7) | 98,932 | 99,353 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(5)(7) | 78,004 | 78,371 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(7) | 105,496 | 105,816 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(5)(7) | 13,351 | 12,826 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 100,000 | 99,060 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 83,371 | 82,923 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 85,520 | 85,000 | |||||||||
Oaktown Re, Ltd. FRS Series 2018-1A, Class M1 3.77% (1 ML+1.55%) due 07/25/2028*(5) | 150,000 | 150,188 | |||||||||
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 3.79% (3 ML+1.45%) due 07/17/2029*(6) | 250,000 | 249,242 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(6) | 215,000 | 214,430 |
44
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | $ | 119,000 | $ | 116,963 | |||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 60,988 | 61,310 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(3) | 35,734 | 22,411 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(6) | 250,000 | 249,619 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(5) | 1,859 | 1,789 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.35% (1 ML+0.13%) due 05/25/2037(3) | 83,886 | 63,901 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(3) | 66,063 | 66,001 | |||||||||
Sound Point CLO XVIII, Ltd. FRS Series 2017-4A, Class A1 3.47% (3 ML+1.12%) due 01/21/2031*(6) | 250,000 | 248,976 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(3) | 160,000 | 148,649 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 120,000 | 117,575 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(5)(7) | 56,509 | 55,131 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(7) | 129,673 | 126,958 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(7) | 70,941 | 69,609 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(7) | 89,292 | 86,781 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(7) | 78,087 | 76,053 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(7) | $ | 87,383 | $ | 85,202 | |||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057* | 87,022 | 87,100 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(6) | 250,000 | 249,963 | |||||||||
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(10) | 50,721 | 50,278 | |||||||||
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.58% (3 ML+1.24%) due 06/20/2029*(6) | 250,000 | 250,211 | |||||||||
VOLT LXIV LLC VRS Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(10) | 93,495 | 92,924 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(10) | 81,839 | 81,657 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.23% (3 ML+0.90%) due 01/18/2029*(6) | 250,000 | 249,056 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(7)(8)(9) | 977,361 | 45,954 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2017-C38, Class A5 3.45% due 07/15/2050(8) | 111,000 | 107,940 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(8) | 65,000 | 65,613 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(5)(7) | 57,091 | 57,882 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(5)(7) | 41,670 | 42,594 |
45
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(5)(7) | $ | 1,329 | $ | 1,347 | |||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(5)(7) | 24,760 | 24,653 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(3) | 49,625 | 47,635 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 75,000 | 74,467 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(8) | 120,000 | 122,246 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(8) | 110,000 | 112,331 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(8) | 50,111 | 51,357 | |||||||||
Total Asset Backed Securities (cost $11,792,283) | 11,748,097 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 10.4% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 78,000 | 74,259 | |||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 105,000 | 104,534 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 25,000 | 24,881 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,028 | |||||||||
134,443 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 5,000 | 4,425 | |||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 10,000 | 9,875 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Airlines (continued) | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | $ | 25,000 | $ | 24,555 | |||||||
34,430 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 35,000 | 33,477 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 30,000 | 29,349 | |||||||||
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023 | 20,000 | 19,855 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 15,000 | 14,872 | |||||||||
97,553 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 8,907 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 35,000 | 32,671 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 20,000 | 19,866 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 40,000 | 43,296 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 30,000 | 29,176 | |||||||||
133,916 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 30,000 | 29,631 | |||||||||
Banks-Super Regional — 0.3% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 25,000 | 23,266 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 20,000 | 18,559 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 105,000 | 102,482 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 70,000 | 67,164 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 55,000 | 51,809 |
46
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | $ | 10,000 | $ | 10,131 | |||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 15,000 | 16,569 | |||||||||
289,980 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 40,000 | 38,231 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 5,000 | 4,821 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 25,000 | 23,393 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 5,000 | 4,666 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 30,000 | 30,732 | |||||||||
101,843 | |||||||||||
Brewery — 0.2% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 40,000 | 38,868 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036 | 10,000 | 10,013 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 25,000 | 24,740 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 30,000 | 25,987 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 9,687 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 35,000 | 33,972 | |||||||||
143,267 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020* | 41,000 | 40,584 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Broadcast Services/Program (continued) | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | $ | 33,000 | $ | 32,365 | |||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 12,000 | 11,709 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 20,000 | 20,527 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 20,000 | 21,326 | |||||||||
126,511 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 50,000 | 51,125 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 35,000 | 34,387 | |||||||||
Cable/Satellite TV — 0.6% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 40,000 | 40,670 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 55,000 | 55,849 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 40,000 | 40,025 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 70,000 | 75,249 | |||||||||
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027 | 10,000 | 8,799 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 8,344 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 20,000 | 17,736 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 20,000 | 19,606 |
47
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | $ | 45,000 | $ | 42,585 | |||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 4,000 | 3,630 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 55,000 | 56,169 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 40,000 | 34,136 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 40,000 | 40,384 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 40,000 | 40,826 | |||||||||
484,008 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 10,000 | 10,375 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 35,000 | 36,312 | |||||||||
46,687 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 10,000 | 10,089 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 15,000 | 14,407 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 30,000 | 28,549 | |||||||||
42,956 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 15,000 | 14,763 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 95,000 | 94,818 | |||||||||
109,581 | |||||||||||
Computers — 0.0% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 10,000 | 8,972 | |||||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | 10,000 | 9,590 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Computers (continued) | |||||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | $ | 15,000 | $ | 15,414 | |||||||
33,976 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 70,000 | 67,695 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 15,000 | 15,030 | |||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 30,000 | 30,187 | |||||||||
45,217 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,261 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 4,847 | |||||||||
14,108 | |||||||||||
Diversified Banking Institutions — 1.8% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 145,000 | 143,147 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 85,000 | 81,744 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 60,000 | 57,755 | |||||||||
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025 | 30,000 | 29,373 | |||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 40,000 | 40,797 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 40,000 | 39,041 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 5,000 | 4,971 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 75,000 | 75,424 | |||||||||
Bank of America Corp. Senior Notes 5.00% due 01/21/2044 | 10,000 | 10,653 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 20,000 | 19,232 |
48
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | $ | 35,000 | $ | 32,669 | |||||||
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024 | 55,000 | 55,437 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 15,000 | 14,104 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 19,630 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 50,000 | 49,293 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 15,000 | 14,827 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 8,000 | 8,073 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 15,000 | 14,631 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 48,000 | 47,509 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 20,000 | 19,504 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 80,000 | 77,294 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 20,000 | 19,373 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 5,000 | 4,759 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 25,000 | 23,848 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 50,000 | 46,346 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 20,000 | 19,707 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 25,000 | 25,514 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 45,000 | 54,087 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | $ | 6,000 | $ | 7,218 | |||||||
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021 | 25,000 | 24,375 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 80,000 | 77,519 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 16,000 | 15,859 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 45,000 | 42,624 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023 | 35,000 | 35,697 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 35,000 | 34,952 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 10,000 | 11,543 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 45,000 | 43,967 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 10,000 | 9,723 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 10,000 | 9,317 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 90,000 | 85,391 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 65,000 | 62,418 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 35,000 | 33,593 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 15,000 | 14,950 | |||||||||
1,557,888 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 20,000 | 19,765 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 10,000 | 9,648 |
49
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
E-Commerce/Products (continued) | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | $ | 50,000 | $ | 48,953 | |||||||
58,601 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 35,000 | 34,564 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 4,872 | |||||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026* | 35,000 | 35,394 | |||||||||
40,266 | |||||||||||
Electric-Integrated — 0.6% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 5,000 | 4,988 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 3,000 | 3,026 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 20,000 | 18,935 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 25,000 | 24,605 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 40,000 | 34,760 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 13,429 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 13,699 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 5,000 | 4,859 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 40,000 | 39,648 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 5,000 | 5,078 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 96,000 | 93,596 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 25,000 | 24,248 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026 | 70,000 | 63,753 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024 | $ | 35,000 | $ | 33,400 | |||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 65,000 | 73,882 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021 | 5,000 | 5,002 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 10,000 | 9,960 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 45,000 | 41,247 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025 | 10,000 | 9,935 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048 | 5,000 | 4,780 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,606 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 25,000 | 23,316 | |||||||||
555,752 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 10,000 | 11,307 | |||||||||
Electronic Components-Semiconductors — 0.3% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 70,000 | 69,179 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 15,000 | 13,936 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 95,000 | 92,301 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 20,000 | 19,773 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 30,000 | 29,813 | |||||||||
225,002 |
50
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | $ | 25,000 | $ | 24,222 | |||||||
Engineering/R&D Services — 0.0% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 40,000 | 39,172 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 14,244 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 40,000 | 42,400 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 40,000 | 39,370 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(3) | 10,000 | 280 | |||||||||
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 | |||||||||
283 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 135,000 | 131,359 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 25,000 | 22,080 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 50,000 | 49,917 | |||||||||
71,997 | |||||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 35,000 | 34,179 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 30,000 | 29,775 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Gas-Distribution (continued) | |||||||||||
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026 | $ | 5,000 | $ | 4,962 | |||||||
34,737 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 14,594 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 19,435 | |||||||||
34,029 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 35,000 | 35,787 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 40,000 | 39,434 | |||||||||
75,221 | |||||||||||
Insurance-Multi-line — 0.3% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021 | 240,000 | 240,461 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 15,000 | 12,975 | |||||||||
253,436 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 10,750 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 15,000 | 15,450 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 5,000 | 5,019 | |||||||||
Medical Information Systems — 0.0% | |||||||||||
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 35,000 | 35,175 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 40,000 | 39,521 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 70,000 | 67,633 |
51
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Products (continued) | |||||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | $ | 45,000 | $ | 43,030 | |||||||
110,663 | |||||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 25,000 | 24,280 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 1,986 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 15,000 | 14,116 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 24,876 | |||||||||
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047 | 70,000 | 66,318 | |||||||||
131,576 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 55,000 | 54,919 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028* | 10,000 | 9,721 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 15,000 | 13,862 | |||||||||
23,583 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 14,372 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 25,000 | 24,493 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 40,000 | 38,000 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 25,000 | 24,429 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 10,366 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025* | 25,000 | 24,929 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028* | 135,000 | 134,607 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | $ | 25,000 | $ | 25,051 | |||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 30,000 | 30,143 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048 | 10,000 | 10,037 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 10,000 | 10,702 | |||||||||
347,129 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 20,000 | 19,450 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 10,000 | 9,497 | |||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 145,000 | 144,097 | |||||||||
173,044 | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 30,000 | 28,703 | |||||||||
Multimedia — 0.2% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 40,000 | 49,280 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 90,000 | 90,613 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 20,000 | 17,454 | |||||||||
Viacom, Inc. Senior Notes 4.85% due 12/15/2034 | 5,000 | 4,730 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 50,000 | 47,828 | |||||||||
209,905 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 45,000 | 43,875 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.95% due 04/01/2023 | 30,000 | 27,441 |
52
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | $ | 10,000 | $ | 10,265 | |||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,088 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 12,000 | 12,174 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 30,000 | 29,090 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 40,000 | 45,043 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 10,000 | 9,775 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 35,000 | 35,131 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 20,000 | 20,600 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 15,000 | 15,075 | |||||||||
182,241 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 15,000 | 14,264 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 25,000 | 24,657 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 30,000 | 28,518 | |||||||||
67,439 | |||||||||||
Pharmacy Services — 0.5% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 239,000 | 236,781 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 70,000 | 70,010 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 18,000 | 17,738 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 55,000 | 54,853 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 25,000 | 25,571 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Pharmacy Services (continued) | |||||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | $ | 30,000 | $ | 30,841 | |||||||
435,794 | |||||||||||
Pipelines — 0.3% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 35,000 | 34,198 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 15,000 | 14,625 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 10,000 | 10,079 | |||||||||
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,222 | |||||||||
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 20,000 | 20,552 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 15,000 | 14,427 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 25,000 | 24,350 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,319 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,010 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 15,000 | 14,551 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 35,000 | 33,551 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,446 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 10,000 | 9,772 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 35,000 | 34,380 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 40,000 | 38,370 | |||||||||
287,852 | |||||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 15,000 | 15,043 |
53
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | $ | 25,000 | $ | 24,092 | |||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 10,000 | 9,503 | |||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044* | 80,000 | 79,839 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 75,000 | 73,542 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 50,000 | 49,274 | |||||||||
236,250 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 30,000 | 30,600 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 15,000 | 14,831 | |||||||||
45,431 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 20,000 | 17,284 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 4,540 | |||||||||
21,824 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 95,000 | 95,414 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 30,000 | 29,745 | |||||||||
Starbucks Corp. Senior Notes 3.80% due 08/15/2025 | 20,000 | 19,868 | |||||||||
Starbucks Corp. Senior Notes 4.00% due 11/15/2028 | 10,000 | 9,972 | |||||||||
59,585 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 15,000 | 14,287 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Telephone-Integrated — 0.4% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | $ | 20,000 | $ | 19,416 | |||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 10,000 | 9,871 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 67,000 | 64,434 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 3,000 | 2,584 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 10,000 | 9,343 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 40,000 | 36,545 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 10,000 | 9,966 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 29,000 | 27,637 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 10,000 | 9,752 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 55,000 | 54,547 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 35,000 | 33,284 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 15,000 | 14,102 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 15,000 | 15,122 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 15,000 | 14,963 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 20,000 | 20,066 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 35,000 | 37,316 | |||||||||
378,948 | |||||||||||
Tobacco — 0.5% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 95,000 | 92,904 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 45,000 | 39,361 |
54
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Tobacco (continued) | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | $ | 210,000 | $ | 205,793 | |||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024* | 30,000 | 28,594 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 50,000 | 46,517 | |||||||||
413,169 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 70,000 | 66,338 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 50,000 | 50,852 | |||||||||
117,190 | |||||||||||
Transport-Services — 0.0% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 15,000 | 13,612 | |||||||||
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045 | 10,000 | 10,013 | |||||||||
23,625 | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021* | 25,000 | 25,024 | |||||||||
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023* | 25,000 | 25,101 | |||||||||
50,125 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $9,281,225) | 9,108,851 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.1% | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 85,000 | 83,299 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 65,000 | 64,040 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 20,000 | 17,974 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 25,000 | 24,441 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Chemicals-Specialty (continued) | |||||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | $ | 10,000 | $ | 9,631 | |||||||
34,072 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,805 | |||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 200,000 | 193,166 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 10,000 | 9,553 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 35,000 | 34,913 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 35,000 | 36,400 | |||||||||
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021 | 5,000 | 4,992 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 40,000 | 38,636 | |||||||||
80,028 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 20,000 | 19,866 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 20,000 | 19,701 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 25,000 | 25,019 | |||||||||
Mylan NV Company Guar. Notes 3.95% due 06/15/2026 | 8,000 | 7,567 | |||||||||
72,153 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 70,000 | 76,713 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 5,000 | 5,858 | |||||||||
82,571 |
55
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | $ | 60,000 | $ | 58,432 | |||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 25,000 | 25,107 | |||||||||
83,539 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 29,000 | 27,671 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022*(3) | ARS | 1,419,989 | 17,883 | ||||||||
45,554 | |||||||||||
Pipelines — 0.0% | |||||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 10,000 | 10,181 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040 | 5,000 | 5,750 | |||||||||
15,931 | |||||||||||
Steel-Producers — 0.1% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 40,000 | 43,459 | |||||||||
Telephone-Integrated — 0.0% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 25,000 | 30,160 | |||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 20,000 | 20,550 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 25,000 | 28,845 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 20,000 | 19,250 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,550 | |||||||||
40,800 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,076,318) | 985,412 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.3% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 14,195 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | $ | 25,000 | $ | 24,781 | |||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 45,000 | 57,200 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 15,000 | 16,025 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 65,000 | 70,697 | |||||||||
State of California General Obligation Bonds 7.63% due 03/01/2040 | 35,000 | 50,965 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 60,000 | 60,690 | |||||||||
Total Municipal Bonds & Notes (cost $296,473) | 294,553 | ||||||||||
U.S. GOVERNMENT AGENCIES — 16.9% | |||||||||||
Federal Home Loan Mtg. Corp. — 4.8% | |||||||||||
2.50% due 01/01/2028 | 4,666 | 4,532 | |||||||||
2.50% due 04/01/2028 | 15,691 | 15,243 | |||||||||
3.00% due 08/01/2027 | 4,896 | 4,843 | |||||||||
3.00% due October TBA | 900,000 | 861,105 | |||||||||
3.50% due 03/01/2042 | 6,781 | 6,726 | |||||||||
3.50% due 08/01/2042 | 34,265 | 33,989 | |||||||||
3.50% due 09/01/2043 | 23,289 | 23,101 | |||||||||
3.50% due 10/01/2048 | 700,000 | 689,393 | |||||||||
4.00% due 03/01/2023 | 641 | 654 | |||||||||
4.00% due 10/01/2043 | 30,280 | 30,743 | |||||||||
4.00% due October TBA | 1,900,000 | 1,918,622 | |||||||||
4.50% due 01/01/2039 | 920 | 955 | |||||||||
4.50% due October TBA | 200,000 | 206,414 | |||||||||
5.00% due 05/01/2020 | 12,739 | 12,810 | |||||||||
5.00% due 05/01/2034 | 15,780 | 16,775 | |||||||||
5.50% due 07/01/2034 | 5,010 | 5,420 | |||||||||
5.50% due 05/01/2037 | 1,834 | 1,976 | |||||||||
6.00% due 08/01/2026 | 11,995 | 13,032 | |||||||||
6.50% due 05/01/2029 | 1,024 | 1,133 | |||||||||
7.50% due 08/01/2023 | 37 | 37 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037 | 1,407 | 1,448 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(7)(8) | 70,000 | 69,826 | |||||||||
Series 2012-K706, Class B 4.17% due 11/25/2044*(7)(8) | 60,000 | 59,913 |
56
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2010-K8, Class B 5.44% due 09/25/2043*(7)(8) | $ | 80,000 | $ | 82,339 | |||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.74% due 03/25/2027(7)(8)(9) | 318,475 | 13,873 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 2.88% (1 ML + 0.75%) due 09/25/2048* | 75,000 | 75,146 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(8) | 68,000 | 66,364 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043* | 29,564 | 29,910 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5) | 3,251 | 3,109 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(5) | 20,910 | 20,520 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(5) | 1,764 | 1,839 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(5) | 220 | 231 | |||||||||
4,272,021 | |||||||||||
Federal National Mtg. Assoc. — 8.5% | |||||||||||
2.50% due 02/01/2043 | 68,141 | 63,392 | |||||||||
2.50% due 03/01/2043 | 131,414 | 122,256 | |||||||||
2.64% due 03/01/2027 | 28,016 | 26,620 | |||||||||
2.78% due 03/01/2027 | 62,477 | 59,818 | |||||||||
2.88% due 11/01/2027 | 130,111 | 123,245 | |||||||||
2.97% due 06/01/2027 | 107,595 | 103,876 | |||||||||
2.97% due 06/01/2030 | 124,000 | 114,638 | |||||||||
3.00% due 07/01/2027 | 90,000 | 86,152 | |||||||||
3.00% due 12/01/2027 | 8,969 | 8,891 | |||||||||
3.00% due 01/01/2028 | 9,246 | 9,188 | |||||||||
3.00% due October TBA | 100,000 | 98,759 | |||||||||
3.16% due 08/01/2027 | 125,000 | 121,207 | |||||||||
3.50% due 11/01/2047 | 490,554 | 483,012 | |||||||||
3.50% due 03/01/2048 | 175,000 | 172,309 | |||||||||
3.50% due October TBA | 4,025,000 | 3,960,716 | |||||||||
4.00% due 11/01/2040 | 13,659 | 13,897 | |||||||||
4.00% due 12/01/2040 | 35,641 | 36,262 | |||||||||
4.00% due 11/01/2041 | 4,204 | 4,283 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 01/01/2042 | $ | 9,418 | $ | 9,582 | |||||||
4.00% due 11/01/2043 | 17,693 | 17,988 | |||||||||
4.00% due 12/01/2043 | 10,671 | 10,887 | |||||||||
4.00% due October TBA | 500,000 | 504,883 | |||||||||
4.50% due 01/01/2039 | 2,535 | 2,639 | |||||||||
4.50% due 06/01/2039 | 29,801 | 30,873 | |||||||||
4.50% due 09/01/2039 | 6,959 | 7,247 | |||||||||
4.50% due 05/01/2041 | 6,630 | 6,898 | |||||||||
5.00% due 06/01/2019 | 164 | 169 | |||||||||
5.00% due 03/01/2020 | 1,043 | 1,076 | |||||||||
5.00% due 05/01/2035 | 1,995 | 2,117 | |||||||||
5.00% due 07/01/2040 | 41,355 | 43,997 | |||||||||
5.00% due October TBA | 300,000 | 314,908 | |||||||||
5.50% due 05/01/2020 | 8,734 | 8,792 | |||||||||
5.50% due 06/01/2020 | 5,827 | 5,861 | |||||||||
5.50% due 12/01/2029 | 1,864 | 1,989 | |||||||||
5.50% due 06/01/2035 | 111,525 | 120,490 | |||||||||
5.50% due 06/01/2036 | 56,662 | 61,128 | |||||||||
5.50% due 08/01/2037 | 10,005 | 10,788 | |||||||||
5.50% due 06/01/2038 | 7,924 | 8,552 | |||||||||
6.00% due 06/01/2021 | 19,053 | 19,311 | |||||||||
6.00% due 12/01/2033 | 6,725 | 7,403 | |||||||||
6.00% due 05/01/2034 | 5,431 | 5,969 | |||||||||
6.00% due 08/01/2034 | 1,149 | 1,262 | |||||||||
6.00% due 11/01/2038 | 1,503 | 1,655 | |||||||||
7.00% due 06/01/2037 | 11,984 | 13,425 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(5) | 30,000 | 32,751 | |||||||||
Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(5) | 60,000 | 67,118 | |||||||||
Federal National Mtg. Assoc. FRS 3.64% (12 ML+1.82%) due 10/01/2040 | 2,414 | 2,519 | |||||||||
3.79% (12 ML+1.57%) due 05/01/2037 | 2,227 | 2,318 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5) | 5,725 | 5,481 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(5) | 18,757 | 17,576 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(5) | 36,330 | 34,130 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(5) | 38,539 | 36,928 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(5) | 31,976 | 30,649 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(5) | 49,543 | 48,394 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(5) | 44,793 | 43,658 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(5) | 45,222 | 44,075 |
57
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(5) | $ | 53,807 | $ | 52,453 | |||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(5) | 20,662 | 20,688 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(5) | 52,109 | 52,143 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(5) | 54,000 | 53,536 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(5) | 41,780 | 41,601 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(5) | 55,440 | 55,215 | |||||||||
7,469,643 | |||||||||||
Government National Mtg. Assoc. — 3.6% | |||||||||||
3.00% due October TBA | 500,000 | 484,219 | |||||||||
3.50% due October TBA | 1,200,000 | 1,193,203 | |||||||||
4.00% due 07/15/2041 | 23,374 | 23,921 | |||||||||
4.00% due 08/15/2041 | 7,708 | 7,865 | |||||||||
4.00% due 10/15/2041 | 15,422 | 15,782 | |||||||||
4.00% due October TBA | 700,000 | 711,711 | |||||||||
4.50% due 06/15/2041 | 122,235 | 127,521 | |||||||||
4.50% due October TBA | 500,000 | 516,702 | |||||||||
6.00% due 11/15/2028 | 16,347 | 17,851 | |||||||||
7.00% due 07/15/2033 | 7,467 | 8,321 | |||||||||
9.00% due 11/15/2021 | 76 | 79 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(5) | 55,526 | 53,025 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(5) | 636 | 698 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(5) | 4,690 | 5,210 | |||||||||
3,166,108 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 10,000 | 9,998 | |||||||||
Total U.S. Government Agencies (cost $15,014,453) | 14,917,770 | ||||||||||
U.S. GOVERNMENT TREASURIES — 7.2% | |||||||||||
United States Treasury Bonds — 1.0% | |||||||||||
2.50% due 02/15/2045 | 5,000 | 4,379 | |||||||||
2.88% due 11/15/2046 | 70,000 | 65,833 | |||||||||
3.00% due 05/15/2045 | 58,000 | 55,965 | |||||||||
3.00% due 11/15/2045 | 145,000 | 139,840 | |||||||||
3.00% due 02/15/2048 | 175,000 | 168,417 | |||||||||
3.63% due 08/15/2043 | 160,000 | 171,694 | |||||||||
3.63% due 02/15/2044 | 95,000 | 102,051 | |||||||||
3.75% due 11/15/2043 | 140,000 | 153,295 | |||||||||
861,474 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
United States Treasury Notes — 6.2% | |||||||||||
0.38% due 07/15/2027 TIPS(11)(12) | $ | 1,009,596 | $ | 964,480 | |||||||
1.13% due 08/31/2021 | 378,000 | 359,484 | |||||||||
1.13% due 09/30/2021 | 801,000 | 760,700 | |||||||||
1.25% due 10/31/2021 | 313,000 | 297,925 | |||||||||
1.50% due 07/15/2020 | 375,000 | 366,474 | |||||||||
1.88% due 02/28/2022 | 384,000 | 371,175 | |||||||||
1.88% due 03/31/2022 | 1,019,000 | 984,051 | |||||||||
2.00% due 02/15/2023 | 520,000 | 499,972 | |||||||||
2.00% due 02/15/2025(13) | 245,000 | 230,740 | |||||||||
2.88% due 05/31/2025 | 455,000 | 451,232 | |||||||||
2.88% due 05/15/2028 | 220,000 | 216,683 | |||||||||
5,502,916 | |||||||||||
Total U.S. Government Treasuries (cost $6,611,845) | 6,364,390 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% | |||||||||||
Sovereign — 0.5% | |||||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 200,000 | 191,000 | |||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 62,000 | 69,905 | |||||||||
Republic of Panama Senior Notes 4.30% due 04/29/2053 | 200,000 | 192,500 | |||||||||
Total Foreign Government Obligations (cost $461,183) | 453,405 | ||||||||||
Total Long-Term Investment Securities (cost $83,335,188) | 95,679,441 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.1% | |||||||||||
Foreign Government Obligations — 0.9% | |||||||||||
Government of Egypt Bills 16.77% due 03/05/2019 | EGP | 300,000 | 15,465 | ||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 775,000 | 42,981 | ||||||||
Government of Japan Bills (0.16)% due 11/12/2018 | JPY | 82,750,000 | 728,413 | ||||||||
786,859 | |||||||||||
U.S. Government Agencies — 0.2% | |||||||||||
Federal Home Loan Bank 1.88% due 10/01/2018 | 200,000 | 200,000 | |||||||||
Total Short-Term Investment Securities (cost $1,006,381) | 986,859 | ||||||||||
REPURCHASE AGREEMENTS — 2.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | 370,000 | 370,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 120,000 | 120,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 720,000 | 720,000 |
58
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | $ | 130,000 | $ | 130,000 | |||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 580,000 | 580,000 | |||||||||
Total Repurchase Agreements (cost $1,920,000) | 1,920,000 | ||||||||||
TOTAL INVESTMENTS (cost $86,261,569)(15) | 111.9 | % | 98,586,300 | ||||||||
Liabilities in excess of other assets | (11.9 | ) | (10,491,537 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 88,094,763 |
† 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 September 30, 2018, the aggregate value of these securities was $11,220,032 representing 12.7% 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 September 30, 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 | $ | 3,361 | $ | 840.18 | 0.00 | % |
(3) Illiquid security. At September 30, 2018, the aggregate value of these securities was $482,393 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 September 30, 2018.
(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 swap contracts.
(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) See Note 4 for cost of investments on a tax basis.
(16) Denominated in United States dollars unless otherwise indicated.
ARS — Argentina Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Dollar
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 September 30, 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
59
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | Canada 10 Year Bonds | December 2018 | $ | 4,107,344 | $ | 4,106,995 | $ | (349 | ) | |||||||||||||||||
3 | Long | Long Gilt Future | December 2018 | 472,655 | 472,900 | 245 | |||||||||||||||||||||
5 | Long | E-Mini Russell 2000 Index | December 2018 | 428,920 | 425,200 | (3,720 | ) | ||||||||||||||||||||
4 | Short | U.S. Treasury 10 Year Notes | December 2018 | 480,172 | 475,125 | 5,047 | |||||||||||||||||||||
24 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2018 | 3,065,596 | 3,024,000 | 41,596 | |||||||||||||||||||||
3 | Long | U.S. Treasury 2 Year Notes | December 2018 | 632,015 | 632,203 | 188 | |||||||||||||||||||||
6 | Long | U.S. Treasury 5 Year Notes | December 2018 | 679,742 | 674,859 | (4,883 | ) | ||||||||||||||||||||
11 | Long | U.S. Treasury Ultra Bonds | December 2018 | 1,745,967 | 1,697,094 | (48,873 | ) | ||||||||||||||||||||
$ | (10,749 | ) |
* 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 | ||||||||||||||||||||||||||
HSBC Bank USA | EUR | 402,000 | USD | 473,652 | 10/31/2018 | $ | 5,853 | $ | — | ||||||||||||||||||||||
JPMorgan Chase Bank | JPY | 82,750,000 | USD | 752,218 | 11/13/2018 | 21,701 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 27,554 | $ | — |
EUR — Euro Currency
JPY — Japanese Yen
USD — United States Dollar
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 | $ | — | $ | 16,670 | |||||||||||||||||||
USD | 340 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (7,435 | ) | 32,862 | ||||||||||||||||||||
$ | (7,435 | ) | $ | 49,532 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
60
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 87,885 | $ | — | $ | 3,361 | $ | 91,246 | |||||||||||
Other Industries | 50,815,201 | — | — | 50,815,201 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 900,515 | — | 900,515 | |||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | — | 11,700,133 | 47,964 | 11,748,097 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 280 | 3 | 283 | |||||||||||||||
Other Industries | — | 9,108,568 | — | 9,108,568 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 985,412 | — | 985,412 | |||||||||||||||
Municipal Bonds & Notes | — | 294,553 | — | 294,553 | |||||||||||||||
U.S. Government Agencies | — | 14,917,770 | — | 14,917,770 | |||||||||||||||
U.S. Government Treasuries | — | 6,364,390 | — | 6,364,390 | |||||||||||||||
Foreign Government Obligations | — | 453,405 | — | 453,405 | |||||||||||||||
Short-Term Investment Securities | — | 986,859 | — | 986,859 | |||||||||||||||
Repurchase Agreement | — | 1,920,000 | — | 1,920,000 | |||||||||||||||
Total Investments at Value | $ | 50,903,086 | $ | 47,631,885 | $ | 51,329 | $ | 98,586,300 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 47,076 | $ | — | $ | — | $ | 47,076 | |||||||||||
Forward Foreign Currency Contracts | — | 27,554 | — | 27,554 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 49,532 | — | 49,532 | |||||||||||||||
Total Other Financial Instruments | $ | 47,076 | $ | 77,086 | $ | — | $ | 124,162 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 57,825 | $ | — | $ | — | $ | 57,825 |
* 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
61
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 22.6 | % | |||||
Federal National Mtg. Assoc. | 14.6 | ||||||
Federal Home Loan Mtg. Corp. | 7.2 | ||||||
United States Treasury Notes | 6.3 | ||||||
Government National Mtg. Assoc. | 6.1 | ||||||
Diversified Banking Institutions | 4.1 | ||||||
Repurchase Agreements | 3.1 | ||||||
United States Treasury Bonds | 2.7 | ||||||
E-Commerce/Products | 2.3 | ||||||
Applications Software | 2.1 | ||||||
Web Portals/ISP | 2.1 | ||||||
Electronic Components-Semiconductors | 2.0 | ||||||
Finance-Credit Card | 1.8 | ||||||
Medical-HMO | 1.6 | ||||||
Computers | 1.6 | ||||||
Foreign Government Obligations | 1.5 | ||||||
Medical-Drugs | 1.3 | ||||||
Tobacco | 1.3 | ||||||
Sovereign | 1.1 | ||||||
Medical-Biomedical/Gene | 1.1 | ||||||
Cable/Satellite TV | 1.1 | ||||||
Diversified Manufacturing Operations | 1.0 | ||||||
Electric-Integrated | 1.0 | ||||||
Retail-Restaurants | 1.0 | ||||||
Banks-Commercial | 1.0 | ||||||
Real Estate Investment Trusts | 1.0 | ||||||
Beverages-Non-alcoholic | 0.8 | ||||||
Pharmacy Services | 0.8 | ||||||
Telephone-Integrated | 0.8 | ||||||
Consulting Services | 0.7 | ||||||
Enterprise Software/Service | 0.7 | ||||||
Oil Companies-Exploration & Production | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Electronic Forms | 0.7 | ||||||
Finance-Other Services | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.6 | ||||||
Multimedia | 0.6 | ||||||
Pipelines | 0.6 | ||||||
Municipal Bonds & Notes | 0.6 | ||||||
Banks-Super Regional | 0.5 | ||||||
Electronic Components-Misc. | 0.5 | ||||||
Internet Content-Entertainment | 0.5 | ||||||
Aerospace/Defense | 0.5 | ||||||
Entertainment Software | 0.5 | ||||||
Insurance-Multi-line | 0.5 | ||||||
Commercial Services-Finance | 0.5 | ||||||
Medical Instruments | 0.5 | ||||||
Athletic Footwear | 0.5 | ||||||
Commercial Services | 0.4 | ||||||
E-Commerce/Services | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Electric-Generation | 0.4 | ||||||
Insurance-Property/Casualty | 0.4 | ||||||
Containers-Metal/Glass | 0.4 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Semiconductor Equipment | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
Therapeutics | 0.3 | ||||||
Industrial Gases | 0.3 | ||||||
Medical-Hospitals | 0.3 |
Cruise Lines | 0.3 | % | |||||
Cosmetics & Toiletries | 0.3 | ||||||
Airlines | 0.3 | ||||||
Brewery | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Medical Information Systems | 0.3 | ||||||
Medical-Generic Drugs | 0.2 | ||||||
Finance-Investment Banker/Broker | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Cellular Telecom | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 | ||||||
Industrial Automated/Robotic | 0.2 | ||||||
Beverages-Wine/Spirits | 0.2 | ||||||
Medical Products | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Computer Software | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Retail-Discount | 0.2 | ||||||
Computer Aided Design | 0.2 | ||||||
U.S. Government Agencies | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Music | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Television | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
118.5 | % |
* Calculated as a percentage of net assets
62
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 60.2 | % | |||||
Aa | 0.8 | ||||||
A | 6.9 | ||||||
Baa | 13.8 | ||||||
Ba | 4.0 | ||||||
B | 0.6 | ||||||
Caa | 0.9 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 12.6 | ||||||
100.0 | % |
† 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.
63
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 31.6% | |||||||||||
Aerospace/Defense — 0.4% | |||||||||||
Boeing Co. | 614 | $ | 228,347 | ||||||||
Aerospace/Defense-Equipment — 0.4% | |||||||||||
L3 Technologies, Inc. | 1,140 | 242,387 | |||||||||
Airlines — 0.2% | |||||||||||
United Continental Holdings, Inc.† | 1,376 | 122,547 | |||||||||
Applications Software — 1.9% | |||||||||||
Microsoft Corp. | 7,049 | 806,194 | |||||||||
salesforce.com, Inc.† | 2,298 | 365,451 | |||||||||
1,171,645 | |||||||||||
Athletic Footwear — 0.5% | |||||||||||
NIKE, Inc., Class B | 3,213 | 272,205 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Aptiv PLC | 1,898 | 159,242 | |||||||||
Beverages-Non-alcoholic — 0.8% | |||||||||||
Coca-Cola Co. | 7,752 | 358,065 | |||||||||
Monster Beverage Corp.† | 2,339 | 136,317 | |||||||||
494,382 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class C† | 2,490 | 73,654 | |||||||||
Building Products-Cement — 0.2% | |||||||||||
Vulcan Materials Co. | 1,013 | 112,646 | |||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Liberty Broadband Corp., Class C† | 1,915 | 161,435 | |||||||||
Coatings/Paint — 0.3% | |||||||||||
Sherwin-Williams Co. | 417 | 189,823 | |||||||||
Commercial Services — 0.4% | |||||||||||
CoStar Group, Inc.† | 359 | 151,082 | |||||||||
ServiceMaster Global Holdings, Inc.† | 1,732 | 107,436 | |||||||||
258,518 | |||||||||||
Commercial Services-Finance — 0.3% | |||||||||||
Worldpay, Inc., Class A† | 1,529 | 154,842 | |||||||||
Computer Aided Design — 0.2% | |||||||||||
Autodesk, Inc.† | 670 | 104,594 | |||||||||
Computer Services — 0.2% | |||||||||||
Amdocs, Ltd. | 2,138 | 141,065 | |||||||||
Computer Software — 0.2% | |||||||||||
SS&C Technologies Holdings, Inc. | 1,955 | 111,103 | |||||||||
Computers — 1.5% | |||||||||||
Apple, Inc. | 3,888 | 877,677 | |||||||||
Consulting Services — 0.7% | |||||||||||
Gartner, Inc.† | 1,936 | 306,856 | |||||||||
Verisk Analytics, Inc.† | 961 | 115,849 | |||||||||
422,705 | |||||||||||
Containers-Metal/Glass — 0.4% | |||||||||||
Ball Corp. | 5,171 | 227,472 | |||||||||
Cosmetics & Toiletries — 0.3% | |||||||||||
Estee Lauder Cos., Inc., Class A | 1,269 | 184,411 |
Security Description | Shares | Value (Note 2) | |||||||||
Cruise Lines — 0.3% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 3,263 | $ | 187,394 | ||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Thermo Fisher Scientific, Inc. | 762 | 185,989 | |||||||||
Distribution/Wholesale — 0.2% | |||||||||||
Fastenal Co. | 1,636 | 94,921 | |||||||||
Diversified Manufacturing Operations — 1.0% | |||||||||||
A.O. Smith Corp. | 2,438 | 130,116 | |||||||||
Illinois Tool Works, Inc. | 1,652 | 233,130 | |||||||||
Parker-Hannifin Corp. | 1,428 | 262,652 | |||||||||
625,898 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
DexCom, Inc.† | 55 | 7,867 | |||||||||
E-Commerce/Products — 2.2% | |||||||||||
Amazon.com, Inc.† | 612 | 1,225,836 | |||||||||
Wayfair, Inc., Class A† | 763 | 112,672 | |||||||||
1,338,508 | |||||||||||
E-Commerce/Services — 0.4% | |||||||||||
Booking Holdings, Inc.† | 128 | 253,952 | |||||||||
Electronic Components-Misc. — 0.4% | |||||||||||
Flex, Ltd.† | 10,889 | 142,864 | |||||||||
Sensata Technologies Holding PLC† | 2,486 | 123,181 | |||||||||
266,045 | |||||||||||
Electronic Components-Semiconductors — 1.6% | |||||||||||
Microchip Technology, Inc. | 2,546 | 200,905 | |||||||||
NVIDIA Corp. | 1,432 | 402,421 | |||||||||
Texas Instruments, Inc. | 3,459 | 371,116 | |||||||||
974,442 | |||||||||||
Electronic Forms — 0.7% | |||||||||||
Adobe Systems, Inc.† | 1,473 | 397,636 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
Tyler Technologies, Inc.† | 720 | 176,443 | |||||||||
Ultimate Software Group, Inc.† | 704 | 226,822 | |||||||||
403,265 | |||||||||||
Entertainment Software — 0.5% | |||||||||||
Activision Blizzard, Inc. | 3,576 | 297,487 | |||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
Synchrony Financial | 3,436 | 106,791 | |||||||||
Finance-Credit Card — 1.7% | |||||||||||
Mastercard, Inc., Class A | 2,099 | 467,258 | |||||||||
Visa, Inc., Class A | 3,612 | 542,125 | |||||||||
1,009,383 | |||||||||||
Finance-Investment Banker/Broker — 0.2% | |||||||||||
TD Ameritrade Holding Corp. | 2,861 | 151,147 | |||||||||
Finance-Other Services — 0.4% | |||||||||||
CME Group, Inc. | 632 | 107,573 | |||||||||
Intercontinental Exchange, Inc. | 1,774 | 132,855 | |||||||||
240,428 | |||||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 3,300 | 141,966 |
64
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 2,505 | $ | 93,687 | ||||||||
Industrial Automated/Robotic — 0.2% | |||||||||||
Cognex Corp. | 2,248 | 125,483 | |||||||||
Industrial Gases — 0.3% | |||||||||||
Air Products & Chemicals, Inc. | 1,185 | 197,954 | |||||||||
Insurance-Property/Casualty — 0.4% | |||||||||||
Progressive Corp. | 3,356 | 238,410 | |||||||||
Internet Content-Entertainment — 0.5% | |||||||||||
Facebook, Inc., Class A† | 1,839 | 302,442 | |||||||||
Medical Information Systems — 0.2% | |||||||||||
athenahealth, Inc.† | 790 | 105,544 | |||||||||
Medical Instruments — 0.4% | |||||||||||
Boston Scientific Corp.† | 6,009 | 231,347 | |||||||||
Medical-Biomedical/Gene — 0.9% | |||||||||||
AnaptysBio, Inc.† | 1,067 | 106,454 | |||||||||
Celgene Corp.† | 2,081 | 186,229 | |||||||||
Gilead Sciences, Inc. | 265 | 20,461 | |||||||||
Insmed, Inc.† | 2,550 | 51,561 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 380 | 153,535 | |||||||||
518,240 | |||||||||||
Medical-Drugs — 1.0% | |||||||||||
Bristol-Myers Squibb Co. | 3,262 | 202,505 | |||||||||
Eli Lilly & Co. | 2,157 | 231,467 | |||||||||
Global Blood Therapeutics, Inc.† | 621 | 23,598 | |||||||||
Merck & Co., Inc. | 2,487 | 176,428 | |||||||||
633,998 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 2,189 | 80,117 | |||||||||
Medical-HMO — 0.9% | |||||||||||
Humana, Inc. | 857 | 290,112 | |||||||||
UnitedHealth Group, Inc. | 1,033 | 274,819 | |||||||||
564,931 | |||||||||||
Multimedia — 0.2% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 3,910 | 145,413 | |||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Anadarko Petroleum Corp. | 1,356 | 91,408 | |||||||||
Real Estate Investment Trusts — 0.5% | |||||||||||
American Tower Corp. | 1,634 | 237,420 | |||||||||
Invitation Homes, Inc. | 2,375 | 54,411 | |||||||||
291,831 | |||||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 1,049 | 95,333 | |||||||||
Retail-Restaurants — 0.9% | |||||||||||
Dunkin' Brands Group, Inc. | 1,021 | 75,268 | |||||||||
McDonald's Corp. | 1,189 | 198,908 | |||||||||
Starbucks Corp. | 4,502 | 255,894 | |||||||||
530,070 |
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
Semiconductor Equipment — 0.3% | |||||||||||
Lam Research Corp. | 1,356 | $ | 205,705 | ||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(9)(13) | 10 | 8,402 | |||||||||
Therapeutics — 0.3% | |||||||||||
Neurocrine Biosciences, Inc.† | 1,529 | 187,991 | |||||||||
Sarepta Therapeutics, Inc.† | 99 | 15,989 | |||||||||
203,980 | |||||||||||
Tobacco — 0.6% | |||||||||||
Altria Group, Inc. | 6,043 | 364,453 | |||||||||
Transport-Rail — 0.4% | |||||||||||
CSX Corp. | 3,221 | 238,515 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 316 | 11,025 | |||||||||
Web Hosting/Design — 0.2% | |||||||||||
GoDaddy, Inc., Class A† | 1,326 | 110,575 | |||||||||
Web Portals/ISP — 2.1% | |||||||||||
Alphabet, Inc., Class C† | 1,069 | 1,275,819 | |||||||||
Total Common Stocks (cost $13,885,029) | 19,058,501 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.5% | |||||||||||
Banks-Commercial — 0.8% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 7.00% due 02/19/2019(2) | EUR | 200,000 | 236,469 | ||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(2) | EUR | 200,000 | 229,307 | ||||||||
465,776 | |||||||||||
Diversified Banking Institutions — 0.7% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(2) | 200,000 | 219,994 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(2) | 200,000 | 197,250 | |||||||||
417,244 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00% due †(1)(9) | 16,000 | 2 | |||||||||
Total Preferred Securities/Capital Securities (cost $922,524) | 883,022 | ||||||||||
ASSET BACKED SECURITIES — 22.6% | |||||||||||
Diversified Financial Services — 22.6% | |||||||||||
ALM XVI, Ltd./ALM XVI LLC FRS Series 2015-16A, Class AAR2 3.54% (3 ML+0.90%) due 07/15/2027*(5) | 250,000 | 249,875 | |||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.39% (1 ML+0.17%) due 01/25/2037(4) | 30,625 | 29,856 |
65
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | $ | 2,179 | $ | 2,179 | |||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(5) | 250,000 | 249,972 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.34% (3 ML+1.00%) due 07/28/2028*(5) | 250,000 | 249,871 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(3)(4) | 31,318 | 31,100 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(4) | 39,095 | 38,414 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(4) | 16,337 | 16,202 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.79% (1 ML+1.58%) due 10/25/2034(9) | 16,441 | 16,533 | |||||||||
Atrium XII FRS Series 12A, Class AR 3.18% (3 ML+0.83%) due 04/22/2027*(5) | 250,000 | 248,785 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.45% (3 ML+1.12%) due 01/18/2025*(5) | 147,480 | 147,405 | |||||||||
Babson CLO, Ltd. FRS Series 2016-2A, Class A 3.80% (3 ML+1.45%) due 07/20/2028*(5) | 250,000 | 249,938 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(3)(6)(7) | 996,911 | 54,279 | |||||||||
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(6) | 63,000 | 62,200 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3) | 122,138 | 121,010 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3) | 82,835 | 82,105 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(3)(8) | 35,784 | 35,611 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RN8, Class A1 3.35% due 11/28/2032*(3)(8) | $ | 28,258 | $ | 28,125 | |||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(3) | 74,303 | 73,794 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3) | 75,758 | 75,284 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2018-RN2, Class A1 3.60% due 02/25/2033*(3)(8) | 43,651 | 43,333 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(3) | 75,593 | 75,799 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3) | 89,756 | 89,936 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.01% (1 ML+0.85%) due 08/15/2036*(6) | 152,000 | 152,000 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(3)(4) | 100,877 | 94,318 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(3)(6)(7) | 210,623 | 8,061 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(3)(6)(7) | 370,789 | 14,261 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 10,208 | 10,082 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(5) | 250,000 | 248,259 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1AR 3.44% (3 ML+1.10%) due 10/15/2030*(5) | 250,000 | 249,847 | |||||||||
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 3.44% (3 ML+1.10%) due 01/25/2026*(5) | 220,545 | 220,502 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(5) | 250,000 | 249,193 |
66
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | $ | 16,704 | $ | 16,590 | |||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(4) | 114,891 | 113,455 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6) | 122,000 | 122,315 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 54,300 | 53,049 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(9) | 54,726 | 54,441 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(3)(4) | 78,372 | 77,838 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(4) | 40,253 | 39,943 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(3)(4) | 63,966 | 63,628 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6) | 125,105 | 122,190 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6) | 140,000 | 140,842 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6) | 155,000 | 154,298 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6) | 150,000 | 152,468 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6) | 65,000 | 66,354 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6) | 195,000 | 202,060 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 40,936 | 36,044 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(3)(6)(7) | 1,206,845 | 47,519 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(6) | 125,000 | 125,486 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(4) | 49,256 | 48,024 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(3)(4) | $ | 59,079 | $ | 58,552 | |||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(4) | 50,555 | 50,205 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(4) | 37,130 | 36,989 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(9) | 59,850 | 59,474 | |||||||||
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 3.77% (3 ML+1.43%) due 10/15/2028*(5) | 250,000 | 250,372 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(3)(4) | 82,981 | 83,160 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 3.56% (3 ML+1.22%) due 07/24/2030*(5) | 250,000 | 249,951 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6) | 125,000 | 121,727 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6) | 30,445 | 33,313 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6) | 100,000 | 100,317 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6) | 146,000 | 146,067 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6) | 140,000 | 142,977 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(3)(4) | 24,254 | 22,099 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.91% due 04/25/2036(3)(4) | 7,005 | 6,268 | |||||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 6,059 | 6,059 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.76% (1 ML+0.54%) due 05/25/2035(4) | 63,843 | 63,478 |
67
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6) | $ | 68,000 | $ | 69,949 | |||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6) | 65,000 | 65,611 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(6) | 122,000 | 118,614 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(8) | 137,081 | 136,704 | |||||||||
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(9) | 100,000 | 99,433 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 2.99% (1 ML+1.75%) due 10/01/2022*(4) | 45,440 | 45,238 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.81% (1 ML+1.55%) due 02/01/2023*(4) | 69,387 | 68,264 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 3.91% (1 ML+1.65%) due 11/01/2022*(4) | 49,818 | 49,806 | |||||||||
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(5) | 250,000 | 249,972 | |||||||||
Madison Park Funding XIV, Ltd. FRS Series 2014-14A, Class A1R 3.47% (3 ML+1.12%) due 07/20/2026*(5) | 250,000 | 249,916 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(3)(4) | 15,664 | 16,227 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(3)(4) | 27,420 | 28,087 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8) | 90,271 | 89,334 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(3)(6)(7) | 347,507 | 13,785 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(3)(6)(7) | $ | 123,910 | $ | 10,608 | |||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6) | 105,000 | 105,605 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | 35,536 | 28,297 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.50% (1 ML+0.28%) due 10/25/2035(4) | 122,254 | 120,882 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 57,000 | 56,513 | |||||||||
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051* | 100,000 | 98,959 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(4) | 109,181 | 111,961 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(4) | 87,635 | 87,490 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(4) | 76,096 | 75,729 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(4) | 144,802 | 145,210 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(4) | 143,175 | 143,969 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(4) | 116,784 | 117,281 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(4) | 92,187 | 92,621 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3)(4) | 121,603 | 121,971 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(3) | 87,750 | 88,134 |
68
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | 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)(4) | $ | 26,034 | $ | 25,010 | |||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 110,000 | 108,966 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 87,539 | 87,069 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 85,520 | 85,000 | |||||||||
Oaktree EIF II Series A1, Ltd. FRS Series 2017-IIIA, Class A2 3.79% (3 ML+1.45%) due 07/17/2029*(5) | 250,000 | 249,241 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(5) | 215,000 | 214,430 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 139,000 | 136,621 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 76,800 | 77,205 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(9) | 37,287 | 23,386 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(5) | 250,000 | 249,619 | |||||||||
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023* | 37,148 | 37,045 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4) | 3,718 | 3,578 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.35% (1 ML+0.13%) due 05/25/2037(9) | 94,200 | 71,757 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(9) | 66,063 | 66,001 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 55,320 | 54,657 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(9) | 30,430 | 30,337 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Sound Point CLO XVIII, Ltd. FRS Series 2017-4A Class A1 3.47% (3 ML+1.12%) due 01/21/2031*(5) | $ | 250,000 | $ | 248,976 | |||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(9) | 200,000 | 185,811 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 142,070 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 100,000 | 99,729 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(3) | 69,963 | 68,258 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3) | 58,715 | 57,532 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3) | 148,884 | 145,767 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3) | 70,941 | 69,609 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3) | 103,772 | 100,853 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(3) | 78,087 | 76,053 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057* | 100,410 | 100,500 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(5) | 250,000 | 249,963 | |||||||||
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(8) | 50,721 | 50,278 | |||||||||
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6) | 80,000 | 79,133 | |||||||||
VOLT LXIII LLC VRS Series NP10, Class A1 3.00% due 10/25/2047*(3) | 60,917 | 60,235 | |||||||||
VOLT LXIV LLC VRS Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(3)(8) | 108,104 | 107,443 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048(8) | 81,839 | 81,657 |
69
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.23% (3 ML+0.90%) due 01/18/2029*(5) | $ | 250,000 | $ | 249,056 | |||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(3)(6)(7) | 977,361 | 45,954 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6) | 105,000 | 105,991 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)(6) | 10,000 | 9,364 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(3)(4) | 76,121 | 77,176 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(3)(4) | 54,513 | 55,722 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(3)(4) | 2,627 | 2,662 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(4) | 30,473 | 30,342 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(9) | 49,625 | 47,635 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 84,396 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(3)(6)(7) | 443,860 | 7,027 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6) | 145,280 | 147,999 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6) | 55,111 | 56,482 | |||||||||
Total Asset Backed Securities (cost $13,709,555) | 13,655,446 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 16.9% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 74,000 | 70,451 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | $ | 115,000 | $ | 114,489 | |||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 30,000 | 29,858 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,028 | |||||||||
149,375 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 10,000 | 8,850 | |||||||||
Airlines — 0.1% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 15,000 | 14,812 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 25,000 | 24,556 | |||||||||
39,368 | |||||||||||
Applications Software — 0.2% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 45,000 | 43,041 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 35,000 | 34,241 | |||||||||
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023 | 20,000 | 19,855 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 15,000 | 14,872 | |||||||||
112,009 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 8,907 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 25,000 | 23,337 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 15,000 | 14,899 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 50,000 | 54,120 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 35,000 | 34,039 | |||||||||
135,302 |
70
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | $ | 35,000 | $ | 34,570 | |||||||
Banks-Super Regional — 0.5% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 27,918 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 20,000 | 18,559 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 126,883 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 85,000 | 81,556 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 25,000 | 23,549 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 25,000 | 27,616 | |||||||||
306,081 | |||||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 50,000 | 47,789 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 5,000 | 4,821 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 30,000 | 28,071 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 5,000 | 4,666 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 39,000 | 39,952 | |||||||||
125,299 | |||||||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 40,000 | 38,868 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 35,000 | 34,635 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 38,980 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 9,687 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | $ | 40,000 | $ | 38,826 | |||||||
160,996 | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020* | 49,000 | 48,502 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 36,000 | 35,307 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 19,000 | 18,540 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,395 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 25,000 | 26,658 | |||||||||
144,402 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 55,000 | 56,237 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 40,000 | 39,300 | |||||||||
Cable/Satellite TV — 0.8% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 25,000 | 25,419 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 90,000 | 91,388 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 45,000 | 45,028 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 50,000 | 53,749 |
71
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027 | $ | 5,000 | $ | 4,400 | |||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 5,000 | 4,172 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 15,000 | 13,302 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 20,000 | 19,606 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 45,000 | 42,585 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 10,000 | 9,075 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 41,000 | 41,871 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 45,000 | 38,403 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 45,433 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 65,000 | 66,343 | |||||||||
500,774 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 10,000 | 10,375 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 50,000 | 51,875 | |||||||||
62,250 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 10,000 | 10,089 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 15,000 | 14,407 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 40,000 | 38,066 | |||||||||
52,473 | |||||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 20,000 | 19,684 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Commercial Services-Finance (continued) | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | $ | 110,000 | $ | 109,789 | |||||||
129,473 | |||||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 15,000 | 13,458 | |||||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | 10,000 | 9,590 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 20,000 | 20,552 | |||||||||
43,600 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 75,000 | 72,531 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 20,000 | 20,039 | |||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 35,000 | 35,219 | |||||||||
55,258 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,261 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 9,695 | |||||||||
18,956 | |||||||||||
Diversified Banking Institutions — 2.8% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 160,000 | 157,955 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 105,000 | 100,978 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 70,000 | 67,381 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 40,000 | 39,041 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 35,000 | 34,797 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 95,000 | 95,538 |
72
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | $ | 25,000 | $ | 24,040 | |||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 45,000 | 42,003 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,636 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 18,805 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 19,630 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 80,000 | 79,076 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 7,064 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 15,000 | 14,631 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 53,000 | 52,457 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 25,000 | 24,380 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 85,000 | 82,125 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 10,000 | 9,518 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 30,000 | 28,617 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 5,000 | 4,635 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 20,000 | 19,707 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 30,000 | 30,617 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 55,000 | 66,106 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 39,000 | 46,915 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.40% due 06/07/2021 | 30,000 | 29,250 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | $ | 95,000 | $ | 92,054 | |||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 33,000 | 32,708 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 47,360 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,598 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 39,945 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 10,000 | 11,543 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 30,000 | 29,312 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 15,000 | 14,585 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 25,000 | 23,291 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 105,000 | 99,623 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 40,000 | 38,411 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 38,393 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 20,000 | 19,933 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 1,000 | 992 | |||||||||
1,694,650 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 24,707 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 15,000 | 14,472 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 55,000 | 53,848 | |||||||||
68,320 |
73
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | $ | 35,000 | $ | 34,564 | |||||||
Electric-Generation — 0.1% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 5,000 | 4,872 | |||||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026* | 40,000 | 40,450 | |||||||||
45,322 | |||||||||||
Electric-Integrated — 1.0% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 5,000 | 4,987 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 8,000 | 8,070 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 25,000 | 23,669 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 30,000 | 29,526 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 50,000 | 43,451 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 13,429 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 13,699 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 5,000 | 4,859 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 49,560 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 10,000 | 10,155 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 120,000 | 116,995 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 29,098 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026 | 5,000 | 4,554 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027 | 100,000 | 91,423 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024 | 10,000 | 9,543 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | $ | 50,000 | $ | 56,832 | |||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021 | 10,000 | 10,004 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 15,000 | 14,940 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 45,000 | 41,247 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025 | 10,000 | 9,935 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048 | 5,000 | 4,779 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,606 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 30,000 | 27,980 | |||||||||
628,341 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 10,000 | 11,307 | |||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 80,000 | 79,061 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 20,000 | 18,581 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 105,000 | 102,017 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 25,000 | 24,716 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 35,000 | 34,783 | |||||||||
259,158 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 30,000 | 29,066 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 50,000 | 48,965 |
74
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | $ | 20,000 | $ | 18,991 | |||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 45,000 | 47,700 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 45,000 | 44,291 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(9) | 19,000 | 532 | |||||||||
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 | |||||||||
537 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 155,685 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 30,000 | 26,496 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 55,000 | 54,908 | |||||||||
81,404 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 40,000 | 39,061 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 35,000 | 34,737 | |||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026 | 5,000 | 4,963 | |||||||||
39,700 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 25,000 | 24,323 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 19,435 | |||||||||
43,758 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | $ | 40,000 | $ | 40,900 | |||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 45,000 | 44,363 | |||||||||
85,263 | |||||||||||
Insurance-Multi-line — 0.5% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021 | 270,000 | 270,519 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 20,000 | 17,300 | |||||||||
287,819 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 10,750 | |||||||||
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% | |||||||||||
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 40,000 | 40,200 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 45,000 | 44,461 | |||||||||
Medical Products — 0.2% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 77,294 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 50,000 | 47,812 | |||||||||
125,106 | |||||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 29,135 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 1,986 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 20,000 | 18,821 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 24,877 |
75
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047 | $ | 80,000 | $ | 75,792 | |||||||
150,611 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 60,000 | 59,912 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028* | 15,000 | 14,582 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 15,000 | 13,862 | |||||||||
28,444 | |||||||||||
Medical-HMO — 0.7% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 20,000 | 19,163 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 25,000 | 24,494 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 45,000 | 42,750 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 50,000 | 48,859 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025* | 30,000 | 29,914 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028* | 160,000 | 159,534 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 30,000 | 30,061 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 40,000 | 40,190 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048 | 10,000 | 10,037 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 10,000 | 10,702 | |||||||||
415,704 | |||||||||||
Medical-Hospitals — 0.3% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 25,000 | 24,313 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 10,000 | 9,497 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | $ | 160,000 | $ | 159,003 | |||||||
192,813 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 35,000 | 33,487 | |||||||||
Multimedia — 0.4% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 50,000 | 61,600 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 100,000 | 100,682 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 20,000 | 17,454 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 60,000 | 57,394 | |||||||||
237,130 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 45,000 | 43,875 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 35,000 | 32,015 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | 15,000 | 15,397 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,088 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 16,000 | 16,232 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 35,000 | 33,939 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 45,000 | 50,673 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 10,000 | 9,775 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 40,000 | 40,150 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 25,000 | 25,750 |
76
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | $ | 25,000 | $ | 25,125 | |||||||
222,129 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 20,000 | 19,018 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 25,000 | 24,657 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 35,000 | 33,271 | |||||||||
76,946 | |||||||||||
Pharmacy Services — 0.8% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 275,000 | 272,447 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 85,000 | 85,012 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 8,869 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 60,000 | 59,839 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 25,000 | 25,571 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 35,981 | |||||||||
487,719 | |||||||||||
Pipelines — 0.6% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 40,000 | 39,084 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 10,000 | 9,750 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022 | 5,000 | 5,075 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 15,000 | 15,119 | |||||||||
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 20,000 | 20,296 | |||||||||
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 25,000 | 25,690 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | $ | 20,000 | $ | 19,236 | |||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 25,000 | 24,350 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,319 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,010 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 15,000 | 14,551 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 45,000 | 43,136 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,446 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 10,000 | 9,771 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 40,000 | 39,292 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 45,000 | 43,166 | |||||||||
332,291 | |||||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 15,000 | 15,044 | |||||||||
Real Estate Investment Trusts — 0.5% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 30,000 | 28,910 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 15,000 | 14,254 | |||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044* | 90,000 | 89,819 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 83,348 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 60,000 | 59,129 | |||||||||
275,460 |
77
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | $ | 30,000 | $ | 30,600 | |||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 25,000 | 24,719 | |||||||||
55,319 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 20,000 | 17,284 | |||||||||
Retail-Discount — 0.2% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 110,000 | 110,479 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 35,000 | 34,702 | |||||||||
Starbucks Corp. Senior Notes 3.80% due 08/15/2025 | 25,000 | 24,835 | |||||||||
Starbucks Corp. Senior Notes 4.00% due 11/15/2028 | 15,000 | 14,958 | |||||||||
74,495 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 15,000 | 14,288 | |||||||||
Telephone-Integrated — 0.7% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 35,000 | 33,979 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 14,806 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 62,000 | 59,625 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 15,000 | 14,014 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 50,000 | 45,682 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 15,000 | 14,950 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 31,000 | 29,543 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | $ | 50,000 | $ | 48,759 | |||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 35,000 | 34,712 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 35,000 | 33,284 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 39,000 | 36,664 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 5,000 | 4,988 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 25,000 | 25,083 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 30,000 | 31,985 | |||||||||
428,074 | |||||||||||
Tobacco — 0.7% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 95,000 | 92,904 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 17,494 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 230,000 | 225,392 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024* | 30,000 | 28,594 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 60,000 | 55,820 | |||||||||
420,204 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 75,000 | 71,076 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 60,000 | 61,023 | |||||||||
132,099 | |||||||||||
Transport-Services — 0.1% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 20,000 | 18,148 | |||||||||
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045 | 15,000 | 15,020 | |||||||||
33,168 |
78
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021* | $ | 30,000 | $ | 30,028 | |||||||
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023* | 30,000 | 30,122 | |||||||||
60,150 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $10,393,672) | 10,206,510 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 2.5% | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 95,000 | 93,099 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 75,000 | 73,892 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 20,000 | 17,974 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 34,217 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 10,000 | 9,631 | |||||||||
43,848 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,805 | |||||||||
Diversified Banking Institutions — 0.6% | |||||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | 200,000 | 189,331 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 200,000 | 193,166 | |||||||||
382,497 | |||||||||||
Electric-Generation — 0.3% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 200,000 | 193,376 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 15,000 | 14,330 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | $ | 40,000 | $ | 39,900 | |||||||
Medical-Drugs — 0.2% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 40,000 | 41,600 | |||||||||
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021 | 5,000 | 4,992 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 48,295 | |||||||||
94,887 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 20,000 | 19,866 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 20,000 | 19,701 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 30,000 | 30,023 | |||||||||
Mylan NV Company Guar. Notes 3.95% due 06/15/2026 | 13,000 | 12,297 | |||||||||
81,887 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 75,000 | 82,192 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 11,715 | |||||||||
93,907 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 65,000 | 63,302 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 30,000 | 30,128 | |||||||||
93,430 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 34,000 | 32,443 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022*(9) | ARS | 1,657,987 | 20,880 | ||||||||
53,323 |
79
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines — 0.0% | |||||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | $ | 15,000 | $ | 15,272 | |||||||
Steel-Producers — 0.1% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 50,000 | 54,324 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 36,192 | |||||||||
Television — 0.1% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 30,000 | 30,825 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 30,000 | 34,614 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 25,000 | 24,062 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,550 | |||||||||
45,612 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,618,151) | 1,497,994 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.6% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 14,195 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 30,000 | 29,737 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 60,000 | 76,267 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 20,000 | 21,367 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 75,000 | 81,573 | |||||||||
State of California General Obligation Bonds 7.63% due 03/01/2040 | 40,000 | 58,246 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 65,000 | 65,747 | |||||||||
Total Municipal Bonds & Notes (cost $349,011) | 347,132 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES — 27.9% | |||||||||||
Federal Home Loan Mtg. Corp. — 7.2% | |||||||||||
2.50% due 01/01/2028 | $ | 10,886 | $ | 10,576 | |||||||
2.50% due 04/01/2028 | 26,899 | 26,131 | |||||||||
3.00% due 08/01/2027 | 38,856 | 38,532 | |||||||||
3.00% due October TBA | 600,000 | 574,070 | |||||||||
3.50% due 03/01/2042 | 10,595 | 10,510 | |||||||||
3.50% due 08/01/2042 | 59,965 | 59,481 | |||||||||
3.50% due 09/01/2043 | 41,920 | 41,582 | |||||||||
3.50% due 10/01/2048 | 800,000 | 787,877 | |||||||||
4.00% due 03/01/2023 | 1,282 | 1,309 | |||||||||
4.00% due 09/01/2040 | 4,141 | 4,196 | |||||||||
4.00% due 10/01/2043 | 60,560 | 61,486 | |||||||||
4.00% due October TBA | 1,800,000 | 1,817,642 | |||||||||
4.50% due 01/01/2039 | 1,794 | 1,861 | |||||||||
4.50% due October TBA | 400,000 | 412,828 | |||||||||
5.00% due 12/01/2020 | 2,247 | 2,266 | |||||||||
5.00% due 05/01/2021 | 23,101 | 23,458 | |||||||||
5.00% due 07/01/2021 | 6,613 | 6,650 | |||||||||
5.00% due 05/01/2034 | 29,241 | 31,096 | |||||||||
5.50% due 05/01/2037 | 5,751 | 6,197 | |||||||||
5.50% due 06/01/2037 | 3,150 | 3,412 | |||||||||
6.50% due 05/01/2029 | 1,536 | 1,700 | |||||||||
6.50% due 07/01/2035 | 1,724 | 1,907 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037 | 2,558 | 2,633 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(3)(6) | 80,000 | 79,801 | |||||||||
Series 2012-K706, Class B 4.17% due 11/25/2044*(3)(6) | 70,000 | 69,899 | |||||||||
Series 2010-K8, Class B 5.44% due 09/25/2043*(3)(6) | 90,000 | 92,631 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(6) | 79,000 | 77,099 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.74% due 03/25/2027(3)(6)(7) | 373,213 | 16,258 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043* | 29,564 | 29,910 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 6,286 | 6,011 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 23,858 | 23,413 |
80
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | $ | 2,646 | $ | 2,758 | |||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 314 | 331 | |||||||||
4,325,511 | |||||||||||
Federal National Mtg. Assoc. — 14.6% | |||||||||||
2.50% due 04/01/2028 | 43,503 | 42,294 | |||||||||
2.50% due 02/01/2043 | 68,141 | 63,392 | |||||||||
2.50% due 03/01/2043 | 130,344 | 121,261 | |||||||||
2.64% due 03/01/2027 | 37,355 | 35,493 | |||||||||
2.66% due 03/01/2027 | 410,000 | 386,194 | |||||||||
2.78% due 03/01/2027 | 77,352 | 74,060 | |||||||||
2.88% due 11/01/2027 | 160,000 | 151,556 | |||||||||
3.00% due 07/01/2027 | 110,000 | 105,297 | |||||||||
3.00% due 10/01/2027 | 16,629 | 16,524 | |||||||||
3.00% due 12/01/2027 | 10,763 | 10,669 | |||||||||
3.00% due 01/01/2028 | 24,656 | 24,501 | |||||||||
3.16% due 08/01/2027 | 150,000 | 145,448 | |||||||||
3.50% due 11/01/2047 | 686,775 | 676,217 | |||||||||
3.50% due 12/01/2047 | 377,940 | 372,130 | |||||||||
3.50% due 03/01/2048 | 599,999 | 590,775 | |||||||||
3.50% due October TBA | 4,025,000 | 3,960,716 | |||||||||
4.00% due 11/01/2025 | 5,227 | 5,351 | |||||||||
4.00% due 09/01/2040 | 3,822 | 3,889 | |||||||||
4.00% due 12/01/2040 | 80,193 | 81,589 | |||||||||
4.00% due 11/01/2041 | 6,925 | 7,054 | |||||||||
4.00% due 01/01/2042 | 18,836 | 19,164 | |||||||||
4.00% due 12/01/2043 | 21,875 | 22,318 | |||||||||
4.00% due October TBA | 550,000 | 555,371 | |||||||||
4.50% due 01/01/2039 | 5,070 | 5,279 | |||||||||
4.50% due 09/01/2039 | 13,049 | 13,588 | |||||||||
4.50% due 09/01/2040 | 25,453 | 26,487 | |||||||||
4.50% due 05/01/2041 | 12,339 | 12,838 | |||||||||
5.00% due 06/01/2019 | 500 | 515 | |||||||||
5.00% due 05/01/2035 | 270 | 286 | |||||||||
5.00% due 07/01/2040 | 19,135 | 20,357 | |||||||||
5.00% due October TBA | 300,000 | 314,908 | |||||||||
5.50% due 10/01/2021 | 4,059 | 4,127 | |||||||||
5.50% due 06/01/2022 | 1,945 | 1,980 | |||||||||
5.50% due 12/01/2029 | 3,852 | 4,110 | |||||||||
5.50% due 05/01/2034 | 13,103 | 14,020 | |||||||||
5.50% due 08/01/2037 | 20,010 | 21,575 | |||||||||
5.50% due 06/01/2038 | 4,953 | 5,345 | |||||||||
6.00% due 06/01/2026 | 11,524 | 12,442 | |||||||||
6.00% due 04/01/2027 | 57,500 | 62,093 | |||||||||
6.00% due 12/01/2033 | 18,340 | 20,190 | |||||||||
6.00% due 05/01/2034 | 11,459 | 12,594 | |||||||||
6.50% due 06/01/2035 | 36,611 | 40,138 | |||||||||
6.50% due 10/01/2037 | 2,490 | 2,730 | |||||||||
7.00% due 06/01/2037 | 12,457 | 13,954 | |||||||||
Federal National Mtg. Assoc. FRS 3.90% (12 ML+1.57%) due 05/01/2037 | 3,950 | 4,113 | |||||||||
4.55% (12 ML+1.82%) due 10/01/2040 | 4,608 | 4,809 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(4) | $ | 35,000 | $ | 38,210 | |||||||
Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(4) | 70,143 | 78,464 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | 8,302 | 7,948 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 20,462 | 19,174 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 40,871 | 38,397 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 44,248 | 42,399 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 37,790 | 36,221 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 55,913 | 54,616 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 52,937 | 51,596 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 52,760 | 51,421 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 58,291 | 56,824 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 24,106 | 24,136 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 58,864 | 58,902 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 61,000 | 60,476 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 48,083 | 47,877 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 59,135 | 58,895 | |||||||||
8,815,297 | |||||||||||
Government National Mtg. Assoc. — 6.1% | |||||||||||
3.00% due October TBA | 700,000 | 677,906 | |||||||||
3.50% due October TBA | 1,500,000 | 1,491,504 | |||||||||
4.00% due 09/15/2040 | 13,884 | 14,212 | |||||||||
4.00% due 11/15/2040 | 61,025 | 62,468 | |||||||||
4.00% due October TBA | 500,000 | 508,496 | |||||||||
4.50% due 02/15/2039 | 6,616 | 6,905 | |||||||||
4.50% due 08/15/2041 | 119,603 | 124,770 | |||||||||
4.50% due October TBA | 600,000 | 620,043 | |||||||||
5.50% due 05/15/2036 | 7,409 | 7,944 | |||||||||
6.00% due 09/15/2032 | 8,956 | 9,847 | |||||||||
6.00% due 12/15/2033 | 32,086 | 35,710 | |||||||||
7.00% due 07/15/2033 | 7,743 | 8,628 | |||||||||
7.00% due 11/15/2033 | 8,733 | 9,827 | |||||||||
8.00% due 11/15/2031 | 2,974 | 2,999 | |||||||||
9.00% due 11/15/2021 | 82 | 85 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 61,269 | 58,509 |
81
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(4) | $ | 91 | $ | 98 | |||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 6,354 | 6,972 | |||||||||
3,646,923 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 25,000 | 24,995 | |||||||||
Total U.S. Government Agencies (cost $16,944,350) | 16,812,726 | ||||||||||
U.S. GOVERNMENT TREASURIES — 9.0% | |||||||||||
United States Treasury Bonds — 2.7% | |||||||||||
2.50% due 02/15/2045(10) | 213,000 | 186,550 | |||||||||
2.88% due 11/15/2046 | 228,000 | 214,427 | |||||||||
3.00% due 11/15/2045 | 170,000 | 163,950 | |||||||||
3.00% due 02/15/2047 | 108,000 | 104,081 | |||||||||
3.00% due 02/15/2048 | 220,000 | 211,724 | |||||||||
3.63% due 08/15/2043 | 100,000 | 107,309 | |||||||||
3.63% due 02/15/2044 | 205,000 | 220,215 | |||||||||
3.75% due 11/15/2043 | 140,000 | 153,294 | |||||||||
5.00% due 05/15/2037 | 204,000 | 258,156 | |||||||||
1,619,706 | |||||||||||
United States Treasury Notes — 6.3% | |||||||||||
0.38% due 07/15/2027 TIPS(11)(12) | 1,164,126 | 1,112,104 | |||||||||
1.25% due 10/31/2021 | 418,000 | 397,867 | |||||||||
1.38% due 05/31/2021 | 680,000 | 653,969 | |||||||||
1.88% due 11/30/2021 | 525,000 | 508,983 | |||||||||
2.00% due 02/15/2023 | 240,000 | 230,756 | |||||||||
2.88% due 05/31/2025 | 645,000 | 639,659 | |||||||||
2.88% due 05/15/2028 | 250,000 | 246,231 | |||||||||
3,789,569 | |||||||||||
Total U.S. Government Treasuries (cost $5,603,278) | 5,409,275 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.1% | |||||||||||
Sovereign — 1.1% | |||||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 200,000 | 191,000 | |||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 70,000 | 78,925 | |||||||||
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047* | 200,000 | 192,660 | |||||||||
Republic of Panama Senior Notes 4.30% due 04/29/2053 | 220,000 | 211,750 | |||||||||
Total Foreign Government Obligations (cost $686,420) | 674,335 | ||||||||||
Total Long-Term Investment Securities (cost $64,111,990) | 68,544,941 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.7% | |||||||||||
Foreign Government Obligations — 1.5% | |||||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 900,000 | $ | 49,913 | |||||||
Government of Egypt Bills 16.77% due 03/05/2019 | EGP | 325,000 | 16,754 | ||||||||
Government of Japan Bills (0.16)% due 08/13/2018 | JPY | 96,350,000 | 848,128 | ||||||||
914,795 | |||||||||||
U.S. Government Agencies — 0.2% | |||||||||||
Federal Home Loan Bank 1.88% due 10/01/2018 | 100,000 | 100,000 | |||||||||
Total Short-Term Investment Securities (cost $1,037,489) | 1,014,795 | ||||||||||
REPURCHASE AGREEMENTS — 3.1% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | 365,000 | 365,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 120,000 | 120,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 700,000 | 700,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | 125,000 | 125,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 570,000 | 570,000 | |||||||||
Total Repurchase Agreements (cost $1,880,000) | 1,880,000 | ||||||||||
TOTAL INVESTMENTS (cost $67,029,479)(15) | 118.5 | % | 71,439,736 | ||||||||
Liabilities in excess of other assets | (18.5 | ) | (11,131,362 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 60,308,374 |
† 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 September 30, 2018, the aggregate value of these securities was $13,722,669 representing 22.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Perpetual maturity — maturity date reflects the next call date.
(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) Collateralized Mortgage Obligation
82
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
(5) Collateralized Loan Obligation
(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 September 30, 2018.
(9) Illiquid security. At September 30, 2018, the aggregate value of these securities was $684,629 representing 1.1% of net assets.
(10) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(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 swap contracts.
(13) 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 September 30, 2018, the Portfolio held the following restricted securities:
Description | Acquistion Date | Shares | Acquistion Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 10 | $ | 0 | $ | 8,402 | $ | 840.18 | 0.00 | % |
(14) See Note 2 for details of Joint Repurchase Agreements.
(15) See Note 4 for cost of investments on a tax basis.
(16) Denominated in United States dollars unless otherwise indicated.
ARS — Argentine Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Dollar
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 September 30, 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) | |||||||||||||||||||||
5 | Long | Canada 10 Year Bonds | December 2018 | $ | 513,975 | $ | 513,374 | $ | (601 | ) | |||||||||||||||||
3 | Long | Long Gilt Future | December 2018 | 473,387 | 472,900 | (487 | ) | ||||||||||||||||||||
13 | Short | U.S. Treasury 10 Year Notes | December 2018 | 1,560,562 | 1,544,156 | 16,406 | |||||||||||||||||||||
27 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2018 | 3,448,796 | 3,402,000 | 46,796 | |||||||||||||||||||||
6 | Long | U.S. Treasury 2 Year Notes | December 2018 | 1,264,015 | 1,264,406 | 391 | |||||||||||||||||||||
26 | Long | U.S. Treasury 5 Year Notes | December 2018 | 2,945,281 | 2,924,390 | (20,891 | ) | ||||||||||||||||||||
8 | Long | U.S. Treasury Ultra Bonds | December 2018 | 1,266,314 | 1,234,250 | (32,064 | ) | ||||||||||||||||||||
$ | 9,550 |
* 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.
83
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
HSBC Bank USA | EUR | 405,000 | USD | 477,186 | 10/31/2018 | $ | 5,896 | $ | — | ||||||||||||||||||||||
JPMorgan Chase Bank | JPY | 96,350,000 | USD | 875,845 | 11/13/2018 | 25,268 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 31,164 | $ | — |
EUR — Euro Currency
JPY — Japanese Yen
USD — United States Dollar
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 | 240 | 11/14/2026 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | 20,004 | |||||||||||||||
USD | 395 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (8,638 | ) | 38,179 | ||||||||||||||||
$ | (8,638 | ) | $ | 58,183 |
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 September 30, 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 | $ | — | $ | — | $ | 8,402 | $ | 8,402 | |||||||||||
Other Industries | 19,050,099 | — | — | 19,050,099 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 2 | 2 | |||||||||||||||
Other Industries | — | 883,020 | — | 883,020 | |||||||||||||||
Asset Backed Securities | — | 13,655,446 | — | 13,655,446 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 532 | 5 | 537 | |||||||||||||||
Other Industries | — | 10,205,973 | — | 10,205,973 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,497,994 | — | 1,497,994 | |||||||||||||||
Municipal Bond & Notes | — | 347,132 | — | 347,132 | |||||||||||||||
U.S. Government Agencies | — | 16,812,726 | — | 16,812,726 | |||||||||||||||
U.S. Government Treasuries | — | 5,409,275 | — | 5,409,275 | |||||||||||||||
Foreign Government Obligations | — | 674,335 | — | 674,335 | |||||||||||||||
Short-Term Investment Securities | — | 1,014,795 | — | 1,014,795 | |||||||||||||||
Repurchase Agreements | — | 1,880,000 | — | 1,880,000 | |||||||||||||||
Total Investments at Value | $ | 19,050,099 | $ | 52,381,228 | $ | 8,409 | $ | 71,439,736 |
84
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 63,593 | $ | — | $ | — | $ | 63,593 | |||||||||||
Forward Foreign Currency Contracts | — | 31,164 | — | 31,164 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 58,183 | — | 58,183 | |||||||||||||||
Total Other Financial Instruments | $ | 63,593 | $ | 89,347 | $ | — | $ | 152,940 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 54,043 | $ | — | $ | — | $ | 54,043 |
* 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
85
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 27.9 | % | |||||
Federal National Mtg. Assoc. | 17.2 | ||||||
United States Treasury Notes | 11.2 | ||||||
Federal Home Loan Mtg. Corp. | 9.4 | ||||||
Government National Mtg. Assoc. | 8.3 | ||||||
Diversified Banking Institutions | 5.9 | ||||||
United States Treasury Bonds | 3.1 | ||||||
Repurchase Agreements | 2.7 | ||||||
Foreign Government Obligations | 1.9 | ||||||
Sovereign | 1.4 | ||||||
Medical-HMO | 1.4 | ||||||
Electronic Components-Semiconductors | 1.3 | ||||||
Electric-Integrated | 1.3 | ||||||
E-Commerce/Products | 1.3 | ||||||
Applications Software | 1.2 | ||||||
Tobacco | 1.2 | ||||||
Cable/Satellite TV | 1.1 | ||||||
Web Portals/ISP | 1.1 | ||||||
Pharmacy Services | 1.0 | ||||||
Finance-Credit Card | 1.0 | ||||||
Telephone-Integrated | 1.0 | ||||||
Medical-Drugs | 0.8 | ||||||
Real Estate Investment Trusts | 0.8 | ||||||
Computers | 0.8 | ||||||
Banks-Commercial | 0.8 | ||||||
Pipelines | 0.7 | ||||||
Oil Companies-Exploration & Production | 0.7 | ||||||
Municipal Bonds & Notes | 0.7 | ||||||
Retail-Restaurants | 0.7 | ||||||
Medical-Biomedical/Gene | 0.6 | ||||||
Banks-Super Regional | 0.6 | ||||||
Multimedia | 0.6 | ||||||
Insurance-Multi-line | 0.6 | ||||||
Diversified Manufacturing Operations | 0.6 | ||||||
Transport-Rail | 0.6 | ||||||
Finance-Other Services | 0.5 | ||||||
Aerospace/Defense-Equipment | 0.5 | ||||||
Electric-Generation | 0.5 | ||||||
Beverages-Non-alcoholic | 0.4 | ||||||
Medical-Hospitals | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Consulting Services | 0.4 | ||||||
Aerospace/Defense | 0.4 | ||||||
Broadcast Services/Program | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Enterprise Software/Service | 0.3 | ||||||
Electronic Forms | 0.3 | ||||||
Brewery | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Medical Instruments | 0.3 | ||||||
Auto-Cars/Light Trucks | 0.3 | ||||||
Coatings/Paint | 0.3 | ||||||
Internet Content-Entertainment | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
Medical Products | 0.3 | ||||||
Entertainment Software | 0.3 | ||||||
Cellular Telecom | 0.2 | ||||||
Athletic Footwear | 0.2 | ||||||
Retail-Discount | 0.2 | ||||||
E-Commerce/Services | 0.2 |
Commercial Services | 0.2 | % | |||||
Insurance-Property/Casualty | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Diagnostic Equipment | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Airlines | 0.2 | ||||||
Semiconductor Equipment | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Therapeutics | 0.2 | ||||||
Cruise Lines | 0.2 | ||||||
Industrial Gases | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Cosmetics & Toiletries | 0.2 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Computer Services | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Industrial Automated/Robotic | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Music | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Computer Software | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Retail-Gardening Products | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Television | 0.1 | ||||||
126.4 | % |
* Calculated as a percentage of net assets
86
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 61.5 | % | |||||
Aa | 1.2 | ||||||
A | 6.9 | ||||||
Baa | 13.4 | ||||||
Ba | 3.8 | ||||||
B | 1.0 | ||||||
Caa | 0.9 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 11.1 | ||||||
100.0 | % |
† 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.
87
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 16.3% | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
Boeing Co. | 255 | $ | 94,834 | ||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
L3 Technologies, Inc. | 497 | 105,672 | |||||||||
Airlines — 0.1% | |||||||||||
United Continental Holdings, Inc.† | 571 | 50,853 | |||||||||
Applications Software — 1.0% | |||||||||||
Microsoft Corp. | 2,963 | 338,878 | |||||||||
salesforce.com, Inc.† | 951 | 151,238 | |||||||||
490,116 | |||||||||||
Athletic Footwear — 0.2% | |||||||||||
NIKE, Inc., Class B | 1,401 | 118,693 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Aptiv PLC | 788 | 66,113 | |||||||||
Beverages-Non-alcoholic — 0.4% | |||||||||||
Coca-Cola Co. | 3,219 | 148,686 | |||||||||
Monster Beverage Corp.† | 972 | 56,648 | |||||||||
205,334 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class C† | 1,059 | 31,325 | |||||||||
Building Products-Cement — 0.1% | |||||||||||
Vulcan Materials Co. | 421 | 46,815 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Liberty Broadband Corp., Class C† | 796 | 67,103 | |||||||||
Coatings/Paint — 0.2% | |||||||||||
Sherwin-Williams Co. | 173 | 78,751 | |||||||||
Commercial Services — 0.2% | |||||||||||
CoStar Group, Inc.† | 148 | 62,284 | |||||||||
ServiceMaster Global Holdings, Inc.† | 713 | 44,228 | |||||||||
106,512 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Worldpay, Inc., Class A† | 635 | 64,306 | |||||||||
Computer Aided Design — 0.1% | |||||||||||
Autodesk, Inc.† | 275 | 42,930 | |||||||||
Computer Services — 0.1% | |||||||||||
Amdocs, Ltd. | 883 | 58,260 | |||||||||
Computer Software — 0.1% | |||||||||||
SS&C Technologies Holdings, Inc. | 812 | 46,146 | |||||||||
Computers — 0.7% | |||||||||||
Apple, Inc. | 1,598 | 360,732 | |||||||||
Consulting Services — 0.4% | |||||||||||
Gartner, Inc.† | 806 | 127,751 | |||||||||
Verisk Analytics, Inc.† | 392 | 47,256 | |||||||||
175,007 | |||||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Ball Corp. | 2,174 | 95,634 | |||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
Estee Lauder Cos., Inc., Class A | 528 | 76,729 |
Security Description | Shares | Value (Note 2) | |||||||||
Cruise Lines — 0.2% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 1,369 | $ | 78,622 | ||||||||
Diagnostic Equipment — 0.2% | |||||||||||
Thermo Fisher Scientific, Inc. | 304 | 74,200 | |||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Fastenal Co. | 689 | 39,976 | |||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
A.O. Smith Corp. | 1,016 | 54,224 | |||||||||
Illinois Tool Works, Inc. | 687 | 96,950 | |||||||||
Parker-Hannifin Corp. | 594 | 109,254 | |||||||||
260,428 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
DexCom, Inc.† | 23 | 3,290 | |||||||||
E-Commerce/Products — 1.2% | |||||||||||
Amazon.com, Inc.† | 259 | 518,777 | |||||||||
Wayfair, Inc., Class A† | 316 | 46,664 | |||||||||
565,441 | |||||||||||
E-Commerce/Services — 0.2% | |||||||||||
Booking Holdings, Inc.† | 54 | 107,136 | |||||||||
Electronic Components-Misc. — 0.2% | |||||||||||
Flex, Ltd.† | 4,482 | 58,804 | |||||||||
Sensata Technologies Holding PLC† | 1,036 | 51,334 | |||||||||
110,138 | |||||||||||
Electronic Components-Semiconductors — 0.8% | |||||||||||
Microchip Technology, Inc. | 1,051 | 82,934 | |||||||||
NVIDIA Corp. | 594 | 166,926 | |||||||||
Texas Instruments, Inc. | 1,447 | 155,249 | |||||||||
405,109 | |||||||||||
Electronic Forms — 0.3% | |||||||||||
Adobe Systems, Inc.† | 609 | 164,400 | |||||||||
Enterprise Software/Service — 0.3% | |||||||||||
Tyler Technologies, Inc.† | 297 | 72,783 | |||||||||
Ultimate Software Group, Inc.† | 291 | 93,757 | |||||||||
166,540 | |||||||||||
Entertainment Software — 0.3% | |||||||||||
Activision Blizzard, Inc. | 1,480 | 123,121 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 1,427 | 44,351 | |||||||||
Finance-Credit Card — 0.9% | |||||||||||
Mastercard, Inc., Class A | 871 | 193,893 | |||||||||
Visa, Inc., Class A | 1,499 | 224,985 | |||||||||
418,878 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
TD Ameritrade Holding Corp. | 1,178 | 62,234 | |||||||||
Finance-Other Services — 0.2% | |||||||||||
CME Group, Inc. | 262 | 44,595 | |||||||||
Intercontinental Exchange, Inc. | 738 | 55,269 | |||||||||
99,864 | |||||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 1,317 | 56,657 |
88
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 1,041 | $ | 38,933 | ||||||||
Industrial Automated/Robotic — 0.1% | |||||||||||
Cognex Corp. | 933 | 52,080 | |||||||||
Industrial Gases — 0.2% | |||||||||||
Air Products & Chemicals, Inc. | 492 | 82,189 | |||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Progressive Corp. | 1,396 | 99,172 | |||||||||
Internet Content-Entertainment — 0.3% | |||||||||||
Facebook, Inc., Class A† | 763 | 125,483 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
athenahealth, Inc.† | 325 | 43,420 | |||||||||
Medical Instruments — 0.2% | |||||||||||
Boston Scientific Corp.† | 2,586 | 99,561 | |||||||||
Medical-Biomedical/Gene — 0.4% | |||||||||||
AnaptysBio, Inc.† | 433 | 43,200 | |||||||||
Celgene Corp.† | 849 | 75,977 | |||||||||
Gilead Sciences, Inc. | 110 | 8,493 | |||||||||
Insmed, Inc.† | 1,049 | 21,211 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 164 | 66,263 | |||||||||
215,144 | |||||||||||
Medical-Drugs — 0.5% | |||||||||||
Bristol-Myers Squibb Co. | 1,342 | 83,311 | |||||||||
Eli Lilly & Co. | 887 | 95,184 | |||||||||
Global Blood Therapeutics, Inc.† | 253 | 9,614 | |||||||||
Merck & Co., Inc. | 1,023 | 72,572 | |||||||||
260,681 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 899 | 32,903 | |||||||||
Medical-HMO — 0.5% | |||||||||||
Humana, Inc. | 362 | 122,544 | |||||||||
UnitedHealth Group, Inc. | 426 | 113,333 | |||||||||
235,877 | |||||||||||
Multimedia — 0.1% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 1,625 | 60,434 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Anadarko Petroleum Corp. | 563 | 37,952 | |||||||||
Real Estate Investment Trusts — 0.2% | |||||||||||
American Tower Corp. | 675 | 98,078 | |||||||||
Invitation Homes, Inc. | 987 | 22,612 | |||||||||
120,690 | |||||||||||
Retail-Gardening Products — 0.1% | |||||||||||
Tractor Supply Co. | 385 | 34,989 | |||||||||
Retail-Restaurants — 0.5% | |||||||||||
Dunkin' Brands Group, Inc. | 429 | 31,626 | |||||||||
McDonald's Corp. | 493 | 82,474 | |||||||||
Starbucks Corp. | 1,955 | 111,122 | |||||||||
225,222 | |||||||||||
Semiconductor Equipment — 0.2% | |||||||||||
Lam Research Corp. | 567 | 86,014 |
Security Description | Shares/ Principal Amount(12) | Value (Note 2) | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(10)(13) | 4 | $ | 3,361 | ||||||||
Therapeutics — 0.2% | |||||||||||
Neurocrine Biosciences, Inc.† | 625 | 76,844 | |||||||||
Sarepta Therapeutics, Inc.† | 41 | 6,622 | |||||||||
83,466 | |||||||||||
Tobacco — 0.3% | |||||||||||
Altria Group, Inc. | 2,509 | 151,318 | |||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. | 1,330 | 98,486 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 133 | 4,640 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
GoDaddy, Inc., Class A† | 550 | 45,864 | |||||||||
Web Portals/ISP — 1.1% | |||||||||||
Alphabet, Inc., Class C† | 444 | 529,901 | |||||||||
Total Common Stocks (cost $5,812,883) | 7,930,030 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.0% | |||||||||||
Banks-Commercial — 0.5% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(2) | EUR | 200,000 | 229,307 | ||||||||
Diversified Banking Institutions — 1.5% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025(2) | 200,000 | 219,994 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(2) | 275,000 | 271,219 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(2) | EUR | 200,000 | 229,308 | ||||||||
720,521 | |||||||||||
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 $935,616) | 949,829 | ||||||||||
ASSET BACKED SECURITIES — 27.9% | |||||||||||
Diversified Financial Services — 27.9% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.23% (1 ML+0.17%) due 01/25/2037(4) | 36,641 | 35,721 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2014-2, Class C 2.18% due 06/08/2020 | 1,017 | 1,017 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(5) | 250,000 | 249,972 |
89
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.34% (3 ML+1.00%) due 07/28/2028*(5) | $ | 250,000 | $ | 249,871 | |||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(3)(4) | 39,095 | 38,414 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(3)(4) | 31,318 | 31,100 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(3)(4) | 16,337 | 16,202 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.64% (1 ML+1.58%) due 10/25/2034(10) | 3,288 | 3,307 | |||||||||
Atrium XII FRS Series 12A, Class AR 3.18% (3 ML+0.83%) due 04/22/2027*(5) | 250,000 | 248,785 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.45% (3 ML+1.12%) due 01/18/2025*(5) | 147,480 | 147,405 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(3)(6)(7) | 996,911 | 54,279 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3) | 122,138 | 121,010 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3) | 82,835 | 82,105 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(8) | 35,784 | 35,611 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(8) | 29,671 | 29,531 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(3) | 74,303 | 73,794 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3) | 75,758 | 75,284 | |||||||||
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(8) | 43,651 | 43,333 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(3) | $ | 75,593 | $ | 75,799 | |||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3) | 93,496 | 93,683 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.01% (1 ML+0.85%) due 08/15/2036*(6) | 153,000 | 153,000 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 3.92% due 02/25/2036(3)(4) | 119,883 | 112,088 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(3)(6)(7) | 212,620 | 8,138 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(3)(6)(7) | 370,789 | 14,261 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 12,250 | 12,098 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(5) | 250,000 | 248,259 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-3A, Class A1AR 3.44% (3 ML+1.10%) due 10/15/2030*(5) | 250,000 | 249,847 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 3.57% (3 ML+1.23%) due 10/17/2029*(5) | 250,000 | 250,207 | |||||||||
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 3.44% (3 ML+1.10%) due 01/25/2026*(5) | 220,545 | 220,502 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(5) | 250,000 | 249,193 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 16,704 | 16,590 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(4) | 114,891 | 113,455 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(6) | 120,000 | 120,309 |
90
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(6) | $ | 75,000 | $ | 76,701 | |||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 3.94% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 59,956 | 58,575 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024*(10) | 54,726 | 54,441 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(3)(4) | 40,253 | 39,943 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(3)(4) | 63,966 | 63,628 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6) | 110,000 | 107,437 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6) | 155,000 | 155,932 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6) | 155,059 | 154,357 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6) | 149,000 | 151,451 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6) | 75,000 | 76,562 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 44,715 | 39,371 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(3)(6)(7) | 1,197,349 | 47,145 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(6) | 125,000 | 125,486 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(4) | 49,256 | 48,024 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(3)(4) | 50,554 | 50,204 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(3)(4) | 59,079 | 58,552 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-1A, Class 1A 2.73% due 12/26/2046*(3)(4) | 37,130 | 36,989 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(10) | $ | 59,850 | $ | 59,474 | |||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 3.80% due 05/25/2035(3)(4) | 92,465 | 92,664 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 3.56% (3 ML+1.22%) due 07/24/2030*(5) | 250,000 | 249,951 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6) | 160,000 | 155,810 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6) | 40,000 | 43,768 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6) | 100,000 | 100,317 | |||||||||
GS Mtg. Securities Trust Series 2017-CS5, Class A4 3.67% due 03/10/2050(6) | 35,124 | 34,916 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(6) | 145,000 | 145,066 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6) | 140,000 | 142,977 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 3.81% due 03/25/2047(3)(4) | 24,254 | 22,099 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 3.91% due 04/25/2036(3)(4) | 8,406 | 7,521 | |||||||||
Honor Automobile Trust Securitization Series 2016-1A, Class A 2.94% due 11/15/2019* | 6,059 | 6,059 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.60% (1 ML+0.54%) due 05/25/2035(4) | 66,883 | 66,500 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6) | 64,000 | 64,601 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(6) | 125,000 | 121,531 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(8) | 137,081 | 136,704 | |||||||||
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025*(10) | 100,000 | 99,433 |
91
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.63% (1 ML+1.55%) due 02/01/2023*(4) | $ | 69,387 | $ | 68,264 | |||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 3.73% (1 ML+1.65%) due 11/01/2022*(4) | 49,818 | 49,806 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 3.83% (1 ML+1.75%) due 09/01/2022*(1)(4) | 47,934 | 47,964 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.83% (1 ML+1.75%) due 10/01/2022*(4) | 46,549 | 46,341 | |||||||||
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(5) | 250,000 | 249,972 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 3.84% (3 ML+1.50%) due 07/25/2026*(5) | 250,000 | 249,834 | |||||||||
Marlette Funding Trust Series 2017-3A, Class A 2.36% due 12/15/2024*(10) | 45,983 | 45,819 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(3)(4) | 14,918 | 15,455 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 3.88% due 12/25/2034(3)(4) | 29,082 | 29,789 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8) | 91,131 | 90,185 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(3)(6)(7) | 347,507 | 13,785 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(6) | 25,000 | 25,502 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(3)(6)(7) | 128,866 | 11,033 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6) | 105,000 | 105,605 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | $ | 32,693 | $ | 26,033 | |||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.62% (1 ML+0.28%) due 10/25/2035(4) | 127,484 | 126,053 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 57,500 | 57,009 | |||||||||
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051* | 100,000 | 98,959 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(3) | 87,750 | 88,134 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.56% (1 ML+1.50%) due 06/25/2057*(4) | 109,894 | 112,693 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(4) | 84,714 | 84,574 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(4) | 76,165 | 75,798 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(4) | 146,155 | 146,567 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(4) | 146,584 | 147,397 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(4) | 116,784 | 117,281 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(4) | 92,187 | 92,621 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3) | 121,603 | 121,971 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(4) | 12,683 | 12,185 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 110,000 | 108,966 |
92
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | $ | 87,539 | $ | 87,069 | |||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 85,520 | 85,000 | |||||||||
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 3.48% (3 ML+1.13%) due 07/20/2026*(5) | 250,000 | 250,024 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(5) | 215,000 | 214,430 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 138,000 | 135,638 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 76,800 | 77,205 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.32% (1 ML+0.10%) due 02/25/2037(10) | 45,056 | 28,258 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(5) | 250,000 | 249,619 | |||||||||
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023* | 37,148 | 37,045 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4) | 1,627 | 1,565 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.19% (1 ML+0.13%) due 05/25/2037(10) | 109,327 | 83,280 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(10) | 66,063 | 66,001 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 55,320 | 54,657 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025*(10) | 30,430 | 30,337 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.31% (1 ML+0.25%) due 11/25/2036(10) | 195,000 | 181,166 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 142,070 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | $ | 100,000 | $ | 99,729 | |||||||
TICP CLO III-2 Ltd FRS Series 2018-3R, Class A 3.20% (3ML + 0.84%) due 04/20/2028*(5) | 250,000 | 248,408 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(3) | 67,272 | 65,632 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3) | 58,715 | 57,532 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3) | 150,942 | 147,782 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3) | 70,941 | 69,609 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3) | 104,576 | 101,635 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(3) | 78,087 | 76,053 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057* | 100,410 | 100,500 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(5) | 250,000 | 249,963 | |||||||||
Tryon Park CLO, Ltd. FRS Series 2013-1A, Class A1SR 3.24% (3 ML+0.89%) due 04/15/2029*(5) | 405,000 | 403,000 | |||||||||
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(8) | 50,721 | 50,278 | |||||||||
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 06/25/2047*(8)(10) | 44,708 | 44,411 | |||||||||
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(8) | 60,917 | 60,235 | |||||||||
VOLT LXIV LLC VRS Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(8) | 108,104 | 107,443 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(8) | 81,839 | 81,657 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.23% (3 ML+0.90%) due 01/18/2029*(5) | 250,000 | 249,056 |
93
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(3)(6)(7) | $ | 977,361 | $ | 45,954 | |||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6) | 80,000 | 80,755 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)(6) | 10,000 | 9,364 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 3.78% due 01/25/2035(3)(4) | 82,464 | 83,607 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 3.93% due 03/25/2035(3)(4) | 57,082 | 58,348 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.20% due 11/25/2034(3)(4) | 1,266 | 1,283 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(4) | 32,378 | 32,239 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(10) | 49,625 | 47,635 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 84,396 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(3)(6)(7) | 501,880 | 7,946 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6) | 145,000 | 147,714 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(6) | 130,000 | 132,755 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6) | 60,000 | 61,492 | |||||||||
Total Asset Backed Securities (cost $13,592,108) | 13,563,729 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 21.2% | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 80,000 | 76,163 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Aerospace/Defense-Equipment — 0.3% | |||||||||||
United Technologies Corp. Senior Notes 2.80% due 05/04/2024 | $ | 5,000 | $ | 4,741 | |||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 110,000 | 109,511 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 30,000 | 29,858 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,028 | |||||||||
149,138 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 10,000 | 8,850 | |||||||||
Airlines — 0.1% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 15,000 | 14,812 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 25,000 | 24,556 | |||||||||
39,368 | |||||||||||
Applications Software — 0.2% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 40,000 | 38,259 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 35,000 | 34,241 | |||||||||
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023 | 20,000 | 19,855 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 15,000 | 14,872 | |||||||||
107,227 | |||||||||||
Auto-Cars/Light Trucks — 0.3% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 8,907 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 25,000 | 23,336 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 20,000 | 19,866 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 45,000 | 48,708 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 40,000 | 38,902 | |||||||||
139,719 |
94
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | $ | 40,000 | $ | 39,508 | |||||||
Banks-Super Regional — 0.6% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 27,919 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 25,000 | 23,199 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 126,883 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 90,000 | 86,353 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 25,000 | 23,549 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 20,000 | 20,263 | |||||||||
308,166 | |||||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 45,000 | 43,010 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 10,000 | 9,643 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 30,000 | 28,071 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 5,000 | 4,665 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 39,000 | 39,952 | |||||||||
125,341 | |||||||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 35,000 | 34,009 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036 | 5,000 | 5,007 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 35,000 | 34,636 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | $ | 45,000 | $ | 38,980 | |||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 9,687 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 40,000 | 38,826 | |||||||||
161,145 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020* | 49,000 | 48,502 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 36,000 | 35,308 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 19,000 | 18,540 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,395 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 20,000 | 21,326 | |||||||||
139,071 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 55,000 | 56,237 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 40,000 | 39,300 | |||||||||
Cable/Satellite TV — 1.0% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 80,000 | 81,234 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 45,000 | 45,028 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 55,000 | 59,124 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 8,344 |
95
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | $ | 15,000 | $ | 13,302 | |||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 30,000 | 29,409 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 40,000 | 37,854 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 10,000 | 9,075 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 45,000 | 45,956 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 50,000 | 42,670 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 45,433 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 70,000 | 71,446 | |||||||||
488,875 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 5,000 | 5,188 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 45,000 | 46,687 | |||||||||
51,875 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 10,000 | 10,089 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 15,000 | 14,407 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 40,000 | 38,066 | |||||||||
52,473 | |||||||||||
Commercial Services-Finance — 0.3% | |||||||||||
Cardtronics, Inc. Company Guar. Notes 5.13% due 08/01/2022 | 20,000 | 19,684 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 110,000 | 109,789 | |||||||||
129,473 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | $ | 15,000 | $ | 13,458 | |||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | �� | 10,000 | 9,590 | ||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 20,000 | 20,552 | |||||||||
43,600 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 75,000 | 72,531 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 20,000 | 20,039 | |||||||||
First Data Corp. Senior Sec. Notes 5.00% due 01/15/2024* | 35,000 | 35,219 | |||||||||
55,258 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,261 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 9,695 | |||||||||
18,956 | |||||||||||
Diversified Banking Institutions — 3.6% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 160,000 | 157,955 | |||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | 15,000 | 14,731 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 115,000 | 110,595 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 75,000 | 72,194 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 45,000 | 43,922 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 30,000 | 29,826 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 100,000 | 100,566 | |||||||||
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025 | 4,000 | 4,626 |
96
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | $ | 25,000 | $ | 24,040 | |||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 50,000 | 46,670 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,636 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 18,805 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 19,630 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 85,000 | 84,018 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 7,064 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 10,000 | 9,754 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 55,000 | 54,437 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 35,000 | 34,132 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 35,000 | 33,816 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 60,000 | 58,119 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 95,000 | 88,058 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 40,000 | 39,414 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 35,000 | 35,720 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 55,000 | 66,106 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 50,000 | 48,449 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 15,000 | 14,867 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | $ | 50,000 | $ | 47,360 | |||||||
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,598 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 39,945 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | 50,000 | 49,153 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 15,000 | 17,314 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 25,000 | 24,426 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 40,000 | 38,893 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 11,000 | 10,248 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 105,000 | 99,623 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 15,000 | 14,404 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 38,393 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 50,000 | 49,833 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 2,000 | 1,985 | |||||||||
1,760,325 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 24,707 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 15,000 | 14,472 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 55,000 | 53,848 | |||||||||
68,320 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 35,000 | 34,564 |
97
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Generation — 0.1% | |||||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | $ | 5,000 | $ | 4,872 | |||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026* | 40,000 | 40,450 | |||||||||
45,322 | |||||||||||
Electric-Integrated — 1.3% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 5,000 | 4,987 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 10,000 | 10,087 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 25,000 | 23,669 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 30,000 | 29,526 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 50,000 | 43,451 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 13,429 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 13,699 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 5,000 | 4,859 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 49,560 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 10,000 | 10,155 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 120,000 | 116,995 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 29,098 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026 | 5,000 | 4,554 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027 | 100,000 | 91,423 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024 | 10,000 | 9,543 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 50,000 | 56,832 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021 | $ | 10,000 | $ | 10,004 | |||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 15,000 | 14,940 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 45,000 | 41,247 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025 | 10,000 | 9,935 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048 | 5,000 | 4,780 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,606 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 30,000 | 27,980 | |||||||||
630,359 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 10,000 | 11,307 | |||||||||
Electronic Components-Semiconductors — 0.5% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 80,000 | 79,061 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 20,000 | 18,581 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 105,000 | 102,017 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 25,000 | 24,716 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 35,000 | 34,783 | |||||||||
259,158 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 30,000 | 29,066 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 50,000 | 48,965 |
98
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | $ | 20,000 | $ | 18,991 | |||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 45,000 | 47,700 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 50,000 | 49,212 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016†(10) | 10,000 | 280 | |||||||||
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 | |||||||||
282 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 155,685 | |||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 30,000 | 26,496 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 55,000 | 54,908 | |||||||||
81,404 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 40,000 | 39,061 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 35,000 | 34,737 | |||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026 | 5,000 | 4,963 | |||||||||
39,700 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 14,594 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 19,435 | |||||||||
34,029 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | $ | 40,000 | $ | 40,900 | |||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 45,000 | 44,363 | |||||||||
85,263 | |||||||||||
Insurance-Multi-line — 0.6% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021 | 270,000 | 270,519 | |||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 20,000 | 17,300 | |||||||||
287,819 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 10,750 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 20,000 | 20,600 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 10,000 | 10,037 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
IQVIA, Inc. Company Guar. Notes 4.88% due 05/15/2023* | 40,000 | 40,200 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 45,000 | 44,461 | |||||||||
Medical Products — 0.3% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 77,294 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 50,000 | 47,812 | |||||||||
125,106 | |||||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 29,135 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 1,986 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 20,000 | 18,821 |
99
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | $ | 25,000 | $ | 24,877 | |||||||
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047 | 50,000 | 47,370 | |||||||||
122,189 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 60,000 | 59,912 | |||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028* | 15,000 | 14,582 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 15,000 | 13,862 | |||||||||
28,444 | |||||||||||
Medical-HMO — 0.9% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 20,000 | 19,163 | |||||||||
Anthem, Inc. Senior Notes 3.65% due 12/01/2027 | 60,000 | 57,000 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 50,000 | 48,859 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 10,366 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025* | 30,000 | 29,914 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028* | 160,000 | 159,534 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 30,000 | 30,061 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 40,000 | 40,190 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048 | 10,000 | 10,037 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 10,000 | 10,702 | |||||||||
415,826 | |||||||||||
Medical-Hospitals — 0.4% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 25,000 | 24,312 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | $ | 15,000 | $ | 14,246 | |||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 160,000 | 159,003 | |||||||||
197,561 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 35,000 | 33,487 | |||||||||
Multimedia — 0.5% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.20% due 12/15/2034 | 50,000 | 61,600 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 100,000 | 100,682 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 15,000 | 13,091 | |||||||||
Viacom, Inc. Senior Notes 4.85% due 12/15/2034 | 5,000 | 4,729 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 60,000 | 57,394 | |||||||||
237,496 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 50,000 | 48,750 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 35,000 | 32,015 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 6.95% due 06/15/2019 | 10,000 | 10,265 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 5,000 | 5,088 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.00% due 09/15/2022 | 16,000 | 16,232 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 25,000 | 24,242 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,190 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 45,000 | 50,673 |
100
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | $ | 10,000 | $ | 9,775 | |||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 40,000 | 40,150 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 25,000 | 25,750 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 25,000 | 25,125 | |||||||||
212,490 | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 20,000 | 19,018 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 25,000 | 24,657 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 35,000 | 33,271 | |||||||||
76,946 | |||||||||||
Pharmacy Services — 1.0% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 266,000 | 263,531 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 80,000 | 80,011 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 23,000 | 22,665 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 65,000 | 64,826 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 30,000 | 30,685 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 35,981 | |||||||||
497,699 | |||||||||||
Pipelines — 0.7% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 40,000 | 39,084 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 3.88% due 03/15/2023 | 10,000 | 9,750 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 4.95% due 04/01/2022 | 5,000 | 5,075 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | $ | 15,000 | $ | 15,119 | |||||||
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 20,000 | 20,296 | |||||||||
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 25,000 | 25,690 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 20,000 | 19,236 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 25,000 | 24,350 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,319 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,010 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 15,000 | 14,551 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 45,000 | 43,137 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,446 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 10,000 | 9,771 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 45,000 | 44,203 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 45,000 | 43,166 | |||||||||
337,203 | |||||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 20,000 | 20,058 | |||||||||
Real Estate Investment Trusts — 0.6% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 30,000 | 28,910 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 10,000 | 9,503 | |||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/11/2044* | 100,000 | 99,799 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 83,347 |
101
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | $ | 70,000 | $ | 68,984 | |||||||
290,543 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 30,000 | 30,600 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 25,000 | 24,719 | |||||||||
55,319 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 20,000 | 17,284 | |||||||||
Retail-Discount — 0.2% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 110,000 | 110,479 | |||||||||
Retail-Restaurants — 0.2% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 35,000 | 34,702 | |||||||||
Starbucks Corp. Senior Notes 3.80% due 08/15/2025 | 25,000 | 24,835 | |||||||||
Starbucks Corp. Senior Notes 4.00% due 11/15/2028 | 15,000 | 14,958 | |||||||||
74,495 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 15,000 | 14,287 | |||||||||
Telephone-Integrated — 0.9% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 70,000 | 67,958 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 14,806 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 41,000 | 39,430 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 3,000 | 2,584 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 5,000 | 4,671 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 50,000 | 45,682 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | $ | 15,000 | $ | 14,950 | |||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 14,000 | 13,342 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 60,000 | 58,511 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 15,000 | 14,876 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 25,000 | 23,774 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 41,000 | 38,545 | |||||||||
Verizon Communications, Inc. Senior Notes 4.86% due 08/21/2046 | 10,000 | 9,975 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 25,000 | 25,083 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 45,000 | 47,978 | |||||||||
422,165 | |||||||||||
Tobacco — 0.9% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 100,000 | 97,794 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 17,494 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 240,000 | 235,192 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024* | 35,000 | 33,360 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 55,000 | 51,168 | |||||||||
435,008 | |||||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 80,000 | 75,814 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 65,000 | 66,108 | |||||||||
141,922 | |||||||||||
Transport-Services — 0.1% | |||||||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 20,000 | 18,148 |
102
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Transport-Services (continued) | |||||||||||
FedEx Corp. Company Guar. Notes 4.75% due 11/15/2045 | $ | 15,000 | $ | 15,020 | |||||||
33,168 | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021* | 30,000 | 30,028 | |||||||||
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023* | 30,000 | 30,122 | |||||||||
60,150 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $10,476,698) | 10,289,652 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 3.1% | |||||||||||
Banks-Commercial — 0.2% | |||||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 95,000 | 93,099 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 75,000 | 73,892 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 20,000 | 17,974 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 34,217 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 10,000 | 9,631 | |||||||||
43,848 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,805 | |||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | 200,000 | 189,331 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 200,000 | 193,166 | |||||||||
382,497 | |||||||||||
Electric-Generation — 0.4% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 200,000 | 193,376 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | $ | 15,000 | $ | 14,330 | |||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 40,000 | 39,900 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 40,000 | 41,600 | |||||||||
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021 | 10,000 | 9,984 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 48,295 | |||||||||
99,879 | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 20,000 | 19,866 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 20,000 | 19,701 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 30,000 | 30,022 | |||||||||
Mylan NV Company Guar. Notes 3.95% due 06/15/2026 | 8,000 | 7,568 | |||||||||
77,157 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 75,000 | 82,192 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 11,715 | |||||||||
93,907 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 65,000 | 63,302 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 30,000 | 30,128 | |||||||||
93,430 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 34,000 | 32,442 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022*(10) | ARS | 1,676,987 | 21,120 | ||||||||
53,562 |
103
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines — 0.0% | |||||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | $ | 15,000 | $ | 15,272 | |||||||
Steel-Producers — 0.1% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 50,000 | 54,324 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 36,192 | |||||||||
Television — 0.1% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.38% due 06/15/2024* | 25,000 | 25,688 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 9.45% due 08/01/2021 | 30,000 | 34,614 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 25,000 | 24,062 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,550 | |||||||||
45,612 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,614,324) | 1,493,358 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.7% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 14,195 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 30,000 | 29,737 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 60,000 | 76,267 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 15,000 | 16,025 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 70,000 | 76,135 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 40,000 | 58,383 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 65,000 | 65,748 | |||||||||
Total Municipal Bonds & Notes (cost $331,316) | 336,490 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES — 34.9% | |||||||||||
Federal Home Loan Mtg. Corp. — 9.4% | |||||||||||
2.50% due 01/01/2028 | $ | 6,221 | $ | 6,043 | |||||||
2.50% due 04/01/2028 | 13,449 | 13,066 | |||||||||
3.00% due 08/01/2027 | 6,120 | 6,054 | |||||||||
3.00% due 10/01/2042 | 16,579 | 16,018 | |||||||||
3.00% due 11/01/2042 | 6,449 | 6,231 | |||||||||
3.00% due 02/01/2043 | 27,195 | 26,254 | |||||||||
3.00% due 08/01/2043 | 56,105 | 54,168 | |||||||||
3.00% due October TBA | 500,000 | 478,392 | |||||||||
3.50% due 02/01/2042 | 7,102 | 7,041 | |||||||||
3.50% due 03/01/2042 | 4,238 | 4,204 | |||||||||
3.50% due 09/01/2043 | 23,289 | 23,101 | |||||||||
3.50% due October TBA | 1,000,000 | 984,219 | |||||||||
Federal Home Loan Mtg. Corp. FRS 3.99% (6 ML+1.49%) due 02/01/2037 | 1,215 | 1,251 | |||||||||
Federal Home Loan Mtg. Corp. 4.00% due 03/01/2023 | 641 | 654 | |||||||||
4.00% due 10/01/2043 | 11,646 | 11,824 | |||||||||
4.00% due October TBA | 2,100,000 | 2,120,583 | |||||||||
4.50% due 01/01/2039 | 813 | 843 | |||||||||
4.50% due October TBA | 300,000 | 309,621 | |||||||||
5.00% due 12/01/2020 | 728 | 748 | |||||||||
5.00% due 07/01/2021 | 3,669 | 3,703 | |||||||||
5.00% due 05/01/2034 | 9,920 | 10,559 | |||||||||
5.50% due 07/01/2034 | 5,845 | 6,324 | |||||||||
5.50% due 07/01/2035 | 5,962 | 6,458 | |||||||||
5.50% due 04/01/2037 | 2,132 | 2,302 | |||||||||
5.50% due 05/01/2037 | 2,022 | 2,178 | |||||||||
5.50% due 08/01/2037 | 11,952 | 12,957 | |||||||||
6.50% due 05/01/2029 | 2,053 | 2,271 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(3)(6) | 90,000 | 89,777 | |||||||||
Series 2012-K706, Class B 4.17% due 11/25/2044*(3)(6) | 75,000 | 74,891 | |||||||||
Series 2010-K8, Class B 5.44% due 09/25/2043*(3)(6) | 100,000 | 102,923 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs Series K064, Class X1 0.74% due 03/25/2027 VRS (3)(6)(7) | 378,190 | 16,474 | |||||||||
Series K068, Class A2 3.24% due 08/25/2027(6) | 82,000 | 80,027 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*(4) | 29,564 | 29,910 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 867 | 829 |
104
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | $ | 24,133 | $ | 23,682 | |||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | 4,233 | 4,413 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 439 | 463 | |||||||||
4,540,456 | |||||||||||
Federal National Mtg. Assoc. — 17.2% | |||||||||||
2.50% due 02/01/2043 | 136,282 | 126,785 | |||||||||
2.50% due 03/01/2043 | 131,414 | 122,256 | |||||||||
2.64% due 03/01/2027 | 37,355 | 35,493 | |||||||||
2.66% due 03/01/2027 | 210,000 | 197,665 | |||||||||
2.78% due 03/01/2027 | 75,369 | 72,161 | |||||||||
2.88% due 11/01/2027 | 155,111 | 146,925 | |||||||||
2.97% due 06/01/2027 | 132,048 | 127,484 | |||||||||
3.00% due 07/01/2027 | 110,000 | 105,297 | |||||||||
3.00% due 01/01/2028 | 9,246 | 9,188 | |||||||||
3.00% due October TBA | 125,000 | 123,449 | |||||||||
3.16% due 08/01/2027 | 150,000 | 145,448 | |||||||||
3.50% due 11/01/2047 | 784,885 | 772,818 | |||||||||
3.50% due October TBA | 4,725,000 | 4,649,537 | |||||||||
3.64% (12 ML+1.82%) due 10/01/2040 FRS | 2,194 | 2,290 | |||||||||
3.79% (12 ML+1.57%) due 05/01/2037 FRS | 1,939 | 2,019 | |||||||||
4.00% due 11/01/2040 | 54,636 | 55,587 | |||||||||
4.00% due 11/01/2041 | 2,720 | 2,771 | |||||||||
4.00% due 10/01/2043 | 47,770 | 48,399 | |||||||||
4.00% due 11/01/2043 | 6,319 | 6,424 | |||||||||
4.00% due 12/01/2043 | 32,546 | 33,204 | |||||||||
4.50% due 01/01/2039 | 2,028 | 2,112 | |||||||||
4.50% due 06/01/2039 | 29,801 | 30,873 | |||||||||
4.50% due 05/01/2041 | 6,446 | 6,706 | |||||||||
5.00% due 06/01/2019 | 250 | 258 | |||||||||
5.00% due 07/01/2040 | 19,993 | 21,271 | |||||||||
5.50% due 06/01/2020 | 25,843 | 26,067 | |||||||||
5.50% due 07/01/2020 | 3,400 | 3,417 | |||||||||
5.50% due 03/01/2021 | 6,771 | 6,862 | |||||||||
5.50% due 04/01/2021 | 6,269 | 6,347 | |||||||||
5.50% due 06/01/2021 | 28,406 | 28,790 | |||||||||
5.50% due 10/01/2021 | 13,164 | 13,345 | |||||||||
5.50% due 12/01/2021 | 33,082 | 33,559 | |||||||||
5.50% due 06/01/2022 | 36,080 | 36,637 | |||||||||
5.50% due 12/01/2029 | 1,243 | 1,326 | |||||||||
5.50% due 05/01/2034 | 2,601 | 2,783 | |||||||||
5.50% due 08/01/2037 | 6,670 | 7,192 | |||||||||
5.50% due 06/01/2038 | 594 | 641 | |||||||||
5.50% due October TBA | 200,000 | 213,422 | |||||||||
6.00% due 06/01/2026 | 11,524 | 12,443 | |||||||||
6.00% due 03/01/2027 | 15,457 | 16,691 | |||||||||
6.00% due 12/01/2033 | 1,629 | 1,793 | |||||||||
6.00% due 05/01/2034 | 6,517 | 7,162 | |||||||||
6.00% due 08/01/2034 | 535 | 588 | |||||||||
6.00% due 06/01/2040 | 3,371 | 3,712 | |||||||||
6.00% due October TBA | 300,000 | 324,082 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
6.50% due 11/01/2035 | $ | 2,927 | $ | 3,213 | |||||||
6.50% due 10/01/2037 | 1,415 | 1,552 | |||||||||
7.00% due 06/01/2037 | 12,457 | 13,954 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.61% (1 ML+3.55%) due 07/25/2029(4) | 35,000 | 38,210 | |||||||||
Series 2016-C07, Class 2M2 6.41% (1 ML+4.35%) due 05/25/2029(4) | 70,142 | 78,463 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | 5,725 | 5,481 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 20,462 | 19,174 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 40,871 | 38,397 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 44,248 | 42,399 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 37,790 | 36,221 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 56,620 | 55,307 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 52,937 | 51,596 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 52,760 | 51,421 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 62,775 | 61,195 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 24,106 | 24,136 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 61,000 | 60,476 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 59,135 | 58,895 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 58,864 | 58,902 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 48,083 | 47,877 | |||||||||
8,340,148 | |||||||||||
Government National Mtg. Assoc. — 8.3% | |||||||||||
3.00% due October TBA | 700,000 | 677,906 | |||||||||
3.50% due October TBA | 1,400,000 | 1,392,070 | |||||||||
4.00% due 10/15/2040 | 20,169 | 20,824 | |||||||||
4.00% due 02/15/2041 | 10,816 | 11,069 | |||||||||
4.00% due 09/15/2041 | 12,996 | 13,301 | |||||||||
4.00% due 10/15/2041 | 8,887 | 9,091 | |||||||||
4.00% due October TBA | 500,000 | 508,496 | |||||||||
4.50% due 06/15/2041 | 144,506 | 150,754 | |||||||||
4.50% due October TBA | 600,000 | 620,043 | |||||||||
5.00% due 01/15/2033 | 1,447 | 1,533 | |||||||||
5.00% due 01/15/2040 | 47,490 | 50,625 | |||||||||
5.00% due October TBA | 300,000 | 312,295 | |||||||||
5.50% due 04/15/2036 | 81,625 | 87,827 | |||||||||
6.00% due 02/15/2033 | 15,484 | 16,730 |
105
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
6.50% due 07/15/2028 | $ | 61,307 | $ | 67,261 | |||||||
6.50% due 08/15/2028 | 4,021 | 4,412 | |||||||||
6.50% due 09/15/2028 | 7,796 | 8,577 | |||||||||
6.50% due 11/15/2028 | 10,426 | 11,439 | |||||||||
7.00% due 01/15/2033 | 5,464 | 6,164 | |||||||||
7.00% due 05/15/2033 | 7,511 | 8,437 | |||||||||
7.00% due 11/15/2033 | 3,414 | 3,842 | |||||||||
8.00% due 02/15/2030 | 1,241 | 1,283 | |||||||||
9.00% due 11/15/2021 | 92 | 96 | |||||||||
Government National Mtg. Assoc. REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 61,269 | 58,509 | |||||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(4) | 196 | 210 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 2,330 | 2,557 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(4) | 1,663 | 1,847 | |||||||||
4,047,198 | |||||||||||
Tennessee Valley Authority — 0.0% | |||||||||||
1.75% due 10/15/2018 | 12,000 | 11,998 | |||||||||
Total U.S. Government Agencies (cost $17,055,820) | 16,939,800 | ||||||||||
U.S. GOVERNMENT TREASURIES — 14.3% | |||||||||||
United States Treasury Bonds — 3.1% | |||||||||||
2.50% due 02/15/2045(14) | 150,000 | 131,373 | |||||||||
3.00% due 05/15/2045(9) | 370,000 | 357,021 | |||||||||
3.00% due 11/15/2045 | 202,000 | 194,812 | |||||||||
3.00% due 02/15/2048 | 175,000 | 168,417 | |||||||||
3.63% due 08/15/2043 | 105,000 | 112,674 | |||||||||
3.63% due 02/15/2044 | 105,000 | 112,793 | |||||||||
3.75% due 11/15/2043 | 105,000 | 114,971 | |||||||||
5.00% due 05/15/2037 | 256,000 | 323,960 | |||||||||
1,516,021 | |||||||||||
United States Treasury Notes — 11.2% | |||||||||||
0.38% due 07/15/2027 TIPS(11) | 1,174,428 | 1,121,946 | |||||||||
1.88% due 11/30/2021 | 1,315,000 | 1,274,882 | |||||||||
1.88% due 02/28/2022 | 487,000 | 470,735 | |||||||||
2.00% due 02/15/2023 | 230,000 | 221,141 | |||||||||
2.00% due 02/15/2025 | 675,000 | 635,713 | |||||||||
2.13% due 07/31/2024 | 665,000 | 634,477 | |||||||||
2.88% due 05/31/2025 | 840,000 | 833,044 | |||||||||
2.88% due 05/15/2028 | 245,000 | 241,306 | |||||||||
5,433,244 | |||||||||||
Total U.S. Government Treasuries (cost $7,175,388) | 6,949,265 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.4% | |||||||||||
Sovereign — 1.4% | |||||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 200,000 | 191,000 |
Security Description | Principal Amount(12) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | $ | 70,000 | $ | 78,925 | |||||||
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047* | 200,000 | 192,660 | |||||||||
Republic of Panama Senior Notes 4.30% due 04/29/2053 | 221,000 | 212,713 | |||||||||
Total Foreign Government Obligations (cost $686,715) | 675,298 | ||||||||||
Total Long-Term Investment Securities (cost $57,680,868) | 59,127,451 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.9% | |||||||||||
Foreign Government Obligations — 1.9% | |||||||||||
Government of Egypt Bills 16.77% due 03/05/2019 | EGP | 325,000 | 16,755 | ||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 900,000 | 49,913 | ||||||||
Government of Japan Bills (0.16)% due 11/12/2018 | JPY | 96,100,000 | 845,927 | ||||||||
Total Short-Term Investment Securities (cost $935,231) | 912,595 | ||||||||||
REPURCHASE AGREEMENTS — 2.7% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | 255,000 | 255,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 85,000 | 85,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 490,000 | 490,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 90,000 | 90,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | 400,000 | 400,000 | |||||||||
Total Repurchase Agreements (cost $1,320,000) | 1,320,000 | ||||||||||
TOTAL INVESTMENTS (cost $59,936,099)(16) | 126.4 | % | 61,360,046 | ||||||||
Liabilities in excess of other assets | (26.4 | ) | (12,801,298 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 48,558,748 |
† 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 September 30, 2018, the aggregate value of these securities was $13,277,621 representing 27.3% 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.
106
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
(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) Collateralized Mortgage Obligation
(5) Collateralized Loan Obligation
(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 September 30, 2018.
(9) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(10) Illiquid security. At September 30, 2018, the aggregate value of these securities was $768,326 representing 1.6% of net assets.
(11) Principal amount of security is adjusted for inflation.
(12) Denominated in United States dollars unless otherwise indicated.
(13) 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 September 30, 2018, the Portfolio held the following restricted securities:
Description | Acquistion Date | Shares | Acquistion Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 4 | $ | 0 | $ | 3,361 | $ | 840.18 | 0.01 | % |
(14) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(15) See Note 2 for details of Joint Repurchase Agreements.
(16) 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 September 30, 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) | |||||||||||||||||||||
5 | Long | Canadian 10 Year Bond | December 2018 | $ | 513,976 | $ | 513,374 | $ | (602 | ) | |||||||||||||||||
3 | Long | Long Gilt Future | December 2018 | 473,386 | 472,900 | (486 | ) | ||||||||||||||||||||
7 | Long | U.S. Treasury 2 Year Notes | December 2018 | 1,474,672 | 1,475,141 | 469 | |||||||||||||||||||||
23 | Long | U.S. Treasury 5 Year Notes | December 2018 | 2,605,508 | 2,586,961 | (18,547 | ) | ||||||||||||||||||||
25 | Short | U.S. Treasury 10 Year Notes | December 2018 | 3,001,086 | 2,969,531 | 31,555 | |||||||||||||||||||||
27 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2018 | 3,448,796 | 3,402,000 | 46,796 | |||||||||||||||||||||
8 | Long | U.S. Treasury Ultra Bonds | December 2018 | 1,261,965 | 1,234,250 | (27,715 | ) | ||||||||||||||||||||
$ | 31,470 |
* 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
107
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
HSBC Bank USA | EUR | 402,000 | USD | 473,652 | 10/31/2018 | $ | 5,853 | $ | — | ||||||||||||||||||||||
JPMorgan Chase Bank | JPY | 96,100,000 | USD | 873,573 | 11/13/2018 | 25,202 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 31,055 | $ | — |
EUR — Euro Currency
JPY — Japanese Yen
USD — United States Dollar
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 | $ | 8,608 | $ | 36,405 | |||||||||||||||
USD | 295 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (6,451 | ) | 28,513 | ||||||||||||||||
$ | 2,157 | $ | 64,918 |
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 September 30, 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 | $ | — | $ | — | $ | 3,361 | $ | 3,361 | |||||||||||
Other Industries | 7,926,669 | — | — | 7,926,669 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 949,828 | — | 949,828 | |||||||||||||||
Asset Backed Securities: | |||||||||||||||||||
Diversified Financial Services | — | 13,515,765 | 47,964 | 13,563,729 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 280 | 2 | 282 | |||||||||||||||
Other Industries | — | 10,289,370 | — | 10,289,370 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,493,358 | — | 1,493,358 | |||||||||||||||
Municipal Bond & Notes | — | 336,490 | — | 336,490 | |||||||||||||||
U.S. Government Agencies | — | 16,939,800 | — | 16,939,800 | |||||||||||||||
U.S. Government Treasuries | — | 6,949,265 | — | 6,949,265 | |||||||||||||||
Foreign Government Obligations | — | 675,298 | — | 675,298 | |||||||||||||||
Short-Term Investment Securities | — | 912,595 | — | 912,595 | |||||||||||||||
Repurchase Agreements | — | 1,320,000 | — | 1,320,000 | |||||||||||||||
Total Investments at Value | $ | 7,926,669 | $ | 53,382,049 | $ | 51,328 | $ | 61,360,046 |
108
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 78,820 | $ | — | $ | — | $ | 78,820 | |||||||||||
Forward Foreign Currency Contracts | — | 31,055 | — | 31,055 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 64,918 | — | 64,918 | |||||||||||||||
Total Other Financial Instruments | $ | 78,820 | $ | 95,973 | $ | — | $ | 174,793 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 47,350 | $ | — | $ | — | $ | 47,350 |
* 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
109
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Commercial Paper | 7.9 | % | |||||
Medical-Drugs | 4.7 | ||||||
United States Treasury Notes | 4.4 | ||||||
Diversified Banking Institutions | 4.4 | ||||||
Aerospace/Defense | 2.4 | ||||||
Web Portals/ISP | 2.4 | ||||||
Real Estate Investment Trusts | 2.1 | ||||||
Banks-Commercial | 2.0 | ||||||
Medical-HMO | 1.9 | ||||||
Electronic Components-Semiconductors | 1.9 | ||||||
Applications Software | 1.9 | ||||||
Repurchase Agreements | 1.8 | ||||||
Computers | 1.7 | ||||||
Oil Companies-Exploration & Production | 1.7 | ||||||
Telephone-Integrated | 1.7 | ||||||
Electric-Integrated | 1.6 | ||||||
Diversified Financial Services | 1.6 | ||||||
Beverages-Non-alcoholic | 1.5 | ||||||
Computer Services | 1.4 | ||||||
Networking Products | 1.3 | ||||||
E-Commerce/Products | 1.3 | �� | |||||
Federal National Mtg. Assoc. | 1.3 | ||||||
Oil Companies-Integrated | 1.3 | ||||||
Medical-Biomedical/Gene | 1.2 | ||||||
Insurance-Life/Health | 1.2 | ||||||
Exchange-Traded Funds | 1.2 | ||||||
Retail-Building Products | 1.2 | ||||||
Pipelines | 1.2 | ||||||
Insurance-Multi-line | 1.1 | ||||||
Apparel Manufacturers | 1.1 | ||||||
United States Treasury Bonds | 1.1 | ||||||
Enterprise Software/Service | 1.1 | ||||||
Food-Misc./Diversified | 1.0 | ||||||
Auto-Cars/Light Trucks | 1.0 | ||||||
Chemicals-Diversified | 0.9 | ||||||
Oil Refining & Marketing | 0.9 | ||||||
Banks-Super Regional | 0.9 | ||||||
Retail-Apparel/Shoe | 0.8 | ||||||
Airlines | 0.8 | ||||||
Multimedia | 0.8 | ||||||
Cosmetics & Toiletries | 0.8 | ||||||
Medical Products | 0.8 | ||||||
Commercial Services-Finance | 0.8 | ||||||
Internet Content-Entertainment | 0.6 | ||||||
Government National Mtg. Assoc. | 0.6 | ||||||
Cruise Lines | 0.6 | ||||||
Hotels/Motels | 0.6 | ||||||
Non-Hazardous Waste Disposal | 0.6 | ||||||
Data Processing/Management | 0.5 | ||||||
Casino Hotels | 0.5 | ||||||
Building-Residential/Commercial | 0.5 | ||||||
Instruments-Controls | 0.5 | ||||||
Auto/Truck Parts & Equipment-Original | 0.5 | ||||||
Oil-Field Services | 0.5 | ||||||
Food-Retail | 0.5 | ||||||
Finance-Credit Card | 0.4 | ||||||
Retail-Drug Store | 0.4 | ||||||
Import/Export | 0.4 | ||||||
Investment Management/Advisor Services | 0.4 | ||||||
Electronic Measurement Instruments | 0.4 |
Computers-Memory Devices | 0.4 | % | |||||
Retail-Jewelry | 0.4 | ||||||
Computer Data Security | 0.4 | ||||||
Medical-Wholesale Drug Distribution | 0.4 | ||||||
Food-Wholesale/Distribution | 0.4 | ||||||
Transport-Rail | 0.4 | ||||||
Semiconductor Equipment | 0.4 | ||||||
Containers-Paper/Plastic | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.3 | ||||||
Steel-Producers | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Internet Security | 0.3 | ||||||
Real Estate Operations & Development | 0.3 | ||||||
Cellular Telecom | 0.3 | ||||||
Engines-Internal Combustion | 0.3 | ||||||
Medical Instruments | 0.3 | ||||||
Independent Power Producers | 0.3 | ||||||
Diversified Manufacturing Operations | 0.3 | ||||||
Finance-Auto Loans | 0.3 | ||||||
Building-Heavy Construction | 0.3 | ||||||
Chemicals-Specialty | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Tobacco | 0.3 | ||||||
Finance-Leasing Companies | 0.3 | ||||||
Brewery | 0.3 | ||||||
Auto-Heavy Duty Trucks | 0.3 | ||||||
Insurance-Reinsurance | 0.3 | ||||||
Metal-Diversified | 0.2 | ||||||
Building & Construction-Misc. | 0.2 | ||||||
Cable/Satellite TV | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Internet Infrastructure Software | 0.2 | ||||||
Retail-Discount | 0.2 | ||||||
Industrial Automated/Robotic | 0.2 | ||||||
Internet Application Software | 0.2 | ||||||
Food-Confectionery | 0.2 | ||||||
Transactional Software | 0.2 | ||||||
Gold Mining | 0.2 | ||||||
Diversified Minerals | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Industrial Gases | 0.2 | ||||||
Television | 0.2 | ||||||
Machine Tools & Related Products | 0.2 | ||||||
Commercial Services | 0.2 | ||||||
Dialysis Centers | 0.2 | ||||||
Audio/Video Products | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Radio | 0.2 | ||||||
Finance-Other Services | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Human Resources | 0.1 |
110
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Water Treatment Systems | 0.1 | % | |||||
Metal Processors & Fabrication | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Decision Support Software | 0.1 | ||||||
Private Equity | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Finance-Mortgage Loan/Banker | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Chemicals-Plastics | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Internet Content-Information/News | 0.1 | ||||||
Petrochemicals | 0.1 | ||||||
Retail-Restaurants | 0.1 | ||||||
Professional Sports | 0.1 | ||||||
Food-Flour & Grain | 0.1 | ||||||
Pharmacy Services | 0.1 | ||||||
Fisheries | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Municipal Bonds & Notes | 0.1 | ||||||
Chemicals-Fibers | 0.1 | ||||||
Finance-Commercial | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Theaters | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
101.3 | % |
* Calculated as a percentage of net assets
111
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 74.8% | |||||||||||
Aerospace/Defense — 2.4% | |||||||||||
Boeing Co. | 5,568 | $ | 2,070,739 | ||||||||
Lockheed Martin Corp. | 1,674 | 579,137 | |||||||||
Northrop Grumman Corp. | 2,457 | 779,778 | |||||||||
Raytheon Co. | 2,344 | 484,411 | |||||||||
Teledyne Technologies, Inc.† | 256 | 63,150 | |||||||||
3,977,215 | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L3 Technologies, Inc. | 225 | 47,840 | |||||||||
Airlines — 0.8% | |||||||||||
Azul SA ADR† | 2,395 | 42,607 | |||||||||
Copa Holdings SA, Class A | 724 | 57,804 | |||||||||
Delta Air Lines, Inc. | 12,679 | 733,227 | |||||||||
easyJet PLC | 8,833 | 151,280 | |||||||||
International Consolidated Airlines Group SA | 27,008 | 232,109 | |||||||||
Japan Airlines Co., Ltd. | 2,600 | 93,455 | |||||||||
1,310,482 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
Aena SME SA* | 1,152 | 199,961 | |||||||||
Apparel Manufacturers — 1.1% | |||||||||||
Hermes International | 408 | 270,298 | |||||||||
JNBY Design, Ltd. | 33,500 | 59,397 | |||||||||
Kering SA | 144 | 77,192 | |||||||||
Michael Kors Holdings, Ltd.† | 5,940 | 407,246 | |||||||||
Moncler SpA | 3,172 | 136,634 | |||||||||
PVH Corp. | 3,100 | 447,640 | |||||||||
Ralph Lauren Corp. | 772 | 106,189 | |||||||||
VF Corp. | 4,044 | 377,912 | |||||||||
1,882,508 | |||||||||||
Applications Software — 1.8% | |||||||||||
Intuit, Inc. | 3,724 | 846,838 | |||||||||
Microsoft Corp. | 12,866 | 1,471,484 | |||||||||
Nuance Communications, Inc.† | 7,934 | 137,417 | |||||||||
Red Hat, Inc.† | 3,261 | 444,409 | |||||||||
2,900,148 | |||||||||||
Audio/Video Products — 0.2% | �� | ||||||||||
Sony Corp. | 4,100 | 251,369 | |||||||||
Auto-Cars/Light Trucks — 0.9% | |||||||||||
Brilliance China Automotive Holdings, Ltd. | 60,000 | 97,032 | |||||||||
Fiat Chrysler Automobiles NV† | 9,057 | 159,249 | |||||||||
Ford Motor Co. | 58,187 | 538,230 | |||||||||
Peugeot SA | 8,959 | 241,635 | |||||||||
Suzuki Motor Corp. | 500 | 28,639 | |||||||||
Toyota Motor Corp. | 7,200 | 449,604 | |||||||||
1,514,389 | |||||||||||
Auto-Heavy Duty Trucks — 0.2% | |||||||||||
Volvo AB, Class B | 14,794 | 261,509 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.4% | |||||||||||
Allison Transmission Holdings, Inc. | 5,656 | 294,169 | |||||||||
Faurecia SA | 3,359 | 202,174 | |||||||||
Visteon Corp.† | 1,197 | 111,201 | |||||||||
WABCO Holdings, Inc.† | 810 | 95,532 | |||||||||
703,076 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial — 1.9% | |||||||||||
ABN AMRO Group NV CVA* | 8,265 | $ | 225,028 | ||||||||
Abu Dhabi Commercial Bank PJSC | 38,521 | 83,167 | |||||||||
China Construction Bank Corp. | 153,000 | 133,683 | |||||||||
CIT Group, Inc. | 4,916 | 253,715 | |||||||||
Credicorp, Ltd. | 351 | 78,301 | |||||||||
DNB ASA | 9,969 | 209,761 | |||||||||
First Abu Dhabi Bank PJSC | 12,285 | 47,829 | |||||||||
First Hawaiian, Inc. | 2,366 | 64,261 | |||||||||
Gentera SAB de CV | 93,844 | 94,927 | |||||||||
Grupo Financiero Banorte SAB de CV, Class O | 11,822 | 85,522 | |||||||||
Hang Seng Bank, Ltd. | 7,800 | 211,830 | |||||||||
HDFC Bank, Ltd. | 3,259 | 90,298 | |||||||||
Itau Unibanco Holding SA ADR | 12,319 | 135,263 | |||||||||
Popular, Inc. | 1,154 | 59,143 | |||||||||
Regions Financial Corp. | 28,230 | 518,020 | |||||||||
Resona Holdings, Inc. | 43,200 | 242,691 | |||||||||
Sberbank of Russia PJSC ADR | 4,251 | 53,903 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,900 | 78,194 | |||||||||
Swedbank AB, Class A | 9,834 | 243,764 | |||||||||
Synovus Financial Corp. | 1,603 | 73,401 | |||||||||
United Overseas Bank, Ltd. | 6,800 | 134,702 | |||||||||
3,117,403 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Northern Trust Corp. | 1,625 | 165,961 | |||||||||
Banks-Super Regional — 0.8% | |||||||||||
Capital One Financial Corp. | 4,809 | 456,519 | |||||||||
Fifth Third Bancorp | 13,510 | 377,199 | |||||||||
US Bancorp | 9,662 | 510,250 | |||||||||
1,343,968 | |||||||||||
Beverages-Non-alcoholic — 1.5% | |||||||||||
Coca-Cola Amatil, Ltd. | 13,136 | 92,675 | |||||||||
Coca-Cola Co. | 22,677 | 1,047,450 | |||||||||
Coca-Cola European Partners PLC | 218 | 9,912 | |||||||||
Grape King Bio, Ltd. | 9,000 | 63,227 | |||||||||
Keurig Dr Pepper, Inc. | 1,745 | 40,432 | |||||||||
PepsiCo, Inc. | 11,508 | 1,286,594 | |||||||||
2,540,290 | |||||||||||
Brewery — 0.2% | |||||||||||
Kirin Holdings Co., Ltd. | 2,100 | 53,803 | |||||||||
Molson Coors Brewing Co., Class B | 4,172 | 256,578 | |||||||||
310,381 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
China National Building Material Co., Ltd. | 42,000 | 37,288 | |||||||||
Owens Corning | 3,626 | 196,783 | |||||||||
234,071 | |||||||||||
Building & Construction-Misc. — 0.2% | |||||||||||
China State Construction International Holdings, Ltd. | 74,000 | 78,175 | |||||||||
CIMIC Group, Ltd. | 1,502 | 55,763 | |||||||||
CTCI Corp. | 47,000 | 75,580 | |||||||||
HOCHTIEF AG | 212 | 35,149 | |||||||||
Taisei Corp. | 3,300 | 150,449 | |||||||||
395,116 |
112
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
West China Cement, Ltd. | 184,000 | $ | 34,551 | ||||||||
Building-Heavy Construction — 0.3% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 4,439 | 189,045 | |||||||||
Vinci SA | 2,318 | 220,742 | |||||||||
409,787 | |||||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
Berkeley Group Holdings PLC | 846 | 40,568 | |||||||||
Persimmon PLC | 7,656 | 235,999 | |||||||||
Taylor Wimpey PLC | 95,960 | 214,878 | |||||||||
Toll Brothers, Inc. | 5,415 | 178,857 | |||||||||
670,302 | |||||||||||
Casino Hotels — 0.4% | |||||||||||
Caesars Entertainment Corp.† | 303 | 3,106 | |||||||||
Crown Resorts, Ltd. | 7,990 | 79,068 | |||||||||
Galaxy Entertainment Group, Ltd. | 31,000 | 196,612 | |||||||||
Las Vegas Sands Corp. | 5,509 | 326,849 | |||||||||
MGM China Holdings, Ltd. | 44,000 | 69,695 | |||||||||
675,330 | |||||||||||
Casino Services — 0.0% | |||||||||||
Aristocrat Leisure, Ltd. | 1,617 | 33,242 | |||||||||
Cellular Telecom — 0.2% | |||||||||||
Advanced Info Service PCL | 11,300 | 70,232 | |||||||||
China Mobile, Ltd. | 12,000 | 118,262 | |||||||||
NTT DOCOMO, Inc. | 5,600 | 150,572 | |||||||||
339,066 | |||||||||||
Chemicals-Diversified — 0.9% | |||||||||||
Arkema SA | 1,137 | 140,856 | |||||||||
BASF SE | 2,893 | 257,125 | |||||||||
Celanese Corp., Series A | 1,874 | 213,636 | |||||||||
Covestro AG* | 3,053 | 247,632 | |||||||||
Evonik Industries AG | 3,501 | 125,400 | |||||||||
Huntsman Corp. | 9,170 | 249,699 | |||||||||
Mitsubishi Chemical Holdings Corp. | 13,500 | 129,214 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 2,500 | 53,226 | |||||||||
Sasol, Ltd. | 3,324 | 128,701 | |||||||||
1,545,489 | |||||||||||
Chemicals-Fibers — 0.1% | |||||||||||
Indorama Ventures PCL† | 50,700 | 92,495 | |||||||||
Chemicals-Plastics — 0.1% | |||||||||||
Formosa Plastics Corp. | 19,000 | 72,806 | |||||||||
Mexichem SAB de CV | 19,533 | 66,874 | |||||||||
139,680 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Cabot Corp. | 1,141 | 71,563 | |||||||||
Univar, Inc.† | 1,660 | 50,896 | |||||||||
W.R. Grace & Co. | 2,096 | 149,780 | |||||||||
272,239 | |||||||||||
Commercial Services — 0.1% | |||||||||||
CoreLogic, Inc.† | 1,002 | 49,509 | |||||||||
ServiceMaster Global Holdings, Inc.† | 1,858 | 115,252 | |||||||||
164,761 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 0.7% | |||||||||||
Automatic Data Processing, Inc. | 3,715 | $ | 559,702 | ||||||||
FleetCor Technologies, Inc.† | 1,400 | 318,976 | |||||||||
Total System Services, Inc. | 2,624 | 259,094 | |||||||||
1,137,772 | |||||||||||
Communications Software — 0.0% | |||||||||||
Avaya Holdings Corp.† | 593 | 13,129 | |||||||||
Computer Aided Design — 0.3% | |||||||||||
Cadence Design Systems, Inc.† | 4,565 | 206,886 | |||||||||
Synopsys, Inc.† | 2,324 | 229,169 | |||||||||
436,055 | |||||||||||
Computer Data Security — 0.4% | |||||||||||
Check Point Software Technologies, Ltd.† | 694 | 81,663 | |||||||||
Fortinet, Inc.† | 5,997 | 553,343 | |||||||||
635,006 | |||||||||||
Computer Services — 1.4% | |||||||||||
Amdocs, Ltd. | 2,781 | 183,490 | |||||||||
Capgemini SE | 1,267 | 159,462 | |||||||||
Cognizant Technology Solutions Corp., Class A | 6,640 | 512,276 | |||||||||
Dell Technologies, Inc., Class V† | 3,416 | 331,762 | |||||||||
Fujitsu, Ltd. | 100 | 7,125 | |||||||||
Infosys, Ltd. | 7,512 | 75,825 | |||||||||
International Business Machines Corp. | 5,068 | 766,332 | |||||||||
Leidos Holdings, Inc. | 1,492 | 103,187 | |||||||||
NTT Data Corp. | 16,100 | 222,895 | |||||||||
2,362,354 | |||||||||||
Computer Software — 0.0% | |||||||||||
DuzonBizon Co, Ltd. | 889 | 48,968 | |||||||||
Computers — 1.6% | |||||||||||
Apple, Inc. | 9,779 | 2,207,512 | |||||||||
HP, Inc. | 19,669 | 506,870 | |||||||||
2,714,382 | |||||||||||
Computers-Memory Devices — 0.4% | |||||||||||
NetApp, Inc. | 7,256 | 623,218 | |||||||||
Consulting Services — 0.1% | |||||||||||
Booz Allen Hamilton Holding Corp. | 3,275 | 162,538 | |||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Berry Global Group, Inc.† | 3,673 | 177,737 | |||||||||
Packaging Corp. of America | 2,461 | 269,947 | |||||||||
Sealed Air Corp. | 1,461 | 58,659 | |||||||||
506,343 | |||||||||||
Cosmetics & Toiletries — 0.8% | |||||||||||
Estee Lauder Cos., Inc., Class A | 3,466 | 503,679 | |||||||||
Kao Corp. | 1,300 | 104,966 | |||||||||
L'Oreal SA | 708 | 170,734 | |||||||||
LG Household & Health Care, Ltd. | 53 | 60,967 | |||||||||
Natura Cosmeticos SA | 7,288 | 51,215 | |||||||||
Pola Orbis Holdings, Inc. | 2,200 | 80,356 | |||||||||
Procter & Gamble Co. | 3,318 | 276,157 | |||||||||
1,248,074 |
113
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cruise Lines — 0.6% | |||||||||||
Carnival Corp. | 7,203 | $ | 459,335 | ||||||||
Royal Caribbean Cruises, Ltd. | 3,976 | 516,642 | |||||||||
975,977 | |||||||||||
Data Processing/Management — 0.4% | |||||||||||
Broadridge Financial Solutions, Inc. | 1,685 | 222,336 | |||||||||
Dun & Bradstreet Corp. | 1,246 | 177,567 | |||||||||
Fidelity National Information Services, Inc. | 2,843 | 310,086 | |||||||||
709,989 | |||||||||||
Decision Support Software — 0.1% | |||||||||||
MSCI, Inc. | 1,044 | 185,216 | |||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
DENTSPLY SIRONA, Inc. | 6,172 | 232,931 | |||||||||
Dialysis Centers — 0.2% | |||||||||||
Fresenius Medical Care AG & Co. KGaA | 2,522 | 259,377 | |||||||||
Distribution/Wholesale — 0.3% | |||||||||||
HD Supply Holdings, Inc.† | 2,345 | 100,342 | |||||||||
KAR Auction Services, Inc. | 2,810 | 167,729 | |||||||||
LKQ Corp.† | 4,489 | 142,167 | |||||||||
410,238 | |||||||||||
Diversified Banking Institutions — 4.1% | |||||||||||
Citigroup, Inc. | 28,579 | 2,050,257 | |||||||||
Goldman Sachs Group, Inc. | 1,802 | 404,080 | |||||||||
HSBC Holdings PLC | 4,685 | 40,901 | |||||||||
JPMorgan Chase & Co. | 23,784 | 2,683,787 | |||||||||
Lloyds Banking Group PLC | 72,154 | 55,741 | |||||||||
Macquarie Group, Ltd. | 2,972 | 270,773 | |||||||||
Mizuho Financial Group, Inc. | 162,500 | 283,467 | |||||||||
Morgan Stanley | 15,149 | 705,489 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 7,800 | 314,828 | |||||||||
6,809,323 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
CTBC Financial Holding Co., Ltd. | 78,000 | 58,756 | |||||||||
Edelweiss Financial Services, Ltd. | 14,338 | 38,075 | |||||||||
Hana Financial Group, Inc. | 2,184 | 87,715 | |||||||||
184,546 | |||||||||||
Diversified Manufacturing Operations — 0.3% | |||||||||||
Ingersoll-Rand PLC | 4,638 | 474,467 | |||||||||
Diversified Minerals — 0.2% | |||||||||||
Anglo American PLC | 9,876 | 221,791 | |||||||||
BHP Billiton, Ltd. | 3,296 | 82,507 | |||||||||
304,298 | |||||||||||
E-Commerce/Products — 1.3% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 2,472 | 407,287 | |||||||||
Amazon.com, Inc.† | 838 | 1,678,514 | |||||||||
2,085,801 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Cafe24 Corp.† | 405 | 54,621 |
Security Description | Shares | Value (Note 2) | |||||||||
Electric Products-Misc. — 0.2% | |||||||||||
AMETEK, Inc. | 2,776 | $ | 219,637 | ||||||||
Brother Industries, Ltd. | 1,400 | 27,650 | |||||||||
247,287 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
CenterPoint Energy, Inc. | 8,296 | 229,384 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Engie SA | 5,031 | 73,979 | |||||||||
Vistra Energy Corp. CVR†(1) | 1,362 | 1,022 | |||||||||
75,001 | |||||||||||
Electric-Integrated — 1.4% | |||||||||||
AES Corp. | 12,888 | 180,432 | |||||||||
Ameren Corp. | 3,549 | 224,368 | |||||||||
American Electric Power Co., Inc. | 2,568 | 182,020 | |||||||||
CLP Holdings, Ltd. | 18,500 | 216,588 | |||||||||
CMS Energy Corp. | 5,274 | 258,426 | |||||||||
Endesa SA | 3,482 | 75,236 | |||||||||
Enel SpA | 49,618 | 254,171 | |||||||||
Entergy Corp. | 5,591 | 453,598 | |||||||||
Evergy, Inc. | 2,138 | 117,419 | |||||||||
OGE Energy Corp. | 3,793 | 137,761 | |||||||||
Pinnacle West Capital Corp. | 1,721 | 136,269 | |||||||||
2,236,288 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
KEC International, Ltd. | 9,253 | 37,847 | |||||||||
Electronic Components-Misc. — 0.3% | |||||||||||
Elite Material Co., Ltd. | 12,000 | 33,800 | |||||||||
Hoya Corp. | 4,500 | 267,338 | |||||||||
Jabil, Inc. | 2,501 | 67,727 | |||||||||
nVent Electric PLC | 2,994 | 81,317 | |||||||||
450,182 | |||||||||||
Electronic Components-Semiconductors — 1.8% | |||||||||||
MediaTek, Inc. | 15,000 | 121,099 | |||||||||
NVIDIA Corp. | 7,181 | 2,018,005 | |||||||||
Samsung Electronics Co., Ltd. | 8,582 | 359,372 | |||||||||
Samsung Electronics Co., Ltd. (Preference Shares) | 2,287 | 78,037 | |||||||||
Texas Instruments, Inc. | 3,556 | 381,523 | |||||||||
2,958,036 | |||||||||||
Electronic Measurement Instruments — 0.4% | |||||||||||
Agilent Technologies, Inc. | 6,955 | 490,605 | |||||||||
Keysight Technologies, Inc.† | 2,549 | 168,948 | |||||||||
659,553 | |||||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
Canvest Environmental Protection Group Co., Ltd. | 159,000 | 82,665 | |||||||||
China Everbright Greentech, Ltd.* | 54,000 | 46,079 | |||||||||
128,744 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
AECOM† | 2,107 | 68,815 | |||||||||
Engines-Internal Combustion — 0.3% | |||||||||||
Cummins, Inc. | 3,437 | 502,043 |
114
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Enterprise Software/Service — 1.0% | |||||||||||
Black Knight, Inc.† | 1,936 | $ | 100,575 | ||||||||
CA, Inc. | 5,041 | 222,560 | |||||||||
Oracle Corp. | 26,190 | 1,350,357 | |||||||||
1,673,492 | |||||||||||
Entertainment Software — 0.0% | |||||||||||
Nexon Co., Ltd.† | 2,000 | 26,140 | |||||||||
Finance-Auto Loans — 0.2% | |||||||||||
Ally Financial, Inc. | 9,271 | 245,218 | |||||||||
Santander Consumer USA Holdings, Inc. | 4,859 | 97,374 | |||||||||
342,592 | |||||||||||
Finance-Commercial — 0.1% | |||||||||||
Larsen & Toubro Infotech, Ltd.* | 2,805 | 75,455 | |||||||||
Finance-Credit Card — 0.4% | |||||||||||
Discover Financial Services | 5,216 | 398,763 | |||||||||
Mastercard, Inc., Class A | 1,509 | 335,919 | |||||||||
734,682 | |||||||||||
Finance-Investment Banker/Broker — 0.3% | |||||||||||
Daiwa Securities Group, Inc. | 5,300 | 32,242 | |||||||||
E*TRADE Financial Corp.† | 9,507 | 498,072 | |||||||||
530,314 | |||||||||||
Finance-Leasing Companies — 0.2% | |||||||||||
Chailease Holding Co., Ltd. | 21,660 | 75,906 | |||||||||
ORIX Corp. | 16,100 | 261,012 | |||||||||
336,918 | |||||||||||
Finance-Mortgage Loan/Banker — 0.1% | |||||||||||
Housing Development Finance Corp., Ltd. | 4,878 | 117,761 | |||||||||
Finance-Other Services — 0.1% | |||||||||||
BGC Partners, Inc., Class A | 6,355 | 75,116 | |||||||||
Deutsche Boerse AG | 288 | 38,588 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 1,700 | 48,643 | |||||||||
London Stock Exchange Group PLC | 1,031 | 61,627 | |||||||||
223,974 | |||||||||||
Fisheries — 0.1% | |||||||||||
Marine Harvest ASA | 4,550 | 105,410 | |||||||||
Food-Confectionery — 0.2% | |||||||||||
Hershey Co. | 3,189 | 325,278 | |||||||||
Food-Flour & Grain — 0.1% | |||||||||||
Gruma SAB de CV, Class B | 9,003 | 114,455 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
WH Group, Ltd.* | 68,500 | 48,214 | |||||||||
Food-Misc./Diversified — 0.9% | |||||||||||
Associated British Foods PLC | 4,176 | 124,645 | |||||||||
Conagra Brands, Inc. | 7,511 | 255,148 | |||||||||
Ingredion, Inc. | 1,226 | 128,681 | |||||||||
Mondelez International, Inc., Class A | 16,550 | 710,988 | |||||||||
Nestle SA | 2,228 | 185,750 | |||||||||
Pinnacle Foods, Inc. | 2,411 | 156,257 | |||||||||
1,561,469 |
Security Description | Shares | Value (Note 2) | |||||||||
Food-Retail — 0.5% | |||||||||||
Dino Polska SA†* | 2,627 | $ | 70,969 | ||||||||
J Sainsbury PLC | 49,172 | 206,244 | |||||||||
Koninklijke Ahold Delhaize NV | 11,030 | 252,926 | |||||||||
WM Morrison Supermarkets PLC | 7,076 | 23,924 | |||||||||
Woolworths Group, Ltd. | 9,439 | 191,590 | |||||||||
745,653 | |||||||||||
Food-Wholesale/Distribution — 0.4% | |||||||||||
Sysco Corp. | 8,294 | 607,535 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Fu Shou Yuan International Group, Ltd. | 44,000 | 34,342 | |||||||||
Gas-Distribution — 0.2% | |||||||||||
Atmos Energy Corp. | 965 | 90,623 | |||||||||
UGI Corp. | 3,935 | 218,314 | |||||||||
308,937 | |||||||||||
Gold Mining — 0.2% | |||||||||||
Newmont Mining Corp. | 8,100 | 244,620 | |||||||||
Royal Gold, Inc. | 802 | 61,802 | |||||||||
306,422 | |||||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Tervita Corp.† | 10 | 69 | |||||||||
Hotels/Motels — 0.5% | |||||||||||
Extended Stay America, Inc. | 5,535 | 111,973 | |||||||||
Hilton Worldwide Holdings, Inc. | 4,564 | 368,680 | |||||||||
Hyatt Hotels Corp., Class A | 1,439 | 114,530 | |||||||||
Wyndham Worldwide Corp.† | 6,635 | 287,694 | |||||||||
882,877 | |||||||||||
Human Resources — 0.1% | |||||||||||
ManpowerGroup, Inc. | 1,783 | 153,267 | |||||||||
Randstad NV | 1,099 | 58,670 | |||||||||
211,937 | |||||||||||
Import/Export — 0.4% | |||||||||||
ITOCHU Corp. | 13,000 | 237,986 | |||||||||
Marubeni Corp. | 25,500 | 233,410 | |||||||||
Mitsui & Co., Ltd. | 13,000 | 231,178 | |||||||||
702,574 | |||||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 10,206 | 381,704 | |||||||||
Industrial Automated/Robotic — 0.2% | |||||||||||
Rockwell Automation, Inc. | 2,003 | 375,603 | |||||||||
Industrial Gases — 0.2% | |||||||||||
Air Products & Chemicals, Inc. | 1,845 | 308,207 | |||||||||
Instruments-Controls — 0.5% | |||||||||||
Honeywell International, Inc. | 4,636 | 771,430 | |||||||||
Instruments-Scientific — 0.0% | |||||||||||
Waters Corp.† | 357 | 69,501 | |||||||||
Insurance-Life/Health — 1.1% | |||||||||||
AIA Group, Ltd. | 16,600 | 148,223 | |||||||||
Athene Holding, Ltd., Class A† | 2,595 | 134,058 | |||||||||
Aviva PLC | 41,600 | 265,414 | |||||||||
Cathay Financial Holding Co., Ltd. | 48,000 | 82,533 |
115
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Life/Health (continued) | |||||||||||
Discovery, Ltd. | 5,416 | $ | 65,109 | ||||||||
Legal & General Group PLC | 76,805 | 262,482 | |||||||||
Lincoln National Corp. | 3,433 | 232,277 | |||||||||
Principal Financial Group, Inc. | 2,898 | 169,794 | |||||||||
Prudential Financial, Inc. | 5,184 | 525,243 | |||||||||
1,885,133 | |||||||||||
Insurance-Multi-line — 1.1% | |||||||||||
Aegon NV | 2,903 | 18,835 | |||||||||
Allianz SE | 1,701 | 379,190 | |||||||||
American Financial Group, Inc. | 819 | 90,884 | |||||||||
Assurant, Inc. | 1,675 | 180,816 | |||||||||
Hartford Financial Services Group, Inc. | 6,696 | 334,532 | |||||||||
Loews Corp. | 4,897 | 245,976 | |||||||||
MetLife, Inc. | 9,450 | 441,504 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 18,500 | 187,875 | |||||||||
1,879,612 | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
DB Insurance Co., Ltd. | 1,247 | 81,841 | |||||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 1,550 | 58,618 | |||||||||
140,459 | |||||||||||
Insurance-Reinsurance — 0.2% | |||||||||||
Axis Capital Holdings, Ltd. | 947 | 54,651 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 524 | 116,051 | |||||||||
RenaissanceRe Holdings, Ltd. | 573 | 76,541 | |||||||||
247,243 | |||||||||||
Internet Application Software — 0.2% | |||||||||||
Tencent Holdings, Ltd. | 8,200 | 338,544 | |||||||||
Internet Content-Entertainment — 0.6% | |||||||||||
Facebook, Inc., Class A† | 6,383 | 1,049,748 | |||||||||
Internet Content-Information/News — 0.1% | |||||||||||
Naspers, Ltd., Class N | 593 | 127,968 | |||||||||
Internet Infrastructure Software — 0.2% | |||||||||||
F5 Networks, Inc.† | 1,914 | 381,690 | |||||||||
Internet Security — 0.3% | |||||||||||
Palo Alto Networks, Inc.† | 2,431 | 547,607 | |||||||||
Investment Management/Advisor Services — 0.4% | |||||||||||
Ameriprise Financial, Inc. | 3,013 | 444,900 | |||||||||
Partners Group Holding AG | 271 | 214,972 | |||||||||
Schroders PLC | 486 | 19,605 | |||||||||
679,477 | |||||||||||
Machine Tools & Related Products — 0.2% | |||||||||||
Sandvik AB | 15,085 | 267,756 | |||||||||
Machinery-Electrical — 0.2% | |||||||||||
BWX Technologies, Inc. | 1,902 | 118,951 | |||||||||
Hitachi, Ltd. | 8,200 | 278,578 | |||||||||
397,529 |
Security Description | Shares | Value (Note 2) | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Gardner Denver Holdings, Inc.† | 2,297 | $ | 65,097 | ||||||||
Medical Instruments — 0.3% | |||||||||||
Boston Scientific Corp.† | 13,451 | 517,863 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Charles River Laboratories International, Inc.† | 1,122 | 150,954 | |||||||||
Fleury SA | 7,817 | 41,228 | |||||||||
192,182 | |||||||||||
Medical Products — 0.7% | |||||||||||
ABIOMED, Inc.† | 1,227 | 551,843 | |||||||||
Baxter International, Inc. | 6,359 | 490,215 | |||||||||
Coloplast A/S, Class B | 126 | 12,885 | |||||||||
Hill-Rom Holdings, Inc. | 679 | 64,098 | |||||||||
Koninklijke Philips NV | 383 | 17,447 | |||||||||
Siemens Healthineers AG†* | 1,178 | 51,802 | |||||||||
1,188,290 | |||||||||||
Medical-Biomedical/Gene — 1.2% | |||||||||||
Amgen, Inc. | 3,870 | 802,212 | |||||||||
Biogen, Inc.† | 814 | 287,595 | |||||||||
Celgene Corp.† | 2,314 | 207,080 | |||||||||
Concordia International Corp.† | 53 | 1,066 | |||||||||
Gilead Sciences, Inc. | 5,849 | 451,601 | |||||||||
Vertex Pharmaceuticals, Inc.† | 1,275 | 245,744 | |||||||||
1,995,298 | |||||||||||
Medical-Drugs — 4.5% | |||||||||||
AbbVie, Inc. | 4,644 | 439,230 | |||||||||
Allergan PLC | 751 | 143,050 | |||||||||
Astellas Pharma, Inc. | 15,900 | 277,361 | |||||||||
Aurobindo Pharma, Ltd. | 4,527 | 46,400 | |||||||||
Bristol-Myers Squibb Co. | 13,072 | 811,510 | |||||||||
China Traditional Chinese Medicine Holdings Co., Ltd. | 102,000 | 69,317 | |||||||||
Eli Lilly & Co. | 8,286 | 889,171 | |||||||||
GlaxoSmithKline PLC | 18,987 | 380,322 | |||||||||
Ipsen SA | 440 | 73,973 | |||||||||
Johnson & Johnson | 8,330 | 1,150,956 | |||||||||
Merck & Co., Inc. | 12,858 | 912,147 | |||||||||
Novartis AG | 6,002 | 516,170 | |||||||||
Pfizer, Inc. | 11,221 | 494,509 | |||||||||
Roche Holding AG | 2,015 | 488,146 | |||||||||
Shionogi & Co., Ltd. | 3,700 | 241,760 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 100 | 12,225 | |||||||||
UCB SA | 1,910 | 171,643 | |||||||||
Zoetis, Inc. | 3,161 | 289,421 | |||||||||
7,407,311 | |||||||||||
Medical-HMO — 1.8% | |||||||||||
Anthem, Inc. | 3,645 | 998,912 | |||||||||
Centene Corp.† | 2,747 | 397,711 | |||||||||
Cigna Corp. | 3,291 | 685,351 | |||||||||
Humana, Inc. | 1,874 | 634,386 | |||||||||
WellCare Health Plans, Inc.† | 1,017 | 325,938 | |||||||||
3,042,298 |
116
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
Bangkok Chain Hospital PCL | 82,300 | $ | 52,933 | ||||||||
Medical-Wholesale Drug Distribution — 0.4% | |||||||||||
Alfresa Holdings Corp. | 3,200 | 85,619 | |||||||||
McKesson Corp. | 3,712 | 492,397 | |||||||||
Medipal Holdings Corp. | 2,700 | 56,343 | |||||||||
634,359 | |||||||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
SKF AB, Class B | 5,796 | 114,356 | |||||||||
Skipper, Ltd. | 21,912 | 30,092 | |||||||||
144,448 | |||||||||||
Metal-Diversified — 0.2% | |||||||||||
Boliden AB | 1,410 | 39,330 | |||||||||
Rio Tinto PLC | 6,376 | 322,447 | |||||||||
South32, Ltd. | 6,595 | 18,687 | |||||||||
380,464 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale SA ADR | 6,915 | 102,619 | |||||||||
Multimedia — 0.8% | |||||||||||
Pearson PLC | 10,693 | 124,041 | |||||||||
Twenty-First Century Fox, Inc., Class B | 4,855 | 222,456 | |||||||||
Walt Disney Co. | 7,739 | 904,999 | |||||||||
1,251,496 | |||||||||||
Networking Products — 1.3% | |||||||||||
Cisco Systems, Inc. | 44,372 | 2,158,698 | |||||||||
Non-Hazardous Waste Disposal — 0.5% | |||||||||||
China Water Affairs Group, Ltd. | 98,000 | 109,788 | |||||||||
Republic Services, Inc. | 2,412 | 175,256 | |||||||||
Sunny Friend Environmental Technology Co., Ltd. | 12,000 | 87,643 | |||||||||
Waste Management, Inc. | 4,048 | 365,777 | |||||||||
738,464 | |||||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Zebra Technologies Corp., Class A† | 796 | 140,757 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
Avery Dennison Corp. | 2,032 | 220,167 | |||||||||
Oil Companies-Exploration & Production — 1.3% | |||||||||||
CNOOC, Ltd. | 80,000 | 158,399 | |||||||||
ConocoPhillips | 13,301 | 1,029,497 | |||||||||
Geopark, Ltd.† | 3,957 | 80,723 | |||||||||
Halcon Resources Corp.† | 729 | 3,259 | |||||||||
MWO Holdings LLC†(1)(2)(3) | 10 | 810 | |||||||||
Occidental Petroleum Corp. | 10,591 | 870,262 | |||||||||
SandRidge Energy, Inc.† | 323 | 3,511 | |||||||||
2,146,461 | |||||||||||
Oil Companies-Integrated — 1.2% | |||||||||||
Eni SpA | 16,100 | 304,358 | |||||||||
Equinor ASA† | 10,243 | 288,836 | |||||||||
Lukoil PJSC ADR | 2,488 | 190,830 | |||||||||
OMV AG | 2,039 | 114,558 | |||||||||
Petroleo Brasileiro SA ADR | 5,598 | 67,568 | |||||||||
Repsol SA | 13,648 | 271,997 |
Security Description | Shares | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
Royal Dutch Shell PLC, Class B | 6,429 | $ | 225,326 | ||||||||
TOTAL SA | 7,324 | 474,837 | |||||||||
1,938,310 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Hilong Holding, Ltd. | 255,000 | 35,180 | |||||||||
Oil Refining & Marketing — 0.9% | |||||||||||
Motor Oil Hellas Corinth Refineries SA | 3,156 | 82,446 | |||||||||
PBF Energy, Inc., Class A | 4,851 | 242,113 | |||||||||
Valero Energy Corp. | 10,617 | 1,207,684 | |||||||||
1,532,243 | |||||||||||
Oil-Field Services — 0.4% | |||||||||||
Halliburton Co. | 16,538 | 670,285 | |||||||||
Paper & Related Products — 0.2% | |||||||||||
Domtar Corp. | 1,678 | 87,541 | |||||||||
Suzano Papel e Celulose SA | 4,150 | 49,407 | |||||||||
UPM-Kymmene Oyj | 2,962 | 116,239 | |||||||||
253,187 | |||||||||||
Petrochemicals — 0.1% | |||||||||||
Petronas Chemicals Group Bhd | 34,400 | 77,802 | |||||||||
Photo Equipment & Supplies — 0.0% | |||||||||||
Sunny Optical Technology Group Co., Ltd. | 4,800 | 55,368 | |||||||||
Pipelines — 0.8% | |||||||||||
Kinder Morgan, Inc. | 28,761 | 509,933 | |||||||||
ONEOK, Inc. | 3,874 | 262,618 | |||||||||
Williams Cos., Inc. | 18,904 | 514,000 | |||||||||
1,286,551 | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Dai Nippon Printing Co., Ltd. | 1,200 | 27,904 | |||||||||
Private Equity — 0.1% | |||||||||||
3i Group PLC | 11,467 | 140,673 | |||||||||
Professional Sports — 0.1% | |||||||||||
Madison Square Garden Co., Class A† | 366 | 115,407 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
News Corp., Class A | 5,780 | 76,238 | |||||||||
Publishing-Periodicals — 0.0% | |||||||||||
Wolters Kluwer NV | 582 | 36,273 | |||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 1,789 | 77,714 | |||||||||
Real Estate Investment Trusts — 1.9% | |||||||||||
AGNC Investment Corp. | 2,410 | 44,898 | |||||||||
American Homes 4 Rent, Class A | 4,801 | 105,094 | |||||||||
Apartment Investment & Management Co., Class A | 2,193 | 96,777 | |||||||||
Apple Hospitality REIT, Inc. | 3,409 | 59,623 | |||||||||
Brandywine Realty Trust | 3,896 | 61,245 | |||||||||
Brixmor Property Group, Inc. | 8,164 | 142,952 | |||||||||
Douglas Emmett, Inc. | 1,661 | 62,653 | |||||||||
Duke Realty Corp. | 5,095 | 144,545 | |||||||||
Empire State Realty Trust, Inc., Class A | 2,649 | 44,000 | |||||||||
Equity LifeStyle Properties, Inc. | 794 | 76,581 |
117
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Equity Residential | 4,671 | $ | 309,500 | ||||||||
Gaming and Leisure Properties, Inc. | 2,080 | 73,320 | |||||||||
HCP, Inc. | 7,889 | 207,638 | |||||||||
Highwoods Properties, Inc. | 1,869 | 88,329 | |||||||||
Hudson Pacific Properties, Inc. | 2,055 | 67,240 | |||||||||
Liberty Property Trust | 2,035 | 85,979 | |||||||||
Life Storage, Inc. | 680 | 64,709 | |||||||||
New Residential Investment Corp. | 4,519 | 80,529 | |||||||||
OUTFRONT Media, Inc. | 2,287 | 45,626 | |||||||||
Paramount Group, Inc. | 3,602 | 54,354 | |||||||||
Park Hotels & Resorts, Inc. | 4,341 | 142,472 | |||||||||
Rayonier, Inc. | 1,629 | 55,077 | |||||||||
Scentre Group | 14,101 | 40,466 | |||||||||
Senior Housing Properties Trust | 3,119 | 54,770 | |||||||||
SL Green Realty Corp. | 2,041 | 199,059 | |||||||||
Spirit Realty Capital, Inc. | 16,349 | 131,773 | |||||||||
Starwood Property Trust, Inc. | 4,112 | 88,490 | |||||||||
Stockland | 4,433 | 13,298 | |||||||||
Sun Communities, Inc. | 849 | 86,207 | |||||||||
Vornado Realty Trust | 2,554 | 186,442 | |||||||||
Weyerhaeuser Co. | 7,678 | 247,769 | |||||||||
WP Carey, Inc. | 682 | 43,859 | |||||||||
3,205,274 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 3,953 | 174,327 | |||||||||
Jones Lang LaSalle, Inc. | 749 | 108,096 | |||||||||
282,423 | |||||||||||
Real Estate Operations & Development — 0.3% | |||||||||||
CK Asset Holdings, Ltd. | 34,500 | 258,915 | |||||||||
Henderson Land Development Co., Ltd. | 12,000 | 60,319 | |||||||||
Kerry Properties, Ltd. | 9,500 | 32,219 | |||||||||
Nomura Real Estate Holdings, Inc. | 2,100 | 42,399 | |||||||||
Sun Hung Kai Properties, Ltd. | 6,000 | 87,375 | |||||||||
Swire Properties, Ltd. | 5,000 | 18,938 | |||||||||
500,165 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Ashtead Group PLC | 3,332 | 105,837 | |||||||||
Localiza Rent a Car SA | 11,268 | 63,475 | |||||||||
169,312 | |||||||||||
Retail-Apparel/Shoe — 0.8% | |||||||||||
ABC-Mart, Inc. | 1,100 | 61,186 | |||||||||
Lululemon Athletica, Inc.† | 3,747 | 608,850 | |||||||||
Next PLC | 275 | 19,693 | |||||||||
Ross Stores, Inc. | 6,604 | 654,456 | |||||||||
Tapestry, Inc. | 989 | 49,717 | |||||||||
1,393,902 | |||||||||||
Retail-Building Products — 1.2% | |||||||||||
Home Depot, Inc. | 9,220 | 1,909,923 | |||||||||
Retail-Consumer Electronics — 0.0% | |||||||||||
Erajaya Swasembada Tbk PT | 258,500 | 41,633 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Discount — 0.2% | |||||||||||
Dollar General Corp. | 2,120 | $ | 231,716 | ||||||||
Dollar Tree, Inc.† | 1,660 | 135,373 | |||||||||
367,089 | |||||||||||
Retail-Drug Store — 0.4% | |||||||||||
Walgreens Boots Alliance, Inc. | 9,518 | 693,862 | |||||||||
Retail-Hypermarkets — 0.0% | |||||||||||
Wal-Mart de Mexico SAB de CV | 22,936 | 69,578 | |||||||||
Retail-Jewelry — 0.4% | |||||||||||
Signet Jewelers, Ltd. | 2,640 | 174,055 | |||||||||
Tiffany & Co. | 3,736 | 481,832 | |||||||||
655,887 | |||||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Poya International Co., Ltd. | 5,040 | 45,889 | |||||||||
Schools — 0.0% | |||||||||||
New Oriental Education & Technology Group, Inc. ADR† | 793 | 58,690 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 29,039 | 249,656 | |||||||||
Semiconductor Equipment — 0.4% | |||||||||||
Applied Materials, Inc. | 5,720 | 221,078 | |||||||||
KLA-Tencor Corp. | 3,603 | 366,461 | |||||||||
587,539 | |||||||||||
Steel-Producers — 0.3% | |||||||||||
ArcelorMittal | 8,769 | 272,858 | |||||||||
BlueScope Steel, Ltd. | 16,473 | 202,189 | |||||||||
China Oriental Group Co., Ltd. | 52,000 | 41,981 | |||||||||
517,028 | |||||||||||
Telecom Services — 0.1% | |||||||||||
Megacable Holdings SA de CV | 14,710 | 75,861 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
ARRIS International PLC† | 2,426 | 63,052 | |||||||||
Telephone-Integrated — 1.6% | |||||||||||
BT Group PLC | 7,029 | 20,641 | |||||||||
KDDI Corp. | 11,200 | 309,425 | |||||||||
Nippon Telegraph & Telephone Corp. | 5,800 | 261,975 | |||||||||
Swisscom AG | 126 | 57,184 | |||||||||
Verizon Communications, Inc. | 38,300 | 2,044,837 | |||||||||
2,694,062 | |||||||||||
Television — 0.1% | |||||||||||
ProSiebenSat.1 Media SE | 5,433 | 141,110 | |||||||||
RTL Group SA | 495 | 35,316 | |||||||||
176,426 | |||||||||||
Tobacco — 0.3% | |||||||||||
Imperial Brands PLC | 7,926 | 275,934 | |||||||||
Swedish Match AB | 2,823 | 144,527 | |||||||||
420,461 | |||||||||||
Transactional Software — 0.2% | |||||||||||
Amadeus IT Group SA | 3,081 | 286,247 |
118
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount(18) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transport-Rail — 0.4% | |||||||||||
Central Japan Railway Co. | 1,300 | $ | 270,709 | ||||||||
Kansas City Southern | 2,260 | 256,013 | |||||||||
Kyushu Railway Co. | 1,700 | 51,769 | |||||||||
578,491 | |||||||||||
Transport-Services — 0.1% | |||||||||||
Expeditors International of Washington, Inc. | 2,628 | 193,237 | |||||||||
Travel Services — 0.1% | |||||||||||
TUI AG | 8,485 | 162,904 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
TCI Co, Ltd. | 3,000 | 48,243 | |||||||||
Water Treatment Systems — 0.1% | |||||||||||
Clean TeQ Holdings, Ltd.† | 141,873 | 55,891 | |||||||||
Pentair PLC | 3,454 | 149,731 | |||||||||
205,622 | |||||||||||
Web Portals/ISP — 2.4% | |||||||||||
Alphabet, Inc., Class A† | 3,253 | 3,926,631 | |||||||||
Yandex NV, Class A† | 1,781 | 58,577 | |||||||||
3,985,208 | |||||||||||
Wire & Cable Products — 0.0% | |||||||||||
KEI Industries, Ltd. | 11,707 | 57,832 | |||||||||
Total Common Stocks (cost $109,730,957) | 123,963,979 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.0% | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
EPR Properties Series C 5.75% (cost $9,209) | 505 | 14,135 | |||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
GMAC Capital Trust I FRS Series 2 8.10% (3 ML+5.79%) (cost $14,579) | 580 | 15,254 | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.3% | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
Fifth Third Bancorp 5.10% due 06/30/2023(4) | $ | 9,000 | 8,820 | ||||||||
Wells Fargo & Co. Series U 5.88% due 06/15/2025(4) | 85,000 | 89,411 | |||||||||
98,231 | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
Bank of America Corp. Series AA 6.10% due 03/17/2025(4) | 61,000 | 63,897 | |||||||||
Bank of America Corp. Series Z 6.50% due 10/23/2024(4) | 5,000 | 5,398 | |||||||||
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(4) | 11,000 | 11,385 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Series Z 5.30% due 05/01/2020(4) | $ | 52,000 | $ | 53,170 | |||||||
133,850 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
NextEra Energy Capital Holdings, Inc. 4.80% due 12/01/2077 | 25,000 | 23,563 | |||||||||
WEC Energy Group, Inc. FRS 4.43% (3 ML+2.11%) due 05/15/2067 | 50,000 | 48,435 | |||||||||
71,998 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.20% due 03/15/2044 | 37,000 | 36,815 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 45,000 | 47,700 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Liberty Mutual Group, Inc. FRS 5.24% (3 ML+2.91%) due 03/07/2067* | 10,000 | 9,750 | |||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer Partners LP 6.63% due 02/15/2028(4) | 70,000 | 67,025 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 40,000 | 38,050 | |||||||||
105,075 | |||||||||||
Total Preferred Securities/Capital Securities (cost $490,381) | 503,419 | ||||||||||
ASSET BACKED SECURITIES — 1.4% | |||||||||||
Diversified Financial Services — 1.4% | |||||||||||
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 2.79% (12 MTA+0.94%) due 06/25/2046(5) | 12,639 | 11,748 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(3)(6)(7)(8) | 245,509 | 2 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.58% due 11/10/2041*(3)(6)(7)(8) | 25,976 | 94 | |||||||||
Capmark Mtg. Securities, Inc. VRS Series 1997-C1, Class X 1.51% due 07/15/2029(6)(7)(8) | 21,461 | 318 | |||||||||
CD Commercial Mtg. Trust VRS Series 2016-CD1, Class XA 1.56% due 08/10/2049(6)(7)(8) | 287,464 | 23,687 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.97% due 09/10/2045*(3)(6)(7)(8) | 247,005 | 13,287 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(8) | 50,000 | 50,493 |
119
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (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(7)(8) | $ | 68,000 | $ | 67,787 | |||||||
Citigroup Commercial Mtg. Trust VRS Series 2013-GC17,Class C 5.26% due 11/10/2046(7)(8) | 44,000 | 45,434 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 4.01% due 05/25/2035(5)(7) | 25,652 | 26,289 | |||||||||
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.64% due 12/10/2046*(3)(6)(7)(8) | 174,669 | 6 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.11% due 12/10/2047(6)(7)(8) | 420,293 | 17,202 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.24% due 05/10/2047(6)(7)(8) | 345,513 | 13,548 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 1.27% due 08/10/2050(6)(7)(8) | 510,078 | 18,451 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 1.28% due 11/10/2047(3)(6)(7)(8) | 296,233 | 13,866 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR18, Class XA 1.31% due 07/15/2047(6)(7)(8) | 115,310 | 4,443 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 1.34% due 08/10/2047(6)(7)(8) | 956,919 | 40,530 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.34% due 08/10/2047(6)(7)(8) | 340,479 | 15,542 | |||||||||
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 1.38% due 08/10/2046(6)(7)(8) | 293,186 | 12,438 | |||||||||
Commercial Mtg. Trust Series LC6, Class AM 3.28% due 01/10/2046(8) | 59,000 | 58,181 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.61% due 12/10/2047(7)(8) | 39,000 | 37,694 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(7)(8) | 12,000 | 12,533 | |||||||||
Commercial Mtg. Trust VRS Series 2010-C1, Class D 6.31% due 07/10/2046*(3)(7)(8) | 41,000 | 41,778 | |||||||||
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.22% due 05/15/2038*(3)(6)(7)(8) | 10,536 | 21 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.80% due 02/15/2040*(3)(6)(7)(8) | 100,099 | 503 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.89% due 09/15/2039*(3)(6)(7)(8) | $ | 3,183 | $ | 0 | |||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.44% due 04/15/2050(7)(8) | 66,000 | 64,873 | |||||||||
CSMC Trust VRS Series 2016-NXSR, Class C 4.51% due 12/15/2049(7)(8) | 37,000 | 36,260 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.52% due 08/10/2044*(7)(8) | 100,000 | 102,761 | |||||||||
GMAC Commercial Mtg. Securities, Inc. VRS Series 2005-C1, Class X1 1.18% due 05/10/2043*(3)(6)(7)(8) | 11,183 | 1 | |||||||||
GS Mtg. Securities Corp. VRS Series 2015-GC30, Class XA 1.00% due 05/10/2050(6)(7)(8) | 401,541 | 15,341 | |||||||||
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.67% due 02/10/2046(6)(7)(8) | 800,401 | 43,301 | |||||||||
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(8) | 33,000 | 32,305 | |||||||||
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.85% due 06/10/2047(7)(8) | 68,000 | 67,701 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.40% due 09/12/2037*(3)(6)(7)(8) | 118,433 | 158 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(8) | 22,000 | 21,497 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(7)(8) | 69,000 | 67,487 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(8) | 19,000 | 19,260 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.31% due 05/15/2045(7)(8) | 57,000 | 55,746 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.96% due 01/15/2047(6)(7)(8) | 808,547 | 27,340 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.71% due 09/15/2047(7)(8) | 19,000 | 18,407 |
120
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series C15, Class B 4.93% due 11/15/2045(7)(8) | $ | 38,000 | $ | 39,567 | |||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, ClassC 5.26% due 11/15/2045(7)(8) | 55,000 | 57,143 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.54% due 11/15/2040*(3)(6)(7)(8) | 72,338 | 199 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.32% due 04/15/2041(7)(8) | 17,492 | 17,784 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 3.54% due 02/25/2035(5)(7) | 11,188 | 11,591 | |||||||||
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.00% due 06/12/2043*(3)(6)(7)(8) | 39,047 | 1 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 6.64% due 07/15/2045*(3)(6)(7)(8) | 6,514 | 196 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 7.14% due 05/15/2044*(3)(6)(7)(8) | 755 | 109 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.35% due 08/15/2047(6)(7)(8) | 154,141 | 6,062 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.70% due 12/15/2048(7)(8) | 19,000 | 18,576 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C7, Class C 4.25% due 02/15/2046(7)(8) | 68,000 | 66,942 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C18, Class C 4.49% due 10/15/2047(7)(8) | 63,000 | 62,029 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class C 4.61% due 08/15/2047(7)(8) | 85,000 | 83,710 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C12, Class C 4.91% due 10/15/2046(7)(8) | 55,000 | 55,068 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Capital I Trust VRS Series C3, Class D 5.33% due 07/15/2049*(7)(8) | $ | 43,000 | $ | 44,166 | |||||||
Towd Point Asset Trust FRS Series SL1, Class A 2.82% (1 ML+0.60%) due 01/25/2046*(3) | 91,448 | 90,980 | |||||||||
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.21% due 08/10/2049*(7)(8) | 25,000 | 25,291 | |||||||||
Wachovia Bank Commercial Mtg. Trust VRS Series 2005-C18, Class XC zero coupon due 04/15/2042*(3)(6)(7)(8) | 31,448 | 2 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2005, Class AR19 2.57% (1 ML+0.35%) due 12/25/2045(5) | 11,921 | 11,865 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 3.14% (1 ML+0.92%) due 10/25/2044(5) | 35,557 | 35,732 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2016-BNK1, Class AS 2.81% due 08/15/2049(8) | 29,000 | 26,876 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.36% due 03/15/2045*(6)(7)(8) | 244,311 | 10,170 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.72% due 12/15/2045*(6)(7)(8) | 180,705 | 9,558 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.05% due 11/15/2045*(6)(7)(8) | 119,326 | 7,415 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class AS 3.24% due 12/15/2045(8) | 23,000 | 22,610 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(8) | 47,000 | 46,483 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class AS 3.66% due 08/15/2045(8) | 18,000 | 17,950 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(7)(8) | 24,000 | 24,575 |
121
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (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-C18, Class AS CMBS 4.3 4.39% due 12/15/2046(7)(8) | $ | 67,000 | $ | 68,607 | |||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.53% due 12/15/2045(7)(8) | 18,000 | 17,775 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C15, Class C15 4.62% due 08/15/2046(7)(8) | 56,000 | 55,809 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C16, Class AS 4.67% due 09/15/2046(7)(8) | 20,000 | 20,780 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.94% due 11/15/2045*(7)(8) | 51,000 | 49,421 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.98% due 06/15/2045*(7)(8) | 55,000 | 50,904 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C17, Class C 5.23% due 12/15/2046(7)(8) | 59,000 | 60,392 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.86% due 03/15/2044*(7)(8) | 34,000 | 30,620 | |||||||||
Total Asset Backed Securities (cost $3,037,523) | 2,245,271 | ||||||||||
CONVERTIBLE BONDS & NOTES — 0.0% | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
DISH Network Corp. Senior Notes 3.38% due 08/15/2026 (cost $9,288) | 10,000 | 9,538 | |||||||||
U.S. CORPORATE BONDS & NOTES — 5.4% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028 | 61,000 | 61,091 | |||||||||
Omnicom Group, Inc. Senior Notes 3.60% due 04/15/2026 | 15,000 | 14,247 | |||||||||
75,338 | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024 | 2,000 | 2,022 | |||||||||
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025 | 10,000 | 10,100 | |||||||||
12,122 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Aerospace/Defense — 0.0% | |||||||||||
Northrop Grumman Corp. Senior Notes 3.25% due 01/15/2028 | $ | 45,000 | $ | 42,314 | |||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L-3 Technologies, Inc. Company Guar. Notes 3.85% due 12/15/2026 | 5,000 | 4,810 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026 | 25,000 | 25,250 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024 | 3,000 | 3,073 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025 | 5,000 | 5,094 | |||||||||
38,227 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries, Inc. Senior Sec. Notes 4.50% due 12/01/2026*(3) | 50,000 | 49,665 | |||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 15,000 | 13,275 | |||||||||
62,940 | |||||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021 | 1,327 | 1,386 | |||||||||
United Airline Pass-Through Trust Pass-Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024 | 7,093 | 7,421 | |||||||||
8,807 | |||||||||||
Apparel Manufacturers — 0.0% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024* | 10,000 | 9,719 | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 2.40% due 08/08/2026 | 20,000 | 18,441 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 60,000 | 59,487 | |||||||||
77,928 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.40% due 08/13/2021*(3) | 15,000 | 14,993 | |||||||||
BMW US Capital LLC Company Guar. Notes 3.95% due 08/14/2028*(3) | 65,000 | 64,959 |
122
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Auto-Cars/Light Trucks (continued) | |||||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026 | $ | 8,000 | $ | 7,517 | |||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025 | 9,000 | 8,754 | |||||||||
96,223 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027* | 20,000 | 18,875 | |||||||||
Navistar International Corp. Company Guar. Notes 6.63% due 11/01/2025* | 25,000 | 26,000 | |||||||||
44,875 | |||||||||||
Auto-Truck Trailers — 0.0% | |||||||||||
Wabash National Corp. Company Guar. Notes 5.50% due 10/01/2025* | 20,000 | 19,100 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019 | 16,000 | 16,640 | |||||||||
Lear Corp. Senior Notes 3.80% due 09/15/2027 | 43,000 | 39,921 | |||||||||
Tenneco, Inc. Company Guar. Notes 5.38% due 12/15/2024 | 10,000 | 9,388 | |||||||||
65,949 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022 | 2,000 | 2,040 | |||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023 | 16,000 | 16,322 | |||||||||
CIT Group, Inc. Senior Notes 5.25% due 03/07/2025 | 18,000 | 18,360 | |||||||||
36,722 | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024* | 10,000 | 9,700 | |||||||||
Freedom Mtg. Corp. Senior Notes 8.25% due 04/15/2025* | 15,000 | 14,550 | |||||||||
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025* | 15,000 | 15,000 | |||||||||
39,250 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Gamma Acquisition, Inc. Senior Sec. Notes 6.38% due 07/15/2026*(3) | $ | 5,000 | $ | 5,169 | |||||||
Beverages-Non-alcoholic — 0.0% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028*(3) | 56,000 | 56,273 | |||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 18,000 | 17,491 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046 | 53,000 | 53,600 | |||||||||
71,091 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Class B 6.50% due 11/15/2022 | 28,000 | 28,490 | |||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 7.63% due 03/15/2020 | 10,000 | 10,025 | |||||||||
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019†(9)(10) | 21,000 | 15,803 | |||||||||
Nexstar Broadcasting, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 15,000 | 14,681 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025* | 15,000 | 14,025 | |||||||||
83,024 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
American Woodmark Corp. Company Guar. Notes 4.88% due 03/15/2026* | 10,000 | 9,550 | |||||||||
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024* | 25,000 | 24,156 | |||||||||
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024* | 25,000 | 24,031 | |||||||||
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021* | 5,000 | 5,056 | |||||||||
Louisiana-Pacific Corp. Senior Notes 4.88% due 09/15/2024 | 25,000 | 24,938 | |||||||||
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027* | 50,000 | 47,062 | |||||||||
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024* | 20,000 | 19,975 |
123
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (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 4.88% due 06/01/2027* | $ | 15,000 | $ | 15,165 | |||||||
USG Corp. Company Guar. Notes 5.50% due 03/01/2025* | 10,000 | 10,188 | |||||||||
180,121 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Pisces Midco, Inc. Company Guar. Notes 8.00% due 04/15/2026* | 15,000 | 15,112 | |||||||||
TopBuild Corp. Company Guar. Notes 5.63% due 05/01/2026* | 15,000 | 14,662 | |||||||||
Weekley Homes LLC/ Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 11,000 | 10,643 | |||||||||
40,417 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024 | 20,000 | 20,234 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.63% due 12/15/2025* | 5,000 | 4,613 | |||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.88% due 12/15/2027* | 5,000 | 4,556 | |||||||||
9,169 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024* | 30,000 | 30,591 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025* | 20,000 | 20,558 | |||||||||
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023 | 10,000 | 9,925 | |||||||||
30,483 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023 | 25,000 | 26,595 | |||||||||
Lennar Corp. Company Guar. Notes 4.75% due 11/15/2022 | 9,000 | 9,039 | |||||||||
Lennar Corp. Company Guar. Notes 5.88% due 11/15/2024 | 15,000 | 15,619 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Building-Residential/Commercial (continued) | |||||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | $ | 10,000 | $ | 9,950 | |||||||
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032 | 20,000 | 21,525 | |||||||||
TRI Pointe Group Inc./ TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024 | 10,000 | 9,925 | |||||||||
92,653 | |||||||||||
Cable/Satellite TV — 0.2% | |||||||||||
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020 | 6,000 | 6,323 | |||||||||
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023* | 15,000 | 15,023 | |||||||||
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 20,000 | 19,775 | |||||||||
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | 20,000 | 20,050 | |||||||||
CCO Holdings LLC/ CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024* | 35,000 | 35,569 | |||||||||
Cequel Communications Holdings I LLC/ Cequel Capital Corp. Senior Notes 5.13% due 12/15/2021* | 20,000 | 20,095 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 12,000 | 12,185 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 22,000 | 20,845 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 28,000 | 30,100 | |||||||||
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022 | 10,000 | 12,189 |
124
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026 | $ | 55,000 | $ | 51,925 | |||||||
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049 | 27,000 | 24,028 | |||||||||
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035 | 10,000 | 12,067 | |||||||||
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027* | 25,000 | 23,486 | |||||||||
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024 | 51,000 | 49,852 | |||||||||
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021 | 9,000 | 9,484 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 25,000 | 22,406 | |||||||||
385,402 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. Company Guar. Notes 6.00% due 08/15/2026 | 5,000 | 5,037 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026 | 5,000 | 5,144 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023 | 10,000 | 10,505 | |||||||||
Jack Ohio Finance LLC/ Jack Ohio Finance 1 Corp. Senior Sec. Notes 6.75% due 11/15/2021* | 20,000 | 20,700 | |||||||||
Jack Ohio Finance LLC/ Jack Ohio Finance 1 Corp. Sec. Notes 10.25% due 11/15/2022* | 25,000 | 27,505 | |||||||||
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021 | 15,000 | 15,900 | |||||||||
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020 | 20,000 | 21,025 | |||||||||
MGM Resorts International Company Guar. Notes 8.63% due 02/01/2019 | 15,000 | 15,225 | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025* | 10,000 | 9,447 | |||||||||
Wynn Las Vegas LLC/ Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027* | 25,000 | 23,219 | |||||||||
153,707 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Casino Services — 0.0% | |||||||||||
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023 | $ | 5,000 | $ | 5,262 | |||||||
Rivers Pittsburgh Borrower LP/ Rivers Pittsburgh Finance Corp. Senior Sec. Notes 6.13% due 08/15/2021* | 20,000 | 19,950 | |||||||||
25,212 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020 | 6,000 | 6,270 | |||||||||
Sprint Communications, Inc. Company Guar. Notes 9.00% due 11/15/2018* | 8,000 | 8,050 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 15,000 | 15,562 | |||||||||
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021 | 16,000 | 16,920 | |||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 43,000 | 46,386 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022 | 5,000 | 4,978 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.50% due 02/01/2026 | 5,000 | 4,772 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028 | 10,000 | 9,413 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027 | 20,000 | 19,925 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023 | 5,000 | 5,140 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025 | 25,000 | 26,045 | |||||||||
163,461 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022 | 19,000 | 19,361 | |||||||||
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026 | 31,000 | 29,154 | |||||||||
Westlake Chemical Corp. Company Guar. Notes 4.38% due 11/15/2047 | 14,000 | 12,437 | |||||||||
60,952 |
125
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Chemours Co. Company Guar. Notes 5.38% due 05/15/2027 | $ | 10,000 | $ | 9,643 | |||||||
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023 | 5,000 | 5,223 | |||||||||
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025 | 10,000 | 10,605 | |||||||||
Cornerstone Chemical Co. Senior Sec. Notes 6.75% due 08/15/2024* | 10,000 | 10,015 | |||||||||
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026* | 35,000 | 34,431 | |||||||||
Huntsman International LLC Company Guar. Notes 4.88% due 11/15/2020 | 14,000 | 14,245 | |||||||||
Ingevity Corp. Senior Notes 4.50% due 02/01/2026* | 20,000 | 19,069 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 15,000 | 15,133 | |||||||||
Kraton Polymers LLC/ Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025* | 10,000 | 10,275 | |||||||||
PQ Corp. Company Guar. Notes 5.75% due 12/15/2025* | 15,000 | 14,888 | |||||||||
Tronox, Inc. Company Guar. Notes 6.50% due 04/15/2026* | 10,000 | 9,625 | |||||||||
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024* | 10,000 | 10,525 | |||||||||
163,677 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025* | 20,000 | 20,050 | |||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 35,000 | 33,307 | |||||||||
Commercial Services — 0.1% | |||||||||||
Ecolab, Inc. Senior Notes 3.25% due 12/01/2027 | 50,000 | 47,894 | |||||||||
Nielsen Finance LLC/ Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022* | 25,000 | 24,375 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Commercial Services (continued) | |||||||||||
TMS International Corp. Senior Notes 7.25% due 08/15/2025* | $ | 15,000 | $ | 15,113 | |||||||
87,382 | |||||||||||
Commercial Services-Finance — 0.0% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.75% due 08/01/2028 | 10,000 | 10,033 | |||||||||
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026*(3) | 15,000 | 15,056 | |||||||||
25,089 | |||||||||||
Computer Services — 0.0% | |||||||||||
Banff Merger Sub, Inc. Senior Notes 9.75% due 09/01/2026*(3) | 25,000 | 25,362 | |||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | 30,000 | 29,178 | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 28,000 | 29,113 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 5.45% due 06/15/2023* | 55,000 | 57,840 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 5.88% due 06/15/2021* | 5,000 | 5,150 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024* | 35,000 | 37,544 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046* | 8,000 | 9,958 | |||||||||
139,605 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 50,000 | 48,354 | |||||||||
Consulting Services — 0.0% | |||||||||||
Gartner, Inc. Company Guar. Notes 5.13% due 04/01/2025* | 5,000 | 5,035 | |||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025 | 10,000 | 10,100 |
126
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Consumer Products-Misc. (continued) | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024 | $ | 5,000 | $ | 5,100 | |||||||
15,200 | |||||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024* | 15,000 | 14,756 | |||||||||
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025* | 35,000 | 34,122 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 10,000 | 10,875 | |||||||||
59,753 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026* | 5,000 | 4,750 | |||||||||
Berry Global, Inc. Sec. Notes 5.13% due 07/15/2023 | 15,000 | 15,075 | |||||||||
Berry Global, Inc. Sec. Notes 5.50% due 05/15/2022 | 6,000 | 6,098 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI Company Guar. Notes 4.75% due 02/01/2026* | 5,000 | 4,775 | |||||||||
Flex Acquisition Co, Inc. Senior Notes 6.88% due 01/15/2025* | 10,000 | 9,550 | |||||||||
Flex Acquisition Co., Inc. Senior Notes 7.88% due 07/15/2026*(3) | 10,000 | 9,875 | |||||||||
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031 | 1,000 | 1,291 | |||||||||
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030 | 20,000 | 25,972 | |||||||||
77,386 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 25,000 | 25,049 | |||||||||
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023* | 10,000 | 10,153 | |||||||||
First Data Corp. Sec. Notes 5.75% due 01/15/2024* | 25,000 | 25,406 | |||||||||
First Data Corp. Company Guar. Notes 7.00% due 12/01/2023* | 15,000 | 15,619 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Data Processing/Management (continued) | |||||||||||
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028 | $ | 65,000 | $ | 65,136 | |||||||
141,363 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022* | 17,000 | 16,609 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Sotera Health Holdings LLC Senior Notes 6.50% due 05/15/2023* | 10,000 | 10,300 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023* | 5,000 | 5,106 | |||||||||
American Builders & Contractors Supply Co., Inc. Company Guar. Notes 5.88% due 05/15/2026* | 5,000 | 5,013 | |||||||||
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023* | 10,000 | 10,362 | |||||||||
20,481 | |||||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | 10,000 | 9,522 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 105,000 | 103,787 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027 | 60,000 | 58,211 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 75,000 | 73,902 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 9,000 | 10,826 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048 | 85,000 | 77,640 | |||||||||
333,888 | |||||||||||
Diversified Financial Services — 0.0% | |||||||||||
CNG Holdings, Inc. Senior Sec. Notes 9.38% due 05/15/2020* | 15,000 | 14,700 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027 | 30,000 | 28,745 |
127
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (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 | $ | 29,552 | |||||||
58,297 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Match Group, Inc. Senior Notes 5.00% due 12/15/2027* | 10,000 | 9,951 | |||||||||
Educational Software — 0.0% | |||||||||||
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025* | 15,000 | 15,150 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033 | 25,000 | 29,028 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Emera US Finance LP Company Guar. Notes 3.55% due 06/15/2026 | 13,000 | 12,244 | |||||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026*(3) | 15,000 | 15,169 | |||||||||
27,413 | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
AES Corp. Senior Notes 4.50% due 03/15/2023 | 5,000 | 5,013 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 6,000 | 6,052 | |||||||||
AES Corp. Senior Notes 5.13% due 09/01/2027 | 20,000 | 20,200 | |||||||||
AES Corp. Senior Notes 5.50% due 04/15/2025 | 30,000 | 30,750 | |||||||||
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035 | 20,000 | 23,039 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 25,000 | 30,264 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037 | 5,000 | 6,176 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042 | 10,000 | 9,794 | |||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | 4,000 | 3,891 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047 | $ | 6,000 | $ | 6,104 | |||||||
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044* | 35,000 | 38,206 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 9,699 | |||||||||
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037 | 15,000 | 18,910 | |||||||||
Texas Competitive Electric Holdings Co. LLC/ TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020†(3) | 11,000 | 39 | |||||||||
Texas-New Mexico Power Co. 1st Mtg. Notes 9.50% due 04/01/2019* | 25,000 | 25,798 | |||||||||
233,935 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022 | 20,000 | 20,435 | |||||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 46,000 | 43,306 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023*(3) | 40,000 | 39,752 | |||||||||
Qorvo, Inc. Company Guar. Notes 5.50% due 07/15/2026*(3) | 5,000 | 5,087 | |||||||||
88,145 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Itron, Inc. Company Guar. Notes 5.00% due 01/15/2026* | 20,000 | 19,200 | |||||||||
Engines-Internal Combustion — 0.0% | |||||||||||
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020 | 30,000 | 31,725 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Infor Software Parent LLC/ Infor Software Parent, Inc. Senior Notes 7.13% due 05/01/2021*(10) | 25,000 | 25,219 | |||||||||
Infor US, Inc. Senior Sec. Notes 5.75% due 08/15/2020* | 7,000 | 7,096 | |||||||||
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022 | 20,000 | 20,271 |
128
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Enterprise Software/Service (continued) | |||||||||||
Oracle Corp. Senior Notes 2.65% due 07/15/2026 | $ | 17,000 | $ | 15,778 | |||||||
Oracle Corp. Senior Notes 3.25% due 11/15/2027 | 13,000 | 12,509 | |||||||||
80,873 | |||||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025 | 30,000 | 30,975 | |||||||||
Ally Financial, Inc. Sub. Notes 8.00% due 12/31/2018 | 14,000 | 14,140 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020 | 14,000 | 14,840 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031 | 36,000 | 43,605 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 6.13% due 02/15/2021 | 6,000 | 6,052 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023 | 5,000 | 5,238 | |||||||||
114,850 | |||||||||||
Finance-Commercial — 0.0% | |||||||||||
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025* | 15,000 | 11,400 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
TMX Finance LLC/ TitleMax Finance Corp. Senior Sec. Notes 11.13% due 04/01/2023* | 10,000 | 10,000 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022* | 15,000 | 15,113 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022* | 24,000 | 25,420 | |||||||||
Lions Gate Capital Holdings LLC Company Guar. Notes 5.88% due 11/01/2024* | 15,000 | 15,375 | |||||||||
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025* | 20,000 | 19,525 | |||||||||
60,320 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Air Lease Corp. Senior Notes 3.63% due 04/01/2027 | $ | 15,000 | $ | 13,852 | |||||||
Air Lease Corp. Senior Notes 4.63% due 10/01/2028 | 50,000 | 49,277 | |||||||||
63,129 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 8.13% due 07/15/2023*(3) | 10,000 | 10,473 | |||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 9.13% due 07/15/2026*(3) | 5,000 | 5,237 | |||||||||
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021 | 25,000 | 25,030 | |||||||||
40,740 | |||||||||||
Finance-Other Services — 0.0% | |||||||||||
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021 | 5,000 | 5,125 | |||||||||
Tempo Acquisition LLC/ Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025* | 15,000 | 14,587 | |||||||||
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025* | 20,000 | 19,300 | |||||||||
39,012 | |||||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. Company Guar. Notes 6.50% due 03/15/2023* | 15,000 | 14,115 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 60,000 | 52,992 | |||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026* | 48,000 | 47,040 | |||||||||
100,032 | |||||||||||
Food-Retail — 0.0% | |||||||||||
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023* | 10,000 | 7,450 | |||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026* | 10,000 | 9,813 |
129
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Carriage Services, Inc. Company Guar. Notes 6.63% due 06/01/2026* | $ | 10,000 | $ | 10,225 | |||||||
Service Corp. International Senior Notes 4.63% due 12/15/2027 | 15,000 | 14,397 | |||||||||
Service Corp. International Senior Notes 5.38% due 01/15/2022 | 14,000 | 14,175 | |||||||||
Service Corp. International Senior Notes 5.38% due 05/15/2024 | 24,000 | 24,395 | |||||||||
63,192 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025* | 20,000 | 19,050 | |||||||||
Jacobs Entertainment, Inc. Sec. Notes 7.88% due 02/01/2024* | 5,000 | 5,307 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022 | 40,000 | 42,350 | |||||||||
66,707 | |||||||||||
Golf — 0.0% | |||||||||||
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025* | 30,000 | 28,425 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc.. Senior Notes 4.20% due 04/01/2026 | 30,000 | 28,533 | |||||||||
Hospital Beds/Equipment — 0.0% | |||||||||||
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 12.50% due 11/01/2021* | 5,000 | 5,502 | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Diamond Resorts International, Inc. Senior Sec. Notes 7.75% due 09/01/2023* | �� | 10,000 | 10,250 | ||||||||
Diamond Resorts International, Inc. Senior Notes 10.75% due 09/01/2024* | 5,000 | 4,869 | |||||||||
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024 | 5,000 | 4,839 | |||||||||
Hilton Worldwide Finance LLC/ Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027 | 55,000 | 54,215 | |||||||||
Wyndham Hotels & Resorts, Inc. Company Guar. Notes 5.38% due 04/15/2026*(3) | 10,000 | 9,912 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Hotels/Motels (continued) | |||||||||||
Wyndham Worldwide Corp. Senior Sec. Notes 5.75% due 04/01/2027 | $ | 5,000 | $ | 4,713 | |||||||
88,798 | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026* | 10,000 | 9,263 | |||||||||
Calpine Corp. Senior Notes 5.75% due 01/15/2025 | 20,000 | 17,700 | |||||||||
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024* | 3,000 | 3,023 | |||||||||
GenOn Energy, Inc. Senior Notes 9.88% due 10/15/2020†(9)(10) | 20,000 | 13,500 | |||||||||
NRG Energy, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 10,000 | 10,100 | |||||||||
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027 | 15,000 | 15,750 | |||||||||
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026 | 10,000 | 10,850 | |||||||||
Vistra Energy Corp. Company Guar. Notes 7.63% due 11/01/2024 | 10,000 | 10,762 | |||||||||
Vistra Energy Corp. Company Guar. Notes 8.13% due 01/30/2026* | 10,000 | 11,012 | |||||||||
101,960 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Alliant Holdings Intermediated LLC Senior Notes 8.25% due 08/01/2023* | 10,000 | 10,350 | |||||||||
HUB International, Ltd. Senior Notes 7.00% due 05/01/2026* | 20,000 | 20,026 | |||||||||
USIS Merger Sub, Inc. Senior Notes 6.88% due 05/01/2025* | 10,000 | 9,975 | |||||||||
40,351 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 25,000 | 25,562 | |||||||||
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033* | 20,000 | 23,847 | |||||||||
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039* | 15,000 | 19,686 | |||||||||
69,095 |
130
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040 | $ | 25,000 | $ | 30,792 | |||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 45,000 | 69,108 | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043 | 25,000 | 25,268 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 4.88% due 04/15/2028* | 10,000 | 9,400 | |||||||||
Netflix, Inc. Senior Notes 5.88% due 11/15/2028* | 10,000 | 9,963 | |||||||||
19,363 | |||||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Senior Notes 4.60% due 05/15/2028 | 35,000 | 34,620 | |||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 15,000 | 15,450 | |||||||||
50,070 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Cortes NP Acquisition Corp.. Senior Notes 9.25% due 10/15/2024* | 10,000 | 10,400 | |||||||||
Vertiv Intermediate Holding Corp. Senior Notes 12.00% due 02/15/2022*(3)(11) | 5,000 | 5,113 | |||||||||
15,513 | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
RBS Global, Inc./Rexnord LLC Company Guar. Notes 4.88% due 12/15/2025* | 15,000 | 14,287 | |||||||||
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026*(3) | 15,000 | 15,244 | |||||||||
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025 | 10,000 | 10,125 | |||||||||
39,656 | |||||||||||
Marine Services — 0.0% | |||||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | 20,000 | 20,550 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | $ | 31,000 | $ | 29,643 | |||||||
Becton Dickinson and Co. Senior Notes 4.67% due 06/06/2047 | 36,000 | 35,607 | |||||||||
65,250 | |||||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.60% due 08/19/2026 | 12,000 | 10,863 | |||||||||
Amgen, Inc. Senior Notes 4.66% due 06/15/2051 | 23,000 | 22,754 | |||||||||
33,617 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025 | 4,000 | 3,871 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 8.50% due 01/31/2027* | 10,000 | 10,500 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 9.25% due 04/01/2026* | 10,000 | 10,788 | |||||||||
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023* | 25,000 | 22,000 | |||||||||
Zoetis, Inc. Senior Notes 3.90% due 08/20/2028 | 35,000 | 34,640 | |||||||||
81,799 | |||||||||||
Medical-HMO — 0.1% | |||||||||||
Centene Corp. Senior Notes 4.75% due 05/15/2022 | 15,000 | 15,169 | |||||||||
Centene Corp. Senior Notes 5.38% due 06/01/2026* | 5,000 | 5,119 | |||||||||
Centene Corp. Senior Notes 6.13% due 02/15/2024 | 15,000 | 15,750 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 3.75% due 07/15/2023*(3) | 98,000 | 97,700 | |||||||||
Molina Healthcare, Inc. Company Guar. Notes 4.88% due 06/15/2025* | 5,000 | 4,913 | |||||||||
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022 | 10,000 | 10,162 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.85% due 06/15/2028 | 65,000 | 65,160 | |||||||||
WellCare Health Plans, Inc. Senior Notes 5.25% due 04/01/2025 | 5,000 | 5,081 |
131
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-HMO (continued) | |||||||||||
WellCare Health Plans, Inc. Senior Notes 5.38% due 08/15/2026*(3) | $ | 5,000 | $ | 5,088 | |||||||
224,142 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 35,000 | 33,239 | |||||||||
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022 | 25,000 | 14,008 | |||||||||
CHS/Community Health Systems, Inc. Sec. Notes 8.13% due 06/30/2024*(3) | 22,000 | 18,290 | |||||||||
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024 | 5,000 | 5,125 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 30,000 | 30,862 | |||||||||
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047 | 30,000 | 30,413 | |||||||||
HCA, Inc. Senior Sec. Notes 6.50% due 02/15/2020 | 24,000 | 24,972 | |||||||||
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022 | 3,000 | 3,285 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020 | 14,000 | 14,460 | |||||||||
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022 | 5,000 | 5,269 | |||||||||
179,923 | |||||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
Air Medical Group Holdings, Inc. Senior Notes 6.38% due 05/15/2023* | 35,000 | 31,412 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 25,000 | 24,425 | |||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | 10,000 | 10,238 | |||||||||
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027 | 10,000 | 10,250 | |||||||||
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023* | 10,000 | 10,862 | |||||||||
55,775 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043 | $ | 5,000 | $ | 4,550 | |||||||
Freeport-McMoRan, Inc. Company Guar. Notes 6.88% due 02/15/2023 | 15,000 | 15,975 | |||||||||
20,525 | |||||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025* | 16,000 | 15,367 | |||||||||
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024* | 34,000 | 34,209 | |||||||||
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022* | 10,000 | 10,875 | |||||||||
60,451 | |||||||||||
Multimedia — 0.0% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 01/20/2024 | 20,000 | 23,654 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.75% due 12/01/2045 | 10,000 | 15,314 | |||||||||
38,968 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023* | 10,000 | 10,000 | |||||||||
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026* | 5,000 | 4,963 | |||||||||
14,963 | |||||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. Senior Notes 3.95% due 05/15/2028 | 45,000 | 44,724 | |||||||||
Wrangler Buyer Corp. Senior Notes 6.00% due 10/01/2025* | 20,000 | 19,200 | |||||||||
63,924 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025 | 15,000 | 14,380 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Alta Mesa Holdings LP/ Alta Mesa Finance Services Corp. Company Guar. Notes 7.88% due 12/15/2024 | 30,000 | 28,500 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022 | 6,000 | 6,093 |
132
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021 | $ | 11,000 | $ | 11,141 | |||||||
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023 | 5,000 | 5,119 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 7.00% due 11/01/2026*(3) | 5,000 | 4,981 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 10.00% due 04/01/2022* | 10,000 | 11,250 | |||||||||
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020 | 10,000 | 9,550 | |||||||||
California Resources Corp. Sec. Notes 8.00% due 12/15/2022* | 9,000 | 8,595 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025 | 40,000 | 41,250 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 06/15/2027 | 5,000 | 5,100 | |||||||||
Comstock Escrow Corp. Senior Notes 9.75% due 08/15/2026*(3) | 15,000 | 14,967 | |||||||||
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027 | 43,000 | 41,043 | |||||||||
Continental Resources, Inc. Company Guar. Notes 3.80% due 06/01/2024 | 10,000 | 9,807 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 10,000 | 10,176 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044 | 20,000 | 19,749 | |||||||||
Covey Park Energy LLC/ Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025* | 20,000 | 20,275 | |||||||||
CrownRock LP/CrownRock Finance, Inc. Senior Notes 5.63% due 10/15/2025* | 10,000 | 9,750 | |||||||||
Denbury Resources, Inc. Company Guar. Notes 6.38% due 08/15/2021 | 10,000 | 9,750 | |||||||||
Denbury Resources, Inc. Sec. Notes 7.50% due 02/15/2024*(3) | 10,000 | 10,300 | |||||||||
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021* | 12,000 | 12,975 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Diamondback Energy, Inc. Company Guar. Notes 4.75% due 11/01/2024 | $ | 5,000 | $ | 5,006 | |||||||
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025 | 25,000 | 25,500 | |||||||||
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.50% due 01/30/2026* | 5,000 | 5,000 | |||||||||
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.75% due 01/30/2028* | 20,000 | 20,000 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 7.75% due 05/15/2026* | 10,000 | 10,237 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 8.00% due 11/29/2024* | 10,000 | 10,075 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Bonds 8.00% due 02/15/2025* | 5,000 | 3,825 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Company Guar. Notes 9.38% due 05/01/2020 | 5,000 | 4,963 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Notes 9.38% due 05/01/2024*(3) | 13,000 | 10,725 | |||||||||
EQT Corp. Senior Notes 3.90% due 10/01/2027 | 30,000 | 28,110 | |||||||||
Hess Infrastructure Partners LP/ Hess Infrastructure Partners Finance Corp. Senior Notes 5.63% due 02/15/2026* | 25,000 | 25,250 | |||||||||
Indigo Natural Resources LLC Senior Notes 6.88% due 02/15/2026* | 20,000 | 19,350 | |||||||||
Jagged Peak Energy LLC Company Guar. Notes 5.88% due 05/01/2026* | 15,000 | 14,925 | |||||||||
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026 | 15,000 | 15,544 | |||||||||
Newfield Exploration Co. Senior Notes 5.75% due 01/30/2022 | 15,000 | 15,694 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.25% due 05/01/2026* | 10,000 | 10,175 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022 | 15,000 | 15,262 |
133
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023 | $ | 5,000 | $ | 5,088 | |||||||
Range Resources Corp. Company Guar. Notes 5.75% due 06/01/2021 | 15,000 | 15,431 | |||||||||
SM Energy Co. Senior Notes 5.00% due 01/15/2024 | 10,000 | 9,737 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 4,000 | 4,120 | |||||||||
SM Energy Co. Senior Notes 6.63% due 01/15/2027 | 5,000 | 5,169 | |||||||||
SM Energy Co. Senior Notes 6.75% due 09/15/2026 | 5,000 | 5,194 | |||||||||
Whiting Petroleum Corp. Senior Notes 6.63% due 01/15/2026 | 15,000 | 15,600 | |||||||||
WPX Energy, Inc. Senior Notes 5.75% due 06/01/2026 | 10,000 | 10,125 | |||||||||
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022 | 4,000 | 4,145 | |||||||||
WPX Energy, Inc. Senior Notes 8.25% due 08/01/2023 | 10,000 | 11,350 | |||||||||
615,971 | |||||||||||
Oil-Field Services — 0.1% | |||||||||||
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026* | 20,000 | 20,549 | |||||||||
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019†(2)(3) | 20,000 | 2 | |||||||||
SESI LLC Company Guar. Notes 7.13% due 12/15/2021 | 5,000 | 5,070 | |||||||||
SESI LLC Company Guar. Notes 7.75% due 09/15/2024 | 20,000 | 20,400 | |||||||||
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* | 10,000 | 10,325 | |||||||||
Weatherford International LLC Company Guar. Notes 9.88% due 03/01/2025* | 5,000 | 4,825 | |||||||||
61,172 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Paper & Related Products — 0.0% | |||||||||||
Georgia-Pacific LLC Senior Notes 7.75% due 11/15/2029 | $ | 10,000 | $ | 13,145 | |||||||
International Paper Co. Senior Notes 8.70% due 06/15/2038 | 5,000 | 6,917 | |||||||||
Mercer International, Inc. Senior Notes 5.50% due 01/15/2026 | 5,000 | 4,900 | |||||||||
Mercer International, Inc. Senior Notes 6.50% due 02/01/2024 | 10,000 | 10,226 | |||||||||
Mercer International, Inc. Senior Notes 7.75% due 12/01/2022 | 4,000 | 4,180 | |||||||||
39,368 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
BioScrip, Inc. Company Guar. Notes 8.88% due 02/15/2021 | 15,000 | 14,212 | |||||||||
CVS Health Corp. Senior Notes 4.75% due 12/01/2022 | 2,000 | 2,072 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 19,000 | 18,909 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 6,000 | 6,137 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032* | 62,307 | 72,383 | |||||||||
113,713 | |||||||||||
Pipelines — 0.3% | |||||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | 40,000 | 40,150 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025 | 25,000 | 26,281 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 5.38% due 07/15/2025 | 5,000 | 5,094 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037*(3) | 10,000 | 10,700 | |||||||||
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032 | 30,000 | 37,874 | |||||||||
Energy Transfer Equity LP Senior Sec. Notes 5.50% due 06/01/2027 | 5,000 | 5,189 | |||||||||
Energy Transfer Equity LP Senior Sec. Notes 5.88% due 01/15/2024 | 57,000 | 59,993 |
134
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023 | $ | 9,000 | $ | 9,122 | |||||||
Energy Transfer Partners LP Company Guar. Notes 5.20% due 02/01/2022 | 15,000 | 15,575 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 6.50% due 02/01/2042 | 6,000 | 6,589 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 15,000 | 14,120 | |||||||||
Holly Energy Partners LP/ Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 20,000 | 20,450 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044 | 4,000 | 4,106 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032 | 24,000 | 30,326 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 35,000 | 33,953 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027 | 35,000 | 35,952 | |||||||||
Tallgrass Energy Partners LP/ Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028* | 10,000 | 10,088 | |||||||||
Targa Resources Partners LP/ Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028* | 50,000 | 48,625 | |||||||||
Williams Cos., Inc. Senior Notes 3.60% due 03/15/2022 | 5,000 | 4,968 | |||||||||
Williams Cos., Inc. Senior Notes 4.30% due 03/04/2024 | 51,000 | 51,452 | |||||||||
Williams Cos., Inc. Senior Notes 7.75% due 06/15/2031 | 10,000 | 12,050 | |||||||||
Williams Cos., Inc. Senior Notes 8.75% due 03/15/2032 | 5,000 | 6,662 | |||||||||
489,319 | |||||||||||
Private Equity — 0.0% | |||||||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022 | 14,000 | 14,175 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Private Equity (continued) | |||||||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020 | $ | 11,000 | $ | 11,200 | |||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 02/01/2022 | 5,000 | 5,125 | |||||||||
Icahn Enterprises LP/ Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024 | 10,000 | 10,237 | |||||||||
40,737 | |||||||||||
Publishing-Periodicals — 0.0% | |||||||||||
Meredith Corp. Company Guar. Notes 6.88% due 02/01/2026* | 20,000 | 20,500 | |||||||||
Quarrying — 0.0% | |||||||||||
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024* | 20,000 | 18,525 | |||||||||
Racetracks — 0.0% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.25% due 06/01/2025 | 10,000 | 10,162 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 10,000 | 10,155 | |||||||||
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027* | 10,000 | 9,647 | |||||||||
29,964 | |||||||||||
Radio — 0.1% | |||||||||||
CBS Radio, Inc. Company Guar. Notes 7.25% due 11/01/2024* | 25,000 | 24,024 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027* | 60,000 | 57,733 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 6.00% due 07/15/2024* | 9,000 | 9,326 | |||||||||
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023* | 5,000 | 4,625 | |||||||||
95,708 | |||||||||||
Real Estate Investment Trusts — 0.2% | |||||||||||
American Tower Corp. Senior Notes 3.38% due 10/15/2026 | 25,000 | 23,284 | |||||||||
American Tower Corp. Senior Notes 3.55% due 07/15/2027 | 20,000 | 18,689 | |||||||||
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027 | 26,000 | 24,428 |
135
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028 | $ | 20,000 | $ | 18,967 | |||||||
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047 | 5,000 | 4,740 | |||||||||
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022 | 11,000 | 11,350 | |||||||||
Digital Realty Trust LP Company Guar. Notes 4.45% due 07/15/2028 | 50,000 | 49,959 | |||||||||
Equinix, Inc. Senior Notes 5.38% due 05/15/2027 | 10,000 | 10,000 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | 20,000 | 19,350 | |||||||||
Hospitality Properties Trust Senior Notes 4.38% due 02/15/2030 | 18,000 | 16,505 | |||||||||
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025 | 10,000 | 9,738 | |||||||||
Iron Mountain US Holdings, Inc. Company Guar. Notes 5.38% due 06/01/2026*(3) | 10,000 | 9,400 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 15,000 | 13,762 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 5.25% due 03/15/2028*(3) | 5,000 | 4,638 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 5,000 | 4,925 | |||||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 5,000 | 5,037 | |||||||||
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 4.50% due 01/15/2028 | 5,000 | 4,576 | |||||||||
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024 | 5,000 | 5,125 | |||||||||
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027 | 10,000 | 9,571 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 15,000 | 14,364 | |||||||||
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024 | 25,000 | 25,083 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032 | $ | 20,000 | $ | 25,295 | |||||||
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024 | 35,000 | 35,295 | |||||||||
364,081 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026 | 17,000 | 17,336 | |||||||||
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025 | 13,000 | 13,509 | |||||||||
30,845 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025* | 25,000 | 24,750 | |||||||||
WeWork Cos., Inc. Company Guar. Notes 7.88% due 05/01/2025* | 20,000 | 19,383 | |||||||||
44,133 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024* | 15,000 | 14,884 | |||||||||
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042* | 39,000 | 42,637 | |||||||||
57,521 | |||||||||||
Research & Development — 0.0% | |||||||||||
Jaguar Holding Co. II/ Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023* | 10,000 | 10,075 | |||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Boyne USA, Inc. Sec. Notes 7.25% due 05/01/2025* | 5,000 | 5,287 | |||||||||
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024* | 20,000 | 19,500 | |||||||||
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027* | 20,000 | 19,800 | |||||||||
44,587 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020 | 3,000 | 3,077 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024 | 10,000 | 9,800 |
136
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Automobile (continued) | |||||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026 | $ | 15,000 | $ | 14,583 | |||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022 | 14,000 | 14,263 | |||||||||
41,723 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 4.88% due 11/01/2025* | 10,000 | 9,212 | |||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023 | 10,000 | 10,350 | |||||||||
19,562 | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Dollar General Corp. Senior Notes 3.25% due 04/15/2023 | 10,000 | 9,763 | |||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023* | 20,000 | 17,925 | |||||||||
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026 | 20,000 | 18,979 | |||||||||
36,904 | |||||||||||
Retail-Mail Order — 0.0% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 15,000 | 14,845 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.00% due 10/15/2021* | 10,000 | 6,569 | |||||||||
Neiman Marcus Group, Ltd. LLC Company Guar. Notes 8.75% due 10/15/2021*(12) | 5,485 | 3,616 | |||||||||
10,185 | |||||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
PetSmart, Inc. Company Guar. Notes 7.13% due 03/15/2023* | 5,000 | 3,594 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Neiman-Marcus Group LLC Senior Sec. Notes 7.13% due 06/01/2028 | 5,000 | 4,075 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022 | 20,000 | 18,100 | |||||||||
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024* | 20,000 | 20,288 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Retail-Restaurants (continued) | |||||||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | $ | 15,000 | $ | 15,724 | |||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027* | 10,000 | 9,613 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024* | 10,000 | 9,919 | |||||||||
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 | |||||||||
83,606 | |||||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022* | 14,000 | 14,088 | |||||||||
Software Tools — 0.0% | |||||||||||
VMware, Inc. Senior Notes 3.90% due 08/21/2027 | 15,000 | 14,191 | |||||||||
Specified Purpose Acquisitions — 0.0% | |||||||||||
Trident Merger Sub, Inc. Senior Notes 6.63% due 11/01/2025* | 10,000 | 9,475 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 7.25% due 09/01/2025* | 15,000 | 15,844 | |||||||||
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 | 4,975 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024 | 15,000 | 15,315 | |||||||||
40,896 | |||||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021 | 10,000 | 10,163 | |||||||||
Allegheny Technologies, Inc. Senior Notes 7.88% due 08/15/2023 | 5,000 | 5,350 | |||||||||
15,513 |
137
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Aveta, Inc. Escrow Notes 7.00% due 04/01/2019†(2)(3) | $ | 31,000 | $ | 0 | |||||||
CommScope Technologies LLC Company Guar. Notes 5.00% due 03/15/2027* | 15,000 | 14,437 | |||||||||
CommScope Technologies LLC Company Guar. Notes 6.00% due 06/15/2025* | 25,000 | 25,750 | |||||||||
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023* | 20,000 | 19,900 | |||||||||
60,087 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028*(3) | 50,000 | 48,541 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 5,000 | 4,568 | |||||||||
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026* | 15,000 | 14,175 | |||||||||
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022 | 10,000 | 8,900 | |||||||||
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025 | 5,000 | 3,899 | |||||||||
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028 | 25,000 | 25,125 | |||||||||
Verizon Communications, Inc. Senior Notes 4.13% due 03/16/2027 | 5,000 | 5,023 | |||||||||
Windstream Services LLC/ Windstream Finance Corp. Sec. Notes 9.00% due 06/30/2025*(3) | 11,000 | 8,497 | |||||||||
118,728 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 2.90% due 01/15/2027 | 18,000 | 16,105 | |||||||||
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026 | 6,000 | 5,881 | |||||||||
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045 | 21,000 | 19,837 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026* | 5,000 | 4,956 | |||||||||
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 30,000 | 29,362 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Television (continued) | |||||||||||
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022 | $ | 10,000 | $ | 10,175 | |||||||
86,316 | |||||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.75% due 06/15/2025 | 10,000 | 9,575 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 02/15/2022 | 6,000 | 6,045 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 11/15/2026 | 10,000 | 9,575 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 6.13% due 05/15/2027 | 5,000 | 4,788 | |||||||||
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023 | 18,000 | 17,707 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024* | 5,000 | 4,900 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026* | 20,000 | 20,200 | |||||||||
72,790 | |||||||||||
Transactional Software — 0.0% | |||||||||||
Solera LLC Senior Notes 10.50% due 03/01/2024* | 35,000 | 38,237 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Watco Cos. LLC/ Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023* | 19,000 | 19,380 | |||||||||
Travel Services — 0.0% | |||||||||||
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023* | 15,000 | 15,093 | |||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 16,000 | 14,893 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 4.90% due 08/28/2028*(3) | 38,000 | 38,581 | |||||||||
Web Portals/ISP — 0.0% | |||||||||||
Alphabet Inc Senior Notes 2.00% due 08/15/2026 | 35,000 | 31,541 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $8,953,276) | 8,942,615 |
138
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.6% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Bombardier, Inc. Senior Notes 7.50% due 12/01/2024* | $ | 25,000 | $ | 26,375 | |||||||
Bombardier, Inc. Senior Notes 8.75% due 12/01/2021* | 5,000 | 5,516 | |||||||||
31,891 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Bank of Montreal Sub. Notes 3.80% due 12/15/2032 | 10,000 | 9,343 | |||||||||
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019* | 10,000 | 10,206 | |||||||||
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026 | 10,000 | 10,228 | |||||||||
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031 | 19,000 | 17,857 | |||||||||
47,634 | |||||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047 | 35,000 | 33,571 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022* | 6,000 | 6,000 | |||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | 10,000 | 9,700 | |||||||||
Mattamy Group Corp. Senior Notes 6.88% due 12/15/2023* | 5,000 | 5,050 | |||||||||
20,750 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023 | 1,000 | 1,029 | |||||||||
Videotron, Ltd. Senior Notes 5.13% due 04/15/2027* | 30,000 | 29,400 | |||||||||
30,429 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 35,000 | 34,483 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
NOVA Chemicals Corp. Senior Notes 5.25% due 06/01/2027* | 12,000 | 11,175 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Chemicals-Diversified (continued) | |||||||||||
Trinseo Materials Operating SCA/ Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025* | $ | 15,000 | $ | 14,461 | |||||||
25,636 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Tronox Finance PLC Company Guar. Notes 5.75% due 10/01/2025* | 5,000 | 4,625 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025* | 10,000 | 9,800 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
IHS Markit, Ltd. Company Guar. Notes 4.00% due 03/01/2026* | 15,000 | 14,353 | |||||||||
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025* | 60,000 | 60,872 | |||||||||
75,225 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041* | 5,000 | 5,206 | |||||||||
Teck Resources, Ltd. Company Guar. Notes 3.75% due 02/01/2023 | 5,000 | 4,900 | |||||||||
10,106 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036 | 10,000 | 12,057 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Legrand France SA Senior Notes 8.50% due 02/15/2025 | 41,000 | 50,503 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 7.88% due 11/01/2022* | 5,000 | 5,206 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
Travelport Corporate Finance PLC Senior Sec. Notes 6.00% due 03/15/2026* | 15,000 | 15,235 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Great Canadian Gaming Corp. Company Guar. Notes 6.63% due 07/25/2022* | CAD | 24,000 | 19,022 | ||||||||
Gold Mining — 0.0% | |||||||||||
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022* | 10,000 | 8,725 |
139
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Gold Mining (continued) | |||||||||||
New Gold, Inc. Company Guar. Notes 6.38% due 05/15/2025* | $ | 5,000 | $ | 4,150 | |||||||
12,875 | |||||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
GFL Environmental, Inc. Senior Notes 5.38% due 03/01/2023* | 5,000 | 4,700 | |||||||||
Hulk Finance Corp. Senior Notes 7.00% due 06/01/2026* | 20,000 | 19,325 | |||||||||
24,025 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Fairfax Financial Holdings, Ltd. Senior Notes 4.85% due 04/17/2028*(3) | 55,000 | 54,224 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
ATS Automation Tooling Systems, Inc. Company Guar. Notes 6.50% due 06/15/2023* | 5,000 | 5,175 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Titan Acquisition, Ltd./ Titan Co-Borrower LLC Senior Notes 7.75% due 04/15/2026* | 15,000 | 13,013 | |||||||||
Medical Products — 0.0% | |||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025* | 10,000 | 8,375 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.50% due 11/01/2025* | 5,000 | 5,000 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023* | 19,000 | 18,525 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025* | 20,000 | 19,000 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 5,000 | 5,200 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 7.00% due 03/15/2024* | 15,000 | 15,847 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 9.00% due 12/15/2025* | 10,000 | 10,763 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023 | 23,000 | 21,904 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026 | $ | 28,000 | $ | 25,805 | |||||||
122,044 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025* | 10,000 | 10,325 | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Ensco PLC Senior Notes 7.75% due 02/01/2026 | 10,000 | 9,925 | |||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024 | 10,000 | 9,925 | |||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | 5,000 | 5,188 | |||||||||
Precision Drilling Corp. Company Guar. Notes 7.13% due 01/15/2026*(3) | 10,000 | 10,275 | |||||||||
Transocean Pontus, Ltd. Senior Sec. Notes 6.13% due 08/01/2025*(3) | 5,000 | 5,081 | |||||||||
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025* | 20,000 | 19,800 | |||||||||
60,194 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024* | 5,000 | 4,775 | |||||||||
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023* | 5,000 | 4,550 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 10,000 | 9,900 | |||||||||
Seven Generations Energy, Ltd. Company Guar. Notes 5.38% due 09/30/2025* | 20,000 | 19,450 | |||||||||
Seven Generations Energy, Ltd. Company Guar. Notes 6.75% due 05/01/2023* | 5,000 | 5,150 | |||||||||
Vermilion Energy, Inc. Company Guar. Notes 5.63% due 03/15/2025* | 5,000 | 4,969 | |||||||||
48,794 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets PLC Company Guar. Notes 3.12% due 05/04/2026 | 20,000 | 19,071 | |||||||||
Equinor ASA Company Guar. Notes 5.10% due 08/17/2040 | 30,000 | 33,950 | |||||||||
53,021 |
140
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Weatherford International, Ltd. Company Guar. Notes 8.25% due 06/15/2023 | $ | 5,000 | $ | 4,725 | |||||||
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024 | 15,000 | 14,700 | |||||||||
19,425 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025 | 15,000 | 17,363 | |||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Senior Notes 4.25% due 12/01/2026 | 15,000 | 15,095 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027* | 25,000 | 23,516 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
1011778 BC ULC/ New Red Finance, Inc. Senior Sec. Notes 4.25% due 05/15/2024* | 10,000 | 9,475 | |||||||||
1011778 BC ULC/ New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022* | 5,000 | 5,006 | |||||||||
1011778 BC ULC/ New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025* | 20,000 | 19,150 | |||||||||
33,631 | |||||||||||
Satellite Telecom — 0.1% | |||||||||||
Intelsat Connect Finance SA Company Guar. Notes 9.50% due 02/15/2023*(3) | 35,000 | 34,825 | |||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025* | 25,000 | 26,469 | |||||||||
61,294 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 10,000 | 10,865 | |||||||||
ArcelorMittal Senior Notes 7.00% due 10/15/2039 | 17,000 | 19,760 | |||||||||
30,625 | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
Koninklijke KPN NV Senior Notes 8.38% due 10/01/2030 | 5,000 | 6,446 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022 | $ | 25,000 | $ | 25,688 | |||||||
Total Foreign Corporate Bonds & Notes (cost $1,077,734) | 1,071,321 | ||||||||||
LOANS(13)(14)(15) — 0.1% | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Navistar, Inc. FRS BTL-B 5.64% (1 ML+3.50) due 11/06/2024 | 29,850 | 29,943 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
AZEK Co. LLC FRS BTL-B 6.25% (6 ML +3.75%) due 09/30/2020 | 4,699 | 4,727 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. FRS 1st Lien 6.60% (3 ML+4.25) due 06/21/2024 | 4,962 | 4,991 | |||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. FRS BTL-B 5.35% (3 ML+3.00) due 11/03/2023 | 4,975 | 4,907 | |||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Revlon Consumer Products Corp. FRS BTL-B 5.81% (1 ML+3.50) due 09/07/2023 | 19,649 | 14,954 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Ortho-Clinical Diagnostics SA FRS BTL 5.49% (3 ML+3.25) due 06/30/2025 | 10,000 | 10,027 | |||||||||
Environmental Consulting & Engineering — 0.0% | |||||||||||
Robertshaw US Holding Corp. FRS 1st Lien 5.75% (1 ML+3.50) due 02/28/2025 | 9,950 | 9,863 | |||||||||
Robertshaw US Holding Corp. FRS 2nd Lien 10.25% (1 ML +8.00%) due 02/27/2026(3) | 10,000 | 9,600 | |||||||||
19,463 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Titan Acquisition, Ltd. FRS BTL-B 5.24% (1 ML+3.00) due 03/28/2025 | 24,938 | 24,135 |
141
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
LOANS(13)(14)(15) (continued) | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
KCA Deutag US Finance LLC FRS BTL-B 9.14% (3 ML +6.75%) due 03/21/2023 | $ | 10,000 | $ | 9,650 | |||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
California Resources Corp. FRS BTL 6.96% (1 ML +4.75%) due 11/17/2022 | 20,000 | 20,400 | |||||||||
Oil-Field Services — 0.0% | |||||||||||
FTS International, Inc. FRS BTL 7.17% (1 ML +4.75%) due 04/16/2021 | 3,491 | 3,495 | |||||||||
Retail-Fabric Store — 0.0% | |||||||||||
Jo-Ann Stores LLC FRS 2nd Lien 11.43% (3 ML +9.25%) due 05/21/2024(3) | 15,000 | 14,812 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B 5.00% (3 ML +2.75%) due 07/06/2021 | 6,937 | 6,976 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Avaya, Inc. FRS BTL-B 6.41% (1 ML +4.25%) due 12/15/2024 | 19,838 | 19,990 | |||||||||
Total Loans (cost $192,262) | 188,470 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.1% | |||||||||||
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049 | 25,000 | 35,136 | |||||||||
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040 | 15,000 | 16,880 | |||||||||
State of California General Obligation Bonds 7.50% due 04/01/2034 | 30,000 | 41,482 | |||||||||
Total Municipal Bonds & Notes (cost $70,178) | 93,498 | ||||||||||
U.S. GOVERNMENT AGENCIES — 1.9% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.0% | |||||||||||
5.50% due 06/01/2035 | 3,289 | 3,565 | |||||||||
7.50% due 10/01/2029 | 3,514 | 3,841 | |||||||||
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 11.43% (16.95%-1 ML) due 06/15/2034(5)(16) | 10,854 | 12,048 |
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 3065, Class DC 13.38% (19.86%-1 ML) due 03/15/2035(5)(16) | $ | 23,644 | $ | 29,573 | |||||||
Series 3072, Class SM 15.88% (23.80%-1 ML) due 11/15/2035(5)(16) | 13,474 | 18,071 | |||||||||
67,098 | |||||||||||
Federal National Mtg. Assoc. — 1.3% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C05, Class 2M1 3.57% (1 ML+1.35%) due 01/25/2029(5) | 2,501 | 2,508 | |||||||||
Series 2017-C01, Class 1M2 5.77% (1 ML+3.55%) due 07/25/2029(5) | 15,000 | 16,375 | |||||||||
Series 2015-C01, Class 1M2 6.52% (1 ML+4.30%) due 02/25/2025(5) | 13,188 | 14,548 | |||||||||
Series 2016-C03, Class 1M2 7.52% (1 ML+5.30%) due 10/25/2028(5) | 10,000 | 11,807 | |||||||||
Series 2016-C02, Class 1M2 8.22% (1 ML+6.00%) due 09/25/2028(5) | 20,000 | 23,529 | |||||||||
Federal National Mtg. Assoc. | |||||||||||
3.00% due 09/01/2046 | 678,055 | 649,519 | |||||||||
3.00% due 10/01/2046 | 260,933 | 249,907 | |||||||||
3.50% due 01/01/2047 | 24,258 | 23,886 | |||||||||
4.00% due 05/01/2019 | 5,825 | 5,945 | |||||||||
4.00% due 09/01/2020 | 2,168 | 2,213 | |||||||||
4.00% due October TBA | 1,000,000 | 1,008,163 | |||||||||
4.50% due 03/01/2020 | 985 | 997 | |||||||||
4.50% due 04/01/2020 | 1,042 | 1,055 | |||||||||
4.50% due 09/01/2020 | 1,508 | 1,527 | |||||||||
4.50% due 11/01/2020 | 930 | 942 | |||||||||
5.00% due 03/01/2021 | 949 | 977 | |||||||||
6.00% due 06/01/2036 | 1,253 | 1,377 | |||||||||
6.50% due 01/01/2036 | 12 | 13 | |||||||||
6.50% due 06/01/2036 | 6,650 | 7,291 | |||||||||
6.50% due 07/01/2036 | 3,514 | 3,935 | |||||||||
6.50% due 09/01/2036 | 10,102 | 11,085 | |||||||||
6.50% due 11/01/2036 | 20,515 | 22,491 | |||||||||
7.00% due 06/01/2033 | 3,617 | 3,971 | |||||||||
7.00% due 04/01/2035 | 5,570 | 6,318 | |||||||||
7.50% due 04/01/2024 | 4,261 | 4,472 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.38% due 10/25/2041(5)(6)(7) | 75,338 | 1,258 | |||||||||
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 13.60% (20.25%-1 ML) due 08/25/2035(5)(16) | 6,493 | 7,664 |
142
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount(18) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2005-122, Class SE 15.34% (23.10%-1 ML) due 11/25/2035(5)(16) | $ | 7,599 | $ | 9,280 | |||||||
Series 2006-8, Class HP 16.44% (24.57%-1 ML) due 03/25/2036(5)(16) | 14,169 | 19,345 | |||||||||
2,112,398 | |||||||||||
Government National Mtg. Assoc. — 0.6% | |||||||||||
3.50% due October TBA | 1,000,000 | 994,336 | |||||||||
6.50% due 08/20/2037 | 13,865 | 15,824 | |||||||||
6.50% due 09/20/2037 | 3,358 | 3,728 | |||||||||
1,013,888 | |||||||||||
Total U.S. Government Agencies (cost $3,248,602) | 3,193,384 | ||||||||||
U.S. GOVERNMENT TREASURIES — 5.5% | |||||||||||
United States Treasury Bonds — 1.1% | |||||||||||
2.75% due 08/15/2042(17) | 1,630,000 | 1,509,469 | |||||||||
3.00% due 02/15/2047 | 260,000 | 250,565 | |||||||||
1,760,034 | |||||||||||
United States Treasury Notes — 4.4% | |||||||||||
1.00% due 08/31/2019 | 310,000 | 305,411 | |||||||||
1.13% due 12/31/2019 | 420,000 | 411,846 | |||||||||
1.50% due 05/31/2020 | 1,370,000 | 1,341,316 | |||||||||
1.63% due 02/15/2026 | 370,000 | 335,760 | |||||||||
1.88% due 11/30/2021 | 430,000 | 416,882 | |||||||||
2.00% due 11/30/2020 | 1,800,000 | 1,768,148 | |||||||||
2.00% due 02/15/2022 | 510,000 | 495,238 | |||||||||
2.13% due 12/31/2022 | 480,000 | 464,419 | |||||||||
2.25% due 11/15/2027 | 730,000 | 683,291 | |||||||||
2.38% due 08/15/2024 | 120,000 | 116,039 | |||||||||
2.63% due 06/15/2021 | 1,000,000 | 993,359 | |||||||||
7,331,709 | |||||||||||
Total U.S. Government Treasuries (cost $9,223,517) | 9,091,743 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.2% | |||||||||||
iShares MSCI Emerging Markets ETF | 671 | 28,799 | |||||||||
SPDR S&P 500 ETF Trust | 5,834 | 1,696,060 | |||||||||
SPDR S&P MidCap 400 ETF Trust | 627 | 230,398 | |||||||||
Total Exchange-Traded funds (cost $1,901,768) | 1,955,257 | ||||||||||
EQUITY CERTIFICATES(3) — 0.3% | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Merrill Lynch — Al Rajhi Bank | 3,672 | 84,402 | |||||||||
Merrill Lynch — Samba Financial Group | 9,135 | 76,364 | |||||||||
160,766 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
UBS AG — Wuliangye Yibin Co., Ltd. | 9,600 | 94,806 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
UBS AG — Shengyi Technology Co., Ltd. | 35,500 | 54,329 |
Security Description | Shares/ Principal Amount(18) | Value (Note 2) | |||||||||
Industrial Audio & Video Products — 0.0% | |||||||||||
UBS AG — Hangzhou Hikvision Digital Technology Co., Ltd. | 15,200 | $ | 63,490 | ||||||||
Lasers-System/Components — 0.0% | |||||||||||
UBS AG — Han's Laser Technology Industry Group Co., Ltd. | 7,700 | 47,416 | |||||||||
Petrochemicals — 0.0% | |||||||||||
Merrill Lynch — Saudi Kayan Petrochemical Co | 10,056 | 44,137 | |||||||||
Total Equity Certificates (cost $497,261) | 464,944 | ||||||||||
WARRANTS — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Halcon Resources Corp. Expires 09/09/2020 (Strike Price $14.04) (cost $0) | 198 | 20 | |||||||||
Total Long-Term Investment Securities (cost $138,456,535) | 151,752,848 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 7.9% | |||||||||||
Commercial Paper — 7.9% | |||||||||||
Atlantic Asset Securization LLC 2.35% due 12/17/2018 | $ | 775,000 | 770,970 | ||||||||
Bedford Row Funding Corp. 2.13% due 10/17/2018* | 775,000 | 774,110 | |||||||||
Chevron Corp. 1.99% due 10/01/2018* | 775,000 | 774,864 | |||||||||
Collateralized Commercial Paper Co. LLC 2.18% due 10/12/2018 | 775,000 | 774,342 | |||||||||
Collateralized Commercial Paper II Co. LLC 2.24% due 11/01/2018 | 800,000 | 798,325 | |||||||||
Danske Corp. 2.27% due 11/02/2018* | 750,000 | 748,363 | |||||||||
Liberty Street Funding LLC 2.29% due 11/07/2018* | 775,000 | 773,082 | |||||||||
Manhattan Asset Funding Co. LLC 2.17% due 10/02/2018* | 775,000 | 774,816 | |||||||||
MetLife Short Term Funding LLC 2.09% due 10/10/2018* | 775,000 | 774,443 | |||||||||
Nationwide Building Society 2.28% due 12/03/2018 | 775,000 | 771,667 | |||||||||
Nestle Finance International, Ltd. 2.07% due 10/01/2018 | 775,000 | 774,864 | |||||||||
NRW Bank 2.13% due 10/05/2018* | 775,000 | 774,676 | |||||||||
Regency Markets No.1 LLC 2.14% due 10/11/2018 | 775,000 | 774,390 | |||||||||
Simon Property Group 2.07% due 10/15/2018 | 775,000 | 774,195 | |||||||||
Thunder Bay Funding LLC 2.15% due 11/09/2018 | 775,000 | 772,984 | |||||||||
Victory Receivables Corp. 2.19% due 11/06/2018 | 775,000 | 773,125 |
143
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(18) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES (continued) | |||||||||||
Commercial Paper (continued) | |||||||||||
Walmart, Inc. 2.01% due 10/01/2018* | $ | 775,000 | $ | 774,862 | |||||||
Total Short-Term Investment Securities (cost $13,156,996) | 13,154,078 | ||||||||||
REPURCHASE AGREEMENTS — 1.8% | |||||||||||
Agreement with Bank of America Securities LLC, bearing interest at 1.38%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $3,023,564 collateralized by $3,107,000 of United States Treasury Notes, bearing interest at 1.63% due 07/31/2019 and having an approximate value of $3,082,969. (cost $3,023,000) | 3,023,000 | 3,023,000 | |||||||||
TOTAL INVESTMENTS (cost $154,636,531)(19) | 101.3 | % | 167,929,926 | ||||||||
Liabilities in excess of other assets | (1.3 | ) | (2,186,199 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 165,743,727 |
† 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 September 30, 2018, the aggregate value of these securities was $11,996,254 representing 7.2% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(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 September 30, 2018, the Portfolio held the following restricted securities:
Description | Acquistion Date | Shares | Acquistion Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
MWO Holdings LLC | 08/24/2016 | 10 | $ | 6,153 | $ | 810 | $ | 81.00 | 0.00 | % | |||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 1,362 | 0 | 1,022 | 0.75 | 0.00 | |||||||||||||||||||||
$ | 1,832 | 0.00 | % |
(2) Securities classified as Level 3 (see Note 2).
(3) Illiquid security. At September 30, 2018, the aggregate value of these securities was $1,385,563 representing 0.8% of net assets.
(4) Perpetual maturity — maturity date reflects the next call date.
(5) Collateralized Mortgage Obligation
(6) Interest Only
(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) Security in default
(10) Company has filed for bankruptcy protection.
(11) 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.
(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 September 30, 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
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
144
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 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
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
101 | Long | E-Mini Russell 2000 Index | December 2018 | $ | 8,694,762 | $ | 8,589,040 | $ | (105,722 | ) | |||||||||||||||||
28 | Short | S&P 500 E-Mini Index | December 2018 | 4,050,794 | 4,086,600 | (35,806 | ) | ||||||||||||||||||||
9 | Long | TOPIX Index | December 2018 | 1,332,548 | 1,439,667 | 107,119 | |||||||||||||||||||||
66 | Long | U.S. Treasury 10 Year Notes | December 2018 | 7,924,430 | 7,839,563 | (84,867 | ) | ||||||||||||||||||||
1 | Short | U.S. Treasury 10 Year Ultra Notes | December 2018 | 127,735 | 126,000 | 1,735 | |||||||||||||||||||||
5 | Long | U.S. Treasury 2 Year Notes | December 2018 | 1,056,250 | 1,053,672 | (2,578 | ) | ||||||||||||||||||||
43 | Short | U.S. Treasury 2 Year Notes | December 2018 | 9,083,078 | 9,061,578 | 21,500 | |||||||||||||||||||||
53 | Short | U.S. Treasury 5 Year Notes | December 2018 | 6,002,672 | 5,961,258 | 41,414 | |||||||||||||||||||||
$ | (57,205 | ) |
* 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. | $ | 7,998 | 11/27/2018 | (3 Month USD LIBOR-BBA | Citibank U.S. Equity Custom | ||||||||||||||||||||||
plus 37 bps)/Quarterly | Basket(1)/Quarterly | $ | — | $ | 47,484 | ||||||||||||||||||||||
Citibank N.A. | 6,646 | 11/27/2018 | 3 Month USD LIBOR-BBA | Russell 1000 Index Total Return/ | |||||||||||||||||||||||
plus 35 bps/Quarterly | Quarterly | — | (40,328 | ) | |||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | 7,156 |
BBA — British Banker's Association
LIBOR — London Interbank Offered Rate
(1) The following are the 50 largest components in the Citibank U.S. Equity Custom Basket:
Common Stocks | Percentage* | Shares | Value | ||||||||||||
JPMorgan Chase & Co. | 2.8 | % | 52 | $ | 220,687 | ||||||||||
Alphabet, Inc., Class A | 2.5 | 4 | 199,872 | ||||||||||||
Apple, Inc. | 2.4 | 23 | 194,319 | ||||||||||||
Intuit, Inc. | 2.2 | 20 | 173,883 | ||||||||||||
Humana, Inc. | 1.9 | 12 | 155,410 | ||||||||||||
TJX Cos., Inc. | 1.9 | 35 | 149,630 | ||||||||||||
American Express Co. | 1.9 | 37 | 149,517 |
145
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Common Stocks | Percentage* | Shares | Value | ||||||||||||
McDonald's Corp. | 1.9 | % | 24 | $ | 149,517 | ||||||||||
Danaher Corp. | 1.8 | 35 | 145,286 | ||||||||||||
Pfizer, Inc. | 1.8 | 84 | 140,262 | ||||||||||||
Raytheon Co. | 1.8 | 18 | 139,998 | ||||||||||||
Texas Instruments, Inc. | 1.7 | 34 | 138,298 | ||||||||||||
Occidental Petroleum Corp. | 1.7 | 44 | 137,391 | ||||||||||||
Lowe's Cos., Inc. | 1.7 | 31 | 136,636 | ||||||||||||
Northrop Grumman Corp. | 1.6 | 11 | 131,800 | ||||||||||||
Exxon Mobil Corp. | 1.6 | 40 | 129,156 | ||||||||||||
Cognizant Technology Solutions Corp., Class A | 1.6 | 44 | 126,776 | ||||||||||||
Constellation Brands, Inc., Class A | 1.6 | 15 | 125,303 | ||||||||||||
Honeywell International, Inc. | 1.5 | 19 | 122,205 | ||||||||||||
PNC Financial Services Group, Inc. | 1.5 | 24 | 121,374 | ||||||||||||
American Electric Power Co., Inc. | 1.4 | 43 | 114,952 | ||||||||||||
eBay, Inc. | 1.4 | 88 | 109,664 | ||||||||||||
Norfolk Southern Corp. | 1.3 | 16 | 107,435 | ||||||||||||
Johnson & Johnson | 1.3 | 20 | 104,337 | ||||||||||||
Microsoft Corp. | 1.3 | 24 | 103,808 | ||||||||||||
Baxter International, Inc. | 1.3 | 35 | 102,411 | ||||||||||||
Kimberly-Clark Corp. | 1.3 | 24 | 102,222 | ||||||||||||
F5 Networks, Inc. | 1.2 | 13 | 96,593 | ||||||||||||
NetApp, Inc. | 1.2 | 29 | 93,344 | ||||||||||||
Walt Disney Co. | 1.2 | 21 | 92,967 | ||||||||||||
Marathon Petroleum Corp. | 1.1 | 30 | 91,418 | ||||||||||||
Allstate Corp. | 1.1 | 24 | 89,416 | ||||||||||||
HP, Inc. | 1.1 | 91 | 88,585 | ||||||||||||
Duke Energy Corp. | 1.1 | 29 | 87,678 | ||||||||||||
Fidelity National Information Services, Inc. | 1.1 | 21 | 84,883 | ||||||||||||
Verizon Communications, Inc. | 1.0 | 40 | 80,727 | ||||||||||||
Sysco Corp. | 1.0 | 29 | 80,501 | ||||||||||||
Ross Stores, Inc. | 1.0 | 21 | 77,025 | ||||||||||||
General Dynamics Corp. | 0.9 | 10 | 75,136 | ||||||||||||
Facebook, Inc., Class A | 0.9 | 12 | 72,152 | ||||||||||||
Harris Corp. | 0.9 | 11 | 70,717 | ||||||||||||
Merck & Co., Inc. | 0.9 | 25 | 68,299 | ||||||||||||
Kinder Morgan, Inc. | 0.8 | 98 | 65,919 | ||||||||||||
Valero Energy Corp. | 0.8 | 15 | 64,975 | ||||||||||||
Red Hat, Inc. | 0.8 | 13 | 64,823 | ||||||||||||
Waste Management, Inc. | 0.8 | 19 | 64,748 | ||||||||||||
Fiserv, Inc. | 0.8 | 21 | 64,521 | ||||||||||||
UnitedHealth Group, Inc. | 0.8 | 6 | 63,615 | ||||||||||||
Worldpay, Inc., Class A | 0.8 | 16 | 62,632 | ||||||||||||
Zoetis, Inc. | 0.8 | 18 | 61,273 | ||||||||||||
Total of the 50 largest components in the Citibank U.S. Equity Custom Basket | 68.8 | 5,494,096 | |||||||||||||
Other components in the Citibank U.S. Equity Custom Basket | 31.2 | 2,504,201 | |||||||||||||
Total components in the Citibank U.S. Equity Custom Basket | 100.0 | % | $ | 7,998,297 |
* Represents the weighting of the component in the custom basket.
146
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Bank of America, N.A. | CAD | 619,600 | USD | 469,826 | 10/17/2018 | $ | — | $ | (10,042 | ) | |||||||||||||
HKD | 4,032,700 | USD | 514,539 | 11/19/2018 | — | (945 | ) | ||||||||||||||||
USD | 121,402 | HKD | 950,700 | 11/19/2018 | 122 | — | |||||||||||||||||
USD | 693,306 | EUR | 588,800 | 12/19/2018 | — | (5,199 | ) | ||||||||||||||||
USD | 538,689 | GBP | 413,600 | 12/19/2018 | 2,421 | — | |||||||||||||||||
2,543 | (16,186 | ) | |||||||||||||||||||||
Citibank N.A. | CAD | 17,600 | USD | 13,346 | 10/17/2018 | — | (285 | ) | |||||||||||||||
USD | 240,250 | JPY | 26,610,000 | 11/19/2018 | — | (5,235 | ) | ||||||||||||||||
USD | 172,956 | DKK | 1,100,000 | 12/19/2018 | — | (493 | ) | ||||||||||||||||
USD | 308,678 | EUR | 263,500 | 12/19/2018 | — | (736 | ) | ||||||||||||||||
USD | 772,131 | GBP | 595,700 | 12/19/2018 | 7,218 | — | |||||||||||||||||
7,218 | (6,749 | ) | |||||||||||||||||||||
Goldman Sachs International | USD | 270,001 | EUR | 230,400 | 12/19/2018 | — | (742 | ) | |||||||||||||||
JPMorgan Chase Bank | NOK | 450,600 | USD | 53,824 | 12/19/2018 | — | (1,726 | ) | |||||||||||||||
SEK | 2,372,900 | USD | 263,807 | 12/19/2018 | — | (5,017 | ) | ||||||||||||||||
USD | 277,468 | AUD | 379,000 | 10/17/2018 | — | (3,489 | ) | ||||||||||||||||
USD | 302,731 | JPY | 33,571,000 | 11/19/2018 | — | (6,237 | ) | ||||||||||||||||
USD | 160,859 | SGD | 218,600 | 11/19/2018 | — | (788 | ) | ||||||||||||||||
USD | 714,404 | CHF | 688,100 | 12/19/2018 | — | (8,050 | ) | ||||||||||||||||
USD | 462,781 | EUR | 394,900 | 12/19/2018 | — | (1,276 | ) | ||||||||||||||||
USD | 293,267 | GBP | 225,000 | 12/19/2018 | 1,098 | — | |||||||||||||||||
1,098 | (26,583 | ) | |||||||||||||||||||||
State Street Bank and Trust Co. | USD | 12,123 | ILS | 43,900 | 10/17/2018 | — | (40 | ) | |||||||||||||||
USD | 216,611 | JPY | 24,013,100 | 11/19/2018 | — | (4,532 | ) | ||||||||||||||||
— | (4,572 | ) | |||||||||||||||||||||
UBS AG | USD | 372,096 | AUD | 508,300 | 10/17/2018 | — | (4,646 | ) | |||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 10,859 | $ | (59,478 | ) |
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
147
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 73,979 | $ | 1,022 | $ | — | $ | 75,001 | |||||||||||
Oil Companies-Exploration & Production | 2,145,651 | — | 810 | 2,146,461 | |||||||||||||||
Other Industries | 121,742,517 | — | — | 121,742,517 | |||||||||||||||
Convertible Preferred Securities | 14,135 | — | — | 14,135 | |||||||||||||||
Preferred Securities | 15,254 | — | — | 15,254 | |||||||||||||||
Preferred Securities/Capital Securities | — | 503,419 | — | 503,419 | |||||||||||||||
Asset Backed Securities | — | 2,245,271 | — | 2,245,271 | |||||||||||||||
Convertible Bonds & Notes | — | 9,538 | — | 9,538 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Oil-Field Services | — | 61,169 | 3 | 61,172 | |||||||||||||||
Telecommunication Equipment | — | 60,087 | 0 | 60,087 | |||||||||||||||
Other Industries | — | 8,821,356 | — | 8,821,356 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,071,321 | — | 1,071,321 | |||||||||||||||
Loans | — | 188,470 | — | 188,470 | |||||||||||||||
Municipal Bonds & Notes | — | 93,498 | — | 93,498 | |||||||||||||||
U.S. Government Agencies | — | 3,193,384 | — | 3,193,384 | |||||||||||||||
U.S. Government Treasuries | — | 9,091,743 | — | 9,091,743 | |||||||||||||||
Exchange-Traded Funds | 1,955,257 | — | — | 1,955,257 | |||||||||||||||
Equity Certificates | — | 464,944 | — | 464,944 | |||||||||||||||
Warrants | 20 | — | — | 20 | |||||||||||||||
Short-Term Investment Securities | — | 13,154,078 | — | 13,154,078 | |||||||||||||||
Repurchase Agreements | — | 3,023,000 | — | 3,023,000 | |||||||||||||||
Total Investments at Value | $ | 125,946,813 | $ | 41,982,300 | $ | 813 | $ | 167,929,926 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 171,768 | $ | — | $ | — | $ | 171,768 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 47,484 | — | 47,484 | |||||||||||||||
Forward Foreign Currency Contracts | — | 10,859 | — | 10,859 | |||||||||||||||
Total Other Financial Instruments | $ | 171,768 | $ | 58,343 | $ | — | $ | 230,111 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 228,973 | $ | — | $ | — | $ | 228,973 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 40,328 | — | 40,328 | |||||||||||||||
Forward Foreign Currency Contracts | — | 59,478 | — | 59,478 | |||||||||||||||
Total Other Financial Instruments | $ | 228,973 | $ | 99,806 | $ | — | $ | 328,779 |
* 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. Securities currently valued at $20,012,090 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional 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
148
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO PROFILES — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
E-Commerce/Products | 11.9 | % | |||||
Applications Software | 10.1 | ||||||
Medical-HMO | 6.2 | ||||||
Finance-Credit Card | 6.2 | ||||||
Web Portals/ISP | 5.6 | ||||||
Internet Content-Entertainment | 4.3 | ||||||
Commercial Services-Finance | 4.1 | ||||||
Aerospace/Defense | 4.1 | ||||||
E-Commerce/Services | 3.9 | ||||||
Medical Products | 3.8 | ||||||
Medical-Biomedical/Gene | 2.7 | ||||||
Auto-Cars/Light Trucks | 2.5 | ||||||
Finance-Investment Banker/Broker | 2.4 | ||||||
Internet Application Software | 2.1 | ||||||
Casino Hotels | 1.8 | ||||||
Medical Instruments | 1.7 | ||||||
Retail-Discount | 1.6 | ||||||
Data Processing/Management | 1.5 | ||||||
Entertainment Software | 1.5 | ||||||
Machinery-General Industrial | 1.4 | ||||||
Electronic Components-Semiconductors | 1.4 | ||||||
Diversified Banking Institutions | 1.3 | ||||||
Multimedia | 1.3 | ||||||
Real Estate Investment Trusts | 1.2 | ||||||
Tobacco | 1.2 | ||||||
Internet Security | 1.1 | ||||||
Athletic Footwear | 1.0 | ||||||
Computers | 1.0 | ||||||
Insurance-Multi-line | 0.9 | ||||||
Electronic Measurement Instruments | 0.9 | ||||||
Auto/Truck Parts & Equipment-Original | 0.8 | ||||||
Software Tools | 0.8 | ||||||
Instruments-Controls | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Enterprise Software/Service | 0.8 | ||||||
Electric-Distribution | 0.8 | ||||||
Retail-Restaurants | 0.8 | ||||||
Semiconductor Equipment | 0.6 | ||||||
Chemicals-Diversified | 0.6 | ||||||
Electric-Integrated | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Water | 0.3 | ||||||
Diversified Financial Services | 0.3 | ||||||
Registered Investment Companies | 0.3 | ||||||
Hotels/Motels | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
Beverages-Non-alcoholic | 0.2 | ||||||
Banks-Commercial | 0.2 | ||||||
Medical-Hospitals | 0.1 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
149
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.3% | |||||||||||
Aerospace/Defense — 4.1% | |||||||||||
Boeing Co. | 37,766 | $ | 14,045,175 | ||||||||
Northrop Grumman Corp. | 10,800 | 3,427,596 | |||||||||
17,472,771 | |||||||||||
Applications Software — 9.8% | |||||||||||
Intuit, Inc. | 26,428 | 6,009,727 | |||||||||
Microsoft Corp. | 195,439 | 22,352,358 | |||||||||
Red Hat, Inc.† | 35,191 | 4,795,830 | |||||||||
salesforce.com, Inc.† | 39,600 | 6,297,588 | |||||||||
ServiceNow, Inc.† | 12,086 | 2,364,384 | |||||||||
41,819,887 | |||||||||||
Athletic Footwear — 1.0% | |||||||||||
NIKE, Inc., Class B | 52,785 | 4,471,945 | |||||||||
Auto-Cars/Light Trucks — 2.5% | |||||||||||
Ferrari NV | 18,693 | 2,559,258 | |||||||||
Tesla, Inc.† | 30,888 | 8,178,216 | |||||||||
10,737,474 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.8% | |||||||||||
Aptiv PLC | 43,000 | 3,607,700 | |||||||||
Banks-Commercial — 0.2% | |||||||||||
First Republic Bank | 7,425 | 712,800 | |||||||||
Beverages-Non-alcoholic — 0.2% | |||||||||||
PepsiCo, Inc. | 7,179 | 802,612 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
NVR, Inc.† | 610 | 1,507,188 | |||||||||
Casino Hotels — 1.8% | |||||||||||
Las Vegas Sands Corp. | 41,300 | 2,450,329 | |||||||||
MGM Resorts International | 59,600 | 1,663,436 | |||||||||
Wynn Resorts, Ltd. | 27,057 | 3,437,862 | |||||||||
7,551,627 | |||||||||||
Chemicals-Diversified — 0.6% | |||||||||||
DowDuPont, Inc. | 37,779 | 2,429,568 | |||||||||
Commercial Services-Finance — 4.1% | |||||||||||
Equifax, Inc. | 25,411 | 3,317,914 | |||||||||
PayPal Holdings, Inc.† | 49,052 | 4,308,728 | |||||||||
TransUnion | 49,799 | 3,664,210 | |||||||||
Worldpay, Inc., Class A† | 61,896 | 6,268,208 | |||||||||
17,559,060 | |||||||||||
Computers — 1.0% | |||||||||||
Apple, Inc. | 17,953 | 4,052,710 | |||||||||
Data Processing/Management — 1.5% | |||||||||||
Fidelity National Information Services, Inc. | 29,300 | 3,195,751 | |||||||||
Fiserv, Inc.† | 39,934 | 3,289,763 | |||||||||
6,485,514 | |||||||||||
Diversified Banking Institutions — 1.3% | |||||||||||
JPMorgan Chase & Co. | 27,600 | 3,114,384 | |||||||||
Morgan Stanley | 53,282 | 2,481,343 | |||||||||
5,595,727 | |||||||||||
Diversified Financial Services — 0.3% | |||||||||||
ANT International Co., Ltd., Class C†(1)(2)(3) | 249,140 | 1,397,675 |
Security Description | Shares | Value (Note 2) | |||||||||
E-Commerce/Products — 11.9% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 52,571 | $ | 8,661,598 | ||||||||
Amazon.com, Inc.† | 20,915 | 41,892,745 | |||||||||
50,554,343 | |||||||||||
E-Commerce/Services — 2.9% | |||||||||||
Booking Holdings, Inc.† | 5,591 | 11,092,544 | |||||||||
IAC/InterActiveCorp† | 5,300 | 1,148,616 | |||||||||
Uber Technologies, Inc., Class A†(1)(2)(3) | 834 | 38,457 | |||||||||
12,279,617 | |||||||||||
Electric-Distribution — 0.8% | |||||||||||
Sempra Energy | 28,998 | 3,298,523 | |||||||||
Electric-Integrated — 0.4% | |||||||||||
NextEra Energy, Inc. | 9,103 | 1,525,663 | |||||||||
Electronic Components-Semiconductors — 1.4% | |||||||||||
NVIDIA Corp. | 20,500 | 5,760,910 | |||||||||
Electronic Measurement Instruments — 0.9% | |||||||||||
Fortive Corp. | 44,933 | 3,783,359 | |||||||||
Enterprise Software/Service — 0.8% | |||||||||||
Workday, Inc., Class A† | 22,937 | 3,348,343 | |||||||||
Entertainment Software — 1.5% | |||||||||||
Activision Blizzard, Inc. | 36,259 | 3,016,386 | |||||||||
Electronic Arts, Inc.† | 27,464 | 3,309,138 | |||||||||
6,325,524 | |||||||||||
Finance-Credit Card — 6.2% | |||||||||||
Mastercard, Inc., Class A | 54,400 | 12,109,984 | |||||||||
Visa, Inc., Class A | 95,400 | 14,318,586 | |||||||||
26,428,570 | |||||||||||
Finance-Investment Banker/Broker — 2.4% | |||||||||||
Charles Schwab Corp. | 101,085 | 4,968,328 | |||||||||
TD Ameritrade Holding Corp. | 96,939 | 5,121,287 | |||||||||
10,089,615 | |||||||||||
Finance-Other Services — 0.8% | |||||||||||
Intercontinental Exchange, Inc. | 45,230 | 3,387,275 | |||||||||
Hotels/Motels — 0.2% | |||||||||||
Hilton Worldwide Holdings, Inc. | 11,381 | 919,357 | |||||||||
Instruments-Controls — 0.8% | |||||||||||
Honeywell International, Inc. | 21,130 | 3,516,032 | |||||||||
Insurance-Multi-line — 0.9% | |||||||||||
Chubb, Ltd. | 29,661 | 3,963,896 | |||||||||
Internet Application Software — 2.1% | |||||||||||
Tencent Holdings, Ltd. | 220,600 | 9,107,656 | |||||||||
Internet Content-Entertainment — 4.3% | |||||||||||
Facebook, Inc., Class A† | 72,959 | 11,998,837 | |||||||||
Netflix, Inc.† | 16,900 | 6,322,797 | |||||||||
18,321,634 | |||||||||||
Internet Security — 1.1% | |||||||||||
Symantec Corp. | 224,190 | 4,770,763 | |||||||||
Machinery-General Industrial — 1.4% | |||||||||||
Roper Technologies, Inc. | 14,021 | 4,153,161 | |||||||||
Wabtec Corp. | 18,972 | 1,989,783 | |||||||||
6,142,944 |
150
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Instruments — 1.7% | |||||||||||
Intuitive Surgical, Inc.† | 12,453 | $ | 7,148,022 | ||||||||
Medical Products — 3.8% | |||||||||||
Becton Dickinson and Co. | 33,627 | 8,776,647 | |||||||||
Stryker Corp. | 42,779 | 7,600,973 | |||||||||
16,377,620 | |||||||||||
Medical-Biomedical/Gene — 2.7% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 27,258 | 3,789,134 | |||||||||
Celgene Corp.† | 21,200 | 1,897,188 | |||||||||
Vertex Pharmaceuticals, Inc.† | 31,116 | 5,997,298 | |||||||||
11,683,620 | |||||||||||
Medical-HMO — 6.2% | |||||||||||
Anthem, Inc. | 20,100 | 5,508,405 | |||||||||
Centene Corp.† | 25,245 | 3,654,971 | |||||||||
Cigna Corp. | 23,795 | 4,955,309 | |||||||||
UnitedHealth Group, Inc. | 40,715 | 10,831,819 | |||||||||
WellCare Health Plans, Inc.† | 4,925 | 1,578,413 | |||||||||
26,528,917 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA Healthcare, Inc. | 1,598 | 222,314 | |||||||||
Multimedia — 1.3% | |||||||||||
Walt Disney Co. | 45,649 | 5,338,194 | |||||||||
Real Estate Investment Trusts — 1.2% | |||||||||||
Crown Castle International Corp. | 47,307 | 5,266,688 | |||||||||
Real Estate Management/Services — 0.0% | |||||||||||
WeWork Cos., Inc., Class A†(1)(2)(3) | 532 | 34,974 | |||||||||
Retail-Discount — 1.6% | |||||||||||
Dollar General Corp. | 14,195 | 1,551,513 | |||||||||
Dollar Tree, Inc.† | 38,620 | 3,149,461 | |||||||||
Dollarama, Inc. | 63,948 | 2,014,512 | |||||||||
6,715,486 | |||||||||||
Retail-Restaurants — 0.8% | |||||||||||
McDonald's Corp. | 19,700 | 3,295,613 | |||||||||
Semiconductor Equipment — 0.6% | |||||||||||
ASML Holding NV | 14,248 | 2,678,909 | |||||||||
Software Tools — 0.8% | |||||||||||
VMware, Inc., Class A† | 22,531 | 3,516,188 | |||||||||
Tobacco — 1.2% | |||||||||||
Philip Morris International, Inc. | 61,974 | 5,053,360 | |||||||||
Water — 0.3% | |||||||||||
American Water Works Co., Inc. | 16,338 | 1,437,254 | |||||||||
Web Portals/ISP — 5.6% | |||||||||||
Alphabet, Inc., Class A† | 9,470 | 11,431,048 | |||||||||
Alphabet, Inc., Class C† | 10,566 | 12,610,204 | |||||||||
24,041,252 | |||||||||||
Total Common Stocks (cost $295,025,820) | 419,066,693 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.5% | |||||||||||
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 |
Security Description | Shares | Value (Note 2) | |||||||||
E-Commerce/Services — 1.0% | |||||||||||
Airbnb, Inc., Series D†(1)(2)(3) | 13,329 | $ | 1,526,704 | ||||||||
Airbnb, Inc., Series E†(1)(2)(3) | 8,841 | 1,012,648 | |||||||||
Uber Technologies, Inc., Series A†(1)(2)(3) | 119 | 5,487 | |||||||||
Uber Technologies, Inc., Series B†(1)(2)(3) | 319 | 14,710 | |||||||||
Uber Technologies, Inc., Series C-1†(1)(2)(3) | 84 | 3,873 | |||||||||
Uber Technologies, Inc., Series C-2†(1)(2)(3) | 68 | 3,136 | |||||||||
Uber Technologies, Inc., Series C-3†(1)(2)(3) | 1 | 46 | |||||||||
Uber Technologies, Inc., Series D†(1)(2)(3) | 76 | 3,504 | |||||||||
Uber Technologies, Inc., Series E†(1)(2)(3) | 36 | 1,660 | |||||||||
Uber Technologies, Inc., Series G†(1)(2)(3) | 20,747 | 956,667 | |||||||||
Uber Technologies, Inc., Series G-1†(1)(2)(3) | 183 | 8,438 | |||||||||
Uber Technologies, Inc., Series Seed†(1)(2)(3) | 304 | 14,018 | |||||||||
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2)(3) | 19,048 | 970,155 | |||||||||
4,521,046 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
WeWork Cos., Inc., Series E†(1)(2)(3) | 13,398 | 880,784 | |||||||||
Total Convertible Preferred Securities (cost $4,447,287) | 6,572,118 | ||||||||||
Total Long-Term Investment Securities (cost $299,473,107) | 425,638,811 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.3% | |||||||||||
Registered Investment Companies — 0.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(4) | 500,000 | 500,000 | |||||||||
T. Rowe Price Government Reserve Fund 2.09%(4) | 869,401 | 869,401 | |||||||||
Total Short-Term Investment Securities (cost $1,369,401) | 1,369,401 | ||||||||||
TOTAL INVESTMENTS (cost $300,842,508)(5) | 100.1 | % | 427,008,212 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (636,773 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 426,371,439 |
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) Illiquid security. At September 30, 2018, the aggregate value of these securities was $8,043,224 representing 1.9% of net assets.
151
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
(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 September 30, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
ANT International Co., Ltd, Class C | 06/07/2018 | 249,140 | $ | 1,397,675 | $ | 1,397,675 | $ | 5.61 | 0.33 | % | |||||||||||||||||
Uber Technologies, Inc., Class A | 01/16/2018 | 834 | 27,496 | 38,457 | 46.11 | 0.01 | |||||||||||||||||||||
WeWork Cos., Inc., Class A | 06/23/2015 | 532 | 17,497 | 34,974 | 65.74 | 0.01 | |||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 13,329 | 542,664 | 1,526,704 | 114.54 | 0.36 | |||||||||||||||||||||
Airbnb, Inc., Series E | 07/14/2015 | 8,841 | 823,048 | 1,012,648 | 114.54 | 0.24 | |||||||||||||||||||||
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 | 5,487 | 46.11 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series B | 01/16/2018 | 319 | 10,517 | 14,710 | 46.11 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-1 | 01/16/2018 | 84 | 2,769 | 3,873 | 46.11 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-2 | 01/16/2018 | 68 | 2,242 | 3,136 | 46.11 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-3 | 01/16/2018 | 1 | 33 | 46 | 46.11 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series D | 01/16/2018 | 76 | 2,506 | 3,504 | 46.11 | 0.00 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Convertible Preferred Securities (continued) | |||||||||||||||||||||||||||
Uber Technologies, Inc., Series E | 01/16/2018 | 36 | $ | 1,187 | $ | 1,660 | $ | 46.11 | 0.00 | % | |||||||||||||||||
Uber Technologies, Inc., Series G | 12/03/2015 | 20,747 | 1,011,877 | 956,667 | 46.11 | 0.22 | |||||||||||||||||||||
Uber Technologies, Inc., Series G-1 | 01/16/2018 | 183 | 8,925 | 8,438 | 46.11 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series Seed | 01/16/2018 | 304 | 10,023 | 14,018 | 46.11 | 0.00 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 13,398 | 440,655 | 880,784 | 65.74 | 0.21 | |||||||||||||||||||||
Xiaoju Kuaizhi, Inc., Series A-17 | 10/19/15 | 19,048 | 522,414 | 970,155 | 50.93 | 0.23 | |||||||||||||||||||||
$ | 8,043,224 | 1.89 | % |
(4) The rate shown is the 7-day yield as of September 30, 2018.
(5) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
152
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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: | |||||||||||||||||||
Diversified Financial Services | $ | — | $ | — | $ | 1,397,675 | $ | 1,397,675 | |||||||||||
E-Commerce/Services | 12,241,160 | — | 38,457 | 12,279,617 | |||||||||||||||
Real Estate Management/Services | — | — | 34,974 | 34,974 | |||||||||||||||
Other Industries | 405,354,427 | — | — | 405,354,427 | |||||||||||||||
Convertible Preferred Securities | — | — | 6,572,118 | 6,572,118 | |||||||||||||||
Short-Term Investment Securities | 1,369,401 | — | — | 1,369,401 | |||||||||||||||
Total Investment at Value | $ | 418,964,988 | $ | — | $ | 8,043,224 | $ | 427,008,212 |
* 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. Securities currently valued at $9,107,656 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional 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, 2018 | $ | 121,002 | $ | 7,008,900 | |||||||
Accrued discounts | — | — | |||||||||
Accrued premiums | — | — | |||||||||
Realized gain | 13,445 | 502,058 | |||||||||
Realized loss | — | — | |||||||||
Change in unrealized appreciation(1) | 40,436 | 710,414 | |||||||||
Change in unrealized depreciation(1) | — | — | |||||||||
Net purchases | 1,397,675 | — | |||||||||
Net sales | (101,452 | ) | (1,649,254 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of September 30, 2018 | $ | 1,471,106 | $ | 6,572,118 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2018 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | 20,058 | $ | 657,161 |
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 September 30, 2018.
153
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is quantitative information about Level 3 fair value measurements:
Description | Value at September 30, 2018 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
Common Stocks | $ | 1,397,675 | Market Approach | Market Transaction Price* | $ | 5.61 | |||||||||||||
| $ | 38,457 | Market Approach | Market Transaction Price* | $ | 48.772228 | |||||||||||||
|
|
| Average of Market Bids* | $ | 43.45 | ||||||||||||||
| $ | 34,974 | Market Approach | Secondary Market Transactions* | $ | 26.0000 | |||||||||||||
|
|
| Tender Price* | $ | 51.8100 | ||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 13.8 | x | ||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 11.6 | x | ||||||||||||||
|
|
| 2020 Estimated EBTIDA Multiple* | 31.1 | x | ||||||||||||||
|
|
| 2021 Estimated EBITDA Multiple* | 24.2 | x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.00 | % | ||||||||||||||
Convertible Preferred Securities | $ | 1,170,288 | Market Approach | Market Transaction Price* | $ | 27.00 | |||||||||||||
| $ | 970,155 | Market Approach | Secondary Market Transaction* | $ | 50.9321 | |||||||||||||
| $ | 1,011,539 | Market Approach | Market Transaction Price* | $ | 48.772228 | |||||||||||||
|
| Average of Market Bids* | $ | 43.45 | |||||||||||||||
| $ | 880,784 | Market Approach | Secondary Market Transactions* | $ | 26.0000 | |||||||||||||
|
|
| Tender Price* | $ | 51.8100 | ||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 13.8 | x | ||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 11.6 | x | ||||||||||||||
|
|
| 2020 Estimated EBTIDA Multiple* | 31.1 | x | ||||||||||||||
|
|
| 2021 Estimated EBITDA Multiple* | 24.2 | x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.00 | % | ||||||||||||||
| $ | 2,539,352 | Market Approach | 2018 Estimated Revenue Multiple* | 11.10 | x | |||||||||||||
|
|
| 2020 Estimated Revenue Multiple* | 5.5 | x | ||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 7.9 | x | ||||||||||||||
|
|
| 2021 Estimated Revenue Multiple* | 4.6 | x - 7.0x (5.8x) | ||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 6.2 | x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10 | % - 15% (11.7%) |
(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 comparable. 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
154
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Applications Software | 7.8 | % | |||||
E-Commerce/Products | 6.6 | ||||||
Computers | 6.2 | ||||||
Web Portals/ISP | 5.7 | ||||||
Finance-Credit Card | 4.6 | ||||||
Electronic Components-Semiconductors | 4.0 | ||||||
Medical-Drugs | 3.8 | ||||||
Medical-Biomedical/Gene | 3.6 | ||||||
Internet Content-Entertainment | 3.5 | ||||||
Medical-HMO | 2.7 | ||||||
Aerospace/Defense | 2.6 | ||||||
Retail-Restaurants | 2.2 | ||||||
Medical Instruments | 2.1 | ||||||
Real Estate Investment Trusts | 1.8 | ||||||
Beverages-Non-alcoholic | 1.7 | ||||||
Transport-Rail | 1.6 | ||||||
Diversified Manufacturing Operations | 1.5 | ||||||
Electronic Forms | 1.5 | ||||||
Commercial Services-Finance | 1.3 | ||||||
Athletic Footwear | 1.2 | ||||||
Entertainment Software | 1.1 | ||||||
Tobacco | 1.1 | ||||||
Retail-Building Products | 1.0 | ||||||
Cosmetics & Toiletries | 0.9 | ||||||
Commercial Services | 0.9 | ||||||
Cable/Satellite TV | 0.9 | ||||||
Enterprise Software/Service | 0.9 | ||||||
Diagnostic Equipment | 0.8 | ||||||
Consulting Services | 0.8 | ||||||
Medical Products | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Semiconductor Components-Integrated Circuits | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Instruments-Controls | 0.7 | ||||||
Electronic Components-Misc. | 0.7 | ||||||
Electronic Measurement Instruments | 0.7 | ||||||
E-Commerce/Services | 0.7 | ||||||
Insurance-Property/Casualty | 0.7 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Coatings/Paint | 0.6 | ||||||
Networking Products | 0.6 | ||||||
Semiconductor Equipment | 0.6 | ||||||
Computer Services | 0.5 | ||||||
Computer Aided Design | 0.5 | ||||||
Aerospace/Defense-Equipment | 0.5 | ||||||
Electronic Connectors | 0.5 | ||||||
Multimedia | 0.4 | ||||||
Data Processing/Management | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Retail-Discount | 0.4 | ||||||
Retail-Apparel/Shoe | 0.4 | ||||||
Containers-Metal/Glass | 0.4 | ||||||
Cruise Lines | 0.4 | ||||||
Banks-Commercial | 0.4 | ||||||
Apparel Manufacturers | 0.4 | ||||||
Food-Misc./Diversified | 0.4 | ||||||
U.S. Government Agencies | 0.4 | ||||||
Therapeutics | 0.3 |
Banks-Fiduciary | 0.3 | % | |||||
Diversified Banking Institutions | 0.3 | ||||||
Airlines | 0.3 | ||||||
Industrial Automated/Robotic | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
Food-Catering | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Machinery-Pumps | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Computer Software | 0.2 | ||||||
Transport-Truck | 0.2 | ||||||
Chemicals-Diversified | 0.2 | ||||||
Tools-Hand Held | 0.2 | ||||||
Investment Management/Advisor Services | 0.2 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Casino Hotels | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Electric-Integrated | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Retail-Auto Parts | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Instruments-Scientific | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
155
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.3% | |||||||||||
Aerospace/Defense — 2.6% | |||||||||||
Boeing Co. | 21,881 | $ | 8,137,544 | ||||||||
General Dynamics Corp. | 7,229 | 1,479,921 | |||||||||
Lockheed Martin Corp. | 1,956 | 676,698 | |||||||||
Northrop Grumman Corp. | 9,214 | 2,924,247 | |||||||||
Raytheon Co. | 2,215 | 457,752 | |||||||||
Rockwell Collins, Inc. | 2,093 | 294,003 | |||||||||
TransDigm Group, Inc.† | 616 | 229,337 | |||||||||
14,199,502 | |||||||||||
Aerospace/Defense-Equipment — 0.5% | |||||||||||
Harris Corp. | 942 | 159,396 | |||||||||
L3 Technologies, Inc. | 11,282 | 2,398,779 | |||||||||
2,558,175 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries Holdings, Inc. | 1,278 | 69,574 | |||||||||
Airlines — 0.3% | |||||||||||
American Airlines Group, Inc. | 2,818 | 116,468 | |||||||||
Southwest Airlines Co. | 4,399 | 274,718 | |||||||||
United Continental Holdings, Inc.† | 12,974 | 1,155,464 | |||||||||
1,546,650 | |||||||||||
Apparel Manufacturers — 0.4% | |||||||||||
Hanesbrands, Inc. | 1,928 | 35,533 | |||||||||
Michael Kors Holdings, Ltd.† | 1,901 | 130,333 | |||||||||
PVH Corp. | 10,661 | 1,539,448 | |||||||||
Under Armour, Inc., Class C† | 0 | 0 | |||||||||
VF Corp. | 2,566 | 239,793 | |||||||||
1,945,107 | |||||||||||
Applications Software — 7.8% | |||||||||||
Intuit, Inc. | 13,575 | 3,086,955 | |||||||||
Microsoft Corp. | 267,301 | 30,571,216 | |||||||||
Red Hat, Inc.† | 2,258 | 307,720 | |||||||||
salesforce.com, Inc.† | 52,599 | 8,364,819 | |||||||||
42,330,710 | |||||||||||
Athletic Footwear — 1.2% | |||||||||||
NIKE, Inc., Class B | 77,669 | 6,580,118 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Aptiv PLC | 40,796 | 3,422,784 | |||||||||
BorgWarner, Inc. | 1,782 | 76,234 | |||||||||
3,499,018 | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
First Republic Bank | 18,310 | 1,757,760 | |||||||||
SVB Financial Group† | 677 | 210,432 | |||||||||
1,968,192 | |||||||||||
Banks-Fiduciary — 0.3% | |||||||||||
Northern Trust Corp. | 17,488 | 1,786,049 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
Comerica, Inc. | 1,113 | 100,393 | |||||||||
Beverages-Non-alcoholic — 1.7% | |||||||||||
Coca-Cola Co. | 104,283 | 4,816,832 | |||||||||
Monster Beverage Corp.† | 61,136 | 3,563,006 | |||||||||
PepsiCo, Inc. | 8,823 | 986,411 | |||||||||
9,366,249 |
Security Description | Shares | Value (Note 2) | |||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Brown-Forman Corp., Class B | 19,100 | $ | 965,505 | ||||||||
Constellation Brands, Inc., Class A | 2,137 | 460,780 | |||||||||
1,426,285 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class C† | 22,304 | 659,752 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Fortune Brands Home & Security, Inc. | 1,813 | 94,929 | |||||||||
Building Products-Cement — 0.2% | |||||||||||
Martin Marietta Materials, Inc. | 345 | 62,773 | |||||||||
Vulcan Materials Co. | 10,256 | 1,140,467 | |||||||||
1,203,240 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 2,584 | 94,574 | |||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
Rollins, Inc. | 1,250 | 75,862 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
D.R. Horton, Inc. | 4,369 | 184,284 | |||||||||
Lennar Corp., Class A | 2,191 | 102,298 | |||||||||
PulteGroup, Inc. | 3,327 | 82,410 | |||||||||
368,992 | |||||||||||
Cable/Satellite TV — 0.9% | |||||||||||
Charter Communications, Inc., Class A† | 2,273 | 740,725 | |||||||||
Comcast Corp., Class A | 74,812 | 2,649,093 | |||||||||
Liberty Broadband Corp., Class C† | 17,516 | 1,476,599 | |||||||||
4,866,417 | |||||||||||
Casino Hotels — 0.2% | |||||||||||
Las Vegas Sands Corp. | 13,647 | 809,677 | |||||||||
MGM Resorts International | 2,863 | 79,906 | |||||||||
Wynn Resorts, Ltd. | 1,245 | 158,190 | |||||||||
1,047,773 | |||||||||||
Chemicals-Diversified — 0.2% | |||||||||||
DowDuPont, Inc. | 13,030 | 837,959 | |||||||||
FMC Corp. | 1,714 | 149,427 | |||||||||
PPG Industries, Inc. | 1,479 | 161,403 | |||||||||
1,148,789 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Albemarle Corp. | 815 | 81,321 | |||||||||
International Flavors & Fragrances, Inc. | 712 | 99,053 | |||||||||
180,374 | |||||||||||
Coatings/Paint — 0.6% | |||||||||||
Sherwin-Williams Co. | 7,054 | 3,211,051 | |||||||||
Commercial Services — 0.9% | |||||||||||
Cintas Corp. | 1,096 | 216,800 | |||||||||
CoStar Group, Inc.† | 3,475 | 1,462,419 | |||||||||
Ecolab, Inc. | 14,972 | 2,347,310 | |||||||||
ServiceMaster Global Holdings, Inc.† | 15,577 | 966,241 | |||||||||
4,992,770 |
156
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Commercial Services-Finance — 1.3% | |||||||||||
Automatic Data Processing, Inc. | 5,577 | $ | 840,231 | ||||||||
Equifax, Inc. | 904 | 118,035 | |||||||||
FleetCor Technologies, Inc.† | 1,125 | 256,320 | |||||||||
Global Payments, Inc. | 15,699 | 2,000,053 | |||||||||
H&R Block, Inc. | 1,675 | 43,131 | |||||||||
Moody's Corp. | 2,126 | 355,467 | |||||||||
PayPal Holdings, Inc.† | 15,070 | 1,323,749 | |||||||||
S&P Global, Inc. | 3,202 | 625,639 | |||||||||
Total System Services, Inc. | 2,137 | 211,007 | |||||||||
Western Union Co. | 2,221 | 42,332 | |||||||||
Worldpay, Inc., Class A† | 14,187 | 1,436,718 | |||||||||
7,252,682 | |||||||||||
Computer Aided Design — 0.5% | |||||||||||
ANSYS, Inc.† | 1,073 | 200,308 | |||||||||
Autodesk, Inc.† | 15,125 | 2,361,164 | |||||||||
Cadence Design Systems, Inc.† | 3,601 | 163,197 | |||||||||
Synopsys, Inc.† | 1,892 | 186,570 | |||||||||
2,911,239 | |||||||||||
Computer Services — 0.5% | |||||||||||
Accenture PLC, Class A | 5,139 | 874,658 | |||||||||
Amdocs, Ltd. | 20,531 | 1,354,635 | |||||||||
Cognizant Technology Solutions Corp., Class A | 7,387 | 569,907 | |||||||||
DXC Technology Co. | 1,861 | 174,041 | |||||||||
2,973,241 | |||||||||||
Computer Software — 0.2% | |||||||||||
Akamai Technologies, Inc.† | 863 | 63,128 | |||||||||
Citrix Systems, Inc.† | 919 | 102,156 | |||||||||
SS&C Technologies Holdings, Inc. | 18,156 | 1,031,806 | |||||||||
1,197,090 | |||||||||||
Computers — 6.2% | |||||||||||
Apple, Inc. | 149,227 | 33,686,503 | |||||||||
Computers-Memory Devices — 0.1% | |||||||||||
NetApp, Inc. | 3,301 | 283,523 | |||||||||
Consulting Services — 0.8% | |||||||||||
Gartner, Inc.† | 19,980 | 3,166,830 | |||||||||
Verisk Analytics, Inc.† | 10,099 | 1,217,434 | |||||||||
4,384,264 | |||||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Clorox Co. | 930 | 139,881 | |||||||||
Kimberly-Clark Corp. | 1,948 | 221,371 | |||||||||
361,252 | |||||||||||
Containers-Metal/Glass — 0.4% | |||||||||||
Ball Corp. | 47,682 | 2,097,531 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Packaging Corp. of America | 782 | 85,778 | |||||||||
Sealed Air Corp. | 768 | 30,835 | |||||||||
116,613 |
Security Description | Shares | Value (Note 2) | |||||||||
Cosmetics & Toiletries — 0.9% | |||||||||||
Colgate-Palmolive Co. | 28,794 | $ | 1,927,758 | ||||||||
Estee Lauder Cos., Inc., Class A | 14,746 | 2,142,889 | |||||||||
Procter & Gamble Co. | 11,725 | 975,872 | |||||||||
5,046,519 | |||||||||||
Cruise Lines — 0.4% | |||||||||||
Carnival Corp. | 2,310 | 147,309 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 30,489 | 1,750,983 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,440 | 187,114 | |||||||||
2,085,406 | |||||||||||
Data Processing/Management — 0.4% | |||||||||||
Broadridge Financial Solutions, Inc. | 1,481 | 195,418 | |||||||||
Fidelity National Information Services, Inc. | 2,596 | 283,145 | |||||||||
Fiserv, Inc.† | 20,150 | 1,659,957 | |||||||||
Paychex, Inc. | 2,649 | 195,099 | |||||||||
2,333,619 | |||||||||||
Decision Support Software — 0.0% | |||||||||||
MSCI, Inc. | 1,131 | 200,651 | |||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Align Technology, Inc.† | 931 | 364,226 | |||||||||
Diagnostic Equipment — 0.8% | |||||||||||
Danaher Corp. | 16,583 | 1,801,909 | |||||||||
Thermo Fisher Scientific, Inc. | 10,762 | 2,626,789 | |||||||||
4,428,698 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
IDEXX Laboratories, Inc.† | 1,102 | 275,125 | |||||||||
Distribution/Wholesale — 0.2% | |||||||||||
Fastenal Co. | 17,146 | 994,811 | |||||||||
LKQ Corp.† | 2,349 | 74,393 | |||||||||
1,069,204 | |||||||||||
Diversified Banking Institutions — 0.3% | |||||||||||
Bank of America Corp. | 56,766 | 1,672,326 | |||||||||
Diversified Manufacturing Operations — 1.5% | |||||||||||
3M Co. | 7,468 | 1,573,582 | |||||||||
A.O. Smith Corp. | 24,301 | 1,296,944 | |||||||||
Illinois Tool Works, Inc. | 19,186 | 2,707,528 | |||||||||
Ingersoll-Rand PLC | 1,312 | 134,218 | |||||||||
Parker-Hannifin Corp. | 14,135 | 2,599,851 | |||||||||
8,312,123 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
DexCom, Inc.† | 457 | 65,369 | |||||||||
Nektar Therapeutics† | 2,196 | 133,868 | |||||||||
199,237 | |||||||||||
E-Commerce/Products — 6.6% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 5,187 | 854,610 | |||||||||
Amazon.com, Inc.† | 16,764 | 33,578,292 | |||||||||
eBay, Inc.† | 11,842 | 391,023 | |||||||||
Wayfair, Inc., Class A† | 7,028 | 1,037,825 | |||||||||
35,861,750 |
157
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
E-Commerce/Services — 0.7% | |||||||||||
Booking Holdings, Inc.† | 1,796 | $ | 3,563,264 | ||||||||
Expedia Group, Inc. | 893 | 116,518 | |||||||||
TripAdvisor, Inc.† | 482 | 24,616 | |||||||||
3,704,398 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 2,952 | 233,562 | |||||||||
Emerson Electric Co. | 3,280 | 251,183 | |||||||||
484,745 | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
Dominion Energy, Inc. | 3,163 | 222,296 | |||||||||
FirstEnergy Corp. | 2,537 | 94,300 | |||||||||
NextEra Energy, Inc. | 3,062 | 513,191 | |||||||||
WEC Energy Group, Inc. | 1,687 | 112,624 | |||||||||
942,411 | |||||||||||
Electronic Components-Misc. — 0.7% | |||||||||||
Corning, Inc. | 10,313 | 364,049 | |||||||||
Flex, Ltd.† | 105,831 | 1,388,503 | |||||||||
Garmin, Ltd. | 769 | 53,868 | |||||||||
Sensata Technologies Holding PLC† | 43,543 | 2,157,556 | |||||||||
3,963,976 | |||||||||||
Electronic Components-Semiconductors — 4.0% | |||||||||||
Advanced Micro Devices, Inc.† | 3,713 | 114,695 | |||||||||
Broadcom, Inc. | 5,496 | 1,356,028 | |||||||||
Intel Corp. | 33,461 | 1,582,371 | |||||||||
IPG Photonics Corp.† | 459 | 71,636 | |||||||||
Microchip Technology, Inc. | 27,839 | 2,196,775 | |||||||||
Micron Technology, Inc.† | 14,766 | 667,866 | |||||||||
NVIDIA Corp. | 30,643 | 8,611,296 | |||||||||
Qorvo, Inc.† | 1,600 | 123,024 | |||||||||
Skyworks Solutions, Inc. | 2,279 | 206,728 | |||||||||
Texas Instruments, Inc. | 63,451 | 6,807,658 | |||||||||
Xilinx, Inc. | 1,964 | 157,454 | |||||||||
21,895,531 | |||||||||||
Electronic Connectors — 0.5% | |||||||||||
Amphenol Corp., Class A | 23,028 | 2,165,093 | |||||||||
TE Connectivity, Ltd. | 3,194 | 280,848 | |||||||||
2,445,941 | |||||||||||
Electronic Forms — 1.5% | |||||||||||
Adobe Systems, Inc.† | 30,782 | 8,309,601 | |||||||||
Electronic Measurement Instruments — 0.7% | |||||||||||
Agilent Technologies, Inc. | 30,823 | 2,174,254 | |||||||||
FLIR Systems, Inc. | 1,195 | 73,457 | |||||||||
Fortive Corp. | 17,731 | 1,492,950 | |||||||||
3,740,661 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 786 | 71,188 | |||||||||
Enterprise Software/Service — 0.9% | |||||||||||
Oracle Corp. | 18,353 | 946,281 | |||||||||
Tyler Technologies, Inc.† | 6,671 | 1,634,795 | |||||||||
Ultimate Software Group, Inc.† | 6,875 | 2,215,056 | |||||||||
4,796,132 |
Security Description | Shares | Value (Note 2) | |||||||||
Entertainment Software — 1.1% | |||||||||||
Activision Blizzard, Inc. | 44,454 | $ | 3,698,128 | ||||||||
Electronic Arts, Inc.† | 18,360 | 2,212,196 | |||||||||
Take-Two Interactive Software, Inc.† | 942 | 129,987 | |||||||||
6,040,311 | |||||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
Synchrony Financial | 31,903 | 991,545 | |||||||||
Finance-Credit Card — 4.6% | |||||||||||
Alliance Data Systems Corp. | 367 | 86,671 | |||||||||
American Express Co. | 5,393 | 574,300 | |||||||||
Mastercard, Inc., Class A | 47,485 | 10,570,636 | |||||||||
Visa, Inc., Class A | 90,888 | 13,641,380 | |||||||||
24,872,987 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Charles Schwab Corp. | 15,309 | 752,438 | |||||||||
E*TRADE Financial Corp.† | 3,306 | 173,201 | |||||||||
TD Ameritrade Holding Corp. | 26,524 | 1,401,263 | |||||||||
2,326,902 | |||||||||||
Finance-Other Services — 0.8% | |||||||||||
Cboe Global Markets, Inc. | 8,606 | 825,832 | |||||||||
CME Group, Inc. | 8,774 | 1,493,423 | |||||||||
Intercontinental Exchange, Inc. | 23,781 | 1,780,959 | |||||||||
Nasdaq, Inc. | 704 | 60,403 | |||||||||
4,160,617 | |||||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 31,117 | 1,338,653 | |||||||||
Food-Confectionery — 0.0% | |||||||||||
Hershey Co. | 961 | 98,022 | |||||||||
Food-Misc./Diversified — 0.4% | |||||||||||
General Mills, Inc. | 2,656 | 113,995 | |||||||||
Kellogg Co. | 1,160 | 81,223 | |||||||||
Kraft Heinz Co. | 13,609 | 749,992 | |||||||||
McCormick & Co., Inc. | 757 | 99,735 | |||||||||
Mondelez International, Inc., Class A | 20,748 | 891,334 | |||||||||
1,936,279 | |||||||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Worldwide Holdings, Inc. | 1,519 | 122,705 | |||||||||
Marriott International, Inc., Class A | 3,667 | 484,154 | |||||||||
606,859 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 920 | 64,750 | |||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 25,341 | 947,753 | |||||||||
Industrial Automated/Robotic — 0.3% | |||||||||||
Cognex Corp. | 23,703 | 1,323,101 | |||||||||
Rockwell Automation, Inc. | 1,082 | 202,897 | |||||||||
1,525,998 | |||||||||||
Industrial Gases — 0.4% | |||||||||||
Air Products & Chemicals, Inc. | 12,016 | 2,007,273 | |||||||||
Praxair, Inc. | 1,904 | 306,030 | |||||||||
2,313,303 |
158
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Instruments-Controls — 0.7% | |||||||||||
Honeywell International, Inc. | 22,854 | $ | 3,802,906 | ||||||||
Mettler-Toledo International, Inc.† | 321 | 195,482 | |||||||||
3,998,388 | |||||||||||
Instruments-Scientific — 0.1% | |||||||||||
PerkinElmer, Inc. | 874 | 85,014 | |||||||||
Waters Corp.† | 981 | 190,981 | |||||||||
275,995 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Aon PLC | 1,823 | 280,341 | |||||||||
Arthur J. Gallagher & Co. | 1,186 | 88,286 | |||||||||
Marsh & McLennan Cos., Inc. | 3,665 | 303,169 | |||||||||
Willis Towers Watson PLC | 699 | 98,517 | |||||||||
770,313 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Principal Financial Group, Inc. | 1,551 | 90,873 | |||||||||
Torchmark Corp. | 554 | 48,026 | |||||||||
138,899 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Allstate Corp. | 2,072 | 204,506 | |||||||||
Insurance-Property/Casualty — 0.7% | |||||||||||
Markel Corp.† | 705 | 837,885 | |||||||||
Progressive Corp. | 38,594 | 2,741,718 | |||||||||
3,579,603 | |||||||||||
Internet Content-Entertainment — 3.5% | |||||||||||
Facebook, Inc., Class A† | 83,297 | 13,699,025 | |||||||||
Netflix, Inc.† | 12,941 | 4,841,616 | |||||||||
Twitter, Inc.† | 9,166 | 260,864 | |||||||||
18,801,505 | |||||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 449 | 89,540 | |||||||||
Internet Security — 0.0% | |||||||||||
Symantec Corp. | 3,561 | 75,778 | |||||||||
Investment Management/Advisor Services — 0.2% | |||||||||||
Affiliated Managers Group, Inc. | 306 | 41,836 | |||||||||
Ameriprise Financial, Inc. | 1,246 | 183,985 | |||||||||
BlackRock, Inc. | 923 | 435,038 | |||||||||
Raymond James Financial, Inc. | 802 | 73,824 | |||||||||
T. Rowe Price Group, Inc. | 3,096 | 338,021 | |||||||||
1,072,704 | |||||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Caterpillar, Inc. | 3,935 | 600,048 | |||||||||
Machinery-Farming — 0.1% | |||||||||||
Deere & Co. | 2,252 | 338,543 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Roper Technologies, Inc. | 1,316 | 389,812 | |||||||||
Machinery-Material Handling — 0.0% | |||||||||||
Dover Corp. | 1,053 | 93,222 | |||||||||
Machinery-Pumps — 0.2% | |||||||||||
Xylem, Inc. | 15,716 | 1,255,237 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Information Systems — 0.2% | |||||||||||
athenahealth, Inc.† | 6,968 | $ | 930,925 | ||||||||
Cerner Corp.† | 4,189 | 269,813 | |||||||||
1,200,738 | |||||||||||
Medical Instruments — 2.1% | |||||||||||
Boston Scientific Corp.† | 137,086 | 5,277,811 | |||||||||
Edwards Lifesciences Corp.† | 14,234 | 2,478,139 | |||||||||
Intuitive Surgical, Inc.† | 4,674 | 2,682,876 | |||||||||
Medtronic PLC | 7,393 | 727,250 | |||||||||
11,166,076 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
IQVIA Holdings, Inc.† | 1,197 | 155,299 | |||||||||
Laboratory Corp. of America Holdings† | 752 | 130,607 | |||||||||
285,906 | |||||||||||
Medical Products — 0.8% | |||||||||||
Abbott Laboratories | 22,335 | 1,638,495 | |||||||||
ABIOMED, Inc.† | 571 | 256,807 | |||||||||
Baxter International, Inc. | 3,542 | 273,053 | |||||||||
Becton Dickinson and Co. | 3,406 | 888,966 | |||||||||
Cooper Cos., Inc. | 626 | 173,496 | |||||||||
Hologic, Inc.† | 3,464 | 141,955 | |||||||||
Stryker Corp. | 3,952 | 702,191 | |||||||||
Varian Medical Systems, Inc.† | 618 | 69,173 | |||||||||
Zimmer Biomet Holdings, Inc. | 1,451 | 190,763 | |||||||||
4,334,899 | |||||||||||
Medical-Biomedical/Gene — 3.6% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 10,472 | 1,455,713 | |||||||||
Amgen, Inc. | 4,862 | 1,007,844 | |||||||||
AnaptysBio, Inc.† | 9,862 | 983,932 | |||||||||
Biogen, Inc.† | 3,735 | 1,319,613 | |||||||||
BioMarin Pharmaceutical, Inc.† | 9,004 | 873,118 | |||||||||
Celgene Corp.† | 28,085 | 2,513,327 | |||||||||
Gilead Sciences, Inc. | 13,222 | 1,020,871 | |||||||||
Illumina, Inc.† | 9,231 | 3,388,331 | |||||||||
Incyte Corp.† | 15,742 | 1,087,457 | |||||||||
Insmed, Inc.† | 23,495 | 475,069 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 4,565 | 1,844,442 | |||||||||
Shire PLC ADR | 5,034 | 912,513 | |||||||||
Vertex Pharmaceuticals, Inc.† | 13,310 | 2,565,369 | |||||||||
19,447,599 | |||||||||||
Medical-Drugs — 3.8% | |||||||||||
AbbVie, Inc. | 24,508 | 2,317,967 | |||||||||
Alkermes PLC† | 13,874 | 588,813 | |||||||||
Bristol-Myers Squibb Co. | 43,286 | 2,687,195 | |||||||||
Eli Lilly & Co. | 51,497 | 5,526,143 | |||||||||
Global Blood Therapeutics, Inc.† | 5,159 | 196,042 | |||||||||
Johnson & Johnson | 18,444 | 2,548,407 | |||||||||
Merck & Co., Inc. | 35,455 | 2,515,178 | |||||||||
Pfizer, Inc. | 34,331 | 1,512,967 | |||||||||
Zoetis, Inc. | 29,761 | 2,724,917 | |||||||||
20,617,629 |
159
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 19,737 | $ | 722,374 | ||||||||
Perrigo Co. PLC | 577 | 40,852 | |||||||||
763,226 | |||||||||||
Medical-HMO — 2.7% | |||||||||||
Aetna, Inc. | 2,082 | 422,334 | |||||||||
Anthem, Inc. | 1,754 | 480,684 | |||||||||
Centene Corp.† | 2,613 | 378,310 | |||||||||
Cigna Corp. | 3,098 | 645,158 | |||||||||
Humana, Inc. | 14,889 | 5,040,224 | |||||||||
UnitedHealth Group, Inc. | 28,493 | 7,580,278 | |||||||||
WellCare Health Plans, Inc.† | 394 | 126,273 | |||||||||
14,673,261 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA Healthcare, Inc. | 1,856 | 258,207 | |||||||||
Multimedia — 0.4% | |||||||||||
Liberty Media Corp. — Liberty Formula One, Series C† | 36,309 | 1,350,332 | |||||||||
Walt Disney Co. | 8,899 | 1,040,649 | |||||||||
2,390,981 | |||||||||||
Networking Products — 0.6% | |||||||||||
Arista Networks, Inc.† | 657 | 174,670 | |||||||||
Cisco Systems, Inc. | 62,031 | 3,017,808 | |||||||||
3,192,478 | |||||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 1,277 | 92,787 | |||||||||
Waste Management, Inc. | 5,021 | 453,697 | |||||||||
546,484 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 1,113 | 120,594 | |||||||||
Oil Companies-Exploration & Production — 0.8% | |||||||||||
Anadarko Petroleum Corp. | 12,582 | 848,153 | |||||||||
Cabot Oil & Gas Corp. | 2,584 | 58,192 | |||||||||
Cimarex Energy Co. | 388 | 36,061 | |||||||||
Diamondback Energy, Inc. | 8,002 | 1,081,790 | |||||||||
EOG Resources, Inc. | 16,026 | 2,044,437 | |||||||||
Hess Corp. | 994 | 71,150 | |||||||||
4,139,783 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. | 8,443 | 675,187 | |||||||||
Real Estate Investment Trusts — 1.8% | |||||||||||
Alexandria Real Estate Equities, Inc. | 727 | 91,449 | |||||||||
American Tower Corp. | 33,109 | 4,810,738 | |||||||||
Apartment Investment & Management Co., Class A | 881 | 38,879 | |||||||||
AvalonBay Communities, Inc. | 774 | 140,210 | |||||||||
Boston Properties, Inc. | 865 | 106,473 | |||||||||
Crown Castle International Corp. | 3,591 | 399,786 | |||||||||
Digital Realty Trust, Inc. | 1,574 | 177,044 | |||||||||
Equinix, Inc. | 4,023 | 1,741,516 | |||||||||
Essex Property Trust, Inc. | 437 | 107,812 | |||||||||
Extra Space Storage, Inc. | 1,611 | 139,577 | |||||||||
Federal Realty Investment Trust | 440 | 55,647 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Invitation Homes, Inc. | 21,665 | $ | 496,345 | ||||||||
Iron Mountain, Inc. | 1,639 | 56,578 | |||||||||
Prologis, Inc. | 8,015 | 543,337 | |||||||||
Public Storage | 1,068 | 215,341 | |||||||||
SBA Communications Corp.† | 1,462 | 234,841 | |||||||||
Simon Property Group, Inc. | 1,929 | 340,951 | |||||||||
UDR, Inc. | 2,249 | 90,927 | |||||||||
Vornado Realty Trust | 1,433 | 104,609 | |||||||||
9,892,060 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Group, Inc., Class A† | 4,023 | 177,414 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 1,053 | 172,271 | |||||||||
Respiratory Products — 0.0% | |||||||||||
ResMed, Inc. | 1,817 | 209,573 | |||||||||
Retail-Apparel/Shoe — 0.4% | |||||||||||
Ross Stores, Inc. | 21,058 | 2,086,848 | |||||||||
Tapestry, Inc. | 1,430 | 71,886 | |||||||||
2,158,734 | |||||||||||
Retail-Auto Parts — 0.1% | |||||||||||
AutoZone, Inc.† | 145 | 112,477 | |||||||||
O'Reilly Automotive, Inc.† | 554 | 192,415 | |||||||||
304,892 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 1,124 | 83,929 | |||||||||
Copart, Inc.† | 2,602 | 134,081 | |||||||||
218,010 | |||||||||||
Retail-Building Products — 1.0% | |||||||||||
Home Depot, Inc. | 21,270 | 4,406,081 | |||||||||
Lowe's Cos., Inc. | 7,021 | 806,151 | |||||||||
5,212,232 | |||||||||||
Retail-Discount — 0.4% | |||||||||||
Dollar General Corp. | 1,623 | 177,394 | |||||||||
Dollar Tree, Inc.† | 3,029 | 247,015 | |||||||||
Walmart, Inc. | 19,519 | 1,833,029 | |||||||||
2,257,438 | |||||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 9,381 | 852,545 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 583 | 75,189 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
TJX Cos., Inc. | 3,593 | 402,488 | |||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Ulta Beauty, Inc.† | 499 | 140,778 | |||||||||
Retail-Restaurants — 2.2% | |||||||||||
Chipotle Mexican Grill, Inc.† | 1,532 | 696,325 | |||||||||
Darden Restaurants, Inc. | 948 | 105,408 | |||||||||
Dunkin' Brands Group, Inc. | 31,802 | 2,344,443 | |||||||||
McDonald's Corp. | 33,393 | 5,586,315 | |||||||||
Starbucks Corp. | 55,652 | 3,163,260 | |||||||||
Yum! Brands, Inc. | 1,818 | 165,274 | |||||||||
12,061,025 |
160
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Semiconductor Components-Integrated Circuits — 0.8% | |||||||||||
Analog Devices, Inc. | 15,499 | $ | 1,433,037 | ||||||||
Marvell Technology Group, Ltd. | 60,639 | 1,170,333 | |||||||||
NXP Semiconductors NV | 12,866 | 1,100,043 | |||||||||
QUALCOMM, Inc. | 6,267 | 451,412 | |||||||||
4,154,825 | |||||||||||
Semiconductor Equipment — 0.6% | |||||||||||
Applied Materials, Inc. | 12,515 | 483,705 | |||||||||
KLA-Tencor Corp. | 1,988 | 202,199 | |||||||||
Lam Research Corp. | 15,288 | 2,319,190 | |||||||||
3,005,094 | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 375 | 96,030 | |||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 1,656 | 98,317 | |||||||||
Television — 0.0% | |||||||||||
CBS Corp., Class B | 1,939 | 111,396 | |||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 525 | 92,059 | |||||||||
Therapeutics — 0.3% | |||||||||||
Neurocrine Biosciences, Inc.† | 13,784 | 1,694,743 | |||||||||
Sarepta Therapeutics, Inc.† | 935 | 151,012 | |||||||||
1,845,755 | |||||||||||
Tobacco — 1.1% | |||||||||||
Altria Group, Inc. | 70,948 | 4,278,874 | |||||||||
Philip Morris International, Inc. | 20,467 | 1,668,879 | |||||||||
5,947,753 | |||||||||||
Tools-Hand Held — 0.2% | |||||||||||
Stanley Black & Decker, Inc. | 7,561 | 1,107,233 | |||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 803 | 84,411 | |||||||||
Mattel, Inc.† | 1,183 | 18,573 | |||||||||
102,984 | |||||||||||
Transport-Rail — 1.6% | |||||||||||
CSX Corp. | 69,792 | 5,168,098 | |||||||||
Kansas City Southern | 611 | 69,214 | |||||||||
Norfolk Southern Corp. | 1,604 | 289,522 | |||||||||
Union Pacific Corp. | 19,139 | 3,116,403 | |||||||||
8,643,237 | |||||||||||
Transport-Services — 0.2% | |||||||||||
Expeditors International of Washington, Inc. | 1,221 | 89,780 | |||||||||
FedEx Corp. | 1,765 | 424,994 | |||||||||
United Parcel Service, Inc., Class B | 4,326 | 505,061 | |||||||||
1,019,835 | |||||||||||
Transport-Truck — 0.2% | |||||||||||
JB Hunt Transport Services, Inc. | 635 | 75,527 | |||||||||
XPO Logistics, Inc.† | 9,416 | 1,075,025 | |||||||||
1,150,552 | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc.† | 12,200 | 425,658 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,264 | $ | 111,194 | ||||||||
Web Hosting/Design — 0.2% | |||||||||||
GoDaddy, Inc., Class A† | 12,500 | 1,042,375 | |||||||||
VeriSign, Inc.† | 1,366 | 218,724 | |||||||||
1,261,099 | |||||||||||
Web Portals/ISP — 5.7% | |||||||||||
Alphabet, Inc., Class A† | 8,394 | 10,132,229 | |||||||||
Alphabet, Inc., Class C† | 17,363 | 20,722,220 | |||||||||
30,854,449 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Motorola Solutions, Inc. | 2,066 | 268,869 | |||||||||
Total Common Stocks (cost $375,957,198) | 529,940,059 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.9% | |||||||||||
iShares S&P 500 Growth Index Fund | 26,176 | 4,637,602 | |||||||||
SPDR Portfolio S&P 500 Growth ETF | 148,000 | 5,659,520 | |||||||||
Total Exchange-Traded Funds (cost $9,937,019) | 10,297,122 | ||||||||||
Total Long-Term Investment Securities (cost $385,894,217) | 540,237,181 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.6% | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Administration Class 1.72%(1) | 718,168 | 718,168 | |||||||||
U.S. Government Agencies — 0.4% | |||||||||||
Federal Home Loan Bank 1.88% due 10/01/2018 | $ | 1,900,000 | 1,900,000 | ||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 2.05% due 11/01/2018(2) | 15,000 | 14,973 | |||||||||
2.11% due 01/03/2019(2) | 800,000 | 795,410 | |||||||||
810,383 | |||||||||||
Total Short-Term Investment Securities (cost $3,428,761) | 3,428,551 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42% dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $$826,029 and collateralized by $865,000 of United States Treasury Bonds, bearing interest at 3.00% due 11/15/2044 and having an approximate value of $846,388. (cost $826,000) | 826,000 | 826,000 | |||||||||
TOTAL INVESTMENTS (cost $390,148,978)(3) | 100.0 | % | 544,491,732 | ||||||||
Other assets less liabilities | 0.0 | 12,832 | |||||||||
NET ASSETS | 100.0 | % | $ | 544,504,564 |
161
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
† Non-income producing security
(1) The rate shown is the 7-day yield as of September 30, 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 Receipt
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 500 Citigroup Growth Index | December 2018 | $ | 1,764,220 | $ | 1,775,000 | $ | 10,780 |
* 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 September 30, 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 | $ | 529,940,059 | $ | — | $ | — | $ | 529,940,059 | |||||||||||
Exchange-Traded Funds | 10,297,122 | — | — | 10,297,122 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 718,168 | — | — | 718,168 | |||||||||||||||
Other Industries | — | 2,710,383 | — | 2,710,383 | |||||||||||||||
Repurchase Agreements | — | 826,000 | — | 826,000 | |||||||||||||||
Total Investments at Value | $ | 540,955,349 | $ | 3,536,383 | $ | — | $ | 544,491,732 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 10,780 | $ | — | $ | — | $ | 10,780 |
* 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
162
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Medical-Drugs | 7.8 | % | |||||
Diversified Banking Institutions | 7.5 | ||||||
Oil Companies-Integrated | 4.8 | ||||||
Banks-Super Regional | 4.7 | ||||||
Electric-Integrated | 3.6 | ||||||
Oil Companies-Exploration & Production | 3.3 | ||||||
Telephone-Integrated | 3.0 | ||||||
Food-Misc./Diversified | 2.7 | ||||||
Oil-Field Services | 2.5 | ||||||
Diversified Manufacturing Operations | 2.4 | ||||||
Chemicals-Diversified | 2.3 | ||||||
Cosmetics & Toiletries | 2.2 | ||||||
Networking Products | 2.1 | ||||||
Electronic Components-Semiconductors | 2.0 | ||||||
Real Estate Investment Trusts | 2.0 | ||||||
Banks-Commercial | 1.9 | ||||||
Insurance-Multi-line | 1.8 | ||||||
Medical Instruments | 1.7 | ||||||
Investment Management/Advisor Services | 1.6 | ||||||
Retail-Discount | 1.4 | ||||||
Insurance-Property/Casualty | 1.4 | ||||||
Semiconductor Components-Integrated Circuits | 1.4 | ||||||
Repurchase Agreements | 1.3 | ||||||
Medical Products | 1.2 | ||||||
Tobacco | 1.2 | ||||||
Transport-Rail | 1.2 | ||||||
Insurance-Life/Health | 1.2 | ||||||
Multimedia | 1.1 | ||||||
Machinery-Construction & Mining | 1.1 | ||||||
Exchange-Traded Funds | 1.0 | ||||||
Banks-Fiduciary | 1.0 | ||||||
Enterprise Software/Service | 1.0 | ||||||
Beverages-Non-alcoholic | 1.0 | ||||||
Aerospace/Defense-Equipment | 1.0 | ||||||
Cable/Satellite TV | 0.8 | ||||||
Pipelines | 0.8 | ||||||
Medical-Biomedical/Gene | 0.7 | ||||||
Food-Wholesale/Distribution | 0.7 | ||||||
Electric-Distribution | 0.6 | ||||||
Auto-Cars/Light Trucks | 0.6 | ||||||
Medical-HMO | 0.6 | ||||||
Computer Services | 0.6 | ||||||
Retail-Auto Parts | 0.6 | ||||||
Hotels/Motels | 0.5 | ||||||
Medical-Wholesale Drug Distribution | 0.5 | ||||||
Insurance Brokers | 0.5 | ||||||
Oil Refining & Marketing | 0.5 | ||||||
Computers-Memory Devices | 0.5 | ||||||
Engines-Internal Combustion | 0.5 | ||||||
Retail-Drug Store | 0.5 | ||||||
Airlines | 0.5 | ||||||
Transport-Services | 0.5 | ||||||
Paper & Related Products | 0.5 | ||||||
Retail-Catalog Shopping | 0.5 | ||||||
Finance-Consumer Loans | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Pharmacy Services | 0.4 | ||||||
Building Products-Air & Heating | 0.4 | ||||||
Retail-Apparel/Shoe | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 |
Retail-Restaurants | 0.4 | % | |||||
Electronic Connectors | 0.4 | ||||||
Containers-Paper/Plastic | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Semiconductor Equipment | 0.4 | ||||||
Home Decoration Products | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.3 | ||||||
Aerospace/Defense | 0.3 | ||||||
Footwear & Related Apparel | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Computers | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Cruise Lines | 0.2 | ||||||
Instruments-Controls | 0.2 | ||||||
Industrial Gases | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Athletic Footwear | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Food-Meat Products | 0.1 | ||||||
Agricultural Operations | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
99.1 | % |
* Calculated as a percentage of net assets
163
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.8% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 9,172 | $ | 209,764 | ||||||||
Omnicom Group, Inc. | 5,362 | 364,723 | |||||||||
574,487 | |||||||||||
Aerospace/Defense — 0.3% | |||||||||||
General Dynamics Corp. | 3,328 | 681,308 | |||||||||
Lockheed Martin Corp. | 2,250 | 778,410 | |||||||||
Northrop Grumman Corp. | 1,332 | 422,737 | |||||||||
Raytheon Co. | 2,659 | 549,509 | |||||||||
2,431,964 | |||||||||||
Aerospace/Defense-Equipment — 1.0% | |||||||||||
Arconic, Inc. | 10,273 | 226,109 | |||||||||
Harris Corp. | 1,039 | 175,809 | |||||||||
L3 Technologies, Inc. | 1,872 | 398,025 | |||||||||
United Technologies Corp. | 48,256 | 6,746,671 | |||||||||
7,546,614 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 3,181 | 173,174 | |||||||||
Mosaic Co. | 8,475 | 275,268 | |||||||||
448,442 | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Archer-Daniels-Midland Co. | 13,378 | 672,512 | |||||||||
Airlines — 0.5% | |||||||||||
Alaska Air Group, Inc. | 2,943 | 202,655 | |||||||||
American Airlines Group, Inc. | 4,506 | 186,233 | |||||||||
Delta Air Lines, Inc. | 15,036 | 869,532 | |||||||||
Southwest Airlines Co. | 31,127 | 1,943,881 | |||||||||
United Continental Holdings, Inc.† | 5,473 | 487,425 | |||||||||
3,689,726 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Hanesbrands, Inc. | 4,997 | 92,095 | |||||||||
PVH Corp. | 1,833 | 264,685 | |||||||||
Ralph Lauren Corp. | 1,320 | 181,566 | |||||||||
Under Armour, Inc., Class A† | 4,447 | 94,365 | |||||||||
Under Armour, Inc., Class C† | 4,559 | 88,718 | |||||||||
VF Corp. | 2,953 | 275,958 | |||||||||
997,387 | |||||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 1,543 | 183,231 | |||||||||
Athletic Footwear — 0.1% | |||||||||||
NIKE, Inc., Class B | 10,099 | 855,587 | |||||||||
Auto-Cars/Light Trucks — 0.6% | |||||||||||
Ford Motor Co. | 93,565 | 865,476 | |||||||||
General Motors Co. | 31,360 | 1,055,891 | |||||||||
Honda Motor Co., Ltd ADR | 91,880 | 2,763,751 | |||||||||
4,685,118 | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 8,378 | 571,296 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
BorgWarner, Inc. | 47,747 | 2,042,617 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial — 1.9% | |||||||||||
BB&T Corp. | 140,369 | $ | 6,813,511 | ||||||||
Citizens Financial Group, Inc. | 11,375 | 438,734 | |||||||||
ING Groep NV ADR | 189,887 | 2,462,834 | |||||||||
M&T Bank Corp. | 28,201 | 4,640,193 | |||||||||
Regions Financial Corp. | 26,349 | 483,504 | |||||||||
Zions Bancorporation | 4,646 | 232,997 | |||||||||
15,071,773 | |||||||||||
Banks-Fiduciary — 1.0% | |||||||||||
Bank of New York Mellon Corp. | 138,657 | 7,070,121 | |||||||||
Northern Trust Corp. | 2,455 | 250,729 | |||||||||
State Street Corp. | 9,068 | 759,717 | |||||||||
8,080,567 | |||||||||||
Banks-Super Regional — 4.7% | |||||||||||
Capital One Financial Corp. | 11,434 | 1,085,430 | |||||||||
Comerica, Inc. | 2,007 | 181,031 | |||||||||
Fifth Third Bancorp | 15,926 | 444,654 | |||||||||
Huntington Bancshares, Inc. | 26,391 | 393,754 | |||||||||
KeyCorp | 25,143 | 500,094 | |||||||||
PNC Financial Services Group, Inc. | 63,744 | 8,681,295 | |||||||||
SunTrust Banks, Inc. | 11,011 | 735,425 | |||||||||
US Bancorp | 185,078 | 9,773,969 | |||||||||
Wells Fargo & Co. | 299,379 | 15,735,360 | |||||||||
37,531,012 | |||||||||||
Beverages-Non-alcoholic — 1.0% | |||||||||||
Coca-Cola Co. | 50,314 | 2,324,004 | |||||||||
PepsiCo, Inc. | 46,739 | 5,225,420 | |||||||||
7,549,424 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Brown-Forman Corp., Class B | 1,329 | 67,181 | |||||||||
Brewery — 0.0% | |||||||||||
Molson Coors Brewing Co., Class B | 4,473 | 275,089 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Discovery, Inc., Class A† | 3,734 | 119,488 | |||||||||
Discovery, Inc., Class C† | 8,596 | 254,270 | |||||||||
373,758 | |||||||||||
Building & Construction Products-Misc. — 0.4% | |||||||||||
Fortune Brands Home & Security, Inc. | 57,707 | 3,021,539 | |||||||||
Building Products-Air & Heating — 0.4% | |||||||||||
Johnson Controls International PLC | 89,505 | 3,132,675 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Martin Marietta Materials, Inc. | 858 | 156,113 | |||||||||
Vulcan Materials Co. | 1,549 | 172,249 | |||||||||
328,362 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 2,499 | 91,463 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
Lennar Corp., Class A | 2,859 | 133,487 | |||||||||
PulteGroup, Inc. | 107,382 | 2,659,852 | |||||||||
2,793,339 | |||||||||||
Cable/Satellite TV — 0.8% | |||||||||||
Comcast Corp., Class A | 173,471 | 6,142,608 | |||||||||
DISH Network Corp., Class A† | 5,475 | 195,786 | |||||||||
6,338,394 |
164
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Casino Hotels — 0.0% | |||||||||||
MGM Resorts International | 6,839 | $ | 190,876 | ||||||||
Chemicals-Diversified — 2.3% | |||||||||||
DowDuPont, Inc. | 172,227 | 11,075,918 | |||||||||
Eastman Chemical Co. | 3,377 | 323,247 | |||||||||
FMC Corp. | 35,500 | 3,094,890 | |||||||||
LyondellBasell Industries NV, Class A | 35,377 | 3,626,496 | |||||||||
PPG Industries, Inc. | 3,008 | 328,263 | |||||||||
18,448,814 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Albemarle Corp. | 1,063 | 106,066 | |||||||||
International Flavors & Fragrances, Inc. | 855 | 118,948 | |||||||||
225,014 | |||||||||||
Commercial Services — 0.1% | |||||||||||
Ecolab, Inc. | 3,281 | 514,395 | |||||||||
Nielsen Holdings PLC | 8,514 | 235,497 | |||||||||
Quanta Services, Inc.† | 3,556 | 118,700 | |||||||||
868,592 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Equifax, Inc. | 1,180 | 154,073 | |||||||||
H&R Block, Inc. | 1,768 | 45,526 | |||||||||
IHS Markit, Ltd.† | 8,526 | 460,063 | |||||||||
Western Union Co. | 6,520 | 124,271 | |||||||||
783,933 | |||||||||||
Computer Aided Design — 0.0% | |||||||||||
Autodesk, Inc.† | 2,038 | 318,152 | |||||||||
Computer Services — 0.6% | |||||||||||
Accenture PLC, Class A | 5,666 | 964,353 | |||||||||
DXC Technology Co. | 3,225 | 301,602 | |||||||||
International Business Machines Corp. | 21,815 | 3,298,646 | |||||||||
4,564,601 | |||||||||||
Computer Software — 0.0% | |||||||||||
Akamai Technologies, Inc.† | 2,431 | 177,827 | |||||||||
Citrix Systems, Inc.† | 1,355 | 150,622 | |||||||||
328,449 | |||||||||||
Computers — 0.2% | |||||||||||
Hewlett Packard Enterprise Co. | 35,172 | 573,655 | |||||||||
HP, Inc. | 37,819 | 974,596 | |||||||||
1,548,251 | |||||||||||
Computers-Memory Devices — 0.5% | |||||||||||
NetApp, Inc. | 37,398 | 3,212,114 | |||||||||
Seagate Technology PLC | 6,246 | 295,748 | |||||||||
Western Digital Corp. | 6,963 | 407,614 | |||||||||
3,915,476 | |||||||||||
Consulting Services — 0.0% | |||||||||||
Verisk Analytics, Inc.† | 1,417 | 170,819 | |||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Clorox Co. | 1,316 | 197,939 | |||||||||
Kimberly-Clark Corp. | 4,653 | 528,767 | |||||||||
726,706 |
Security Description | Shares | Value (Note 2) | |||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Ball Corp. | 8,219 | $ | 361,554 | ||||||||
Containers-Paper/Plastic — 0.4% | |||||||||||
Packaging Corp. of America | 790 | 86,655 | |||||||||
Sealed Air Corp. | 2,353 | 94,473 | |||||||||
WestRock Co. | 49,577 | 2,649,395 | |||||||||
2,830,523 | |||||||||||
Cosmetics & Toiletries — 2.2% | |||||||||||
Colgate-Palmolive Co. | 10,992 | 735,915 | |||||||||
Coty, Inc., Class A | 10,766 | 135,221 | |||||||||
Procter & Gamble Co. | 133,279 | 11,092,811 | |||||||||
Unilever NV | 78,226 | 4,345,454 | |||||||||
Unilever NV CVA | 23,190 | 1,291,446 | |||||||||
17,600,847 | |||||||||||
Cruise Lines — 0.2% | |||||||||||
Carnival Corp. | 19,741 | 1,258,884 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,392 | 180,876 | |||||||||
1,439,760 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. | 2,986 | 325,683 | |||||||||
Paychex, Inc. | 2,678 | 197,235 | |||||||||
522,918 | |||||||||||
Dental Supplies & Equipment — 0.0% | |||||||||||
DENTSPLY SIRONA, Inc. | 5,314 | 200,550 | |||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Danaher Corp. | 14,717 | 1,599,149 | |||||||||
Thermo Fisher Scientific, Inc. | 2,695 | 657,796 | |||||||||
2,256,945 | |||||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 3,032 | 217,182 | |||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Fastenal Co. | 3,018 | 175,104 | |||||||||
LKQ Corp.† | 3,193 | 101,122 | |||||||||
WW Grainger, Inc. | 1,087 | 388,505 | |||||||||
664,731 | |||||||||||
Diversified Banking Institutions — 7.5% | |||||||||||
Bank of America Corp. | 531,743 | 15,665,149 | |||||||||
Citigroup, Inc. | 179,234 | 12,858,247 | |||||||||
Goldman Sachs Group, Inc. | 8,392 | 1,881,822 | |||||||||
JPMorgan Chase & Co. | 241,887 | 27,294,529 | |||||||||
Morgan Stanley | 31,692 | 1,475,897 | |||||||||
59,175,644 | |||||||||||
Diversified Manufacturing Operations — 2.4% | |||||||||||
Eaton Corp. PLC | 90,342 | 7,835,362 | |||||||||
General Electric Co. | 311,625 | 3,518,246 | |||||||||
Ingersoll-Rand PLC | 45,321 | 4,636,338 | |||||||||
Parker-Hannifin Corp. | 1,392 | 256,031 | |||||||||
Siemens AG | 20,810 | 2,665,976 | |||||||||
Textron, Inc. | 5,937 | 424,317 | |||||||||
19,336,270 |
165
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Expedia Group, Inc. | 1,165 | $ | 152,009 | ||||||||
TripAdvisor, Inc.† | 1,540 | 78,648 | |||||||||
230,657 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
Emerson Electric Co. | 8,862 | 678,652 | |||||||||
Electric-Distribution — 0.6% | |||||||||||
CenterPoint Energy, Inc. | 11,761 | 325,192 | |||||||||
PPL Corp. | 16,720 | 489,227 | |||||||||
Sempra Energy | 34,054 | 3,873,642 | |||||||||
4,688,061 | |||||||||||
Electric-Integrated — 3.6% | |||||||||||
AES Corp. | 15,814 | 221,396 | |||||||||
Alliant Energy Corp. | 5,587 | 237,838 | |||||||||
Ameren Corp. | 5,833 | 368,762 | |||||||||
American Electric Power Co., Inc. | 11,781 | 835,037 | |||||||||
CMS Energy Corp. | 6,770 | 331,730 | |||||||||
Consolidated Edison, Inc. | 7,435 | 566,473 | |||||||||
Dominion Energy, Inc. | 9,687 | 680,802 | |||||||||
DTE Energy Co. | 4,344 | 474,061 | |||||||||
Duke Energy Corp. | 17,025 | 1,362,340 | |||||||||
Edison International | 109,926 | 7,439,792 | |||||||||
Entergy Corp. | 4,322 | 350,644 | |||||||||
Evergy, Inc. | 6,493 | 356,595 | |||||||||
Eversource Energy | 46,414 | 2,851,676 | |||||||||
Exelon Corp. | 23,085 | 1,007,891 | |||||||||
FirstEnergy Corp. | 6,853 | 254,726 | |||||||||
NextEra Energy, Inc. | 5,523 | 925,655 | |||||||||
PG&E Corp. | 12,360 | 568,684 | |||||||||
Pinnacle West Capital Corp. | 2,676 | 211,886 | |||||||||
Public Service Enterprise Group, Inc. | 12,077 | 637,545 | |||||||||
SCANA Corp. | 3,409 | 132,576 | |||||||||
Southern Co. | 24,238 | 1,056,777 | |||||||||
WEC Energy Group, Inc. | 4,374 | 292,008 | |||||||||
Xcel Energy, Inc. | 161,303 | 7,615,115 | |||||||||
28,780,009 | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Garmin, Ltd. | 1,444 | 101,152 | |||||||||
Electronic Components-Semiconductors — 2.0% | |||||||||||
Advanced Micro Devices, Inc.† | 13,532 | 418,003 | |||||||||
Intel Corp. | 322,399 | 15,246,249 | |||||||||
Xilinx, Inc. | 2,357 | 188,961 | |||||||||
15,853,213 | |||||||||||
Electronic Connectors — 0.4% | |||||||||||
TE Connectivity, Ltd. | 33,222 | 2,921,210 | |||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
FLIR Systems, Inc. | 1,056 | 64,912 | |||||||||
Fortive Corp. | 2,499 | 210,416 | |||||||||
275,328 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 795 | 72,003 |
Security Description | Shares | Value (Note 2) | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. | 3,361 | $ | 195,274 | ||||||||
Jacobs Engineering Group, Inc. | 2,849 | 217,949 | |||||||||
413,223 | |||||||||||
Engines-Internal Combustion — 0.5% | |||||||||||
Cummins, Inc. | 26,791 | 3,913,361 | |||||||||
Enterprise Software/Service — 1.0% | |||||||||||
CA, Inc. | 7,496 | 330,948 | |||||||||
Oracle Corp. | 143,762 | 7,412,369 | |||||||||
7,743,317 | |||||||||||
Entertainment Software — 0.0% | |||||||||||
Take-Two Interactive Software, Inc.† | 952 | 131,366 | |||||||||
Finance-Consumer Loans — 0.4% | |||||||||||
Synchrony Financial | 113,295 | 3,521,209 | |||||||||
Finance-Credit Card — 0.2% | |||||||||||
Alliance Data Systems Corp. | 440 | 103,910 | |||||||||
American Express Co. | 6,750 | 718,808 | |||||||||
Discover Financial Services | 8,189 | 626,049 | |||||||||
1,448,767 | |||||||||||
Finance-Investment Banker/Broker — 0.3% | |||||||||||
Jefferies Financial Group, Inc. | 6,931 | 152,205 | |||||||||
TD Ameritrade Holding Corp. | 48,092 | 2,540,700 | |||||||||
2,692,905 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
CME Group, Inc. | 2,686 | 457,184 | |||||||||
Nasdaq, Inc. | 1,431 | 122,780 | |||||||||
579,964 | |||||||||||
Food-Confectionery — 0.1% | |||||||||||
Hershey Co. | 1,537 | 156,774 | |||||||||
J.M. Smucker Co. | 2,718 | 278,894 | |||||||||
435,668 | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
Hormel Foods Corp. | 6,498 | 256,021 | |||||||||
Tyson Foods, Inc., Class A | 7,072 | 420,996 | |||||||||
677,017 | |||||||||||
Food-Misc./Diversified — 2.7% | |||||||||||
Campbell Soup Co. | 4,599 | 168,461 | |||||||||
Conagra Brands, Inc. | 75,310 | 2,558,281 | |||||||||
General Mills, Inc. | 9,258 | 397,353 | |||||||||
Kellogg Co. | 22,101 | 1,547,512 | |||||||||
Kraft Heinz Co. | 14,861 | 818,990 | |||||||||
McCormick & Co., Inc. | 1,478 | 194,726 | |||||||||
Mondelez International, Inc., Class A | 272,549 | 11,708,705 | |||||||||
Nestle SA ADR | 49,884 | 4,150,349 | |||||||||
21,544,377 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Kroger Co. | 19,040 | 554,254 | |||||||||
Food-Wholesale/Distribution — 0.7% | |||||||||||
Sysco Corp. | 29,039 | 2,127,107 | |||||||||
US Foods Holding Corp.† | 107,213 | 3,304,304 | |||||||||
5,431,411 |
166
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Footwear & Related Apparel — 0.3% | |||||||||||
Skechers U.S.A., Inc., Class A† | 86,200 | $ | 2,407,566 | ||||||||
Gas-Distribution — 0.0% | |||||||||||
NiSource, Inc. | 8,677 | 216,231 | |||||||||
Gold Mining — 0.1% | |||||||||||
Newmont Mining Corp. | 12,748 | 384,990 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Stericycle, Inc.† | 2,053 | 120,470 | |||||||||
Home Decoration Products — 0.4% | |||||||||||
Newell Brands, Inc. | 136,173 | 2,764,312 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 3,111 | 136,231 | |||||||||
Hotels/Motels — 0.5% | |||||||||||
Hilton Worldwide Holdings, Inc. | 53,532 | 4,324,315 | |||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 1,200 | 84,456 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. | 3,336 | 124,766 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 913 | 171,206 | |||||||||
Industrial Gases — 0.1% | |||||||||||
Air Products & Chemicals, Inc. | 3,354 | 560,286 | |||||||||
Praxair, Inc. | 3,299 | 530,248 | |||||||||
1,090,534 | |||||||||||
Instruments-Controls — 0.2% | |||||||||||
Honeywell International, Inc. | 7,277 | 1,210,893 | |||||||||
Instruments-Scientific — 0.0% | |||||||||||
PerkinElmer, Inc. | 1,006 | 97,854 | |||||||||
Insurance Brokers — 0.5% | |||||||||||
Aon PLC | 2,378 | 365,689 | |||||||||
Arthur J. Gallagher & Co. | 2,139 | 159,227 | |||||||||
Marsh & McLennan Cos., Inc. | 40,362 | 3,338,745 | |||||||||
Willis Towers Watson PLC | 1,813 | 255,524 | |||||||||
4,119,185 | |||||||||||
Insurance-Life/Health — 1.2% | |||||||||||
Aflac, Inc. | 75,780 | 3,566,965 | |||||||||
Brighthouse Financial, Inc.† | 2,863 | 126,659 | |||||||||
Lincoln National Corp. | 5,179 | 350,411 | |||||||||
Principal Financial Group, Inc. | 64,942 | 3,804,952 | |||||||||
Prudential Financial, Inc. | 9,966 | 1,009,755 | |||||||||
Torchmark Corp. | 1,437 | 124,573 | |||||||||
Unum Group | 5,227 | 204,219 | |||||||||
9,187,534 | |||||||||||
Insurance-Multi-line — 1.8% | |||||||||||
Allstate Corp. | 4,386 | 432,898 | |||||||||
American International Group, Inc.(1) | 21,234 | 1,130,498 | |||||||||
Assurant, Inc. | 1,262 | 136,233 | |||||||||
Chubb, Ltd. | 77,650 | 10,377,146 | |||||||||
Cincinnati Financial Corp. | 3,615 | 277,668 | |||||||||
Hartford Financial Services Group, Inc. | 8,566 | 427,957 | |||||||||
Loews Corp. | 6,646 | 333,829 | |||||||||
MetLife, Inc. | 23,776 | 1,110,815 | |||||||||
14,227,044 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Property/Casualty — 1.4% | |||||||||||
Berkshire Hathaway, Inc., Class B† | 46,591 | $ | 9,975,599 | ||||||||
Travelers Cos., Inc. | 6,398 | 829,885 | |||||||||
10,805,484 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Everest Re Group, Ltd. | 976 | 222,987 | |||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 610 | 121,646 | |||||||||
Internet Security — 0.0% | |||||||||||
Symantec Corp. | 8,170 | 173,858 | |||||||||
Investment Management/Advisor Services — 1.6% | |||||||||||
Affiliated Managers Group, Inc. | 702 | 95,977 | |||||||||
Ameriprise Financial, Inc. | 25,321 | 3,738,899 | |||||||||
BlackRock, Inc. | 1,204 | 567,481 | |||||||||
Franklin Resources, Inc. | 7,306 | 222,176 | |||||||||
Invesco, Ltd. | 357,474 | 8,179,005 | |||||||||
Raymond James Financial, Inc. | 1,632 | 150,226 | |||||||||
12,953,764 | |||||||||||
Machinery-Construction & Mining — 1.1% | |||||||||||
Atlas Copco AB, Class B | 131,990 | 3,522,001 | |||||||||
Caterpillar, Inc. | 34,117 | 5,202,501 | |||||||||
8,724,502 | |||||||||||
Machinery-Farming — 0.1% | |||||||||||
Deere & Co. | 3,460 | 520,142 | |||||||||
Machinery-Material Handling — 0.0% | |||||||||||
Dover Corp. | 1,553 | 137,487 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Flowserve Corp. | 3,127 | 171,016 | |||||||||
Xylem, Inc. | 1,331 | 106,307 | |||||||||
277,323 | |||||||||||
Medical Instruments — 1.7% | |||||||||||
Medtronic PLC | 138,753 | 13,649,133 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
IQVIA Holdings, Inc.† | 1,627 | 211,087 | |||||||||
Laboratory Corp. of America Holdings† | 1,023 | 177,675 | |||||||||
Quest Diagnostics, Inc. | 3,266 | 352,434 | |||||||||
741,196 | |||||||||||
Medical Products — 1.2% | |||||||||||
Abbott Laboratories | 21,230 | 1,557,433 | |||||||||
Baxter International, Inc. | 5,225 | 402,795 | |||||||||
Henry Schein, Inc.† | 19,399 | 1,649,497 | |||||||||
Varian Medical Systems, Inc.† | 1,028 | 115,064 | |||||||||
Zimmer Biomet Holdings, Inc. | 46,170 | 6,069,970 | |||||||||
9,794,759 | |||||||||||
Medical-Biomedical/Gene — 0.7% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 2,557 | 355,449 | |||||||||
Amgen, Inc. | 6,343 | 1,314,840 | |||||||||
Biogen, Inc.† | 1,492 | 527,139 | |||||||||
Gilead Sciences, Inc. | 10,844 | 837,265 | |||||||||
Vertex Pharmaceuticals, Inc.† | 13,489 | 2,599,870 | |||||||||
5,634,563 |
167
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Drugs — 7.8% | |||||||||||
Allergan PLC | 46,099 | $ | 8,780,937 | ||||||||
AstraZeneca PLC ADR | 99,916 | 3,953,676 | |||||||||
Bristol-Myers Squibb Co. | 87,695 | 5,444,106 | |||||||||
Eli Lilly & Co. | 51,242 | 5,498,779 | |||||||||
Johnson & Johnson | 95,044 | 13,132,229 | |||||||||
Merck & Co., Inc. | 114,054 | 8,090,991 | |||||||||
Pfizer, Inc. | 253,346 | 11,164,958 | |||||||||
Roche Holding AG | 8,170 | 1,979,231 | |||||||||
Roche Holding AG ADR | 112,216 | 3,384,435 | |||||||||
61,429,342 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 12,322 | 450,985 | |||||||||
Perrigo Co. PLC | 1,926 | 136,361 | |||||||||
587,346 | |||||||||||
Medical-HMO — 0.6% | |||||||||||
Aetna, Inc. | 3,909 | 792,941 | |||||||||
Anthem, Inc. | 2,920 | 800,226 | |||||||||
Cigna Corp. | 8,250 | 1,718,063 | |||||||||
Humana, Inc. | 3,293 | 1,114,746 | |||||||||
WellCare Health Plans, Inc.† | 454 | 145,502 | |||||||||
4,571,478 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
Envision Healthcare Corp.† | 2,895 | 132,388 | |||||||||
HCA Healthcare, Inc. | 2,967 | 412,769 | |||||||||
Universal Health Services, Inc., Class B | 2,057 | 262,967 | |||||||||
808,124 | |||||||||||
Medical-Wholesale Drug Distribution — 0.5% | |||||||||||
AmerisourceBergen Corp. | 3,826 | 352,834 | |||||||||
Cardinal Health, Inc. | 7,381 | 398,574 | |||||||||
McKesson Corp. | 25,824 | 3,425,553 | |||||||||
4,176,961 | |||||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc. | 34,631 | 482,064 | |||||||||
Motorcycle/Motor Scooter — 0.0% | |||||||||||
Harley-Davidson, Inc. | 3,981 | 180,339 | |||||||||
Multimedia — 1.1% | |||||||||||
Twenty-First Century Fox, Inc., Class A | 25,192 | 1,167,145 | |||||||||
Twenty-First Century Fox, Inc., Class B | 11,642 | 533,436 | |||||||||
Viacom, Inc., Class B | 145,556 | 4,913,971 | |||||||||
Walt Disney Co. | 18,839 | 2,203,033 | |||||||||
8,817,585 | |||||||||||
Networking Products — 2.1% | |||||||||||
Cisco Systems, Inc. | 340,126 | 16,547,130 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Republic Services, Inc. | 2,813 | 204,393 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Xerox Corp. | 5,304 | 143,102 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Helmerich & Payne, Inc. | 2,604 | 179,077 |
Security Description | Shares | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production — 3.3% | |||||||||||
Anadarko Petroleum Corp. | 53,749 | $ | 3,623,220 | ||||||||
Apache Corp. | 9,141 | 435,751 | |||||||||
Cabot Oil & Gas Corp. | 5,694 | 128,229 | |||||||||
Cimarex Energy Co. | 1,550 | 144,057 | |||||||||
Concho Resources, Inc.† | 4,786 | 731,062 | |||||||||
ConocoPhillips | 27,774 | 2,149,708 | |||||||||
Devon Energy Corp. | 12,160 | �� | 485,670 | ||||||||
EOG Resources, Inc. | 49,825 | 6,356,175 | |||||||||
EQT Corp. | 56,160 | 2,483,957 | |||||||||
Hess Corp. | 4,151 | 297,129 | |||||||||
Marathon Oil Corp. | 20,414 | 475,238 | |||||||||
Newfield Exploration Co.† | 4,777 | 137,721 | |||||||||
Noble Energy, Inc. | 88,396 | 2,757,071 | |||||||||
Occidental Petroleum Corp. | 18,277 | 1,501,821 | |||||||||
Pioneer Natural Resources Co. | 24,418 | 4,253,371 | |||||||||
25,960,180 | |||||||||||
Oil Companies-Integrated — 4.8% | |||||||||||
Chevron Corp. | 175,928 | 21,512,476 | |||||||||
Exxon Mobil Corp. | 101,187 | 8,602,919 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 21,840 | 1,549,111 | |||||||||
TOTAL SA ADR | 100,920 | 6,498,239 | |||||||||
38,162,745 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
National Oilwell Varco, Inc. | 9,145 | 393,967 | |||||||||
Oil Refining & Marketing — 0.5% | |||||||||||
Andeavor | 3,323 | 510,080 | |||||||||
HollyFrontier Corp. | 3,874 | 270,793 | |||||||||
Marathon Petroleum Corp. | 10,779 | 861,997 | |||||||||
Phillips 66 | 10,208 | 1,150,646 | |||||||||
Valero Energy Corp. | 10,215 | 1,161,956 | |||||||||
3,955,472 | |||||||||||
Oil-Field Services — 2.5% | |||||||||||
Baker Hughes a GE Co., LLC | 104,262 | 3,527,183 | |||||||||
Halliburton Co. | 113,430 | 4,597,318 | |||||||||
Schlumberger, Ltd. | 187,990 | 11,452,351 | |||||||||
TechnipFMC PLC | 10,211 | 319,094 | |||||||||
19,895,946 | |||||||||||
Paper & Related Products — 0.5% | |||||||||||
International Paper Co. | 74,301 | 3,651,894 | |||||||||
Pharmacy Services — 0.4% | |||||||||||
CVS Health Corp. | 24,332 | 1,915,415 | |||||||||
Express Scripts Holding Co.† | 13,437 | 1,276,649 | |||||||||
3,192,064 | |||||||||||
Pipelines — 0.8% | |||||||||||
Kinder Morgan, Inc. | 264,321 | 4,686,411 | |||||||||
ONEOK, Inc. | 9,829 | 666,308 | |||||||||
Williams Cos., Inc. | 28,904 | 785,900 | |||||||||
6,138,619 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp., Class A | 9,163 | 120,860 | |||||||||
News Corp., Class B | 2,958 | 40,229 | |||||||||
161,089 |
168
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts — 2.0% | |||||||||||
Alexandria Real Estate Equities, Inc. | 1,163 | $ | 146,294 | ||||||||
Apartment Investment & Management Co., Class A | 2,106 | 92,938 | |||||||||
AvalonBay Communities, Inc. | 1,850 | 335,127 | |||||||||
Boston Properties, Inc. | 2,067 | 254,427 | |||||||||
Brixmor Property Group, Inc. | 213,947 | 3,746,212 | |||||||||
Crown Castle International Corp. | 3,173 | 353,250 | |||||||||
Digital Realty Trust, Inc. | 1,970 | 221,586 | |||||||||
Duke Realty Corp. | 8,539 | 242,251 | |||||||||
Equity Residential | 8,802 | 583,220 | |||||||||
Essex Property Trust, Inc. | 758 | 187,006 | |||||||||
Federal Realty Investment Trust | 931 | 117,744 | |||||||||
HCP, Inc. | 11,229 | 295,547 | |||||||||
Host Hotels & Resorts, Inc. | 17,726 | 374,019 | |||||||||
Iron Mountain, Inc. | 3,761 | 129,830 | |||||||||
Kimco Realty Corp. | 10,071 | 168,589 | |||||||||
Macerich Co. | 2,528 | 139,773 | |||||||||
Mid-America Apartment Communities, Inc. | 2,720 | 272,490 | |||||||||
Park Hotels & Resorts, Inc. | 125,928 | 4,132,957 | |||||||||
Public Storage | 1,576 | 317,769 | |||||||||
Realty Income Corp. | 6,932 | 394,361 | |||||||||
Regency Centers Corp. | 4,049 | 261,849 | |||||||||
Simon Property Group, Inc. | 3,769 | 666,171 | |||||||||
SL Green Realty Corp. | 2,069 | 201,790 | |||||||||
UDR, Inc. | 2,175 | 87,935 | |||||||||
Ventas, Inc. | 8,519 | 463,263 | |||||||||
Vornado Realty Trust | 1,448 | 105,704 | |||||||||
Welltower, Inc. | 8,891 | 571,869 | |||||||||
Weyerhaeuser Co. | 18,108 | 584,345 | |||||||||
15,448,316 | |||||||||||
Retail-Apparel/Shoe — 0.4% | |||||||||||
Foot Locker, Inc. | 2,794 | 142,438 | |||||||||
Gap, Inc. | 5,186 | 149,616 | |||||||||
L Brands, Inc. | 74,571 | 2,259,501 | |||||||||
Ross Stores, Inc. | 3,060 | 303,246 | |||||||||
Tapestry, Inc. | 4,199 | 211,084 | |||||||||
3,065,885 | |||||||||||
Retail-Auto Parts — 0.6% | |||||||||||
Advance Auto Parts, Inc. | 12,671 | 2,132,909 | |||||||||
AutoZone, Inc.† | 2,150 | 1,667,755 | |||||||||
Genuine Parts Co. | 3,507 | 348,596 | |||||||||
O'Reilly Automotive, Inc.† | 886 | 307,726 | |||||||||
4,456,986 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 2,110 | 157,554 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. | 6,202 | 712,114 | |||||||||
Retail-Catalog Shopping — 0.5% | |||||||||||
Qurate Retail, Inc.† | 163,278 | 3,626,404 | |||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 5,809 | 461,002 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Discount — 1.4% | |||||||||||
Costco Wholesale Corp. | 10,481 | $ | 2,461,777 | ||||||||
Dollar General Corp. | 3,300 | 360,690 | |||||||||
Target Corp. | 25,780 | 2,274,054 | |||||||||
Walmart, Inc. | 65,048 | 6,108,658 | |||||||||
11,205,179 | |||||||||||
Retail-Drug Store — 0.5% | |||||||||||
Walgreens Boots Alliance, Inc. | 51,171 | 3,730,366 | |||||||||
Retail-Gardening Products — 0.0% | |||||||||||
Tractor Supply Co. | 1,718 | 156,132 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 1,510 | 194,745 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
Nordstrom, Inc. | 2,739 | 163,819 | |||||||||
TJX Cos., Inc. | 8,243 | 923,381 | |||||||||
1,087,200 | |||||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Ulta Beauty, Inc.† | 421 | 118,773 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Kohl's Corp. | 3,984 | 297,007 | |||||||||
Macy's, Inc. | 7,337 | 254,814 | |||||||||
551,821 | |||||||||||
Retail-Restaurants — 0.4% | |||||||||||
Chipotle Mexican Grill, Inc.† | 357 | 162,264 | |||||||||
Darden Restaurants, Inc. | 1,186 | 131,871 | |||||||||
McDonald's Corp. | 9,970 | 1,667,881 | |||||||||
Starbucks Corp. | 11,608 | 659,799 | |||||||||
Yum! Brands, Inc. | 4,172 | 379,277 | |||||||||
3,001,092 | |||||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co. | 5,665 | 132,504 | |||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
People's United Financial, Inc. | 8,337 | 142,729 | |||||||||
Semiconductor Components-Integrated Circuits — 1.4% | |||||||||||
QUALCOMM, Inc. | 107,777 | 7,763,177 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 67,131 | 2,964,505 | |||||||||
10,727,682 | |||||||||||
Semiconductor Equipment — 0.4% | |||||||||||
Applied Materials, Inc. | 71,690 | 2,770,818 | |||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 331 | 84,762 | |||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 2,757 | 163,683 | |||||||||
Steel-Producers — 0.1% | |||||||||||
Nucor Corp. | 7,561 | 479,745 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Juniper Networks, Inc. | 8,241 | 246,983 | |||||||||
Telephone-Integrated — 3.0% | |||||||||||
AT&T, Inc. | 173,561 | 5,828,178 | |||||||||
CenturyLink, Inc. | 22,717 | 481,600 | |||||||||
Verizon Communications, Inc. | 328,468 | 17,536,907 | |||||||||
23,846,685 |
169
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Television — 0.0% | |||||||||||
CBS Corp., Class B | 4,450 | $ | 255,653 | ||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 530 | 92,936 | |||||||||
Tobacco — 1.2% | |||||||||||
Altria Group, Inc. | 19,824 | 1,195,586 | |||||||||
British American Tobacco PLC ADR | 78,353 | 3,653,600 | |||||||||
Philip Morris International, Inc. | 57,015 | 4,649,003 | |||||||||
9,498,189 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,348 | 247,493 | |||||||||
Stanley Black & Decker, Inc. | 1,243 | 182,025 | |||||||||
429,518 | |||||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 1,284 | 134,974 | |||||||||
Mattel, Inc.† | 6,004 | 94,263 | |||||||||
229,237 | |||||||||||
Transport-Rail — 1.2% | |||||||||||
Kansas City Southern | 1,294 | 146,584 | |||||||||
Norfolk Southern Corp. | 3,681 | 664,421 | |||||||||
Union Pacific Corp. | 51,580 | 8,398,771 | |||||||||
9,209,776 | |||||||||||
Transport-Services — 0.5% | |||||||||||
C.H. Robinson Worldwide, Inc. | 3,311 | 324,213 | |||||||||
Expeditors International of Washington, Inc. | 1,875 | 137,869 | |||||||||
FedEx Corp. | 2,500 | 601,975 | |||||||||
United Parcel Service, Inc., Class B | 22,272 | 2,600,256 | |||||||||
3,664,313 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. | 899 | 106,927 | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,941 | 170,750 | |||||||||
Water Treatment Systems — 0.0% | |||||||||||
Pentair PLC | 3,857 | 167,201 | |||||||||
Wireless Equipment — 0.4% | |||||||||||
Nokia OYJ ADR | 584,599 | 3,262,062 | |||||||||
Total Common Stocks (cost $671,922,602) | 766,456,358 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.0% | |||||||||||
iShares Russell 1000 Value ETF | 51,360 | 6,503,203 | |||||||||
iShares S&P 500 Value ETF | 14,548 | 1,685,240 | |||||||||
Total Exchange-Traded Funds (cost $7,999,593) | 8,188,443 | ||||||||||
Total Long-Term Investment Securities (cost $679,922,195) | 774,644,801 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.0% | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 2.03% due 12/06/2018(2) (cost $69,740) | $ | 70,000 | $ | 69,727 | |||||||
REPURCHASE AGREEMENTS — 1.3% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $676,024 and collateralized by $695,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $690,268 | 676,000 | 676,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 1,800,000 | 1,800,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 600,000 | 600,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 3,420,000 | 3,420,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 635,000 | 635,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 2,805,000 | 2,805,000 | |||||||||
Total Repurchase Agreements (cost $9,936,000) | 9,936,000 | ||||||||||
TOTAL INVESTMENTS (cost $689,927,935)(4) | 99.1 | % | 784,650,528 | ||||||||
Other assets less liabilities | 0.9 | 7,449,735 | |||||||||
NET ASSETS | 100.0 | % | $ | 792,100,263 |
† Non-income producing security
(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
170
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 500 Citigroup Value Index | December 2018 | $ | 1,143,720 | $ | 1,136,600 | ($ | 7,120 | ) |
* 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 | ||||||||||||||||||
Bank of America, N.A. | JPY | 265,449,636 | USD | 2,373,922 | 12/28/2018 | $ | 20,904 | $ | — | ||||||||||||||
Credit Suisse AG | EUR | 7,589,758 | USD | 8,989,325 | 12/31/2018 | 108,287 | — | ||||||||||||||||
Goldman Sachs & Co. | SEK | 25,357,919 | USD | 2,908,303 | 12/28/2018 | 32,617 | — | ||||||||||||||||
Morgan Stanley Capital Services, Inc. | GBP | 1,267,408 | USD | 1,685,373 | 12/31/2018 | 25,965 | — | ||||||||||||||||
USD | 358,939 | GBP | 272,807 | 12/31/2018 | — | (1,755 | ) | ||||||||||||||||
25,965 | (1,755 | ) | |||||||||||||||||||||
UBS AG | CHF | 1,639,944 | USD | 1,721,486 | 12/31/2018 | 35,660 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 223,433 | $ | (1,755 | ) |
CHF — Swiss Franc
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
SEK — Swedish Krona
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 766,456,358 | $ | — | $ | — | $ | 766,456,358 | |||||||||||
Exchange-Traded Funds | 8,188,443 | — | — | 8,188,443 | |||||||||||||||
Short-Term Investment Securities | — | 69,727 | — | 69,727 | |||||||||||||||
Repurchase Agreements | — | 9,936,000 | — | 9,936,000 | |||||||||||||||
Total Investments at Value | $ | 774,644,801 | $ | 10,005,727 | $ | — | $ | 784,650,528 | |||||||||||
Other Financial Instruments:+ | |||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | — | |||||||||||
Forward Foreign Currency Contracts | — | 223,433 | — | 223,433 | |||||||||||||||
Total Other Financial Instruments | $ | — | $ | 223,433 | $ | — | $ | 223,433 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:+ | |||||||||||||||||||
Futures Contracts | $ | 7,120 | $ | — | $ | — | $ | 7,120 | |||||||||||
Forward Foreign Currency Contracts | — | 1,755 | — | 1,755 | |||||||||||||||
Total Other Financial Instruments | $ | 7,120 | $ | 1,755 | $ | — | $ | 8,875 |
* 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 material transfers between Levels during the reporting period.
See Notes to Financial Statements
171
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Enterprise Software/Service | 5.3 | % | |||||
Medical-Biomedical/Gene | 4.1 | ||||||
Commercial Services-Finance | 3.5 | ||||||
Applications Software | 3.4 | ||||||
Electronic Components-Semiconductors | 3.0 | ||||||
Medical Products | 2.5 | ||||||
E-Commerce/Services | 2.3 | ||||||
Data Processing/Management | 2.3 | ||||||
Commercial Services | 2.1 | ||||||
Hotels/Motels | 1.9 | ||||||
Repurchase Agreements | 1.8 | ||||||
Computer Aided Design | 1.8 | ||||||
Medical Instruments | 1.6 | ||||||
Retail-Apparel/Shoe | 1.6 | ||||||
Web Hosting/Design | 1.6 | ||||||
Semiconductor Equipment | 1.5 | ||||||
Dental Supplies & Equipment | 1.5 | ||||||
Oil Companies-Exploration & Production | 1.5 | ||||||
Industrial Automated/Robotic | 1.4 | ||||||
Finance-Investment Banker/Broker | 1.3 | ||||||
Computer Software | 1.2 | ||||||
Real Estate Investment Trusts | 1.2 | ||||||
Machinery-General Industrial | 1.2 | ||||||
Drug Delivery Systems | 1.2 | ||||||
Building Products-Cement | 1.2 | ||||||
Aerospace/Defense-Equipment | 1.1 | ||||||
Retail-Restaurants | 1.1 | ||||||
E-Commerce/Products | 1.1 | ||||||
Consulting Services | 1.0 | ||||||
Resorts/Theme Parks | 1.0 | ||||||
Medical-HMO | 1.0 | ||||||
Distribution/Wholesale | 1.0 | ||||||
Apparel Manufacturers | 1.0 | ||||||
Food-Misc./Diversified | 0.9 | ||||||
Airlines | 0.9 | ||||||
Patient Monitoring Equipment | 0.8 | ||||||
Banks-Commercial | 0.8 | ||||||
Retail-Discount | 0.8 | ||||||
Schools | 0.8 | ||||||
Retail-Auto Parts | 0.8 | ||||||
Electronic Measurement Instruments | 0.8 | ||||||
Office Automation & Equipment | 0.7 | ||||||
Exchange-Traded Funds | 0.7 | ||||||
Casino Hotels | 0.7 | ||||||
Containers-Paper/Plastic | 0.7 | ||||||
Semiconductor Components-Integrated Circuits | 0.7 | ||||||
Internet Security | 0.7 | ||||||
Medical-Drugs | 0.7 | ||||||
Transport-Truck | 0.7 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Internet Content-Information/News | 0.6 | ||||||
Beverages-Non-alcoholic | 0.6 | ||||||
Therapeutics | 0.6 | ||||||
Auto-Cars/Light Trucks | 0.5 | ||||||
Electronic Connectors | 0.5 | ||||||
Cruise Lines | 0.5 | ||||||
Lasers-System/Components | 0.5 | ||||||
Aerospace/Defense | 0.5 | ||||||
Diversified Manufacturing Operations | 0.5 | ||||||
Investment Management/Advisor Services | 0.5 |
Diagnostic Kits | 0.5 | % | |||||
Building-Residential/Commercial | 0.5 | ||||||
Retail-Floor Coverings | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Recreational Vehicles | 0.5 | ||||||
Retail-Automobile | 0.4 | ||||||
Real Estate Management/Services | 0.4 | ||||||
Recreational Centers | 0.4 | ||||||
Transport-Services | 0.4 | ||||||
Entertainment Software | 0.4 | ||||||
Textile-Home Furnishings | 0.4 | ||||||
Machinery-Pumps | 0.4 | ||||||
Computer Services | 0.4 | ||||||
Retail-Perfume & Cosmetics | 0.4 | ||||||
Insurance-Property/Casualty | 0.4 | ||||||
Chemicals-Diversified | 0.4 | ||||||
Computers-Memory Devices | 0.4 | ||||||
Finance-Credit Card | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Security Services | 0.3 | ||||||
Computers-Periphery Equipment | 0.3 | ||||||
Chemicals-Specialty | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Medical Information Systems | 0.3 | ||||||
Instruments-Controls | 0.3 | ||||||
Soap & Cleaning Preparation | 0.3 | ||||||
E-Services/Consulting | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Decision Support Software | 0.3 | ||||||
Electronic Security Devices | 0.3 | ||||||
Lighting Products & Systems | 0.3 | ||||||
Medical Labs & Testing Services | 0.3 | ||||||
Shipbuilding | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Television | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Internet Content-Entertainment | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Internet Application Software | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Advertising Agencies | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Transport-Rail | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Internet Telephone | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Respiratory Products | 0.2 | ||||||
Non-Hazardous Waste Disposal | 0.2 | ||||||
Building-Maintenance & Services | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Multimedia | 0.2 |
172
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Garden Products | 0.1 | % | |||||
Instruments-Scientific | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Telephone-Integrated | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Theaters | 0.1 | ||||||
Internet Infrastructure Software | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Toys | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Water | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Auction Houses/Art Dealers | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Insurance-Multi-line | 0.1 | ||||||
Radio | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Retail-Convenience Store | 0.1 | ||||||
Building Products-Wood | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Physical Therapy/Rehabilitation Centers | 0.1 | ||||||
Industrial Gases | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Steel Pipe & Tube | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Retail-Mail Order | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Finance-Mortgage Loan/Banker | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
100.5 | % |
* Calculated as a percentage of net assets
173
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.7% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 456 | $ | 30,575 | ||||||||
Advertising Agencies — 0.2% | |||||||||||
Interpublic Group of Cos., Inc. | 4,748 | 108,587 | |||||||||
Omnicom Group, Inc. | 5,005 | 340,440 | |||||||||
449,027 | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Rockwell Collins, Inc. | 531 | 74,589 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 2,737 | 250,901 | |||||||||
TransDigm Group, Inc.† | 2,397 | 892,403 | |||||||||
1,217,893 | |||||||||||
Aerospace/Defense-Equipment — 1.1% | |||||||||||
Curtiss-Wright Corp. | 83 | 11,406 | |||||||||
Harris Corp. | 12,112 | 2,049,472 | |||||||||
HEICO Corp. | 930 | 86,127 | |||||||||
HEICO Corp., Class A | 1,832 | 138,316 | |||||||||
L3 Technologies, Inc. | 1,750 | 372,085 | |||||||||
2,657,406 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 2,900 | 157,876 | |||||||||
Airlines — 0.9% | |||||||||||
Alaska Air Group, Inc. | 5,100 | 351,186 | |||||||||
American Airlines Group, Inc. | 6,700 | 276,911 | |||||||||
Copa Holdings SA, Class A | 1,000 | 79,840 | |||||||||
JetBlue Airways Corp.† | 59,139 | 1,144,931 | |||||||||
United Continental Holdings, Inc.† | 3,000 | 267,180 | |||||||||
2,120,048 | |||||||||||
Apparel Manufacturers — 1.0% | |||||||||||
Carter's, Inc. | 1,118 | 110,235 | |||||||||
Columbia Sportswear Co. | 92 | 8,562 | |||||||||
Hanesbrands, Inc. | 8,675 | 159,880 | |||||||||
Michael Kors Holdings, Ltd.† | 1,860 | 127,522 | |||||||||
PVH Corp. | 1,100 | 158,840 | |||||||||
Under Armour, Inc., Class A† | 14,653 | 310,937 | |||||||||
Under Armour, Inc., Class C† | 42,655 | 830,066 | |||||||||
VF Corp. | 6,029 | 563,410 | |||||||||
2,269,452 | |||||||||||
Applications Software — 3.2% | |||||||||||
CDK Global, Inc. | 8,184 | 511,991 | |||||||||
PTC, Inc.† | 2,766 | 293,721 | |||||||||
RealPage, Inc.† | 4,723 | 311,246 | |||||||||
Red Hat, Inc.† | 8,784 | 1,197,083 | |||||||||
ServiceNow, Inc.† | 23,379 | 4,573,634 | |||||||||
Tableau Software, Inc., Class A† | 4,790 | 535,235 | |||||||||
7,422,910 | |||||||||||
Auction Houses/Art Dealers — 0.1% | |||||||||||
Ritchie Bros. Auctioneers, Inc. | 3,100 | 112,003 | |||||||||
Sotheby's† | 2,000 | 98,380 | |||||||||
210,383 | |||||||||||
Auto-Cars/Light Trucks — 0.5% | |||||||||||
Ferrari NV | 9,194 | 1,258,751 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 2,300 | $ | 156,837 | ||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Allison Transmission Holdings, Inc. | 2,919 | 151,817 | |||||||||
Altra Industrial Motion Corp. | 1,128 | 27,720 | |||||||||
Aptiv PLC | 11,957 | 1,003,192 | |||||||||
Lear Corp. | 168 | 24,360 | |||||||||
Visteon Corp.† | 451 | 41,898 | |||||||||
WABCO Holdings, Inc.† | 2,194 | 258,761 | |||||||||
1,507,748 | |||||||||||
Banks-Commercial — 0.8% | |||||||||||
BankUnited, Inc. | 2,500 | 88,500 | |||||||||
East West Bancorp, Inc. | 262 | 15,817 | |||||||||
First Republic Bank | 5,300 | 508,800 | |||||||||
Pinnacle Financial Partners, Inc. | 2,383 | 143,337 | |||||||||
Signature Bank | 1,920 | 220,493 | |||||||||
SVB Financial Group† | 1,811 | 562,913 | |||||||||
Synovus Financial Corp. | 221 | 10,120 | |||||||||
Texas Capital Bancshares, Inc.† | 762 | 62,979 | |||||||||
Webster Financial Corp. | 4,000 | 235,840 | |||||||||
Western Alliance Bancorp† | 1,432 | 81,467 | |||||||||
1,930,266 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Northern Trust Corp. | 2,310 | 235,920 | |||||||||
State Street Corp. | 600 | 50,268 | |||||||||
286,188 | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
Comerica, Inc. | 240 | 21,648 | |||||||||
Fifth Third Bancorp | 4,100 | 114,472 | |||||||||
136,120 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. | 820 | 48,093 | |||||||||
Beverages-Non-alcoholic — 0.6% | |||||||||||
Keurig Dr Pepper, Inc. | 8,736 | 202,413 | |||||||||
Monster Beverage Corp.† | 19,780 | 1,152,778 | |||||||||
1,355,191 | |||||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Brown-Forman Corp., Class A | 1,241 | 63,043 | |||||||||
Brown-Forman Corp., Class B | 12,123 | 612,817 | |||||||||
675,860 | |||||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Armstrong World Industries, Inc.† | 1,089 | 75,794 | |||||||||
Fortune Brands Home & Security, Inc. | 7,053 | 369,295 | |||||||||
445,089 | |||||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
Lennox International, Inc. | 832 | 181,709 | |||||||||
Building Products-Cement — 1.2% | |||||||||||
Eagle Materials, Inc. | 2,603 | 221,880 | |||||||||
Martin Marietta Materials, Inc. | 1,394 | 253,638 | |||||||||
Vulcan Materials Co. | 19,986 | 2,222,443 | |||||||||
2,697,961 | |||||||||||
Building Products-Wood — 0.1% | |||||||||||
Masco Corp. | 5,113 | 187,136 |
174
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Maintenance & Services — 0.2% | |||||||||||
Rollins, Inc. | 6,137 | $ | 372,455 | ||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Thor Industries, Inc. | 1,002 | 83,867 | |||||||||
Building-Residential/Commercial — 0.5% | |||||||||||
D.R. Horton, Inc. | 4,895 | 206,471 | |||||||||
Lennar Corp., Class A | 3,671 | 171,399 | |||||||||
Lennar Corp., Class B | 202 | 7,777 | |||||||||
NVR, Inc.† | 177 | 437,332 | |||||||||
PulteGroup, Inc. | 1,995 | 49,416 | |||||||||
Toll Brothers, Inc. | 6,130 | 202,474 | |||||||||
1,074,869 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice USA, Inc., Class A | 2,387 | 43,300 | |||||||||
Cable One, Inc. | 103 | 91,012 | |||||||||
134,312 | |||||||||||
Casino Hotels — 0.7% | |||||||||||
Melco Resorts & Entertainment, Ltd. ADR | 40,067 | 847,417 | |||||||||
MGM Resorts International | 9,218 | 257,275 | |||||||||
Wynn Resorts, Ltd. | 4,388 | 557,539 | |||||||||
1,662,231 | |||||||||||
Chemicals-Diversified — 0.4% | |||||||||||
Celanese Corp., Series A | 3,981 | 453,834 | |||||||||
FMC Corp. | 1,320 | 115,078 | |||||||||
PPG Industries, Inc. | 2,000 | 218,260 | |||||||||
Westlake Chemical Corp. | 812 | 67,485 | |||||||||
854,657 | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 2,200 | 96,184 | |||||||||
Chemicals-Specialty — 0.3% | |||||||||||
Chemours Co. | 4,305 | 169,789 | |||||||||
International Flavors & Fragrances, Inc. | 808 | 112,409 | |||||||||
NewMarket Corp. | 181 | 73,397 | |||||||||
Platform Specialty Products Corp.† | 2,683 | 33,457 | |||||||||
Univar, Inc.† | 418 | 12,816 | |||||||||
Valvoline, Inc. | 8,814 | 189,589 | |||||||||
Versum Materials, Inc. | 2,628 | 94,634 | |||||||||
W.R. Grace & Co. | 1,195 | 85,395 | |||||||||
771,486 | |||||||||||
Coatings/Paint — 0.2% | |||||||||||
Axalta Coating Systems, Ltd.† | 6,079 | 177,264 | |||||||||
RPM International, Inc. | 4,845 | 314,634 | |||||||||
491,898 | |||||||||||
Commercial Services — 2.1% | |||||||||||
Cintas Corp. | 4,112 | 813,395 | |||||||||
CoreLogic, Inc.† | 6,732 | 332,628 | |||||||||
CoStar Group, Inc.† | 8,107 | 3,411,750 | |||||||||
Nielsen Holdings PLC | 7,900 | 218,514 | |||||||||
Quanta Services, Inc.† | 1,048 | 34,982 | |||||||||
ServiceMaster Global Holdings, Inc.† | 3,282 | 203,582 | |||||||||
5,014,851 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 3.5% | |||||||||||
Equifax, Inc. | 4,084 | $ | 533,248 | ||||||||
Euronet Worldwide, Inc.† | 2,199 | 220,384 | |||||||||
FleetCor Technologies, Inc.† | 4,603 | 1,048,747 | |||||||||
Global Payments, Inc. | 8,643 | 1,101,118 | |||||||||
H&R Block, Inc. | 916 | 23,587 | |||||||||
IHS Markit, Ltd.† | 5,491 | 296,294 | |||||||||
MarketAxess Holdings, Inc. | 1,646 | 293,794 | |||||||||
Moody's Corp. | 7,233 | 1,209,358 | |||||||||
Morningstar, Inc. | 439 | 55,270 | |||||||||
Sabre Corp. | 13,057 | 340,527 | |||||||||
Square, Inc., Class A† | 6,921 | 685,248 | |||||||||
Total System Services, Inc. | 4,354 | 429,914 | |||||||||
TransUnion | 9,950 | 732,121 | |||||||||
Western Union Co. | 3,076 | 58,629 | |||||||||
WEX, Inc.† | 2,397 | 481,222 | |||||||||
Worldpay, Inc., Class A† | 7,529 | 762,462 | |||||||||
8,271,923 | |||||||||||
Computer Aided Design — 1.8% | |||||||||||
ANSYS, Inc.† | 2,815 | 525,504 | |||||||||
Aspen Technology, Inc.† | 1,634 | 186,129 | |||||||||
Autodesk, Inc.† | 15,917 | 2,484,803 | |||||||||
Cadence Design Systems, Inc.† | 13,655 | 618,845 | |||||||||
Synopsys, Inc.† | 3,936 | 388,129 | |||||||||
4,203,410 | |||||||||||
Computer Data Security — 0.2% | |||||||||||
Fortinet, Inc.† | 5,764 | 531,844 | |||||||||
Computer Services — 0.4% | |||||||||||
Dell Technologies, Inc., Class V† | 348 | 33,798 | |||||||||
EPAM Systems, Inc.† | 2,127 | 292,888 | |||||||||
Genpact, Ltd. | 5,159 | 157,917 | |||||||||
Leidos Holdings, Inc. | 4,600 | 318,136 | |||||||||
Teradata Corp.† | 2,072 | 78,135 | |||||||||
880,874 | |||||||||||
Computer Software — 1.2% | |||||||||||
Akamai Technologies, Inc.† | 3,760 | 275,044 | |||||||||
Citrix Systems, Inc.† | 3,273 | 363,827 | |||||||||
Dropbox, Inc., Class A† | 7,369 | 197,710 | |||||||||
Pivotal Software, Inc., Class A† | 4,895 | 95,844 | |||||||||
Splunk, Inc.† | 7,504 | 907,309 | |||||||||
SS&C Technologies Holdings, Inc. | 11,843 | 673,038 | |||||||||
Zuora, Inc., Class A†(3) | 13,377 | 309,142 | |||||||||
2,821,914 | |||||||||||
Computers — 0.0% | |||||||||||
Nutanix, Inc., Class A† | 2,574 | 109,961 | |||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NCR Corp.† | 2,345 | 66,621 | |||||||||
Computers-Memory Devices — 0.4% | |||||||||||
NetApp, Inc. | 6,495 | 557,855 | |||||||||
Pure Storage, Inc., Class A† | 11,241 | 291,704 | |||||||||
849,559 | |||||||||||
Computers-Periphery Equipment — 0.3% | |||||||||||
Logitech International SA | 796 | 35,597 |
175
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computers-Periphery Equipment (continued) | |||||||||||
Logitech International SA | 16,509 | $ | 737,808 | ||||||||
773,405 | |||||||||||
Consulting Services — 1.0% | |||||||||||
Booz Allen Hamilton Holding Corp. | 11,552 | 573,326 | |||||||||
Gartner, Inc.† | 5,842 | 925,957 | |||||||||
Verisk Analytics, Inc.† | 7,681 | 925,944 | |||||||||
2,425,227 | |||||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 5,332 | 801,986 | |||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 14,300 | 629,057 | |||||||||
Crown Holdings, Inc.† | 3,126 | 150,048 | |||||||||
Silgan Holdings, Inc. | 630 | 17,514 | |||||||||
796,619 | |||||||||||
Containers-Paper/Plastic — 0.7% | |||||||||||
Berry Global Group, Inc.† | 1,595 | 77,182 | |||||||||
Graphic Packaging Holding Co. | 1,271 | 17,807 | |||||||||
Packaging Corp. of America | 10,772 | 1,181,581 | |||||||||
Sealed Air Corp. | 8,636 | 346,735 | |||||||||
1,623,305 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 18,160 | 1,042,929 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,600 | 207,904 | |||||||||
1,250,833 | |||||||||||
Data Processing/Management — 2.3% | |||||||||||
Broadridge Financial Solutions, Inc. | 2,839 | 374,606 | |||||||||
DocuSign, Inc.† | 1,125 | 59,141 | |||||||||
Dun & Bradstreet Corp. | 392 | 55,864 | |||||||||
Fair Isaac Corp.† | 5,237 | 1,196,916 | |||||||||
Fidelity National Information Services, Inc. | 6,378 | 695,649 | |||||||||
First Data Corp., Class A† | 13,156 | 321,927 | |||||||||
Fiserv, Inc.† | 18,611 | 1,533,174 | |||||||||
Jack Henry & Associates, Inc. | 1,861 | 297,909 | |||||||||
Paychex, Inc. | 10,317 | 759,847 | |||||||||
5,295,033 | |||||||||||
Decision Support Software — 0.3% | |||||||||||
MSCI, Inc. | 3,530 | 626,257 | |||||||||
Dental Supplies & Equipment — 1.5% | |||||||||||
Align Technology, Inc.† | 8,946 | 3,499,854 | |||||||||
Diagnostic Kits — 0.5% | |||||||||||
IDEXX Laboratories, Inc.† | 3,958 | 988,154 | |||||||||
QIAGEN NV† | 2,700 | 102,276 | |||||||||
1,090,430 | |||||||||||
Dialysis Centers — 0.1% | |||||||||||
DaVita, Inc.† | 3,505 | 251,063 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
ICU Medical, Inc.† | 377 | 106,597 | |||||||||
STERIS PLC | 1,100 | 125,840 | |||||||||
232,437 |
Security Description | Shares | Value (Note 2) | |||||||||
Distribution/Wholesale — 1.0% | |||||||||||
Fastenal Co. | 8,152 | $ | 472,979 | ||||||||
HD Supply Holdings, Inc.† | 11,241 | 481,002 | |||||||||
KAR Auction Services, Inc. | 9,046 | 539,956 | |||||||||
LKQ Corp.† | 1,247 | 39,492 | |||||||||
Pool Corp. | 951 | 158,703 | |||||||||
Watsco, Inc. | 1,419 | 252,724 | |||||||||
WW Grainger, Inc. | 1,099 | 392,794 | |||||||||
2,337,650 | |||||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
A.O. Smith Corp. | 7,537 | 402,250 | |||||||||
Ingersoll-Rand PLC | 3,241 | 331,554 | |||||||||
Parker-Hannifin Corp. | 578 | 106,312 | |||||||||
Textron, Inc. | 4,135 | 295,528 | |||||||||
1,135,644 | |||||||||||
Diversified Operations — 0.0% | |||||||||||
Spectrum Brands Holdings, Inc. | 457 | 34,147 | |||||||||
Drug Delivery Systems — 1.2% | |||||||||||
DexCom, Inc.† | 16,810 | 2,404,502 | |||||||||
Nektar Therapeutics† | 5,677 | 346,070 | |||||||||
2,750,572 | |||||||||||
E-Commerce/Products — 1.0% | |||||||||||
Farfetch, Ltd., Class A† | 1,008 | 27,448 | |||||||||
Wayfair, Inc., Class A† | 15,302 | 2,259,646 | |||||||||
2,287,094 | |||||||||||
E-Commerce/Services — 1.6% | |||||||||||
Ctrip.com International, Ltd. ADR† | 3,700 | 137,529 | |||||||||
Expedia Group, Inc. | 2,915 | 380,349 | |||||||||
GrubHub, Inc.† | 2,183 | 302,607 | |||||||||
IAC/InterActiveCorp† | 3,502 | 758,953 | |||||||||
Match Group, Inc.† | 5,749 | 332,925 | |||||||||
MercadoLibre, Inc. | 400 | 136,188 | |||||||||
Shutterfly, Inc.† | 9,847 | 648,819 | |||||||||
TripAdvisor, Inc.† | 17,440 | 890,661 | |||||||||
Zillow Group, Inc., Class A† | 2,974 | 131,451 | |||||||||
Zillow Group, Inc., Class C† | 1,998 | 88,412 | |||||||||
3,807,894 | |||||||||||
E-Services/Consulting — 0.3% | |||||||||||
CDW Corp. | 7,684 | 683,261 | |||||||||
Electric Products-Misc. — 0.2% | |||||||||||
AMETEK, Inc. | 3,161 | 250,098 | |||||||||
Littelfuse, Inc. | 1,154 | 228,365 | |||||||||
478,463 | |||||||||||
Electronic Components-Misc. — 0.3% | |||||||||||
Corning, Inc. | 8,400 | 296,520 | |||||||||
Gentex Corp. | 4,504 | 96,656 | |||||||||
Sensata Technologies Holding PLC† | 7,531 | 373,161 | |||||||||
766,337 | |||||||||||
Electronic Components-Semiconductors — 3.0% | |||||||||||
Advanced Micro Devices, Inc.† | 88,218 | 2,725,054 | |||||||||
IPG Photonics Corp.† | 1,572 | 245,342 | |||||||||
Microchip Technology, Inc. | 22,000 | 1,736,020 | |||||||||
Monolithic Power Systems, Inc. | 2,284 | 286,711 | |||||||||
ON Semiconductor Corp.† | 10,242 | 188,760 |
176
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Skyworks Solutions, Inc. | 9,913 | $ | 899,208 | ||||||||
Xilinx, Inc. | 12,063 | 967,091 | |||||||||
7,048,186 | |||||||||||
Electronic Connectors — 0.5% | |||||||||||
Amphenol Corp., Class A | 13,341 | 1,254,321 | |||||||||
Electronic Forms — 0.0% | |||||||||||
DocuSign, Inc. CVR†(1)(3) | 2,581 | 5,807 | |||||||||
Electronic Measurement Instruments — 0.8% | |||||||||||
Agilent Technologies, Inc. | 4,400 | 310,376 | |||||||||
FLIR Systems, Inc. | 1,493 | 91,775 | |||||||||
Fortive Corp. | 10,722 | 902,792 | |||||||||
Keysight Technologies, Inc.† | 6,300 | 417,564 | |||||||||
National Instruments Corp. | 2,168 | 104,780 | |||||||||
1,827,287 | |||||||||||
Electronic Security Devices — 0.3% | |||||||||||
ADT, Inc. | 10,600 | 99,534 | |||||||||
Allegion PLC | 5,701 | 516,340 | |||||||||
615,874 | |||||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Cummins, Inc. | 1,334 | 194,857 | |||||||||
Enterprise Software/Service — 5.3% | |||||||||||
Atlassian Corp. PLC, Class A† | 8,684 | 834,880 | |||||||||
Black Knight, Inc.† | 10,287 | 534,410 | |||||||||
Ceridian HCM Holding, Inc.† | 571 | 23,999 | |||||||||
Guidewire Software, Inc.† | 31,197 | 3,151,209 | |||||||||
Manhattan Associates, Inc.† | 1,605 | 87,633 | |||||||||
Paycom Software, Inc.† | 1,200 | 186,492 | |||||||||
Pegasystems, Inc. | 910 | 56,966 | |||||||||
Tyler Technologies, Inc.† | 2,210 | 541,582 | |||||||||
Ultimate Software Group, Inc.† | 2,033 | 655,012 | |||||||||
Veeva Systems, Inc., Class A† | 18,652 | 2,030,643 | |||||||||
Workday, Inc., Class A† | 29,211 | 4,264,222 | |||||||||
12,367,048 | |||||||||||
Entertainment Software — 0.4% | |||||||||||
DraftKings, Inc.†(1)(2)(3) | 74,969 | 191,138 | |||||||||
Electronic Arts, Inc.† | 1,300 | 156,637 | |||||||||
Take-Two Interactive Software, Inc.† | 3,120 | 430,529 | |||||||||
Zynga, Inc., Class A† | 36,000 | 144,360 | |||||||||
922,664 | |||||||||||
Filtration/Separation Products — 0.1% | |||||||||||
Donaldson Co., Inc. | 5,031 | 293,106 | |||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Credit Acceptance Corp.† | 250 | 109,518 | |||||||||
Santander Consumer USA Holdings, Inc. | 360 | 7,214 | |||||||||
116,732 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
OneMain Holdings, Inc.† | 131 | 4,403 | |||||||||
Synchrony Financial | 6,366 | 197,855 | |||||||||
202,258 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Credit Card — 0.3% | |||||||||||
Alliance Data Systems Corp. | 1,166 | $ | 275,363 | ||||||||
Discover Financial Services | 6,960 | 532,092 | |||||||||
807,455 | |||||||||||
Finance-Investment Banker/Broker — 1.3% | |||||||||||
E*TRADE Financial Corp.† | 4,869 | 255,087 | |||||||||
Evercore, Inc., Class A | 971 | 97,634 | |||||||||
Interactive Brokers Group, Inc., Class A | 1,547 | 85,564 | |||||||||
Lazard, Ltd., Class A | 7,866 | 378,591 | |||||||||
TD Ameritrade Holding Corp. | 41,938 | 2,215,584 | |||||||||
Virtu Financial, Inc., Class A | 944 | 19,305 | |||||||||
3,051,765 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 176 | 8,075 | |||||||||
Finance-Mortgage Loan/Banker — 0.1% | |||||||||||
Ellie Mae, Inc.† | 1,200 | 113,724 | |||||||||
Finance-Other Services — 0.5% | |||||||||||
Cboe Global Markets, Inc. | 7,107 | 681,988 | |||||||||
Nasdaq, Inc. | 2,000 | 171,600 | |||||||||
SEI Investments Co. | 3,226 | 197,108 | |||||||||
1,050,696 | |||||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 4,700 | 202,194 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 6,390 | 651,780 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
Hormel Foods Corp. | 3,400 | 133,960 | |||||||||
Tyson Foods, Inc., Class A | 3,700 | 220,261 | |||||||||
354,221 | |||||||||||
Food-Misc./Diversified — 0.9% | |||||||||||
Campbell Soup Co. | 2,958 | 108,351 | |||||||||
Conagra Brands, Inc. | 3,900 | 132,483 | |||||||||
Kellogg Co. | 3,004 | 210,340 | |||||||||
Lamb Weston Holdings, Inc. | 18,718 | 1,246,619 | |||||||||
McCormick & Co., Inc. | 3,071 | 404,604 | |||||||||
Post Holdings, Inc.† | 915 | 89,707 | |||||||||
2,192,104 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Sprouts Farmers Market, Inc.† | 6,740 | 184,743 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
US Foods Holding Corp.† | 307 | 9,462 | |||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 1,516 | 42,342 | |||||||||
Funeral Services & Related Items — 0.2% | |||||||||||
Service Corp. International | 10,809 | 477,758 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
International Game Technology PLC | 133 | 2,627 | |||||||||
Garden Products — 0.1% | |||||||||||
Scotts Miracle-Gro Co. | 478 | 37,633 | |||||||||
Toro Co. | 5,140 | 308,246 | |||||||||
345,879 |
177
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Gas-Distribution — 0.2% | |||||||||||
Atmos Energy Corp. | 3,000 | $ | 281,730 | ||||||||
NiSource, Inc. | 5,100 | 127,092 | |||||||||
408,822 | |||||||||||
Gold Mining — 0.0% | |||||||||||
Royal Gold, Inc. | 649 | 50,012 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Stericycle, Inc.† | 1,200 | 70,416 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 4,000 | 81,200 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Tempur Sealy International, Inc.† | 1,120 | 59,248 | |||||||||
Hotels/Motels — 1.9% | |||||||||||
Choice Hotels International, Inc. | 2,638 | 219,746 | |||||||||
Extended Stay America, Inc. | 8,145 | 164,773 | |||||||||
Hilton Grand Vacations, Inc.† | 19,650 | 650,415 | |||||||||
Hilton Worldwide Holdings, Inc. | 38,314 | 3,095,005 | |||||||||
Wyndham Hotels & Resorts, Inc. | 2,367 | 131,534 | |||||||||
Wyndham Worldwide Corp.† | 2,367 | 102,633 | |||||||||
4,364,106 | |||||||||||
Human Resources — 0.2% | |||||||||||
ManpowerGroup, Inc. | 700 | 60,172 | |||||||||
Robert Half International, Inc. | 5,208 | 366,539 | |||||||||
426,711 | |||||||||||
Industrial Automated/Robotic — 1.4% | |||||||||||
Cognex Corp. | 6,999 | 390,684 | |||||||||
Nordson Corp. | 2,508 | 348,361 | |||||||||
Rockwell Automation, Inc. | 13,666 | 2,562,649 | |||||||||
3,301,694 | |||||||||||
Industrial Gases — 0.1% | |||||||||||
Air Products & Chemicals, Inc. | 1,100 | 183,755 | |||||||||
Instruments-Controls — 0.3% | |||||||||||
Mettler-Toledo International, Inc.† | 1,193 | 726,513 | |||||||||
Instruments-Scientific — 0.1% | |||||||||||
Waters Corp.† | 1,746 | 339,911 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Brown & Brown, Inc. | 317 | 9,374 | |||||||||
Willis Towers Watson PLC | 3,400 | 479,196 | |||||||||
488,570 | |||||||||||
Insurance-Multi-line — 0.1% | |||||||||||
Assurant, Inc. | 1,700 | 183,515 | |||||||||
Voya Financial, Inc. | 290 | 14,404 | |||||||||
197,919 | |||||||||||
Insurance-Property/Casualty — 0.4% | |||||||||||
Alleghany Corp. | 41 | 26,754 | |||||||||
Arch Capital Group, Ltd.† | 1,489 | 44,387 | |||||||||
Erie Indemnity Co., Class A | 454 | 57,899 | |||||||||
Fidelity National Financial, Inc. | 7,900 | 310,865 | |||||||||
Markel Corp.† | 29 | 34,466 | |||||||||
Progressive Corp. | 5,400 | 383,616 | |||||||||
857,987 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Axis Capital Holdings, Ltd. | 2,214 | $ | 127,770 | ||||||||
Everest Re Group, Ltd. | 387 | 88,418 | |||||||||
RenaissanceRe Holdings, Ltd. | 84 | 11,221 | |||||||||
227,409 | |||||||||||
Internet Application Software — 0.2% | |||||||||||
Okta, Inc.† | 2,072 | 145,786 | |||||||||
Zendesk, Inc.† | 4,784 | 339,664 | |||||||||
485,450 | |||||||||||
Internet Content-Entertainment — 0.2% | |||||||||||
Twitter, Inc.† | 17,123 | 487,321 | |||||||||
Internet Content-Information/News — 0.6% | |||||||||||
Spotify Technology SA† | 8,314 | 1,503,421 | |||||||||
Internet Infrastructure Software — 0.1% | |||||||||||
F5 Networks, Inc.† | 1,478 | 294,743 | |||||||||
Internet Security — 0.7% | |||||||||||
FireEye, Inc.† | 3,024 | 51,408 | |||||||||
Palo Alto Networks, Inc.† | 3,944 | 888,426 | |||||||||
Proofpoint, Inc.† | 2,916 | 310,058 | |||||||||
Symantec Corp. | 15,400 | 327,712 | |||||||||
1,577,604 | |||||||||||
Internet Telephone — 0.2% | |||||||||||
RingCentral, Inc., Class A† | 1,607 | 149,531 | |||||||||
Twilio, Inc., Class A† | 3,031 | 261,515 | |||||||||
411,046 | |||||||||||
Investment Management/Advisor Services — 0.5% | |||||||||||
Ameriprise Financial, Inc. | 566 | 83,576 | |||||||||
Eaton Vance Corp. | 2,797 | 147,010 | |||||||||
Invesco, Ltd. | 2,767 | 63,309 | |||||||||
LPL Financial Holdings, Inc. | 2,136 | 137,793 | |||||||||
Raymond James Financial, Inc. | 937 | 86,251 | |||||||||
T. Rowe Price Group, Inc. | 5,313 | 580,073 | |||||||||
1,098,012 | |||||||||||
Lasers-System/Components — 0.5% | |||||||||||
Coherent, Inc.† | 1,909 | 328,711 | |||||||||
II-VI, Inc.† | 19,190 | 907,687 | |||||||||
1,236,398 | |||||||||||
Lighting Products & Systems — 0.3% | |||||||||||
Acuity Brands, Inc. | 560 | 88,032 | |||||||||
Universal Display Corp. | 4,443 | 523,830 | |||||||||
611,862 | |||||||||||
Machine Tools & Related Products — 0.1% | |||||||||||
Lincoln Electric Holdings, Inc. | 1,522 | 142,216 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
BWX Technologies, Inc. | 4,906 | 306,821 | |||||||||
Machinery-General Industrial — 1.2% | |||||||||||
IDEX Corp. | 10,310 | 1,553,304 | |||||||||
Middleby Corp.† | 1,877 | 242,790 | |||||||||
Roper Technologies, Inc. | 2,014 | 596,567 | |||||||||
Wabtec Corp. | 2,948 | 309,186 | |||||||||
Welbilt, Inc.† | 3,145 | 65,668 | |||||||||
2,767,515 |
178
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Pumps — 0.4% | |||||||||||
Flowserve Corp. | 2,300 | $ | 125,787 | ||||||||
Gardner Denver Holdings, Inc.† | 846 | 23,976 | |||||||||
Graco, Inc. | 8,400 | 389,256 | |||||||||
Xylem, Inc. | 4,423 | 353,265 | |||||||||
892,284 | |||||||||||
Medical Information Systems — 0.3% | |||||||||||
athenahealth, Inc.† | 1,467 | 195,991 | |||||||||
Cerner Corp.† | 6,028 | 388,264 | |||||||||
Medidata Solutions, Inc.† | 2,100 | 153,951 | |||||||||
738,206 | |||||||||||
Medical Instruments — 1.6% | |||||||||||
Bio-Techne Corp. | 899 | 183,495 | |||||||||
Bruker Corp. | 4,581 | 153,234 | |||||||||
Cantel Medical Corp. | 890 | 81,933 | |||||||||
Edwards Lifesciences Corp.† | 16,691 | 2,905,903 | |||||||||
Integra LifeSciences Holdings Corp.† | 1,356 | 89,320 | |||||||||
Teleflex, Inc. | 1,510 | 401,796 | |||||||||
3,815,681 | |||||||||||
Medical Labs & Testing Services — 0.3% | |||||||||||
Catalent, Inc.† | 4,605 | 209,758 | |||||||||
Charles River Laboratories International, Inc.† | 820 | 110,323 | |||||||||
IQVIA Holdings, Inc.† | 1,900 | 246,506 | |||||||||
Laboratory Corp. of America Holdings† | 146 | 25,357 | |||||||||
591,944 | |||||||||||
Medical Products — 2.5% | |||||||||||
ABIOMED, Inc.† | 1,021 | 459,195 | |||||||||
Baxter International, Inc. | 16,772 | 1,292,953 | |||||||||
Cooper Cos., Inc. | 2,486 | 688,995 | |||||||||
Haemonetics Corp.† | 13,226 | 1,515,435 | |||||||||
Henry Schein, Inc.† | 3,345 | 284,425 | |||||||||
Hill-Rom Holdings, Inc. | 1,038 | 97,987 | |||||||||
Hologic, Inc.† | 10,600 | 434,388 | |||||||||
Novocure, Ltd.† | 1,500 | 78,600 | |||||||||
Penumbra, Inc.† | 3,661 | 548,052 | |||||||||
Varian Medical Systems, Inc.† | 2,212 | 247,589 | |||||||||
West Pharmaceutical Services, Inc. | 1,808 | 223,234 | |||||||||
5,870,853 | |||||||||||
Medical-Biomedical/Gene — 4.1% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 1,200 | 166,812 | |||||||||
Alnylam Pharmaceuticals, Inc.† | 4,511 | 394,803 | |||||||||
BioMarin Pharmaceutical, Inc.† | 8,870 | 860,124 | |||||||||
Bluebird Bio, Inc.† | 3,159 | 461,214 | |||||||||
Blueprint Medicines Corp.† | 600 | 46,836 | |||||||||
Exact Sciences Corp.† | 47,981 | 3,786,660 | |||||||||
Exelixis, Inc.† | 16,092 | 285,150 | |||||||||
FibroGen, Inc.† | 1,100 | 66,825 | |||||||||
Illumina, Inc.† | 233 | 85,525 | |||||||||
Incyte Corp.† | 8,144 | 562,588 | |||||||||
Ionis Pharmaceuticals, Inc.† | 19,059 | 983,063 | |||||||||
Sage Therapeutics, Inc.† | 6,723 | 949,624 | |||||||||
Seattle Genetics, Inc.† | 12,693 | 978,884 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Ultragenyx Pharmaceutical, Inc.† | 1,000 | $ | 76,340 | ||||||||
9,704,448 | |||||||||||
Medical-Drugs — 0.7% | |||||||||||
Alkermes PLC† | 8,120 | 344,613 | |||||||||
Jazz Pharmaceuticals PLC† | 2,406 | 404,521 | |||||||||
Madrigal Pharmaceuticals, Inc.† | 236 | 50,534 | |||||||||
Ono Pharmaceutical Co., Ltd. | 12,900 | 365,019 | |||||||||
PRA Health Sciences, Inc.† | 1,379 | 151,952 | |||||||||
TESARO, Inc.† | 2,080 | 81,141 | |||||||||
Zoetis, Inc. | 1,800 | 164,808 | |||||||||
1,562,588 | |||||||||||
Medical-HMO — 1.0% | |||||||||||
Centene Corp.† | 8,425 | 1,219,772 | |||||||||
Molina Healthcare, Inc.† | 3,256 | 484,167 | |||||||||
WellCare Health Plans, Inc.† | 2,174 | 696,745 | |||||||||
2,400,684 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
Acadia Healthcare Co., Inc.† | 3,846 | 135,379 | |||||||||
Envision Healthcare Corp.† | 568 | 25,975 | |||||||||
Universal Health Services, Inc., Class B | 1,300 | 166,192 | |||||||||
327,546 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Chemed Corp. | 375 | 119,842 | |||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
AmerisourceBergen Corp. | 5,072 | 467,740 | |||||||||
Premier, Inc., Class A† | 412 | 18,861 | |||||||||
486,601 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Entertainment Corp., Class A | 87 | 2,122 | |||||||||
Lions Gate Entertainment Corp., Class B | 170 | 3,961 | |||||||||
6,083 | |||||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 409 | 33,710 | |||||||||
Multimedia — 0.2% | |||||||||||
FactSet Research Systems, Inc. | 1,566 | 350,330 | |||||||||
Networking Products — 0.2% | |||||||||||
Arista Networks, Inc.† | 1,376 | 365,824 | |||||||||
LogMeIn, Inc. | 822 | 73,240 | |||||||||
439,064 | |||||||||||
Non-Hazardous Waste Disposal — 0.2% | |||||||||||
Republic Services, Inc. | 346 | 25,140 | |||||||||
Waste Connections, Inc. | 4,523 | 360,800 | |||||||||
385,940 | |||||||||||
Office Automation & Equipment — 0.7% | |||||||||||
Zebra Technologies Corp., Class A† | 9,619 | 1,700,928 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
Avery Dennison Corp. | 2,121 | 229,810 | |||||||||
Oil Companies-Exploration & Production — 1.5% | |||||||||||
Antero Resources Corp.† | 3,111 | 55,096 | |||||||||
Apache Corp. | 582 | 27,744 |
179
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Cabot Oil & Gas Corp. | 19,236 | $ | 433,194 | ||||||||
Centennial Resource Development, Inc., Class A† | 8,374 | 182,972 | |||||||||
Cimarex Energy Co. | 884 | 82,159 | |||||||||
Concho Resources, Inc.† | 2,031 | 310,235 | |||||||||
Continental Resources, Inc.† | 1,019 | 69,577 | |||||||||
Diamondback Energy, Inc. | 4,936 | 667,298 | |||||||||
Jagged Peak Energy, Inc.† | 12,000 | 165,960 | |||||||||
Kosmos Energy, Ltd.† | 1,108 | 10,360 | |||||||||
Newfield Exploration Co.† | 1,753 | 50,539 | |||||||||
Parsley Energy, Inc., Class A† | 4,339 | 126,916 | |||||||||
Venture Global LNG, Inc., Series B†(1)(2)(3) | 3 | 15,600 | |||||||||
Venture Global LNG, Inc., Series C†(1)(2)(3) | 42 | 218,400 | |||||||||
WPX Energy, Inc.† | 48,748 | 980,810 | |||||||||
3,396,860 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
HollyFrontier Corp. | 1,600 | 111,840 | |||||||||
Oil-Field Services — 0.0% | |||||||||||
Oceaneering International, Inc.† | 3,300 | 91,080 | |||||||||
RPC, Inc. | 506 | 7,833 | |||||||||
98,913 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
International Paper Co. | 4,332 | 212,918 | |||||||||
Patient Monitoring Equipment — 0.8% | |||||||||||
Insulet Corp.† | 17,130 | 1,814,923 | |||||||||
Masimo Corp.† | 1,090 | 135,749 | |||||||||
1,950,672 | |||||||||||
Physical Therapy/Rehabilitation Centers — 0.1% | |||||||||||
Encompass Health Corp. | 2,368 | 184,586 | |||||||||
Pipelines — 0.2% | |||||||||||
Cheniere Energy, Inc.† | 3,515 | 244,257 | |||||||||
ONEOK, Inc. | 4,106 | 278,346 | |||||||||
522,603 | |||||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 2,200 | 124,102 | |||||||||
Hubbell, Inc. | 3,094 | 413,266 | |||||||||
537,368 | |||||||||||
Precious Metals — 0.0% | |||||||||||
Wheaton Precious Metals Corp. | 6,100 | 106,750 | |||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 45 | 14,189 | |||||||||
Radio — 0.1% | |||||||||||
Sirius XM Holdings, Inc. | 31,114 | 196,640 | |||||||||
Real Estate Investment Trusts — 1.2% | |||||||||||
Alexandria Real Estate Equities, Inc. | 195 | 24,529 | |||||||||
American Campus Communities, Inc. | 3,073 | 126,485 | |||||||||
Colony Capital, Inc. | 636 | 3,873 | |||||||||
CoreSite Realty Corp. | 880 | 97,803 | |||||||||
CubeSmart | 4,000 | 114,120 | |||||||||
Equinix, Inc. | 306 | 132,464 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Equity LifeStyle Properties, Inc. | 2,047 | $ | 197,433 | ||||||||
Extra Space Storage, Inc. | 2,558 | 221,625 | |||||||||
Federal Realty Investment Trust | 800 | 101,176 | |||||||||
Gaming and Leisure Properties, Inc. | 1,755 | 61,864 | |||||||||
Hudson Pacific Properties, Inc. | 458 | 14,986 | |||||||||
Iron Mountain, Inc. | 3,500 | 120,820 | |||||||||
Lamar Advertising Co., Class A | 1,827 | 142,141 | |||||||||
Life Storage, Inc. | 62 | 5,900 | |||||||||
MGM Growth Properties LLC, Class A | 5,200 | 153,348 | |||||||||
Omega Healthcare Investors, Inc. | 393 | 12,879 | |||||||||
SBA Communications Corp.† | 6,356 | 1,020,964 | |||||||||
SL Green Realty Corp. | 1,000 | 97,530 | |||||||||
Taubman Centers, Inc. | 1,432 | 85,676 | |||||||||
VEREIT, Inc. | 8,901 | 64,621 | |||||||||
2,800,237 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 3,697 | 163,038 | |||||||||
Jones Lang LaSalle, Inc. | 1,100 | 158,752 | |||||||||
WeWork Cos., Inc., Class A†(1)(2)(3) | 1,550 | 101,897 | |||||||||
423,687 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp.† | 380 | 47,204 | |||||||||
Recreational Centers — 0.4% | |||||||||||
Planet Fitness, Inc., Class A† | 17,564 | 948,983 | |||||||||
Recreational Vehicles — 0.5% | |||||||||||
Brunswick Corp. | 203 | 13,605 | |||||||||
Polaris Industries, Inc. | 10,273 | 1,037,059 | |||||||||
1,050,664 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals, Inc.† | 2,019 | 330,308 | |||||||||
Resorts/Theme Parks — 1.0% | |||||||||||
Marriott Vacations Worldwide Corp. | 6,774 | 756,995 | |||||||||
Six Flags Entertainment Corp. | 1,726 | 120,509 | |||||||||
Vail Resorts, Inc. | 5,607 | 1,538,673 | |||||||||
2,416,177 | |||||||||||
Respiratory Products — 0.2% | |||||||||||
ResMed, Inc. | 3,401 | 392,271 | |||||||||
Retail-Apparel/Shoe — 1.6% | |||||||||||
Burlington Stores, Inc.† | 5,313 | 865,594 | |||||||||
Gap, Inc. | 328 | 9,463 | |||||||||
L Brands, Inc. | 1,055 | 31,967 | |||||||||
Lululemon Athletica, Inc.† | 3,973 | 645,573 | |||||||||
Ross Stores, Inc. | 16,465 | 1,631,681 | |||||||||
Tapestry, Inc. | 9,173 | 461,127 | |||||||||
Urban Outfitters, Inc.† | 1,785 | 73,006 | |||||||||
3,718,411 | |||||||||||
Retail-Arts & Crafts — 0.0% | |||||||||||
Michaels Cos., Inc.† | 4,713 | 76,492 | |||||||||
Retail-Auto Parts — 0.8% | |||||||||||
Advance Auto Parts, Inc. | 522 | 87,868 | |||||||||
AutoZone, Inc.† | 770 | 597,289 |
180
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Auto Parts (continued) | |||||||||||
O'Reilly Automotive, Inc.† | 3,320 | $ | 1,153,103 | ||||||||
1,838,260 | |||||||||||
Retail-Automobile — 0.4% | |||||||||||
CarMax, Inc.† | 6,699 | 500,214 | |||||||||
Copart, Inc.† | 10,102 | 520,556 | |||||||||
1,020,770 | |||||||||||
Retail-Catalog Shopping — 0.0% | |||||||||||
MSC Industrial Direct Co., Inc., Class A | 488 | 42,998 | |||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 1,492 | 118,405 | |||||||||
Retail-Convenience Store — 0.1% | |||||||||||
Casey's General Stores, Inc. | 1,500 | 193,665 | |||||||||
Retail-Discount — 0.8% | |||||||||||
Dollar General Corp. | 12,908 | 1,410,844 | |||||||||
Dollar Tree, Inc.† | 5,765 | 470,136 | |||||||||
1,880,980 | |||||||||||
Retail-Floor Coverings — 0.5% | |||||||||||
Floor & Decor Holdings, Inc., Class A† | 34,909 | 1,053,205 | |||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 5,051 | 459,035 | |||||||||
Retail-Jewelry — 0.1% | |||||||||||
Tiffany & Co. | 2,524 | 325,520 | |||||||||
Retail-Mail Order — 0.1% | |||||||||||
Williams-Sonoma, Inc. | 1,956 | 128,548 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
Nordstrom, Inc. | 2,846 | 170,219 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Five Below, Inc.† | 1,200 | 156,072 | |||||||||
PriceSmart, Inc. | 800 | 64,760 | |||||||||
220,832 | |||||||||||
Retail-Perfume & Cosmetics — 0.4% | |||||||||||
Ulta Beauty, Inc.† | 3,092 | 872,315 | |||||||||
Retail-Restaurants — 1.1% | |||||||||||
Chipotle Mexican Grill, Inc.† | 589 | 267,712 | |||||||||
Darden Restaurants, Inc. | 1,511 | 168,008 | |||||||||
Domino's Pizza, Inc. | 2,116 | 623,797 | |||||||||
Dunkin' Brands Group, Inc. | 7,402 | 545,675 | |||||||||
Papa John's International, Inc. | 2,100 | 107,688 | |||||||||
Restaurant Brands International LP | 20 | 1,144 | |||||||||
Restaurant Brands International, Inc. | 3,400 | 201,552 | |||||||||
Wendy's Co. | 4,548 | 77,953 | |||||||||
Yum China Holdings, Inc. | 6,452 | 226,530 | |||||||||
Yum! Brands, Inc. | 3,200 | 290,912 | |||||||||
2,510,971 | |||||||||||
Schools — 0.8% | |||||||||||
2U, Inc.† | 16,946 | 1,274,170 | |||||||||
Bright Horizons Family Solutions, Inc.† | 2,768 | 326,181 | |||||||||
Grand Canyon Education, Inc.† | 2,441 | 275,345 | |||||||||
1,875,696 | |||||||||||
Security Services — 0.3% | |||||||||||
Brink's Co. | 11,189 | 780,433 |
Security Description | Shares | Value (Note 2) | |||||||||
Semiconductor Components-Integrated Circuits — 0.7% | |||||||||||
Analog Devices, Inc. | 1,412 | $ | 130,554 | ||||||||
Cypress Semiconductor Corp. | 5,978 | 86,621 | |||||||||
Marvell Technology Group, Ltd. | 23,540 | 454,322 | |||||||||
Maxim Integrated Products, Inc. | 16,833 | 949,213 | |||||||||
1,620,710 | |||||||||||
Semiconductor Equipment — 1.5% | |||||||||||
Entegris, Inc. | 7,200 | 208,440 | |||||||||
KLA-Tencor Corp. | 7,774 | 790,694 | |||||||||
Lam Research Corp. | 5,918 | 897,761 | |||||||||
MKS Instruments, Inc. | 1,308 | 104,836 | |||||||||
Teradyne, Inc. | 41,176 | 1,522,688 | |||||||||
3,524,419 | |||||||||||
Shipbuilding — 0.2% | |||||||||||
Huntington Ingalls Industries, Inc. | 2,204 | 564,400 | |||||||||
Soap & Cleaning Preparation — 0.3% | |||||||||||
Church & Dwight Co., Inc. | 11,914 | 707,334 | |||||||||
Steel Pipe & Tube — 0.1% | |||||||||||
Valmont Industries, Inc. | 1,100 | 152,350 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. | 837 | 37,824 | |||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 864 | 9,331 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Zayo Group Holdings, Inc.† | 8,908 | 309,286 | |||||||||
Television — 0.2% | |||||||||||
AMC Networks, Inc., Class A† | 1,071 | 71,050 | |||||||||
CBS Corp., Class B | 7,973 | 458,049 | |||||||||
529,099 | |||||||||||
Textile-Home Furnishings — 0.4% | |||||||||||
Mohawk Industries, Inc.† | 5,113 | 896,565 | |||||||||
Theaters — 0.1% | |||||||||||
Live Nation Entertainment, Inc.† | 5,536 | 301,546 | |||||||||
Therapeutics — 0.6% | |||||||||||
Agios Pharmaceuticals, Inc.† | 1,943 | 149,844 | |||||||||
GW Pharmaceuticals PLC ADR† | 500 | 86,370 | |||||||||
Neurocrine Biosciences, Inc.† | 4,737 | 582,414 | |||||||||
Sarepta Therapeutics, Inc.† | 2,896 | 467,733 | |||||||||
1,286,361 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,500 | 275,400 | |||||||||
Toys — 0.1% | |||||||||||
Hasbro, Inc. | 2,167 | 227,795 | |||||||||
Mattel, Inc.† | 1,839 | 28,872 | |||||||||
256,667 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp.† | 900 | 74,025 | |||||||||
Transport-Rail — 0.2% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 1,804 | 164,146 | |||||||||
Kansas City Southern | 2,400 | 271,872 | |||||||||
436,018 |
181
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transport-Services — 0.4% | |||||||||||
C.H. Robinson Worldwide, Inc. | 5,144 | $ | 503,701 | ||||||||
Expeditors International of Washington, Inc. | 5,812 | 427,356 | |||||||||
931,057 | |||||||||||
Transport-Truck — 0.7% | |||||||||||
JB Hunt Transport Services, Inc. | 3,507 | 417,123 | |||||||||
Landstar System, Inc. | 1,812 | 221,064 | |||||||||
Old Dominion Freight Line, Inc. | 2,693 | 434,273 | |||||||||
Schneider National, Inc., Class B | 4,724 | 118,006 | |||||||||
XPO Logistics, Inc.† | 2,878 | 328,581 | |||||||||
1,519,047 | |||||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 3,246 | 113,253 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife, Ltd.† | 500 | 27,275 | |||||||||
Water — 0.1% | |||||||||||
American Water Works Co., Inc. | 2,436 | 214,295 | |||||||||
Web Hosting/Design — 1.6% | |||||||||||
GoDaddy, Inc., Class A† | 22,590 | 1,883,780 | |||||||||
Shopify, Inc., Class A† | 6,425 | 1,056,655 | |||||||||
VeriSign, Inc.† | 4,847 | 776,102 | |||||||||
3,716,537 | |||||||||||
Wireless Equipment — 0.2% | |||||||||||
Motorola Solutions, Inc. | 3,143 | 409,030 | |||||||||
Ubiquiti Networks, Inc. | 465 | 45,970 | |||||||||
455,000 | |||||||||||
Total Common Stocks (cost $163,234,121) | 226,336,559 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.2% | |||||||||||
Advertising Services — 0.0% | |||||||||||
Nanigans, Inc., Series B†(1)(2)(3) | 6,300 | 37,737 | |||||||||
Applications Software — 0.2% | |||||||||||
Magic Leap, Inc., Series C†(1)(2)(3) | 4,974 | 134,298 | |||||||||
Slack Technologies, Inc. Series H†(1)(2)(3) | 4,189 | 49,871 | |||||||||
Tanium, Inc. Series G†(1)(2)(3) | 32,619 | 283,577 | |||||||||
467,746 | |||||||||||
E-Commerce/Products — 0.1% | |||||||||||
One Kings Lane Inc., Series E†(1)(3) | 11,800 | 2,124 | |||||||||
The Honest Co., Inc., Series C†(1)(2)(3) | 4,317 | 136,158 | |||||||||
138,282 | |||||||||||
E-Commerce/Services — 0.7% | |||||||||||
Airbnb, Inc., Series D†(1)(2)(3) | 2,091 | 239,503 | |||||||||
Airbnb, Inc., Series E†(1)(2)(3) | 2,711 | 310,518 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
E-Commerce/Services (continued) | |||||||||||
Uber Technologies, Inc., Series D†(1)(2)(3) | 22,395 | $ | 1,032,659 | ||||||||
1,582,680 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
WeWork Cos., Inc., Series D-1†(1)(2)(3) | 3,588 | 235,875 | |||||||||
WeWork Cos., Inc., Series D-2†(1)(2)(3) | 2,819 | 185,321 | |||||||||
WeWork Cos., Inc., Series E†(1)(2)(3) | 2,120 | 139,369 | |||||||||
560,565 | |||||||||||
Web Portals/ISP — 0.0% | |||||||||||
Pinterest, Inc., Series G†(1)(2)(3) | 19,490 | 108,754 | |||||||||
Total Convertible Preferred Securities (cost $1,516,165) | 2,895,764 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.7% | |||||||||||
iShares Russell Midcap Growth Index Fund (cost $4,854,226) | 12,354 | 1,674,955 | |||||||||
Total Long-Term Investment Securities (cost $169,604,512) | 230,907,278 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.1% | |||||||||||
Registered Investment Companies — 0.0% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(5) | 51,050 | 51,050 | |||||||||
T. Rowe Price Government Reserve Fund 2.09%(5) | 1,018 | 1,018 | |||||||||
52,068 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 2.11% due 01/03/2019(6) | $ | 100,000 | 99,426 | ||||||||
Total Short-Term Investment Securities (cost $151,521) | 151,494 | ||||||||||
REPURCHASE AGREEMENTS — 1.8% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $249,009 collateralized by $260,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $258,230. | 249,000 | 249,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(4) | 790,000 | 790,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(4) | 260,000 | 260,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(4) | 1,510,000 | 1,510,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(4) | 275,000 | 275,000 |
182
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
RBS Securities, Inc. Joint Repurchase Agreement(4) | $ | 1,230,000 | $ | 1,230,000 | |||||||
Total Repurchase Agreements (cost $4,314,000) | 4,314,000 | ||||||||||
TOTAL INVESTMENTS (cost $174,070,033)(7) | 100.5 | % | $ | 235,372,772 | |||||||
Liabilities in excess of other assets | (0.5 | ) | (1,227,291 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 234,145,481 |
† 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 September 30, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
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 | $ | 191,138 | $ | 2.55 | 0.08 | % | ||||||||||||||||||||
Venture Global LNG, Inc. Series B | 03/08/2018 | 3 | 9,060 | 15,600 | 5,200.00 | 0.01 | |||||||||||||||||||||
Venture Global LNG, Inc. Series C | 10/16/2017 | 39 | 147,069 | ||||||||||||||||||||||||
03/08/2018 | 3 | 9,060 | |||||||||||||||||||||||||
42 | 156,129 | 218,400 | 5,200.00 | 0.09 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks (continued) | |||||||||||||||||||||||||||
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 | $ | 101,897 | $ | 65.74 | 0.04 | % | ||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 2,091 | 85,131 | 239,503 | 114.54 | 0.10 | |||||||||||||||||||||
Airbnb, Inc., Series E | 06/24/2015 | 2,392 | 222,682 | ||||||||||||||||||||||||
07/14/2015 | 319 | 29,697 | |||||||||||||||||||||||||
2,711 | 252,379 | 310,518 | 114.54 | 0.13 | |||||||||||||||||||||||
The Honest Co., Inc., Series C | 08/20/2014 | 4,317 | 116,806 | 136,158 | 31.54 | 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 | 37,737 | 5.99 | 0.02 | |||||||||||||||||||||
Pinterest, Inc., Series G | 03/19/2015 | 19,490 | 139,921 | 108,754 | 5.58 | 0.05 | |||||||||||||||||||||
Slack Technologies, Inc. Series H | 08/17/2018 | 4,189 | 49,871 | 49,871 | 11.91 | 0.02 | |||||||||||||||||||||
Tanium, Inc., Series G | 08/26/2015 | 32,619 | 161,930 | 283,577 | 8.69 | 0.12 | |||||||||||||||||||||
Uber Technologies, Inc., Series D | 06/05/2014 | 22,395 | 347,415 | 1,032,659 | 46.11 | 0.44 | |||||||||||||||||||||
WeWork Cos., Inc., Series D-1 | 12/09/2014 | 3,588 | 59,744 | 235,875 | 65.74 | 0.10 | |||||||||||||||||||||
WeWork Cos., Inc., Series D-2 | 12/09/2014 | 2,819 | 46,940 | 185,321 | 65.74 | 0.08 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 2,120 | 69,726 | 139,369 | 65.74 | 0.06 | |||||||||||||||||||||
$ | 3,420,675 | 1.46 | % |
(3) Illiquid security. At September 30, 2018, the aggregate value of these securities was $3,737,748 representing 1.6% of net assets.
(4) See Note 2 for details of Joint Repurchase Agreements.
(5) The rate shown is the 7-day yield as of September 30, 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.
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 | December 2018 | $ | 408,694 | $ | 405,040 | $ | (3,654 | ) |
* 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.
183
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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: | |||||||||||||||||||
Electronic Forms | $ | — | $ | — | $ | 5,807 | $ | 5,807 | |||||||||||
Entertainment Software | 731,526 | — | 191,138 | 922,664 | |||||||||||||||
Oil Companies-Exploration & Production | 3,162,860 | — | 234,000 | 3,396,860 | |||||||||||||||
Real Estate Management/Services | 321,790 | — | 101,897 | 423,687 | |||||||||||||||
Other Industries | 221,587,541 | — | — | 221,587,541 | |||||||||||||||
Convertible Preferred Securities | — | — | 2,895,764 | 2,895,764 | |||||||||||||||
Exchange-Traded Funds | 1,674,955 | — | — | 1,674,955 | |||||||||||||||
Short-Term Investment Securities | |||||||||||||||||||
Registered Investment Companies | 52,068 | — | — | 52,068 | |||||||||||||||
U.S. Government Treasuries | — | 99,426 | — | 99,426 | |||||||||||||||
Repurchase Agreements | — | 4,314,000 | — | 4,314,000 | |||||||||||||||
Total Investments at Value | $ | 227,530,740 | $ | 4,413,426 | $ | 3,428,606 | $ | 235,372,772 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 3,654 | $ | — | $ | — | $ | 3,654 |
* 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.
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, 2018 | $ | 339,384 | $ | 2,592,716 | |||||||
Accrued Discounts | — | — | |||||||||
Accrued Premiums | — | — | |||||||||
Realized Gain | — | 35,425 | |||||||||
Realized Loss | (29,494 | ) | — | ||||||||
Change in unrealized appreciation(1) | 243,514 | 570,785 | |||||||||
Change in unrealized depreciation(1) | — | (109,748 | ) | ||||||||
Net purchases | — | 49,871 | |||||||||
Net sales | (20,562 | ) | (243,285 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of September 30, 2018 | $ | 532,842 | $ | 2,895,764 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2018 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | 226,166 | $ | 554,745 |
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 September 30, 2018.
184
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is quantitative information about Level 3 fair value measurements:
Description | Value at | Valuation | Unobservable | Range | |||||||||||||||
Common Stocks | $ | 425,138 | Market Approach | Market Transaction Price* | $2.54956 - $5,200.00 ($3,467.517) | ||||||||||||||
| $ | 101,897 | Market Approach | Secondary Market Transactions* | $26.0000 | ||||||||||||||
|
|
| Tender Price* | $51.8100 | |||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 13.8x | |||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 11.6x | |||||||||||||||
|
|
| 2020 Estimated EBTIDA Multiple* | 31.1x | |||||||||||||||
|
|
| 2021 Estimated EBITDA Multiple* | 24.2x | |||||||||||||||
|
|
| Discount for Lack of Marketability | 10.00% | |||||||||||||||
| $ | 5,807 | Income Approach | Potential Future Cash Flows* | $2.25 | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.0% | |||||||||||||||
Convertible Preferred Securities | $ | 467,746 | Market Approach | Market Transaction Price* | $8.6936 - $27.00 ($15.86630) | ||||||||||||||
| $ | 1,032,659 | Market Approach | Market Transaction Price* | $48.772228 | ||||||||||||||
|
|
| Average of Market Bids* | $43.45 | |||||||||||||||
| $ | 560,565 | Market Approach | Secondary Market Transactions* | $26.0000 | ||||||||||||||
|
|
| Tender Price* | $51.8100 | |||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 13.8x | |||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 11.6x | |||||||||||||||
|
|
| 2020 Estimated EBTIDA Multiple* | 31.1x | |||||||||||||||
|
|
| 2021 Estimated EBITDA Multiple* | 24.2x | |||||||||||||||
|
|
| Discount for Lack of Marketability | 10.00% | |||||||||||||||
| $ | 550,021 | Market Approach | 2018 Estimated Revenue Multiple* | 11.10x | ||||||||||||||
|
|
| 2020 Estimated Revenue Multiple* | 5.5x | |||||||||||||||
|
|
| 2020 Estimated Gross Profit Multiple* | 7.9x | |||||||||||||||
|
|
| 2021 Estimated Revenue Multiple* | 4.6x -7.0x (5.8x) | |||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 6.2x | |||||||||||||||
|
|
| Discount for Lack of Marketability | 10% -15% (11.7%) | |||||||||||||||
| $ | 136,158 | Market Approach with | Estimated Revenue Multiple* | 2.38x | ||||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00% | |||||||||||||||
|
|
| OPM assumptions: | ||||||||||||||||
|
|
| Volatility* | 13.0% | |||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 2.89% | |||||||||||||||
| $ | 37,737 | Market Approach with | Last Twelve Months Revenue Multiple* | 1.06x | ||||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00% | |||||||||||||||
|
|
| OPM assumptions: | ||||||||||||||||
|
|
| Volatility* | 53.1% | |||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 2.89% | |||||||||||||||
| $ | 108,754 | Market Approach with | Next Twelve Months Revenue Multiple* | 5.7x | ||||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00% | |||||||||||||||
|
|
| OPM assumptions: | ||||||||||||||||
|
|
| Volatility* | 47.0% | |||||||||||||||
|
|
| Term to liquidity event in years | 2.26 | |||||||||||||||
|
|
| Risk-free rate | 2.85% | |||||||||||||||
| $ | 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 comparable. 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
185
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Real Estate Investment Trusts | 8.3 | % | |||||
Electric-Integrated | 6.3 | ||||||
Oil Companies-Exploration & Production | 5.2 | ||||||
Banks-Super Regional | 3.0 | ||||||
Banks-Commercial | 2.9 | ||||||
Registered Investment Companies | 2.9 | ||||||
Insurance-Multi-line | 2.6 | ||||||
Medical Products | 2.4 | ||||||
Diversified Manufacturing Operations | 2.3 | ||||||
Agricultural Operations | 1.8 | ||||||
Gold Mining | 1.6 | ||||||
Insurance-Life/Health | 1.4 | ||||||
Medical-Generic Drugs | 1.3 | ||||||
Insurance Brokers | 1.3 | ||||||
Investment Management/Advisor Services | 1.2 | ||||||
Chemicals-Diversified | 1.2 | ||||||
Food-Misc./Diversified | 1.1 | ||||||
Containers-Paper/Plastic | 1.1 | ||||||
Computer Services | 1.1 | ||||||
Semiconductor Components-Integrated Circuits | 1.1 | ||||||
Aerospace/Defense-Equipment | 1.1 | ||||||
Apparel Manufacturers | 1.0 | ||||||
Electronic Measurement Instruments | 1.0 | ||||||
Data Processing/Management | 1.0 | ||||||
Electric-Distribution | 0.9 | ||||||
Banks-Fiduciary | 0.9 | ||||||
Food-Retail | 0.9 | ||||||
Medical-Hospitals | 0.9 | ||||||
Airlines | 0.9 | ||||||
Medical-Wholesale Drug Distribution | 0.9 | ||||||
Insurance-Property/Casualty | 0.8 | ||||||
Oil Companies-Integrated | 0.8 | ||||||
Commercial Services-Finance | 0.8 | ||||||
Dental Supplies & Equipment | 0.8 | ||||||
Transport-Services | 0.8 | ||||||
Pipelines | 0.8 | ||||||
Finance-Investment Banker/Broker | 0.7 | ||||||
Medical Labs & Testing Services | 0.7 | ||||||
Brewery | 0.7 | ||||||
Oil Refining & Marketing | 0.7 | ||||||
Oil-Field Services | 0.7 | ||||||
Finance-Consumer Loans | 0.7 | ||||||
Electronic Components-Misc. | 0.6 | ||||||
Chemicals-Specialty | 0.6 | ||||||
Tools-Hand Held | 0.6 | ||||||
Steel-Producers | 0.6 | ||||||
U.S. Government Agencies | 0.6 | ||||||
Gas-Distribution | 0.6 | ||||||
Coatings/Paint | 0.6 | ||||||
Real Estate Management/Services | 0.6 | ||||||
Transport-Rail | 0.6 | ||||||
Multimedia | 0.5 | ||||||
Medical-Biomedical/Gene | 0.5 | ||||||
Building Products-Cement | 0.5 | ||||||
Retail-Apparel/Shoe | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Machinery-Pumps | 0.5 | ||||||
Food-Baking | 0.5 | ||||||
Cosmetics & Toiletries | 0.5 | ||||||
Cruise Lines | 0.5 |
Distribution/Wholesale | 0.5 | % | |||||
Independent Power Producers | 0.5 | ||||||
Insurance-Reinsurance | 0.5 | ||||||
Food-Meat Products | 0.5 | ||||||
Exchange-Traded Funds | 0.4 | ||||||
Finance-Credit Card | 0.4 | ||||||
Publishing-Newspapers | 0.4 | ||||||
Medical-Drugs | 0.4 | ||||||
Retail-Jewelry | 0.4 | ||||||
Telecommunication Equipment | 0.4 | ||||||
Engineering/R&D Services | 0.4 | ||||||
Machinery-Farming | 0.4 | ||||||
Machinery-General Industrial | 0.4 | ||||||
Schools | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Disposable Medical Products | 0.4 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Advertising Agencies | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Instruments-Scientific | 0.3 | ||||||
Savings & Loans/Thrifts | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Hazardous Waste Disposal | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Engines-Internal Combustion | 0.3 | ||||||
Retail-Gardening Products | 0.3 | ||||||
Non-Ferrous Metals | 0.3 | ||||||
Finance-Auto Loans | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Beverages-Non-alcoholic | 0.3 | ||||||
Telephone-Integrated | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Appliances | 0.3 | ||||||
Office Automation & Equipment | 0.3 | ||||||
Hotels/Motels | 0.3 | ||||||
Recreational Vehicles | 0.3 | ||||||
Agricultural Chemicals | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Investment Companies | 0.2 | ||||||
Food-Wholesale/Distribution | 0.2 | ||||||
Motorcycle/Motor Scooter | 0.2 | ||||||
Oil & Gas Drilling | 0.2 | ||||||
Physicians Practice Management | 0.2 | ||||||
Building-Residential/Commercial | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Home Decoration Products | 0.2 | ||||||
Enterprise Software/Service | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Oil Field Machinery & Equipment | 0.2 | ||||||
Retail-Discount | 0.2 | ||||||
Electronic Connectors | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Computers-Memory Devices | 0.2 | ||||||
Retail-Auto Parts | 0.2 | ||||||
Computers-Integrated Systems | 0.2 | ||||||
Auto-Heavy Duty Trucks | 0.2 | ||||||
Retail-Regional Department Stores | 0.2 | ||||||
Water | 0.2 |
186
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Transport-Marine | 0.2 | % | |||||
Poultry | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Metal-Copper | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Drug Delivery Systems | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Retail-Restaurants | 0.1 | ||||||
Retail-Arts & Crafts | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Electronic Components-Semiconductors | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Marine Services | 0.1 | ||||||
Medical Instruments | 0.1 | ||||||
Recreational Centers | 0.1 | ||||||
Toys | 0.1 | ||||||
Retail-Catalog Shopping | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Radio | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Textile-Home Furnishings | 0.1 | ||||||
Entertainment Software | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Water Treatment Systems | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Lighting Products & Systems | 0.1 | ||||||
Television | 0.1 | ||||||
100.3 | % |
* Calculated as a percentage of net assets
187
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.0% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 1,278 | $ | 85,690 | ||||||||
Advertising Agencies — 0.3% | |||||||||||
Interpublic Group of Cos., Inc. | 32,618 | 745,973 | |||||||||
Omnicom Group, Inc. | 1,386 | 94,276 | |||||||||
840,249 | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
Rockwell Collins, Inc. | 2,575 | 361,710 | |||||||||
Teledyne Technologies, Inc.† | 641 | 158,122 | |||||||||
519,832 | |||||||||||
Aerospace/Defense-Equipment — 1.1% | |||||||||||
Arconic, Inc. | 7,846 | 172,690 | |||||||||
Cobham PLC† | 207,414 | 315,626 | |||||||||
Curtiss-Wright Corp. | 735 | 101,004 | |||||||||
Harris Corp. | 4,730 | 800,363 | |||||||||
L3 Technologies, Inc. | 6,174 | 1,312,716 | |||||||||
2,702,399 | |||||||||||
Agricultural Chemicals — 0.2% | |||||||||||
CF Industries Holdings, Inc. | 7,481 | 407,265 | |||||||||
Mosaic Co. | 6,368 | 206,833 | |||||||||
614,098 | |||||||||||
Agricultural Operations — 1.7% | |||||||||||
Archer-Daniels-Midland Co. | 41,568 | 2,089,623 | |||||||||
Bunge, Ltd. | 31,971 | 2,196,728 | |||||||||
4,286,351 | |||||||||||
Airlines — 0.9% | |||||||||||
Alaska Air Group, Inc. | 7,280 | 501,301 | |||||||||
American Airlines Group, Inc. | 7,618 | 314,852 | |||||||||
Copa Holdings SA, Class A | 567 | 45,269 | |||||||||
Delta Air Lines, Inc. | 13,937 | 805,976 | |||||||||
JetBlue Airways Corp.† | 5,736 | 111,049 | |||||||||
United Continental Holdings, Inc.† | 4,513 | 401,928 | |||||||||
2,180,375 | |||||||||||
Apparel Manufacturers — 1.0% | |||||||||||
Columbia Sportswear Co. | 486 | 45,232 | |||||||||
Hanesbrands, Inc. | 29,524 | 544,127 | |||||||||
Michael Kors Holdings, Ltd.† | 1,198 | 82,135 | |||||||||
PVH Corp. | 5,538 | 799,687 | |||||||||
Ralph Lauren Corp. | 6,530 | 898,201 | |||||||||
Under Armour, Inc., Class A† | 812 | 17,231 | |||||||||
Under Armour, Inc., Class C† | 830 | 16,152 | |||||||||
VF Corp. | 1,350 | 126,158 | |||||||||
2,528,923 | |||||||||||
Appliances — 0.3% | |||||||||||
Whirlpool Corp. | 5,489 | 651,819 | |||||||||
Applications Software — 0.0% | |||||||||||
Nuance Communications, Inc.† | 5,331 | 92,333 | |||||||||
Auto-Heavy Duty Trucks — 0.2% | |||||||||||
PACCAR, Inc. | 6,228 | 424,687 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Adient PLC | 9,945 | 390,938 | |||||||||
Aptiv PLC | 634 | 53,193 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original (continued) | |||||||||||
BorgWarner, Inc. | 3,792 | $ | 162,222 | ||||||||
Lear Corp. | 1,075 | 155,875 | |||||||||
Visteon Corp.† | 197 | 18,301 | |||||||||
780,529 | |||||||||||
Banks-Commercial — 2.9% | |||||||||||
Associated Banc-Corp. | 3,066 | 79,716 | |||||||||
Bank of Hawaii Corp. | 756 | 59,656 | |||||||||
Bank OZK | 2,199 | 83,474 | |||||||||
BankUnited, Inc. | 1,885 | 66,729 | |||||||||
BOK Financial Corp. | 470 | 45,722 | |||||||||
CIT Group, Inc. | 2,305 | 118,961 | |||||||||
Citizens Financial Group, Inc. | 23,470 | 905,238 | |||||||||
Commerce Bancshares, Inc. | 1,720 | 113,554 | |||||||||
Cullen/Frost Bankers, Inc. | 1,036 | 108,200 | |||||||||
East West Bancorp, Inc. | 2,421 | 146,156 | |||||||||
First Citizens BancShares, Inc., Class A | 143 | 64,676 | |||||||||
First Hawaiian, Inc. | 1,937 | 52,609 | |||||||||
First Horizon National Corp. | 5,873 | 101,368 | |||||||||
First Republic Bank | 2,911 | 279,456 | |||||||||
FNB Corp. | 5,853 | 74,450 | |||||||||
M&T Bank Corp. | 6,804 | 1,119,530 | |||||||||
PacWest Bancorp | 2,271 | 108,213 | |||||||||
Pinnacle Financial Partners, Inc. | 772 | 46,436 | |||||||||
Popular, Inc. | 11,527 | 590,759 | |||||||||
Prosperity Bancshares, Inc. | 1,206 | 83,636 | |||||||||
Regions Financial Corp. | 20,368 | 373,753 | |||||||||
Signature Bank | 5,878 | 675,030 | |||||||||
SVB Financial Group† | 221 | 68,693 | |||||||||
Synovus Financial Corp. | 1,959 | 89,703 | |||||||||
TCF Financial Corp. | 2,988 | 71,144 | |||||||||
Texas Capital Bancshares, Inc.† | 328 | 27,109 | |||||||||
Umpqua Holdings Corp. | 3,973 | 82,638 | |||||||||
Webster Financial Corp. | 1,656 | 97,638 | |||||||||
Westamerica Bancorporation | 10,870 | 653,939 | |||||||||
Western Alliance Bancorp† | 707 | 40,221 | |||||||||
Wintrust Financial Corp. | 9,297 | 789,687 | |||||||||
Zions Bancorporation | 3,527 | 176,879 | |||||||||
7,394,973 | |||||||||||
Banks-Fiduciary — 0.9% | |||||||||||
Northern Trust Corp. | 22,628 | 2,310,998 | |||||||||
Banks-Super Regional — 3.0% | |||||||||||
Comerica, Inc. | 12,865 | 1,160,423 | |||||||||
Fifth Third Bancorp | 81,056 | 2,263,083 | |||||||||
Huntington Bancshares, Inc. | 85,778 | 1,279,808 | |||||||||
KeyCorp | 73,558 | 1,463,069 | |||||||||
SunTrust Banks, Inc. | 23,020 | 1,537,506 | |||||||||
7,703,889 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. | 455 | 26,686 | |||||||||
Beverages-Non-alcoholic — 0.3% | |||||||||||
Coca-Cola European Partners PLC | 15,063 | 684,915 |
188
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Brewery — 0.7% | |||||||||||
Carlsberg A/S, Class B | 10,226 | $ | 1,226,566 | ||||||||
Molson Coors Brewing Co., Class B | 8,870 | 545,505 | |||||||||
1,772,071 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class A† | 2,789 | 89,248 | |||||||||
Discovery, Inc., Class C† | 6,259 | 185,141 | |||||||||
274,389 | |||||||||||
Building & Construction Products-Misc. — 0.3% | |||||||||||
Fortune Brands Home & Security, Inc. | 1,542 | 80,739 | |||||||||
Owens Corning | 13,365 | 725,319 | |||||||||
USG Corp.† | 1,478 | 64,012 | |||||||||
870,070 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
nVent Electric PLC | 2,917 | 79,226 | |||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Lennox International, Inc. | 42 | 9,173 | |||||||||
Building Products-Cement — 0.5% | |||||||||||
Eagle Materials, Inc. | 103 | 8,780 | |||||||||
Martin Marietta Materials, Inc. | 94 | 17,103 | |||||||||
Vulcan Materials Co. | 11,770 | 1,308,824 | |||||||||
1,334,707 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 1,780 | 65,148 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Thor Industries, Inc. | 159 | 13,308 | |||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
D.R. Horton, Inc. | 2,582 | 108,909 | |||||||||
Lennar Corp., Class A | 2,382 | 111,216 | |||||||||
Lennar Corp., Class B | 131 | 5,044 | |||||||||
PulteGroup, Inc. | 3,207 | 79,437 | |||||||||
Toll Brothers, Inc. | 8,210 | 271,176 | |||||||||
575,782 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Altice USA, Inc., Class A | 17,677 | 320,661 | |||||||||
DISH Network Corp., Class A† | 4,026 | 143,970 | |||||||||
Liberty Broadband Corp., Class A† | 462 | 38,960 | |||||||||
Liberty Broadband Corp., Class C† | 1,887 | 159,074 | |||||||||
662,665 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Caesars Entertainment Corp.† | 10,769 | 110,382 | |||||||||
MGM Resorts International | 8,583 | 239,552 | |||||||||
349,934 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Sprint Corp.† | 11,681 | 76,394 | |||||||||
United States Cellular Corp.† | 235 | 10,523 | |||||||||
86,917 | |||||||||||
Chemicals-Diversified — 1.2% | |||||||||||
Celanese Corp., Series A | 6,166 | 702,924 | |||||||||
Eastman Chemical Co. | 12,351 | 1,182,238 | |||||||||
FMC Corp. | 4,329 | 377,402 |
Security Description | Shares | Value (Note 2) | |||||||||
Chemicals-Diversified (continued) | |||||||||||
Huntsman Corp. | 3,955 | $ | 107,695 | ||||||||
Olin Corp. | 3,025 | 77,682 | |||||||||
PPG Industries, Inc. | 5,572 | 608,072 | |||||||||
Westlake Chemical Corp. | 51 | 4,239 | |||||||||
3,060,252 | |||||||||||
Chemicals-Specialty — 0.6% | |||||||||||
Albemarle Corp. | 1,998 | 199,360 | |||||||||
Ashland Global Holdings, Inc. | 1,129 | 94,678 | |||||||||
Brenntag AG | 5,498 | 339,345 | |||||||||
Cabot Corp. | 1,099 | 68,929 | |||||||||
International Flavors & Fragrances, Inc. | 827 | 115,052 | |||||||||
NewMarket Corp. | 9 | 3,650 | |||||||||
Platform Specialty Products Corp.† | 2,012 | 25,090 | |||||||||
Univar, Inc.† | 20,815 | 638,188 | |||||||||
Valvoline, Inc. | 3,548 | 76,317 | |||||||||
W.R. Grace & Co. | 309 | 22,081 | |||||||||
1,582,690 | |||||||||||
Coatings/Paint — 0.6% | |||||||||||
Axalta Coating Systems, Ltd.† | 25,042 | 730,225 | |||||||||
RPM International, Inc. | 11,385 | 739,342 | |||||||||
1,469,567 | |||||||||||
Commercial Services — 0.3% | |||||||||||
Cintas Corp. | 2,408 | 476,327 | |||||||||
CoreLogic, Inc.† | 552 | 27,274 | |||||||||
Macquarie Infrastructure Corp. | 1,441 | 66,473 | |||||||||
Nielsen Holdings PLC | 6,467 | 178,877 | |||||||||
Quanta Services, Inc.† | 1,924 | 64,223 | |||||||||
813,174 | |||||||||||
Commercial Services-Finance — 0.8% | |||||||||||
Equifax, Inc. | 1,580 | 206,300 | |||||||||
Euronet Worldwide, Inc.† | 444 | 44,498 | |||||||||
Global Payments, Inc. | 4,877 | 621,330 | |||||||||
H&R Block, Inc. | 3,109 | 80,057 | |||||||||
IHS Markit, Ltd.† | 7,063 | 381,119 | |||||||||
Sabre Corp. | 889 | 23,185 | |||||||||
Western Union Co. | 6,050 | 115,313 | |||||||||
Worldpay, Inc., Class A† | 4,826 | 488,729 | |||||||||
1,960,531 | |||||||||||
Computer Aided Design — 0.1% | |||||||||||
Aspen Technology, Inc.† | 70 | 7,974 | |||||||||
Autodesk, Inc.† | 637 | 99,442 | |||||||||
Synopsys, Inc.† | 2,431 | 239,721 | |||||||||
347,137 | |||||||||||
Computer Data Security — 0.2% | |||||||||||
Check Point Software Technologies, Ltd.† | 5,212 | 613,296 | |||||||||
Computer Services — 1.1% | |||||||||||
Amdocs, Ltd. | 14,785 | 975,514 | |||||||||
Conduent, Inc.† | 3,453 | 77,762 | |||||||||
Dell Technologies, Inc., Class V† | 3,362 | 326,517 | |||||||||
DXC Technology Co. | 5,179 | 484,340 | |||||||||
Genpact, Ltd. | 1,722 | 52,710 |
189
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computer Services (continued) | |||||||||||
Leidos Holdings, Inc. | 11,348 | $ | 784,828 | ||||||||
Teradata Corp.† | 638 | 24,059 | |||||||||
2,725,730 | |||||||||||
Computer Software — 0.0% | |||||||||||
Akamai Technologies, Inc.† | 190 | 13,899 | |||||||||
SS&C Technologies Holdings, Inc. | 258 | 14,662 | |||||||||
28,561 | |||||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
NCR Corp.† | 15,632 | 444,105 | |||||||||
Computers-Memory Devices — 0.2% | |||||||||||
Western Digital Corp. | 8,137 | 476,340 | |||||||||
Consulting Services — 0.0% | |||||||||||
Booz Allen Hamilton Holding Corp. | 131 | 6,502 | |||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 306 | 46,025 | |||||||||
Kimberly-Clark Corp. | 5,700 | 647,748 | |||||||||
693,773 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. | 6,237 | 274,366 | |||||||||
Owens-Illinois, Inc.† | 2,932 | 55,092 | |||||||||
Silgan Holdings, Inc. | 930 | 25,854 | |||||||||
355,312 | |||||||||||
Containers-Paper/Plastic — 1.1% | |||||||||||
Ardagh Group SA | 335 | 5,591 | |||||||||
Bemis Co., Inc. | 1,642 | 79,801 | |||||||||
Berry Global Group, Inc.† | 14,611 | 707,026 | |||||||||
Graphic Packaging Holding Co. | 42,270 | 592,203 | |||||||||
Sealed Air Corp. | 12,261 | 492,279 | |||||||||
Sonoco Products Co. | 1,783 | 98,957 | |||||||||
WestRock Co. | 14,050 | 750,832 | |||||||||
2,726,689 | |||||||||||
Cosmetics & Toiletries — 0.5% | |||||||||||
Coty, Inc., Class A | 32,644 | 410,009 | |||||||||
Edgewell Personal Care Co.† | 17,767 | 821,368 | |||||||||
1,231,377 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 3,720 | 213,640 | |||||||||
Royal Caribbean Cruises, Ltd. | 7,760 | 1,008,334 | |||||||||
1,221,974 | |||||||||||
Data Processing/Management — 1.0% | |||||||||||
Dun & Bradstreet Corp. | 380 | 54,154 | |||||||||
Fidelity National Information Services, Inc. | 14,417 | 1,572,462 | |||||||||
First Data Corp., Class A† | 32,062 | 784,557 | |||||||||
2,411,173 | |||||||||||
Dental Supplies & Equipment — 0.8% | |||||||||||
DENTSPLY SIRONA, Inc. | 20,456 | 772,009 | |||||||||
Patterson Cos., Inc. | 48,551 | 1,187,072 | |||||||||
1,959,081 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Kits — 0.1% | |||||||||||
QIAGEN NV† | 4,019 | $ | 152,240 | ||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 1,180 | 84,523 | |||||||||
Disposable Medical Products — 0.4% | |||||||||||
STERIS PLC | 7,695 | 880,308 | |||||||||
Distribution/Wholesale — 0.5% | |||||||||||
HD Supply Holdings, Inc.† | 22,571 | 965,813 | |||||||||
KAR Auction Services, Inc. | 156 | 9,312 | |||||||||
LKQ Corp.† | 4,662 | 147,646 | |||||||||
Watsco, Inc. | 114 | 20,303 | |||||||||
WESCO International, Inc.† | 851 | 52,294 | |||||||||
1,195,368 | |||||||||||
Diversified Manufacturing Operations — 2.3% | |||||||||||
Carlisle Cos., Inc. | 1,080 | 131,544 | |||||||||
Colfax Corp.† | 1,616 | 58,273 | |||||||||
Crane Co. | 906 | 89,105 | |||||||||
Dover Corp. | 2,751 | 243,546 | |||||||||
Eaton Corp. PLC | 9,704 | 841,628 | |||||||||
Ingersoll-Rand PLC | 2,062 | 210,943 | |||||||||
ITT, Inc. | 11,944 | 731,689 | |||||||||
Parker-Hannifin Corp. | 1,973 | 362,894 | |||||||||
Textron, Inc. | 43,326 | 3,096,509 | |||||||||
Trinity Industries, Inc. | 2,667 | 97,719 | |||||||||
5,863,850 | |||||||||||
Diversified Operations — 0.0% | |||||||||||
Spectrum Brands Holdings, Inc. | 398 | 29,739 | |||||||||
Drug Delivery Systems — 0.1% | |||||||||||
DexCom, Inc.† | 2,432 | 347,873 | |||||||||
E-Commerce/Services — 0.0% | |||||||||||
Zillow Group, Inc., Class A† | 278 | 12,287 | |||||||||
Zillow Group, Inc., Class C† | 571 | 25,267 | |||||||||
37,554 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 3,346 | 264,735 | |||||||||
Littelfuse, Inc. | 74 | 14,644 | |||||||||
279,379 | |||||||||||
Electric-Distribution — 0.9% | |||||||||||
CenterPoint Energy, Inc. | 30,043 | 830,689 | |||||||||
PPL Corp. | 12,709 | 371,866 | |||||||||
Sempra Energy | 10,119 | 1,151,036 | |||||||||
2,353,591 | |||||||||||
Electric-Integrated — 6.3% | |||||||||||
AES Corp. | 46,112 | 645,568 | |||||||||
Alliant Energy Corp. | 4,199 | 178,751 | |||||||||
Ameren Corp. | 4,412 | 278,927 | |||||||||
Avangrid, Inc. | 1,017 | 48,745 | |||||||||
CMS Energy Corp. | 20,653 | 1,011,997 | |||||||||
Consolidated Edison, Inc. | 5,650 | 430,474 | |||||||||
DTE Energy Co. | 10,488 | 1,144,555 | |||||||||
Edison International | 5,765 | 390,175 | |||||||||
Entergy Corp. | 7,765 | 629,975 | |||||||||
Evergy, Inc. | 4,913 | 269,822 | |||||||||
Eversource Energy | 17,221 | 1,058,058 |
190
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
FirstEnergy Corp. | 82,941 | $ | 3,082,917 | ||||||||
Hawaiian Electric Industries, Inc. | 1,962 | 69,828 | |||||||||
MDU Resources Group, Inc. | 3,517 | 90,352 | |||||||||
OGE Energy Corp. | 3,616 | 131,333 | |||||||||
PG&E Corp. | 38,580 | 1,775,066 | |||||||||
Pinnacle West Capital Corp. | 11,391 | 901,939 | |||||||||
Public Service Enterprise Group, Inc. | 25,738 | 1,358,709 | |||||||||
SCANA Corp. | 14,633 | 569,077 | |||||||||
Southern Co. | 14,522 | 633,159 | |||||||||
WEC Energy Group, Inc. | 14,238 | 950,529 | |||||||||
Xcel Energy, Inc. | 9,230 | 435,748 | |||||||||
16,085,704 | |||||||||||
Electronic Components-Misc. — 0.6% | |||||||||||
AVX Corp. | 12,252 | 221,149 | |||||||||
Corning, Inc. | 14,834 | 523,640 | |||||||||
Garmin, Ltd. | 2,065 | 144,653 | |||||||||
Gentex Corp. | 1,597 | 34,272 | |||||||||
Jabil, Inc. | 3,036 | 82,215 | |||||||||
Sensata Technologies Holding PLC† | 12,660 | 627,303 | |||||||||
1,633,232 | |||||||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Qorvo, Inc.† | 2,291 | 176,155 | |||||||||
Skyworks Solutions, Inc. | 963 | 87,354 | |||||||||
263,509 | |||||||||||
Electronic Connectors — 0.2% | |||||||||||
TE Connectivity, Ltd. | 5,619 | 494,079 | |||||||||
Electronic Measurement Instruments — 1.0% | |||||||||||
Agilent Technologies, Inc. | 5,850 | 412,659 | |||||||||
FLIR Systems, Inc. | 2,218 | 136,340 | |||||||||
Fortive Corp. | 458 | 38,564 | |||||||||
Keysight Technologies, Inc.† | 15,114 | 1,001,756 | |||||||||
National Instruments Corp. | 13,235 | 639,647 | |||||||||
Trimble, Inc.† | 4,523 | 196,570 | |||||||||
2,425,536 | |||||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Arrow Electronics, Inc.† | 1,577 | 116,256 | |||||||||
Avnet, Inc. | 2,123 | 95,047 | |||||||||
211,303 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
ADT, Inc. | 1,913 | 17,963 | |||||||||
Allegion PLC | 296 | 26,809 | |||||||||
44,772 | |||||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
First Solar, Inc.† | 1,486 | 71,952 | |||||||||
Engineering/R&D Services — 0.4% | |||||||||||
AECOM† | 2,895 | 94,551 | |||||||||
Fluor Corp. | 2,543 | 147,748 | |||||||||
Jacobs Engineering Group, Inc. | 2,312 | 176,868 | |||||||||
KBR, Inc. | 28,295 | 597,873 | |||||||||
1,017,040 |
Security Description | Shares | Value (Note 2) | |||||||||
Engines-Internal Combustion — 0.3% | |||||||||||
Cummins, Inc. | 1,770 | $ | 258,544 | ||||||||
Gates Industrial Corp. PLC† | 24,769 | 482,995 | |||||||||
741,539 | |||||||||||
Enterprise Software/Service — 0.2% | |||||||||||
CA, Inc. | 5,692 | 251,302 | |||||||||
Verint Systems, Inc.† | 6,065 | 303,856 | |||||||||
555,158 | |||||||||||
Entertainment Software — 0.1% | |||||||||||
Take-Two Interactive Software, Inc.† | 833 | 114,945 | |||||||||
Zynga, Inc., Class A† | 13,868 | 55,611 | |||||||||
170,556 | |||||||||||
Filtration/Separation Products — 0.0% | |||||||||||
Donaldson Co., Inc. | 158 | 9,205 | |||||||||
Finance-Auto Loans — 0.3% | |||||||||||
Ally Financial, Inc. | 24,714 | 653,686 | |||||||||
Credit Acceptance Corp.† | 17 | 7,447 | |||||||||
Santander Consumer USA Holdings, Inc. | 1,825 | 36,573 | |||||||||
697,706 | |||||||||||
Finance-Consumer Loans — 0.7% | |||||||||||
Navient Corp. | 4,739 | 63,882 | |||||||||
OneMain Holdings, Inc.† | 1,286 | 43,223 | |||||||||
SLM Corp.† | 7,888 | 87,951 | |||||||||
Synchrony Financial | 47,243 | 1,468,312 | |||||||||
1,663,368 | |||||||||||
Finance-Credit Card — 0.4% | |||||||||||
Discover Financial Services | 14,331 | 1,095,605 | |||||||||
Finance-Investment Banker/Broker — 0.7% | |||||||||||
E*TRADE Financial Corp.† | 3,711 | 194,419 | |||||||||
Interactive Brokers Group, Inc., Class A | 115 | 6,361 | |||||||||
Jefferies Financial Group, Inc. | 40,595 | 891,466 | |||||||||
Lazard, Ltd., Class A | 183 | 8,808 | |||||||||
TD Ameritrade Holding Corp. | 13,847 | 731,537 | |||||||||
1,832,591 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 1,628 | 74,693 | |||||||||
Finance-Other Services — 0.5% | |||||||||||
BGC Partners, Inc., Class A | 4,747 | 56,109 | |||||||||
Cboe Global Markets, Inc. | 148 | 14,202 | |||||||||
Nasdaq, Inc. | 14,611 | 1,253,624 | |||||||||
1,323,935 | |||||||||||
Financial Guarantee Insurance — 0.0% | |||||||||||
Assured Guaranty, Ltd. | 2,002 | 84,544 | |||||||||
Food-Baking — 0.5% | |||||||||||
Flowers Foods, Inc. | 69,597 | 1,298,680 | |||||||||
Food-Catering — 0.3% | |||||||||||
Aramark | 17,366 | 747,085 |
191
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 229 | $ | 23,358 | ||||||||
Hostess Brands, Inc.† | 4,679 | 51,796 | |||||||||
J.M. Smucker Co. | 6,716 | 689,129 | |||||||||
764,283 | |||||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Seaboard Corp. | 5 | 18,550 | |||||||||
Food-Meat Products — 0.5% | |||||||||||
Hormel Foods Corp. | 4,927 | 194,124 | |||||||||
Tyson Foods, Inc., Class A | 15,798 | 940,455 | |||||||||
1,134,579 | |||||||||||
Food-Misc./Diversified — 1.1% | |||||||||||
Campbell Soup Co. | 11,296 | 413,772 | |||||||||
Conagra Brands, Inc. | 6,840 | 232,355 | |||||||||
General Mills, Inc. | 3,740 | 160,521 | |||||||||
Hain Celestial Group, Inc.† | 1,727 | 46,836 | |||||||||
Ingredion, Inc. | 5,671 | 595,228 | |||||||||
Kellogg Co. | 2,252 | 157,685 | |||||||||
Lamb Weston Holdings, Inc. | 2,656 | 176,890 | |||||||||
McCormick & Co., Inc. | 2,077 | 273,645 | |||||||||
Pinnacle Foods, Inc. | 2,148 | 139,212 | |||||||||
Post Holdings, Inc.† | 3,386 | 331,963 | |||||||||
TreeHouse Foods, Inc.† | 5,643 | 270,018 | |||||||||
2,798,125 | |||||||||||
Food-Retail — 0.9% | |||||||||||
Kroger Co. | 78,936 | 2,297,827 | |||||||||
Food-Wholesale/Distribution — 0.2% | |||||||||||
Sysco Corp. | 6,684 | 489,603 | |||||||||
US Foods Holding Corp.† | 3,675 | 113,264 | |||||||||
602,867 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 1,272 | 35,527 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Service Corp. International | 1,699 | 75,096 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
International Game Technology PLC | 1,686 | 33,299 | |||||||||
Garden Products — 0.0% | |||||||||||
Scotts Miracle-Gro Co. | 370 | 29,130 | |||||||||
Gas-Distribution — 0.6% | |||||||||||
Atmos Energy Corp. | 1,974 | 185,378 | |||||||||
National Fuel Gas Co. | 1,472 | 82,520 | |||||||||
NiSource, Inc. | 25,169 | 627,212 | |||||||||
South Jersey Industries, Inc. | 8,557 | 301,805 | |||||||||
UGI Corp. | 3,132 | 173,763 | |||||||||
Vectren Corp. | 1,509 | 107,879 | |||||||||
1,478,557 | |||||||||||
Gold Mining — 1.6% | |||||||||||
Barrick Gold Corp. | 83,900 | 929,612 | |||||||||
Cia de Minas Buenaventura SAA ADR | 27,800 | 372,798 | |||||||||
Franco-Nevada Corp. | 16,284 | 1,018,656 | |||||||||
Newmont Mining Corp. | 53,186 | 1,606,217 | |||||||||
Royal Gold, Inc. | 694 | 53,480 | |||||||||
3,980,763 |
Security Description | Shares | Value (Note 2) | |||||||||
Hazardous Waste Disposal — 0.3% | |||||||||||
Clean Harbors, Inc.† | 9,235 | $ | 661,041 | ||||||||
Stericycle, Inc.† | 1,502 | 88,138 | |||||||||
749,179 | |||||||||||
Home Decoration Products — 0.2% | |||||||||||
Newell Brands, Inc. | 27,358 | 555,367 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 2,376 | 104,045 | |||||||||
Hotels/Motels — 0.3% | |||||||||||
Extended Stay America, Inc. | 1,372 | 27,756 | |||||||||
Hilton Worldwide Holdings, Inc. | 6,768 | 546,719 | |||||||||
Hyatt Hotels Corp., Class A | 824 | 65,582 | |||||||||
640,057 | |||||||||||
Human Resources — 0.0% | |||||||||||
ManpowerGroup, Inc. | 1,190 | 102,292 | |||||||||
Independent Power Producers — 0.5% | |||||||||||
NRG Energy, Inc. | 5,705 | 213,367 | |||||||||
Vistra Energy Corp.† | 38,932 | 968,628 | |||||||||
1,181,995 | |||||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Nordson Corp. | 69 | 9,584 | |||||||||
Instruments-Scientific — 0.3% | |||||||||||
PerkinElmer, Inc. | 7,914 | 769,795 | |||||||||
Waters Corp.† | 101 | 19,662 | |||||||||
789,457 | |||||||||||
Insurance Brokers — 1.3% | |||||||||||
Arthur J. Gallagher & Co. | 13,017 | 968,985 | |||||||||
Brown & Brown, Inc. | 37,393 | 1,105,711 | |||||||||
Marsh & McLennan Cos., Inc. | 9,839 | 813,882 | |||||||||
Willis Towers Watson PLC | 2,388 | 336,565 | |||||||||
3,225,143 | |||||||||||
Insurance-Life/Health — 1.4% | |||||||||||
Athene Holding, Ltd., Class A† | 15,597 | 805,741 | |||||||||
AXA Equitable Holdings, Inc. | 2,496 | 53,539 | |||||||||
Brighthouse Financial, Inc.† | 15,584 | 689,436 | |||||||||
Lincoln National Corp. | 12,733 | 861,515 | |||||||||
Principal Financial Group, Inc. | 5,130 | 300,567 | |||||||||
Torchmark Corp. | 1,911 | 165,664 | |||||||||
Unum Group | 15,285 | 597,185 | |||||||||
3,473,647 | |||||||||||
Insurance-Multi-line — 2.6% | |||||||||||
American Financial Group, Inc. | 1,302 | 144,483 | |||||||||
American National Insurance Co. | 134 | 17,325 | |||||||||
Assurant, Inc. | 7,673 | 828,300 | |||||||||
Cincinnati Financial Corp. | 2,786 | 213,993 | |||||||||
CNA Financial Corp. | 19,220 | 877,393 | |||||||||
Hartford Financial Services Group, Inc. | 29,443 | 1,470,972 | |||||||||
Kemper Corp. | 8,420 | 677,389 | |||||||||
Loews Corp. | 32,434 | 1,629,160 | |||||||||
Old Republic International Corp. | 5,135 | 114,921 | |||||||||
Voya Financial, Inc. | 13,842 | 687,532 | |||||||||
6,661,468 |
192
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Property/Casualty — 0.8% | |||||||||||
Alleghany Corp. | 237 | $ | 154,650 | ||||||||
Arch Capital Group, Ltd.† | 5,906 | 176,058 | |||||||||
Erie Indemnity Co., Class A | 106 | 13,518 | |||||||||
Fidelity National Financial, Inc. | 4,789 | 188,447 | |||||||||
First American Financial Corp. | 1,967 | 101,478 | |||||||||
Hanover Insurance Group, Inc. | 5,696 | 702,716 | |||||||||
Markel Corp.† | 231 | 274,541 | |||||||||
Mercury General Corp. | 496 | 24,879 | |||||||||
Progressive Corp. | 3,600 | 255,744 | |||||||||
White Mountains Insurance Group, Ltd. | 55 | 51,473 | |||||||||
WR Berkley Corp. | 1,722 | 137,639 | |||||||||
2,081,143 | |||||||||||
Insurance-Reinsurance — 0.5% | |||||||||||
Aspen Insurance Holdings, Ltd. | 1,071 | 44,768 | |||||||||
Axis Capital Holdings, Ltd. | 1,327 | 76,581 | |||||||||
Everest Re Group, Ltd. | 3,348 | 764,917 | |||||||||
Reinsurance Group of America, Inc. | 1,169 | 168,991 | |||||||||
RenaissanceRe Holdings, Ltd. | 658 | 87,896 | |||||||||
1,143,153 | |||||||||||
Internet Security — 0.1% | |||||||||||
FireEye, Inc.† | 1,147 | 19,499 | |||||||||
Symantec Corp. | 11,230 | 238,974 | |||||||||
258,473 | |||||||||||
Investment Companies — 0.2% | |||||||||||
Groupe Bruxelles Lambert SA | 1,819 | 190,709 | |||||||||
Pargesa Holding SA | 5,131 | 412,247 | |||||||||
602,956 | |||||||||||
Investment Management/Advisor Services — 1.2% | |||||||||||
Affiliated Managers Group, Inc. | 981 | 134,123 | |||||||||
Ameriprise Financial, Inc. | 2,197 | 324,409 | |||||||||
Franklin Resources, Inc. | 28,842 | 877,085 | |||||||||
Invesco, Ltd. | 32,040 | 733,075 | |||||||||
Legg Mason, Inc. | 1,518 | 47,407 | |||||||||
Raymond James Financial, Inc. | 9,792 | 901,354 | |||||||||
T. Rowe Price Group, Inc. | 300 | 32,754 | |||||||||
Waddell & Reed Financial, Inc., Class A | 5,200 | 110,136 | |||||||||
3,160,343 | |||||||||||
Lasers-System/Components — 0.0% | |||||||||||
Coherent, Inc.† | 127 | 21,868 | |||||||||
Lighting Products & Systems — 0.1% | |||||||||||
Acuity Brands, Inc. | 738 | 116,014 | |||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Oshkosh Corp. | 1,334 | 95,034 | |||||||||
Terex Corp. | 1,233 | 49,209 | |||||||||
144,243 | |||||||||||
Machinery-Electrical — 0.2% | |||||||||||
Regal Beloit Corp. | 6,782 | 559,176 | |||||||||
Machinery-Farming — 0.4% | |||||||||||
AGCO Corp. | 16,418 | 998,050 |
Security Description | Shares | Value (Note 2) | |||||||||
Machinery-General Industrial — 0.4% | |||||||||||
IDEX Corp. | 84 | $ | 12,655 | ||||||||
Middleby Corp.† | 410 | 53,034 | |||||||||
Roper Technologies, Inc. | 1,496 | 443,130 | |||||||||
Wabtec Corp. | 4,221 | 442,699 | |||||||||
951,518 | |||||||||||
Machinery-Pumps — 0.5% | |||||||||||
Flowserve Corp. | 2,372 | 129,725 | |||||||||
Gardner Denver Holdings, Inc.† | 1,293 | 36,643 | |||||||||
Xylem, Inc. | 14,291 | 1,141,422 | |||||||||
1,307,790 | |||||||||||
Machinery-Thermal Process — 0.0% | |||||||||||
GrafTech International, Ltd. | 1,111 | 21,676 | |||||||||
Marine Services — 0.1% | |||||||||||
SEACOR Marine Holdings, Inc.† | 10,789 | 244,155 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Cerner Corp.† | 3,180 | 204,824 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Bruker Corp. | 1,085 | 36,293 | |||||||||
Integra LifeSciences Holdings Corp.† | 297 | 19,564 | |||||||||
Teleflex, Inc. | 669 | 178,014 | |||||||||
233,871 | |||||||||||
Medical Labs & Testing Services — 0.7% | |||||||||||
Catalent, Inc.† | 1,986 | 90,462 | |||||||||
Charles River Laboratories International, Inc.† | 242 | 32,559 | |||||||||
IQVIA Holdings, Inc.† | 2,955 | 383,382 | |||||||||
Laboratory Corp. of America Holdings† | 1,742 | 302,550 | |||||||||
Quest Diagnostics, Inc. | 9,399 | 1,014,246 | |||||||||
1,823,199 | |||||||||||
Medical Products — 2.4% | |||||||||||
Baxter International, Inc. | 21,773 | 1,678,481 | |||||||||
Cooper Cos., Inc. | 738 | 204,537 | |||||||||
Henry Schein, Inc.† | 7,333 | 623,525 | |||||||||
Hill-Rom Holdings, Inc. | 421 | 39,742 | |||||||||
Hologic, Inc.† | 27,546 | 1,128,835 | |||||||||
West Pharmaceutical Services, Inc. | 1,019 | 125,816 | |||||||||
Zimmer Biomet Holdings, Inc. | 17,648 | 2,320,182 | |||||||||
6,121,118 | |||||||||||
Medical-Biomedical/Gene — 0.5% | |||||||||||
Alnylam Pharmaceuticals, Inc.† | 186 | 16,279 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 384 | 120,188 | |||||||||
Bluebird Bio, Inc.† | 302 | 44,092 | |||||||||
Incyte Corp.† | 5,900 | 407,572 | |||||||||
Seattle Genetics, Inc.† | 8,605 | 663,617 | |||||||||
United Therapeutics Corp.† | 778 | 99,491 | |||||||||
1,351,239 | |||||||||||
Medical-Drugs — 0.4% | |||||||||||
Alkermes PLC† | 19,057 | 808,779 | |||||||||
Jazz Pharmaceuticals PLC† | 87 | 14,627 | |||||||||
Zoetis, Inc. | 2,641 | 241,810 | |||||||||
1,065,216 |
193
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Generic Drugs — 1.3% | |||||||||||
Amneal Pharmaceuticals, Inc.† | 5,710 | $ | 126,705 | ||||||||
Mylan NV† | 25,000 | 915,000 | |||||||||
Perrigo Co. PLC | 23,644 | 1,673,995 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR | 27,151 | 584,833 | |||||||||
3,300,533 | |||||||||||
Medical-HMO — 0.0% | |||||||||||
Centene Corp.† | 427 | 61,821 | |||||||||
Molina Healthcare, Inc.† | 172 | 25,576 | |||||||||
WellCare Health Plans, Inc.† | 61 | 19,550 | |||||||||
106,947 | |||||||||||
Medical-Hospitals — 0.9% | |||||||||||
Acadia Healthcare Co., Inc.† | 1,569 | 55,229 | |||||||||
Envision Healthcare Corp.† | 1,748 | 79,936 | |||||||||
Select Medical Holdings Corp.† | 68,648 | 1,263,123 | |||||||||
Universal Health Services, Inc., Class B | 6,920 | 884,653 | |||||||||
2,282,941 | |||||||||||
Medical-Wholesale Drug Distribution — 0.9% | |||||||||||
AmerisourceBergen Corp. | 6,215 | 573,147 | |||||||||
Cardinal Health, Inc. | 18,237 | 984,798 | |||||||||
Premier, Inc., Class A† | 12,941 | 592,439 | |||||||||
2,150,384 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Timken Co. | 1,243 | 61,964 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Alcoa Corp.† | 3,388 | 136,875 | |||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc. | 26,255 | 365,470 | |||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
AptarGroup, Inc. | 1,127 | 121,423 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Dolby Laboratories, Inc., Class A | 1,095 | 76,617 | |||||||||
Lions Gate Entertainment Corp., Class A | 828 | 20,195 | |||||||||
Lions Gate Entertainment Corp., Class B | 1,615 | 37,630 | |||||||||
134,442 | |||||||||||
Motorcycle/Motor Scooter — 0.2% | |||||||||||
Harley-Davidson, Inc. | 13,234 | 599,500 | |||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 689 | 56,787 | |||||||||
Multimedia — 0.5% | |||||||||||
Liberty Media Corp. - Liberty Formula One, Series A† | 450 | 16,011 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 3,578 | 133,066 | |||||||||
Viacom, Inc., Class A | 182 | 6,652 | |||||||||
Viacom, Inc., Class B | 36,345 | 1,227,007 | |||||||||
1,382,736 |
Security Description | Shares | Value (Note 2) | |||||||||
Networking Products — 0.0% | |||||||||||
LogMeIn, Inc. | 315 | $ | 28,067 | ||||||||
Non-Ferrous Metals — 0.3% | |||||||||||
Cameco Corp. | 62,294 | 710,152 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 3,728 | 270,877 | |||||||||
Office Automation & Equipment — 0.3% | |||||||||||
Xerox Corp. | 23,878 | 644,228 | |||||||||
Oil & Gas Drilling — 0.2% | |||||||||||
Helmerich & Payne, Inc. | 1,925 | 132,382 | |||||||||
Nabors Industries, Ltd. | 6,185 | 38,100 | |||||||||
Patterson-UTI Energy, Inc. | 18,039 | 308,647 | |||||||||
RPC, Inc. | 652 | 10,093 | |||||||||
Transocean, Ltd.† | 7,775 | 108,461 | |||||||||
597,683 | |||||||||||
Oil Companies-Exploration & Production — 5.2% | |||||||||||
Antero Resources Corp.† | 2,044 | 36,199 | |||||||||
Apache Corp. | 33,470 | 1,595,515 | |||||||||
ARC Resources, Ltd. | 23,100 | 257,531 | |||||||||
Cabot Oil & Gas Corp. | 27,359 | 616,125 | |||||||||
Centennial Resource Development, Inc., Class A† | 3,318 | 72,498 | |||||||||
Chesapeake Energy Corp.† | 16,302 | 73,196 | |||||||||
Cimarex Energy Co. | 1,492 | 138,666 | |||||||||
CNX Resources Corp.† | 3,888 | 55,637 | |||||||||
Concho Resources, Inc.† | 5,524 | 843,791 | |||||||||
Continental Resources, Inc.† | 821 | 56,058 | |||||||||
Devon Energy Corp. | 9,478 | 378,551 | |||||||||
Diamondback Energy, Inc. | 1,317 | 178,045 | |||||||||
Energen Corp.† | 6,599 | 568,636 | |||||||||
EQT Corp. | 59,573 | 2,634,914 | |||||||||
Extraction Oil & Gas, Inc.† | 2,005 | 22,636 | |||||||||
Hess Corp. | 47,254 | 3,382,441 | |||||||||
Kosmos Energy, Ltd.† | 3,474 | 32,482 | |||||||||
Marathon Oil Corp. | 15,439 | 359,420 | |||||||||
Newfield Exploration Co.† | 2,297 | 66,223 | |||||||||
Noble Energy, Inc. | 8,705 | 271,509 | |||||||||
Parsley Energy, Inc., Class A† | 1,441 | 42,149 | |||||||||
PDC Energy, Inc.† | 7,653 | 374,691 | |||||||||
Pioneer Natural Resources Co. | 4,107 | 715,398 | |||||||||
QEP Resources, Inc.† | 4,283 | 48,484 | |||||||||
Range Resources Corp. | 3,822 | 64,936 | |||||||||
SM Energy Co. | 2,013 | 63,470 | |||||||||
Whiting Petroleum Corp.† | 1,626 | 86,243 | |||||||||
WPX Energy, Inc.† | 7,197 | 144,804 | |||||||||
13,180,248 | |||||||||||
Oil Companies-Integrated — 0.8% | |||||||||||
Imperial Oil, Ltd. | 39,000 | 1,262,430 | |||||||||
Murphy Oil Corp. | 22,839 | 761,452 | |||||||||
2,023,882 | |||||||||||
Oil Field Machinery & Equipment — 0.2% | |||||||||||
Forum Energy Technologies, Inc.† | 20,874 | 216,046 | |||||||||
National Oilwell Varco, Inc. | 6,930 | 298,544 | |||||||||
514,590 |
194
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Refining & Marketing — 0.7% | |||||||||||
Andeavor | 9,121 | $ | 1,400,074 | ||||||||
HollyFrontier Corp. | 2,936 | 205,226 | |||||||||
PBF Energy, Inc., Class A | 2,130 | 106,308 | |||||||||
1,711,608 | |||||||||||
Oil-Field Services — 0.7% | |||||||||||
Apergy Corp.† | 1,407 | 61,289 | |||||||||
Frank's International NV | 74,780 | 649,090 | |||||||||
NOW, Inc.† | 21,323 | 352,896 | |||||||||
Oil States International, Inc.† | 12,215 | 405,538 | |||||||||
SEACOR Holdings, Inc.† | 3,209 | 158,557 | |||||||||
Weatherford International PLC† | 18,054 | 48,926 | |||||||||
1,676,296 | |||||||||||
Paper & Related Products — 0.2% | |||||||||||
Domtar Corp. | 1,131 | 59,004 | |||||||||
International Paper Co. | 6,664 | 327,536 | |||||||||
386,540 | |||||||||||
Physicians Practice Management — 0.2% | |||||||||||
MEDNAX, Inc.† | 12,525 | 584,417 | |||||||||
Pipelines — 0.8% | |||||||||||
Cheniere Energy, Inc.† | 1,157 | 80,400 | |||||||||
ONEOK, Inc. | 4,358 | 295,429 | |||||||||
Plains GP Holdings LP, Class A | 30,234 | 741,640 | |||||||||
Targa Resources Corp. | 3,922 | 220,848 | |||||||||
Williams Cos., Inc. | 22,061 | 599,838 | |||||||||
1,938,155 | |||||||||||
Poultry — 0.2% | |||||||||||
Pilgrim's Pride Corp.† | 959 | 17,348 | |||||||||
Sanderson Farms, Inc. | 3,649 | 377,197 | |||||||||
394,545 | |||||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Hubbell, Inc. | 320 | 42,742 | |||||||||
Private Equity — 0.2% | |||||||||||
Apollo Global Management LLC, Class A | 16,272 | 562,198 | |||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 301 | 94,911 | |||||||||
Publishing-Books — 0.1% | |||||||||||
John Wiley & Sons, Inc., Class A | 803 | 48,662 | |||||||||
Scholastic Corp. | 4,900 | 228,781 | |||||||||
277,443 | |||||||||||
Publishing-Newspapers — 0.4% | |||||||||||
News Corp., Class A | 80,212 | 1,057,996 | |||||||||
News Corp., Class B | 2,198 | 29,893 | |||||||||
1,087,889 | |||||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 1,528 | 66,376 | |||||||||
Liberty Media Corp. - Liberty SiriusXM, Series C† | 3,084 | 134,000 | |||||||||
200,376 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts — 8.3% | |||||||||||
AGNC Investment Corp. | 8,319 | $ | 154,983 | ||||||||
Alexandria Real Estate Equities, Inc. | 1,701 | 213,969 | |||||||||
American Campus Communities, Inc. | 2,469 | 101,624 | |||||||||
American Homes 4 Rent, Class A | 4,687 | 102,598 | |||||||||
Annaly Capital Management, Inc. | 47,803 | 489,025 | |||||||||
Apartment Investment & Management Co., Class A | 2,830 | 124,888 | |||||||||
Apple Hospitality REIT, Inc. | 3,927 | 68,683 | |||||||||
AvalonBay Communities, Inc. | 2,505 | 453,781 | |||||||||
Boston Properties, Inc. | 2,802 | 344,898 | |||||||||
Brandywine Realty Trust | 3,184 | 50,052 | |||||||||
Brixmor Property Group, Inc. | 38,861 | 680,456 | |||||||||
Brookfield Property REIT, Inc., Class A | 2,833 | 59,295 | |||||||||
Camden Property Trust | 1,609 | 150,554 | |||||||||
Chimera Investment Corp. | 3,377 | 61,225 | |||||||||
Colony Capital, Inc. | 8,352 | 50,864 | |||||||||
Columbia Property Trust, Inc. | 2,145 | 50,708 | |||||||||
Corporate Office Properties Trust | 1,851 | 55,215 | |||||||||
CubeSmart | 3,296 | 94,035 | |||||||||
CyrusOne, Inc. | 1,777 | 112,662 | |||||||||
DDR Corp. | 2,766 | 37,037 | |||||||||
Digital Realty Trust, Inc. | 3,729 | 419,438 | |||||||||
Douglas Emmett, Inc. | 2,911 | 109,803 | |||||||||
Duke Realty Corp. | 6,469 | 183,526 | |||||||||
Empire State Realty Trust, Inc., Class A | 2,443 | 40,578 | |||||||||
EPR Properties | 10,389 | 710,712 | |||||||||
Equity Commonwealth† | 39,191 | 1,257,639 | |||||||||
Equity Residential | 22,166 | 1,468,719 | |||||||||
Essex Property Trust, Inc. | 1,193 | 294,325 | |||||||||
Extra Space Storage, Inc. | 294 | 25,472 | |||||||||
Federal Realty Investment Trust | 1,321 | 167,067 | |||||||||
Forest City Realty Trust, Inc., Class A | 21,859 | 548,442 | |||||||||
Gaming and Leisure Properties, Inc. | 2,339 | 82,450 | |||||||||
HCP, Inc. | 8,531 | 224,536 | |||||||||
Healthcare Trust of America, Inc., Class A | 3,697 | 98,599 | |||||||||
Highwoods Properties, Inc. | 1,843 | 87,100 | |||||||||
Hospitality Properties Trust | 2,950 | 85,078 | |||||||||
Host Hotels & Resorts, Inc. | 13,283 | 280,271 | |||||||||
Hudson Pacific Properties, Inc. | 2,451 | 80,197 | |||||||||
Invitation Homes, Inc. | 5,415 | 124,058 | |||||||||
Iron Mountain, Inc. | 5,150 | 177,778 | |||||||||
JBG SMITH Properties | 1,859 | 68,467 | |||||||||
Kilroy Realty Corp. | 1,756 | 125,888 | |||||||||
Kimco Realty Corp. | 7,372 | 123,407 | |||||||||
Lamar Advertising Co., Class A | 140 | 10,892 | |||||||||
Liberty Property Trust | 2,674 | 112,977 | |||||||||
Life Storage, Inc. | 10,668 | 1,015,167 | |||||||||
Macerich Co. | 2,466 | 136,345 | |||||||||
Medical Properties Trust, Inc. | 62,214 | 927,611 | |||||||||
MFA Financial, Inc. | 8,100 | 59,535 | |||||||||
Mid-America Apartment Communities, Inc. | 8,833 | 884,890 | |||||||||
National Retail Properties, Inc. | 2,776 | 124,420 | |||||||||
New Residential Investment Corp. | 6,056 | 107,918 |
195
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Omega Healthcare Investors, Inc. | 3,257 | $ | 106,732 | ||||||||
OUTFRONT Media, Inc. | 2,512 | 50,114 | |||||||||
Paramount Group, Inc. | 3,758 | 56,708 | |||||||||
Park Hotels & Resorts, Inc. | 3,643 | 119,563 | |||||||||
Rayonier, Inc. | 38,405 | 1,298,473 | |||||||||
Realty Income Corp. | 5,159 | 293,496 | |||||||||
Regency Centers Corp. | 10,554 | 682,527 | |||||||||
Retail Properties of America, Inc., Class A | 3,972 | 48,419 | |||||||||
Retail Value, Inc†. | 277 | 9,055 | |||||||||
Senior Housing Properties Trust | 4,264 | 74,876 | |||||||||
SL Green Realty Corp. | 1,549 | 151,074 | |||||||||
Spirit Realty Capital, Inc. | 7,756 | 62,513 | |||||||||
Starwood Property Trust, Inc. | 4,629 | 99,616 | |||||||||
STORE Capital Corp. | 3,232 | 89,817 | |||||||||
Sun Communities, Inc. | 7,569 | 768,556 | |||||||||
Two Harbors Investment Corp. | 4,453 | 66,483 | |||||||||
UDR, Inc. | 4,813 | 194,590 | |||||||||
Uniti Group, Inc. | 2,989 | 60,228 | |||||||||
Ventas, Inc. | 6,458 | 351,186 | |||||||||
VEREIT, Inc. | 17,583 | 127,653 | |||||||||
VICI Properties, Inc. | 4,948 | 106,976 | |||||||||
Vornado Realty Trust | 3,126 | 228,198 | |||||||||
Washington Prime Group, Inc. | 27,150 | 198,195 | |||||||||
Weingarten Realty Investors | 2,165 | 64,430 | |||||||||
Welltower, Inc. | 6,753 | 434,353 | |||||||||
Weyerhaeuser Co. | 29,840 | 962,937 | |||||||||
WP Carey, Inc. | 12,253 | 787,990 | |||||||||
21,114,615 | |||||||||||
Real Estate Management/Services — 0.6% | |||||||||||
CBRE Group, Inc., Class A† | 2,991 | 131,903 | |||||||||
Jones Lang LaSalle, Inc. | 822 | 118,631 | |||||||||
Realogy Holdings Corp. | 55,091 | 1,137,078 | |||||||||
1,387,612 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp.† | 419 | 52,048 | |||||||||
Recreational Centers — 0.1% | |||||||||||
St. Joe Co.† | 13,401 | 225,137 | |||||||||
Recreational Vehicles — 0.3% | |||||||||||
Brunswick Corp. | 9,444 | 632,937 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
AMERCO | 127 | 45,294 | |||||||||
Element Fleet Management Corp. | 41,748 | 214,938 | |||||||||
260,232 | |||||||||||
Retail-Apparel/Shoe — 0.5% | |||||||||||
Foot Locker, Inc. | 2,129 | 108,537 | |||||||||
Gap, Inc. | 8,518 | 245,744 | |||||||||
L Brands, Inc. | 16,005 | 484,952 | |||||||||
Tapestry, Inc. | 4,197 | 210,983 | |||||||||
Urban Outfitters, Inc.† | 6,906 | 282,455 | |||||||||
1,332,671 | |||||||||||
Retail-Arts & Crafts — 0.1% | |||||||||||
Michaels Cos., Inc.† | 17,490 | 283,863 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Auto Parts — 0.2% | |||||||||||
Advance Auto Parts, Inc. | 896 | $ | 150,824 | ||||||||
AutoZone, Inc.† | 61 | 47,318 | |||||||||
Genuine Parts Co. | 2,594 | 257,843 | |||||||||
455,985 | |||||||||||
Retail-Automobile — 0.1% | |||||||||||
AutoNation, Inc.† | 1,006 | 41,799 | |||||||||
CarMax, Inc.† | 1,273 | 95,055 | |||||||||
Penske Automotive Group, Inc. | 643 | 30,472 | |||||||||
167,326 | |||||||||||
Retail-Catalog Shopping — 0.1% | |||||||||||
MSC Industrial Direct Co., Inc., Class A | 445 | 39,209 | |||||||||
Qurate Retail Group, Inc.† | 7,886 | 175,148 | |||||||||
214,357 | |||||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 3,268 | 259,348 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Casey's General Stores, Inc. | 676 | 87,278 | |||||||||
Retail-Discount — 0.2% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 8,419 | 225,461 | |||||||||
Dollar Tree, Inc.† | 3,534 | 288,198 | |||||||||
513,659 | |||||||||||
Retail-Gardening Products — 0.3% | |||||||||||
Tractor Supply Co. | 8,104 | 736,492 | |||||||||
Retail-Jewelry — 0.4% | |||||||||||
Tiffany & Co. | 8,163 | 1,052,782 | |||||||||
Retail-Mail Order — 0.0% | |||||||||||
Williams-Sonoma, Inc. | 1,163 | 76,432 | |||||||||
Retail-Regional Department Stores — 0.2% | |||||||||||
Kohl's Corp. | 3,031 | 225,961 | |||||||||
Macy's, Inc. | 5,549 | 192,717 | |||||||||
418,678 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
Darden Restaurants, Inc. | 1,115 | 123,977 | |||||||||
Yum China Holdings, Inc. | 6,150 | 215,926 | |||||||||
339,903 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Dick's Sporting Goods, Inc. | 1,404 | 49,814 | |||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co. | 4,359 | 101,957 | |||||||||
Satellite Telecom — 0.0% | |||||||||||
EchoStar Corp., Class A† | 867 | 40,203 | |||||||||
Savings & Loans/Thrifts — 0.3% | |||||||||||
Capitol Federal Financial, Inc. | 37,812 | 481,725 | |||||||||
New York Community Bancorp, Inc. | 8,635 | 89,545 | |||||||||
People's United Financial, Inc. | 6,273 | 107,394 | |||||||||
Sterling Bancorp | 4,041 | 88,902 | |||||||||
TFS Financial Corp. | 898 | 13,479 | |||||||||
781,045 |
196
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Schools — 0.4% | |||||||||||
Bright Horizons Family Solutions, Inc.† | 161 | $ | 18,972 | ||||||||
Graham Holdings Co., Class B | 76 | 44,027 | |||||||||
Strategic Education, Inc. | 6,262 | 858,082 | |||||||||
921,081 | |||||||||||
Semiconductor Components-Integrated Circuits — 1.1% | |||||||||||
Analog Devices, Inc. | 13,883 | 1,283,622 | |||||||||
Cypress Semiconductor Corp. | 2,013 | 29,168 | |||||||||
Marvell Technology Group, Ltd. | 38,498 | 743,012 | |||||||||
Maxim Integrated Products, Inc. | 11,767 | 663,541 | |||||||||
2,719,343 | |||||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Teradyne, Inc. | 2,912 | 107,686 | |||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 114 | 29,193 | |||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 674 | 40,015 | |||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
Valmont Industries, Inc. | 400 | 55,400 | |||||||||
Steel-Producers — 0.6% | |||||||||||
Nucor Corp. | 18,355 | 1,164,625 | |||||||||
Reliance Steel & Aluminum Co. | 1,272 | 108,489 | |||||||||
Steel Dynamics, Inc. | 3,475 | 157,035 | |||||||||
United States Steel Corp. | 3,196 | 97,414 | |||||||||
1,527,563 | |||||||||||
Telecommunication Equipment — 0.4% | |||||||||||
ARRIS International PLC† | 3,163 | 82,207 | |||||||||
CommScope Holding Co., Inc.† | 3,442 | 105,876 | |||||||||
Juniper Networks, Inc. | 6,266 | 187,792 | |||||||||
NICE, Ltd., ADR† | 5,777 | 661,293 | |||||||||
1,037,168 | |||||||||||
Telephone-Integrated — 0.3% | |||||||||||
CenturyLink, Inc. | 17,348 | 367,778 | |||||||||
GCI Liberty, Inc., Class A† | 1,828 | 93,228 | |||||||||
Telephone & Data Systems, Inc. | 6,882 | 209,419 | |||||||||
670,425 | |||||||||||
Television — 0.1% | |||||||||||
Tribune Media Co., Class A | 2,988 | 114,829 | |||||||||
Textile-Home Furnishings — 0.1% | |||||||||||
Mohawk Industries, Inc.† | 1,128 | 197,795 | |||||||||
Theaters — 0.0% | |||||||||||
Cinemark Holdings, Inc. | 1,941 | 78,028 | |||||||||
Therapeutics — 0.0% | |||||||||||
Agios Pharmaceuticals, Inc.† | 59 | 4,550 | |||||||||
Tools-Hand Held — 0.6% | |||||||||||
Snap-on, Inc. | 1,017 | 186,721 | |||||||||
Stanley Black & Decker, Inc. | 9,226 | 1,351,056 | |||||||||
1,537,777 |
Security Description | Shares | Value (Note 2) | |||||||||
Toys — 0.1% | |||||||||||
Hasbro, Inc. | 448 | $ | 47,094 | ||||||||
Mattel, Inc. | 10,943 | 171,805 | |||||||||
218,899 | |||||||||||
Transport-Marine — 0.2% | |||||||||||
Kirby Corp.† | 1,069 | 87,925 | |||||||||
Tidewater, Inc.† | 10,000 | 311,900 | |||||||||
399,825 | |||||||||||
Transport-Rail — 0.6% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 851 | 77,433 | |||||||||
Kansas City Southern | 11,565 | 1,310,083 | |||||||||
1,387,516 | |||||||||||
Transport-Services — 0.8% | |||||||||||
C.H. Robinson Worldwide, Inc. | 12,759 | 1,249,361 | |||||||||
Expeditors International of Washington, Inc. | 8,612 | 633,241 | |||||||||
Ryder System, Inc. | 943 | 68,905 | |||||||||
1,951,507 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
Knight-Swift Transportation Holdings, Inc. | 2,337 | 80,580 | |||||||||
Schneider National, Inc., Class B | 720 | 17,985 | |||||||||
98,565 | |||||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.†. | 2,002 | 69,850 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife, Ltd.† | 1,707 | 93,117 | |||||||||
Water — 0.2% | |||||||||||
American Water Works Co., Inc. | 3,232 | 284,319 | |||||||||
Aqua America, Inc. | 3,228 | 119,113 | |||||||||
403,432 | |||||||||||
Water Treatment Systems — 0.1% | |||||||||||
Pentair PLC | 2,918 | 126,495 | |||||||||
Wireless Equipment — 0.4% | |||||||||||
Motorola Solutions, Inc. | 6,832 | 889,117 | |||||||||
Total Common Stocks (cost $211,408,409) | 243,856,878 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.1% | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Bunge, Ltd. (Preference Shares) (cost $220,717) | 1,948 | 211,358 | |||||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||||||
iShares Russell Midcap Value Index Fund (cost $1,155,354) | 12,825 | 1,157,584 | |||||||||
Total Long-Term Investment Securities (cost $212,784,480) | 245,225,820 |
197
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 3.6% | |||||||||||
Registered Investment Companies — 2.9% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(1) | 2,828,414 | $ | 2,828,414 | ||||||||
T. Rowe Price Government Reserve Fund 2.09%(1) | 4,546,058 | 4,546,058 | |||||||||
7,374,472 | |||||||||||
U.S. Government Agencies — 0.6% | |||||||||||
Federal Home Loan Bank Disc. Notes 1.88% due 10/01/2018 | $ | 1,500,000 | 1,500,000 | ||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills Disc. Notes 2.05% due 11/01/2018(2) | 200,000 | 199,645 | |||||||||
Total Short-Term Investment Securities (cost $9,074,120) | 9,074,117 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $489,017 and collateralized by $505,000 of United States Treasury Bonds, bearing interest at 3.13%, due 08/15/2044 and having an approximate value of $501,562 (cost $489,000) | $ | 489,000 | $ | 489,000 | |||||||
TOTAL INVESTMENTS (cost $222,347,600)(3) | 100.3 | % | 254,788,937 | ||||||||
Liabilities in excess of other assets | (0.3 | ) | (814,601 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 253,974,336 |
† Non-income producing security
(1) The rate shown is the 7-day yield as of September 30, 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 Receipt
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 400 E-Mini Index | December 2018 | $ | 817,388 | $ | 810,080 | $ | (7,308 | ) |
* 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 September 30, 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 | $ | 243,856,878 | $ | — | $ | — | $ | 243,856,878 | |||||||||||
Convertible Preferred Securities | 211,358 | — | — | 211,358 | |||||||||||||||
Exchange-Traded Funds | 1,157,584 | — | — | 1,157,584 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 7,374,472 | — | — | 7,374,472 | |||||||||||||||
Other Short-Term Investment Securities | — | 1,699,645 | — | 1,699,645 | |||||||||||||||
Repurchase Agreements | — | 489,000 | — | 489,000 | |||||||||||||||
Total Investments at Value | $ | 252,600,292 | $ | 2,188,645 | $ | — | $ | 254,788,937 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 7,308 | $ | — | $ | — | $ | 7,308 |
* 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.
198
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
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 of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 investments at the end of the reporting period.
See Notes to Financial Statements
199
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 7.6 | % | |||||
Human Resources | 4.6 | ||||||
Real Estate Investment Trusts | 4.2 | ||||||
Insurance-Property/Casualty | 3.3 | ||||||
Medical-Biomedical/Gene | 2.5 | ||||||
Aerospace/Defense-Equipment | 2.2 | ||||||
Chemicals-Specialty | 1.7 | ||||||
Real Estate Management/Services | 1.7 | ||||||
Enterprise Software/Service | 1.6 | ||||||
Savings & Loans/Thrifts | 1.5 | ||||||
Medical-Drugs | 1.5 | ||||||
Commercial Services-Finance | 1.4 | ||||||
Oil Companies-Exploration & Production | 1.4 | ||||||
Finance-Consumer Loans | 1.3 | ||||||
Building-Residential/Commercial | 1.3 | ||||||
Athletic Equipment | 1.3 | ||||||
Finance-Auto Loans | 1.3 | ||||||
Recreational Vehicles | 1.2 | ||||||
Miscellaneous Manufacturing | 1.2 | ||||||
Engineering/R&D Services | 1.2 | ||||||
Computer Services | 1.2 | ||||||
Electronic Components-Semiconductors | 1.1 | ||||||
Retail-Automobile | 1.1 | ||||||
Building & Construction Products-Misc. | 1.1 | ||||||
Retail-Restaurants | 1.0 | ||||||
Retail-Apparel/Shoe | 1.0 | ||||||
Auto/Truck Parts & Equipment-Replacement | 1.0 | ||||||
Professional Sports | 1.0 | ||||||
Medical Products | 0.9 | ||||||
Diversified Manufacturing Operations | 0.9 | ||||||
Computer Software | 0.9 | ||||||
B2B/E-Commerce | 0.9 | ||||||
Oil-Field Services | 0.9 | ||||||
Medical-HMO | 0.9 | ||||||
Veterinary Diagnostics | 0.8 | ||||||
Building Products-Wood | 0.8 | ||||||
Diversified Operations/Commercial Services | 0.8 | ||||||
Paper & Related Products | 0.8 | ||||||
Machinery-Farming | 0.7 | ||||||
Machinery-General Industrial | 0.7 | ||||||
Consumer Products-Misc. | 0.7 | ||||||
Electronic Components-Misc. | 0.7 | ||||||
Investment Management/Advisor Services | 0.7 | ||||||
Batteries/Battery Systems | 0.7 | ||||||
Food-Misc./Diversified | 0.7 | ||||||
Finance-Other Services | 0.7 | ||||||
Building & Construction-Misc. | 0.7 | ||||||
Semiconductor Equipment | 0.7 | ||||||
Finance-Investment Banker/Broker | 0.6 | ||||||
Registered Investment Companies | 0.6 | ||||||
Footwear & Related Apparel | 0.6 | ||||||
Applications Software | 0.6 | ||||||
Distribution/Wholesale | 0.6 | ||||||
Computers-Integrated Systems | 0.6 | ||||||
E-Commerce/Services | 0.5 | ||||||
Electric-Integrated | 0.5 | ||||||
Building-Heavy Construction | 0.5 | ||||||
Rubber/Plastic Products | 0.5 | ||||||
Data Processing/Management | 0.5 | ||||||
Medical-Hospitals | 0.5 |
Energy-Alternate Sources | 0.5 | % | |||||
Retail-Home Furnishings | 0.5 | ||||||
Gas-Distribution | 0.5 | ||||||
Coal | 0.5 | ||||||
Power Converter/Supply Equipment | 0.4 | ||||||
Consulting Services | 0.4 | ||||||
Insurance-Life/Health | 0.4 | ||||||
Transport-Truck | 0.4 | ||||||
Home Furnishings | 0.4 | ||||||
Medical-Generic Drugs | 0.4 | ||||||
Gambling (Non-Hotel) | 0.4 | ||||||
Computer Aided Design | 0.4 | ||||||
Commercial Services | 0.4 | ||||||
Medical-Outpatient/Home Medical | 0.4 | ||||||
Exchange-Traded Funds | 0.4 | ||||||
Electronic Measurement Instruments | 0.4 | ||||||
Water | 0.4 | ||||||
Racetracks | 0.4 | ||||||
Auto-Heavy Duty Trucks | 0.4 | ||||||
Building Products-Cement | 0.3 | ||||||
Medical Instruments | 0.3 | ||||||
Therapeutics | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Auto-Truck Trailers | 0.3 | ||||||
Containers-Paper/Plastic | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Wireless Equipment | 0.3 | ||||||
Financial Guarantee Insurance | 0.3 | ||||||
Telecom Equipment-Fiber Optics | 0.3 | ||||||
Telephone-Integrated | 0.3 | ||||||
Airlines | 0.3 | ||||||
Office Supplies & Forms | 0.3 | ||||||
Publishing-Newspapers | 0.3 | ||||||
Disposable Medical Products | 0.3 | ||||||
Printing-Commercial | 0.2 | ||||||
Schools | 0.2 | ||||||
Building Products-Doors & Windows | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Metal-Aluminum | 0.2 | ||||||
Firearms & Ammunition | 0.2 | ||||||
Retail-Jewelry | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Oil Field Machinery & Equipment | 0.2 | ||||||
Telecom Services | 0.2 | ||||||
Television | 0.2 | ||||||
Diagnostic Equipment | 0.2 | ||||||
Retail-Pawn Shops | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Insurance-Multi-line | 0.2 | ||||||
Publishing-Books | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Environmental Consulting & Engineering | 0.2 | ||||||
Appliances | 0.2 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Electronic Parts Distribution | 0.1 |
200
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Food-Wholesale/Distribution | 0.1 | % | |||||
Web Hosting/Design | 0.1 | ||||||
Lasers-System/Components | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Banks-Mortgage | 0.1 | ||||||
Instruments-Controls | 0.1 | ||||||
Building-Mobile Home/Manufactured Housing | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Cosmetics & Toiletries | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Metal Processors & Fabrication | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Linen Supply & Related Items | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Circuit Boards | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Auto Repair Centers | 0.1 | ||||||
Real Estate Operations & Development | 0.1 | ||||||
Poultry | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Golf | 0.1 | ||||||
Computers-Other | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Identification Systems | 0.1 | ||||||
Office Furnishings-Original | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Electronic Security Devices | 0.1 | ||||||
Computers-Periphery Equipment | 0.1 | ||||||
Storage/Warehousing | 0.1 | ||||||
Vitamins & Nutrition Products | 0.1 | ||||||
Transport-Equipment & Leasing | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Medical-Nursing Homes | 0.1 | ||||||
Retail-Office Supplies | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Telecommunication Equipment | 0.1 | ||||||
Wire & Cable Products | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Internet Content-Information/News | 0.1 | ||||||
Transport-Air Freight | 0.1 | ||||||
Tobacco | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Textile-Apparel | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Physical Therapy/Rehabilitation Centers | 0.1 | ||||||
Food-Dairy Products | 0.1 | ||||||
Multimedia | 0.1 | ||||||
Rubber-Tires | 0.1 |
Food-Retail | 0.1 | % | |||||
Banks-Super Regional | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Non-Ferrous Metals | 0.1 | ||||||
98.7 | % |
* Calculated as a percentage of net assets
201
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.5% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Haynes International, Inc. | 1,524 | $ | 54,102 | ||||||||
Advertising Services — 0.0% | |||||||||||
Forrester Research, Inc. | 1,233 | 56,595 | |||||||||
Aerospace/Defense — 0.2% | |||||||||||
AeroVironment, Inc.† | 2,595 | 291,081 | |||||||||
Cubic Corp. | 3,055 | 223,168 | |||||||||
National Presto Industries, Inc. | 612 | 79,346 | |||||||||
593,595 | |||||||||||
Aerospace/Defense-Equipment — 2.2% | |||||||||||
AAR Corp. | 3,936 | 188,495 | |||||||||
Aerojet Rocketdyne Holdings, Inc.† | 8,474 | 288,031 | |||||||||
Curtiss-Wright Corp. | 3,475 | 477,535 | |||||||||
HEICO Corp. | 37,433 | 3,466,670 | |||||||||
Kaman Corp. | 3,411 | 227,787 | |||||||||
KLX, Inc.† | 24,349 | 1,528,630 | |||||||||
Moog, Inc., Class A | 5,656 | 486,246 | |||||||||
Triumph Group, Inc. | 6,069 | 141,408 | |||||||||
6,804,802 | |||||||||||
Agricultural Operations — 0.0% | |||||||||||
Andersons, Inc. | 3,207 | 120,744 | |||||||||
Airlines — 0.3% | |||||||||||
Allegiant Travel Co. | 1,556 | 197,301 | |||||||||
Hawaiian Holdings, Inc. | 6,182 | 247,898 | |||||||||
SkyWest, Inc. | 6,345 | 373,720 | |||||||||
818,919 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Oxford Industries, Inc. | 2,064 | 186,173 | |||||||||
Appliances — 0.2% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 4,200 | 92,148 | |||||||||
iRobot Corp.† | 3,339 | 367,023 | |||||||||
459,171 | |||||||||||
Applications Software — 0.6% | |||||||||||
Ebix, Inc. | 2,762 | 218,612 | |||||||||
PDF Solutions, Inc.† | 3,368 | 30,413 | |||||||||
RealPage, Inc.† | 23,666 | 1,559,590 | |||||||||
1,808,615 | |||||||||||
Athletic Equipment — 1.3% | |||||||||||
Fox Factory Holding Corp.† | 53,008 | 3,713,210 | |||||||||
Nautilus, Inc.† | 3,685 | 51,406 | |||||||||
Vista Outdoor, Inc.† | 7,009 | 125,391 | |||||||||
3,890,007 | |||||||||||
Audio/Video Products — 0.0% | |||||||||||
Daktronics, Inc. | 4,781 | 37,483 | |||||||||
Universal Electronics, Inc.† | 1,685 | 66,305 | |||||||||
103,788 | |||||||||||
Auto Repair Centers — 0.1% | |||||||||||
Monro, Inc. | 4,007 | 278,887 | |||||||||
Auto-Heavy Duty Trucks — 0.4% | |||||||||||
REV Group, Inc. | 68,745 | 1,079,296 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto-Truck Trailers — 0.3% | |||||||||||
Wabash National Corp. | 51,270 | $ | 934,652 | ||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
American Axle & Manufacturing Holdings, Inc.† | 13,607 | 237,306 | |||||||||
Cooper-Standard Holdings, Inc.† | 2,019 | 242,240 | |||||||||
Gentherm, Inc.† | 4,442 | 201,889 | |||||||||
Meritor, Inc.† | 1,300 | 25,168 | |||||||||
Methode Electronics, Inc. | 4,506 | 163,117 | |||||||||
Superior Industries International, Inc. | 2,804 | 47,808 | |||||||||
Titan International, Inc. | 6,130 | 45,485 | |||||||||
963,013 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 1.0% | |||||||||||
Dorman Products, Inc.† | 29,755 | 2,288,755 | |||||||||
Douglas Dynamics, Inc. | 13,200 | 579,480 | |||||||||
Motorcar Parts of America, Inc.† | 2,305 | 54,052 | |||||||||
Standard Motor Products, Inc. | 2,459 | 121,032 | |||||||||
3,043,319 | |||||||||||
B2B/E-Commerce — 0.9% | |||||||||||
ePlus, Inc.† | 29,158 | 2,702,947 | |||||||||
Banks-Commercial — 7.6% | |||||||||||
1st Source Corp. | 2,840 | 149,441 | |||||||||
Allegiance Bancshares, Inc.† | 14,041 | 585,510 | |||||||||
Ameris Bancorp | 4,863 | 222,239 | |||||||||
BancFirst Corp. | 8,900 | 533,555 | |||||||||
BancorpSouth Bank | 11,800 | 385,860 | |||||||||
Bank OZK | 68,448 | 2,598,286 | |||||||||
Banner Corp. | 22,839 | 1,419,901 | |||||||||
Cadence BanCorp | 800 | 20,896 | |||||||||
Cathay General Bancorp | 4,600 | 190,624 | |||||||||
CenterState Bank Corp. | 2,214 | 62,103 | |||||||||
Central Pacific Financial Corp. | 17,685 | 467,415 | |||||||||
Central Valley Community Bancorp | 1,100 | 23,771 | |||||||||
Citizens & Northern Corp. | 1,200 | 31,380 | |||||||||
City Holding Co. | 4,783 | 367,334 | |||||||||
Columbia Banking System, Inc. | 8,927 | 346,100 | |||||||||
Community Bank System, Inc. | 6,227 | 380,283 | |||||||||
Customers Bancorp, Inc.† | 3,550 | 83,531 | |||||||||
CVB Financial Corp. | 31,578 | 704,821 | |||||||||
East West Bancorp, Inc. | 155 | 9,357 | |||||||||
FCB Financial Holdings, Inc., Class A† | 14,200 | 673,080 | |||||||||
Fidelity Southern Corp. | 2,686 | 66,559 | |||||||||
First BanCorp./Puerto Rico† | 26,461 | 240,795 | |||||||||
First Commonwealth Financial Corp. | 31,528 | 508,862 | |||||||||
First Community Bancshares, Inc. | 1,300 | 44,044 | |||||||||
First Financial Bancorp | 16,870 | 501,039 | |||||||||
First Financial Bankshares, Inc. | 8,245 | 487,279 | |||||||||
First Hawaiian, Inc. | 4,300 | 116,788 | |||||||||
First Interstate BancSystem, Inc., Class A | 2,900 | 129,920 | |||||||||
First Midwest Bancorp, Inc. | 12,568 | 334,183 | |||||||||
Franklin Financial Network, Inc.† | 1,483 | 57,985 | |||||||||
Glacier Bancorp, Inc. | 10,297 | 443,698 | |||||||||
Great Western Bancorp, Inc. | 8,578 | 361,906 | |||||||||
Green Bancorp, Inc. | 3,227 | 71,317 |
202
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Guaranty Bancorp | 2,000 | $ | 59,400 | ||||||||
Hanmi Financial Corp. | 3,961 | 98,629 | |||||||||
Heritage Financial Corp. | 4,043 | 142,111 | |||||||||
Home BancShares, Inc. | 73,075 | 1,600,342 | |||||||||
Hope Bancorp, Inc. | 24,503 | 396,214 | |||||||||
Independent Bank Corp./ Massachusetts | 3,955 | 326,683 | |||||||||
Independent Bank Corp./Michigan | 5,500 | 130,075 | |||||||||
LegacyTexas Financial Group, Inc. | 51,330 | 2,186,658 | |||||||||
NBT Bancorp, Inc. | 5,319 | 204,143 | |||||||||
OFG Bancorp | 16,059 | 259,353 | |||||||||
Old National Bancorp | 18,562 | 358,247 | |||||||||
Opus Bank | 2,632 | 72,117 | |||||||||
PacWest Bancorp | 3,100 | 147,715 | |||||||||
Preferred Bank | 1,699 | 99,391 | |||||||||
S&T Bancorp, Inc. | 4,265 | 184,930 | |||||||||
Seacoast Banking Corp. of Florida† | 5,746 | 167,783 | |||||||||
ServisFirst Bancshares, Inc. | 5,571 | 218,105 | |||||||||
Sierra Bancorp | 1,300 | 37,570 | |||||||||
Simmons First National Corp., Class A | 16,716 | 492,286 | |||||||||
Southside Bancshares, Inc. | 4,947 | 172,156 | |||||||||
TCF Financial Corp. | 11,900 | 283,339 | |||||||||
Tompkins Financial Corp. | 1,508 | 122,435 | |||||||||
Triumph Bancorp, Inc.† | 2,944 | 112,461 | |||||||||
TrustCo Bank Corp. | 11,762 | 99,977 | |||||||||
Trustmark Corp. | 4,100 | 137,965 | |||||||||
UMB Financial Corp. | 2,900 | 205,610 | |||||||||
Union Bankshares Corp. | 2,263 | 87,193 | |||||||||
United Community Banks, Inc. | 9,642 | 268,915 | |||||||||
Veritex Holdings, Inc.† | 26,636 | 752,733 | |||||||||
Webster Financial Corp. | 2,800 | 165,088 | |||||||||
West Bancorporation, Inc. | 1,850 | 43,475 | |||||||||
Westamerica Bancorporation | 14,749 | 887,300 | |||||||||
23,140,261 | |||||||||||
Banks-Fiduciary — 0.0% | |||||||||||
Boston Private Financial Holdings, Inc. | 10,303 | 140,636 | |||||||||
Banks-Mortgage — 0.1% | |||||||||||
Walker & Dunlop, Inc. | 7,505 | 396,864 | |||||||||
Banks-Super Regional — 0.1% | |||||||||||
National Bank Holdings Corp., Class A | 4,245 | 159,824 | |||||||||
Batteries/Battery Systems — 0.7% | |||||||||||
EnerSys | 24,528 | 2,137,125 | |||||||||
Beverages-Non-alcoholic — 0.0% | |||||||||||
Coca-Cola Bottling Co. Consolidated | 566 | 103,170 | |||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
MGP Ingredients, Inc. | 1,540 | 121,629 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Hemisphere Media Group, Inc.† | 12,400 | 172,980 | |||||||||
MSG Networks, Inc., Class A† | 9,100 | 234,780 | |||||||||
407,760 |
Security Description | Shares | Value (Note 2) | |||||||||
Building & Construction Products-Misc. — 1.1% | |||||||||||
American Woodmark Corp.† | 1,908 | $ | 149,682 | ||||||||
Gibraltar Industries, Inc.† | 3,898 | 177,749 | |||||||||
Patrick Industries, Inc.† | 33,672 | 1,993,382 | |||||||||
Quanex Building Products Corp. | 4,284 | 77,969 | |||||||||
Simpson Manufacturing Co., Inc. | 5,080 | 368,097 | |||||||||
Trex Co., Inc.† | 7,155 | 550,792 | |||||||||
3,317,671 | |||||||||||
Building & Construction-Misc. — 0.7% | |||||||||||
Comfort Systems USA, Inc. | 4,538 | 255,943 | |||||||||
EMCOR Group, Inc. | 17,100 | 1,284,381 | |||||||||
MYR Group, Inc.† | 7,718 | 251,916 | |||||||||
TopBuild Corp.† | 4,342 | 246,712 | |||||||||
2,038,952 | |||||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
AAON, Inc. | 4,967 | 187,753 | |||||||||
Building Products-Cement — 0.3% | |||||||||||
Continental Building Products, Inc.† | 24,800 | 931,240 | |||||||||
US Concrete, Inc.† | 1,947 | 89,270 | |||||||||
1,020,510 | |||||||||||
Building Products-Doors & Windows — 0.2% | |||||||||||
Apogee Enterprises, Inc. | 3,444 | 142,306 | |||||||||
Griffon Corp. | 4,113 | 66,425 | |||||||||
Masonite International Corp.† | 5,400 | 346,140 | |||||||||
PGT Innovations, Inc.† | 7,056 | 152,410 | |||||||||
707,281 | |||||||||||
Building Products-Wood — 0.8% | |||||||||||
Boise Cascade Co. | 4,739 | 174,395 | |||||||||
Universal Forest Products, Inc. | 62,116 | 2,194,558 | |||||||||
2,368,953 | |||||||||||
Building-Heavy Construction — 0.5% | |||||||||||
Aegion Corp.† | 3,937 | 99,921 | |||||||||
Dycom Industries, Inc.† | 15,608 | 1,320,437 | |||||||||
MasTec, Inc.† | 2,900 | 129,485 | |||||||||
Orion Group Holdings, Inc.† | 3,520 | 26,576 | |||||||||
1,576,419 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ABM Industries, Inc. | 8,023 | 258,742 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.1% | |||||||||||
Cavco Industries, Inc.† | 1,039 | 262,867 | |||||||||
Winnebago Industries, Inc. | 3,496 | 115,892 | |||||||||
378,759 | |||||||||||
Building-Residential/Commercial — 1.3% | |||||||||||
Beazer Homes USA, Inc.† | 501 | 5,260 | |||||||||
Hovnanian Enterprises, Inc., Class A† | 106,900 | 171,040 | |||||||||
Installed Building Products, Inc.† | 31,501 | 1,228,539 | |||||||||
KB Home | 48,700 | 1,164,417 | |||||||||
LGI Homes, Inc.† | 2,261 | 107,262 | |||||||||
M/I Homes, Inc.† | 3,481 | 83,300 | |||||||||
MDC Holdings, Inc. | 5,501 | 162,720 | |||||||||
Meritage Homes Corp.† | 4,655 | 185,734 | |||||||||
Taylor Morrison Home Corp., Class A† | 41,100 | 741,444 |
203
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial (continued) | |||||||||||
TRI Pointe Group, Inc.† | 6,700 | $ | 83,080 | ||||||||
William Lyon Homes, Class A† | 4,040 | 64,196 | |||||||||
3,996,992 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
WideOpenWest, Inc.† | 9,200 | 103,132 | |||||||||
Capacitors — 0.0% | |||||||||||
KEMET Corp.† | 6,989 | 129,646 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
8x8, Inc.† | 11,370 | 241,613 | |||||||||
ATN International, Inc. | 1,322 | 97,669 | |||||||||
339,282 | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
Aceto Corp. | 3,751 | 8,477 | |||||||||
AdvanSix, Inc.† | 3,695 | 125,445 | |||||||||
Innophos Holdings, Inc. | 2,389 | 106,072 | |||||||||
Innospec, Inc. | 2,975 | 228,331 | |||||||||
Koppers Holdings, Inc.† | 2,580 | 80,367 | |||||||||
Quaker Chemical Corp. | 1,624 | 328,389 | |||||||||
877,081 | |||||||||||
Chemicals-Fibers — 0.0% | |||||||||||
Rayonier Advanced Materials, Inc. | 6,240 | 115,003 | |||||||||
Chemicals-Other — 0.0% | |||||||||||
American Vanguard Corp. | 3,251 | 58,518 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
A. Schulman, Inc. CVR†(1)(2) | 3,640 | 5,296 | |||||||||
PolyOne Corp. | 2,200 | 96,184 | |||||||||
101,480 | |||||||||||
Chemicals-Specialty — 1.7% | |||||||||||
Balchem Corp. | 26,545 | 2,975,429 | |||||||||
H.B. Fuller Co. | 6,166 | 318,597 | |||||||||
Hawkins, Inc. | 1,175 | 48,704 | |||||||||
Ingevity Corp.† | 5,123 | 521,931 | |||||||||
Kraton Corp.† | 3,885 | 183,178 | |||||||||
Minerals Technologies, Inc. | 5,000 | 338,000 | |||||||||
OMNOVA Solutions, Inc.† | 16,600 | 163,510 | |||||||||
Rogers Corp.† | 2,240 | 329,997 | |||||||||
Sensient Technologies Corp. | 1,800 | 137,718 | |||||||||
Stepan Co. | 2,470 | 214,915 | |||||||||
5,231,979 | |||||||||||
Circuit Boards — 0.1% | |||||||||||
Park Electrochemical Corp. | 2,343 | 45,665 | |||||||||
TTM Technologies, Inc.† | 16,642 | 264,774 | |||||||||
310,439 | |||||||||||
Coal — 0.5% | |||||||||||
Arch Coal, Inc., Class A | 3,100 | 277,140 | |||||||||
Cloud Peak Energy, Inc.† | 9,232 | 21,234 | |||||||||
CONSOL Energy, Inc.† | 3,412 | 139,244 | |||||||||
NACCO Industries, Inc., Class A | 3,100 | 101,525 | |||||||||
Peabody Energy Corp. | 5,600 | 199,584 | |||||||||
SunCoke Energy, Inc.† | 10,386 | 120,685 | |||||||||
Warrior Met Coal, Inc. | 18,800 | 508,352 | |||||||||
1,367,764 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services — 0.4% | |||||||||||
Acacia Research Corp.† | 17,900 | $ | 57,280 | ||||||||
Care.com, Inc.† | 5,600 | 123,816 | |||||||||
HMS Holdings Corp.† | 10,169 | 333,645 | |||||||||
Medifast, Inc. | 2,156 | 477,662 | |||||||||
Nutrisystem, Inc. | 3,587 | 132,898 | |||||||||
Team, Inc.† | 3,658 | 82,305 | |||||||||
1,207,606 | |||||||||||
Commercial Services-Finance — 1.4% | |||||||||||
Cardtronics PLC, Class A† | 4,548 | 143,899 | |||||||||
Euronet Worldwide, Inc.† | 1,400 | 140,308 | |||||||||
EVERTEC, Inc. | 7,353 | 177,207 | |||||||||
Green Dot Corp., Class A† | 8,264 | 734,008 | |||||||||
MarketAxess Holdings, Inc. | 1,650 | 294,509 | |||||||||
Travelport Worldwide, Ltd. | 49,476 | 834,660 | |||||||||
WEX, Inc.† | 10,027 | 2,013,021 | |||||||||
4,337,612 | |||||||||||
Communications Software — 0.0% | |||||||||||
Digi International, Inc.† | 3,319 | 44,641 | |||||||||
Computer Aided Design — 0.4% | |||||||||||
Aspen Technology, Inc.† | 10,850 | 1,235,923 | |||||||||
Computer Data Security — 0.2% | |||||||||||
Carbon Black, Inc.† | 1,400 | 29,652 | |||||||||
OneSpan, Inc.† | 3,823 | 72,828 | |||||||||
Qualys, Inc.† | 4,086 | 364,063 | |||||||||
466,543 | |||||||||||
Computer Graphics — 0.0% | |||||||||||
Monotype Imaging Holdings, Inc. | 5,130 | 103,626 | |||||||||
Computer Services — 1.2% | |||||||||||
CACI International, Inc., Class A† | 3,010 | 554,292 | |||||||||
Carbonite, Inc.† | 27,817 | 991,676 | |||||||||
Engility Holdings, Inc.† | 2,207 | 79,430 | |||||||||
ExlService Holdings, Inc.† | 4,181 | 276,782 | |||||||||
Insight Enterprises, Inc.† | 4,321 | 233,723 | |||||||||
Science Applications International Corp. | 6,250 | 503,750 | |||||||||
Sykes Enterprises, Inc.† | 4,852 | 147,937 | |||||||||
Syntel, Inc.† | 3,800 | 155,724 | |||||||||
TTEC Holdings, Inc. | 1,688 | 43,719 | |||||||||
Unisys Corp.† | 22,715 | 463,386 | |||||||||
Virtusa Corp.† | 3,334 | 179,069 | |||||||||
3,629,488 | |||||||||||
Computer Software — 0.9% | |||||||||||
Box, Inc., Class A† | 4,100 | 98,031 | |||||||||
Envestnet, Inc.† | 39,443 | 2,404,051 | |||||||||
SendGrid, Inc.† | 800 | 29,432 | |||||||||
TiVo Corp. | 15,080 | 187,746 | |||||||||
2,719,260 | |||||||||||
Computers-Integrated Systems — 0.6% | |||||||||||
Agilysys, Inc.† | 2,150 | 35,045 | |||||||||
Cray, Inc.† | 4,974 | 106,941 | |||||||||
Diebold Nixdorf, Inc. | 9,271 | 41,720 | |||||||||
Mercury Systems, Inc.† | 5,898 | 326,277 |
204
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computers-Integrated Systems (continued) | |||||||||||
MTS Systems Corp. | 2,176 | $ | 119,136 | ||||||||
NetScout Systems, Inc.† | 43,600 | 1,100,900 | |||||||||
1,730,019 | |||||||||||
Computers-Other — 0.1% | |||||||||||
3D Systems Corp.† | 13,893 | 262,578 | |||||||||
Computers-Periphery Equipment — 0.1% | |||||||||||
Electronics For Imaging, Inc.† | 7,106 | 242,172 | |||||||||
Consulting Services — 0.4% | |||||||||||
FTI Consulting, Inc.† | 4,655 | 340,699 | |||||||||
Huron Consulting Group, Inc.† | 11,400 | 563,160 | |||||||||
Kelly Services, Inc., Class A | 3,793 | 91,146 | |||||||||
Navigant Consulting, Inc. | 13,883 | 320,142 | |||||||||
1,315,147 | |||||||||||
Consumer Products-Misc. — 0.7% | |||||||||||
Central Garden & Pet Co.† | 1,258 | 45,338 | |||||||||
Central Garden & Pet Co., Class A† | 4,977 | 164,938 | |||||||||
Helen of Troy, Ltd.† | 12,888 | 1,687,039 | |||||||||
WD-40 Co. | 1,690 | 290,849 | |||||||||
2,188,164 | |||||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Graphic Packaging Holding Co. | 32,300 | 452,523 | |||||||||
KapStone Paper and Packaging Corp. | 10,848 | 367,856 | |||||||||
Multi-Color Corp. | 1,698 | 105,700 | |||||||||
926,079 | |||||||||||
Cosmetics & Toiletries — 0.1% | |||||||||||
Avon Products, Inc.† | 53,893 | 118,565 | |||||||||
Edgewell Personal Care Co.† | 2,500 | 115,575 | |||||||||
Inter Parfums, Inc. | 2,099 | 135,280 | |||||||||
369,420 | |||||||||||
Data Processing/Management — 0.5% | |||||||||||
Bottomline Technologies, Inc.† | 4,459 | 324,214 | |||||||||
CSG Systems International, Inc. | 4,583 | 183,962 | |||||||||
Fair Isaac Corp.† | 4,500 | 1,028,475 | |||||||||
1,536,651 | |||||||||||
Diagnostic Equipment — 0.2% | |||||||||||
BioTelemetry, Inc.† | 3,987 | 256,962 | |||||||||
Repligen Corp.† | 4,750 | 263,435 | |||||||||
520,397 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
Meridian Bioscience, Inc. | 17,165 | 255,758 | |||||||||
OraSure Technologies, Inc.† | 7,453 | 115,149 | |||||||||
370,907 | |||||||||||
Disposable Medical Products — 0.3% | |||||||||||
CONMED Corp. | 3,151 | 249,622 | |||||||||
Merit Medical Systems, Inc.† | 6,669 | 409,810 | |||||||||
Utah Medical Products, Inc. | 1,000 | 94,200 | |||||||||
753,632 | |||||||||||
Distribution/Wholesale — 0.6% | |||||||||||
Anixter International, Inc.† | 3,506 | 246,472 | |||||||||
Core-Mark Holding Co., Inc. | 5,596 | 190,040 | |||||||||
Essendant, Inc. | 7,197 | 92,266 |
Security Description | Shares | Value (Note 2) | |||||||||
Distribution/Wholesale (continued) | |||||||||||
Fossil Group, Inc.† | 5,536 | $ | 128,878 | ||||||||
G-III Apparel Group, Ltd.† | 5,093 | 245,432 | |||||||||
H&E Equipment Services, Inc. | 11,147 | 421,134 | |||||||||
ScanSource, Inc.† | 3,118 | 124,408 | |||||||||
Titan Machinery, Inc.† | 17,300 | 267,890 | |||||||||
Veritiv Corp.† | 1,371 | �� | 49,904 | ||||||||
1,766,424 | |||||||||||
Diversified Manufacturing Operations — 0.9% | |||||||||||
Actuant Corp., Class A | 18,819 | 525,050 | |||||||||
AZZ, Inc. | 3,171 | 160,135 | |||||||||
Barnes Group, Inc. | 5,738 | 407,570 | |||||||||
EnPro Industries, Inc. | 2,554 | 186,263 | |||||||||
Fabrinet† | 4,441 | 205,441 | |||||||||
Federal Signal Corp. | 7,334 | 196,405 | |||||||||
Harsco Corp.† | 18,050 | 515,327 | |||||||||
LSB Industries, Inc.† | 2,475 | 24,206 | |||||||||
Lydall, Inc.† | 2,117 | 91,243 | |||||||||
Raven Industries, Inc. | 4,374 | 200,110 | |||||||||
Standex International Corp. | 1,563 | 162,943 | |||||||||
Tredegar Corp. | 3,114 | 67,418 | |||||||||
2,742,111 | |||||||||||
Diversified Operations/Commercial Services — 0.8% | |||||||||||
Colliers International Group, Inc. | 28,300 | 2,194,665 | |||||||||
Viad Corp. | 2,476 | 146,703 | |||||||||
2,341,368 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Assertio Therapeutics, Inc.† | 7,787 | 45,788 | |||||||||
E-Commerce/Services — 0.5% | |||||||||||
Liberty Expedia Holdings, Inc., Class A† | 10,800 | 508,032 | |||||||||
Shutterfly, Inc.† | 8,274 | 545,174 | |||||||||
Shutterstock, Inc. | 2,258 | 123,241 | |||||||||
Stamps.com, Inc.† | 2,079 | 470,270 | |||||||||
1,646,717 | |||||||||||
E-Marketing/Info — 0.1% | |||||||||||
Liquidity Services, Inc.† | 3,131 | 19,882 | |||||||||
New Media Investment Group, Inc. | 13,511 | 211,987 | |||||||||
QuinStreet, Inc.† | 4,479 | 60,780 | |||||||||
292,649 | |||||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 22,341 | 595,388 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 2,000 | 56,340 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 8,000 | 66,000 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 95,900 | 210,980 | |||||||||
Electric-Integrated — 0.5% | |||||||||||
Avista Corp. | 8,003 | 404,632 | |||||||||
El Paso Electric Co. | 10,558 | 603,917 | |||||||||
PNM Resources, Inc. | 4,100 | 161,745 | |||||||||
Portland General Electric Co. | 9,800 | 446,978 | |||||||||
1,617,272 |
205
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Misc. — 0.7% | |||||||||||
Applied Optoelectronics, Inc.† | 2,280 | $ | 56,225 | ||||||||
Bel Fuse, Inc., Class B | 2,399 | 63,574 | |||||||||
Benchmark Electronics, Inc. | 22,376 | 523,598 | |||||||||
Knowles Corp.† | 10,977 | 182,438 | |||||||||
OSI Systems, Inc.† | 8,350 | 637,188 | |||||||||
Plexus Corp.† | 3,927 | 229,769 | |||||||||
Sanmina Corp.† | 8,280 | 228,528 | |||||||||
Vishay Intertechnology, Inc. | 12,600 | 256,410 | |||||||||
2,177,730 | |||||||||||
Electronic Components-Semiconductors — 1.1% | |||||||||||
Amkor Technology, Inc.† | 37,000 | 273,430 | |||||||||
CEVA, Inc.† | 2,684 | 77,165 | |||||||||
CTS Corp. | 4,031 | 138,263 | |||||||||
Diodes, Inc.† | 4,821 | 160,491 | |||||||||
DSP Group, Inc.† | 2,378 | 28,298 | |||||||||
Kopin Corp.† | 7,469 | 18,075 | |||||||||
Rambus, Inc.† | 107,578 | 1,173,676 | |||||||||
Rudolph Technologies, Inc.† | 3,887 | 95,037 | |||||||||
Semtech Corp.† | 8,068 | 448,581 | |||||||||
Synaptics, Inc.† | 8,100 | 369,522 | |||||||||
Xperi Corp. | 40,082 | 595,218 | |||||||||
3,377,756 | |||||||||||
Electronic Measurement Instruments — 0.4% | |||||||||||
Badger Meter, Inc. | 3,547 | 187,814 | |||||||||
FARO Technologies, Inc.† | 2,069 | 133,140 | |||||||||
Itron, Inc.† | 4,070 | 261,294 | |||||||||
Stoneridge, Inc.† | 17,900 | 531,988 | |||||||||
1,114,236 | |||||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Tech Data Corp.† | 5,950 | 425,841 | |||||||||
Electronic Security Devices — 0.1% | |||||||||||
Alarm.com Holdings, Inc.† | 4,242 | 243,491 | |||||||||
Energy-Alternate Sources — 0.5% | |||||||||||
FutureFuel Corp. | 13,744 | 254,814 | |||||||||
Green Plains, Inc. | 4,745 | 81,614 | |||||||||
Pattern Energy Group, Inc., Class A | 7,700 | 152,999 | |||||||||
Renewable Energy Group, Inc.† | 9,439 | 271,843 | |||||||||
REX American Resources Corp.† | 6,772 | 511,625 | |||||||||
SolarEdge Technologies, Inc.† | 5,211 | 196,194 | |||||||||
1,469,089 | |||||||||||
Engineering/R&D Services — 1.2% | |||||||||||
Exponent, Inc. | 64,926 | 3,480,034 | |||||||||
VSE Corp. | 4,800 | 159,024 | |||||||||
3,639,058 | |||||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Briggs & Stratton Corp. | 22,664 | 435,829 | |||||||||
Enterprise Software/Service — 1.6% | |||||||||||
Domo, Inc., Class B† | 11,400 | 244,530 | |||||||||
Donnelley Financial Solutions, Inc.† | 10,542 | 188,913 | |||||||||
LivePerson, Inc.† | 6,995 | 181,520 | |||||||||
Manhattan Associates, Inc.† | 2,400 | 131,040 | |||||||||
ManTech International Corp., Class A | 3,215 | 203,510 |
Security Description | Shares | Value (Note 2) | |||||||||
Enterprise Software/Service (continued) | |||||||||||
MicroStrategy, Inc., Class A† | 2,149 | $ | 302,192 | ||||||||
Omnicell, Inc.† | 4,784 | 343,970 | |||||||||
Progress Software Corp. | 28,384 | 1,001,671 | |||||||||
SPS Commerce, Inc.† | 2,129 | 211,282 | |||||||||
SVMK, Inc.† | 7,400 | 118,622 | |||||||||
Tyler Technologies, Inc.† | 7,422 | 1,818,835 | |||||||||
4,746,085 | |||||||||||
Environmental Consulting & Engineering — 0.2% | |||||||||||
Tetra Tech, Inc. | 6,742 | 460,479 | |||||||||
Filtration/Separation Products — 0.1% | |||||||||||
ESCO Technologies, Inc. | 3,157 | 214,834 | |||||||||
Finance-Auto Loans — 1.3% | |||||||||||
Credit Acceptance Corp.† | 8,723 | 3,821,285 | |||||||||
Finance-Consumer Loans — 1.3% | |||||||||||
Encore Capital Group, Inc.† | 3,118 | 111,780 | |||||||||
Enova International, Inc.† | 4,161 | 119,837 | |||||||||
Nelnet, Inc., Class A | 3,900 | 222,963 | |||||||||
PRA Group, Inc.† | 97,739 | 3,518,604 | |||||||||
World Acceptance Corp.† | 757 | 86,571 | |||||||||
4,059,755 | |||||||||||
Finance-Investment Banker/Broker — 0.6% | |||||||||||
Diamond Hill Investment Group, Inc. | 5,989 | 990,521 | |||||||||
Evercore, Inc., Class A | 1,800 | 180,990 | |||||||||
Greenhill & Co., Inc. | 2,337 | 61,580 | |||||||||
Houlihan Lokey, Inc. | 7,700 | 345,961 | |||||||||
INTL. FCStone, Inc.† | 1,935 | 93,499 | |||||||||
Investment Technology Group, Inc. | 4,019 | 87,051 | |||||||||
Piper Jaffray Cos. | 1,848 | 141,095 | |||||||||
1,900,697 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Granite Point Mtg. Trust, Inc. | 5,294 | 102,068 | |||||||||
Finance-Other Services — 0.7% | |||||||||||
HomeStreet, Inc.† | 3,288 | 87,132 | |||||||||
WageWorks, Inc.† | 46,359 | 1,981,847 | |||||||||
2,068,979 | |||||||||||
Financial Guarantee Insurance — 0.3% | |||||||||||
MBIA, Inc.† | 27,900 | 298,251 | |||||||||
MGIC Investment Corp.† | 12,100 | 161,051 | |||||||||
NMI Holdings, Inc., Class A† | 13,611 | 308,289 | |||||||||
Radian Group, Inc. | 3,200 | 66,144 | |||||||||
833,735 | |||||||||||
Firearms & Ammunition — 0.2% | |||||||||||
Axon Enterprise, Inc.† | 7,105 | 486,195 | |||||||||
Sturm Ruger & Co., Inc. | 2,127 | 146,869 | |||||||||
633,064 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 1,924 | 64,839 | |||||||||
Food-Dairy Products — 0.1% | |||||||||||
Dean Foods Co. | 25,233 | 179,154 | |||||||||
Food-Misc./Diversified — 0.7% | |||||||||||
B&G Foods, Inc. | 8,033 | 220,506 | |||||||||
Cal-Maine Foods, Inc. | 3,685 | 177,985 |
206
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Misc./Diversified (continued) | |||||||||||
Darling Ingredients, Inc.† | 62,261 | $ | 1,202,883 | ||||||||
J&J Snack Foods Corp. | 1,824 | 275,223 | |||||||||
John B. Sanfilippo & Son, Inc. | 1,066 | 76,091 | |||||||||
Post Holdings, Inc.† | 1,300 | 127,452 | |||||||||
2,080,140 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Ingles Markets, Inc., Class A | 4,900 | 167,825 | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Calavo Growers, Inc. | 1,905 | 184,023 | |||||||||
SpartanNash Co. | 4,378 | 87,823 | |||||||||
SUPERVALU, Inc.† | 4,714 | 151,885 | |||||||||
423,731 | |||||||||||
Footwear & Related Apparel — 0.6% | |||||||||||
Crocs, Inc.† | 22,196 | 472,553 | |||||||||
Deckers Outdoor Corp.† | 1,700 | 201,586 | |||||||||
Steven Madden, Ltd. | 6,486 | 343,109 | |||||||||
Weyco Group, Inc. | 600 | 21,108 | |||||||||
Wolverine World Wide, Inc. | 20,085 | 784,319 | |||||||||
1,822,675 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Matthews International Corp., Class A | 3,911 | 196,137 | |||||||||
Gambling (Non-Hotel) — 0.4% | |||||||||||
Monarch Casino & Resort, Inc.† | 1,438 | 65,357 | |||||||||
Pinnacle Entertainment, Inc.† | 35,100 | 1,182,519 | |||||||||
1,247,876 | |||||||||||
Gas-Distribution — 0.5% | |||||||||||
Northwest Natural Holding Co. | 4,909 | 328,412 | |||||||||
South Jersey Industries, Inc. | 10,418 | 367,443 | |||||||||
Southwest Gas Holdings, Inc. | 2,800 | 221,284 | |||||||||
Spire, Inc. | 6,173 | 454,024 | |||||||||
1,371,163 | |||||||||||
Golf — 0.1% | |||||||||||
Callaway Golf Co. | 10,816 | 262,721 | |||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
US Ecology, Inc. | 2,679 | 197,576 | |||||||||
Health Care Cost Containment — 0.0% | |||||||||||
CorVel Corp.† | 1,127 | 67,902 | |||||||||
Home Furnishings — 0.4% | |||||||||||
Ethan Allen Interiors, Inc. | 3,006 | 62,374 | |||||||||
Hooker Furniture Corp. | 19,205 | 649,129 | |||||||||
Sleep Number Corp.† | 15,951 | 586,678 | |||||||||
1,298,181 | |||||||||||
Hotels/Motels — 0.1% | |||||||||||
Belmond, Ltd., Class A† | 10,913 | 199,162 | |||||||||
Marcus Corp. | 2,398 | 100,836 | |||||||||
299,998 | |||||||||||
Human Resources — 4.6% | |||||||||||
AMN Healthcare Services, Inc.† | 66,458 | 3,635,253 | |||||||||
ASGN, Inc.† | 49,810 | 3,931,503 | |||||||||
Barrett Business Services, Inc. | 9,096 | 607,431 |
Security Description | Shares | Value (Note 2) | |||||||||
Human Resources (continued) | |||||||||||
Cross Country Healthcare, Inc.† | 26,222 | $ | 228,918 | ||||||||
Heidrick & Struggles International, Inc. | 2,310 | 78,193 | |||||||||
Insperity, Inc. | 35,070 | 4,136,506 | |||||||||
Korn/Ferry International | 6,937 | 341,578 | |||||||||
Resources Connection, Inc. | 3,656 | 60,690 | |||||||||
TrueBlue, Inc.† | 13,650 | 355,582 | |||||||||
Willdan Group, Inc.† | 20,836 | 707,591 | |||||||||
14,083,245 | |||||||||||
Identification Systems — 0.1% | |||||||||||
Brady Corp., Class A | 5,873 | 256,944 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
Vistra Energy Corp.† | 5,218 | 129,824 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Ichor Holdings, Ltd.† | 2,968 | 60,607 | |||||||||
Instruments-Controls — 0.1% | |||||||||||
Control4 Corp.† | 3,179 | 109,135 | |||||||||
Watts Water Technologies, Inc., Class A | 3,388 | 281,204 | |||||||||
390,339 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
eHealth, Inc.† | 1,963 | 55,474 | |||||||||
Insurance-Life/Health — 0.4% | |||||||||||
American Equity Investment Life Holding Co. | 10,999 | 388,925 | |||||||||
CNO Financial Group, Inc. | 16,300 | 345,886 | |||||||||
Primerica, Inc. | 4,700 | 566,585 | |||||||||
1,301,396 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Horace Mann Educators Corp. | 4,997 | 224,365 | |||||||||
Kemper Corp. | 1,700 | 136,765 | |||||||||
United Fire Group, Inc. | 2,594 | 131,698 | |||||||||
492,828 | |||||||||||
Insurance-Property/Casualty — 3.3% | |||||||||||
Ambac Financial Group, Inc.† | 6,423 | 131,158 | |||||||||
AMERISAFE, Inc. | 24,429 | 1,513,377 | |||||||||
Employers Holdings, Inc. | 3,991 | 180,792 | |||||||||
First American Financial Corp. | 3,000 | 154,770 | |||||||||
HCI Group, Inc. | 894 | 39,112 | |||||||||
James River Group Holdings, Ltd. | 3,646 | 155,393 | |||||||||
Kinsale Capital Group, Inc. | 4,500 | 287,370 | |||||||||
National General Holdings Corp. | 72,409 | 1,943,458 | |||||||||
Navigators Group, Inc. | 7,329 | 506,434 | |||||||||
ProAssurance Corp. | 9,933 | 466,354 | |||||||||
RLI Corp. | 41,753 | 3,280,951 | |||||||||
Safety Insurance Group, Inc. | 1,769 | 158,502 | |||||||||
Selective Insurance Group, Inc. | 7,168 | 455,168 | |||||||||
Stewart Information Services Corp. | 2,893 | 130,214 | |||||||||
Third Point Reinsurance, Ltd.† | 15,489 | 201,357 | |||||||||
United Insurance Holdings Corp. | 2,609 | 58,389 | |||||||||
Universal Insurance Holdings, Inc. | 7,209 | 349,997 | |||||||||
10,012,796 |
207
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 1,100 | $ | 41,470 | ||||||||
Maiden Holdings, Ltd. | 8,408 | 23,963 | |||||||||
65,433 | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 5,094 | 284,245 | |||||||||
Internet Content-Information/News — 0.1% | |||||||||||
HealthStream, Inc. | 3,111 | 96,472 | |||||||||
XO Group, Inc.† | 2,998 | 103,371 | |||||||||
199,843 | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 2,075 | 220,635 | |||||||||
Zix Corp.† | 21,500 | 119,325 | |||||||||
339,960 | |||||||||||
Investment Management/Advisor Services — 0.7% | |||||||||||
Artisan Partners Asset Management, Inc., Class A | 39,303 | 1,273,417 | |||||||||
Blucora, Inc.† | 5,805 | 233,651 | |||||||||
BrightSphere Investment Group PLC | 3,000 | 37,200 | |||||||||
Stifel Financial Corp. | 1,350 | 69,201 | |||||||||
Virtus Investment Partners, Inc. | 1,873 | 213,054 | |||||||||
Waddell & Reed Financial, Inc., Class A | 9,717 | 205,806 | |||||||||
WisdomTree Investments, Inc. | 14,174 | 120,196 | |||||||||
2,152,525 | |||||||||||
Lasers-System/Components — 0.1% | |||||||||||
Electro Scientific Industries, Inc.† | 4,159 | 72,574 | |||||||||
II-VI, Inc.† | 7,163 | 338,810 | |||||||||
411,384 | |||||||||||
Linen Supply & Related Items — 0.1% | |||||||||||
UniFirst Corp. | 1,880 | 326,462 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Astec Industries, Inc. | 2,814 | 141,854 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
Bloom Energy Corp. Class A† | 700 | 23,856 | |||||||||
Franklin Electric Co., Inc. | 4,724 | 223,209 | |||||||||
247,065 | |||||||||||
Machinery-Farming — 0.7% | |||||||||||
Alamo Group, Inc. | 22,662 | 2,076,066 | |||||||||
Lindsay Corp. | 1,311 | 131,414 | |||||||||
2,207,480 | |||||||||||
Machinery-General Industrial — 0.7% | |||||||||||
Albany International Corp., Class A | 3,533 | 280,874 | |||||||||
Applied Industrial Technologies, Inc. | 8,718 | 682,183 | |||||||||
Chart Industries, Inc.† | 3,777 | 295,852 | |||||||||
DXP Enterprises, Inc.† | 9,128 | 365,759 | |||||||||
Kadant, Inc. | 3,800 | 409,830 | |||||||||
Tennant Co. | 2,202 | 167,242 | |||||||||
2,201,740 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
SPX FLOW, Inc.† | 5,184 | 269,568 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 8,966 | $ | 134,042 | ||||||||
Medical Information Systems — 0.2% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 27,000 | 384,750 | |||||||||
Computer Programs & Systems, Inc. | 1,459 | 39,174 | |||||||||
NextGen Healthcare, Inc.† | 5,790 | 116,263 | |||||||||
Tabula Rasa HealthCare, Inc.† | 2,047 | 166,196 | |||||||||
706,383 | |||||||||||
Medical Instruments — 0.3% | |||||||||||
AngioDynamics, Inc.† | 20,817 | 452,562 | |||||||||
Natus Medical, Inc.† | 4,074 | 145,238 | |||||||||
NuVasive, Inc.† | 5,500 | 390,390 | |||||||||
988,190 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Medpace Holdings, Inc.† | 5,300 | 317,523 | |||||||||
Medical Laser Systems — 0.0% | |||||||||||
Cutera, Inc.† | 1,686 | 54,879 | |||||||||
Medical Products — 0.9% | |||||||||||
CryoLife, Inc.† | 4,122 | 145,094 | |||||||||
Integer Holdings Corp.† | 17,505 | 1,452,040 | |||||||||
Invacare Corp. | 4,049 | 58,913 | |||||||||
LeMaitre Vascular, Inc. | 1,921 | 74,419 | |||||||||
Luminex Corp. | 9,554 | 289,582 | |||||||||
MiMedx Group, Inc.† | 34,346 | 212,258 | |||||||||
Orthofix Medical, Inc.† | 4,954 | 286,391 | |||||||||
OrthoPediatrics Corp.† | 2,200 | 80,608 | |||||||||
Surmodics, Inc.† | 1,627 | 121,456 | |||||||||
Tactile Systems Technology, Inc.† | 2,032 | 144,374 | |||||||||
2,865,135 | |||||||||||
Medical-Biomedical/Gene — 2.5% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 15,600 | 323,856 | |||||||||
Achillion Pharmaceuticals, Inc.† | 48,068 | 176,890 | |||||||||
Acorda Therapeutics, Inc.† | 4,802 | 94,359 | |||||||||
Alder Biopharmaceuticals, Inc.† | 12,300 | 204,795 | |||||||||
AMAG Pharmaceuticals, Inc.† | 15,700 | 314,000 | |||||||||
Amicus Therapeutics, Inc.† | 19,600 | 236,964 | |||||||||
ANI Pharmaceuticals, Inc.† | 1,008 | 56,992 | |||||||||
Aptinyx, Inc.† | 7,800 | 225,888 | |||||||||
Arena Pharmaceuticals, Inc.† | 6,030 | 277,501 | |||||||||
Arvinas, Inc.† | 200 | 3,374 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 7,100 | 266,605 | |||||||||
Bluebird Bio, Inc.† | 1,000 | 146,000 | |||||||||
Cambrex Corp.† | 4,052 | 277,157 | |||||||||
CytomX Therapeutics, Inc.† | 6,700 | 123,950 | |||||||||
Emergent BioSolutions, Inc.† | 5,363 | 353,046 | |||||||||
Forty Seven, Inc.† | 11,500 | 171,580 | |||||||||
Homology Medicines, Inc.† | 8,000 | 182,880 | |||||||||
Innoviva, Inc.† | 8,286 | 126,279 | |||||||||
Ligand Pharmaceuticals, Inc.† | 2,571 | 705,714 | |||||||||
Medicines Co.† | 8,002 | 239,340 | |||||||||
Menlo Therapeutics, Inc.† | 5,400 | 53,190 | |||||||||
Myriad Genetics, Inc.† | 16,641 | 765,486 | |||||||||
NewLink Genetics Corp.† | 23,400 | 55,926 | |||||||||
Novavax, Inc.† | 97,800 | 183,864 |
208
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Puma Biotechnology, Inc.† | 4,600 | $ | 210,910 | ||||||||
REGENXBIO, Inc.† | 7,704 | 581,652 | |||||||||
resTORbio, Inc.† | 4,000 | 60,560 | |||||||||
Sangamo Therapeutics, Inc.† | 3,900 | 66,105 | |||||||||
Selecta Biosciences, Inc.† | 14,200 | 220,810 | |||||||||
Solid Biosciences, Inc.† | 6,300 | 297,234 | |||||||||
Spark Therapeutics, Inc.† | 3,100 | 169,105 | |||||||||
Spectrum Pharmaceuticals, Inc.† | 12,044 | 202,339 | |||||||||
Synlogic, Inc.† | 11,852 | 168,417 | |||||||||
Y-mAbs Therapeutics, Inc.† | 700 | 18,592 | |||||||||
7,561,360 | |||||||||||
Medical-Drugs — 1.5% | |||||||||||
Aimmune Therapeutics, Inc.† | 6,400 | 174,592 | |||||||||
Clovis Oncology, Inc.† | 7,400 | 217,338 | |||||||||
Corcept Therapeutics, Inc.† | 12,867 | 180,395 | |||||||||
Cytokinetics, Inc.† | 6,656 | 65,562 | |||||||||
Eagle Pharmaceuticals, Inc.† | 2,957 | 205,009 | |||||||||
Enanta Pharmaceuticals, Inc.† | 1,912 | 163,399 | |||||||||
Global Blood Therapeutics, Inc.† | 7,000 | 266,000 | |||||||||
Gritstone Oncology, Inc.† | 3,000 | 42,720 | |||||||||
Horizon Pharma PLC† | 16,800 | 328,944 | |||||||||
Lannett Co., Inc.† | 10,523 | 49,984 | |||||||||
Mallinckrodt PLC† | 10,900 | 319,479 | |||||||||
Paratek Pharmaceuticals, Inc.† | 15,700 | 152,290 | |||||||||
Phibro Animal Health Corp., Class A | 2,452 | 105,191 | |||||||||
Prestige Consumer Healthcare, Inc.† | 10,300 | 390,267 | |||||||||
Principia Biopharma, Inc.† | 400 | 11,688 | |||||||||
Progenics Pharmaceuticals, Inc.† | 10,216 | 64,054 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 4,168 | 340,776 | |||||||||
Seres Therapeutics, Inc.† | 20,000 | 151,800 | |||||||||
Supernus Pharmaceuticals, Inc.† | 6,362 | 320,327 | |||||||||
Sutro Biopharma, Inc.† | 2,400 | 36,000 | |||||||||
Synergy Pharmaceuticals, Inc.† | 63,900 | 108,630 | |||||||||
TG Therapeutics, Inc.† | 13,900 | 77,840 | |||||||||
Vanda Pharmaceuticals, Inc.† | 18,582 | 426,457 | |||||||||
Voyager Therapeutics, Inc.† | 10,600 | 200,552 | |||||||||
4,399,294 | |||||||||||
Medical-Generic Drugs — 0.4% | |||||||||||
Amphastar Pharmaceuticals, Inc.† | 4,227 | 81,327 | |||||||||
Endo International PLC† | 56,382 | 948,909 | |||||||||
Momenta Pharmaceuticals, Inc.† | 9,542 | 250,955 | |||||||||
1,281,191 | |||||||||||
Medical-HMO — 0.9% | |||||||||||
Magellan Health, Inc.† | 2,992 | 215,574 | |||||||||
Molina Healthcare, Inc.† | 7,725 | 1,148,707 | |||||||||
Tivity Health, Inc.† | 28,474 | 915,439 | |||||||||
Triple-S Management Corp., Class B† | 12,000 | 226,680 | |||||||||
WellCare Health Plans, Inc.† | 350 | 112,172 | |||||||||
2,618,572 | |||||||||||
Medical-Hospitals — 0.5% | |||||||||||
Community Health Systems, Inc.† | 31,064 | 107,482 | |||||||||
Quorum Health Corp.† | 36,949 | 216,521 | |||||||||
Select Medical Holdings Corp.† | 13,195 | 242,788 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
Surgery Partners, Inc.† | 7,700 | $ | 127,050 | ||||||||
Tenet Healthcare Corp.† | 29,000 | 825,340 | |||||||||
1,519,181 | |||||||||||
Medical-Nursing Homes — 0.1% | |||||||||||
Ensign Group, Inc. | 5,965 | 226,193 | |||||||||
Medical-Outpatient/Home Medical — 0.4% | |||||||||||
Amedisys, Inc.† | 3,530 | 441,109 | |||||||||
Civitas Solutions, Inc.† | 18,875 | 278,406 | |||||||||
LHC Group, Inc.† | 3,550 | 365,614 | |||||||||
Providence Service Corp.† | 1,342 | 90,290 | |||||||||
1,175,419 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Diplomat Pharmacy, Inc.† | 6,890 | 133,735 | |||||||||
Owens & Minor, Inc. | 14,093 | 232,816 | |||||||||
366,551 | |||||||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
CIRCOR International, Inc. | 2,417 | 114,807 | |||||||||
LB Foster Co., Class A† | 1,300 | 26,715 | |||||||||
Mueller Industries, Inc. | 7,017 | 203,353 | |||||||||
344,875 | |||||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Olympic Steel, Inc. | 1,113 | 23,228 | |||||||||
Worthington Industries, Inc. | 9,300 | 403,248 | |||||||||
426,476 | |||||||||||
Metal-Aluminum — 0.2% | |||||||||||
Century Aluminum Co.† | 5,977 | 71,545 | |||||||||
Kaiser Aluminum Corp. | 5,676 | 619,024 | |||||||||
690,569 | |||||||||||
Miscellaneous Manufacturing — 1.2% | |||||||||||
FreightCar America, Inc.† | 2,100 | 33,747 | |||||||||
Hillenbrand, Inc. | 18,242 | 954,057 | |||||||||
John Bean Technologies Corp. | 22,261 | 2,655,737 | |||||||||
3,643,541 | |||||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Eros International PLC† | 13,100 | 157,855 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 7,300 | 109,865 | |||||||||
Multimedia — 0.1% | |||||||||||
E.W. Scripps Co., Class A | 6,996 | 115,434 | |||||||||
Entravision Communications Corp., Class A | 13,000 | 63,700 | |||||||||
179,134 | |||||||||||
Networking Products — 0.1% | |||||||||||
Extreme Networks, Inc.† | 14,416 | 78,999 | |||||||||
NETGEAR, Inc.† | 3,875 | 243,544 | |||||||||
322,543 | |||||||||||
Non-Ferrous Metals — 0.1% | |||||||||||
Materion Corp. | 2,465 | 149,133 | |||||||||
Office Furnishings-Original — 0.1% | |||||||||||
Interface, Inc. | 10,748 | 250,966 |
209
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Office Supplies & Forms — 0.3% | |||||||||||
ACCO Brands Corp. | 71,700 | $ | 810,210 | ||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Noble Corp. PLC† | 30,067 | 211,371 | |||||||||
Oil Companies-Exploration & Production — 1.4% | |||||||||||
Bonanza Creek Energy, Inc.† | 2,277 | 67,809 | |||||||||
Carrizo Oil & Gas, Inc.† | 10,380 | 261,576 | |||||||||
Denbury Resources, Inc.† | 112,722 | 698,876 | |||||||||
EP Energy Corp., Class A† | 43,783 | 102,452 | |||||||||
Gulfport Energy Corp.† | 69,300 | 721,413 | |||||||||
HighPoint Resources Corp.† | 13,457 | 65,670 | |||||||||
Laredo Petroleum, Inc.† | 18,623 | 152,150 | |||||||||
PDC Energy, Inc.† | 11,050 | 541,008 | |||||||||
Penn Virginia Corp.† | 1,633 | 131,522 | |||||||||
Ring Energy, Inc.† | 6,916 | 68,538 | |||||||||
Sanchez Energy Corp.† | 17,600 | 40,480 | |||||||||
SRC Energy, Inc.† | 29,547 | 262,673 | |||||||||
Unit Corp.† | 13,190 | 343,731 | |||||||||
W&T Offshore, Inc.† | 70,100 | 675,764 | |||||||||
4,133,662 | |||||||||||
Oil Field Machinery & Equipment — 0.2% | |||||||||||
Exterran Corp.† | 3,829 | 101,583 | |||||||||
Flotek Industries, Inc.† | 6,315 | 15,156 | |||||||||
Natural Gas Services Group, Inc.† | 2,800 | 59,080 | |||||||||
US Silica Holdings, Inc. | 21,839 | 411,229 | |||||||||
587,048 | |||||||||||
Oil Refining & Marketing — 0.3% | |||||||||||
Adams Resources & Energy, Inc. | 800 | 33,968 | |||||||||
Delek US Holdings, Inc. | 10,900 | 462,487 | |||||||||
Murphy USA, Inc.† | 3,500 | 299,110 | |||||||||
Par Pacific Holdings, Inc.† | 3,410 | 69,564 | |||||||||
865,129 | |||||||||||
Oil-Field Services — 0.9% | |||||||||||
Archrock, Inc. | 33,467 | 408,297 | |||||||||
Bristow Group, Inc.† | 4,357 | 52,850 | |||||||||
C&J Energy Services, Inc.† | 7,745 | 161,096 | |||||||||
CARBO Ceramics, Inc.† | 2,602 | 18,864 | |||||||||
Era Group, Inc.† | 2,484 | 30,677 | |||||||||
FTS International, Inc.† | 7,300 | 86,067 | |||||||||
Gulf Island Fabrication, Inc. | 1,668 | 16,597 | |||||||||
Helix Energy Solutions Group, Inc.† | 16,963 | 167,594 | |||||||||
KLX Energy Services Holdings, Inc.† | 12,213 | 390,925 | |||||||||
Matrix Service Co.† | 3,272 | 80,655 | |||||||||
MRC Global, Inc.† | 24,000 | 450,480 | |||||||||
Newpark Resources, Inc.† | 11,033 | 114,192 | |||||||||
Oil States International, Inc.† | 7,308 | 242,626 | |||||||||
Pioneer Energy Services Corp.† | 9,529 | 28,111 | |||||||||
ProPetro Holding Corp.† | 8,957 | 147,701 | |||||||||
SEACOR Holdings, Inc.† | 3,687 | 182,175 | |||||||||
TETRA Technologies, Inc.† | 15,312 | 69,057 | |||||||||
2,647,964 | |||||||||||
Paper & Related Products — 0.8% | |||||||||||
Clearwater Paper Corp.† | 2,006 | 59,578 | |||||||||
Domtar Corp. | 2,200 | 114,774 |
Security Description | Shares | Value (Note 2) | |||||||||
Paper & Related Products (continued) | |||||||||||
Neenah, Inc. | 20,576 | $ | 1,775,709 | ||||||||
P.H. Glatfelter Co. | 5,334 | 101,933 | |||||||||
Schweitzer-Mauduit International, Inc. | 3,747 | 143,547 | |||||||||
Verso Corp., Class A† | 4,300 | 144,781 | |||||||||
2,340,322 | |||||||||||
Physical Therapy/Rehabilitation Centers — 0.1% | |||||||||||
U.S. Physical Therapy, Inc. | 1,546 | 183,356 | |||||||||
Poultry — 0.1% | |||||||||||
Pilgrim's Pride Corp.† | 9,000 | 162,810 | |||||||||
Sanderson Farms, Inc. | 1,100 | 113,707 | |||||||||
276,517 | |||||||||||
Power Converter/Supply Equipment — 0.4% | |||||||||||
Generac Holdings, Inc.† | 15,000 | 846,150 | |||||||||
Powell Industries, Inc. | 5,962 | 216,182 | |||||||||
SPX Corp.† | 5,245 | 174,711 | |||||||||
Vicor Corp.† | 1,956 | 89,976 | |||||||||
1,327,019 | |||||||||||
Printing-Commercial — 0.2% | |||||||||||
Deluxe Corp. | 5,700 | 324,558 | |||||||||
Ennis, Inc. | 16,100 | 329,245 | |||||||||
LSC Communications, Inc. | 4,066 | 44,970 | |||||||||
RR Donnelley & Sons Co. | 8,577 | 46,316 | |||||||||
745,089 | |||||||||||
Professional Sports — 1.0% | |||||||||||
Madison Square Garden Co., Class A† | 9,648 | 3,042,207 | |||||||||
Publishing-Books — 0.2% | |||||||||||
Houghton Mifflin Harcourt Co.† | 45,400 | 317,800 | |||||||||
Scholastic Corp. | 3,373 | 157,485 | |||||||||
475,285 | |||||||||||
Publishing-Newspapers — 0.3% | |||||||||||
Gannett Co., Inc. | 60,367 | 604,274 | |||||||||
Tribune Publishing Co.† | 10,100 | 164,933 | |||||||||
769,207 | |||||||||||
Racetracks — 0.4% | |||||||||||
Penn National Gaming, Inc.† | 30,456 | 1,002,612 | |||||||||
Speedway Motorsports, Inc. | 4,500 | 80,325 | |||||||||
1,082,937 | |||||||||||
Real Estate Investment Trusts — 4.2% | |||||||||||
Acadia Realty Trust | 9,930 | 278,338 | |||||||||
Agree Realty Corp. | 3,781 | 200,847 | |||||||||
American Assets Trust, Inc. | 9,703 | 361,825 | |||||||||
Apollo Commercial Real Estate Finance, Inc. | 13,639 | 257,368 | |||||||||
Armada Hoffler Properties, Inc. | 5,957 | 90,010 | |||||||||
ARMOUR Residential REIT, Inc. | 5,108 | 114,675 | |||||||||
Ashford Hospitality Trust, Inc. | 34,200 | 218,538 | |||||||||
Capstead Mtg. Corp. | 76,470 | 604,878 | |||||||||
CareTrust REIT, Inc. | 9,866 | 174,727 | |||||||||
CBL & Associates Properties, Inc. | 26,637 | 106,282 | |||||||||
Cedar Realty Trust, Inc. | 10,749 | 50,090 | |||||||||
Chatham Lodging Trust | 5,590 | 116,775 |
210
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Cherry Hill Mtg. Investment Corp. | 5,900 | $ | 106,790 | ||||||||
Chesapeake Lodging Trust | 7,358 | 235,971 | |||||||||
City Office REIT, Inc. | 1,500 | 18,930 | |||||||||
Community Healthcare Trust, Inc. | 2,107 | 65,275 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 2,958 | 111,162 | |||||||||
CoreSite Realty Corp. | 7,400 | 822,436 | |||||||||
CubeSmart | 3,700 | 105,561 | |||||||||
DiamondRock Hospitality Co. | 56,522 | 659,612 | |||||||||
Dynex Capital, Inc. | 2,300 | 14,674 | |||||||||
Easterly Government Properties, Inc. | 7,357 | 142,505 | |||||||||
EastGroup Properties, Inc. | 6,754 | 645,817 | |||||||||
EPR Properties | 300 | 20,523 | |||||||||
Equity LifeStyle Properties, Inc. | 1,400 | 135,030 | |||||||||
First Industrial Realty Trust, Inc. | 2,700 | 84,780 | |||||||||
Four Corners Property Trust, Inc. | 8,143 | 209,194 | |||||||||
Franklin Street Properties Corp. | 17,765 | 141,942 | |||||||||
GEO Group, Inc. | 24,300 | 611,388 | |||||||||
Getty Realty Corp. | 4,084 | 116,639 | |||||||||
Gladstone Commercial Corp. | 1,100 | 21,065 | |||||||||
Global Net Lease, Inc. | 8,688 | 181,145 | |||||||||
Government Properties Income Trust | 13,582 | 153,341 | |||||||||
Hersha Hospitality Trust | 17,014 | 385,707 | |||||||||
Highwoods Properties, Inc. | 2,000 | 94,520 | |||||||||
Hospitality Properties Trust | 5,600 | 161,504 | |||||||||
Independence Realty Trust, Inc. | 10,680 | 112,460 | |||||||||
InfraREIT, Inc.† | 1,600 | 33,840 | |||||||||
Invesco Mtg. Capital, Inc. | 24,102 | 381,294 | |||||||||
iStar, Inc. | 8,281 | 92,499 | |||||||||
Kite Realty Group Trust | 10,194 | 169,730 | |||||||||
Lexington Realty Trust | 26,013 | 215,908 | |||||||||
LTC Properties, Inc. | 10,529 | 464,434 | |||||||||
Mack-Cali Realty Corp. | 4,900 | 104,174 | |||||||||
National Retail Properties, Inc. | 700 | 31,374 | |||||||||
National Storage Affiliates Trust | 6,887 | 175,205 | |||||||||
New York Mortgage Trust, Inc. | 16,943 | 103,013 | |||||||||
Pebblebrook Hotel Trust | 4,200 | 152,754 | |||||||||
Pennsylvania Real Estate Investment Trust | 10,711 | 101,326 | |||||||||
PennyMac Mtg. Investment Trust | 7,426 | 150,302 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 2,900 | 54,897 | |||||||||
PS Business Parks, Inc. | 3,856 | 490,059 | |||||||||
Ramco-Gershenson Properties Trust | 19,866 | 270,177 | |||||||||
Redwood Trust, Inc. | 10,104 | 164,089 | |||||||||
Retail Opportunity Investments Corp. | 13,740 | 256,526 | |||||||||
RLJ Lodging Trust | 3,100 | 68,293 | |||||||||
Saul Centers, Inc. | 4,098 | 229,488 | |||||||||
Summit Hotel Properties, Inc. | 12,761 | 172,656 | |||||||||
Taubman Centers, Inc. | 1,800 | 107,694 | |||||||||
Two Harbors Investment Corp. | 28,118 | 419,802 | |||||||||
Universal Health Realty Income Trust | 1,541 | 114,666 | |||||||||
Urstadt Biddle Properties, Inc., Class A | 3,632 | 77,325 | |||||||||
Washington Prime Group, Inc. | 22,667 | 165,469 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Whitestone REIT | 4,842 | $ | 67,207 | ||||||||
Xenia Hotels & Resorts, Inc. | 2,300 | 54,510 | |||||||||
12,821,035 | |||||||||||
Real Estate Management/Services — 1.7% | |||||||||||
FirstService Corp. | 37,592 | 3,182,539 | |||||||||
HFF, Inc., Class A | 4,766 | 202,460 | |||||||||
RE/MAX Holdings, Inc., Class A | 38,155 | 1,692,174 | |||||||||
5,077,173 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
Alexander & Baldwin, Inc. | 2,356 | 53,458 | |||||||||
Cushman & Wakefield PLC† | 13,200 | 224,268 | |||||||||
277,726 | |||||||||||
Recreational Vehicles — 1.2% | |||||||||||
Camping World Holdings, Inc., Class A | 60,668 | 1,293,442 | |||||||||
LCI Industries | 30,092 | 2,491,617 | |||||||||
3,785,059 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Rent-A-Center, Inc.† | 5,411 | 77,810 | |||||||||
Retail-Apparel/Shoe — 1.0% | |||||||||||
Abercrombie & Fitch Co., Class A | �� | 8,160 | 172,339 | ||||||||
American Eagle Outfitters, Inc. | 17,800 | 441,974 | |||||||||
Ascena Retail Group, Inc.† | 21,037 | 96,139 | |||||||||
Buckle, Inc. | 3,464 | 79,845 | |||||||||
Caleres, Inc. | 5,262 | 188,695 | |||||||||
Cato Corp., Class A | 2,791 | 58,667 | |||||||||
Chico's FAS, Inc. | 15,314 | 132,772 | |||||||||
Children's Place, Inc. | 7,673 | 980,609 | |||||||||
DSW, Inc., Class A | 8,310 | 281,543 | |||||||||
Express, Inc.† | 9,080 | 100,425 | |||||||||
Francesca's Holdings Corp.† | 4,394 | 16,302 | |||||||||
Genesco, Inc.† | 2,426 | 114,265 | |||||||||
Guess?, Inc. | 6,910 | 156,166 | |||||||||
Shoe Carnival, Inc. | 1,273 | 49,010 | |||||||||
Tailored Brands, Inc. | 6,067 | 152,828 | |||||||||
Vera Bradley, Inc.† | 2,649 | 40,424 | |||||||||
3,062,003 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 2,500 | 88,375 | |||||||||
Retail-Automobile — 1.1% | |||||||||||
Asbury Automotive Group, Inc.† | 6,880 | 473,000 | |||||||||
Group 1 Automotive, Inc. | 2,305 | 149,595 | |||||||||
Lithia Motors, Inc., Class A | 32,723 | 2,672,160 | |||||||||
Sonic Automotive, Inc., Class A | 2,878 | 55,689 | |||||||||
3,350,444 | |||||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 4,401 | 25,350 | |||||||||
Barnes & Noble, Inc. | 6,939 | 40,246 | |||||||||
65,596 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Tile Shop Holdings, Inc. | 4,752 | 33,977 |
211
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Discount — 0.0% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 4,900 | $ | 131,222 | ||||||||
Retail-Floor Coverings — 0.0% | |||||||||||
Lumber Liquidators Holdings, Inc.† | 3,483 | 53,952 | |||||||||
Retail-Hair Salons — 0.0% | |||||||||||
Regis Corp.† | 4,036 | 82,455 | |||||||||
Retail-Home Furnishings — 0.5% | |||||||||||
Haverty Furniture Cos., Inc. | 2,339 | 51,692 | |||||||||
Kirkland's, Inc.† | 1,911 | 19,282 | |||||||||
La-Z-Boy, Inc. | 5,688 | 179,741 | |||||||||
RH† | 8,984 | 1,176,994 | |||||||||
1,427,709 | |||||||||||
Retail-Jewelry — 0.2% | |||||||||||
Movado Group, Inc. | 13,114 | 549,477 | |||||||||
Signet Jewelers, Ltd. | 700 | 46,151 | |||||||||
595,628 | |||||||||||
Retail-Leisure Products — 0.0% | |||||||||||
MarineMax, Inc.† | 2,743 | 58,289 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
J.C. Penney Co., Inc.† | 38,354 | 63,668 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
GameStop Corp., Class A | 12,411 | 189,516 | |||||||||
Retail-Office Supplies — 0.1% | |||||||||||
Office Depot, Inc. | 67,552 | 216,842 | |||||||||
Retail-Pawn Shops — 0.2% | |||||||||||
EZCORP, Inc., Class A† | 6,274 | 67,132 | |||||||||
FirstCash, Inc. | 5,401 | 442,882 | |||||||||
510,014 | |||||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
PetMed Express, Inc. | 2,520 | 83,185 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 2,975 | 227,112 | |||||||||
Retail-Restaurants — 1.0% | |||||||||||
BJ's Restaurants, Inc. | 2,561 | 184,904 | |||||||||
Bloomin' Brands, Inc. | 50,900 | 1,007,311 | |||||||||
Brinker International, Inc. | 9,200 | 429,916 | |||||||||
Chuy's Holdings, Inc.† | 2,065 | 54,206 | |||||||||
Dave & Buster's Entertainment, Inc. | 4,797 | 317,657 | |||||||||
Dine Brands Global, Inc. | 2,156 | 175,304 | |||||||||
El Pollo Loco Holdings, Inc.† | 2,681 | 33,647 | |||||||||
Fiesta Restaurant Group, Inc.† | 2,857 | 76,425 | |||||||||
Red Robin Gourmet Burgers, Inc.† | 1,583 | 63,558 | |||||||||
Ruth's Hospitality Group, Inc. | 3,476 | 109,668 | |||||||||
Shake Shack, Inc., Class A† | 3,132 | 197,347 | |||||||||
Sonic Corp. | 4,177 | 181,031 | |||||||||
Wingstop, Inc. | 3,567 | 243,519 | |||||||||
3,074,493 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Big 5 Sporting Goods Corp. | 2,454 | 12,515 | |||||||||
Hibbett Sports, Inc.† | 2,308 | 43,391 | |||||||||
Zumiez, Inc.† | 2,301 | 60,631 | |||||||||
116,537 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Vitamins & Nutrition Supplements — 0.0% | |||||||||||
Vitamin Shoppe, Inc.† | 1,905 | $ | 19,050 | ||||||||
Rubber-Tires — 0.1% | |||||||||||
Cooper Tire & Rubber Co. | 6,099 | 172,602 | |||||||||
Rubber/Plastic Products — 0.5% | |||||||||||
Myers Industries, Inc. | 5,989 | 139,244 | |||||||||
Proto Labs, Inc.† | 3,293 | 532,643 | |||||||||
Trinseo SA | 11,250 | 880,875 | |||||||||
1,552,762 | |||||||||||
Satellite Telecom — 0.1% | |||||||||||
Iridium Communications, Inc.† | 11,739 | 264,128 | |||||||||
Savings & Loans/Thrifts — 1.5% | |||||||||||
Axos Financial, Inc.† | 6,731 | 231,479 | |||||||||
Banc of California, Inc. | 5,197 | 98,223 | |||||||||
BankFinancial Corp. | 4,900 | 78,106 | |||||||||
Beneficial Bancorp, Inc. | 34,299 | 579,653 | |||||||||
Berkshire Hills Bancorp, Inc. | 4,925 | 200,447 | |||||||||
Brookline Bancorp, Inc. | 9,797 | 163,610 | |||||||||
Capitol Federal Financial, Inc. | 1,000 | 12,740 | |||||||||
Dime Community Bancshares, Inc. | 3,879 | 69,240 | |||||||||
First Defiance Financial Corp. | 2,100 | 63,231 | |||||||||
Flushing Financial Corp. | 3,900 | 95,160 | |||||||||
Investors Bancorp, Inc. | 13,000 | 159,510 | |||||||||
Meridian Bancorp, Inc. | 28,200 | 479,400 | |||||||||
Meta Financial Group, Inc. | 1,114 | 92,072 | |||||||||
Northfield Bancorp, Inc. | 34,028 | 541,726 | |||||||||
Northwest Bancshares, Inc. | 12,569 | 217,695 | |||||||||
Oritani Financial Corp. | 4,782 | 74,360 | |||||||||
Pacific Premier Bancorp, Inc.† | 26,856 | 999,043 | |||||||||
People's United Financial, Inc. | 6,406 | 109,671 | |||||||||
Provident Financial Services, Inc. | 7,490 | 183,880 | |||||||||
4,449,246 | |||||||||||
Schools — 0.2% | |||||||||||
American Public Education, Inc.† | 2,001 | 66,133 | |||||||||
Career Education Corp.† | 8,495 | 126,830 | |||||||||
K12, Inc.† | 8,900 | 157,530 | |||||||||
Strategic Education, Inc. | 2,621 | 359,156 | |||||||||
709,649 | |||||||||||
Seismic Data Collection — 0.0% | |||||||||||
Geospace Technologies Corp.† | 1,657 | 22,701 | |||||||||
Semiconductor Components-Integrated Circuits — 0.3% | |||||||||||
Cirrus Logic, Inc.† | 13,300 | 513,380 | |||||||||
MaxLinear, Inc.† | 7,607 | 151,227 | |||||||||
Power Integrations, Inc. | 3,583 | 226,446 | |||||||||
891,053 | |||||||||||
Semiconductor Equipment — 0.7% | |||||||||||
Advanced Energy Industries, Inc.† | 6,165 | 318,422 | |||||||||
Axcelis Technologies, Inc.† | 3,942 | 77,461 | |||||||||
Brooks Automation, Inc. | 8,606 | 301,468 | |||||||||
Cabot Microelectronics Corp. | 3,113 | 321,168 | |||||||||
Cohu, Inc. | 5,520 | 138,552 | |||||||||
Entegris, Inc. | 7,700 | 222,915 | |||||||||
FormFactor, Inc.† | 8,999 | 123,736 | |||||||||
Kulicke & Soffa Industries, Inc. | 8,233 | 196,275 | |||||||||
Nanometrics, Inc.† | 2,941 | 110,347 |
212
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Semiconductor Equipment (continued) | |||||||||||
Photronics, Inc.† | 8,332 | $ | 82,070 | ||||||||
Ultra Clean Holdings, Inc.† | 4,744 | 59,537 | |||||||||
Veeco Instruments, Inc.† | 5,944 | 60,926 | |||||||||
2,012,877 | |||||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
TimkenSteel Corp.† | 4,780 | 71,079 | |||||||||
Steel-Producers — 0.1% | |||||||||||
AK Steel Holding Corp.† | 38,440 | 188,356 | |||||||||
Storage/Warehousing — 0.1% | |||||||||||
Mobile Mini, Inc. | 5,441 | 238,588 | |||||||||
Telecom Equipment-Fiber Optics — 0.3% | |||||||||||
Finisar Corp.† | 14,280 | 272,034 | |||||||||
Harmonic, Inc.† | 10,482 | 57,651 | |||||||||
Oclaro, Inc.† | 20,796 | 185,916 | |||||||||
Viavi Solutions, Inc.† | 27,621 | 313,222 | |||||||||
828,823 | |||||||||||
Telecom Services — 0.2% | |||||||||||
Consolidated Communications Holdings, Inc. | 8,681 | 113,200 | |||||||||
Spok Holdings, Inc. | 2,205 | 33,957 | |||||||||
Switch, Inc., Class A | 2,600 | 28,080 | |||||||||
Vonage Holdings Corp.† | 26,796 | 379,432 | |||||||||
554,669 | |||||||||||
Telecommunication Equipment — 0.1% | |||||||||||
ADTRAN, Inc. | 5,816 | 102,652 | |||||||||
Comtech Telecommunications Corp. | 2,880 | 104,458 | |||||||||
207,110 | |||||||||||
Telephone-Integrated — 0.3% | |||||||||||
Cincinnati Bell, Inc.† | 6,111 | 97,470 | |||||||||
Frontier Communications Corp. | 85,416 | 554,350 | |||||||||
Windstream Holdings, Inc.† | 34,529 | 169,192 | |||||||||
821,012 | |||||||||||
Television — 0.2% | |||||||||||
Sinclair Broadcast Group, Inc., Class A | 18,700 | 530,145 | |||||||||
Textile-Apparel — 0.1% | |||||||||||
Perry Ellis International, Inc.† | 4,990 | 136,377 | |||||||||
Unifi, Inc.† | 1,765 | 50,002 | |||||||||
186,379 | |||||||||||
Therapeutics — 0.3% | |||||||||||
Anika Therapeutics, Inc.† | 1,777 | 74,954 | |||||||||
Flexion Therapeutics, Inc.† | 6,900 | 129,099 | |||||||||
La Jolla Pharmaceutical Co.† | 6,400 | 128,832 | |||||||||
Mersana Therapeutics, Inc.† | 7,600 | 76,000 | |||||||||
Sarepta Therapeutics, Inc.† | 1,750 | 282,642 | |||||||||
Xencor, Inc.† | 7,600 | 296,172 | |||||||||
987,699 | |||||||||||
Tobacco — 0.1% | |||||||||||
Universal Corp. | 3,041 | 197,665 |
Security Description | Shares | Value (Note 2) | |||||||||
Transactional Software — 0.1% | |||||||||||
ACI Worldwide, Inc.† | 4,700 | $ | 132,258 | ||||||||
Synchronoss Technologies, Inc.† | 41,600 | 274,560 | |||||||||
406,818 | |||||||||||
Transport-Air Freight — 0.1% | |||||||||||
Atlas Air Worldwide Holdings, Inc.† | 3,116 | 198,645 | |||||||||
Transport-Equipment & Leasing — 0.1% | |||||||||||
Greenbrier Cos., Inc. | 3,922 | 235,712 | |||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 376 | 2,997 | |||||||||
Transport-Services — 0.2% | |||||||||||
Echo Global Logistics, Inc.† | 3,478 | 107,644 | |||||||||
Hub Group, Inc., Class A† | 4,108 | 187,325 | |||||||||
Matson, Inc. | 5,202 | 206,207 | |||||||||
501,176 | |||||||||||
Transport-Truck — 0.4% | |||||||||||
ArcBest Corp. | 8,529 | 414,083 | |||||||||
Covenant Transportation Group, Inc., Class A† | 1,600 | 46,496 | |||||||||
Forward Air Corp. | 3,576 | 256,399 | |||||||||
Heartland Express, Inc. | 5,789 | 114,217 | |||||||||
Marten Transport, Ltd. | 4,728 | 99,524 | |||||||||
Saia, Inc.† | 3,130 | 239,289 | |||||||||
Schneider National, Inc., Class B | 2,800 | 69,944 | |||||||||
YRC Worldwide, Inc.† | 6,800 | 61,064 | |||||||||
1,301,016 | |||||||||||
Travel Services — 0.1% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 13,800 | 204,930 | |||||||||
Veterinary Diagnostics — 0.8% | |||||||||||
Heska Corp.† | 822 | 93,141 | |||||||||
Neogen Corp.† | 31,922 | 2,283,380 | |||||||||
2,376,521 | |||||||||||
Vitamins & Nutrition Products — 0.1% | |||||||||||
Herbalife Nutrition, Ltd.† | 1,900 | 103,645 | |||||||||
USANA Health Sciences, Inc.† | 1,100 | 132,605 | |||||||||
236,250 | |||||||||||
Water — 0.4% | |||||||||||
American States Water Co. | 13,675 | 836,090 | |||||||||
California Water Service Group | 5,857 | 251,265 | |||||||||
1,087,355 | |||||||||||
Web Hosting/Design — 0.1% | |||||||||||
Endurance International Group Holdings, Inc.† | 12,200 | 107,360 | |||||||||
NIC, Inc. | 20,609 | 305,013 | |||||||||
412,373 | |||||||||||
Wire & Cable Products — 0.1% | |||||||||||
Encore Wire Corp. | 2,540 | 127,254 | |||||||||
Insteel Industries, Inc. | 2,209 | 79,259 | |||||||||
206,513 |
213
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Wireless Equipment — 0.3% | |||||||||||
CalAmp Corp.† | 4,298 | $ | 102,980 | ||||||||
InterDigital, Inc. | 9,375 | 750,000 | |||||||||
852,980 | |||||||||||
X-Ray Equipment — 0.0% | |||||||||||
Varex Imaging Corp.† | 4,631 | 132,724 | |||||||||
Total Common Stocks (cost $225,779,463) | 295,885,709 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||||||
iShares Core S&P Small-Cap ETF (cost $1,128,191) | 12,831 | 1,119,376 | |||||||||
Total Long-Term Investment Securities (cost $226,907,654) | 297,005,085 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.6% | |||||||||||
Registered Investment Companies — 0.6% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Investor Class 1.89%(3) | 1,857,501 | 1,857,501 | |||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 2.11% due 01/03/2019(4) | $ | 100,000 | 99,426 | ||||||||
Total Short-Term Investment Securities (cost $1,956,953) | 1,956,927 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $696,024 and collateralized by $715,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $710,132 (cost $696,000) | $ | 696,000 | $ | 696,000 | |||||||
TOTAL INVESTMENTS (cost $229,560,607)(5) | 98.7 | % | 299,658,012 | ||||||||
Other assets less liabilities | 1.3 | 3,846,480 | |||||||||
NET ASSETS | 100.0 | % | $ | 303,504,492 |
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) Illiquid security. At September 30, 2018, the aggregate value of these securities was $5,296 representing 0.0% of net assets.
(3) The rate shown is the 7-day yield as of September 30, 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.
ETF — Exchange-Traded Fund
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
63 | Long | E-Mini Russell 2000 Index | December 2018 | $ | 5,439,574 | $ | 5,357,520 | $ | (82,054 | ) |
* 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.
214
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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: | |||||||||||||||||||
Chemicals-Plastics | $ | 96,184 | $ | — | $ | 5,296 | $ | 101,480 | |||||||||||
Other Industries | 295,784,229 | — | — | 295,784,229 | |||||||||||||||
Exchange-Traded Funds | 1,119,376 | — | — | 1,119,376 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 1,857,501 | — | — | 1,857,501 | |||||||||||||||
Other Short-Term Investment Securities | — | 99,426 | — | 99,426 | |||||||||||||||
Repurchase Agreements | — | 696,000 | — | 696,000 | |||||||||||||||
Total Investments at Value | $ | 298,857,290 | $ | 795,426 | $ | 5,296 | $ | 299,658,012 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:+ | |||||||||||||||||||
Futures Contracts | $ | 82,054 | $ | — | $ | — | $ | 82,054 |
* 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.
At the end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio.
See Notes to Financial Statements
215
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 8.2 | % | |||||
Medical-Drugs | 7.4 | ||||||
Diversified Banking Institutions | 4.4 | ||||||
Oil Companies-Integrated | 3.8 | ||||||
Insurance-Life/Health | 3.7 | ||||||
Auto-Cars/Light Trucks | 3.3 | ||||||
Telephone-Integrated | 2.9 | ||||||
Cosmetics & Toiletries | 2.7 | ||||||
Food-Misc./Diversified | 2.7 | ||||||
Chemicals-Diversified | 2.1 | ||||||
Insurance-Multi-line | 1.9 | ||||||
Medical Products | 1.6 | ||||||
Apparel Manufacturers | 1.5 | ||||||
Electronic Components-Semiconductors | 1.4 | ||||||
Industrial Automated/Robotic | 1.4 | ||||||
Cellular Telecom | 1.3 | ||||||
Machinery-Electrical | 1.3 | ||||||
Diversified Manufacturing Operations | 1.3 | ||||||
Diversified Minerals | 1.3 | ||||||
Beverages-Wine/Spirits | 1.2 | ||||||
Rubber-Tires | 1.1 | ||||||
Import/Export | 1.1 | ||||||
Semiconductor Components-Integrated Circuits | 1.0 | ||||||
Exchange-Traded Funds | 0.9 | ||||||
Semiconductor Equipment | 0.9 | ||||||
Food-Retail | 0.9 | ||||||
Medical-Biomedical/Gene | 0.8 | ||||||
Industrial Gases | 0.8 | ||||||
Soap & Cleaning Preparation | 0.8 | ||||||
Diversified Operations | 0.8 | ||||||
Aerospace/Defense | 0.8 | ||||||
Electronic Components-Misc. | 0.8 | ||||||
Auto/Truck Parts & Equipment-Original | 0.7 | ||||||
Enterprise Software/Service | 0.7 | ||||||
Building-Residential/Commercial | 0.7 | ||||||
Chemicals-Specialty | 0.7 | ||||||
Electric-Generation | 0.7 | ||||||
Human Resources | 0.7 | ||||||
Tobacco | 0.7 | ||||||
Real Estate Investment Trusts | 0.6 | ||||||
E-Commerce/Products | 0.6 | ||||||
Audio/Video Products | 0.6 | ||||||
Insurance-Property/Casualty | 0.6 | ||||||
Toys | 0.6 | ||||||
Retail-Apparel/Shoe | 0.6 | ||||||
Power Converter/Supply Equipment | 0.6 | ||||||
Metal-Diversified | 0.6 | ||||||
Commercial Services | 0.6 | ||||||
Dialysis Centers | 0.6 | ||||||
Brewery | 0.6 | ||||||
Athletic Footwear | 0.5 | ||||||
Retail-Jewelry | 0.5 | ||||||
Internet Application Software | 0.5 | ||||||
Insurance-Reinsurance | 0.5 | ||||||
Finance-Other Services | 0.5 | ||||||
Optical Supplies | 0.5 | ||||||
Real Estate Management/Services | 0.5 | ||||||
Transport-Rail | 0.4 | ||||||
Electric-Integrated | 0.4 | ||||||
Real Estate Operations & Development | 0.4 | ||||||
Distribution/Wholesale | 0.4 |
Diagnostic Equipment | 0.4 | % | |||||
Machinery-Farming | 0.4 | ||||||
Investment Management/Advisor Services | 0.4 | ||||||
Finance-Leasing Companies | 0.4 | ||||||
Multimedia | 0.4 | ||||||
Metal-Copper | 0.4 | ||||||
Wire & Cable Products | 0.4 | ||||||
Metal-Aluminum | 0.4 | ||||||
Building Products-Cement | 0.4 | ||||||
Diversified Operations/Commercial Services | 0.4 | ||||||
Gas-Distribution | 0.3 | ||||||
Hotels/Motels | 0.3 | ||||||
Oil Companies-Exploration & Production | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Computer Services | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Web Portals/ISP | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Paper & Related Products | 0.3 | ||||||
Wireless Equipment | 0.3 | ||||||
Steel Pipe & Tube | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Electronic Security Devices | 0.3 | ||||||
Aerospace/Defense-Equipment | 0.3 | ||||||
Advertising Agencies | 0.3 | ||||||
Energy-Alternate Sources | 0.3 | ||||||
Transport-Marine | 0.3 | ||||||
Metal Processors & Fabrication | 0.3 | ||||||
Tools-Hand Held | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Food-Dairy Products | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Investment Companies | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Medical Instruments | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Textile-Apparel | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Engineering/R&D Services | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Satellite Telecom | 0.2 | ||||||
Machinery-Construction & Mining | 0.2 | ||||||
Photo Equipment & Supplies | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Non-Ferrous Metals | 0.2 | ||||||
E-Marketing/Info | 0.2 | ||||||
Internet Content-Entertainment | 0.2 | ||||||
Finance-Investment Banker/Broker | 0.2 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Advertising Sales | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 |
216
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Registered Investment Companies | 0.1 | % | |||||
Airport Development/Maintenance | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Public Thoroughfares | 0.1 | ||||||
Security Services | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Publishing-Periodicals | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Respiratory Products | 0.1 | ||||||
99.4 | % | ||||||
Country Allocation* | |||||||
Japan | 20.9 | % | |||||
United Kingdom | 16.8 | ||||||
Germany | 9.8 | ||||||
Switzerland | 8.7 | ||||||
France | 8.4 | ||||||
Australia | 4.4 | ||||||
Netherlands | 3.0 | ||||||
Sweden | 2.8 | ||||||
Hong Kong | 2.4 | ||||||
United States | 2.4 | ||||||
Cayman Islands | 2.1 | ||||||
Norway | 2.0 | ||||||
Spain | 1.7 | ||||||
Italy | 1.6 | ||||||
Denmark | 1.5 | ||||||
Singapore | 1.3 | ||||||
Canada | 1.2 | ||||||
South Korea | 1.0 | ||||||
Taiwan | 0.8 | ||||||
Jersey | 0.8 | ||||||
Belgium | 0.8 | ||||||
Luxembourg | 0.7 | ||||||
Austria | 0.6 | ||||||
Finland | 0.5 | ||||||
Brazil | 0.5 | ||||||
China | 0.4 | ||||||
Ireland | 0.4 | ||||||
India | 0.4 | ||||||
Bermuda | 0.4 | ||||||
Israel | 0.4 | ||||||
SupraNational | 0.2 | ||||||
Indonesia | 0.1 | ||||||
Turkey | 0.1 | ||||||
Mexico | 0.1 | ||||||
New Zealand | 0.1 | ||||||
Portugal | 0.1 | ||||||
99.4 | % |
* Calculated as a percentage of net assets
217
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.1% | |||||||||||
Australia — 4.4% | |||||||||||
AGL Energy, Ltd. | 6,783 | $ | 95,610 | ||||||||
Alumina, Ltd. | 26,535 | 53,131 | |||||||||
Amcor, Ltd. | 83,343 | 824,145 | |||||||||
AMP, Ltd. | 30,292 | 69,850 | |||||||||
APA Group (ASX) | 11,877 | 85,681 | |||||||||
Aristocrat Leisure, Ltd. | 5,966 | 122,648 | |||||||||
ASX, Ltd. | 2,024 | 93,138 | |||||||||
Aurizon Holdings, Ltd. | 21,408 | 63,601 | |||||||||
AusNet Services | 17,123 | 20,113 | |||||||||
Australia & New Zealand Banking Group, Ltd. | 96,905 | 1,973,946 | |||||||||
Bank of Queensland, Ltd. | 3,909 | 31,138 | |||||||||
Bendigo & Adelaide Bank, Ltd. | 4,834 | 37,563 | |||||||||
BGP Holdings PLC†(1)(2) | 98,723 | 21 | |||||||||
BHP Billiton, Ltd. | 44,315 | 1,109,306 | |||||||||
BlueScope Steel, Ltd. | 5,864 | 71,975 | |||||||||
Boral, Ltd. | 11,771 | 58,795 | |||||||||
Brambles, Ltd. | 206,426 | 1,626,444 | |||||||||
Caltex Australia, Ltd. | 2,829 | 61,144 | |||||||||
Challenger, Ltd. | 118,469 | 959,116 | |||||||||
CIMIC Group, Ltd. | 1,092 | 40,541 | |||||||||
Coca-Cola Amatil, Ltd. | 6,029 | 42,535 | |||||||||
Cochlear, Ltd. | 614 | 89,050 | |||||||||
Commonwealth Bank of Australia | 18,136 | 936,157 | |||||||||
Computershare, Ltd. | 4,923 | 70,994 | |||||||||
Crown Resorts, Ltd. | 3,781 | 37,416 | |||||||||
CSL, Ltd. | 16,775 | 2,438,621 | |||||||||
Dexus | 10,547 | 80,508 | |||||||||
Domino's Pizza Enterprises, Ltd. | 627 | 24,112 | |||||||||
Flight Centre Travel Group, Ltd. | 558 | 21,442 | |||||||||
Fortescue Metals Group, Ltd. | 16,536 | 46,856 | |||||||||
Goodman Group | 16,865 | 126,297 | |||||||||
GPT Group | 17,485 | 65,849 | |||||||||
Harvey Norman Holdings, Ltd. | 5,932 | 15,094 | |||||||||
Healthscope, Ltd. | 16,793 | 25,492 | |||||||||
Incitec Pivot, Ltd. | 17,706 | 50,939 | |||||||||
Independence Group NL | 199,248 | 671,163 | |||||||||
Insurance Australia Group, Ltd. | 24,950 | 132,017 | |||||||||
LendLease Group | 5,835 | 82,923 | |||||||||
Macquarie Group, Ltd. | 16,431 | 1,496,996 | |||||||||
Medibank Private, Ltd. | 29,015 | 61,033 | |||||||||
Mirvac Group | 38,760 | 67,523 | |||||||||
National Australia Bank, Ltd. | 28,070 | 564,276 | |||||||||
Newcrest Mining, Ltd. | 7,846 | 110,083 | |||||||||
Orica, Ltd. | 3,932 | 48,403 | |||||||||
Origin Energy, Ltd.† | 18,013 | 107,551 | |||||||||
QBE Insurance Group, Ltd. | 14,469 | 116,303 | |||||||||
Ramsay Health Care, Ltd. | 1,391 | 55,231 | |||||||||
REA Group, Ltd. | 561 | 34,846 | |||||||||
Rio Tinto, Ltd. | 11,454 | 652,095 | |||||||||
Santos, Ltd. | 19,215 | 100,838 | |||||||||
Scentre Group | 286,562 | 822,351 | |||||||||
SEEK, Ltd. | 3,474 | 52,132 | |||||||||
Sonic Healthcare, Ltd. | 4,041 | 72,763 | |||||||||
South32, Ltd. | 235,346 | 666,870 |
Security Description | Shares | Value (Note 2) | |||||||||
Australia (continued) | |||||||||||
Stockland | 24,654 | $ | 73,958 | ||||||||
Suncorp Group, Ltd. | 13,608 | 142,236 | |||||||||
Sydney Airport | 11,288 | 56,219 | |||||||||
Tabcorp Holdings, Ltd. | 20,565 | 72,395 | |||||||||
Telstra Corp., Ltd. | 125,432 | 289,233 | |||||||||
TPG Telecom, Ltd. | 3,455 | 21,328 | |||||||||
Transurban Group | 27,114 | 219,905 | |||||||||
Treasury Wine Estates, Ltd. | 7,506 | 94,896 | |||||||||
Vicinity Centres | 35,555 | 67,336 | |||||||||
Wesfarmers, Ltd. | 11,756 | 423,617 | |||||||||
Westpac Banking Corp. | 35,496 | 716,636 | |||||||||
Woodside Petroleum, Ltd. | 9,707 | 270,704 | |||||||||
Woolworths Group, Ltd. | 13,503 | 274,079 | |||||||||
WorleyParsons, Ltd. | 50,099 | 739,853 | |||||||||
20,847,060 | |||||||||||
Austria — 0.6% | |||||||||||
ANDRITZ AG | 763 | 44,515 | |||||||||
Erste Group Bank AG | 60,464 | 2,511,819 | |||||||||
OMV AG | 1,554 | 87,309 | |||||||||
Raiffeisen Bank International AG | 1,502 | 43,249 | |||||||||
voestalpine AG | 1,187 | 54,300 | |||||||||
2,741,192 | |||||||||||
Belgium — 0.8% | |||||||||||
Ageas | 1,940 | 104,310 | |||||||||
Anheuser-Busch InBev SA | 7,867 | 687,058 | |||||||||
Colruyt SA | 623 | 35,263 | |||||||||
Groupe Bruxelles Lambert SA | 854 | 89,536 | |||||||||
KBC Group NV | 2,568 | 191,119 | |||||||||
Proximus SADP | 1,599 | 38,207 | |||||||||
Solvay SA | 761 | 102,051 | |||||||||
Telenet Group Holding NV† | 555 | 30,557 | |||||||||
UCB SA | 1,336 | 120,060 | |||||||||
Umicore SA | 40,831 | 2,283,588 | |||||||||
3,681,749 | |||||||||||
Bermuda — 0.4% | |||||||||||
CK Infrastructure Holdings, Ltd. | 7,000 | 55,439 | |||||||||
Dairy Farm International Holdings, Ltd. | 3,574 | 32,166 | |||||||||
Hongkong Land Holdings, Ltd. | 12,000 | 79,440 | |||||||||
Jardine Matheson Holdings, Ltd. | 2,303 | 144,513 | |||||||||
Jardine Strategic Holdings, Ltd. | 38,907 | 1,412,324 | |||||||||
Kerry Properties, Ltd. | 7,500 | 25,436 | |||||||||
Li & Fung, Ltd. | 58,000 | 12,966 | |||||||||
NWS Holdings, Ltd. | 16,000 | 31,639 | |||||||||
Shangri-La Asia, Ltd. | 14,000 | 20,817 | |||||||||
Yue Yuen Industrial Holdings, Ltd. | 8,000 | 22,227 | |||||||||
1,836,967 | |||||||||||
Brazil — 0.5% | |||||||||||
B3 SA — Brasil Bolsa Balcao | 197,460 | 1,144,115 | |||||||||
Lojas Renner SA | 41,930 | 321,856 | |||||||||
Telefonica Brasil SA (Preference Shares) | 74,334 | 721,519 | |||||||||
2,187,490 |
218
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Canada — 1.2% | |||||||||||
Element Fleet Management Corp. | 117,567 | $ | 605,289 | ||||||||
Magna International, Inc. | 20,300 | 1,066,359 | |||||||||
National Bank of Canada | 25,100 | 1,253,591 | |||||||||
Nutrien, Ltd. | 24,067 | 1,389,631 | |||||||||
Sun Life Financial, Inc. | 34,600 | 1,375,535 | |||||||||
5,690,405 | |||||||||||
Cayman Islands — 2.1% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 14,155 | 2,332,178 | |||||||||
ASM Pacific Technology, Ltd. | 2,900 | 29,525 | |||||||||
Baidu, Inc. ADR† | 2,850 | 651,738 | |||||||||
China Mengniu Dairy Co., Ltd. | 190,000 | 632,253 | |||||||||
CK Asset Holdings, Ltd. | 27,360 | 205,330 | |||||||||
CK Hutchison Holdings, Ltd. | 142,024 | 1,636,432 | |||||||||
iQIYI, Inc. ADR† | 39,817 | 1,077,846 | |||||||||
Melco Resorts & Entertainment, Ltd. ADR | 2,522 | 53,340 | |||||||||
MGM China Holdings, Ltd. | 10,000 | 15,840 | |||||||||
Minth Group, Ltd. | 6,853 | 28,276 | |||||||||
Sands China, Ltd. | 25,200 | 114,116 | |||||||||
Tencent Holdings, Ltd. | 58,000 | 2,394,579 | |||||||||
WH Group, Ltd.* | 89,000 | 62,643 | |||||||||
Wharf Real Estate Investment Co., Ltd. | 13,000 | 83,862 | |||||||||
Wynn Macau, Ltd. | 16,000 | 36,789 | |||||||||
YY, Inc., ADR† | 8,779 | 657,723 | |||||||||
10,012,470 | |||||||||||
China — 0.4% | |||||||||||
China Pacific Insurance Group Co., Ltd. Class H | 156,800 | 604,899 | |||||||||
Meituan Dianping, Class B† | 57,067 | 500,808 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 101,500 | 1,030,773 | |||||||||
2,136,480 | |||||||||||
Denmark — 1.5% | |||||||||||
AP Moller - Maersk A/S, Series A | 40 | 52,469 | |||||||||
AP Moller - Maersk A/S, Series B | 807 | 1,133,310 | |||||||||
Carlsberg A/S, Class B | 1,089 | 130,621 | |||||||||
Chr. Hansen Holding A/S | 1,017 | 103,237 | |||||||||
Coloplast A/S, Class B | 1,237 | 126,495 | |||||||||
Danske Bank A/S | 40,782 | 1,071,155 | |||||||||
DSV A/S | 1,967 | 178,849 | |||||||||
Genmab A/S† | 637 | 100,168 | |||||||||
GN Store Nord A/S | 18,577 | 905,003 | |||||||||
H. Lundbeck A/S | 710 | 43,852 | |||||||||
ISS A/S | 1,700 | 59,817 | |||||||||
Novo Nordisk A/S, Class B | 31,482 | 1,482,221 | |||||||||
Novozymes A/S, Class B | 2,270 | 124,617 | |||||||||
Orsted A/S* | 1,930 | 131,103 | |||||||||
Pandora A/S | 1,128 | 70,442 | |||||||||
Tryg A/S | 1,105 | 27,509 | |||||||||
Vestas Wind Systems A/S | 18,357 | 1,241,539 | |||||||||
William Demant Holding A/S† | 1,135 | 42,658 | |||||||||
7,025,065 |
Security Description | Shares | Value (Note 2) | |||||||||
Finland — 0.5% | |||||||||||
Elisa Oyj | 1,527 | $ | 64,765 | ||||||||
Fortum Oyj | 4,713 | 118,141 | |||||||||
Kone Oyj, Class B | 3,526 | 188,400 | |||||||||
Metso Oyj | 1,183 | 41,947 | |||||||||
Neste Oyj | 1,347 | 111,352 | |||||||||
Nokia Oyj | 59,099 | 327,783 | |||||||||
Nokian Renkaat Oyj | 1,205 | 49,373 | |||||||||
Orion Oyj, Class B | 1,086 | 41,131 | |||||||||
Sampo Oyj, Class A | 4,653 | 240,946 | |||||||||
Stora Enso Oyj, Class R | 54,541 | 1,043,277 | |||||||||
UPM-Kymmene Oyj | 5,406 | 212,150 | |||||||||
Wartsila Oyj Abp | 4,707 | 91,758 | |||||||||
2,531,023 | |||||||||||
France — 8.4% | |||||||||||
Accor SA | 1,948 | 100,014 | |||||||||
Aeroports de Paris | 308 | 69,339 | |||||||||
Air Liquide SA | 11,557 | 1,520,289 | |||||||||
Alstom SA | 1,576 | 70,430 | |||||||||
Amundi SA* | 15,343 | 1,149,715 | |||||||||
Arkema SA | 696 | 86,223 | |||||||||
Atos SE | 960 | 114,247 | |||||||||
AXA SA | 85,716 | 2,303,902 | |||||||||
BioMerieux | 413 | 34,429 | |||||||||
BNP Paribas SA | 41,544 | 2,542,450 | |||||||||
Bollore SA | 9,113 | 39,360 | |||||||||
Bouygues SA | 2,257 | 97,561 | |||||||||
Bureau Veritas SA | 2,781 | 71,778 | |||||||||
Capgemini SE | 1,636 | 205,903 | |||||||||
Carrefour SA | 5,784 | 110,806 | |||||||||
Casino Guichard Perrachon SA | 591 | 24,853 | |||||||||
Cie de Saint-Gobain | 5,076 | 218,914 | |||||||||
Cie Generale des Etablissements Michelin SCA | 1,754 | 209,656 | |||||||||
CNP Assurances | 1,782 | 42,952 | |||||||||
Covivio | 381 | 39,702 | |||||||||
Credit Agricole SA | 11,831 | 170,139 | |||||||||
Danone SA | 6,385 | 494,468 | |||||||||
Dassault Aviation SA | 29 | 53,671 | |||||||||
Dassault Systemes SE | 1,344 | 200,908 | |||||||||
Edenred | 2,437 | 92,892 | |||||||||
Eiffage SA | 807 | 90,099 | |||||||||
Electricite de France SA | 6,068 | 106,559 | |||||||||
Engie SA | 100,641 | 1,479,896 | |||||||||
Essilor International Cie Generale d'Optique SA | 14,203 | 2,101,701 | |||||||||
Eurazeo SE | 496 | 39,074 | |||||||||
Eutelsat Communications SA | 28,720 | 678,912 | |||||||||
Faurecia SA | 780 | 46,947 | |||||||||
Gecina SA | 473 | 78,972 | |||||||||
Getlink | 4,945 | 63,155 | |||||||||
Hermes International | 326 | 215,974 | |||||||||
ICADE | 398 | 36,783 | |||||||||
Iliad SA | 279 | 36,442 | |||||||||
Imerys SA | 374 | 27,617 | |||||||||
Ingenico Group SA | 573 | 43,536 | |||||||||
Ipsen SA | 381 | 64,054 |
219
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
France (continued) | |||||||||||
JCDecaux SA | 704 | $ | 25,747 | ||||||||
Kering SA | 2,556 | 1,370,162 | |||||||||
Klepierre SA | 2,275 | 80,642 | |||||||||
L'Oreal SA | 8,457 | 2,039,407 | |||||||||
Legrand SA | 12,586 | 917,403 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,881 | 1,018,883 | |||||||||
Natixis SA | 9,887 | 67,085 | |||||||||
Orange SA | 20,337 | 324,315 | |||||||||
Pernod Ricard SA | 2,185 | 358,463 | |||||||||
Peugeot SA | 6,014 | 162,205 | |||||||||
Publicis Groupe SA | 2,063 | 123,307 | |||||||||
Remy Cointreau SA | 266 | 34,652 | |||||||||
Renault SA | 1,962 | 169,710 | |||||||||
Rexel SA | 2,934 | 44,063 | |||||||||
Safran SA | 3,459 | 484,740 | |||||||||
Sanofi | 29,961 | 2,663,234 | |||||||||
Schneider Electric SE | 34,552 | 2,780,082 | |||||||||
SCOR SE | 1,740 | 80,809 | |||||||||
SEB SA | 229 | 38,978 | |||||||||
Societe BIC SA | 300 | 27,465 | |||||||||
Societe Generale SA | 7,848 | 336,868 | |||||||||
Sodexo SA | 948 | 100,536 | |||||||||
Suez | 3,780 | 53,719 | |||||||||
Teleperformance | 587 | 110,750 | |||||||||
Thales SA | 1,091 | 154,981 | |||||||||
TOTAL SA | 132,011 | 8,558,677 | |||||||||
UBISOFT Entertainment SA† | 811 | 87,965 | |||||||||
Valeo SA | 2,395 | 103,999 | |||||||||
Veolia Environnement SA | 5,573 | 111,228 | |||||||||
Vinci SA | 5,255 | 500,430 | |||||||||
Vivendi SA | 64,867 | 1,669,708 | |||||||||
Wendel SA | 290 | 43,166 | |||||||||
39,817,701 | |||||||||||
Germany — 9.8% | |||||||||||
1&1 Drillisch AG | 542 | 26,367 | |||||||||
adidas AG | 9,907 | 2,425,883 | |||||||||
Allianz SE | 4,554 | 1,015,185 | |||||||||
Axel Springer SE | 503 | 33,843 | |||||||||
BASF SE | 43,404 | 3,857,679 | |||||||||
Bayer AG | 36,388 | 3,232,418 | |||||||||
Bayerische Motoren Werke AG | 32,463 | 2,928,982 | |||||||||
Bayerische Motoren Werke AG (Preference Shares) | 574 | 45,118 | |||||||||
Beiersdorf AG | 13,127 | 1,481,131 | |||||||||
Brenntag AG | 1,649 | 101,779 | |||||||||
Commerzbank AG† | 41,775 | 435,313 | |||||||||
Continental AG | 9,394 | 1,635,491 | |||||||||
Covestro AG* | 9,950 | 807,054 | |||||||||
Daimler AG | 9,429 | 594,999 | |||||||||
Delivery Hero AG†* | 950 | 45,686 | |||||||||
Deutsche Bank AG | 20,290 | 231,525 | |||||||||
Deutsche Boerse AG | 2,000 | 267,970 | |||||||||
Deutsche Lufthansa AG | 2,440 | 59,946 | |||||||||
Deutsche Post AG | 10,130 | 361,194 |
Security Description | Shares | Value (Note 2) | |||||||||
Germany (continued) | |||||||||||
Deutsche Telekom AG | 141,529 | $ | 2,281,615 | ||||||||
Deutsche Wohnen SE | 27,191 | 1,304,478 | |||||||||
E.ON SE | 57,852 | 589,745 | |||||||||
Evonik Industries AG | 1,645 | 58,921 | |||||||||
Fraport AG Frankfurt Airport Services Worldwide | 375 | 33,133 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 2,236 | 229,963 | |||||||||
Fresenius SE & Co. KGaA | 29,176 | 2,142,243 | |||||||||
FUCHS PETROLUB SE (Preference Shares) | 724 | 40,450 | |||||||||
GEA Group AG | 1,865 | 66,433 | |||||||||
Hannover Rueck SE | 632 | 89,302 | |||||||||
HeidelbergCement AG | 12,859 | 1,005,084 | |||||||||
Henkel AG & Co. KGaA | 1,047 | 111,168 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 1,823 | 213,882 | |||||||||
HOCHTIEF AG | 210 | 34,818 | |||||||||
HUGO BOSS AG | 701 | 53,978 | |||||||||
Infineon Technologies AG | 75,089 | 1,706,154 | |||||||||
Innogy SE* | 1,401 | 62,609 | |||||||||
K+S AG | 2,011 | 42,215 | |||||||||
KION Group AG | 727 | 44,686 | |||||||||
LANXESS AG | 971 | 71,115 | |||||||||
Linde AG | 10,025 | 2,370,972 | |||||||||
MAN SE | 380 | 41,318 | |||||||||
Merck KGaA | 1,324 | 136,814 | |||||||||
METRO AG | 1,827 | 28,637 | |||||||||
MTU Aero Engines AG | 524 | 118,089 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 8,593 | 1,903,095 | |||||||||
OSRAM Licht AG | 1,017 | 40,454 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 1,619 | 109,025 | |||||||||
ProSiebenSat.1 Media SE | 2,374 | 61,659 | |||||||||
Puma SE | 88 | 43,423 | |||||||||
RWE AG | 5,172 | 127,605 | |||||||||
SAP SE | 26,291 | 3,235,669 | |||||||||
Sartorius AG (Preference Shares) | 369 | 59,894 | |||||||||
Schaeffler AG (Preference Shares) | 1,702 | 21,757 | |||||||||
Siemens AG | 28,740 | 3,681,890 | |||||||||
Siemens Healthineers AG†* | 14,537 | 639,261 | |||||||||
Stroeer SE & Co. KGaA | 9,152 | 523,221 | |||||||||
Symrise AG | 10,340 | 943,854 | |||||||||
Telefonica Deutschland Holding AG | 253,818 | 1,072,986 | |||||||||
thyssenkrupp AG | 4,573 | 115,428 | |||||||||
TUI AG | 4,515 | 86,684 | |||||||||
Uniper SE | 2,064 | 63,529 | |||||||||
United Internet AG | 1,298 | 61,412 | |||||||||
Volkswagen AG | 332 | 57,859 | |||||||||
Volkswagen AG (Preference Shares) | 1,892 | 333,021 | |||||||||
Vonovia SE | 4,941 | 241,402 | |||||||||
Wirecard AG | 1,195 | 259,038 | |||||||||
Zalando SE†* | 10,048 | 390,936 | |||||||||
46,538,487 |
220
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Hong Kong — 2.4% | |||||||||||
AIA Group, Ltd. | 615,600 | $ | 5,496,745 | ||||||||
Bank of East Asia, Ltd. | 12,600 | 46,998 | |||||||||
Beijing Enterprises Holdings, Ltd. | 33,500 | 187,862 | |||||||||
BOC Hong Kong Holdings, Ltd. | 354,500 | 1,684,570 | |||||||||
China Mobile, Ltd. | 158,000 | 1,557,122 | |||||||||
CLP Holdings, Ltd. | 17,000 | 199,027 | |||||||||
Galaxy Entertainment Group, Ltd. | 25,000 | 158,558 | |||||||||
Hang Lung Group, Ltd. | 9,000 | 23,913 | |||||||||
Hang Lung Properties, Ltd. | 20,000 | 39,089 | |||||||||
Hang Seng Bank, Ltd. | 7,700 | 209,114 | |||||||||
Henderson Land Development Co., Ltd. | 13,966 | 70,202 | |||||||||
Hong Kong & China Gas Co., Ltd. | 94,517 | 187,625 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 12,000 | 343,367 | |||||||||
Hysan Development Co., Ltd. | 7,000 | 35,365 | |||||||||
Link REIT | 22,500 | 221,455 | |||||||||
MTR Corp., Ltd. | 14,500 | 76,312 | |||||||||
New World Development Co., Ltd. | 62,000 | 84,585 | |||||||||
PCCW, Ltd. | 40,000 | 23,300 | |||||||||
Power Assets Holdings, Ltd. | 14,500 | 100,947 | |||||||||
Sino Land Co., Ltd. | 32,000 | 54,857 | |||||||||
SJM Holdings, Ltd. | 24,000 | 22,196 | |||||||||
Sun Hung Kai Properties, Ltd. | 16,500 | 240,281 | |||||||||
Swire Pacific, Ltd., Class A | 5,500 | 60,246 | |||||||||
Swire Properties, Ltd. | 12,600 | 47,723 | |||||||||
Techtronic Industries Co., Ltd. | 14,500 | 92,612 | |||||||||
Wharf Holdings, Ltd. | 14,000 | 38,092 | |||||||||
Wheelock & Co., Ltd. | 8,000 | 47,979 | |||||||||
11,350,142 | |||||||||||
India — 0.4% | |||||||||||
HDFC Bank, Ltd. ADR | 11,504 | 1,082,526 | |||||||||
Infosys, Ltd. ADR | 74,400 | 756,648 | |||||||||
1,839,174 | |||||||||||
Indonesia — 0.1% | |||||||||||
Bank Central Asia Tbk PT | 425,800 | 690,069 | |||||||||
Ireland — 0.4% | |||||||||||
AIB Group PLC | 8,316 | 42,580 | |||||||||
Bank of Ireland Group PLC | 9,701 | 74,282 | |||||||||
CRH PLC | 8,673 | 283,767 | |||||||||
DCC PLC | 11,648 | 1,057,427 | |||||||||
James Hardie Industries PLC CDI | 4,748 | 71,937 | |||||||||
Kerry Group PLC, Class A | 1,620 | 179,156 | |||||||||
Paddy Power Betfair PLC | 876 | 74,755 | |||||||||
Smurfit Kappa Group PLC | 2,335 | 92,338 | |||||||||
1,876,242 | |||||||||||
Isle of Man — 0.0% | |||||||||||
GVC Holdings PLC | 5,616 | 67,233 | |||||||||
Israel — 0.4% | |||||||||||
Azrieli Group, Ltd. | 393 | 20,183 | |||||||||
Bank Hapoalim B.M. | 11,156 | 81,706 | |||||||||
Bank Leumi Le-Israel B.M. | 15,004 | 98,957 | |||||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 20,857 | 23,985 |
Security Description | Shares | Value (Note 2) | |||||||||
Israel (continued) | |||||||||||
Check Point Software Technologies, Ltd.† | 9,623 | $ | 1,132,338 | ||||||||
Elbit Systems, Ltd. | 233 | 29,543 | |||||||||
Frutarom Industries, Ltd. | 386 | 39,954 | |||||||||
Israel Chemicals, Ltd. | 7,465 | 45,561 | |||||||||
Mizrahi Tefahot Bank, Ltd. | 1,559 | 27,311 | |||||||||
NICE, Ltd.† | 592 | 66,973 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR | 9,988 | 215,141 | |||||||||
1,781,652 | |||||||||||
Italy — 1.6% | |||||||||||
Assicurazioni Generali SpA | 12,152 | 209,943 | |||||||||
Atlantia SpA | 5,090 | 105,607 | |||||||||
Davide Campari-Milano SpA | 5,818 | 49,548 | |||||||||
Enel SpA | 84,332 | 431,995 | |||||||||
Eni SpA | 26,377 | 498,637 | |||||||||
Intesa Sanpaolo SpA | 842,408 | 2,152,750 | |||||||||
Leonardo SpA | 4,269 | 51,449 | |||||||||
Luxottica Group SpA | 1,776 | 120,670 | |||||||||
Mediobanca Banca di Credito Finanziario SpA | 6,432 | 64,253 | |||||||||
Moncler SpA | 24,992 | 1,076,530 | |||||||||
Pirelli & C SpA†* | 4,067 | 34,130 | |||||||||
Poste Italiane SpA* | 5,317 | 42,485 | |||||||||
Prysmian SpA | 74,711 | 1,740,069 | |||||||||
Recordati SpA | 1,080 | 36,565 | |||||||||
Snam SpA | 23,393 | 97,479 | |||||||||
Telecom Italia SpA† | 115,914 | 70,386 | |||||||||
Telecom Italia SpA (RSP) | 800,803 | 430,857 | |||||||||
Terna Rete Elettrica Nazionale SpA | 14,591 | 77,945 | |||||||||
UniCredit SpA | 20,455 | 307,886 | |||||||||
7,599,184 | |||||||||||
Japan — 20.9% | |||||||||||
ABC-Mart, Inc. | 300 | 16,687 | |||||||||
Acom Co., Ltd. | 4,200 | 16,930 | |||||||||
Aeon Co., Ltd. | 6,300 | 151,789 | |||||||||
AEON Financial Service Co., Ltd. | 1,300 | 26,922 | |||||||||
Aeon Mall Co., Ltd. | 1,300 | 22,334 | |||||||||
AGC, Inc. | 1,900 | 78,846 | |||||||||
Air Water, Inc. | 1,700 | 31,196 | |||||||||
Aisin Seiki Co., Ltd. | 10,900 | 530,514 | |||||||||
Ajinomoto Co., Inc. | 4,700 | 80,684 | |||||||||
Alfresa Holdings Corp. | 1,700 | 45,485 | |||||||||
Alps Electric Co., Ltd. | 2,025 | 51,436 | |||||||||
Amada Holdings Co., Ltd. | 3,200 | 34,163 | |||||||||
ANA Holdings, Inc. | 1,300 | 45,423 | |||||||||
Aozora Bank, Ltd. | 1,300 | 46,453 | |||||||||
Asahi Group Holdings, Ltd. | 3,700 | 160,381 | |||||||||
Asahi Kasei Corp. | 93,200 | 1,413,339 | |||||||||
Asics Corp. | 1,700 | 25,346 | |||||||||
Astellas Pharma, Inc. | 133,100 | 2,321,811 | |||||||||
Bandai Namco Holdings, Inc. | 2,000 | 77,715 | |||||||||
Bank of Kyoto, Ltd. | 600 | 31,315 | |||||||||
Benesse Holdings, Inc. | 800 | 22,778 | |||||||||
Bridgestone Corp. | 57,600 | 2,176,349 | |||||||||
Brother Industries, Ltd. | 2,400 | 47,400 |
221
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Calbee, Inc. | 900 | $ | 29,625 | ||||||||
Canon, Inc. | 10,300 | 327,258 | |||||||||
Casio Computer Co., Ltd. | 1,900 | 31,054 | |||||||||
Central Japan Railway Co. | 6,300 | 1,311,899 | |||||||||
Chiba Bank, Ltd. | 6,200 | 42,345 | |||||||||
Chubu Electric Power Co., Inc. | 6,300 | 95,287 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 2,300 | 147,773 | |||||||||
Chugoku Electric Power Co., Inc. | 3,100 | 39,835 | |||||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 1,438 | 38,475 | |||||||||
Concordia Financial Group, Ltd. | 11,300 | 55,396 | |||||||||
Credit Saison Co., Ltd. | 28,200 | 459,907 | |||||||||
CyberAgent, Inc. | 12,951 | 689,611 | |||||||||
CYBERDYNE, Inc.† | 1,185 | 9,355 | |||||||||
Dai Nippon Printing Co., Ltd. | 2,600 | 60,458 | |||||||||
Dai-ichi Life Holdings, Inc. | 11,000 | 229,013 | |||||||||
Daicel Corp. | 3,000 | 34,853 | |||||||||
Daifuku Co., Ltd. | 1,148 | 58,501 | |||||||||
Daiichi Sankyo Co., Ltd. | 5,800 | 251,408 | |||||||||
Daikin Industries, Ltd. | 2,600 | 346,110 | |||||||||
Daito Trust Construction Co., Ltd. | 700 | 90,041 | |||||||||
Daiwa House Industry Co., Ltd. | 5,900 | 174,892 | |||||||||
Daiwa House REIT Investment Corp. | 18 | 41,174 | |||||||||
Daiwa Securities Group, Inc. | 16,800 | 102,202 | |||||||||
DeNA Co., Ltd. | 1,300 | 22,963 | |||||||||
Denso Corp. | 4,400 | 232,315 | |||||||||
Dentsu, Inc. | 2,200 | 102,042 | |||||||||
Disco Corp. | 300 | 50,220 | |||||||||
Don Quijote Holdings Co., Ltd. | 1,300 | 65,789 | |||||||||
East Japan Railway Co. | 3,200 | 297,272 | |||||||||
Eisai Co., Ltd. | 2,600 | 253,089 | |||||||||
Electric Power Development Co., Ltd. | 31,500 | 871,920 | |||||||||
FamilyMart UNY Holdings Co., Ltd. | 700 | 72,883 | |||||||||
FANUC Corp. | 2,000 | 377,046 | |||||||||
Fast Retailing Co., Ltd. | 600 | 305,862 | |||||||||
Fuji Electric Co., Ltd. | 1,200 | 48,055 | |||||||||
FUJIFILM Holdings Corp. | 4,000 | 180,074 | |||||||||
Fujitsu, Ltd. | 2,000 | 142,510 | |||||||||
Fukuoka Financial Group, Inc. | 1,600 | 44,006 | |||||||||
Hakuhodo DY Holdings, Inc. | 2,300 | 40,344 | |||||||||
Hamamatsu Photonics KK | 11,500 | 457,996 | |||||||||
Hankyu Hanshin Holdings, Inc. | 2,500 | 88,673 | |||||||||
Hikari Tsushin, Inc. | 200 | 39,535 | |||||||||
Hino Motors, Ltd. | 2,700 | 29,562 | |||||||||
Hirose Electric Co., Ltd. | 325 | 35,526 | |||||||||
Hisamitsu Pharmaceutical Co., Inc. | 600 | 45,995 | |||||||||
Hitachi Chemical Co., Ltd. | 1,200 | 24,429 | |||||||||
Hitachi Construction Machinery Co., Ltd. | 1,200 | 40,134 | |||||||||
Hitachi High-Technologies Corp. | 800 | 27,566 | |||||||||
Hitachi Metals, Ltd. | 2,400 | 29,720 | |||||||||
Hitachi, Ltd. | 10,000 | 339,729 | |||||||||
Honda Motor Co., Ltd. | 33,600 | 1,016,990 | |||||||||
Hoshizaki Corp. | 600 | 62,102 | |||||||||
Hoya Corp. | 4,000 | 237,634 | |||||||||
Hulic Co., Ltd. | 3,000 | 29,440 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Idemitsu Kosan Co., Ltd. | 1,500 | $ | 79,343 | ||||||||
IHI Corp. | 1,500 | 56,834 | |||||||||
Iida Group Holdings Co., Ltd. | 1,700 | 30,239 | |||||||||
Inpex Corp. | 10,500 | 130,950 | |||||||||
Isetan Mitsukoshi Holdings, Ltd. | 3,400 | 41,744 | |||||||||
Isuzu Motors, Ltd. | 5,600 | 88,273 | |||||||||
ITOCHU Corp. | 14,500 | 265,446 | |||||||||
J. Front Retailing Co., Ltd. | 2,400 | 37,240 | |||||||||
Japan Airlines Co., Ltd. | 1,200 | 43,133 | |||||||||
Japan Airport Terminal Co., Ltd. | 500 | 22,751 | |||||||||
Japan Exchange Group, Inc. | 5,400 | 94,103 | |||||||||
Japan Post Bank Co., Ltd. | 4,100 | 48,462 | |||||||||
Japan Post Holdings Co., Ltd. | 16,200 | 192,769 | |||||||||
Japan Prime Realty Investment Corp. | 10 | 35,645 | |||||||||
Japan Real Estate Investment Corp. | 14 | 73,438 | |||||||||
Japan Retail Fund Investment Corp. | 25 | 45,349 | |||||||||
Japan Tobacco, Inc. | 11,200 | 292,371 | |||||||||
JFE Holdings, Inc. | 5,200 | 119,314 | |||||||||
JGC Corp. | 2,100 | 48,166 | |||||||||
JSR Corp. | 1,700 | 31,735 | |||||||||
JTEKT Corp. | 2,200 | 32,200 | |||||||||
JXTG Holdings, Inc. | 33,550 | 253,441 | |||||||||
Kajima Corp. | 4,500 | 65,389 | |||||||||
Kakaku.com, Inc. | 1,500 | 29,335 | |||||||||
Kamigumi Co., Ltd. | 1,200 | 26,446 | |||||||||
Kaneka Corp. | 600 | 27,724 | |||||||||
Kansai Electric Power Co., Inc. | 7,400 | 111,567 | |||||||||
Kansai Paint Co., Ltd. | 1,700 | 31,331 | |||||||||
Kao Corp. | 5,100 | 411,788 | |||||||||
Kawasaki Heavy Industries, Ltd. | 1,500 | 42,312 | |||||||||
KDDI Corp. | 68,300 | 1,886,936 | |||||||||
Keihan Holdings Co., Ltd. | 1,000 | 38,198 | |||||||||
Keikyu Corp. | 2,500 | 45,569 | |||||||||
Keio Corp. | 1,100 | 60,218 | |||||||||
Keisei Electric Railway Co., Ltd. | 1,300 | 45,767 | |||||||||
Keyence Corp. | 3,800 | 2,206,689 | |||||||||
Kikkoman Corp. | 1,600 | 95,195 | |||||||||
Kintetsu Group Holdings Co., Ltd. | 1,700 | 68,377 | |||||||||
Kirin Holdings Co., Ltd. | 26,900 | 689,191 | |||||||||
Kobayashi Pharmaceutical Co., Ltd. | 499 | 36,716 | |||||||||
Kobe Steel, Ltd. | 3,200 | 28,446 | |||||||||
Koito Manufacturing Co., Ltd. | 5,900 | 387,379 | |||||||||
Komatsu, Ltd. | 9,400 | 285,921 | |||||||||
Konami Holdings Corp. | 1,100 | 43,082 | |||||||||
Konica Minolta, Inc. | 4,800 | 51,033 | |||||||||
Kose Corp. | 340 | 64,786 | |||||||||
Kubota Corp. | 107,400 | 1,825,290 | |||||||||
Kuraray Co., Ltd. | 3,500 | 52,614 | |||||||||
Kurita Water Industries, Ltd. | 1,100 | 32,045 | |||||||||
Kyocera Corp. | 3,300 | 198,081 | |||||||||
Kyowa Hakko Kirin Co., Ltd. | 2,600 | 48,719 | |||||||||
Kyushu Electric Power Co., Inc. | 4,400 | 53,093 | |||||||||
Kyushu Railway Co. | 1,700 | 51,769 | |||||||||
Lawson, Inc. | 500 | 30,452 | |||||||||
LINE Corp.† | 700 | 29,572 | |||||||||
Lion Corp. | 2,500 | 55,536 |
222
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
LIXIL Group Corp. | 2,800 | $ | 53,920 | ||||||||
M3, Inc. | 4,400 | 99,835 | |||||||||
Mabuchi Motor Co., Ltd. | 600 | 24,212 | |||||||||
Makita Corp. | 23,100 | 1,156,830 | |||||||||
Marubeni Corp. | 16,800 | 153,776 | |||||||||
Marui Group Co., Ltd. | 2,200 | 54,293 | |||||||||
Maruichi Steel Tube, Ltd. | 700 | 22,826 | |||||||||
Mazda Motor Corp. | 5,900 | 70,829 | |||||||||
McDonald's Holdings Co. Japan, Ltd. | 800 | 35,135 | |||||||||
Mebuki Financial Group, Inc. | 9,600 | 33,205 | |||||||||
Medipal Holdings Corp. | 1,700 | 35,475 | |||||||||
MEIJI Holdings Co., Ltd. | 1,300 | 87,300 | |||||||||
Minebea Mitsumi, Inc. | 4,000 | 72,522 | |||||||||
Miraca Holdings, Inc. | 11,600 | 301,690 | |||||||||
MISUMI Group, Inc. | 2,900 | 75,040 | |||||||||
Mitsubishi Chemical Holdings Corp. | 13,200 | 126,342 | |||||||||
Mitsubishi Corp. | 47,700 | 1,469,791 | |||||||||
Mitsubishi Electric Corp. | 150,600 | 2,063,095 | |||||||||
Mitsubishi Estate Co., Ltd. | 12,200 | 207,449 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 1,700 | 36,193 | |||||||||
Mitsubishi Heavy Industries, Ltd. | 3,200 | 123,556 | |||||||||
Mitsubishi Materials Corp. | 1,300 | 38,844 | |||||||||
Mitsubishi Motors Corp. | 6,800 | 47,999 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 2,400 | 40,134 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 709,900 | 4,430,471 | |||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 88,700 | 522,270 | |||||||||
Mitsui & Co., Ltd. | 17,200 | 305,867 | |||||||||
Mitsui Chemicals, Inc. | 1,900 | 47,508 | |||||||||
Mitsui Fudosan Co., Ltd. | 43,200 | 1,022,397 | |||||||||
Mitsui OSK Lines, Ltd. | 1,300 | 37,929 | |||||||||
Mizuho Financial Group, Inc. | 250,100 | 436,277 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 4,900 | 163,621 | |||||||||
Murata Manufacturing Co., Ltd. | 10,200 | 1,567,884 | |||||||||
Nabtesco Corp. | 1,300 | 34,554 | |||||||||
Nagoya Railroad Co., Ltd. | 1,900 | 47,057 | |||||||||
NEC Corp. | 2,700 | 74,617 | |||||||||
Nexon Co., Ltd.† | 4,500 | 58,814 | |||||||||
NGK Insulators, Ltd. | 2,800 | 46,182 | |||||||||
NGK Spark Plug Co., Ltd. | 1,700 | 49,525 | |||||||||
NH Foods, Ltd. | 1,000 | 36,921 | |||||||||
Nidec Corp. | 2,300 | 330,870 | |||||||||
Nikon Corp. | 3,500 | 65,767 | |||||||||
Nintendo Co., Ltd. | 7,800 | 2,846,224 | |||||||||
Nippon Building Fund, Inc. | 14 | 80,954 | |||||||||
Nippon Electric Glass Co., Ltd. | 1,000 | 31,465 | |||||||||
Nippon Express Co., Ltd. | 800 | 52,526 | |||||||||
Nippon Paint Holdings Co., Ltd. | 1,500 | 55,976 | |||||||||
Nippon Prologis REIT, Inc. | 17 | 33,650 | |||||||||
Nippon Steel & Sumitomo Metal Corp. | 7,600 | 160,769 | |||||||||
Nippon Telegraph & Telephone Corp. | 66,400 | 2,999,162 | |||||||||
Nippon Yusen KK | 1,700 | 31,974 | |||||||||
Nissan Chemical Corp. | 1,400 | 73,931 | |||||||||
Nissan Motor Co., Ltd. | 23,800 | 222,772 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Nisshin Seifun Group, Inc. | 2,200 | $ | 48,213 | ||||||||
Nissin Foods Holdings Co., Ltd. | 700 | 48,117 | |||||||||
Nitori Holdings Co., Ltd. | 800 | 114,733 | |||||||||
Nitto Denko Corp. | 1,700 | 127,418 | |||||||||
NOK Corp. | 900 | 15,454 | |||||||||
Nomura Holdings, Inc. | 35,600 | 170,042 | |||||||||
Nomura Real Estate Holdings, Inc. | 1,500 | 30,285 | |||||||||
Nomura Real Estate Master Fund, Inc. | 37 | 50,540 | |||||||||
Nomura Research Institute, Ltd. | 1,200 | 60,623 | |||||||||
NSK, Ltd. | 4,000 | 45,837 | |||||||||
NTT Data Corp. | 6,300 | 87,220 | |||||||||
NTT DOCOMO, Inc. | 13,700 | 368,364 | |||||||||
Obayashi Corp. | 6,400 | 60,609 | |||||||||
OBIC Co., Ltd. | 700 | 66,230 | |||||||||
Odakyu Electric Railway Co., Ltd. | 2,900 | 68,608 | |||||||||
Oji Holdings Corp. | 9,000 | 65,349 | |||||||||
Olympus Corp. | 2,900 | 113,198 | |||||||||
Omron Corp. | 16,900 | 713,959 | |||||||||
Ono Pharmaceutical Co., Ltd. | 4,000 | 113,184 | |||||||||
Oracle Corp. Japan | 400 | 32,248 | |||||||||
Oriental Land Co., Ltd. | 2,100 | 219,574 | |||||||||
ORIX Corp. | 84,100 | 1,363,424 | |||||||||
Osaka Gas Co., Ltd. | 3,900 | 76,064 | |||||||||
Otsuka Corp. | 1,100 | 41,049 | |||||||||
Otsuka Holdings Co., Ltd. | 4,000 | 201,619 | |||||||||
Panasonic Corp. | 116,800 | 1,360,542 | |||||||||
Park24 Co., Ltd. | 1,200 | 36,279 | |||||||||
Persol Holdings Co., Ltd. | 1,701 | 39,898 | |||||||||
Pola Orbis Holdings, Inc. | 11,744 | 428,953 | |||||||||
Rakuten, Inc. | 8,800 | 67,444 | |||||||||
Recruit Holdings Co., Ltd. | 92,200 | 3,077,120 | |||||||||
Renesas Electronics Corp.† | 51,021 | 318,825 | |||||||||
Resona Holdings, Inc. | 21,700 | 121,907 | |||||||||
Ricoh Co., Ltd. | 7,000 | 75,163 | |||||||||
Rinnai Corp. | 300 | 22,866 | |||||||||
Rohm Co., Ltd. | 1,000 | 72,874 | |||||||||
Ryohin Keikaku Co., Ltd. | 220 | 65,446 | |||||||||
Sankyo Co., Ltd. | 500 | 19,561 | |||||||||
Santen Pharmaceutical Co., Ltd. | 69,300 | 1,098,480 | |||||||||
SBI Holdings, Inc. | 2,400 | 74,564 | |||||||||
Secom Co., Ltd. | 2,200 | 179,338 | |||||||||
Sega Sammy Holdings, Inc. | 1,900 | 28,010 | |||||||||
Seibu Holdings, Inc. | 2,300 | 41,356 | |||||||||
Seiko Epson Corp. | 2,900 | 49,465 | |||||||||
Sekisui Chemical Co., Ltd. | 98,800 | 1,822,609 | |||||||||
Sekisui House, Ltd. | 6,300 | 96,064 | |||||||||
Seven & i Holdings Co., Ltd. | 35,400 | 1,576,518 | |||||||||
Seven Bank, Ltd. | 6,300 | 19,906 | |||||||||
SG Holdings Co., Ltd. | 1,072 | 28,088 | |||||||||
Sharp Corp. | 1,700 | 34,548 | |||||||||
Shimadzu Corp. | 2,300 | 72,065 | |||||||||
Shimamura Co., Ltd. | 200 | 18,976 | |||||||||
Shimano, Inc. | 800 | 128,921 | |||||||||
Shimizu Corp. | 5,600 | 51,111 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 3,800 | 336,622 | |||||||||
Shinsei Bank, Ltd. | 1,800 | 29,419 |
223
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Shionogi & Co., Ltd. | 2,900 | $ | 189,488 | ||||||||
Shiseido Co., Ltd. | 16,800 | 1,301,032 | |||||||||
Shizuoka Bank, Ltd. | 4,500 | 40,398 | |||||||||
Showa Denko KK | 1,400 | 77,258 | |||||||||
Showa Shell Sekiyu KK | 1,900 | 40,251 | |||||||||
SMC Corp. | 8,200 | 2,624,115 | |||||||||
SoftBank Group Corp. | 16,600 | 1,675,779 | |||||||||
Sohgo Security Services Co., Ltd. | 800 | 35,170 | |||||||||
Sompo Holdings, Inc. | 3,400 | 144,804 | |||||||||
Sony Corp. | 25,700 | 1,575,657 | |||||||||
Sony Financial Holdings, Inc. | 1,700 | 37,465 | |||||||||
Stanley Electric Co., Ltd. | 2,600 | 88,902 | |||||||||
Start Today Co., Ltd. | 2,130 | 64,489 | |||||||||
Subaru Corp. | 6,300 | 192,959 | |||||||||
SUMCO Corp. | 2,512 | 36,435 | |||||||||
Sumitomo Chemical Co., Ltd. | 15,000 | 87,793 | |||||||||
Sumitomo Corp. | 123,400 | 2,057,572 | |||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 1,700 | 39,036 | |||||||||
Sumitomo Electric Industries, Ltd. | 7,600 | 119,197 | |||||||||
Sumitomo Heavy Industries, Ltd. | 1,200 | 42,827 | |||||||||
Sumitomo Metal Mining Co., Ltd. | 20,800 | 729,703 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 13,900 | 561,040 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 25,900 | 1,065,907 | |||||||||
Sumitomo Realty & Development Co., Ltd. | 4,000 | 143,637 | |||||||||
Sumitomo Rubber Industries, Ltd. | 21,500 | 322,632 | |||||||||
Sundrug Co., Ltd. | 896 | 31,977 | |||||||||
Suntory Beverage & Food, Ltd. | 1,500 | 63,501 | |||||||||
Suzuken Co., Ltd. | 800 | 37,951 | |||||||||
Suzuki Motor Corp. | 39,400 | 2,256,779 | |||||||||
Sysmex Corp. | 1,700 | 146,330 | |||||||||
T&D Holdings, Inc. | 5,500 | 90,763 | |||||||||
Taiheiyo Cement Corp. | 1,300 | 40,789 | |||||||||
Taisei Corp. | 2,200 | 100,299 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 400 | 48,900 | |||||||||
Taiyo Nippon Sanso Corp. | 1,300 | 19,451 | |||||||||
Takashimaya Co., Ltd. | 1,500 | 25,334 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 7,400 | 316,594 | |||||||||
TDK Corp. | 1,300 | 141,762 | |||||||||
Teijin, Ltd. | 1,700 | 32,603 | |||||||||
Terumo Corp. | 34,000 | 2,013,906 | |||||||||
THK Co., Ltd. | 38,000 | 967,224 | |||||||||
Tobu Railway Co., Ltd. | 2,100 | 62,102 | |||||||||
Toho Co., Ltd. | 1,300 | 40,789 | |||||||||
Toho Gas Co., Ltd. | 800 | 30,382 | |||||||||
Tohoku Electric Power Co., Inc. | 4,700 | 63,786 | |||||||||
Tokio Marine Holdings, Inc. | 35,400 | 1,756,291 | |||||||||
Tokyo Century Corp. | 500 | 31,068 | |||||||||
Tokyo Electric Power Co. Holdings, Inc.† | 15,400 | 75,631 | |||||||||
Tokyo Electron, Ltd. | 9,200 | 1,263,968 | |||||||||
Tokyo Gas Co., Ltd. | 4,000 | 98,310 | |||||||||
Tokyo Tatemono Co., Ltd. | 1,800 | 21,957 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Tokyu Corp. | 5,500 | $ | 100,590 | ||||||||
Tokyu Fudosan Holdings Corp. | 5,200 | 36,247 | |||||||||
Toppan Printing Co., Ltd. | 2,500 | 40,156 | |||||||||
Toray Industries, Inc. | 14,800 | 111,176 | |||||||||
Toshiba Corp.† | 7,000 | 202,385 | |||||||||
Tosoh Corp. | 13,900 | 214,091 | |||||||||
TOTO, Ltd. | 1,500 | 62,247 | |||||||||
Toyo Seikan Group Holdings, Ltd. | 1,700 | 35,266 | |||||||||
Toyo Suisan Kaisha, Ltd. | 900 | 34,893 | |||||||||
Toyoda Gosei Co., Ltd. | 800 | 19,750 | |||||||||
Toyota Industries Corp. | 1,500 | 88,717 | |||||||||
Toyota Motor Corp. | 107,500 | 6,712,837 | |||||||||
Toyota Tsusho Corp. | 2,100 | 79,291 | |||||||||
Trend Micro, Inc. | 1,200 | 77,205 | |||||||||
Tsuruha Holdings, Inc. | 387 | 47,651 | |||||||||
Unicharm Corp. | 4,200 | 138,916 | |||||||||
United Urban Investment Corp. | 29 | 45,509 | |||||||||
USS Co., Ltd. | 2,400 | 44,548 | |||||||||
West Japan Railway Co. | 1,700 | 118,515 | |||||||||
Yahoo Japan Corp. | 138,200 | 497,481 | |||||||||
Yakult Honsha Co., Ltd. | 1,200 | 98,328 | |||||||||
Yamada Denki Co., Ltd. | 7,100 | 35,931 | |||||||||
Yamaguchi Financial Group, Inc. | 2,500 | 27,240 | |||||||||
Yamaha Corp. | 1,400 | 74,177 | |||||||||
Yamaha Motor Co., Ltd. | 2,900 | 81,293 | |||||||||
Yamato Holdings Co., Ltd. | 3,100 | 95,166 | |||||||||
Yamazaki Baking Co., Ltd. | 1,300 | 26,018 | |||||||||
Yaskawa Electric Corp. | 2,500 | 74,261 | |||||||||
Yokogawa Electric Corp. | 2,300 | 48,644 | |||||||||
Yokohama Rubber Co., Ltd. | 1,300 | 28,021 | |||||||||
99,314,368 | |||||||||||
Jersey — 0.8% | |||||||||||
Experian PLC | 9,446 | 242,606 | |||||||||
Ferguson PLC | 2,469 | 209,659 | |||||||||
Glencore PLC | 119,257 | 515,593 | |||||||||
Randgold Resources, Ltd. | 929 | 65,992 | |||||||||
Shire PLC | 9,408 | 566,952 | |||||||||
Shire PLC ADR | 5,100 | 924,477 | |||||||||
WPP PLC | 89,654 | 1,314,035 | |||||||||
3,839,314 | |||||||||||
Luxembourg — 0.7% | |||||||||||
ArcelorMittal | 6,788 | 211,217 | |||||||||
Eurofins Scientific SE | 112 | 63,588 | |||||||||
Millicom International Cellular SA SDR | 694 | 39,864 | |||||||||
RTL Group SA | 398 | 28,396 | |||||||||
Samsonite International SA* | 452,100 | 1,674,797 | |||||||||
SES SA FDR | 3,704 | 81,280 | |||||||||
Tenaris SA | 85,028 | 1,424,556 | |||||||||
3,523,698 | |||||||||||
Mauritius — 0.0% | |||||||||||
Golden Agri-Resources, Ltd. | 73,400 | 13,423 | |||||||||
Mexico — 0.1% | |||||||||||
America Movil SAB de CV, Series L ADR | 27,500 | 441,650 |
224
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Netherlands — 3.0% | |||||||||||
ABN AMRO Group NV CVA* | 33,729 | $ | 918,327 | ||||||||
Aegon NV | 17,841 | 115,752 | |||||||||
AerCap Holdings NV† | 1,297 | 74,603 | |||||||||
Airbus SE | 6,004 | 754,117 | |||||||||
Akzo Nobel NV | 2,608 | 243,877 | |||||||||
ASML Holding NV | 15,843 | 2,959,679 | |||||||||
CNH Industrial NV | 10,375 | 124,675 | |||||||||
EXOR NV | 1,045 | 70,153 | |||||||||
Ferrari NV | 1,255 | 172,814 | |||||||||
Fiat Chrysler Automobiles NV† | 10,935 | 192,270 | |||||||||
Heineken Holding NV | 1,227 | 111,120 | |||||||||
Heineken NV | 2,660 | 249,419 | |||||||||
ING Groep NV | 149,177 | 1,937,091 | |||||||||
Koninklijke Ahold Delhaize NV | 13,010 | 298,329 | |||||||||
Koninklijke DSM NV | 1,875 | 198,627 | |||||||||
Koninklijke KPN NV | 35,040 | 92,432 | |||||||||
Koninklijke Philips NV | 65,435 | 2,980,814 | |||||||||
Koninklijke Vopak NV | 742 | 36,562 | |||||||||
NN Group NV | 3,218 | 143,584 | |||||||||
NXP Semiconductors NV | 12,204 | 1,043,442 | |||||||||
QIAGEN NV† | 2,363 | 89,440 | |||||||||
Randstad NV | 1,219 | 65,076 | |||||||||
STMicroelectronics NV | 7,051 | 128,284 | |||||||||
Unilever NV CVA | 15,978 | 889,811 | |||||||||
Wolters Kluwer NV | 3,099 | 193,146 | |||||||||
14,083,444 | |||||||||||
New Zealand — 0.1% | |||||||||||
a2 Milk Co., Ltd.† | 7,564 | 56,455 | |||||||||
Auckland International Airport, Ltd. | 9,678 | 46,830 | |||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 5,749 | 57,352 | |||||||||
Fletcher Building, Ltd.† | 9,035 | 39,167 | |||||||||
Meridian Energy, Ltd. | 13,371 | 29,115 | |||||||||
Ryman Healthcare, Ltd. | 4,073 | 37,797 | |||||||||
Spark New Zealand, Ltd. | 19,705 | 52,899 | |||||||||
319,615 | |||||||||||
Norway — 2.0% | |||||||||||
Aker BP ASA | 25,996 | 1,103,243 | |||||||||
DNB ASA | 192,642 | 4,053,441 | |||||||||
Equinor ASA† | 41,455 | 1,168,966 | |||||||||
Gjensidige Forsikring ASA | 2,089 | 35,216 | |||||||||
Marine Harvest ASA | 4,244 | 98,320 | |||||||||
Norsk Hydro ASA | 278,121 | 1,669,666 | |||||||||
Orkla ASA | 8,663 | 73,189 | |||||||||
Schibsted ASA, Class B | 920 | 31,877 | |||||||||
Storebrand ASA | 113,336 | 1,012,382 | |||||||||
Telenor ASA | 7,661 | 149,761 | |||||||||
Yara International ASA | 1,904 | 93,507 | |||||||||
9,489,568 | |||||||||||
Papua New Guinea — 0.0% | |||||||||||
Oil Search, Ltd. | 14,183 | 92,577 | |||||||||
Portugal — 0.1% | |||||||||||
Banco Espirito Santo SA†(1)(2) | 59,101 | 0 | |||||||||
EDP - Energias de Portugal SA | 26,698 | 98,511 |
Security Description | Shares | Value (Note 2) | |||||||||
Portugal (continued) | |||||||||||
Galp Energia SGPS SA | 5,107 | $ | 101,335 | ||||||||
Jeronimo Martins SGPS SA | 2,657 | 39,132 | |||||||||
238,978 | |||||||||||
Singapore — 1.3% | |||||||||||
Ascendas Real Estate Investment Trust | 24,600 | 47,507 | |||||||||
CapitaLand Commercial Trust | 27,200 | 35,416 | |||||||||
CapitaLand Mall Trust | 25,000 | 40,598 | |||||||||
CapitaLand, Ltd. | 26,700 | 65,820 | |||||||||
City Developments, Ltd. | 4,000 | 26,656 | |||||||||
ComfortDelGro Corp., Ltd. | 20,700 | 36,795 | |||||||||
DBS Group Holdings, Ltd. | 89,500 | 1,708,098 | |||||||||
Genting Singapore, Ltd. | 64,300 | 49,858 | |||||||||
Jardine Cycle & Carriage, Ltd. | 1,200 | 28,081 | |||||||||
Keppel Corp., Ltd. | 15,500 | 78,914 | |||||||||
Oversea-Chinese Banking Corp., Ltd. | 182,600 | 1,528,067 | |||||||||
SATS, Ltd. | 6,600 | 25,202 | |||||||||
Sembcorp Industries, Ltd. | 74,400 | 168,169 | |||||||||
Singapore Airlines, Ltd. | 5,300 | 37,762 | |||||||||
Singapore Exchange, Ltd. | 8,600 | 46,364 | |||||||||
Singapore Press Holdings, Ltd. | 15,300 | 32,121 | |||||||||
Singapore Technologies Engineering, Ltd. | 15,300 | 39,843 | |||||||||
Singapore Telecommunications, Ltd. | 82,010 | 193,769 | |||||||||
Suntec Real Estate Investment Trust | 25,600 | 36,142 | |||||||||
United Overseas Bank, Ltd. | 50,000 | 990,454 | |||||||||
UOL Group, Ltd. | 5,100 | 25,704 | |||||||||
Venture Corp., Ltd. | 2,848 | 36,729 | |||||||||
Wilmar International, Ltd. | 308,200 | 725,946 | |||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 21,200 | 19,230 | |||||||||
6,023,245 | |||||||||||
South Korea — 1.0% | |||||||||||
KT Corp. | 18,176 | 494,033 | |||||||||
NAVER Corp. | 521 | 336,296 | |||||||||
Samsung Electronics Co., Ltd. | 72,686 | 3,043,737 | |||||||||
Samsung SD Co., Ltd. | 4,920 | 1,146,558 | |||||||||
5,020,624 | |||||||||||
Spain — 1.7% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 2,618 | 111,494 | |||||||||
Aena SME SA* | 712 | 123,587 | |||||||||
Amadeus IT Group SA | 4,542 | 421,985 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 356,788 | 2,274,226 | |||||||||
Banco de Sabadell SA | 58,018 | 90,197 | |||||||||
Banco Santander SA | 166,915 | 840,206 | |||||||||
Bankia SA | 12,774 | 50,085 | |||||||||
Bankinter SA | 7,110 | 65,479 | |||||||||
CaixaBank SA | 36,480 | 166,794 | |||||||||
Enagas SA | 2,292 | 61,871 | |||||||||
Endesa SA | 3,313 | 71,584 | |||||||||
Ferrovial SA | 4,924 | 102,163 | |||||||||
Grifols SA | 3,164 | 89,121 | |||||||||
Iberdrola SA | 61,798 | 454,755 | |||||||||
Industria de Diseno Textil SA | 47,092 | 1,427,595 |
225
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Spain (continued) | |||||||||||
International Consolidated Airlines Group SA | 6,492 | $ | 55,793 | ||||||||
Mapfre SA | 9,841 | 30,873 | |||||||||
Naturgy Energy Group SA | 3,692 | 100,778 | |||||||||
Red Electrica Corp. SA | 4,562 | 95,553 | |||||||||
Repsol SA | 14,121 | 281,424 | |||||||||
Siemens Gamesa Renewable Energy SA† | 2,442 | 30,905 | |||||||||
Telefonica SA | 132,269 | 1,047,047 | |||||||||
7,993,515 | |||||||||||
SupraNational — 0.2% | |||||||||||
HK Electric Investments & HK Electric Investments, Ltd. | 26,500 | 26,742 | |||||||||
HKT Trust & HKT, Ltd. | 40,000 | 54,980 | |||||||||
Unibail-Rodamco-Westfield | 5,340 | 1,073,966 | |||||||||
1,155,688 | |||||||||||
Sweden — 2.8% | |||||||||||
Alfa Laval AB | 3,003 | 81,432 | |||||||||
Assa Abloy AB, Class B | 66,282 | 1,332,367 | |||||||||
Atlas Copco AB, Class A | 6,878 | 198,274 | |||||||||
Atlas Copco AB, Class B | 3,967 | 105,855 | |||||||||
Boliden AB | 2,891 | 80,640 | |||||||||
Electrolux AB, Series B | 2,556 | 56,369 | |||||||||
Elekta AB, Series B | 53,650 | 721,680 | |||||||||
Epiroc AB, Class A† | 6,878 | 76,849 | |||||||||
Epiroc AB, Class B† | 3,967 | 40,842 | |||||||||
Essity AB, Class B | 35,999 | 904,896 | |||||||||
Hennes & Mauritz AB, Class B | 9,066 | 167,541 | |||||||||
Hexagon AB, Class B | 2,712 | 158,984 | |||||||||
Husqvarna AB, Class B | 4,326 | 36,847 | |||||||||
ICA Gruppen AB | 819 | 25,987 | |||||||||
Industrivarden AB, Class C | 1,738 | 38,623 | |||||||||
Investor AB, Class B | 4,674 | 215,992 | |||||||||
Kinnevik AB, Class B | 2,493 | 75,485 | |||||||||
L E Lundbergforetagen AB, Class B | 735 | 24,777 | |||||||||
Lundin Petroleum AB | 1,915 | 73,304 | |||||||||
Nordea Bank AB | 190,852 | 2,080,015 | |||||||||
Sandvik AB | 11,512 | 204,336 | |||||||||
Securitas AB, Class B | 3,278 | 57,077 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 169,758 | 1,895,581 | |||||||||
Skanska AB, Class B | 3,483 | 68,407 | |||||||||
SKF AB, Class B | 59,949 | 1,182,805 | |||||||||
Svenska Handelsbanken AB, Class A | 126,625 | 1,599,304 | |||||||||
Swedbank AB, Class A | 9,355 | 231,891 | |||||||||
Swedish Match AB | 1,824 | 93,382 | |||||||||
Tele2 AB, Class B | 3,318 | 39,947 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 92,684 | 822,616 | |||||||||
Telia Co AB | 28,975 | 133,083 | |||||||||
Volvo AB, Class B | 16,154 | 285,550 | |||||||||
13,110,738 |
Security Description | Shares | Value (Note 2) | |||||||||
Switzerland — 8.7% | |||||||||||
ABB, Ltd. | 66,718 | $ | 1,576,514 | ||||||||
Adecco Group AG | 1,713 | 89,961 | |||||||||
Baloise Holding AG | 504 | 76,879 | |||||||||
Barry Callebaut AG | 24 | 45,486 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 82,026 | |||||||||
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate) | 11 | 77,114 | |||||||||
Cie Financiere Richemont SA | 27,534 | 2,244,467 | |||||||||
Clariant AG | 2,065 | 53,740 | |||||||||
Coca-Cola HBC AG | 2,095 | 71,351 | |||||||||
Credit Suisse Group AG | 26,419 | 397,066 | |||||||||
Dufry AG | 352 | 39,687 | |||||||||
EMS-Chemie Holding AG | 86 | 51,264 | |||||||||
GAM Holding AG | 30,798 | 218,730 | |||||||||
Geberit AG | 388 | 179,965 | |||||||||
Givaudan SA | 95 | 233,580 | |||||||||
Julius Baer Group, Ltd. | 2,282 | 114,193 | |||||||||
Kuehne & Nagel International AG | 571 | 90,473 | |||||||||
LafargeHolcim, Ltd. | 5,018 | 247,730 | |||||||||
Lonza Group AG | 5,968 | 2,037,171 | |||||||||
Nestle SA | 135,547 | 11,300,648 | |||||||||
Novartis AG | 103,500 | 8,900,958 | |||||||||
Pargesa Holding SA | 328 | 26,353 | |||||||||
Partners Group Holding AG | 177 | 140,406 | |||||||||
Roche Holding AG | 18,200 | 4,409,059 | |||||||||
Schindler Holding AG (Participation Certificate) (SIX) | 7,042 | 1,755,118 | |||||||||
Schindler Holding AG (RSP) | 210 | 50,671 | |||||||||
SGS SA | 559 | 1,471,832 | |||||||||
Sika AG | 1,343 | 195,552 | |||||||||
Sonova Holding AG | 573 | 114,028 | |||||||||
Straumann Holding AG | 109 | 81,967 | |||||||||
Swatch Group AG (XEGT) | 316 | 125,672 | |||||||||
Swatch Group AG (TRQX) | 532 | 41,469 | |||||||||
Swiss Life Holding AG | 355 | 134,563 | |||||||||
Swiss Prime Site AG | 741 | 63,159 | |||||||||
Swiss Re AG | 3,218 | 297,076 | |||||||||
Swisscom AG | 270 | 122,537 | |||||||||
Temenos AG | 626 | 101,548 | |||||||||
UBS Group AG | 145,769 | 2,302,241 | |||||||||
Vifor Pharma AG | 497 | 86,167 | |||||||||
Zurich Insurance Group AG | 5,302 | 1,675,851 | |||||||||
41,324,272 | |||||||||||
Taiwan — 0.8% | |||||||||||
Largan Precision Co., Ltd. | 4,000 | 476,206 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 272,000 | 2,338,453 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 28,641 | 1,264,787 | |||||||||
4,079,446 | |||||||||||
Turkey — 0.1% | |||||||||||
Turkiye Garanti Bankasi AS | 397,129 | 507,343 |
226
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
United Kingdom — 16.8% | |||||||||||
3i Group PLC | 10,333 | $ | 126,761 | ||||||||
Admiral Group PLC | 2,071 | 56,146 | |||||||||
Anglo American PLC | 10,888 | 244,518 | |||||||||
Antofagasta PLC | 160,360 | 1,787,063 | |||||||||
Ashtead Group PLC | 5,083 | 161,456 | |||||||||
Associated British Foods PLC | 3,638 | 108,587 | |||||||||
AstraZeneca PLC | 40,222 | 3,126,125 | |||||||||
Auto Trader Group PLC* | 10,298 | 59,944 | |||||||||
Aviva PLC | 384,392 | 2,452,476 | |||||||||
Babcock International Group PLC | 2,609 | 24,586 | |||||||||
BAE Systems PLC | 205,426 | 1,686,304 | |||||||||
Barclays PLC | 176,347 | 394,838 | |||||||||
Barclays PLC ADR | 22,300 | 199,585 | |||||||||
Barratt Developments PLC | 10,411 | 76,940 | |||||||||
Berkeley Group Holdings PLC | 1,332 | 63,872 | |||||||||
BHP Billiton PLC | 151,796 | 3,306,485 | |||||||||
BP PLC | 206,853 | 1,588,825 | |||||||||
British American Tobacco PLC | 23,698 | 1,107,180 | |||||||||
British Land Co. PLC | 10,285 | 82,685 | |||||||||
BT Group PLC | 86,714 | 254,641 | |||||||||
Bunzl PLC | 55,573 | 1,747,829 | |||||||||
Burberry Group PLC | 85,090 | 2,234,763 | |||||||||
Carnival PLC | 1,942 | 120,587 | |||||||||
Centrica PLC | 55,430 | 111,911 | |||||||||
Close Brothers Group PLC | 9,951 | 205,188 | |||||||||
Coca-Cola European Partners PLC | 2,181 | 99,170 | |||||||||
Compass Group PLC | 58,275 | 1,295,803 | |||||||||
ConvaTec Group PLC* | 13,993 | 42,386 | |||||||||
Croda International PLC | 1,393 | 94,449 | |||||||||
Diageo PLC | 139,598 | 4,947,277 | |||||||||
Direct Line Insurance Group PLC | 267,528 | 1,129,427 | |||||||||
easyJet PLC | 1,683 | 28,824 | |||||||||
Fresnillo PLC | 2,364 | 25,309 | |||||||||
G4S PLC | 16,470 | 51,950 | |||||||||
GlaxoSmithKline PLC | 190,456 | 3,814,959 | |||||||||
GlaxoSmithKline PLC ADR | 33,200 | 1,333,644 | |||||||||
Great Portland Estates PLC | 46,374 | 404,430 | |||||||||
Hammerson PLC | 8,408 | 50,050 | |||||||||
Hargreaves Lansdown PLC | 2,950 | 85,936 | |||||||||
HSBC Holdings PLC | 207,888 | 1,814,899 | |||||||||
Imperial Brands PLC | 9,809 | 341,489 | |||||||||
Informa PLC | 12,969 | 128,841 | |||||||||
InterContinental Hotels Group PLC | 1,830 | 114,014 | |||||||||
Intertek Group PLC | 1,719 | 111,848 | |||||||||
Investec PLC | 6,677 | 46,960 | |||||||||
ITV PLC | 37,051 | 76,229 | |||||||||
J Sainsbury PLC | 18,093 | 75,888 | |||||||||
John Wood Group PLC | 6,909 | 69,484 | |||||||||
Johnson Matthey PLC | 43,980 | 2,041,865 | |||||||||
Kingfisher PLC | 334,337 | 1,124,299 | |||||||||
Land Securities Group PLC | 7,805 | 89,869 | |||||||||
Legal & General Group PLC | 61,547 | 210,338 | |||||||||
Lloyds Banking Group PLC | 3,673,319 | 2,837,732 | |||||||||
London Stock Exchange Group PLC | 3,280 | 196,058 | |||||||||
Marks & Spencer Group PLC | 17,213 | 64,793 | |||||||||
Mediclinic International PLC | 3,761 | 21,030 |
Security Description | Shares | Value (Note 2) | |||||||||
United Kingdom (continued) | |||||||||||
Meggitt PLC | 169,749 | $ | 1,253,165 | ||||||||
Melrose Industries PLC | 231,905 | 604,229 | |||||||||
Merlin Entertainments PLC* | 6,923 | 36,130 | |||||||||
Micro Focus International PLC | 4,486 | 83,584 | |||||||||
Mondi PLC | 3,851 | 105,608 | |||||||||
National Grid PLC | 119,306 | 1,230,654 | |||||||||
Next PLC | 1,470 | 105,265 | |||||||||
NMC Health PLC | 1,082 | 47,865 | |||||||||
Pearson PLC | 8,050 | 93,382 | |||||||||
Persimmon PLC | 33,938 | 1,046,153 | |||||||||
Prudential PLC | 196,377 | 4,503,578 | |||||||||
Reckitt Benckiser Group PLC | 37,628 | 3,440,951 | |||||||||
RELX PLC ADR | 12,020 | 253,177 | |||||||||
RELX PLC NV | 10,774 | 226,353 | |||||||||
Rio Tinto PLC | 12,409 | 627,547 | |||||||||
Rolls-Royce Holdings PLC | 16,927 | 217,847 | |||||||||
Royal Bank of Scotland Group PLC | 49,883 | 162,544 | |||||||||
Royal Dutch Shell PLC, Class A (TRQX) | 47,666 | 1,638,002 | |||||||||
Royal Dutch Shell PLC, Class B | 38,680 | 1,355,673 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 25,000 | 1,773,250 | |||||||||
Royal Mail PLC | 9,287 | 57,751 | |||||||||
RSA Insurance Group PLC | 71,124 | 533,042 | |||||||||
Sage Group PLC | 11,316 | 86,490 | |||||||||
Schroders PLC | 1,333 | 53,774 | |||||||||
Segro PLC | 10,068 | 83,696 | |||||||||
Severn Trent PLC | 2,519 | 60,708 | |||||||||
Sky PLC | 10,875 | 245,077 | |||||||||
Smith & Nephew PLC | 85,009 | 1,550,657 | |||||||||
Smiths Group PLC | 91,152 | 1,776,767 | |||||||||
SSE PLC | 26,398 | 394,306 | |||||||||
St James's Place PLC | 5,459 | 81,399 | |||||||||
Standard Chartered PLC | 122,294 | 1,014,409 | |||||||||
Standard Life Aberdeen PLC | 28,101 | 112,042 | |||||||||
Taylor Wimpey PLC | 34,127 | 76,419 | |||||||||
Tesco PLC | 100,539 | 314,240 | |||||||||
Travis Perkins PLC | 2,616 | 36,330 | |||||||||
Unilever PLC | 95,644 | 5,255,768 | |||||||||
United Utilities Group PLC | 7,182 | 65,902 | |||||||||
Vodafone Group PLC | 957,326 | 2,052,596 | |||||||||
Vodafone Group PLC ADR | 73,200 | 1,588,440 | |||||||||
Weir Group PLC | 2,490 | 57,218 | |||||||||
Whitbread PLC | 24,679 | 1,517,299 | |||||||||
WM Morrison Supermarkets PLC | 22,007 | 74,406 | |||||||||
79,992,238 | |||||||||||
United States — 1.1% | |||||||||||
Autoliv, Inc. SDR | 6,904 | 602,665 | |||||||||
Booking Holdings, Inc.† | 827 | 1,640,768 | |||||||||
Broadcom, Inc. | 5,650 | 1,394,025 | |||||||||
Philip Morris International, Inc. | 16,067 | 1,310,103 | |||||||||
Veoneer, Inc. SDR† | 5,805 | 320,054 | |||||||||
5,267,615 | |||||||||||
Total Common Stocks (cost $415,033,408) | 466,081,144 |
227
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EXCHANGE-TRADED FUNDS — 0.9% | |||||||||||
United States — 0.9% | |||||||||||
iShares MSCI EAFE ETF Index Fund (cost $4,315,028) | 63,000 | $ | 4,283,370 | ||||||||
RIGHTS — 0.0% | |||||||||||
Australia — 0.0% | |||||||||||
Harvey Norman Holdings, Ltd. Expires 10/15/2018† (Strike Price $2.50 AUD) (cost $0) | 348 | 201 | |||||||||
Total Long-Term Investment Securities (cost $419,348,436) | 470,364,715 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.1% | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(3) | 382,258 | 382,258 | |||||||||
T. Rowe Price Government Reserve Fund 2.09%(3) | 1,131 | 1,131 | |||||||||
383,389 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 1.96% due 11/01/2018(4) | $ | 50,000 | 49,911 | ||||||||
2.02% due 11/29/2018(4) | 40,000 | 39,861 | |||||||||
2.03% due 11/29/2018(4) | 350,000 | 348,783 | |||||||||
2.03% due 12/06/2018(4) | 130,000 | 129,493 | |||||||||
568,048 | |||||||||||
Total Short-Term Investment Securities (cost $951,537) | 951,437 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $717,025 collateralized by $740,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $734,962 (cost $ 717,000) | 717,000 | 717,000 | |||||||||
TOTAL INVESTMENTS (cost $421,016,973)(5) | 99.4 | % | 472,033,152 | ||||||||
Other assets less liabilities | 0.6 | 2,895,110 | |||||||||
NET ASSETS | 100.0 | % | $ | 474,928,262 |
† 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 September 30, 2018, the aggregate value of these securities was $6,220,793 representing 1.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.
(1) Securities classified as Level 3 (see Note 2).
(2) Illiquid security. At September 30, 2018, the aggregate value of these securities was $21 representing 0% of net assets.
(3) The rate shown is the 7-day yield as of September 30, 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
AUD — Australian Dollar
ASX — Australian Stock Exchange
CDI — Chess Depositary Interest
CVA — Certification Van Aandelen (Dutch Cert.)
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) | |||||||||||||||||||||
22 | Long | MSCI EAFE Index | December 2018 | $ | 2,168,358 | $ | 2,173,050 | $ | 4,692 |
* 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.
228
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 20,847,039 | $ | — | $ | 21 | $ | 20,847,060 | |||||||||||
Portugal | 238,978 | — | 0 | 238,978 | |||||||||||||||
Other Countries | 444,995,106 | — | — | 444,995,106 | |||||||||||||||
Exchange-Traded Funds . | 4,283,370 | — | — | 4,283,370 | |||||||||||||||
Rights | 201 | — | — | 201 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies . | 383,389 | — | — | 383,389 | |||||||||||||||
U.S. Government Treasuries | — | 568,048 | — | 568,048 | |||||||||||||||
Repurchase Agreements | — | 717,000 | — | 717,000 | |||||||||||||||
Total Investments at Value | $ | 470,748,083 | $ | 1,285,048 | $ | 21 | $ | 472,033,152 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 4,692 | $ | — | $ | — | $ | 4,692 |
* 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. Securities currently valued at $428,338,002 were transferred from Level 2 to Level 1 due to foreign equity securities whose value were previously 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
229
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 27.8 | % | |||||
Diversified Financial Services | 15.3 | ||||||
Federal National Mtg. Assoc. | 14.3 | ||||||
United States Treasury Bonds | 7.8 | ||||||
Diversified Banking Institutions | 7.3 | ||||||
Federal Home Loan Mtg. Corp. | 5.1 | ||||||
Government National Mtg. Assoc. | 4.1 | ||||||
Electric-Integrated | 1.8 | ||||||
Telephone-Integrated | 1.7 | ||||||
Banks-Commercial | 1.5 | ||||||
Sovereign | 1.3 | ||||||
Cable/Satellite TV | 1.3 | ||||||
Pipelines | 1.2 | ||||||
Repurchase Agreements | 1.2 | ||||||
Medical-HMO | 1.1 | ||||||
Pharmacy Services | 1.0 | ||||||
Banks-Super Regional | 0.9 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
Tobacco | 0.8 | ||||||
Medical-Drugs | 0.7 | ||||||
Registered Investment Companies | 0.7 | ||||||
Auto-Cars/Light Trucks | 0.7 | ||||||
Brewery | 0.6 | ||||||
Multimedia | 0.6 | ||||||
Electronic Components-Semiconductors | 0.6 | ||||||
Insurance-Multi-line | 0.5 | ||||||
Cellular Telecom | 0.5 | ||||||
Transport-Rail | 0.4 | ||||||
Aerospace/Defense-Equipment | 0.4 | ||||||
Medical-Biomedical/Gene | 0.4 | ||||||
Medical Products | 0.4 | ||||||
E-Commerce/Products | 0.4 | ||||||
Medical-Generic Drugs | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Municipal Bonds & Notes | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Electric-Generation | 0.3 | ||||||
Applications Software | 0.3 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Commercial Services-Finance | 0.3 | ||||||
Oil Companies-Integrated | 0.3 | ||||||
Chemicals-Specialty | 0.3 | ||||||
Diversified Minerals | 0.2 | ||||||
Real Estate Investment Trusts | 0.2 | ||||||
Beverages-Wine/Spirits | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Banks-Fiduciary | 0.2 | ||||||
Computers | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Retail-Discount | 0.2 | ||||||
Internet Application Software | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Medical Instruments | 0.1 | ||||||
Electric-Distribution | 0.1 |
Trucking/Leasing | 0.1 | % | |||||
Paper & Related Products | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Enterprise Software/Service | 0.1 | ||||||
Airlines | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Savings & Loans/Thrifts | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Federal Home Loan Bank | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Foreign Government Obligations | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Racetracks | 0.1 | ||||||
Tennessee Valley Authority | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Metal Processors & Fabrication | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Beverages-Non-alcoholic | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
113.6 | % | ||||||
Credit Quality†# | |||||||
Aaa | 59.3 | % | |||||
Aa | 1.2 | ||||||
A | 8.8 | ||||||
Baa | 17.1 | ||||||
Ba | 4.1 | ||||||
B | 1.5 | ||||||
Caa | 0.7 | ||||||
Ca | 0.2 | ||||||
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.
230
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 15.2% | |||||||||||
Diversified Financial Services — 15.2% | |||||||||||
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 2.72% (1 ML+0.50%) due 01/25/2036(1) | $ | 121,680 | $ | 116,533 | |||||||
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 2.76% (1 ML+0.54%) due 11/25/2035(1) | 141,829 | 140,774 | |||||||||
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1) | 182,303 | 160,054 | |||||||||
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 2.79% (12 MTA+0.94%) due 10/25/2046(1) | 58,060 | 53,354 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 3.59% (3 ML+1.25%) due 07/25/2029*(2) | 1,190,000 | 1,189,866 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 3.85% (3 ML+1.51%) due 01/15/2029*(2) | 841,716 | 843,016 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-3, Class A1 2.71% due 11/25/2047*(1)(3) | 378,944 | 376,316 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-2, Class A1 2.48% due 07/25/2047*(1)(3) | 547,327 | 537,791 | |||||||||
Angel Oak Mtg. Trust LLC VRS Series 2017-1, Class A1 2.81% due 01/25/2047*(1)(3) | 117,624 | 116,653 | |||||||||
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 3.81% (3 ML+1.47%) due 04/24/2029*(2) | 1,080,000 | 1,082,219 | |||||||||
Apidos CLO XII FRS Series 2013-12A, Class AR 3.42% (3 ML+1.08%) due 04/15/2031*(2) | 1,295,000 | 1,290,958 | |||||||||
Apidos CLO XVI FRS Series 2013-16A, Class A1R 3.32% (3 ML+0.98%) due 01/19/2025*(2) | 390,504 | 390,305 | |||||||||
Apidos CLO XXI FRS Series 2015-21A, Class A1R 3.26% (3 ML+0.93%) due 07/18/2027*(2) | 1,385,000 | 1,382,975 | |||||||||
Atlas Senior Loan Fund X, Ltd. FRS Series 2018-10A, Class A 3.43% (3 ML+1.09%) due 01/15/2031*(2) | 1,015,000 | 1,009,867 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 3.44% (3 ML+1.10%) due 04/25/2026*(2) | $ | 1,042,144 | $ | 1,041,748 | |||||||
Avis Budget Rental Car Funding AESOP LLC Series 2015-1A, Class A 2.50% due 07/20/2021* | 100,000 | 98,677 | |||||||||
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023 | 79,000 | 78,792 | |||||||||
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 3.50% (3 ML+1.15%) due 07/20/2025*(2) | 295,000 | 294,855 | |||||||||
Babson CLO, Ltd. FRS Series 2016-2A, Class A 3.80% (3 ML+1.45%) due 07/20/2028*(2) | 1,834,000 | 1,833,545 | |||||||||
Bain Capital Credit CLO FRS Series 2017-1A, Class A1 3.60% (3 ML+1.25%) due 07/20/2030*(2) | 995,000 | 997,929 | |||||||||
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 2.28% (1 ML+0.06%) due 01/25/2037(1) | 13,085 | 11,169 | |||||||||
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 2.40% (1 ML+0.23%) due 02/20/2047(1) | 323,659 | 316,957 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.53% due 09/15/2060(3)(4)(5) | 9,750,000 | 377,178 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.89% due 11/15/2050(3)(4)(5) | 8,630,262 | 469,897 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(4) | 470,000 | 457,771 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-NPL2, Class A1 2.98% due 10/28/2032*(6) | 440,797 | 438,669 | |||||||||
Bayview Opportunity Master Fund Trust Series 2017-RN8, Class A1 3.35% due 11/28/2032*(6) | 353,222 | 351,557 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3) | 1,627,134 | 1,612,119 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3) | 1,147,863 | 1,137,734 |
231
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3) | $ | 901,518 | $ | 895,875 | |||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(3) | 1,424,306 | 1,409,726 | |||||||||
Bayview Opportunity Master Fund Trust Series 2018-RN2, Class A1 3.60% due 02/25/2033*(6) | 397,222 | 394,327 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3) | 1,275,282 | 1,277,842 | |||||||||
BCAP LLC Trust FRS Series 2006-AA2, Class A1 2.39% (1 ML+0.17%) due 01/25/2037(1) | 19,231 | 18,088 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 2.70% (1 ML+0.48%) due 02/25/2036(1) | 59,280 | 56,254 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 2.72% (1 ML+0.50%) due 01/25/2036(1) | 173,017 | 181,222 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 2.40% (1 ML+0.18%) due 10/25/2036(1) | 90,292 | 83,267 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 2.42% (1 ML+0.20%) due 02/25/2037(1) | 189,128 | 193,620 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.17% (1 ML+0.95%) due 08/25/2028*(1) | 1,440,000 | 1,441,887 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.67% due 01/15/2051(3)(4)(5) | 2,645,269 | 101,243 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.70% due 07/15/2051(3)(4)(5) | 4,605,385 | 177,132 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(4) | 432,000 | 434,299 | |||||||||
Benefit Street Partners CLO, Ltd. FRS Series 2016-10A, Class A1 3.83% (3 ML+1.49%) due 01/15/2029*(2) | 680,000 | 681,010 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
BlueMountain CLO, Ltd. FRS Series 2015-3A, Class A1R 3.35% (3 ML+1.00%) due 04/20/2031*(2) | $ | 1,617,000 | $ | 1,603,534 | |||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2018-1A, Class A1 3.08% (3 ML+1.02%) due 04/20/2031*(2) | 1,343,000 | 1,336,657 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.12% (3 ML+0.78%) due 04/27/2027*(2) | 1,355,000 | 1,345,564 | |||||||||
CarMax Auto Owner Trust Series 2016-4, Class A4 1.60% due 06/15/2022 | 160,000 | 155,271 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 3.57% (3 ML+1.23%) due 10/17/2029*(2) | 1,180,000 | 1,180,977 | |||||||||
Cent CLO, Ltd. FRS Series 2013-20A, Class AR 3.44% (3 ML+1.10%) due 01/25/2026*(2) | 1,318,859 | 1,318,605 | |||||||||
Cent CLO, Ltd. FRS Series 2014-21A, Class A1RA 3.49% (3 ML+1.15%) due 07/27/2030*(2) | 810,000 | 809,581 | |||||||||
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 3.58% due 12/25/2035(1)(3) | 148,070 | 142,130 | |||||||||
Chase Mtg. Finance Trust VRS Series 2016-2, Class M2 3.75% due 12/25/2045*(1)(3) | 258,904 | 253,330 | |||||||||
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1) | 241,261 | 234,045 | |||||||||
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 3.93% due 09/25/2047(1)(3) | 187,240 | 175,028 | |||||||||
CIFC Funding, Ltd. FRS Series 2012-2RA, Class A1 3.15% (3 ML+0.80%) due 01/20/2028*(2) | 1,601,000 | 1,592,531 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.16% (3 ML+1.05%) due 04/24/2030*(2) | 1,495,000 | 1,490,176 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(1)(3) | 1,512,471 | 1,493,570 |
232
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | 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 | $ | 78,736 | |||||||
Citibank Credit Card Issuance Trust Series 2014-A6, Class A6 2.15% due 07/15/2021 | 150,000 | 149,263 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.19% due 07/10/2047(3)(4)(5) | 4,072,406 | 186,430 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.25% due 04/10/2048(3)(4)(5) | 3,562,922 | 178,884 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4) | 1,029,000 | 1,031,654 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-GC35, Class A4 3.82% due 11/10/2048(4) | 1,235,000 | 1,244,256 | |||||||||
Citigroup Mtg. Loan Trust VRS Series 2018-RP3, Class A1 3.25% due 03/25/2061*(1)(3) | 1,258,577 | 1,258,503 | |||||||||
Civic Mortgage LLC Series 2018-1, Class A1 3.89% due 06/25/2022*(1)(6) | 344,081 | 344,089 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-2, Class A1A 2.42% due 10/25/2047*(1)(3) | 1,013,429 | 1,006,526 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(1)(3) | 399,708 | 396,631 | |||||||||
COLT Mtg. Loan Trust VRS Series 2016-3, Class A1 2.80% due 12/26/2046*(1)(3) | 210,110 | 208,696 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-1, Class A1 2.93% due 02/25/2048*(1)(3) | 492,537 | 489,938 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-3, Class A1 3.69% due 10/26/2048*(1)(3) | 575,000 | 576,020 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4) | 845,000 | 875,593 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 2.54% (1 ML+0.32%) due 11/25/2035(1) | $ | 50,194 | $ | 47,023 | |||||||
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 2.76% (1 ML+0.54%) due 01/25/2036(1) | 122,534 | 116,561 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 3.02% (1 ML+0.80%) due 12/25/2035(1) | 110,319 | 96,913 | |||||||||
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1) | 177,094 | 132,001 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 2.74% (1 ML+0.68%) due 03/25/2035(1) | 57,186 | 53,563 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.39% due 11/20/2035(1)(3) | 32,591 | 30,406 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 3.73% due 06/20/2035(1)(3) | 99,293 | 99,953 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.95% due 06/15/2057(3)(4)(5) | 9,914,926 | 390,393 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.96% due 01/15/2049(3)(4)(5) | 2,789,906 | 257,547 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(4) | 740,022 | 729,791 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(4) | 1,448,000 | 1,437,980 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4) | 703,000 | 702,794 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(1)(3) | 667,189 | 650,509 |
233
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CSMC Trust VRS Series 2016-NXSR, Class A4 3.79% due 12/15/2049(4) | $ | 1,536,000 | $ | 1,527,910 | |||||||
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(4) | 358,947 | 361,753 | |||||||||
DBCG Mtg. Trust FRS Series 2017-BBG, Class A 2.86% (1 ML+0.70%) due 06/15/2034*(4) | 300,000 | 300,162 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(1)(3) | 406,962 | 404,143 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-3A, Class A1 2.58% due 10/25/2047*(1)(3) | 431,279 | 427,427 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 2.37% (1 ML+0.15%) due 12/25/2036(1) | 197,204 | 181,871 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 2.37% (1 ML+0.15%) due 03/25/2037(1) | 17,419 | 15,786 | |||||||||
Discover Card Execution Note Trust Series 2015-A4, Class A4 2.19% due 04/17/2023 | 140,000 | 137,483 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048*(11) | 758,100 | 753,332 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-50A, Class X 3.14% (3 ML+0.80%) due 07/15/2030*(2) | 612,000 | 611,694 | |||||||||
Dryden Senior Loan Fund FRS Series 2013-26A, Class AR 3.25% (3 ML+0.90%) due 04/15/2029*(2) | 1,525,000 | 1,513,782 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 3.54% (3 ML+1.21%) due 07/18/2030*(2) | 1,535,000 | 1,535,302 | |||||||||
Dryden Senior Loan Fund FRS Series 2014-33A, Class AR 3.77% (3 ML+1.43%) due 10/15/2028*(2) | 1,370,000 | 1,372,037 | |||||||||
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 2.77% (12 MTA+0.92%) due 03/19/2046(1) | 387,341 | 368,866 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 2.53% (1 ML+0.31%) due 09/25/2036(11) | $ | 495,000 | $ | 441,510 | |||||||
Flatiron CLO, Ltd. FRS Series 2017-1A, Class A 3.56% (3 ML+1.25%) due 05/15/2030*(2) | 975,000 | 976,055 | |||||||||
Ford Credit Auto Owner Trust/Ford Credit Series 2018-2, Class A 3.47% due 01/15/2030* | 100,000 | 99,833 | |||||||||
Ford Credit Floorplan Master Owner Trust Series 2017-1, Class A1 2.07% due 05/15/2022 | 168,000 | 165,283 | |||||||||
Galton Funding Mtg. Trust VRS Series 2018-1, Class A43 3.50% due 11/25/2057*(1)(3) | 468,489 | 466,257 | |||||||||
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023* | 100,000 | 97,248 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 3.81% due 04/19/2036(1)(3) | 240,618 | 223,853 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 4.11% due 09/19/2035(1)(3) | 32,063 | 31,058 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 2.38% (1 ML+0.16%) due 02/25/2037(1) | 49,487 | 49,141 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 3.25% (12 MTA+1.40%) due 10/25/2045(1) | 181,366 | 157,814 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4) | 1,285,000 | 1,251,352 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4) | 155,000 | 169,602 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4) | 1,225,000 | 1,228,881 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4) | 1,307,000 | 1,307,596 | |||||||||
GSAA Home Equity Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6)(11) | 365,000 | 371,027 |
234
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 2.27% (1 ML+0.05%) due 12/25/2046(11) | $ | 40,463 | $ | 28,366 | |||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 2.29% (1 ML+0.07%) due 12/25/2046(11) | 78,759 | 42,735 | |||||||||
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 2.30% (1 ML+0.08%) due 02/25/2037(11) | 400,574 | 204,965 | |||||||||
GSAA Home Equity Trust FRS Series 2006-19, Class A1 2.31% (1 ML+0.09%) due 12/25/2036(11) | 14,016 | 6,640 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.32% (1 ML+0.10%) due 03/25/2037(11) | 447,365 | 226,588 | |||||||||
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 2.46% (1 ML+0.24%) due 11/25/2036(11) | 101,154 | 59,511 | |||||||||
GSAA Home Equity Trust FRS Series 2006-3, Class A3 2.52% (1 ML+0.30%) due 03/25/2036(11) | 20,818 | 15,398 | |||||||||
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 2.54% (1 ML+0.32%) due 04/25/2047(11) | 168,336 | 117,934 | |||||||||
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6)(11) | 105,725 | 53,061 | |||||||||
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(3)(11) | 345,294 | 165,077 | |||||||||
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 2.52% (1 ML+0.30%) due 01/25/2037(1) | 532,104 | 306,209 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 3.75% due 01/25/2036(1)(3) | 10,176 | 10,114 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 3.75% due 01/25/2036(1)(3) | 131,698 | 130,518 | |||||||||
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 4.19% due 10/25/2035(1)(3) | 93,138 | 78,665 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 2.36% (1 ML+0.19%) due 01/19/2038(1) | 11,554 | 11,460 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 2.41% (1 ML+0.24%) due 12/19/2036(1) | $ | 268,586 | $ | 252,572 | |||||||
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 2.49% (1 ML+0.27%) due 02/25/2036 | 200,000 | 198,604 | |||||||||
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 2.50% (1 ML+0.28%) due 07/25/2035(1) | 5,763 | 5,206 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 3.82% due 12/25/2036(1)(3) | 237,979 | 227,972 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.86% due 04/25/2037(1)(3) | 154,188 | 120,016 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(4) | 973,279 | 964,512 | |||||||||
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 3.59% due 05/25/2036(1)(3) | 121,417 | 117,287 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(4) | 290,000 | 292,593 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4) | 1,355,000 | 1,367,728 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(6) | 1,728,956 | 1,724,201 | |||||||||
Lehman XS Trust FRS Series 2006-16N, Class A4A 2.41% (1 ML+0.19%) due 11/25/2046(1)(11) | 373,734 | 366,364 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2018-1, Class A 3.81% (1 ML+1.55%) due 02/01/2023*(1) | 565,502 | 556,354 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-7, Class A 3.83% (1 ML+1.75%) due 10/01/2022*(1) | 510,928 | 508,652 |
235
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.01% (1 ML+1.75%) due 09/01/2022*(1)(8) | $ | 342,725 | $ | 342,939 | |||||||
Madison Park Funding XI, Ltd. FRS Series 2013-11A, Class AR 3.51% (3 ML+1.16%) due 07/23/2029*(2) | 1,235,000 | 1,234,864 | |||||||||
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 3.61% (3 ML+1.26%) due 07/20/2026*(2) | 1,290,000 | 1,289,509 | |||||||||
Magnetite CLO, Ltd. FRS Series 2014-8A, Class AR2 3.32% (3 ML+0.98%) due 04/15/2031*(2) | 680,000 | 677,814 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 3.34% (3 ML+1.00%) due 07/25/2026*(2) | 2,515,000 | 2,514,258 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 3.84% (3 ML+1.50%) due 07/25/2026*(2) | 880,000 | 879,415 | |||||||||
Magnetite VII, Ltd. FRS Series 2012-7A, Class A1R2 3.14% (3 ML+0.80%) due 01/15/2028*(2) | 1,545,000 | 1,532,816 | |||||||||
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 4.42% due 11/21/2034(1)(3) | 83,499 | 85,672 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 4.09% due 07/25/2035(1)(3) | 198,174 | 161,044 | |||||||||
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(1)(3) | 471,967 | 458,423 | |||||||||
MFRA Trust VRS Series 2017-RPL1, Class A1 2.59% due 02/25/2057*(1)(3) | 415,653 | 406,449 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(6) | 1,115,066 | 1,103,493 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 2.37% (1 ML+0.15%) due 06/25/2036(11) | 9,199 | 7,779 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.25% due 12/15/2047(3)(4)(5) | $ | 2,712,484 | $ | 107,602 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(4) | 500,000 | 498,209 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(4) | 791,000 | 769,258 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4) | 1,857,000 | 1,816,041 | |||||||||
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(4) | 52,000 | 50,239 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.61% due 06/15/2050(3)(4)(5) | 1,759,521 | 150,639 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4) | 755,000 | 759,352 | |||||||||
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 2.39% (1 ML+0.17%) due 11/25/2036(11) | 264,940 | 117,781 | |||||||||
Nationstar HECM Loan Trust Series 2017-1A, Class A 1.97% due 05/25/2027* | 125,363 | 125,124 | |||||||||
Nationstar HECM Loan Trust VRS Series 2017-2A, Class A1 2.04% due 09/25/2027*(3) | 240,110 | 238,384 | |||||||||
Nationstar HECM Loan Trust Series 2017-1A, Class M1 2.94% due 05/25/2027* | 140,000 | 138,974 | |||||||||
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.14% (3 ML+0.80%) due 01/15/2028*(2) | 1,535,000 | 1,531,635 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.72% (1 ML+1.50%) due 06/25/2057*(1) | 1,551,362 | 1,590,868 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(1)(3) | 1,136,337 | 1,134,454 |
236
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(1)(3) | $ | 1,005,859 | $ | 1,001,009 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(1)(3) | 1,957,530 | 1,963,043 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(1)(3) | 1,973,773 | 1,984,722 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(1)(3) | 1,657,296 | 1,664,341 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(1)(3) | 1,336,710 | 1,343,001 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3) | 1,593,718 | 1,598,548 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.32% due 06/25/2036(1)(3) | 159,863 | 141,487 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 1,083,819 | 1,078,001 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 671,331 | 667,251 | |||||||||
Oak Hill Advisors Residential Loan Trust Series 2017-NPL1, Class A1 3.00% due 06/25/2057*(6) | 530,927 | 522,909 | |||||||||
Oak Hill Credit Partners X, Ltd. FRS Series 2014-10A, Class AR 3.48% (3 ML+1.13%) due 07/20/2026*(2) | 405,000 | 405,038 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.19% (3 ML+0.85%) due 04/17/2027*(2) | 1,160,000 | 1,156,924 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Octagon Investment Partners 24, Ltd. FRS Series 2015-1A, Class A1R 3.21% (3 ML+0.90%) due 05/21/2027*(2) | $ | 1,267,000 | $ | 1,265,505 | |||||||
Octagon Investment Partners 30, Ltd. FRS Series 1A, Class A1 3.67% (3 ML+1.32%) due 03/17/2030*(2) | 865,000 | 868,907 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 1,910,000 | 1,877,303 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 1,005,180 | 1,010,478 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.24% (3 ML+1.05%) due 04/30/2027*(2) | 2,095,000 | 2,091,807 | |||||||||
OZLM, Ltd. FRS Series 2014-7RA, Class A1R 3.35% (3 ML+1.01%) due 07/17/2029*(2) | 330,000 | 328,663 | |||||||||
Pretium Mtg. Credit Partners VRS Series 2017-NPL5 Class A1 3.33% due 12/30/2032*(3) | 178,518 | 177,548 | |||||||||
Pretium Mtg. Credit Partners Series 2018-NPL1, Class A1 3.38% due 01/27/2033*(6) | 267,584 | 264,908 | |||||||||
Pretium Mtg. Credit Partners Series 2018-NPL2, Class A1 3.70% due 03/27/2033*(6) | 1,012,940 | 1,005,878 | |||||||||
RALI Series Trust FRS Series 2006-QA3, Class A2 2.52% (1 ML+0.30%) due 04/25/2036(1) | 344,012 | 318,753 | |||||||||
RALI Series Trust VRS Series 2007-QH9, Class A1 3.18% due 11/25/2037(1)(3) | 67,646 | 59,880 | |||||||||
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1) | 81,452 | 78,239 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6)(11) | 340,005 | 169,592 | |||||||||
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6)(11) | 156,468 | 96,144 | |||||||||
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 4.24% due 04/25/2037(1)(3) | 25,954 | 24,756 |
237
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 2.31% (1 ML+0.09%) due 07/25/2036(11) | $ | 188,296 | $ | 92,819 | |||||||
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.46% (3 ML+1.12%) due 07/17/2026*(2) | 955,000 | 954,512 | |||||||||
Shackleton CLO, Ltd. FRS Series 2014-6RA, Class A 3.36% (3 ML+1.02%) due 07/17/2028*(2) | 1,580,000 | 1,572,700 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021*(11) | 716,782 | 716,114 | |||||||||
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026* | 200,145 | 198,317 | |||||||||
Sound Point CLO, Ltd. FRS Series 2018-1A, Class A 3.35% (3 ML+1.00%) due 04/15/2031*(2) | 1,560,000 | 1,550,106 | |||||||||
Sound Point CLO, Ltd. FRS Series 2017-1A, Class A 3.74% (3 ML+1.39%) due 01/23/2029*(2) | 600,000 | 600,658 | |||||||||
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 2.40% (1 ML+0.18%) due 07/25/2037(11) | 44,956 | 40,523 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.47% (1 ML+0.25%) due 11/25/2036(11) | 290,000 | 269,426 | |||||||||
SPS Servicer Advance Receivables Trust Series 2016-T2, Class AT2 2.75% due 11/15/2049* | 1,225,000 | 1,217,427 | |||||||||
Structured Adjustable Rate Mtg. Loan Trust VRS Series 2004-13, Class A2 0.49% due 09/25/2034(1)(3) | 22,841 | 21,337 | |||||||||
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 2.45% (1 ML+0.23%) due 02/25/2036(1) | 123,803 | 113,622 | |||||||||
Symphony CLO LP FRS Series 2012-BR, Class 8AR 3.85% (1 ML+1.75%) due 01/09/2023*(2) | 960,925 | 960,050 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Symphony CLO XV, Ltd. FRS Series 2014-15A, Class AR 3.52% (3 ML+1.18%) due 10/17/2026*(2) | $ | 1,150,000 | $ | 1,149,880 | |||||||
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2R 3.62% (3 ML+1.28%) due 07/14/2026*(2) | 1,130,000 | 1,130,736 | |||||||||
Synchrony Credit Card Master Note Trust Series 2016-2, Class A 2.21% due 05/15/2024 | 100,000 | 97,330 | |||||||||
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.51% (3 ML+1.16%) due 10/20/2026*(2) | 810,000 | 809,860 | |||||||||
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(3) | 309,887 | 305,319 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3) | 768,890 | 753,392 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3) | 1,985,576 | 1,944,005 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3) | 546,248 | 535,989 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3) | 1,484,177 | 1,442,435 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.82% (1 ML+0.60%) due 02/25/2057* | 1,338,050 | 1,339,249 | |||||||||
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024 | 150,000 | 149,627 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class AR 3.72% (3 ML+1.37%) due 04/20/2027*(2) | 1,280,000 | 1,279,812 | |||||||||
U.S. Residential Opportunity Fund Trust Series 2017-1III, Class A 3.35% due 11/27/2037*(6) | 494,530 | 490,214 | |||||||||
Venture XXVII CLO, Ltd. FRS Series 2017-27A, Class A 3.65% (3 ML+1.30%) due 07/20/2030*(2) | 665,000 | 665,720 | |||||||||
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.58% (3 ML+1.24%) due 06/20/2029*(2) | 1,785,000 | 1,786,508 | |||||||||
Vibrant CLO, Ltd. FRS Series 2015-3A, Class A1R 3.83% (3 ML+1.48%) due 04/20/2026*(2) | 1,120,000 | 1,120,000 |
238
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(4) | $ | 1,195,000 | $ | 1,176,050 | |||||||
VOLT LLC Series 2018-NPL6, Class A1A 4.11% due 09/25/2048*(6) | 860,000 | 859,658 | |||||||||
VOLT LX LLC Series 2017-NPL7, Class A1 3.25% due 06/25/2047*(6)(11) | 330,840 | 328,639 | |||||||||
VOLT LXII LLC Series 2017-NPL9, Class A1 3.13% due 09/25/2047*(6) | 306,126 | 302,469 | |||||||||
VOLT LXIII LLC Series NP10, Class A1 3.00% due 10/25/2047*(6) | 429,466 | 424,657 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(6) | 1,333,769 | 1,325,615 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(6) | 777,472 | 775,745 | |||||||||
Voya CLO, Ltd. FRS Series 2014-1A, Class AAR2 3.32% (3 ML+0.99%) due 04/18/2031*(2) | 555,000 | 551,304 | |||||||||
Voya CLO, Ltd. FRS Series 2014-2A, Class A1R 3.59% (3 ML+1.25%) due 04/17/2030*(2) | 250,000 | 250,326 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.52% (COFI 11+1.50%) due 11/25/2046(1) | 70,629 | 69,962 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 2.57% (12 MTA+0.82%) due 12/25/2046(1) | 486,381 | 439,901 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 2.73% (12 MTA+0.88%) due 10/25/2046(1) | 192,680 | 181,039 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.56% due 06/25/2037(1)(3) | 168,245 | 157,146 | |||||||||
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 2.68% (12 MTA+0.83%) due 11/25/2046(1) | 144,136 | 132,163 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 2.82% (1 ML+0.60%) due 07/25/2036(1) | $ | 85,951 | $ | 60,390 | |||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.30% due 05/15/2048(3)(4)(5) | 3,664,227 | 180,499 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.30% due 09/15/2057(3)(4)(5) | 9,517,537 | 447,502 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(3)(4) | 75,000 | 70,232 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR16, Class 4A8 4.49% due 10/25/2035(1)(3) | 575,000 | 584,131 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 4.71% due 10/25/2036(1)(3) | 106,143 | 104,638 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048*(11) | 446,625 | 428,711 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 1,215,000 | 1,206,369 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(3)(4)(5) | 466,053 | 7,379 | |||||||||
World Financial Network Credit Card Master Trust Series 2016-A, Class A 2.03% due 04/15/2025 | 150,000 | 144,590 | |||||||||
World Financial Network Credit Card Master Trust Series 2017-C, Class A 2.31% due 08/15/2024 | 150,000 | 147,120 | |||||||||
York, Ltd. FRS Series 2016-2A, Class A 3.98% (3 ML+1.63%) due 01/20/2030*(2) | 1,240,000 | 1,253,406 | |||||||||
Total Asset Backed Securities (cost $154,745,831) | 153,969,080 |
239
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES — 26.9% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024 | $ | 83,000 | $ | 83,111 | |||||||
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028 | 87,000 | 87,130 | |||||||||
170,241 | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
General Dynamics Corp. Company Guar. Notes 2.88% due 05/11/2020 | 189,000 | 188,543 | |||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 1,533,000 | 1,459,475 | |||||||||
1,648,018 | |||||||||||
Aerospace/Defense-Equipment — 0.4% | |||||||||||
Harris Corp. Senior Notes 4.40% due 06/15/2028 | 169,000 | 169,608 | |||||||||
Triumph Group, Inc. Company Guar. Notes 4.88% due 04/01/2021 | 91,000 | 87,815 | |||||||||
United Technologies Corp. Senior Notes 1.90% due 05/04/2020 | 146,000 | 143,032 | |||||||||
United Technologies Corp. Senior Notes 2.80% due 05/04/2024 | 60,000 | 56,889 | |||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 2,105,000 | 2,095,653 | |||||||||
United Technologies Corp. Senior Notes 3.75% due 11/01/2046 | 160,000 | 140,027 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 881,000 | 876,830 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 195,000 | 196,086 | |||||||||
3,765,940 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 210,000 | 185,850 | |||||||||
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 | 444,370 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Airlines (continued) | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | $ | 650,000 | $ | 638,446 | |||||||
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024 | 64,674 | 64,920 | |||||||||
1,159,894 | |||||||||||
Applications Software — 0.3% | |||||||||||
CDK Global, Inc. Senior Notes 5.88% due 06/15/2026 | 74,000 | 76,248 | |||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 1,045,000 | 999,520 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 240,000 | 234,794 | |||||||||
Microsoft Corp. Senior Notes 4.45% due 11/03/2045 | 585,000 | 626,457 | |||||||||
salesforce.com, Inc. Senior Notes 3.25% due 04/11/2023 | 575,000 | 570,840 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 385,000 | 381,706 | |||||||||
2,889,565 | |||||||||||
Auto-Cars/Light Trucks — 0.7% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.10% due 04/12/2021* | 306,000 | 303,997 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021* | 323,000 | 310,073 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020* | 287,000 | 283,195 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 3.10% due 05/04/2020* | 382,000 | 380,840 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 415,000 | 369,623 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 3.34% due 03/18/2021 | 252,000 | 248,413 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 3.82% due 11/02/2027 | 245,000 | 218,972 | |||||||||
General Motors Co. Senior Notes 4.00% due 04/01/2025 | 500,000 | 478,932 |
240
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Auto-Cars/Light Trucks (continued) | |||||||||||
General Motors Co. Senior Notes 4.88% due 10/02/2023 | $ | 940,000 | $ | 962,408 | |||||||
General Motors Co. Senior Notes 5.00% due 10/01/2028 | 362,000 | 357,501 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 480,000 | 448,060 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 510,000 | 506,570 | |||||||||
General Motors Co. Senior Notes 6.25% due 10/02/2043 | 240,000 | 246,103 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 515,000 | 557,438 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023 | 285,000 | 278,466 | |||||||||
Nissan Motor Acceptance Corp. Senior Notes 2.15% due 09/28/2020* | 288,000 | 280,798 | |||||||||
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022* | 228,000 | 218,822 | |||||||||
Toyota Motor Credit Corp. Senior Notes 2.95% due 04/13/2021 | 527,000 | 524,585 | |||||||||
6,974,796 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024* | 76,000 | 75,620 | |||||||||
JB Poindexter & Co., Inc. Senior Notes 7.13% due 04/15/2026* | 85,000 | 88,187 | |||||||||
163,807 | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Associated Bank NA Senior Notes 3.50% due 08/13/2021 | 168,000 | 167,159 | |||||||||
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025 | 578,000 | 587,110 | |||||||||
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022* | 260,000 | 258,697 | |||||||||
First Horizon National Corp. Senior Notes 3.50% due 12/15/2020 | 405,000 | 405,597 | |||||||||
First Tennessee Bank NA Senior Notes 2.95% due 12/01/2019 | 258,000 | 257,322 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Regions Bank Senior Notes 3.37% due 08/13/2021 | $ | 257,000 | $ | 256,230 | |||||||
Regions Financial Corp. Senior Notes 2.75% due 08/14/2022 | 152,000 | 146,577 | |||||||||
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037 | 594,000 | 764,117 | |||||||||
Santander Holdings USA, Inc. Senior Notes 3.40% due 01/18/2023 | 230,000 | 221,795 | |||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 900,000 | 888,933 | |||||||||
SunTrust Bank Senior Notes 3.50% due 08/02/2022 | 137,000 | 136,534 | |||||||||
4,090,071 | |||||||||||
Banks-Fiduciary — 0.2% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.30% due 09/11/2019 | 1,890,000 | 1,880,852 | |||||||||
Banks-Super Regional — 0.9% | |||||||||||
Capital One Financial Corp. Sub. Notes 3.75% due 07/28/2026 | 127,000 | 118,513 | |||||||||
Citibank NA Senior Notes 2.13% due 10/20/2020 | 313,000 | 305,657 | |||||||||
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035 | 600,000 | 648,782 | |||||||||
Wells Fargo & Co. Senior Notes 2.63% due 07/22/2022 | 1,395,000 | 1,347,363 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 02/19/2025 | 377,000 | 356,865 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 655,000 | 609,556 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 935,000 | 867,632 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 1,293,000 | 1,261,996 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 1,560,000 | 1,496,786 | |||||||||
Wells Fargo & Co. Sub. Notes 4.40% due 06/14/2046 | 305,000 | 287,305 | |||||||||
Wells Fargo & Co. Sub. Notes 4.75% due 12/07/2046 | 59,000 | 58,774 |
241
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043 | $ | 275,000 | $ | 295,442 | |||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 575,000 | 635,162 | |||||||||
Wells Fargo Bank NA Senior Notes 3.55% due 08/14/2023 | 268,000 | 266,744 | |||||||||
8,556,577 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Gamma Acquisition, Inc. Senior Sec. Notes 6.38% due 07/15/2026* | 150,000 | 155,062 | |||||||||
EnerSys Company Guar. Notes 5.00% due 04/30/2023* | 86,000 | 86,860 | |||||||||
241,922 | |||||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.06% due 05/25/2023* | 88,000 | 88,154 | |||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025* | 224,000 | 224,944 | |||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028* | 126,000 | 126,614 | |||||||||
439,712 | |||||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 1,285,000 | 1,228,181 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 2.70% due 05/09/2022 | 175,000 | 168,747 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 770,000 | 720,496 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.50% due 05/09/2047 | 115,000 | 107,303 | |||||||||
2,224,727 | |||||||||||
Brewery — 0.6% | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 2.65% due 02/01/2021 | 310,000 | 305,499 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.30% due 02/01/2023 | 1,800,000 | 1,779,596 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 3.65% due 02/01/2026 | $ | 167,000 | $ | 162,273 | |||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.70% due 02/01/2036 | 743,000 | 743,997 | |||||||||
Anheuser-Busch InBev Finance, Inc. Company Guar. Notes 4.90% due 02/01/2046 | 374,000 | 378,234 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.50% due 01/12/2024 | 540,000 | 534,379 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 925,000 | 896,033 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 865,000 | 839,607 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039 | 500,000 | 701,886 | |||||||||
6,341,504 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery Communications LLC Company Guar. Notes 2.80% due 06/15/2020* | 308,000 | 304,871 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.50% due 06/15/2022* | 161,000 | 158,381 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 833,000 | 816,976 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024* | 186,000 | 182,150 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 509,000 | 496,669 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 550,000 | 564,488 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 67,000 | 65,330 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 5.13% due 05/15/2023* | 135,000 | 128,925 | |||||||||
2,717,790 |
242
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Owens Corning Senior Notes 4.30% due 07/15/2047 | $ | 313,000 | $ | 252,535 | |||||||
Owens Corning Company Guar. Notes 4.40% due 01/30/2048 | 78,000 | 64,595 | |||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 94,000 | 96,115 | |||||||||
413,245 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Frontdoor, Inc. Senior Notes 6.75% due 08/15/2026* | 63,000 | 64,890 | |||||||||
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 84,000 | 81,270 | |||||||||
146,160 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
Martin Marietta Materials, Inc. Senior Notes 4.25% due 12/15/2047 | 58,000 | 49,533 | |||||||||
Vulcan Materials Co. Senior Notes 4.70% due 03/01/2048* | 157,000 | 144,118 | |||||||||
193,651 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. Senior Notes 4.45% due 04/01/2025 | 196,000 | 197,924 | |||||||||
Masco Corp. Senior Notes 4.50% due 05/15/2047 | 103,000 | 88,489 | |||||||||
286,413 | |||||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025* | 120,000 | 123,300 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028 | 162,000 | 148,684 | |||||||||
William Lyon Homes, Inc. Company Guar. Notes 6.00% due 09/01/2023 | 84,000 | 81,060 | |||||||||
229,744 | |||||||||||
Cable/Satellite TV — 1.1% | |||||||||||
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025* | 170,000 | 174,250 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028* | 36,000 | 33,836 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 05/01/2025* | $ | 85,000 | $ | 84,362 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024* | 51,000 | 51,829 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 455,000 | 462,618 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 880,000 | 893,576 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038 | 23,000 | 22,372 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 320,000 | 303,202 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 640,000 | 640,406 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035 | 78,000 | 83,889 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 2,115,000 | 2,273,590 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 895,000 | 746,795 | |||||||||
Comcast Corp. Company Guar. Notes 3.60% due 03/01/2024 | 243,000 | 241,172 | |||||||||
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038 | 58,000 | 53,160 |
243
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | $ | 624,000 | $ | 553,350 | |||||||
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038 | 57,000 | 67,496 | |||||||||
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033 | 179,000 | 222,371 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 645,000 | 610,391 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 480,000 | 448,005 | |||||||||
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021 | 160,000 | 168,600 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 300,000 | 272,250 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 80,000 | 81,700 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 310,000 | 264,552 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 125,000 | 126,202 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037 | 1,100,000 | 1,193,244 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 8.75% due 02/14/2019 | 540,000 | 551,157 | |||||||||
10,624,375 | |||||||||||
Cellular Telecom — 0.2% | |||||||||||
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021 | 165,000 | 174,488 | |||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 321,000 | 346,279 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 4.74% due 09/20/2029* | 417,000 | 416,812 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 5.15% due 09/20/2029* | 595,000 | 597,915 | |||||||||
1,535,494 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026* | $ | 70,000 | $ | 68,862 | |||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 260,000 | 262,310 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 5.00% due 09/26/2048 | 79,000 | 79,228 | |||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025* | 75,000 | 77,062 | |||||||||
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034 | 96,000 | 122,303 | |||||||||
609,765 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025* | 140,000 | 140,350 | |||||||||
Coal — 0.0% | |||||||||||
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025* | 140,000 | 144,200 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
RPM International, Inc. Senior Notes 4.25% due 01/15/2048 | 22,000 | 19,290 | |||||||||
Sherwin-Williams Co. Senior Notes 3.13% due 06/01/2024 | 215,000 | 206,505 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 530,000 | 504,366 | |||||||||
730,161 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022 | 197,000 | 188,853 | |||||||||
Commercial Services-Finance — 0.3% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 2,465,000 | 2,460,267 | |||||||||
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026* | 26,000 | 26,096 | |||||||||
Refinitiv US Holdings, Inc. Company Guar. Notes 8.25% due 11/15/2026* | 90,000 | 89,455 | |||||||||
2,575,818 |
244
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Computer Services — 0.1% | |||||||||||
Harland Clarke Holdings Corp. Senior Sec. Notes 8.38% due 08/15/2022* | $ | 145,000 | $ | 139,019 | |||||||
IBM Credit LLC Senior Notes 2.65% due 02/05/2021 | 476,000 | 470,637 | |||||||||
International Business Machines Corp. Senior Notes 2.50% due 01/27/2022 | 262,000 | 255,607 | |||||||||
International Business Machines Corp. Senior Notes 4.00% due 06/20/2042 | 73,000 | 70,911 | |||||||||
936,174 | |||||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | 85,000 | 82,671 | |||||||||
Computers — 0.2% | |||||||||||
Apple, Inc. Senior Notes 2.85% due 05/06/2021 | 153,000 | 152,236 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 160,000 | 143,552 | |||||||||
Apple, Inc. Senior Notes 3.85% due 08/04/2046 | 205,000 | 196,588 | |||||||||
Apple, Inc. Senior Notes 4.45% due 05/06/2044 | 475,000 | 496,805 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026* | 75,000 | 80,162 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.10% due 07/15/2036* | 367,000 | 440,432 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035 | 65,000 | 66,824 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 500,000 | 513,816 | |||||||||
2,090,415 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024 | 113,000 | 80,795 | |||||||||
Everi Payments, Inc. Company Guar. Notes 7.50% due 12/15/2025* | 110,000 | 111,100 | |||||||||
191,895 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | $ | 1,430,000 | $ | 1,382,917 | |||||||
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% | |||||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 44,000 | 47,850 | |||||||||
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025* | 105,000 | 103,950 | |||||||||
151,800 | |||||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI Company Guar. Notes 4.75% due 02/01/2026* | 32,000 | 30,560 | |||||||||
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* | 71,000 | 72,597 | |||||||||
191,982 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. Senior Notes 6.50% due 04/15/2026* | 75,000 | 69,891 | |||||||||
First Quality Finance Co., Inc. Company Guar. Notes 5.00% due 07/01/2025* | 76,000 | 71,060 | |||||||||
140,951 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 455,000 | 455,901 | |||||||||
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028 | 127,000 | 127,266 | |||||||||
583,167 | |||||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 255,000 | 236,148 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 260,000 | 252,071 | |||||||||
488,219 |
245
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Distribution/Wholesale — 0.0% | |||||||||||
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025 | $ | 80,000 | $ | 79,800 | |||||||
Diversified Banking Institutions — 5.2% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 2,070,000 | 2,043,545 | |||||||||
Bank of America Corp. Senior Notes 2.50% due 10/21/2022 | 1,835,000 | 1,757,125 | |||||||||
Bank of America Corp. Senior Notes 3.00% due 12/20/2023 | 1,525,000 | 1,479,914 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 2,210,000 | 2,125,344 | |||||||||
Bank of America Corp. Senior Notes 3.55% due 03/05/2024 | 254,000 | 251,084 | |||||||||
Bank of America Corp. Senior Notes 3.86% due 07/23/2024 | 194,000 | 193,999 | |||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 715,000 | 729,244 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 2,839,000 | 2,770,955 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 1,155,000 | 1,148,305 | |||||||||
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037 | 694,000 | 798,135 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 835,000 | 802,926 | |||||||||
Citigroup, Inc. Senior Notes 2.88% due 07/24/2023 | 209,000 | 202,051 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.41% (3 ML+1.10%) due 05/17/2024 | 1,940,000 | 1,955,427 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 530,000 | 498,333 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 1,220,000 | 1,183,722 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 1,270,000 | 1,246,499 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 2,025,000 | 1,996,360 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | $ | 265,000 | $ | 261,938 | |||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 93,000 | 93,851 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/23/2048 | 130,000 | 131,474 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 69,000 | 67,305 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 335,000 | 356,887 | |||||||||
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033 | 88,000 | 98,439 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | 1,115,000 | 1,075,766 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.75% due 09/15/2020 | 684,000 | 676,998 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 2,875,000 | 2,803,665 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 1,610,000 | 1,555,550 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 06/05/2023 | 269,000 | 260,180 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 1,415,000 | 1,346,742 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024 | 375,000 | 376,237 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 850,000 | 787,885 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 1,035,000 | 1,019,845 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045 | 495,000 | 503,508 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 575,000 | 586,833 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 610,000 | 733,179 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 654,000 | 786,733 |
246
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 2.55% due 03/01/2021 | $ | 284,000 | $ | 278,903 | |||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 1,105,000 | 1,070,728 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 1,710,000 | 1,694,881 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 1,230,000 | 1,165,049 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.57% (3 ML+1.23%) due 10/24/2023 | 460,000 | 469,165 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 990,000 | 988,633 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038 | 727,000 | 679,010 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | 375,000 | 368,647 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.26% due 02/22/2048 | 250,000 | 240,545 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021 | 450,000 | 461,447 | |||||||||
JPMorgan Chase & Co. Senior Notes 5.60% due 07/15/2041 | 125,000 | 144,285 | |||||||||
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038 | 650,000 | 877,350 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 275,000 | 268,690 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 1,445,000 | 1,346,247 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 3,230,000 | 3,064,592 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 565,000 | 542,554 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 510,000 | 502,149 | |||||||||
Morgan Stanley Senior Notes 3.75% due 02/25/2023 | 400,000 | 399,925 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 3.88% due 01/27/2026 | $ | 810,000 | $ | 796,201 | |||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 550,000 | 527,897 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 980,000 | 976,732 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 170,000 | 168,689 | |||||||||
Morgan Stanley Sub. Notes 5.00% due 11/24/2025 | 991,000 | 1,026,366 | |||||||||
52,764,668 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Carlisle Cos., Inc. Senior Notes 3.75% due 12/01/2027 | 141,000 | 133,632 | |||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 485,000 | 479,307 | |||||||||
612,939 | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 1,200,000 | 1,174,860 | |||||||||
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044 | 290,000 | 324,324 | |||||||||
1,499,184 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 465,000 | 421,263 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 750,000 | 740,650 | |||||||||
1,161,913 | |||||||||||
Electric-Generation — 0.1% | |||||||||||
Basin Electric Power Cooperative 1st Mtg. Notes 4.75% due 04/26/2047* | 351,000 | 355,358 | |||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 60,000 | 58,467 | |||||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026* | 475,000 | 480,344 | |||||||||
894,169 | |||||||||||
Electric-Integrated — 1.7% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 60,000 | 59,850 |
247
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | $ | 345,000 | $ | 326,630 | |||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 197,000 | 238,483 | |||||||||
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033 | 297,000 | 313,550 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 750,000 | 738,141 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042 | 80,000 | 77,477 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038 | 40,000 | 49,159 | |||||||||
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037 | 50,000 | 60,613 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024 | 1,110,000 | 1,112,590 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 785,000 | 682,174 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043 | 195,000 | 212,569 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022 | 143,000 | 140,260 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044 | 900,000 | 878,758 | |||||||||
Evergy, Inc. Senior Notes 4.85% due 06/01/2021 | 91,000 | 92,928 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 240,000 | 233,243 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 565,000 | 560,030 | |||||||||
Exelon Corp. Junior Sub. Notes 3.50% due 06/01/2022 | 193,000 | 189,632 | |||||||||
Exelon Generation Co. LLC Senior Notes 2.95% due 01/15/2020 | 114,000 | 113,684 | |||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | 185,000 | 179,960 | |||||||||
FirstEnergy Corp. Senior Notes 4.25% due 03/15/2023 | 750,000 | 761,663 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047 | $ | 218,000 | $ | 221,763 | |||||||
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031 | 421,000 | 543,399 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 1,594,000 | 1,554,085 | |||||||||
Georgia Power Co. Senior Notes 4.75% due 09/01/2040 | 350,000 | 352,324 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 740,000 | 717,754 | |||||||||
Massachusetts Electric Co. Notes 4.00% due 08/15/2046* | 236,000 | 223,350 | |||||||||
Nevada Power Co. General Ref. Mtg. 2.75% due 04/15/2020 | 129,000 | 128,635 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026 | 185,000 | 168,490 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027 | 1,328,000 | 1,214,097 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.40% due 08/15/2024 | 215,000 | 205,171 | |||||||||
Pacific Gas & Electric Co Senior Notes 3.75% due 08/15/2042 | 60,000 | 51,097 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.00% due 12/01/2046 | 30,000 | 26,272 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.25% due 03/15/2046 | 75,000 | 68,777 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.30% due 03/15/2045 | 52,000 | 47,595 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.45% due 04/15/2042 | 33,000 | 30,772 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.75% due 02/15/2044 | 470,000 | 457,394 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034 | 610,000 | 693,352 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 3.70% due 06/15/2028 | 170,000 | 170,018 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048 | 117,000 | 115,999 |
248
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 3.50% due 08/15/2021 | $ | 435,000 | $ | 435,193 | |||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 560,000 | 557,744 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.35% due 02/01/2042 | 76,000 | 72,697 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 4.50% due 06/01/2064 | 600,000 | 549,954 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065 | 270,000 | 270,429 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 3.70% due 08/01/2025 | 110,000 | 109,283 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.13% due 03/01/2048 | 196,000 | 187,357 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 655,000 | 629,201 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 595,000 | 554,928 | |||||||||
17,378,524 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 7.00% due 09/01/2022 | 160,000 | 180,905 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Jabil, Inc. Senior Notes 3.95% due 01/12/2028 | 21,000 | 19,675 | |||||||||
Electronic Components-Semiconductors — 0.6% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 2.38% due 01/15/2020 | 1,040,000 | 1,027,798 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 920,000 | 854,738 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 2,410,000 | 2,341,529 | |||||||||
Intel Corp. Senior Notes 2.45% due 07/29/2020 | 268,000 | 265,945 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | $ | 160,000 | $ | 158,184 | |||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 865,000 | 859,627 | |||||||||
5,507,821 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 700,000 | 678,209 | |||||||||
Trimble, Inc. Senior Notes 4.75% due 12/01/2024 | 18,000 | 18,226 | |||||||||
Trimble, Inc. Senior Notes 4.90% due 06/15/2028 | 186,000 | 187,057 | |||||||||
883,492 | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024 | 125,000 | 123,140 | |||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion US Holding Co., Inc. Company Guar. Notes 3.20% due 10/01/2024 | 52,000 | 48,591 | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024* | 110,000 | 111,100 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 1,235,000 | 1,209,426 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024 | 129,000 | 136,176 | |||||||||
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022 | 47,000 | 47,637 | |||||||||
Oracle Corp. Senior Notes 2.95% due 11/15/2024 | 130,000 | 125,555 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 450,000 | 427,308 | |||||||||
Oracle Corp. Senior Notes 5.38% due 07/15/2040 | 215,000 | 244,732 | |||||||||
981,408 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023 | 43,000 | 45,042 |
249
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024* | $ | 117,000 | $ | 117,293 | |||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 50,000 | 49,750 | |||||||||
SLM Corp. Senior Notes 5.63% due 08/01/2033 | 150,000 | 125,625 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025 | 125,000 | 124,687 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 7.13% due 03/15/2026 | 37,000 | 36,815 | |||||||||
454,170 | |||||||||||
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 | 356,000 | 341,267 | |||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 625,000 | 615,150 | |||||||||
1,058,417 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc. Senior Notes 4.15% due 01/23/2030 | 112,000 | 100,622 | |||||||||
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 | 87,862 | |||||||||
188,507 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025* | 125,000 | 124,844 | |||||||||
Finance-Other Services — 0.1% | |||||||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020 | 242,000 | 237,586 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Finance-Other Services (continued) | |||||||||||
National Rural Utilities Cooperative Finance Corp. Senior Notes 2.30% due 09/15/2022 | $ | 128,000 | $ | 122,847 | |||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Notes 2.40% due 04/25/2022 | 104,000 | 100,500 | |||||||||
460,933 | |||||||||||
Food-Meat Products — 0.0% | |||||||||||
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021* | 73,000 | 69,584 | |||||||||
Food-Misc./Diversified — 0.3% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 2.80% due 07/02/2020 | 115,000 | 114,019 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 815,000 | 719,807 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 1,345,000 | 1,342,761 | |||||||||
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025* | 196,000 | 199,208 | |||||||||
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025* | 184,000 | 182,663 | |||||||||
Nestle Holdings, Inc. Company Guar. Notes 3.90% due 09/24/2038* | 311,000 | 305,935 | |||||||||
Nestle Holdings, Inc. Company Guar. Notes 4.00% due 09/24/2048* | 198,000 | 193,564 | |||||||||
3,057,957 | |||||||||||
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 | 161,000 | 144,900 | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. Company Guar. Notes 2.50% due 07/15/2021 | 525,000 | 512,678 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Delta Merger Sub, Inc. Senior Notes 6.00% due 09/15/2026* | 110,000 | 111,375 | |||||||||
Scientific Games International, Inc. Senior Sec. Notes 5.00% due 10/15/2025* | 90,000 | 85,500 |
250
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Gambling (Non-Hotel) (continued) | |||||||||||
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(8)(11) | $ | 1,320 | $ | 23 | |||||||
196,898 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
NiSource, Inc. Senior Notes 4.38% due 05/15/2047 | 66,000 | 63,029 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Wyndham Worldwide Corp. Senior Sec. Notes 4.15% due 04/01/2024 | 85,000 | 82,450 | |||||||||
Wyndham Worldwide Corp. Senior Sec. Notes 4.50% due 04/01/2027 | 75,000 | 70,687 | |||||||||
153,137 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Yield Operating LLC Company Guar. Notes 5.38% due 08/15/2024 | 85,000 | 85,425 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon Corp. Company Guar. Notes 5.00% due 09/30/2020 | 275,000 | 283,092 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 290,000 | 282,148 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023 | 295,000 | 297,720 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 610,000 | 592,775 | |||||||||
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048 | 102,000 | 101,839 | |||||||||
1,557,574 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
AXA Equitable Holdings, Inc. Senior Notes 5.00% due 04/20/2048* | 58,000 | 54,179 | |||||||||
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047 | 151,000 | 124,965 | |||||||||
Principal Life Global Funding II Senior Sec. Notes 2.20% due 04/08/2020* | 575,000 | 566,862 | |||||||||
746,006 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Insurance-Multi-line — 0.4% | |||||||||||
Assurant, Inc. FRS Senior Notes 3.62% (3 ML+1.25%) due 03/26/2021 | $ | 3,560,000 | $ | 3,566,840 | |||||||
Assurant, Inc. Senior Notes 6.75% due 02/15/2034 | 117,000 | 134,134 | |||||||||
Metropolitan Life Global Funding I Sec. Notes 2.30% due 04/10/2019* | 205,000 | 204,596 | |||||||||
3,905,570 | |||||||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 4.50% due 04/15/2065* | 56,000 | 52,343 | |||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 149,000 | 228,826 | |||||||||
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024* | 200,000 | 190,663 | |||||||||
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020* | 324,000 | 317,230 | |||||||||
789,062 | |||||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
ACE INA Holdings, Inc. Company Guar. Notes 2.88% due 11/03/2022 | 166,000 | 162,491 | |||||||||
AmWINS Group, Inc. Company Guar. Notes 7.75% due 07/01/2026* | 85,000 | 88,400 | |||||||||
250,891 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.20% due 08/15/2048 | 515,000 | 511,550 | |||||||||
Internet Connectivity Services — 0.0% | |||||||||||
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022* | 135,000 | 137,025 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 5.88% due 02/15/2025 | 85,000 | 87,869 | |||||||||
Investment Companies — 0.0% | |||||||||||
FS Energy & Power Fund Senior Sec. Notes 7.50% due 08/15/2023* | 60,000 | 61,200 |
251
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022 | $ | 123,000 | $ | 119,364 | |||||||
Caterpillar Financial Services Corp. Senior Notes 3.15% due 09/07/2021 | 83,000 | 82,903 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 3.45% due 05/15/2023 | 174,000 | 174,012 | |||||||||
Terex Corp. Company Guar. Notes 5.63% due 02/01/2025* | 63,000 | 62,606 | |||||||||
438,885 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023 | 214,000 | 213,194 | |||||||||
Machinery-Farming — 0.0% | |||||||||||
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024 | 261,000 | 260,106 | |||||||||
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021 | 148,000 | 145,388 | |||||||||
405,494 | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Roper Technologies, Inc. Senior Notes 4.20% due 09/15/2028 | 294,000 | 291,658 | |||||||||
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026* | 20,000 | 20,325 | |||||||||
311,983 | |||||||||||
Machinery-Thermal Process — 0.0% | |||||||||||
Cleaver-Brooks, Inc. Senior Sec. Notes 7.88% due 03/01/2023* | 67,000 | 68,507 | |||||||||
Marine Services — 0.0% | |||||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | 71,000 | 72,952 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 1,230,000 | 1,215,279 | |||||||||
Medtronic, Inc. Company Guar. Notes 2.50% due 03/15/2020 | 193,000 | 191,715 | |||||||||
1,406,994 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024 | $ | 207,000 | $ | 198,268 | |||||||
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022* | 204,000 | 193,901 | |||||||||
392,169 | |||||||||||
Medical Products — 0.4% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 2,340,000 | 2,260,866 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 1,345,000 | 1,286,139 | |||||||||
3,547,005 | |||||||||||
Medical-Biomedical/Gene — 0.4% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 1,185,000 | 1,150,852 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 24,000 | 23,829 | |||||||||
Celgene Corp. Senior Notes 3.63% due 05/15/2024 | 140,000 | 138,043 | |||||||||
Celgene Corp. Senior Notes 4.55% due 02/20/2048 | 119,000 | 110,722 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 495,000 | 465,820 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 310,000 | 308,469 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024 | 515,000 | 516,594 | |||||||||
Gilead Sciences, Inc. Senior Notes 4.15% due 03/01/2047 | 1,160,000 | 1,098,987 | |||||||||
3,813,316 | |||||||||||
Medical-Drugs — 0.5% | |||||||||||
AbbVie, Inc. Senior Notes 2.00% due 11/06/2018 | 940,000 | 939,586 | |||||||||
AbbVie, Inc. Senior Notes 4.88% due 11/14/2048 | 128,000 | 125,938 | |||||||||
Bayer US Finance II LLC Company Guar. Notes 4.25% due 12/15/2025* | 1,060,000 | 1,053,485 | |||||||||
Bayer US Finance II LLC Company Guar. Notes 4.63% due 06/25/2038* | 216,000 | 206,796 |
252
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Drugs (continued) | |||||||||||
Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 5.38% due 01/15/2023* | $ | 52,000 | $ | 45,760 | |||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023 | 131,000 | 130,459 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 1,475,000 | 1,472,834 | |||||||||
Pfizer, Inc. Senior Notes 3.00% due 09/15/2021 | 90,000 | 89,980 | |||||||||
Wyeth LLC Company Guar. Notes 6.50% due 02/01/2034 | 750,000 | 939,695 | |||||||||
5,004,533 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028* | 565,000 | 549,262 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048* | 679,000 | 627,475 | |||||||||
1,176,737 | |||||||||||
Medical-HMO — 1.0% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 375,000 | 359,309 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 785,000 | 769,098 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 400,000 | 390,871 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 780,000 | 808,519 | |||||||||
Centene Corp. Senior Notes 5.38% due 06/01/2026* | 65,000 | 66,550 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.13% due 11/15/2025* | 770,000 | 767,806 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.38% due 10/15/2028* | 4,095,000 | 4,083,071 | |||||||||
Halfmoon Parent, Inc. Senior Sec. Notes 4.80% due 08/15/2038* | 148,000 | 148,415 | |||||||||
Halfmoon Parent, Inc. Senior Notes 4.90% due 12/15/2048* | 146,000 | 144,945 | |||||||||
UnitedHealth Group, Inc. Senior Bonds 2.38% due 10/15/2022 | 596,000 | 571,577 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | $ | 600,000 | $ | 601,229 | |||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 505,000 | 507,401 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 04/15/2047 | 130,000 | 130,450 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.25% due 06/15/2048 | 345,000 | 346,261 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 800,000 | 856,157 | |||||||||
10,551,659 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 43,000 | 41,818 | |||||||||
Dignity Health Sec. Notes 2.64% due 11/01/2019 | 2,115,000 | 2,101,822 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 70,000 | 72,012 | |||||||||
2,215,652 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021* | 75,000 | 77,219 | |||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 930,000 | 889,784 | |||||||||
967,003 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Grinding Media, Inc./ Moly-Cop AltaSteel, Ltd. Senior Sec. Notes 7.38% due 12/15/2023* | 9,000 | 9,367 | |||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 40,000 | 39,080 | |||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | 84,000 | 85,995 | |||||||||
Timken Co. Senior Notes 4.50% due 12/15/2028 | 82,000 | 80,533 | |||||||||
214,975 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023 | 99,000 | 95,703 |
253
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal-Iron — 0.0% | |||||||||||
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025 | $ | 100,000 | $ | 97,250 | |||||||
Multimedia — 0.6% | |||||||||||
21st Century Fox America, Inc. Company Guar. Notes 3.00% due 09/15/2022 | 380,000 | 374,132 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.15% due 02/15/2041 | 470,000 | 599,147 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 6.40% due 12/15/2035 | 150,000 | 191,168 | |||||||||
21st Century Fox America, Inc. Company Guar. Notes 7.28% due 06/30/2028 | 95,000 | 116,414 | |||||||||
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025* | 74,000 | 71,133 | |||||||||
Time Warner, Inc. Company Guar. Notes 2.95% due 07/15/2026 | 545,000 | 494,188 | |||||||||
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045 | 132,000 | 123,106 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 2,550,000 | 2,567,380 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 450,000 | 392,724 | |||||||||
Viacom, Inc. Senior Notes 4.85% due 12/15/2034 | 184,000 | 174,047 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 1,155,000 | 1,104,827 | |||||||||
6,208,266 | |||||||||||
Networking Products — 0.1% | |||||||||||
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021 | 629,000 | 615,896 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. Senior Notes 4.70% due 04/01/2023 | 1,020,000 | 933,004 | |||||||||
Oil Companies-Exploration & Production — 0.5% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 3.45% due 07/15/2024 | 770,000 | 741,214 | |||||||||
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 115,000 | 105,332 | |||||||||
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026 | 415,000 | 440,352 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036 | $ | 178,000 | $ | 203,112 | |||||||
Apache Corp. Senior Notes 4.38% due 10/15/2028 | 72,000 | 70,615 | |||||||||
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026 | 85,000 | 86,488 | |||||||||
Chaparral Energy, Inc. Senior Notes 8.75% due 07/15/2023* | 75,000 | 74,813 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 179,000 | 182,151 | |||||||||
Endeavor Energy Resources LP/ EER Finance, Inc. Senior Notes 5.50% due 01/30/2026* | 100,000 | 100,000 | |||||||||
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026* | 75,000 | 66,375 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 450,000 | 436,356 | |||||||||
Hess Corp. Senior Notes 5.60% due 02/15/2041 | 175,000 | 177,691 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 150,000 | 173,249 | |||||||||
Hess Corp. Senior Notes 7.88% due 10/01/2029 | 230,000 | 278,030 | |||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024* | 119,000 | 116,114 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 375,000 | 422,275 | |||||||||
Lonestar Resources America, Inc. Company Guar. Notes 11.25% due 01/01/2023* | 69,000 | 75,728 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 350,000 | 342,143 | |||||||||
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037 | 188,000 | 221,869 | |||||||||
Newfield Exploration Co. Senior Notes 5.38% due 01/01/2026 | 90,000 | 93,262 | |||||||||
QEP Resources, Inc. Senior Notes 5.63% due 03/01/2026 | 80,000 | 76,500 |
254
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Sanchez Energy Corp. Company Guar. Notes 6.13% due 01/15/2023 | $ | 49,000 | $ | 27,930 | |||||||
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026 | 75,000 | 78,563 | |||||||||
WildHorse Resource Development Corp. Company Guar. Notes 6.88% due 02/01/2025 | 85,000 | 87,762 | |||||||||
4,677,924 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Chevron Corp. Senior Notes 3.19% due 06/24/2023 | 490,000 | 486,446 | |||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021 | 94,000 | 93,765 | |||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Andeavor Senior Notes 3.80% due 04/01/2028 | 445,000 | 423,161 | |||||||||
PBF Holding Co. LLC/ PBF Finance Corp. Company Guar. Notes 7.25% due 06/15/2025 | 26,000 | 27,300 | |||||||||
Phillips 66 Company Guar. Notes 3.90% due 03/15/2028 | 780,000 | 769,296 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 900,000 | 855,542 | |||||||||
2,075,299 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026* | 34,000 | 34,935 | |||||||||
Calfrac Holdings LP Senior Notes 8.50% due 06/15/2026* | 85,000 | 79,263 | |||||||||
Halliburton Co. Senior Notes 4.85% due 11/15/2035 | 51,000 | 53,347 | |||||||||
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022 | 83,000 | 72,625 | |||||||||
USA Compression Partners LP/ USA Compression Finance Corp. Senior Notes 6.88% due 04/01/2026* | 64,000 | 66,080 | |||||||||
306,250 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044 | $ | 255,000 | $ | 266,347 | |||||||
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023* | 351,000 | 352,725 | |||||||||
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020* | 112,000 | 116,531 | |||||||||
International Paper Co. Senior Notes 7.30% due 11/15/2039 | 115,000 | 146,090 | |||||||||
881,693 | |||||||||||
Petrochemicals — 0.0% | |||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023* | 128,000 | 126,309 | |||||||||
Pharmacy Services — 1.0% | |||||||||||
CVS Health Corp. Senior Notes 2.80% due 07/20/2020 | 4,539,000 | 4,496,859 | |||||||||
CVS Health Corp. Senior Notes 3.13% due 03/09/2020 | 1,505,000 | 1,505,212 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 765,000 | 762,952 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 180,000 | 179,137 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 1,224,000 | 1,251,961 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 1,140,000 | 1,171,960 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 4.70% due 01/10/2036* | 73,491 | 72,389 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.77% due 01/10/2033* | 51,554 | 54,714 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034* | 95,823 | 102,687 | |||||||||
9,597,871 | |||||||||||
Physicians Practice Management — 0.0% | |||||||||||
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023* | 155,000 | 155,194 | |||||||||
Pipelines — 1.1% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 1,045,000 | 1,021,061 |
255
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 5.20% due 12/01/2047 | $ | 240,000 | $ | 239,666 | |||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | 190,000 | 190,712 | |||||||||
Energy Transfer Equity LP Senior Sec. Notes 4.25% due 03/15/2023 | 95,000 | 94,406 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 390,000 | 393,096 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.90% due 03/15/2035 | 43,000 | 40,431 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 6.63% due 10/15/2036 | 35,000 | 39,058 | |||||||||
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026 | 54,000 | 52,354 | |||||||||
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045 | 46,000 | 38,170 | |||||||||
EQT Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 490,000 | 497,244 | |||||||||
EQT Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 610,000 | 626,827 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024 | 74,000 | 69,930 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023 | 70,000 | 69,037 | |||||||||
Holly Energy Partners LP/ Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 85,000 | 86,912 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 4.30% due 05/01/2024 | 154,000 | 155,490 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042 | 130,000 | 127,445 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 6.95% due 01/15/2038 | 53,000 | 64,245 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Kinder Morgan, Inc. Company Guar. Notes 5.00% due 02/15/2021* | $ | 102,000 | $ | 105,237 | |||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 638,000 | 613,640 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 500,000 | 487,007 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 250,000 | 232,974 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 310,000 | 310,623 | |||||||||
NGPL PipeCo LLC Senior Notes 4.38% due 08/15/2022* | 156,000 | 157,170 | |||||||||
Northern Natural Gas Co. Senior Notes 4.30% due 01/15/2049* | 73,000 | 70,251 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 430,000 | 417,131 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022 | 112,000 | 111,160 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023 | 37,000 | 35,982 | |||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022 | 93,000 | 92,651 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 980,000 | 939,419 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 275,000 | 259,754 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 300,000 | 293,142 | |||||||||
Valero Energy Partners LP Senior Notes 4.50% due 03/15/2028 | 1,065,000 | 1,046,146 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 1,075,000 | 1,031,187 | |||||||||
Western Gas Partners LP Senior Notes 4.65% due 07/01/2026 | 223,000 | 218,582 | |||||||||
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028 | 55,000 | 53,943 |
256
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048 | $ | 55,000 | $ | 51,852 | |||||||
Williams Cos., Inc. Senior Notes 3.70% due 01/15/2023 | 277,000 | 274,116 | |||||||||
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044 | 125,000 | 133,771 | |||||||||
10,741,822 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp. Senior Notes 5.88% due 09/30/2027* | 115,000 | 108,675 | |||||||||
Publishing-Books — 0.0% | |||||||||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance Senior Notes 7.88% due 05/15/2024* | 95,000 | 85,144 | |||||||||
Quarrying — 0.0% | |||||||||||
Hi-Crush Partners LP Senior Notes 9.50% due 08/01/2026* | 125,000 | 116,250 | |||||||||
Racetracks — 0.1% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 635,000 | 636,842 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 120,000 | 121,861 | |||||||||
758,703 | |||||||||||
Radio — 0.0% | |||||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 120,000 | 119,100 | |||||||||
Real Estate Investment Trusts — 0.2% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 735,000 | 708,300 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 425,000 | 403,864 | |||||||||
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025 | 102,000 | 99,450 | |||||||||
Duke Realty LP Senior Notes 4.00% due 09/15/2028 | 116,000 | 114,355 | |||||||||
EPR Properties Company Guar. Notes 4.95% due 04/15/2028 | 56,000 | 55,029 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | $ | 125,000 | $ | 120,938 | |||||||
GEO Group, Inc. Company Guar. Notes 5.13% due 04/01/2023 | 85,000 | 81,388 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 90,000 | 82,575 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 106,000 | 104,410 | |||||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 48,000 | 48,360 | |||||||||
Kimco Realty Corp. Senior Notes 4.25% due 04/01/2045 | 71,000 | 63,593 | |||||||||
MPT Operating Partnership LP/ MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027 | 105,000 | 101,194 | |||||||||
National Retail Properties, Inc. Senior Notes 4.80% due 10/15/2048 | 55,000 | 55,167 | |||||||||
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026 | 53,000 | 51,885 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 100,000 | 95,761 | |||||||||
Washington Prime Group LP Senior Notes 5.95% due 08/15/2024 | 93,000 | 88,019 | |||||||||
Welltower, Inc. Senior Notes 3.95% due 09/01/2023 | 97,000 | 96,933 | |||||||||
2,371,221 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024 | 135,000 | 132,975 | |||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 4.88% due 06/01/2023* | 120,000 | 112,350 | |||||||||
245,325 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Greystar Real Estate Partners LLC Senior Sec. Notes 5.75% due 12/01/2025* | 85,000 | 82,875 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023* | 85,000 | 83,725 |
257
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Rental Auto/Equipment (continued) | |||||||||||
Jurassic Holdings III, Inc. Sec. Notes 6.88% due 02/15/2021* | $ | 86,000 | $ | 83,850 | |||||||
167,575 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022 | 109,000 | 108,182 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 6.00% due 12/15/2024 | 31,000 | 31,310 | |||||||||
AutoNation, Inc. Company Guar. Notes 3.50% due 11/15/2024 | 157,000 | 148,758 | |||||||||
Lithia Motors, Inc. Company Guar. Notes 5.25% due 08/01/2025* | 45,000 | 43,087 | |||||||||
223,155 | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. Senior Notes 3.50% due 09/15/2056 | 425,000 | 367,283 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 215,000 | 195,230 | |||||||||
562,513 | |||||||||||
Retail-Discount — 0.2% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 610,000 | 612,655 | |||||||||
Walmart, Inc. Senior Notes 3.70% due 06/26/2028 | 610,000 | 610,165 | |||||||||
Walmart, Inc. Senior Notes 3.95% due 06/28/2038 | 490,000 | 488,981 | |||||||||
1,711,801 | |||||||||||
Retail-Leisure Products — 0.0% | |||||||||||
Party City Holdings, Inc. Company Guar. Notes 6.63% due 08/01/2026* | 83,000 | 84,037 | |||||||||
Retail-Mail Order — 0.0% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 363,000 | 359,254 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 159,000 | 149,857 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. Company Guar. Notes 5.38% due 06/01/2024* | 62,000 | 62,310 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Retail-Restaurants — 0.2% | |||||||||||
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024* | $ | 52,000 | $ | 49,140 | |||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | 61,000 | 63,945 | |||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 830,000 | 822,947 | |||||||||
McDonald's Corp. Senior Notes 4.88% due 12/09/2045 | 50,000 | 52,289 | |||||||||
Starbucks Corp. Senior Notes 3.80% due 08/15/2025 | 620,000 | 615,904 | |||||||||
Starbucks Corp. Senior Notes 4.00% due 11/15/2028 | 375,000 | 373,944 | |||||||||
1,978,169 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026 | 108,000 | 104,490 | |||||||||
Savings & Loans/Thrifts — 0.1% | |||||||||||
Astoria Financial Corp. Senior Notes 3.50% due 06/08/2020 | 299,000 | 297,999 | |||||||||
First Niagara Financial Group, Inc. Senior Notes 6.75% due 03/19/2020 | 479,000 | 501,981 | |||||||||
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021 | 294,000 | 323,910 | |||||||||
1,123,890 | |||||||||||
Schools — 0.0% | |||||||||||
Graham Holdings Co. Company Guar. Notes 5.75% due 06/01/2026* | 85,000 | 87,019 | |||||||||
Security Services — 0.0% | |||||||||||
ADT Corp. Senior Sec. Notes 4.13% due 06/15/2023 | 115,000 | 109,967 | |||||||||
ADT Corp. Senior Sec. Notes 6.25% due 10/15/2021 | 16,000 | 16,784 | |||||||||
126,751 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
QUALCOMM, Inc. Senior Notes 3.45% due 05/20/2025 | 161,000 | 156,189 | |||||||||
Steel-Producers — 0.0% | |||||||||||
AK Steel Corp. Company Guar. Notes 6.38% due 10/15/2025 | 75,000 | 71,344 |
258
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Steel-Producers (continued) | |||||||||||
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026* | $ | 57,000 | $ | 55,290 | |||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 205,000 | 195,262 | |||||||||
United States Steel Corp. Senior Notes 6.88% due 08/15/2025 | 75,000 | 76,594 | |||||||||
398,490 | |||||||||||
Telephone-Integrated — 1.3% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028* | 270,000 | 262,123 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030* | 2,353,000 | 2,262,874 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 382,000 | 356,889 | |||||||||
AT&T, Inc. Senior Notes 4.55% due 03/09/2049 | 999,000 | 876,691 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 410,000 | 374,591 | |||||||||
AT&T, Inc. Senior Notes 4.90% due 08/15/2037* | 463,000 | 444,321 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 03/15/2042 | 220,000 | 212,334 | |||||||||
CenturyLink, Inc. Senior Notes 6.75% due 12/01/2023 | 120,000 | 124,650 | |||||||||
Citizens Communications Co. Senior Notes 9.00% due 08/15/2031 | 141,000 | 89,535 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 825,000 | 786,217 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 70,000 | 68,263 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 2,305,000 | 2,286,030 | |||||||||
Verizon Communications, Inc. Senior Notes 4.52% due 09/15/2048 | 780,000 | 741,760 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 1,115,000 | 1,124,036 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 430,000 | 431,429 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | $ | 2,042,000 | $ | 2,177,119 | |||||||
12,618,862 | |||||||||||
Television — 0.0% | |||||||||||
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027 | 87,000 | 93,307 | |||||||||
CBS Corp. Company Guar. Notes 3.70% due 08/15/2024 | 166,000 | 161,391 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.13% due 10/15/2024* | 74,000 | 71,503 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026* | 16,000 | 15,860 | |||||||||
342,061 | |||||||||||
Tobacco — 0.7% | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 1,345,000 | 1,176,452 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020* | 3,040,000 | 2,979,098 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024* | 900,000 | 857,824 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037* | 1,650,000 | 1,535,048 | |||||||||
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043 | 825,000 | 764,171 | |||||||||
7,312,593 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp. Senior Notes 4.20% due 03/01/2028 | 135,000 | 131,965 | |||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 1,960,000 | 1,857,452 | |||||||||
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048 | 180,000 | 179,080 | |||||||||
Norfolk Southern Corp. Senior Notes 5.10% due 12/31/2049 | 170,000 | 167,833 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 1,000,000 | 1,017,045 | |||||||||
3,221,410 |
259
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Transport-Services — 0.1% | |||||||||||
CH Robinson Worldwide, Inc. Senior Notes 4.20% due 04/15/2028 | $ | 133,000 | $ | 130,974 | |||||||
FedEx Corp. Company Guar. Notes 4.05% due 02/15/2048 | 321,000 | 291,285 | |||||||||
FedEx Corp. Company Guar. Notes 4.10% due 02/01/2045 | 445,000 | 406,087 | |||||||||
FedEx Corp. Company Guar. Notes 4.40% due 01/15/2047 | 185,000 | 176,706 | |||||||||
1,005,052 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.95% due 03/10/2025* | 214,000 | 209,674 | |||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.88% due 07/11/2022* | 1,060,000 | 1,092,558 | |||||||||
1,302,232 | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 3.91% due 08/27/2021* | 740,000 | 740,697 | |||||||||
Elanco Animal Health, Inc. Senior Notes 4.27% due 08/28/2023* | 700,000 | 702,836 | |||||||||
1,443,533 | |||||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
HLF Financing SARL LLC/ Herbalife International, Inc. Senior Notes 7.25% due 08/15/2026* | 10,000 | 10,162 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $277,148,161) | 272,395,854 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 5.8% | |||||||||||
Agricultural Chemicals — 0.3% | |||||||||||
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025* | 150,000 | 155,812 | |||||||||
Nutrien, Ltd. Senior Notes 4.90% due 06/01/2043 | 200,000 | 196,879 | |||||||||
Syngenta Finance NV Company Guar. Notes 4.44% due 04/24/2023* | 456,000 | 453,220 | |||||||||
Syngenta Finance NV Company Guar. Notes 4.89% due 04/24/2025* | 895,000 | 878,520 | |||||||||
Syngenta Finance NV Company Guar. Notes 5.18% due 04/24/2028* | 1,205,000 | 1,152,844 | |||||||||
2,837,275 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
Mexico City Airport Trust Senior Sec. Notes 3.88% due 04/30/2028* | $ | 630,000 | $ | 563,856 | |||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025* | 95,000 | 89,419 | |||||||||
Toyota Industries Corp. Senior Notes 3.24% due 03/16/2023* | 529,000 | 520,637 | |||||||||
610,056 | |||||||||||
Banks-Commercial — 0.6% | |||||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | 710,000 | 696,040 | |||||||||
BPCE SA Senior Notes 2.75% due 01/11/2023* | 640,000 | 611,884 | |||||||||
BPCE SA Company Guar. Notes 3.00% due 05/22/2022* | 345,000 | 333,487 | |||||||||
Canadian Imperial Bank of Commerce Senior Notes 2.10% due 10/05/2020 | 316,000 | 308,674 | |||||||||
Credit Suisse AG Senior Notes 3.00% due 10/29/2021 | 300,000 | 295,791 | |||||||||
Danske Bank A/S Senior Notes 3.88% due 09/12/2023* | 200,000 | 195,887 | |||||||||
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023* | 285,000 | 263,848 | |||||||||
Intesa Sanpaolo SpA Senior Notes 3.88% due 01/12/2028* | 475,000 | 401,257 | |||||||||
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026* | 265,000 | 241,067 | |||||||||
National Australia Bank, Ltd. Senior Notes 3.63% due 06/20/2023 | 250,000 | 248,620 | |||||||||
Royal Bank of Canada Senior Notes 2.15% due 10/26/2020 | 2,005,000 | 1,964,877 | |||||||||
Toronto-Dominion Bank Senior Notes 1.85% due 09/11/2020 | 224,000 | 218,916 | |||||||||
Westpac Banking Corp. Senior Notes 3.05% due 05/15/2020 | 124,000 | 123,661 | |||||||||
5,904,009 | |||||||||||
Building Societies — 0.0% | |||||||||||
Nationwide Building Society Sub. Notes 4.13% due 10/18/2032* | 250,000 | 229,279 |
260
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | $ | 109,000 | $ | 105,730 | |||||||
Cable/Satellite TV — 0.1% | |||||||||||
SFR Group SA Senior Sec. Notes 7.38% due 05/01/2026* | 400,000 | 400,000 | |||||||||
UPCB Finance IV, Ltd. Senior Sec. Notes 5.38% due 01/15/2025* | 200,000 | 199,750 | |||||||||
599,750 | |||||||||||
Cellular Telecom — 0.2% | |||||||||||
Vodafone Group PLC Senior Notes 4.13% due 05/30/2025 | 67,000 | 66,482 | |||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 1,840,000 | 1,812,818 | |||||||||
1,879,300 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
LyondellBasell Industries NV Senior Notes 4.63% due 02/26/2055 | 560,000 | 503,282 | |||||||||
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025* | 70,000 | 66,500 | |||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025* | 85,000 | 81,944 | |||||||||
651,726 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 755,000 | 738,103 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 300,000 | 288,938 | |||||||||
1,027,041 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025 | 120,000 | 115,059 | |||||||||
Diversified Banking Institutions — 1.3% | |||||||||||
Banco Santander SA Senior Notes 3.80% due 02/23/2028 | 800,000 | 726,842 | |||||||||
Banco Santander SA Senior Notes 3.85% due 04/12/2023 | 800,000 | 781,598 | |||||||||
BNP Paribas SA Senior Notes 2.95% due 05/23/2022* | 360,000 | 348,505 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | $ | 1,235,000 | $ | 1,169,121 | |||||||
BNP Paribas SA Senior Notes 3.80% due 01/10/2024* | 240,000 | 234,965 | |||||||||
BNP Paribas SA Senior Notes 4.40% due 08/14/2028* | 1,260,000 | 1,236,485 | |||||||||
Credit Agricole SA Sub. Notes 4.00% due 01/10/2033* | 360,000 | 334,090 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 1,630,000 | 1,574,303 | |||||||||
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021 | 1,485,000 | 1,482,107 | |||||||||
HSBC Holdings PLC Sub. Notes 4.25% due 08/18/2025 | 1,000,000 | 981,086 | |||||||||
HSBC Holdings PLC Senior Notes 4.29% due 09/12/2026 | 205,000 | 202,986 | |||||||||
HSBC Holdings PLC Sub. Notes 4.38% due 11/23/2026 | 565,000 | 555,311 | |||||||||
HSBC Holdings PLC Senior Notes 4.58% due 06/19/2029 | 440,000 | 440,007 | |||||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.67% due 07/25/2022 | 167,000 | 161,064 | |||||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.78% due 03/02/2025 | 64,000 | 63,337 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 2.27% due 09/13/2021 | 202,000 | 194,355 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 3.55% due 03/05/2023 | 704,000 | 695,382 | |||||||||
Royal Bank of Scotland Group PLC Senior Notes 4.52% due 06/25/2024 | 200,000 | 199,432 | |||||||||
Royal Bank of Scotland Group PLC Senior Notes 5.08% due 01/27/2030 | 209,000 | 208,631 | |||||||||
UBS AG Senior Notes 2.45% due 12/01/2020* | 860,000 | 842,164 | |||||||||
UniCredit SpA Sub. Notes 5.86% due 06/19/2032* | 560,000 | 499,284 | |||||||||
12,931,055 |
261
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
GE Capital International Funding Co. ULC Company Guar. Notes 2.34% due 11/15/2020 | $ | 333,000 | $ | 325,380 | |||||||
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035 | 255,000 | 239,994 | |||||||||
565,374 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Siemens Financieringsmaatschappij NV Company Guar. Notes 2.20% due 03/16/2020* | 321,000 | 317,061 | |||||||||
Diversified Minerals — 0.2% | |||||||||||
Anglo American Capital PLC Company Guar. Notes 3.75% due 04/10/2022* | 2,005,000 | 1,979,276 | |||||||||
Anglo American Capital PLC Company Guar. Notes 4.75% due 04/10/2027* | 455,000 | 443,573 | |||||||||
2,422,849 | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027 | 1,030,000 | 960,057 | |||||||||
Alibaba Group Holding, Ltd. Senior Notes 4.00% due 12/06/2037 | 980,000 | 899,776 | |||||||||
1,859,833 | |||||||||||
Electric-Generation — 0.2% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 1,499,000 | 1,449,353 | |||||||||
Electricite de France SA Senior Notes 4.88% due 09/21/2038* | 200,000 | 195,104 | |||||||||
Electricite de France SA Senior Notes 5.00% due 09/21/2048* | 410,000 | 399,183 | |||||||||
Electricite de France SA Senior Notes 6.00% due 01/22/2114* | 75,000 | 73,123 | |||||||||
2,116,763 | |||||||||||
Electric-Integrated — 0.1% | |||||||||||
EDP Finance BV Senior Notes 3.63% due 07/15/2024* | 309,000 | 294,983 | |||||||||
Enel Finance International NV Company Guar. Notes 3.50% due 04/06/2028* | 200,000 | 176,047 | |||||||||
Enel Finance International NV Company Guar. Notes 3.63% due 05/25/2027* | 425,000 | 384,929 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | $ | 340,000 | $ | 324,806 | |||||||
1,180,765 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Aircastle, Ltd. Senior Notes 4.40% due 09/25/2023 | 73,000 | 73,010 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025* | 31,000 | 30,186 | |||||||||
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024* | 96,000 | 94,560 | |||||||||
124,746 | |||||||||||
Gold Mining — 0.0% | |||||||||||
Kinross Gold Corp. Company Guar. Notes 4.50% due 07/15/2027 | 112,000 | 100,106 | |||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Athene Holding, Ltd. Senior Notes 4.13% due 01/12/2028 | 380,000 | 355,033 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
XLIT, Ltd. Company Guar. Notes 5.50% due 03/31/2045 | 118,000 | 124,184 | |||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Enstar Group, Ltd. Senior Notes 4.50% due 03/10/2022 | 69,000 | 69,302 | |||||||||
Internet Application Software — 0.2% | |||||||||||
Tencent Holdings, Ltd. Senior Notes 2.99% due 01/19/2023* | 1,235,000 | 1,196,148 | |||||||||
Tencent Holdings, Ltd. Senior Notes 3.60% due 01/19/2028* | 495,000 | 468,524 | |||||||||
1,664,672 | |||||||||||
Machinery-Farming — 0.0% | |||||||||||
CNH Industrial NV Senior Notes 3.85% due 11/15/2027 | 177,000 | 167,472 | |||||||||
CNH Industrial NV Senior Notes 4.50% due 08/15/2023 | 112,000 | 113,725 | |||||||||
281,197 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Nvent Finance SARL Company Guar. Notes 4.55% due 04/15/2028* | 112,000 | 109,039 |
262
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Drugs — 0.2% | |||||||||||
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037 | $ | 315,000 | $ | 395,446 | |||||||
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023* | 176,000 | 171,600 | |||||||||
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021 | 380,000 | 379,407 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 1,160,000 | 1,120,430 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023 | 122,000 | 116,185 | |||||||||
2,183,068 | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 515,000 | 511,548 | |||||||||
Mylan NV Company Guar. Notes 3.15% due 06/15/2021 | 495,000 | 487,607 | |||||||||
Mylan NV Company Guar. Notes 3.75% due 12/15/2020 | 395,000 | 395,295 | |||||||||
Mylan NV Company Guar. Notes 3.95% due 06/15/2026 | 726,000 | 686,745 | |||||||||
2,081,195 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
First Quantum Minerals, Ltd. Company Guar. Notes 6.50% due 03/01/2024* | 200,000 | 183,000 | |||||||||
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023* | 200,000 | 191,125 | |||||||||
Hudbay Minerals, Inc. Company Guar. Notes 7.25% due 01/15/2023* | 87,000 | 89,402 | |||||||||
463,527 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 1,170,000 | 1,282,203 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 555,000 | 650,183 | |||||||||
1,932,386 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024 | 95,000 | 94,287 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Oil & Gas Drilling (continued) | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | $ | 57,000 | $ | 59,138 | |||||||
Shelf Drilling Holdings, Ltd. Company Guar. Notes 8.25% due 02/15/2025* | 85,000 | 87,656 | |||||||||
Trinidad Drilling, Ltd. Company Guar. Notes 6.63% due 02/15/2025* | 75,000 | 74,250 | |||||||||
315,331 | |||||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 1,710,000 | 1,665,315 | |||||||||
CNOOC Curtis Funding No. 1 Pty, Ltd. Company Guar. Notes 4.50% due 10/03/2023 | 200,000 | 204,076 | |||||||||
Encana Corp. Senior Notes 3.90% due 11/15/2021 | 650,000 | 652,776 | |||||||||
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023* | 148,000 | 134,680 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 123,000 | 121,770 | |||||||||
Nexen Energy ULC Company Guar. Notes 6.20% due 07/30/2019 | 100,000 | 102,335 | |||||||||
Sinopec Group Overseas Development 2015, Ltd. Company Guar. Notes 2.50% due 04/28/2020 | 200,000 | 196,756 | |||||||||
Tullow Oil PLC Senior Notes 7.00% due 03/01/2025* | 540,000 | 526,500 | |||||||||
3,604,208 | |||||||||||
Oil Companies-Integrated — 0.2% | |||||||||||
BP Capital Markets PLC Company Guar. Notes 3.25% due 05/06/2022 | 206,000 | 204,656 | |||||||||
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027 | 169,000 | 163,364 | |||||||||
Eni SpA Senior Notes 4.75% due 09/12/2028* | 212,000 | 209,980 | |||||||||
Petroleos Mexicanos Company Guar. Notes 4.88% due 01/24/2022 | 180,000 | 182,070 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.63% due 06/15/2035 | 200,000 | 198,700 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 434,000 | 414,118 |
263
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Integrated (continued) | |||||||||||
Suncor Energy, Inc. Senior Notes 5.95% due 12/01/2034 | $ | 78,000 | $ | 89,328 | |||||||
YPF SA Senior Notes 16.50% due 05/09/2022*(11) | ARS | 22,904,817 | 288,457 | ||||||||
1,750,673 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
KCA Deutag UK Finance PLC Senior Sec. Notes 9.88% due 04/01/2022* | 200,000 | 199,000 | |||||||||
Paper & Related Products — 0.0% | |||||||||||
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022* | 60,000 | 60,450 | |||||||||
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023* | 31,000 | 31,000 | |||||||||
Suzano Austria GmbH Senior Notes 6.00% due 01/15/2029* | 285,000 | 286,140 | |||||||||
377,590 | |||||||||||
Pipelines — 0.0% | |||||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 345,000 | 351,258 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040 | 125,000 | 143,750 | |||||||||
495,008 | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Cimpress NV Company Guar. Notes 7.00% due 06/15/2026* | 150,000 | 152,420 | |||||||||
Satellite Telecom — 0.1% | |||||||||||
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 | 185,000 | 170,431 | |||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 8.50% due 10/15/2024* | 60,000 | 60,660 | |||||||||
Telesat Canada/Telesat LLC Company Guar. Notes 8.88% due 11/15/2024* | 80,000 | 85,600 | |||||||||
519,691 | |||||||||||
Telephone-Integrated — 0.4% | |||||||||||
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038 | 500,000 | 530,000 | |||||||||
Telecom Italia SpA Senior Notes 5.30% due 05/30/2024* | 2,055,000 | 2,001,056 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038 | $ | 700,000 | $ | 657,648 | |||||||
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048 | 525,000 | 488,976 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.21% due 03/08/2047 | 367,000 | 359,059 | |||||||||
4,036,739 | |||||||||||
Tobacco — 0.1% | |||||||||||
Imperial Brands Finance PLC Company Guar. Notes 3.75% due 07/21/2022* | 510,000 | 507,698 | |||||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023* | 75,000 | 75,809 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Canadian National Railway Co. Senior Notes 2.85% due 12/15/2021 | 124,000 | 122,287 | |||||||||
Canadian Pacific Railway Co. Senior Notes 4.50% due 01/15/2022 | 425,000 | 437,633 | |||||||||
Canadian Pacific Railway Co. Senior Notes 5.95% due 05/15/2037 | 285,000 | 338,307 | |||||||||
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115 | 99,000 | 116,933 | |||||||||
Kazakhstan Temir Zholy Finance BV Company Guar. Notes 6.95% due 07/10/2042 | 200,000 | 220,500 | |||||||||
1,235,660 | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 385,000 | 370,563 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $62,060,739) | 59,118,636 | ||||||||||
U.S. GOVERNMENT AGENCIES — 23.7% | |||||||||||
Federal Home Loan Bank — 0.1% | |||||||||||
1.88% due 12/09/2022 | 1,000,000 | 956,543 | |||||||||
Federal Home Loan Mtg. Corp. — 5.1% | |||||||||||
1.25% due 10/02/2019 | 1,272,000 | 1,254,473 | |||||||||
2.38% due 01/13/2022 | 1,097,000 | 1,078,049 | |||||||||
2.50% due 01/01/2028 | 132,578 | 128,797 | |||||||||
2.50% due 04/01/2028 | 448,311 | 435,522 | |||||||||
2.50% due 03/01/2031 | 253,171 | 244,228 | |||||||||
2.50% due 10/01/2032 | 357,039 | 344,390 | |||||||||
2.50% due 11/01/2032 | 1,172,887 | 1,131,349 | |||||||||
3.00% due 08/01/2027 | 279,703 | 277,642 | |||||||||
3.00% due 10/01/2042 | 269,778 | 260,654 | |||||||||
3.00% due 11/01/2042 | 291,398 | 281,526 |
264
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.00% due 02/01/2043 | $ | 562,330 | $ | 539,552 | |||||||
3.00% due 04/01/2043 | 322,330 | 311,078 | |||||||||
3.00% due 08/01/2043 | 1,227,347 | 1,184,620 | |||||||||
3.00% due 07/01/2045 | 1,078,979 | 1,036,248 | |||||||||
3.00% due 10/01/2045 | 558,867 | 536,279 | |||||||||
3.00% due 08/01/2046 | 671,031 | 643,181 | |||||||||
3.50% due 01/01/2032 | 820,786 | 825,933 | |||||||||
3.50% due 11/01/2041 | 282,327 | 280,056 | |||||||||
3.50% due 03/01/2042 | 140,283 | 139,152 | |||||||||
3.50% due 08/01/2042 | 247,127 | 245,137 | |||||||||
3.50% due 09/01/2043 | 93,155 | 92,404 | |||||||||
3.50% due 03/01/2045 | 818,147 | 807,744 | |||||||||
3.50% due 07/01/2045 | 1,804,307 | 1,780,833 | |||||||||
3.50% due 08/01/2045 | 414,026 | 408,895 | |||||||||
3.50% due 10/01/2045 | 755,954 | 746,116 | |||||||||
3.50% due 11/01/2045 | 952,493 | 940,097 | |||||||||
3.50% due 01/01/2046 | 34,756 | 34,299 | |||||||||
3.50% due 11/01/2047 | 956,904 | 942,510 | |||||||||
3.50% due October TBA | 13,100,000 | 12,893,266 | |||||||||
3.75% due 03/27/2019 | 796,000 | 801,194 | |||||||||
3.99% (6 ML+1.49%) due 02/01/2037 FRS | 25,770 | 26,529 | |||||||||
Federal Home Loan Mtg. Corp. 4.00% due 09/01/2040 | 213,448 | 217,428 | |||||||||
4.00% due 07/01/2044 | 351,336 | 355,838 | |||||||||
4.00% due 10/01/2045 | 362,738 | 367,012 | |||||||||
4.00% due October TBA | 10,300,000 | 10,400,953 | |||||||||
4.20% (12 ML+1.89%) due 11/01/2037 FRS | 204,054 | 214,710 | |||||||||
4.50% due 04/01/2044 | 76,572 | 79,144 | |||||||||
4.50% due 09/01/2044 | 783,759 | 810,193 | |||||||||
4.50% due October TBA | 1,300,000 | 1,341,691 | |||||||||
5.00% due 11/01/2043 | 390,020 | 414,185 | |||||||||
5.00% due October TBA | 2,000,000 | 2,099,844 | |||||||||
5.50% due 01/01/2036 | 144,137 | 156,115 | |||||||||
6.00% due 03/01/2040 | 11,146 | 12,332 | |||||||||
6.25% due 07/15/2032 | 206,000 | 271,593 | |||||||||
6.75% due 03/15/2031 | 100,000 | 133,939 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.09% due 10/25/2047*(3)(4) | 730,000 | 728,188 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K013, Class X1VRS 0.69% due 01/25/2021(3)(4)(5) | 2,017,780 | 21,668 | |||||||||
Series K064, Class X1 VRS 0.74% due 03/25/2027(3)(4)(5) | 5,165,272 | 225,005 | |||||||||
Series K068, Class A2 3.24% due 08/25/2027(4) | 1,113,000 | 1,086,222 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2017-HQA1, Class M1 3.42% (1 ML+1.20%) due 08/25/2029(1) | $ | 414,759 | $ | 417,556 | |||||||
Series 2018-HRP1, Class M2 3.87% (1 ML+1.65%) due 04/25/2043*(1) | 197,093 | 199,397 | |||||||||
Series 2015-DNA1, Class M2 4.07% (1 ML+1.85%) due 10/25/2027(1) | 100,069 | 101,853 | |||||||||
Series 2014-DN1, Class M2 4.42% (1 ML+2.20%) due 02/25/2024(1) | 210,321 | 216,103 | |||||||||
Series 2014-HQ2, Class M2 4.42% (1 ML+2.20%) due 09/25/2024(1) | 368,329 | 379,398 | |||||||||
Series 2015-HQA2, Class M2 5.02% (1 ML+2.80%) due 05/25/2028(1) | 165,447 | 170,218 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3883, Class PB 3.00% due 05/15/2041(1) | 314,064 | 308,195 | |||||||||
Series 4740, Class BA 3.00% due 09/15/2045(1) | 475,986 | 465,175 | |||||||||
Series 3820, Class DA 4.00% due 11/15/2035(1) | 122,285 | 123,321 | |||||||||
51,969,029 | |||||||||||
Federal National Mtg. Assoc. — 14.3% | |||||||||||
zero coupon due 10/09/2019 | 7,452,000 | 7,246,613 | |||||||||
1.88% due 09/24/2026 | 837,000 | 758,996 | |||||||||
2.50% due 04/01/2028 | 297,471 | 289,199 | |||||||||
2.50% due 08/01/2031 | 938,790 | 906,550 | |||||||||
2.50% due 01/01/2032 | 1,065,098 | 1,028,520 | |||||||||
2.50% due October TBA | 2,600,000 | 2,406,523 | |||||||||
2.63% due 09/06/2024 | 2,025,000 | 1,976,175 | |||||||||
2.64% due 03/01/2027 | 289,503 | 275,074 | |||||||||
2.78% due 03/01/2027 | 588,076 | 563,048 | |||||||||
2.88% due 11/01/2027 | 2,145,000 | 2,031,804 | |||||||||
2.97% due 06/01/2027 | 1,066,169 | 1,029,319 | |||||||||
2.97% due 06/01/2030 | 1,235,000 | 1,141,763 | |||||||||
3.00% due 04/01/2027 | 31,914 | 31,713 | |||||||||
3.00% due 07/01/2027 | 1,510,000 | 1,445,440 | |||||||||
3.00% due 10/01/2027 | 411,449 | 408,854 | |||||||||
3.00% due 03/01/2030 | 975,963 | 967,408 | |||||||||
3.00% due 10/01/2030 | 394,684 | 391,222 | |||||||||
3.00% due 03/01/2042 | 525,847 | 507,983 | |||||||||
3.00% due 12/01/2042 | 150,908 | 145,715 | |||||||||
3.00% due 05/01/2043 | 370,150 | 357,238 | |||||||||
3.00% due 02/01/2045 | 309,010 | 297,187 | |||||||||
3.00% due 08/01/2046 | 481,150 | 461,249 | |||||||||
3.00% due 09/01/2046 | 335,858 | 321,706 | |||||||||
3.00% due 12/01/2046 | 529,862 | 507,481 | |||||||||
3.00% due 01/01/2047 | 713,048 | 682,892 |
265
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
3.00% due 02/01/2048 | $ | 1,538,231 | $ | 1,473,088 | |||||||
3.00% due October TBA | 2,600,000 | 2,567,746 | |||||||||
3.13% due 02/01/2027 | 402,000 | 391,790 | |||||||||
3.16% due 08/01/2027 | 2,025,000 | 1,963,546 | |||||||||
3.50% due 08/01/2026 | 145,190 | 146,007 | |||||||||
3.50% due 09/01/2026 | 172,824 | 173,800 | |||||||||
3.50% due 08/01/2027 | 26,388 | 26,537 | |||||||||
3.50% due 10/01/2028 | 63,157 | 63,740 | |||||||||
3.50% due 03/01/2042 | 306,336 | 303,856 | |||||||||
3.50% due 08/01/2042 | 711,779 | 703,830 | |||||||||
3.50% due 07/01/2045 | 248,490 | 245,595 | |||||||||
3.50% due 08/01/2045 | 606,180 | 599,112 | |||||||||
3.50% due 09/01/2045 | 549,249 | 542,845 | |||||||||
3.50% due 10/01/2045 | 490,240 | 484,524 | |||||||||
3.50% due 11/01/2045 | 560,846 | 554,396 | |||||||||
3.50% due 12/01/2045 | 791,777 | 782,545 | |||||||||
3.50% due 02/01/2046 | 341,651 | 337,632 | |||||||||
3.50% due 03/01/2046 | 531,560 | 524,380 | |||||||||
3.50% due 07/01/2046 | 858,715 | 848,702 | |||||||||
3.50% due 12/01/2047 | 1,647,898 | 1,624,960 | |||||||||
3.50% due 04/01/2048 | 1,615,286 | 1,592,688 | |||||||||
3.50% due October TBA | 73,100,000 | 71,932,513 | |||||||||
3.59% (12 ML+1.76%) due 05/01/2040 FRS | 197,049 | 206,336 | |||||||||
3.81% (12 ML+1.83%) due 10/01/2040 FRS | 114,214 | 119,887 | |||||||||
3.90% (12 ML+1.57%) due 05/01/2037 FRS | 40,221 | 41,883 | |||||||||
3.98% (12 ML+1.66%) due 07/01/2039 FRS | 147,746 | 154,287 | |||||||||
4.00% due 10/01/2040 | 153,535 | 156,208 | |||||||||
4.00% due 11/01/2040 | 273,181 | 277,934 | |||||||||
4.00% due 10/01/2041 | 241,789 | 246,000 | |||||||||
4.00% due 11/01/2041 | 218,658 | 222,577 | |||||||||
4.00% due 01/01/2043 | 814,960 | 829,565 | |||||||||
4.00% due 10/01/2044 | 455,478 | 461,014 | |||||||||
4.00% due 02/01/2045 | 832,616 | 846,416 | |||||||||
4.00% due 02/01/2046 | 56,369 | 56,994 | |||||||||
4.00% due 01/01/2047 | 936,544 | 946,404 | |||||||||
4.00% due 05/01/2047 | 210,832 | 213,036 | |||||||||
4.00% due 07/01/2047 | 2,587,743 | 2,614,662 | |||||||||
4.00% due 08/01/2047 | 431,643 | 436,112 | |||||||||
4.00% due 06/01/2048 | 1,175,537 | 1,191,630 | |||||||||
4.04% (6 ML+1.54%) due 09/01/2035 FRS | 176,280 | 182,272 | |||||||||
4.15% (1 Yr USTYCR+2.19%) due 10/01/2035 FRS | 224,746 | 236,149 | |||||||||
4.25% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS | 81,946 | 86,227 | |||||||||
4.40% (12 ML+1.91%) due 08/01/2035 FRS | 124,551 | 131,231 | |||||||||
4.50% due 10/01/2024 | 47,541 | 48,148 | |||||||||
4.50% due 06/01/2039 | 145,115 | 150,336 | |||||||||
4.50% due 05/01/2041 | 98,525 | 102,509 | |||||||||
4.50% due 03/01/2042 | 289,699 | 301,177 | |||||||||
4.50% due 08/01/2045 | 930,503 | 975,388 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.50% due 04/01/2047 | $ | 710,032 | $ | 733,148 | |||||||
4.50% due 11/01/2047 | 861,614 | 889,414 | |||||||||
4.55% (12 ML+1.82%) due 10/01/2040 FRS | 47,401 | 49,467 | |||||||||
5.00% due 05/01/2040 | 227,955 | 242,538 | |||||||||
5.00% due 06/01/2040 | 22,230 | 23,616 | |||||||||
5.00% due 07/01/2040 | 522,638 | 556,064 | |||||||||
5.00% due 02/01/2045 | 576,599 | 613,310 | |||||||||
5.50% due 12/01/2029 | 35,723 | 38,115 | |||||||||
5.50% due 08/01/2037 | 133,398 | 143,835 | |||||||||
5.50% due 06/01/2038 | 79,242 | 85,525 | |||||||||
5.50% due October TBA | 1,900,000 | 2,027,508 | |||||||||
6.00% due 11/01/2038 | 9,016 | 9,930 | |||||||||
6.00% due 06/01/2040 | 73,029 | 80,432 | |||||||||
6.50% due 10/01/2037 | 959 | 1,052 | |||||||||
6.63% due 11/15/2030 | 871,000 | 1,147,684 | |||||||||
7.25% due 05/15/2030 | 2,260,000 | 3,091,122 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C05, Class 1M1 2.94% (1 ML+0.72%) due 01/25/2031(1) | 826,858 | 828,352 | |||||||||
Series 2013-C01, Class M1 4.22% (1 ML+2.00%) due 10/25/2023(1) | 3,257 | 3,263 | |||||||||
Series 2016-C07, Class 2M2 6.57% (1 ML+4.35%) due 05/25/2029(1) | 940,000 | 1,051,511 | |||||||||
Series 2014-C04, Class 1M2 7.12% (1 ML+4.90%) due 11/25/2024(1) | 325,380 | 372,578 | |||||||||
Series 2015-C04, Class 1M2 7.92% (1 ML+5.70%) due 04/25/2028(1) | 163,348 | 189,922 | |||||||||
Series 2016-C02, Class 1M2 8.22% (1 ML+6.00%) due 09/25/2028(1) | 113,000 | 132,939 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2012-21, Class PQ 2.00% due 09/25/2041(1) | 274,538 | 257,253 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(1) | 526,782 | 494,890 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(1) | 566,661 | 542,977 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(1) | 747,388 | 730,055 | |||||||||
Series 2017-94, Class DA 3.00% due 06/25/2045(1) | 140,912 | 137,525 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(1) | 671,894 | 654,870 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(1) | 693,409 | 675,822 | |||||||||
Series 2018-27, Class EA 3.00% due 05/25/2048(1) | 725,112 | 692,630 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(1) | 757,785 | 738,711 |
266
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(1) | $ | 292,367 | $ | 292,737 | |||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(1) | 743,036 | 743,516 | |||||||||
Series 2018-77, Class PA 3.50% due 02/25/2048(1) | 342,000 | 340,178 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(1) | 635,345 | 632,625 | |||||||||
144,543,000 | |||||||||||
Government National Mtg. Assoc. — 4.1% | |||||||||||
3.00% due 02/20/2045 | 295,486 | 288,548 | |||||||||
3.00% due 05/20/2045 | 238,221 | 231,645 | |||||||||
3.00% due 07/20/2045 | 53,172 | 51,693 | |||||||||
3.00% due October TBA | 7,000,000 | 6,779,063 | |||||||||
3.50% due 03/20/2045 | 199,178 | 198,573 | |||||||||
3.50% due 04/20/2045 | 307,785 | 306,851 | |||||||||
3.50% due 07/20/2045 | 94,459 | 94,173 | |||||||||
3.50% due 03/20/2047 | 495,716 | 493,291 | |||||||||
3.50% due October TBA | 14,300,000 | 14,215,151 | |||||||||
4.00% due 03/15/2039 | 101,816 | 103,591 | |||||||||
4.00% due 04/15/2039 | 8,250 | 8,394 | |||||||||
4.00% due 05/15/2039 | 37,287 | 37,938 | |||||||||
4.00% due 08/15/2039 | 9,837 | 10,009 | |||||||||
4.00% due 10/15/2039 | 39,436 | 40,123 | |||||||||
4.00% due 03/15/2040 | 31,593 | 32,144 | |||||||||
4.00% due 09/15/2040 | 27,691 | 28,243 | |||||||||
4.00% due 10/15/2040 | 21,670 | 22,180 | |||||||||
4.00% due 12/15/2040 | 13,973 | 14,263 | |||||||||
4.00% due 01/15/2041 | 4,451 | 4,530 | |||||||||
4.00% due 02/15/2041 | 8,807 | 9,020 | |||||||||
4.00% due 06/15/2041 | 120,598 | 123,478 | |||||||||
4.00% due 07/15/2041 | 27,929 | 28,585 | |||||||||
4.00% due 08/15/2041 | 318,395 | 325,326 | |||||||||
4.00% due 09/15/2041 | 59,709 | 61,103 | |||||||||
4.00% due 10/15/2041 | 135,471 | 138,481 | |||||||||
4.00% due 11/15/2041 | 136,842 | 139,627 | |||||||||
4.00% due 12/15/2041 | 135,577 | 138,412 | |||||||||
4.00% due 01/15/2042 | 29,058 | 29,671 | |||||||||
4.00% due 02/15/2042 | 7,129 | 7,253 | |||||||||
4.00% due 03/15/2042 | 99,535 | 101,858 | |||||||||
4.00% due 04/15/2042 | 4,259 | 4,333 | |||||||||
4.00% due 03/20/2044 | 135,309 | 138,689 | |||||||||
4.00% due 07/20/2045 | 386,915 | 396,584 | |||||||||
4.00% due 10/20/2045 | 66,776 | 68,444 | |||||||||
4.00% due October TBA | 6,500,000 | 6,610,449 | |||||||||
4.50% due 10/15/2018 | 316 | 319 | |||||||||
4.50% due 09/15/2033 | 55,818 | 58,200 | |||||||||
4.50% due 03/15/2039 | 82,103 | 85,579 | |||||||||
4.50% due 05/15/2039 | 46,799 | 48,813 | |||||||||
4.50% due 07/15/2039 | 27,126 | 28,305 | |||||||||
4.50% due 10/15/2039 | 97,971 | 102,201 | |||||||||
4.50% due 01/15/2040 | 30,087 | 31,390 | |||||||||
4.50% due 02/15/2040 | 49,603 | 51,762 | |||||||||
4.50% due 03/15/2040 | 31,206 | 32,279 | |||||||||
4.50% due 04/15/2040 | 1,583 | 1,652 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
4.50% due 05/15/2040 | $ | 7,350 | $ | 7,670 | |||||||
4.50% due 07/15/2040 | 31,693 | 33,178 | |||||||||
4.50% due 04/15/2041 | 10,388 | 10,743 | |||||||||
4.50% due 05/15/2041 | 124,695 | 130,147 | |||||||||
4.50% due 06/15/2041 | 17,346 | 18,077 | |||||||||
4.50% due 07/15/2041 | 106,083 | 110,377 | |||||||||
4.50% due 08/15/2041 | 59,104 | 61,650 | |||||||||
4.50% due 04/20/2047 | 240,984 | 250,360 | |||||||||
4.50% due October TBA | 6,800,000 | 7,027,150 | |||||||||
5.00% due 06/15/2033 | 2,215 | 2,352 | |||||||||
5.00% due 08/15/2033 | 17,308 | 18,381 | |||||||||
5.00% due 09/15/2033 | 35,686 | 37,900 | |||||||||
5.00% due 10/15/2033 | 19,361 | 20,560 | |||||||||
5.00% due 11/15/2033 | 3,945 | 4,199 | |||||||||
5.00% due 06/15/2034 | 60,933 | 64,297 | |||||||||
5.00% due 05/15/2035 | 2,728 | 2,843 | |||||||||
5.00% due 09/15/2035 | 2,277 | 2,417 | |||||||||
5.00% due 11/15/2035 | 89,468 | 93,221 | |||||||||
5.00% due 02/15/2036 | 25,067 | 26,121 | |||||||||
5.00% due 02/20/2036 | �� | 96,359 | 102,673 | ||||||||
5.00% due 05/15/2036 | 80,477 | 85,277 | |||||||||
5.00% due 06/15/2036 | 41,007 | 42,728 | |||||||||
5.00% due 08/15/2038 | 270,694 | 283,770 | |||||||||
5.50% due 02/15/2032 | 1,582 | 1,696 | |||||||||
5.50% due 03/15/2032 | 4,336 | 4,655 | |||||||||
5.50% due 12/15/2032 | 3,873 | 4,168 | |||||||||
5.50% due 01/15/2033 | 2,130 | 2,313 | |||||||||
5.50% due 02/15/2033 | 11,358 | 12,321 | |||||||||
5.50% due 03/15/2033 | 51,270 | 55,271 | |||||||||
5.50% due 04/15/2033 | 44,879 | 48,606 | |||||||||
5.50% due 06/15/2033 | 51,339 | 55,474 | |||||||||
5.50% due 07/15/2033 | 206,932 | 223,144 | |||||||||
5.50% due 08/15/2033 | 41,889 | 45,080 | |||||||||
5.50% due 09/15/2033 | 9,739 | 10,589 | |||||||||
5.50% due 11/15/2033 | 34,310 | 36,788 | |||||||||
5.50% due 12/15/2033 | 1,450 | 1,555 | |||||||||
5.50% due 01/15/2034 | 73,806 | 80,048 | |||||||||
5.50% due 02/15/2034 | 29,795 | 31,947 | |||||||||
6.00% due 04/15/2028 | 83,409 | 91,068 | |||||||||
6.00% due 01/15/2029 | 15,769 | 17,037 | |||||||||
6.00% due 03/15/2029 | 20,599 | 22,255 | |||||||||
6.00% due 11/15/2031 | 3,500 | 3,781 | |||||||||
6.00% due 12/15/2031 | 3,446 | 3,723 | |||||||||
6.00% due 04/15/2032 | 11,820 | 12,898 | |||||||||
6.00% due 09/15/2032 | 9,966 | 10,880 | |||||||||
6.00% due 10/15/2032 | 65,041 | 71,080 | |||||||||
6.00% due 11/15/2032 | 18,123 | 19,806 | |||||||||
6.00% due 01/15/2033 | 2,588 | 2,827 | |||||||||
6.00% due 02/15/2033 | 25,920 | 28,459 | |||||||||
6.00% due 03/15/2033 | 8,546 | 9,256 | |||||||||
6.00% due 09/15/2033 | 14,017 | 15,145 | |||||||||
6.00% due 01/15/2034 | 77,926 | 84,194 | |||||||||
6.00% due 03/15/2034 | 14,926 | 16,126 | |||||||||
6.00% due 05/15/2034 | 2,228 | 2,407 | |||||||||
6.00% due 07/15/2034 | 4,015 | 4,337 | |||||||||
6.00% due 08/15/2034 | 76,388 | 82,532 |
267
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
6.00% due 09/15/2034 | $ | 4,137 | $ | 4,485 | |||||||
6.00% due 11/15/2034 | 68,480 | 73,988 | |||||||||
6.00% due 03/15/2035 | 41,795 | 45,157 | |||||||||
6.00% due 08/15/2035 | 39,146 | 42,309 | |||||||||
6.00% due 01/15/2036 | 27,620 | 30,273 | |||||||||
6.00% due 02/15/2036 | 36,533 | 39,471 | |||||||||
6.00% due 04/15/2036 | 43,256 | 46,734 | |||||||||
6.00% due 05/15/2036 | 28,813 | 31,305 | |||||||||
6.00% due 06/15/2036 | 47,668 | 51,797 | |||||||||
6.00% due 07/15/2036 | 4,033 | 4,357 | |||||||||
6.00% due 08/15/2036 | 53,519 | 58,642 | |||||||||
6.00% due 09/15/2036 | 12,568 | 13,579 | |||||||||
6.00% due 10/15/2036 | 151,480 | 163,879 | |||||||||
6.00% due 11/15/2036 | 41,949 | 45,749 | |||||||||
6.00% due 12/15/2036 | 11,902 | 12,859 | |||||||||
6.50% due 09/15/2028 | 3,635 | 3,989 | |||||||||
6.50% due 09/15/2031 | 6,835 | 7,498 | |||||||||
6.50% due 10/15/2031 | 4,570 | 5,014 | |||||||||
6.50% due 11/15/2031 | 1,171 | 1,285 | |||||||||
6.50% due 12/15/2031 | 3,862 | 4,237 | |||||||||
7.50% due 09/15/2030 | 17,562 | 17,828 | |||||||||
41,974,208 | |||||||||||
Tennessee Valley Authority — 0.1% | |||||||||||
1.75% due 10/15/2018 | 105,000 | 104,980 | |||||||||
4.25% due 09/15/2065 | 577,000 | 630,445 | |||||||||
735,425 | |||||||||||
Total U.S. Government Agencies (cost $243,292,943) | 240,178,205 | ||||||||||
U.S. GOVERNMENT TREASURIES — 35.6% | |||||||||||
United States Treasury Bonds — 7.8% | |||||||||||
2.25% due 08/15/2046 | 2,722,000 | 2,247,777 | |||||||||
2.50% due 02/15/2045 | 5,500,000 | 4,817,012 | |||||||||
2.50% due 02/15/2046 | 1,638,000 | 1,429,539 | |||||||||
2.50% due 05/15/2046 | 3,258,000 | 2,841,078 | |||||||||
2.75% due 08/15/2042 | 2,787,000 | 2,580,915 | |||||||||
2.75% due 11/15/2042 | 1,787,000 | 1,653,813 | |||||||||
2.75% due 08/15/2047 | 568,000 | 520,186 | |||||||||
2.75% due 11/15/2047 | 1,004,000 | 919,091 | |||||||||
2.88% due 05/15/2043 | 1,774,000 | 1,677,123 | |||||||||
2.88% due 08/15/2045 | 2,826,000 | 2,661,076 | |||||||||
2.88% due 11/15/2046 | 499,000 | 469,294 | |||||||||
3.00% due 05/15/2042 | 875,000 | 847,485 | |||||||||
3.00% due 11/15/2044 | 2,911,000 | 2,809,911 | |||||||||
3.00% due 05/15/2045 | 787,000 | 759,394 | |||||||||
3.00% due 11/15/2045 | 4,773,000 | 4,603,148 | |||||||||
3.00% due 05/15/2047 | 3,224,000 | 3,105,115 | |||||||||
3.00% due 02/15/2048 | 2,170,000 | 2,088,371 | |||||||||
3.00% due 08/15/2048 | 500,000 | 481,191 | |||||||||
3.13% due 02/15/2043 | 1,770,000 | 1,748,566 | |||||||||
3.13% due 08/15/2044 | 3,825,000 | 3,777,038 | |||||||||
3.13% due 05/15/2048 | 1,327,000 | 1,309,324 | |||||||||
3.38% due 05/15/2044 | 869,000 | 896,054 | |||||||||
3.63% due 08/15/2043 | 3,158,000 | 3,388,805 | |||||||||
3.63% due 02/15/2044 | 4,740,000 | 5,091,797 | |||||||||
3.75% due 11/15/2043 | 2,990,000 | 3,273,933 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
United States Treasury Bonds (continued) | |||||||||||
3.88% due 08/15/2040 | $ | 1,577,000 | $ | 1,750,901 | |||||||
4.25% due 11/15/2040 | 1,100,000 | 1,287,258 | |||||||||
4.38% due 11/15/2039 | 1,082,000 | 1,283,903 | |||||||||
4.38% due 05/15/2040 | 953,000 | 1,132,395 | |||||||||
4.50% due 02/15/2036 | 1,034,000 | 1,226,825 | |||||||||
4.63% due 02/15/2040 | 1,159,000 | 1,420,997 | |||||||||
4.75% due 02/15/2041 | 1,123,000 | 1,405,110 | |||||||||
5.25% due 11/15/2028 | 1,045,000 | 1,242,938 | |||||||||
5.25% due 02/15/2029 | 1,966,000 | 2,346,913 | |||||||||
5.38% due 02/15/2031 | 1,289,000 | 1,592,872 | |||||||||
6.13% due 11/15/2027 | 544,000 | 676,791 | |||||||||
6.25% due 08/15/2023 | 1,613,000 | 1,854,068 | |||||||||
6.38% due 08/15/2027 | 1,217,000 | 1,530,853 | |||||||||
6.75% due 08/15/2026 | 377,000 | 475,329 | |||||||||
7.88% due 02/15/2021 | 1,267,000 | 1,412,012 | |||||||||
8.75% due 05/15/2020 | 1,035,000 | 1,133,204 | |||||||||
8.75% due 08/15/2020 | 1,389,000 | 1,537,992 | |||||||||
79,307,397 | |||||||||||
United States Treasury Notes — 27.8% | |||||||||||
0.01% due 01/24/2019 | 172,000 | 170,788 | |||||||||
0.38% due 07/15/2027 TIPS(12)(15)(16) | 15,041,950 | 14,369,763 | |||||||||
0.88% due 07/31/2019 | 4,109,000 | 4,051,217 | |||||||||
1.00% due 06/30/2019 | 5,150,000 | 5,092,264 | |||||||||
1.00% due 11/30/2019 | 7,446,000 | 7,301,443 | |||||||||
1.13% due 05/31/2019 | 1,362,000 | 1,349,604 | |||||||||
1.13% due 12/31/2019 | 4,241,000 | 4,158,665 | |||||||||
1.13% due 04/30/2020 | 2,743,000 | 2,673,139 | |||||||||
1.13% due 02/28/2021 | 2,872,000 | 2,756,335 | |||||||||
1.13% due 07/31/2021 | 2,131,000 | 2,029,694 | |||||||||
1.13% due 08/31/2021 | 3,679,000 | 3,498,786 | |||||||||
1.13% due 09/30/2021 | 2,760,000 | 2,621,137 | |||||||||
1.25% due 01/31/2020 | 3,306,000 | 3,241,946 | |||||||||
1.25% due 02/29/2020 | 7,378,000 | 7,224,676 | |||||||||
1.25% due 10/31/2021 | 7,625,000 | 7,257,749 | |||||||||
1.38% due 02/29/2020 | 6,085,000 | 5,969,005 | |||||||||
1.38% due 05/31/2020 | 4,553,000 | 4,448,245 | |||||||||
1.38% due 08/31/2020 | 3,758,000 | 3,657,297 | |||||||||
1.38% due 10/31/2020 | 1,229,000 | 1,192,850 | |||||||||
1.38% due 05/31/2021 | 2,443,000 | 2,349,479 | |||||||||
1.50% due 07/15/2020 | 3,447,000 | 3,368,635 | |||||||||
1.50% due 01/31/2022 | 12,752,000 | 12,185,632 | |||||||||
1.50% due 02/28/2023 | 6,709,000 | 6,310,129 | |||||||||
1.50% due 08/15/2026 | 3,171,000 | 2,831,356 | |||||||||
1.63% due 08/15/2022 | 4,238,000 | 4,036,529 | |||||||||
1.63% due 11/15/2022 | 4,550,000 | 4,319,478 | |||||||||
1.63% due 02/15/2026 | 3,744,000 | 3,397,534 | |||||||||
1.63% due 05/15/2026 | 2,455,000 | 2,220,816 | |||||||||
1.75% due 10/31/2020 | 3,843,000 | 3,758,784 | |||||||||
1.75% due 05/15/2022 | 4,641,000 | 4,455,722 | |||||||||
1.75% due 05/15/2023 | 9,605,000 | 9,110,117 | |||||||||
1.88% due 11/30/2021 | 9,434,000 | 9,146,189 | |||||||||
1.88% due 01/31/2022 | 69,000 | 66,744 | |||||||||
1.88% due 10/31/2022 | 967,000 | 927,829 | |||||||||
1.88% due 08/31/2024 | 7,174,000 | 6,744,961 | |||||||||
2.00% due 05/31/2021 | 3,075,000 | 3,006,293 | |||||||||
2.00% due 11/15/2021 | 4,434,000 | 4,316,395 |
268
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes (continued) | |||||||||||
2.00% due 02/15/2023 | $ | 8,911,000 | $ | 8,567,787 | |||||||
2.00% due 02/15/2025 | 8,867,000 | 8,350,913 | |||||||||
2.00% due 08/15/2025 | 3,825,000 | 3,584,443 | |||||||||
2.00% due 11/15/2026 | 4,490,000 | 4,153,952 | |||||||||
2.13% due 06/30/2021 | 4,986,000 | 4,887,254 | |||||||||
2.13% due 08/15/2021 | 6,481,000 | 6,346,317 | |||||||||
2.13% due 02/29/2024 | 3,937,000 | 3,771,369 | |||||||||
2.13% due 03/31/2024 | 4,502,000 | 4,309,610 | |||||||||
2.13% due 09/30/2024 | 1,983,000 | 1,889,350 | |||||||||
2.13% due 05/15/2025 | 3,749,000 | 3,549,688 | |||||||||
2.25% due 07/31/2021 | 3,756,000 | 3,691,444 | |||||||||
2.25% due 11/15/2024 | 3,725,000 | 3,569,743 | |||||||||
2.25% due 12/31/2024 | 3,515,000 | 3,366,299 | |||||||||
2.25% due 11/15/2025 | 5,147,000 | 4,892,264 | |||||||||
2.25% due 08/15/2027 | 2,623,000 | 2,459,882 | |||||||||
2.25% due 11/15/2027 | 3,771,000 | 3,529,715 | |||||||||
2.38% due 04/30/2020 | 300,000 | 298,113 | |||||||||
2.38% due 08/15/2024 | 5,657,000 | 5,470,275 | |||||||||
2.38% due 05/15/2027 | 3,936,000 | 3,736,894 | |||||||||
2.50% due 08/15/2023 | 6,555,000 | 6,421,852 | |||||||||
2.63% due 08/15/2020 | 922,000 | 918,723 | |||||||||
2.63% due 11/15/2020 | 2,646,000 | 2,633,804 | |||||||||
2.63% due 05/15/2021 | 4,907,000 | 4,876,140 | |||||||||
2.63% due 06/30/2023 | 285,000 | 280,948 | |||||||||
2.63% due 03/31/2025 | 3,886,000 | 3,798,413 | |||||||||
2.88% due 05/15/2028 | 2,104,000 | 2,072,276 | |||||||||
3.38% due 11/15/2019 | 759,000 | 764,515 | |||||||||
3.50% due 05/15/2020 | 671,000 | 678,418 | |||||||||
3.63% due 02/15/2020 | 3,814,000 | 3,858,248 | |||||||||
3.63% due 02/15/2021 | 8,096,000 | 8,234,834 | |||||||||
280,580,708 | |||||||||||
Total U.S. Government Treasuries (cost $368,644,321) | 359,888,105 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.3% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 160,000 | 151,413 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 355,000 | 351,887 | |||||||||
Chicago Transit Authority Revenue Bonds Series B 6.90% due 12/01/2040 | 460,000 | 584,715 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 245,000 | 261,743 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 910,000 | 989,752 | |||||||||
State of Illinois General Obligation Bonds 5.88% due 03/01/2019 | 700,000 | 708,050 | |||||||||
Total Municipal Bonds & Notes (cost $3,072,757) | 3,047,560 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) — 1.2% | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
Transdigm, Inc. FRS BTL 4.74% (1 ML+2.50) due 05/30/2025 | $ | 207,936 | $ | 208,441 | |||||||
Applications Software — 0.0% | |||||||||||
SS&C European Holdings SARL FRS BTL-B4 4.49% (1 ML + 2.25%) due 04/16/2025 | 25,529 | 25,542 | |||||||||
SS&C Technologies, Inc. FRS BTL-B3 4.49% (1 ML + 2.25) due 04/16/2025 | 65,769 | 65,800 | |||||||||
91,342 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Univision Communications, Inc. FRS BTL 4.99% (1 ML+2.75) due 03/15/2024 | 162,955 | 158,270 | |||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Ply Gem Industries, Inc. FRS BTL-B 6.09% (3 ML+3.75%) due 04/12/2025 | 99,750 | 100,290 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS BTL-B 4.99% (1 ML+2.75) due 11/15/2023 | 125,000 | 125,156 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. FRS 1st Lien 6.60% (3 ML+4.25) due 06/21/2024 | 296,250 | 297,967 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice Financing SA FRS 1st Lien 4.91% (1 ML+2.75%) due 01/31/2026 | 99,250 | 96,521 | |||||||||
CSC Holdings LLC FRS BTL-B 4.41% (1 ML+2.25%) due 07/17/2025 | 149,051 | 148,895 | |||||||||
Numericable Group SA FRS BTL-B2 5.85% (1 ML+3.69%) due 01/31/2026 | 99,250 | 97,947 | |||||||||
Unitymedia Finance LLC FRS BTL-B 4.41% (1 ML+2.25%) due 09/30/2025 | 145,000 | 145,091 | |||||||||
488,454 |
269
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. FRS BTL-B 4.46% (1 ML+2.25%) due 09/15/2023 | $ | 118,504 | $ | 119,008 | |||||||
Caesars Resort Collection LLC FRS BTL-B 4.99% (1 ML+2.75) due 12/23/2024 | 147,274 | 148,037 | |||||||||
267,045 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. FRS BTL-B 4.75% (1 ML+2.50%) due 02/02/2024 | 320,125 | 320,685 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Chemours Co. FRS BTL-B2 4.00% (1 ML+1.75%) due 04/03/2025 | 137,923 | 137,708 | |||||||||
HB Fuller Co. FRS BTL-B 4.17% (1 ML+2.00%) due 10/20/2024 | 96,709 | 96,548 | |||||||||
MacDermid, Inc. FRS BTL-B6 5.24% (1 ML +3.00%) due 06/07/2023 | 184,451 | 184,912 | |||||||||
W.R. Grace & Co. FRS BTL-B1 4.14% (3 ML+1.75%) due 04/03/2025 | 36,842 | 36,965 | |||||||||
W.R. Grace & Co. FRS BTL-B2 4.14% (3 ML+1.75%) due 04/03/2025 | 63,158 | 63,368 | |||||||||
519,501 | |||||||||||
Coal — 0.0% | |||||||||||
Foresight Energy LLC 1st Lien 7.99% (1 ML+5.75%) due 03/28/2022 | 189,117 | 189,117 | |||||||||
Commercial Services — 0.1% | |||||||||||
AVSC Holding Corp. FRS BTL-B 5.59% (3 ML+3.25%) due 03/03/2025 | 174,312 | 174,094 | |||||||||
Brightview Landscapes LLC FRS BTL-B 4.74% (3 ML+2.50%) due 08/15/2025 | 250,376 | 251,159 | |||||||||
425,253 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
WEX, Inc. FRS BTL-B2 4.49% (1 ML +2.25%) due 06/30/2023 | $ | 293,250 | $ | 294,289 | |||||||
Computer Services — 0.1% | |||||||||||
Tempo Acquisition LLC FRS BTL-B 5.24% (1 ML+3.00) due 05/01/2024 | 217,250 | 217,956 | |||||||||
Xerox Business Services LLC FRS BTL-B 4.74% (1 ML +2.50%) due 12/07/2023 | 127,725 | 128,108 | |||||||||
346,064 | |||||||||||
Consulting Services — 0.0% | |||||||||||
AlixPartners LLP FRS BTL-B 4.99% (1 ML+2.75) due 04/04/2024 | 98,500 | 98,887 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. FRS BTL-T 3.94% (2 ML+1.75%) due 01/06/2021 | 427,179 | 427,102 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.26% (3 ML+3.00%) due 12/29/2023 | 98,750 | 98,647 | |||||||||
Reynolds Group Holdings, Inc. FRS BTL-B 4.99% (1 ML+2.75) due 02/05/2023 | 244,272 | 245,357 | |||||||||
771,106 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. FRS BTL-B 4.38% (1 ML+2.25%) due 04/07/2025 | 109,451 | 108,014 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
First Data Corp. FRS BTL 4.21% (1 ML+2.00%) due 07/08/2022 | 517,823 | 518,098 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Lifescan Global Corp. FRS 1st Lien Coupon TBD due 09/28/2024 | 100,000 | 98,625 | |||||||||
Dialysis Centers — 0.0% | |||||||||||
U.S. Renal Care, Inc. FRS BTL 6.64% (3 ML+4.25) due 12/30/2022 | 233,400 | 227,273 |
270
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Direct Marketing — 0.0% | |||||||||||
Acosta, Inc. FRS BTL 5.49% (1 ML+3.25%) due 09/26/2021 | $ | 125,146 | $ | 93,109 | |||||||
Distribution/Wholesale — 0.0% | |||||||||||
Univar USA, Inc. FRS BTL-B3 4.49% (1 ML+2.25) due 07/01/2024 | 123,777 | 124,001 | |||||||||
E-Commerce/Services — 0.0% | |||||||||||
Shutterfly, Inc. FRS BTL-B2 5.00% (1ML+2.75%) due 08/17/2024 | 99,750 | 99,999 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
Microchip Technology, Inc. FRS BTL-B 4.25% (1ML+2.00%) due 05/29/2025 | 91,100 | 91,119 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Almonde, Inc. FRS BTL-B 5.89% (3 ML+3.50%) due 06/13/2024 | 225,851 | 225,936 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Blackhawk Network Holdings LLC FRS BTL 5.39% (3 ML+3.00%) due 06/15/2025 | 99,750 | 100,290 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
Financial Risk US Holdings, Inc. FRS BTL Coupon TBD due 10/01/2025 | 105,000 | 104,756 | |||||||||
Food-Baking — 0.0% | |||||||||||
Hostess Brands LLC FRS BTL-B 4.49% (1 ML+2.25) due 08/03/2022 | 145,910 | 145,982 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
Informatica LLC FRS BTL-B 4.84% (3 ML+2.50) due 10/30/2022 | 103,079 | 103,208 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Post Holdings, Inc. FRS BTL 4.22% (1 ML+2.00%) due 05/24/2024 | 207,375 | 207,297 | |||||||||
Food-Retail — 0.0% | |||||||||||
Albertson's LLC FRS BTL-B4 4.99% (1 ML+2.75) due 08/25/2021 | 139,054 | 139,159 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Food-Retail (continued) | |||||||||||
Albertson's LLC FRS BTL-B5 5.38% (3 ML+3.00) due 12/21/2022 | $ | 98,011 | $ | 98,060 | |||||||
237,219 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CEOC LLC FRS BTL-B 4.24% (1 ML+2.00%) due 10/07/2024 | 158,800 | 158,658 | |||||||||
Golden Entertainment, Inc. FRS BTL-B 5.25% (1 ML+3.00) due 10/20/2024 | 208,425 | 209,207 | |||||||||
Scientific Games International, Inc. FRS BTL-B4 5.03% (1 ML+2.75) due 08/14/2024 | 114,139 | 113,925 | |||||||||
481,790 | |||||||||||
Health Care Providers & Services — 0.0% | |||||||||||
Enterprise Merger Sub, Inc. FRS BTL Coupon TBD due 09/26/2025 | 115,000 | 114,713 | |||||||||
Insurance Brokers — 0.0% | |||||||||||
HUB International, Ltd. FRS BTL-B1 5.34% (3 ML + 3.00%) due 04/25/2025 | 174,563 | 174,809 | |||||||||
USI, Inc. FRS BTL-B 5.39% (3 ML + 3.00%) due 05/16/2024 | 108,900 | 108,861 | |||||||||
283,670 | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Asurion LLC FRS BTL-B6 5.24% (1 ML+3.00%) due 11/03/2023 | 292,699 | 294,650 | |||||||||
Sedgwick Claims Management Services, Inc. FRS 1st Lien 4.99% (1 ML+2.75) due 03/01/2021 | 159,559 | 159,592 | |||||||||
Sedgwick Claims Management Services, Inc. FRS 2nd Lien 8.01% (1 ML+5.75) due 02/28/2022 | 125,000 | 125,351 | |||||||||
579,593 | |||||||||||
Investment Companies — 0.0% | |||||||||||
Techem GmbH FRS BTL-B1 5.75% (2 ML+3.75%) due 07/31/2025 | EUR | 144,000 | 168,293 |
271
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Brookfield Wec Holdings, Inc. FRS BTL-B 5.99% (1 ML+3.75%) due 08/01/2025 | $ | 100,000 | $ | 101,188 | |||||||
Machinery-General Industrial — 0.0% | |||||||||||
Gardner Denver, Inc. FRS BTL-B1 4.99% (1 ML+2.75) due 07/30/2024 | 135,807 | 136,580 | |||||||||
RBS Global, Inc. FRS BTL-B 4.24% (1 ML+2.00%) due 08/21/2024 | 93,538 | 93,989 | |||||||||
230,569 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Jaguar Holding Co. II FRS BTL 4.74% (1 ML+2.50) due 08/18/2022 | 218,955 | 219,037 | |||||||||
Syneos Health, Inc. FRS BTL-B 4.24% (1 ML+2.00%) due 08/01/2024 | 187,650 | 187,963 | |||||||||
407,000 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
Valeant Pharmaceuticals International, Inc. FRS 5.10% (1 ML+3.00) due 06/02/2025 | 97,500 | 97,974 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.50% (1 ML+4.25) due 04/29/2024 | 182,688 | 183,886 | |||||||||
Medical-HMO — 0.1% | |||||||||||
MultiPlan, Inc. FRS BTL-B 5.14% (3 ML+2.75) due 06/07/2023 | 333,674 | 334,195 | |||||||||
One Call Corp. FRS BTL-B1 7.38% (1 ML+5.25%) due 11/27/2022 | 236,369 | 223,861 | |||||||||
558,056 | |||||||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
CIRCOR International, Inc. FRS 1st Lien 5.64% (1 ML+3.50%) due 12/11/2024 | 99,250 | 99,746 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Metal Processors & Fabrication (continued) | |||||||||||
Crosby US Acquisition Corp. FRS 1st Lien 5.21% (1 ML+3.00%) due 11/23/2020 | $ | 222,229 | $ | 219,915 | |||||||
319,661 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Delta 2 Lux SARL FRS BTL-B 4.74% (1 ML+2.50) due 02/01/2024 | 153,800 | 152,455 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore Finance Co. Escrow Loans †(8)(11) | 706 | 0 | |||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC FRS 1st Lien 8.62% (1 ML+6.50%) due 03/30/2023 | 16,667 | 16,708 | |||||||||
California Resources Corp. BTL 12.61% (1 ML+10.38%) due 12/31/2021 | 130,000 | 143,325 | |||||||||
160,033 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
PowerTeam Services LLC FRS BTL 5.64% (3 ML+3.25%) due 03/06/2025 | 237,095 | 236,305 | |||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL-B 4.99% (1 ML+2.75) due 03/01/2024 | 146,250 | 146,677 | |||||||||
Publishing-Periodicals — 0.0% | |||||||||||
Meredith Corp. FRS BTL-B 5.24% (1 ML+3.00) due 01/31/2025 | 88,639 | 89,119 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 6.34% (3 ML+4.00) due 09/12/2024 | 129,025 | 128,864 | |||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Bass Pro Group LLC FRS BTL-B 7.24% (1 ML+5.00) due 09/25/2024 | 123,750 | 124,949 |
272
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B2 4.99% (1 ML+2.75) due 04/01/2024 | $ | 124,076 | $ | 124,774 | |||||||
Security Services — 0.0% | |||||||||||
APX Group, Inc. FRS BTL-B 7.32% (3 ML+5.00%) due 04/01/2024 | 100,000 | 99,625 | |||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Diamond BC BV FRS BTL 5.24% (1 ML+3.00) due 09/06/2024 | 114,138 | 111,783 | |||||||||
Telecom Services — 0.0% | |||||||||||
Telenet Financing USD LLC FRS BTL Coupon TBD due 08/15/2026 | 100,000 | 99,521 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc. FRS BTL-B3 5.05% (2 ML+2.75%) due 12/18/2020 | 172,113 | 172,687 | |||||||||
Theaters — 0.0% | |||||||||||
Cineworld, Ltd. FRS BTL-B 4.74% (1 ML+2.50) due 02/28/2025 | 104,475 | 104,286 | |||||||||
Transport-Services — 0.0% | |||||||||||
Savage Enterprises LLC FRS BTL 6.77% (1 ML+4.50%) due 08/01/2025 | 98,750 | 99,943 | |||||||||
Total Loans (cost $12,557,000) | 12,564,207 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.3% | |||||||||||
Banks-Special Purpose — 0.0% | |||||||||||
Brazilian Development Bank Senior Notes 5.50% due 07/12/2020 | 250,000 | 257,890 | |||||||||
Sovereign — 1.3% | |||||||||||
Abu Dhabi Government Senior Notes 3.13% due 10/11/2027 | 200,000 | 189,000 | |||||||||
Abu Dhabi Government Senior Notes 4.13% due 10/11/2047* | 1,620,000 | 1,547,100 | |||||||||
Dominican Republic Senior Bonds 7.45% due 04/30/2044 | 280,000 | 298,200 | |||||||||
Federative Republic of Brazil Bonds 8.25% due 01/20/2034 | 53,000 | 62,143 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Federative Republic of Brazil Notes 8.25% due 01/20/2034 | $ | 27,000 | $ | 31,658 | |||||||
Government of Egypt Senior Notes 7.50% due 01/31/2027 | 200,000 | 203,513 | |||||||||
Government of Egypt Senior Notes 8.50% due 01/31/2047 | 400,000 | 400,863 | |||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 882,000 | 994,455 | |||||||||
Government of Ukraine Senior Notes 7.38% due 09/25/2032* | 200,000 | 173,660 | |||||||||
Government of Ukraine Senior Notes 7.75% due 09/01/2027 | 100,000 | 92,880 | |||||||||
Kingdom of Saudi Arabia Senior Notes 4.50% due 10/26/2046 | 652,000 | 620,235 | |||||||||
Kingdom of Saudi Arabia Senior Notes 4.63% due 10/04/2047* | 520,000 | 500,916 | |||||||||
Kingdom of Saudi Arabia Senior Notes 5.00% due 04/17/2049 | 200,000 | 203,000 | |||||||||
Lebanese Republic Senior Notes 6.38% due 03/09/2020 | 40,000 | 37,764 | |||||||||
Oriental Republic of Uruguay Senior Notes 4.38% due 10/27/2027 | 100,000 | 101,851 | |||||||||
Republic of Argentina Senior Notes 5.25% due 01/15/2028 | EUR | 385,000 | 355,655 | ||||||||
Republic of Argentina Senior Notes 6.88% due 04/22/2021 | 150,000 | 143,250 | |||||||||
Republic of Argentina Senior Notes 6.88% due 01/26/2027 | 50,000 | 42,500 | |||||||||
Republic of Argentina Senior Notes 8.28% due 12/31/2033 | 280,408 | 253,068 | |||||||||
Republic of Chile Senior Notes 3.24% due 02/06/2028 | 270,000 | 258,660 | |||||||||
Republic of Chile Senior Notes 3.25% due 09/14/2021 | 100,000 | 100,072 | |||||||||
Republic of Colombia Senior Notes 8.13% due 05/21/2024 | 300,000 | 360,000 |
273
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
Republic of Croatia Senior Notes 6.38% due 03/24/2021 | $ | 200,000 | $ | 212,000 | |||||||
Republic of Ecuador Senior Notes 9.63% due 06/02/2027 | 250,000 | 247,175 | |||||||||
Republic of Ghana Senior Notes 8.63% due 06/16/2049* | 410,000 | 410,000 | |||||||||
Republic of Honduras Senior Notes 6.25% due 01/19/2027 | 150,000 | 153,952 | |||||||||
Republic of Hungary Senior Notes 5.38% due 02/21/2023 | 250,000 | 264,876 | |||||||||
Republic of Indonesia Senior Notes 2.95% due 01/11/2023 | 200,000 | 191,030 | |||||||||
Republic of Ivory Coast Senior Notes 5.75% due 12/31/2032(6) | 138,750 | 131,180 | |||||||||
Republic of Panama Senior Notes 4.30% due 04/29/2053 | 557,000 | 536,112 | |||||||||
Republic of Panama Senior Notes 4.50% due 04/16/2050 | 200,000 | 198,302 | |||||||||
Republic of Peru Senior Notes 8.75% due 11/21/2033 | 100,000 | 147,750 | |||||||||
Republic of Poland Senior Notes 5.13% due 04/21/2021 | 100,000 | 104,556 | |||||||||
Republic of Senegal Senior Notes 6.75% due 03/13/2048* | 200,000 | 178,808 | |||||||||
Republic of Serbia Senior Bonds 4.88% due 02/25/2020 | 200,000 | 202,554 | |||||||||
Republic of South Africa Senior Notes 5.65% due 09/27/2047 | 200,000 | 182,412 | |||||||||
Republic of South Africa Senior Notes 5.88% due 09/16/2025 | 200,000 | 203,220 | |||||||||
Republic of Sri Lanka Senior Notes 6.83% due 07/18/2026 | 250,000 | 245,411 | |||||||||
Republic of the Philippines Senior Notes 4.00% due 01/15/2021 | 170,000 | 172,853 | |||||||||
Republic of Turkey Senior Notes 7.00% due 06/05/2020 | 150,000 | 151,448 | |||||||||
Republic of Turkey Senior Bonds 11.88% due 01/15/2030 | 200,000 | 260,720 |
Security Description | Shares/ Principal Amount(7) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Russian Federation Senior Notes 4.75% due 05/27/2026 | $ | 200,000 | $ | 199,715 | |||||||
State of Qatar Senior Notes 4.50% due 01/20/2022 | 200,000 | 206,040 | |||||||||
State of Qatar Senior Notes 5.10% due 04/23/2048* | 600,000 | 624,000 | |||||||||
Sultanate of Oman Senior Notes 4.75% due 06/15/2026 | 200,000 | 189,760 | |||||||||
Sultanate of Oman Senior Notes 6.75% due 01/17/2048 | 200,000 | 194,524 | |||||||||
United Mexican States Senior Notes 4.35% due 01/15/2047 | 200,000 | 181,302 | |||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 100,000 | 95,550 | |||||||||
12,855,693 | |||||||||||
Total Foreign Government Obligations (cost $13,502,023) | 13,113,583 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
WMIH Corp.† | 1,989 | 2,765 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore Litigation Trust Class A†(11)(17) | 162 | 131 | |||||||||
Paragon Offshore Litigation Trust Class B†(11)(17) | 81 | 3,139 | |||||||||
3,270 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC†(8)(11)(17) | 11,973 | 37,715 | |||||||||
TE Holdcorp LLC, Class A†(8)(11)(17) | 2,426 | 2,547 | |||||||||
40,262 | |||||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(8)(11)(17) | 22 | 18,484 | |||||||||
Total Common Stocks (cost $126,741) | 64,781 | ||||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Entergy Louisiana LLC 4.70% | 7,606 | 173,037 | |||||||||
Telecom Services — 0.0% | |||||||||||
Qwest Corp. 6.13% | 9,010 | 202,995 | |||||||||
Total Preferred Securities (cost $415,371) | 376,032 |
274
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6% | |||||||||||
Banks-Commercial — 0.5% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 6.13% due 11/16/2027(14) | $ | 1,200,000 | $ | 1,078,500 | |||||||
Banco Bilbao Vizcaya Argentaria SA 8.88% due 04/14/2021(14) | EUR | 200,000 | 259,495 | ||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(14) | EUR | 400,000 | 458,615 | ||||||||
Banco de Sabadell SA 6.50% due 05/18/2022(14) | EUR | 400,000 | 468,184 | ||||||||
Caixa Geral de Depositos SA 10.75% due 03/30/2022(11)(14) | EUR | 200,000 | 262,397 | ||||||||
CaixaBank SA 6.75% due 06/13/2024(14) | EUR | 400,000 | 501,182 | ||||||||
Cooperatieve Rabobank UA 11.00% due 06/30/2019*(14) | 147,000 | 155,159 | |||||||||
Danske Bank A/S 5.88% due 04/06/2022(14) | EUR | 200,000 | 236,274 | ||||||||
DNB Bank ASA 6.50% due 03/26/2022(14) | 200,000 | 204,769 | |||||||||
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(14) | 825,000 | 795,102 | |||||||||
Intesa Sanpaolo SpA 7.75% due 01/11/2027(14) | EUR | 200,000 | 249,026 | ||||||||
Standard Chartered PLC 7.50% due 04/02/2022(14) | 405,000 | 416,137 | |||||||||
5,084,840 | |||||||||||
Banks-Fiduciary — 0.0% | |||||||||||
State Street Corp. FRS 3.33% (3 ML+1.00%) due 06/01/2077 | 300,000 | 268,500 | |||||||||
Banks-Money Center — 0.0% | |||||||||||
BBVA Bancomer SA 5.13% due 01/18/2033* | 200,000 | 181,750 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
Huntington Bancshares, Inc. Series E 5.70% due 04/15/2023(14) | 122,000 | 120,932 | |||||||||
Wells Fargo Capital X 5.95% due 12/01/2086 | 74,000 | 79,180 | |||||||||
200,112 | |||||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
Bank of Nova Scotia 4.65% due 10/12/2022(14) | 363,000 | 340,539 | |||||||||
Barclays PLC 7.88% due 03/15/2022(14) | 225,000 | 232,594 | |||||||||
BNP Paribas SA 5.13% due 11/15/2027*(14) | 285,000 | 255,075 | |||||||||
BNP Paribas SA 7.63% due 03/30/2021*(14) | 270,000 | 283,500 | |||||||||
Credit Agricole SA 8.13% due 12/23/2025*(14) | 925,000 | 1,017,474 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(14) | 1,535,000 | 1,513,894 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
HSBC Holdings PLC 6.00% due 05/22/2027(14) | $ | 981,000 | $ | 941,024 | |||||||
HSBC Holdings PLC 6.25% due 03/23/2023(14) | 400,000 | 398,500 | |||||||||
JPMorgan Chase & Co. Series CC 4.63% due 11/01/2022(14) | 293,000 | 276,925 | |||||||||
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(14) | 170,000 | 176,375 | |||||||||
Societe Generale SA 7.38% due 09/13/2021*(14) | 800,000 | 825,000 | |||||||||
UBS Group AG 6.88% due 03/22/2021(14) | 450,000 | 463,235 | |||||||||
UBS Group AG 7.00% due 02/19/2025(14) | 450,000 | 477,745 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(14) | EUR | 600,000 | 687,923 | ||||||||
UniCredit SpA 8.00% due 06/03/2024(14) | 400,000 | 376,408 | |||||||||
8,266,211 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Dominion Resources, Inc. 5.75% due 10/01/2054 | 109,000 | 113,431 | |||||||||
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 | 126,000 | 126,884 | |||||||||
Insurance-Life/Health — 0.1% | |||||||||||
Hanwha Life Insurance Co., Ltd. 4.70% due 04/23/2048* | 318,000 | 302,504 | |||||||||
Prudential Financial, Inc. 4.50% due 09/15/2047 | 77,000 | 71,032 | |||||||||
Prudential Financial, Inc. 5.63% due 06/15/2043 | 148,000 | 154,290 | |||||||||
527,826 | |||||||||||
Insurance-Multi-line — 0.1% | |||||||||||
Assurant, Inc. 7.00% due 03/27/2048 | 225,000 | 228,375 | |||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 167,000 | 177,020 | |||||||||
405,395 | |||||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer Partners LP 6.25% due 02/15/2023(14) | 149,000 | 143,412 | |||||||||
EnLink Midstream Partners LP 6.00% due 12/15/2022(14) | 124,000 | 112,104 | |||||||||
Enterprise Products Operating LLC 5.25% due 08/16/2077 | 96,000 | 89,462 |
275
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount(7) | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
TransCanada Trust 5.30% due 03/15/2077 | $ | 99,000 | $ | 94,174 | |||||||
TransCanada Trust 5.63% due 05/20/2075 | 73,000 | 71,540 | |||||||||
510,692 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. 5.75% due 12/15/2053 | 251,000 | 254,137 | |||||||||
Total Preferred Securities/Capital Securities (cost $15,831,693) | 15,939,784 | ||||||||||
OPTIONS — PURCHASED†(11)(20) — 0.0% | |||||||||||
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $335,094) | 22,290,000 | 336,844 | |||||||||
WARRANTS† — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC(8)(11))(17) Expires 03/30/2023 (cost $296) | 3,100 | 93 | |||||||||
Total Long-Term Investment Securities (cost $1,151,732,970) | 1,130,992,764 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.8% | |||||||||||
Foreign Government Obligations — 0.1% | |||||||||||
Government of Egypt Bills 16.77% due 03/05/2019 | EGP | 4,275,000 | 220,385 | ||||||||
Government of Egypt Bills 17.41% due 10/16/2018 | EGP | 11,075,000 | 614,211 | ||||||||
834,596 | |||||||||||
Registered Investment Companies — 0.7% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.97%(18) | 7,078,657 | 7,078,657 | |||||||||
Total Short-Term Investment Securities (cost $7,928,283) | 7,913,253 | ||||||||||
REPURCHASE AGREEMENTS — 1.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(19) | 2,270,000 | 2,270,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(19) | 755,000 | 755,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(19) | 4,310,000 | 4,310,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(19) | 800,000 | 800,000 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
RBS Securities, Inc. Joint Repurchase Agreement(19) | $ | 3,535,000 | $ | 3,535,000 | |||||||
Total Repurchase Agreements (cost $11,670,000) | 11,670,000 | ||||||||||
TOTAL INVESTMENTS (cost $1,171,331,253)(21) | 113.6 | % | 1,150,576,017 | ||||||||
Liabilities in excess of other assets | (13.6 | ) | (138,135,899 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 1,012,440,118 |
* 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 September 30, 2018, the aggregate value of these securities was $198,796,483 representing 19.6% 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 September 30, 2018.
(7) Denominated in United States dollars unless otherwise indicated.
(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 Fund/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 September 30, 2018, the aggregate value of these securities was $6,069,895 representing 0.6% of net assets.
(12) Principal amount of security is adjusted for inflation.
(13) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
276
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
(14) Perpetual maturity — maturity date reflects the next call date.
(15) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(16) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(17) 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 September 30, 2018, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks: | |||||||||||||||||||||||||||
Ascent Resources — Marcellus LLC | 03/30/2018 | 11,973 | $ | 36,240 | $ | 37,715 | $ | 3.15 | 0.00 | % | |||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 22 | 0 | 18,484 | 840.18 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class A | 07/11/2014 | 162 | 92 | 131 | 0.81 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class B | 07/14/2014 | 81 | 1,377 | 3,139 | 38.75 | 0.00 | |||||||||||||||||||||
TE Holdcorp. LLC, Class A | 09/18/2014 | 2,426 | 89,032 | 2,547 | 1.05 | 0.00 | |||||||||||||||||||||
Warrants: | |||||||||||||||||||||||||||
Ascent Resources — Marcellus LLC | 03/30/2018 | 3,100 | 296 | 93 | 0.03 | 0.00 | |||||||||||||||||||||
$ | 62,109 | 0.00 | % |
(18) The rate shown is the 7-day yield as of September 30, 2018.
(19) See Note 2 for details of Joint Repurchase Agreements.
(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 September 30, 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 05/31/2019 | Bank of America, N.A. | May 2019 | 3.20 | % | $ | 13,760 | $ | 213,968 | $ | 207,940 | $ | (6,028 | ) | ||||||||||||||||||
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 05/31/2019 | Goldman Sachs International | May 2019 | 3.20 | 8,530 | 121,126 | 128,904 | 7,778 | ||||||||||||||||||||||||
$ | 335,094 | $ | 336,844 | $ | 1,750 |
(21) 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 September 30, 2018 and unless otherwise, the dates shown are the original maturity dates.
277
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
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) | |||||||||||||||||||||
61 | Long | Canadian 10 Year Bonds | December 2018 | $ | 6,268,416 | $ | 6,263,167 | $ | (5,249 | ) | |||||||||||||||||
41 | Long | Long Gilt Future | December 2018 | 6,457,846 | 6,462,963 | 5,117 | |||||||||||||||||||||
156 | Short | U.S. Treasury 10 Year Notes | December 2018 | 18,726,867 | 18,529,875 | 196,992 | |||||||||||||||||||||
118 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2018 | 15,072,517 | 14,868,000 | 204,517 | |||||||||||||||||||||
221 | Long | U.S. Treasury 5 Year Notes | December 2018 | 25,034,961 | 24,857,320 | (177,641 | ) | ||||||||||||||||||||
80 | Long | U.S. Treasury Long Bonds | December 2018 | 11,549,943 | 11,240,000 | (309,943 | ) | ||||||||||||||||||||
11 | Short | U.S. Treasury Ultra Bonds | December 2018 | 1,743,315 | 1,697,094 | 46,221 | |||||||||||||||||||||
$ | (39,986 | ) |
* 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 | ||||||||||||||||||
HSBC Bank USA | EUR | 2,887,000 | USD | 3,401,573 | 10/31/2018 | $ | 42,031 | $ | — | ||||||||||||||
State Street Bank and Trust Co. | EUR | 384,000 | USD | 447,966 | 12/19/2018 | — | (800 | ) | |||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 42,031 | $ | (800 | ) |
EUR — Euro Currency
USD — United States Dollar
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 | 24,026 | 06/20/2028 | USD-LIBOR-BBA/Quarterly | 2.25%/Semi-annually | $ | 1,269,169 | $ | 476,073 | |||||||||||||||
USD | 4,835 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (105,737 | ) | 467,328 | ||||||||||||||||
$ | 1,163,432 | $ | 943,401 |
278
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)
Value(4) | |||||||||||||||||||||||||||
Reference Obligation | Fixed Deal (Pay) Rate | Termination Date | Implied Credit Spread at September 30, 2018(2) | Notional Amount (000's)(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Markit CDX Investment Grade Index | (1.00 | )% | 06/20/2023 | 0.55 | % | $ | 4,820 | $ | (72,422 | ) | $ | (22,993 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(1) If the 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 or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) 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.
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | — | $ | 153,626,141 | $ | 342,939 | $ | 153,969,080 | |||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Airlines | — | 1,147,736 | 12,158 | 1,159,894 | |||||||||||||||
Finance-Investment Banker/Broker | — | 188,484 | 23 | 188,507 | |||||||||||||||
Gambling (Non-Hotel) | — | 196,875 | 23 | 196,898 | |||||||||||||||
Other Industries | — | 270,850,555 | — | 270,850,555 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 59,118,636 | — | 59,118,636 | |||||||||||||||
U.S. Government Agencies | — | 240,178,205 | — | 240,178,205 | |||||||||||||||
U.S. Government Treasuries | — | 359,888,105 | — | 359,888,105 | |||||||||||||||
Municipal Bond & Notes | — | 3,047,560 | — | 3,047,560 | |||||||||||||||
Loans: | |||||||||||||||||||
Oil & Gas Drilling | — | — | 0 | 0 | |||||||||||||||
Other Industries | — | 12,564,207 | — | 12,564,207 | |||||||||||||||
Foreign Government Obligations | — | 13,113,583 | — | 13,113,583 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Oil Companies-Exploration & Production | — | — | 40,262 | 40,262 | |||||||||||||||
Television | — | — | 18,484 | 18,484 | |||||||||||||||
Other Industries | 2,765 | 3,270 | — | 6,035 | |||||||||||||||
Preferred Securities | 376,032 | — | — | 376,032 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 6 | 6 | |||||||||||||||
Other Industries | — | 15,939,778 | — | 15,939,778 |
279
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
Options — Purchased | $ | — | $ | 336,844 | $ | — | $ | 336,844 | |||||||||||
Warrants | — | — | 93 | 93 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Foreign Government Obligations | — | 834,596 | — | 834,596 | |||||||||||||||
Registered Investment Companies | 7,078,657 | — | — | 7,078,657 | |||||||||||||||
Repurchase Agreements | — | 11,670,000 | — | 11,670,000 | |||||||||||||||
Total Investments at Value | $ | 7,457,454 | $ | 1,142,704,575 | $ | 413,988 | $ | 1,150,576,017 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 452,847 | $ | — | $ | — | $ | 452,847 | |||||||||||
Forward Foreign Currency Contracts | — | 42,031 | — | 42,031 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 943,401 | — | 943,401 | |||||||||||||||
Total Other Financial Instruments | $ | 452,847 | $ | 985,432 | $ | — | $ | 1,438,279 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 492,833 | $ | — | $ | — | $ | 492,833 | |||||||||||
Forward Foreign Currency Contracts | — | 800 | — | 800 | |||||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection | — | 22,993 | — | 22,993 | |||||||||||||||
Total Other Financial Instruments | $ | 492,833 | $ | 23,793 | $ | — | $ | 516,626 |
* 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
280
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 38.5 | % | |||||
Sovereign | 37.9 | ||||||
United States Treasury Bonds | 13.3 | ||||||
Federal National Mtg. Assoc. | 11.7 | ||||||
Diversified Financial Services | 5.5 | ||||||
Repurchase Agreements | 0.9 | ||||||
Federal Home Loan Mtg. Corp. | 0.4 | ||||||
Airlines | 0.1 | ||||||
Theaters | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Research & Development | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
108.8 | % | ||||||
Credit Quality†# | |||||||
Aaa | 67.5 | % | |||||
Aa | 18.1 | ||||||
A | 2.3 | ||||||
Baa | 5.8 | ||||||
Ba | 0.1 | ||||||
B | 0.3 | ||||||
Caa | 0.2 | ||||||
Not Rated## | 5.7 | ||||||
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.
281
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS(1) — 37.9% | |||||||||||
Sovereign — 37.9% | |||||||||||
Federal Republic of Germany Bonds 0.10% due 04/15/2023 | EUR | 25,170,240 | $ | 31,348,235 | |||||||
Government of Australia Senior Notes 1.00% due 11/21/2018 | AUD | 6,244,830 | 4,507,495 | ||||||||
Government of Australia Senior Notes 3.00% due 09/20/2025 | AUD | 3,484,813 | 2,899,653 | ||||||||
Government of Australia Senior Notes 4.00% due 08/20/2020 | AUD | 19,160,960 | 14,761,937 | ||||||||
Government of Canada Bonds 2.00% due 12/01/2041 | CAD | 12,803,629 | 12,696,473 | ||||||||
Government of Canada Bonds 4.25% due 12/01/2021 | CAD | 14,384,981 | 12,447,048 | ||||||||
Government of France Bonds 0.10% due 03/01/2025 | EUR | 4,969,131 | 6,180,344 | ||||||||
Government of France Bonds 0.25% due 07/25/2024 | EUR | 14,789,031 | 18,728,033 | ||||||||
Government of France Bonds 1.10% due 07/25/2022 | EUR | 16,291,926 | 20,928,384 | ||||||||
Government of France Bonds 1.30% due 07/25/2019 | EUR | 11,446,337 | 13,660,720 | ||||||||
Government of France Bonds 2.10% due 07/25/2023 | EUR | 6,757,964 | 9,160,975 | ||||||||
Government of Japan Senior Bonds 0.10% due 03/10/2025 | JPY | 469,084,100 | 4,281,290 | ||||||||
Government of Japan Senior Bonds 0.10% due 03/10/2027 | JPY | 2,077,515,170 | 19,052,727 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2028 | JPY | 360,831,600 | 3,315,510 | ||||||||
Government of New Zealand Senior Notes 2.00% due 09/20/2025 | NZD | 2,477,568 | 1,735,987 | ||||||||
Government of Spain Senior Notes 0.55% due 11/30/2019* | EUR | 8,253,456 | 9,861,343 | ||||||||
Republic of Italy Senior Notes 2.35% due 09/15/2024* | EUR | 17,916,936 | 21,848,998 | ||||||||
Republic of Italy Senior Notes 2.60% due 09/15/2023 | EUR | 8,719,500 | 10,759,856 | ||||||||
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2024 | GBP | 9,063,678 | 13,215,414 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
United Kingdom Gilt Treasury Notes 0.13% due 03/22/2026 | GBP | 5,434,415 | $ | 8,145,539 | |||||||
United Kingdom Inflation Linked Gilt Treasury Bonds 1.88% due 11/22/2022 | GBP | 8,321,049 | 12,753,301 | ||||||||
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 04/16/2020 | GBP | 12,372,174 | 17,375,681 | ||||||||
United Kingdom Inflation Linked Gilt Treasury Bonds 2.50% due 07/17/2024 | GBP | 10,355,109 | 16,965,504 | ||||||||
Total Foreign Government Obligations (cost $296,559,296) | 286,630,447 | ||||||||||
U.S. GOVERNMENT AGENCIES — 12.1% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.4% | |||||||||||
Structured Agency Credit Risk FRS Series 2018-HQA1, Class M2 4.52% (1 ML+2.30%) due 09/25/2030(2) | 3,000,000 | 3,037,234 | |||||||||
Federal National Mtg. Assoc. — 11.7% | |||||||||||
3.50% due October TBA | 71,600,000 | 70,456,469 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C03, Class 1M2 4.37% (1 ML+2.15%) due 10/25/2030(2) | 3,715,000 | 3,762,840 | |||||||||
Series 2018-C02, Class 2M2 4.42% (1 ML+2.20%) due 08/25/2030(2) | 3,700,000 | 3,747,727 | |||||||||
Series 2018-C01, Class 1M2 4.47% (1 ML+2.25%) due 07/25/2030(2) | 3,500,000 | 3,579,780 | |||||||||
Series 2018-C05, Class 1M2 4.57% (1 ML+2.35%) due 01/25/2031(2) | 3,690,000 | 3,749,976 | |||||||||
Series 2018-C04, Class 2M2 4.77% (1 ML+2.55%) due 12/25/2030(2) | 3,500,000 | 3,580,991 | |||||||||
88,877,783 | |||||||||||
Total U.S. Government Agencies (cost $92,163,611) | 91,915,017 | ||||||||||
U.S. GOVERNMENT TREASURIES(1) — 51.8% | |||||||||||
United States Treasury Bonds — 13.3% | |||||||||||
2.38% due 01/15/2025 TIPS | 47,991,417 | 52,283,136 | |||||||||
2.50% due 01/15/2029 TIPS | 42,100,424 | 48,371,633 | |||||||||
100,654,769 | |||||||||||
United States Treasury Notes — 38.5% | |||||||||||
0.13% due 04/15/2019 TIPS(7) | 1,782,070 | 1,770,724 |
282
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes (continued) | |||||||||||
0.13% due 04/15/2021 TIPS | $ | 76,824,107 | $ | 75,236,609 | |||||||
0.13% due 01/15/2022 TIPS | 484,338 | 472,345 | |||||||||
0.13% due 07/15/2024 TIPS | 40,785,466 | 39,177,878 | |||||||||
0.25% due 01/15/2025 TIPS | 12,111,171 | 11,620,235 | |||||||||
0.38% due 07/15/2025 TIPS | 40,870,288 | 39,559,033 | |||||||||
0.50% due 01/15/2028 TIPS | 32,524,228 | 31,208,436 | |||||||||
0.63% due 07/15/2021 TIPS | 36,670,982 | 36,573,338 | |||||||||
0.63% due 01/15/2024 TIPS | 20,040,142 | 19,770,716 | |||||||||
0.63% due 01/15/2026 TIPS | 24,559,851 | 24,027,081 | |||||||||
0.75% due 07/15/2028 TIPS | 12,002,103 | 11,808,319 | |||||||||
291,224,714 | |||||||||||
Total U.S. Government Treasuries (cost $402,265,883) | 391,879,483 | ||||||||||
ASSET BACKED SECURITIES — 5.5% | |||||||||||
Diversified Financial Services — 5.5% | |||||||||||
Atlas Senior Loan Fund, Ltd. FRS Series 2018-9A, Class A 3.22% (3 ML+0.87%) due 04/20/2028* | 3,700,000 | 3,674,636 | |||||||||
Atrium XIII FRS Series 13A, Class A1 3.53% (3 ML+1.18%) due 11/21/2030* | 3,700,000 | 3,701,913 | |||||||||
Bear Stearns ARM Trust VRS Series 2005-6, Class 3A1 4.38% due 08/25/2035(2)(3) | 1,785,670 | 1,788,757 | |||||||||
BlueMountain CLO, Ltd. FRS Series 2013-2A, Class A1R 3.53% (3 ML+1.18%) due 10/22/2030* | 3,700,000 | 3,701,687 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 3.34% (3 ML+1.00%) due 01/15/2031* | 2,000,000 | 1,988,782 | |||||||||
CSMC Trust Series 2018-RPL8, Class A1 4.13% due 07/25/2058* | 1,548,000 | 1,542,283 | |||||||||
Dryden Senior Loan Fund FRS Series 2013-26A, Class AR 3.25% (3 ML+0.90%) due 04/15/2029* | 3,700,000 | 3,672,783 | |||||||||
Dryden Senior Loan Fund FRS Series 2015-41A, Class AR 3.31% (3 ML+0.97%) due 04/15/2031* | 3,700,000 | 3,672,920 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Dryden Senior Loan Fund FRS Series 2015-37A, Class AR 3.44% (3 ML+1.10%) due 01/15/2031* | $ | 2,500,000 | $ | 2,499,677 | |||||||
LCM XX LP FRS Series –20A, Class AR 3.38% (3 ML+1.04%) due 10/20/2027* | 1,625,000 | 1,625,000 | |||||||||
Magnetite VII, Ltd. FRS Series 2012-7A, Class A1R2 3.14% (3 ML+0.80%) due 01/15/2028* | 2,000,000 | 1,984,228 | |||||||||
Neuberger Berman CLO XIX, Ltd. FRS Series 2015-19A, Class A1R2 3.14% (3 ML+0.80%) due 07/15/2027* | 2,500,000 | 2,495,660 | |||||||||
Sounds Point CLO IV-R, Ltd. FRS Series 2013-3RA, Class A 3.65% (3 ML+1.15%) due 04/18/2031* | 3,700,000 | 3,694,128 | |||||||||
Venture CLO, Ltd. FRS Series 2018-34A, Class A 3.55% (3 ML+1.23%) due 10/15/2031* | 3,040,000 | 3,040,000 | |||||||||
Venture CLO, Ltd. FRS Series 2017-29A, Class A 3.59% (3 ML+1.28%) due 09/07/2030* | 1,110,000 | 1,112,155 | |||||||||
VOLT LLC VRS Series 2018-NPL6, Class A1A 4.11% due 09/25/2048*(3) | 1,270,000 | 1,269,495 | |||||||||
Total Asset Backed Securities (cost $41,549,412) | 41,464,104 | ||||||||||
LOANS(4)(5)(6) — 0.6% | |||||||||||
Airlines — 0.1% | |||||||||||
American Airlines, Inc. FRS BTL coupon TBD due 10/10/2021 | 900,000 | 899,578 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Starfruit Finco BV FRS BTL-B coupon TBD due 09/20/2025 | EUR | 100,000 | 117,092 | ||||||||
Starfruit Finco BV FRS coupon TBD due 09/20/2025 | EUR | 130,000 | 130,522 | ||||||||
247,614 | |||||||||||
Food-Catering — 0.0% | |||||||||||
8th Avenue Food & Provisions, Inc. FRS 1st Lien coupon TBD due 09/20/2025 | 150,000 | 151,188 |
283
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Security Description | Shares/ Principal Amount(13) | Value (Note 2) | |||||||||
LOANS(4)(5)(6) (continued) | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Financial & Risk Holdings, Inc. FRS BTL 6.00% (1ML+3.75%) due 09/17/2025 | $ | 315,000 | $ | 314,269 | |||||||
Leisure Products — 0.0% | |||||||||||
Hayward Industries, Inc. FRS BTL-B coupon TBD due 08/04/2024 | 145,000 | 145,816 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Delta 2 Lux SARL FRS BTL-B 4.74% (1 ML+2.50) due 02/01/2024 | EUR | 750,000 | 743,437 | ||||||||
Pipelines — 0.0% | |||||||||||
Traverse Midstream Partners LLC FRS BTL-B 6.60% (3 ML+4.00) due 09/27/2024 | 100,000 | 100,536 | |||||||||
Research & Development — 0.1% | |||||||||||
PAREXEL International Corp. FRS BTL-B 4.99% (1 ML+2.75) due 09/27/2024 | 500,000 | 496,719 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Ciena Corp. FRS BTL-B coupon TBD due 09/20/2025 | 680,000 | 682,125 | |||||||||
Theaters — 0.1% | |||||||||||
Cineworld, Ltd. FRS BTL-B 4.74% (1 ML+2.50) due 02/28/2025 | 750,000 | 748,645 | |||||||||
Web Hosting/Design — 0.0% | |||||||||||
WEB.COM Group, Inc. FRS BTL-B coupon TBD due 09/14/2025 | 295,000 | 296,726 | |||||||||
Total Loans (cost $4,821,835) | 4,826,653 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Quad/Graphics, Inc. | 56 | 1,167 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(8)(9)(10) | 233 | 195,762 | |||||||||
Total Common Stocks (cost $2) | 196,929 | ||||||||||
Total Long-Term Investment Securities (cost $837,360,039) | 816,912,633 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.9% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(11) | $ | 1,255,000 | $ | 1,255,000 | |||||||
Barclays Capital, Inc. Joint Repurchase Agreement(11) | 415,000 | 415,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(11) | 2,385,000 | 2,385,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(11) | 440,000 | 440,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(11) | 1,950,000 | 1,950,000 | |||||||||
Total Repurchase Agreements (cost $6,445,000) | 6,445,000 | ||||||||||
TOTAL INVESTMENTS (cost $843,805,039)(12) | 108.8 | % | 823,357,633 | ||||||||
Liabilities in excess of other assets | (8.8 | ) | (66,308,410 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 757,049,223 |
* 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 September 30, 2018, the aggregate value of these securities was $71,385,688 representing 9.4% 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) Collateralized Mortgage 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) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(5) 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.
(6) 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.
284
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
(7) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(8) Illiquid security. At September 30, 2018, the aggregate value of this security was $195,762 representing 0.0% of net assets.
(9) Securities classified as Level 3 (see Note 2).
(I0) 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 September 30, 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 | $ | 195,762 | $ | 840.18 | 0.03 | % |
(11) See Note 2 for details of Joint Repurchase Agreements.
(12) See Note 4 for cost of investments on a tax basis.
(13) Denominated in United States dollars unless otherwise indicated
AUD — Australian Dollar
BTL — Bank Term Loan
CAD — Canadian Dollar
CLO — Collateralized Loan Obligation
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
NZD — New Zealand Dollar
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 September 30, 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
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
90 | Long | Canadian 10 Year Bonds | December 2018 | $ | 9,248,366 | $ | 9,240,739 | $ | (7,627 | ) | |||||||||||||||||
59 | Long | Long Gilt Future | December 2018 | 9,291,575 | 9,300,361 | 8,786 | |||||||||||||||||||||
87 | Short | U.S. Treasury 10 Year Notes | December 2018 | 10,443,654 | 10,333,969 | 109,685 | |||||||||||||||||||||
131 | Short | U.S. Treasury 10 Year Ultra Notes | December 2018 | 16,699,276 | 16,506,000 | 193,276 | |||||||||||||||||||||
85 | Short | U.S. Treasury Ultra Bonds | December 2018 | 13,553,736 | 13,113,906 | 439,830 | |||||||||||||||||||||
$ | 743,950 |
* 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.
285
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
HSBC Bank USA | EUR | 123,172,519 | USD | 145,126,542 | 10/31/2018 | $ | 1,793,229 | $ | — | ||||||||||||||
Morgan Stanley and Co., International PLC | GBP | 52,750,000 | USD | 69,468,585 | 10/31/2018 | 625,912 | — | ||||||||||||||||
JPY | 3,068,383,000 | USD | 27,317,009 | 10/31/2018 | 254,779 | — | |||||||||||||||||
880,691 | — | ||||||||||||||||||||||
State Street Bank and Trust Co. | AUD | 30,870,000 | USD | 22,395,876 | 10/31/2018 | 77,450 | — | ||||||||||||||||
CAD | 32,923,000 | USD | 25,446,215 | 10/31/2018 | — | (59,716 | ) | ||||||||||||||||
NZD | 2,607,000 | USD | 1,734,580 | 10/31/2018 | 6,237 | — | |||||||||||||||||
83,687 | (59,716 | ) | |||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 2,757,607 | $ | (59,716 | ) |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | — | $ | 286,630,447 | $ | — | $ | 286,630,447 | |||||||||||
U.S. Government Agencies | — | 91,915,017 | — | 91,915,017 | |||||||||||||||
U.S. Government Treasuries | — | 391,879,483 | — | 391,879,483 | |||||||||||||||
Asset Backed Securities | — | 41,464,104 | — | 41,464,104 | |||||||||||||||
Loans | — | 4,826,653 | — | 4,826,653 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Printing-Commercial | 1,167 | — | — | 1,167 | |||||||||||||||
Television | — | — | 195,762 | 195,762 | |||||||||||||||
Repurchase Agreements | — | 6,445,000 | — | 6,445,000 | |||||||||||||||
Total Investments at Value | $ | 1,167 | $ | 823,160,704 | $ | 195,762 | $ | 823,357,633 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 751,577 | $ | — | $ | — | $ | 751,577 | |||||||||||
Forward Foreign Currency Contracts | — | 2,757,607 | — | 2,757,607 | |||||||||||||||
Total Other Financial Instruments | $ | 751,577 | $ | 2,757,607 | $ | $ | 3,509,184 | ||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 7,627 | $ | — | $ | — | $ | 7,627 | |||||||||||
Forward Foreign Currency Contracts | — | 59,716 | — | 59,716 | |||||||||||||||
Total Other Financial Instruments | $ | 7,627 | $ | 59,716 | $ | — | $ | 67,343 |
* 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 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
286
Seasons Series Trust SA Columbia Focused Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Medical-Biomedical/Gene | 14.0 | % | |||||
E-Commerce/Products | 8.7 | ||||||
Applications Software | 7.5 | ||||||
E-Commerce/Services | 7.2 | ||||||
Repurchase Agreements | 4.2 | ||||||
Finance-Credit Card | 3.9 | ||||||
Internet Content-Entertainment | 3.9 | ||||||
Electronic Components-Semiconductors | 3.8 | ||||||
Computer Software | 3.6 | ||||||
Commercial Services-Finance | 3.4 | ||||||
Entertainment Software | 3.4 | ||||||
Electronic Forms | 3.2 | ||||||
Medical-Drugs | 3.1 | ||||||
Industrial Automated/Robotic | 2.8 | ||||||
Aerospace/Defense | 2.7 | ||||||
Schools | 2.6 | ||||||
Medical Instruments | 2.5 | ||||||
Decision Support Software | 2.4 | ||||||
Athletic Footwear | 2.4 | ||||||
Medical-HMO | 2.4 | ||||||
Finance-Investment Banker/Broker | 2.3 | ||||||
Diagnostic Kits | 2.2 | ||||||
Banks-Commercial | 2.1 | ||||||
Retail-Discount | 2.1 | ||||||
Oil Companies-Exploration & Production | 2.0 | ||||||
Retail-Perfume & Cosmetics | 1.9 | ||||||
100.3 | % |
* Calculated as a percentage of net assets
287
Seasons Series Trust SA Columbia Focused Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.1% | |||||||||||
Aerospace/Defense — 2.7% | |||||||||||
Northrop Grumman Corp. | 9,194 | $ | 2,917,900 | ||||||||
Applications Software — 7.5% | |||||||||||
salesforce.com, Inc.† | 25,599 | 4,071,009 | |||||||||
ServiceNow, Inc.† | 21,340 | 4,174,744 | |||||||||
8,245,753 | |||||||||||
Athletic Footwear — 2.4% | |||||||||||
NIKE, Inc., Class B | 30,712 | 2,601,921 | |||||||||
Banks-Commercial — 2.1% | |||||||||||
First Republic Bank | 24,458 | 2,347,968 | |||||||||
Commercial Services-Finance — 3.4% | |||||||||||
PayPal Holdings, Inc.† | 43,116 | 3,787,309 | |||||||||
Computer Software — 3.6% | |||||||||||
Splunk, Inc.† | 32,362 | 3,912,889 | |||||||||
Decision Support Software — 2.4% | |||||||||||
MSCI, Inc. | 14,676 | 2,603,669 | |||||||||
Diagnostic Kits — 2.2% | |||||||||||
IDEXX Laboratories, Inc.† | 9,481 | 2,367,027 | |||||||||
E-Commerce/Products — 8.7% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 26,325 | 4,337,307 | |||||||||
Amazon.com, Inc.† | 2,615 | 5,237,845 | |||||||||
9,575,152 | |||||||||||
E-Commerce/Services — 7.2% | |||||||||||
Booking Holdings, Inc.† | 1,803 | 3,577,152 | |||||||||
Ctrip.com International, Ltd. ADR† | 68,784 | 2,556,701 | |||||||||
MercadoLibre, Inc. | 5,312 | 1,808,577 | |||||||||
7,942,430 | |||||||||||
Electronic Components-Semiconductors — 3.8% | |||||||||||
NVIDIA Corp. | 14,667 | 4,121,720 | |||||||||
Electronic Forms — 3.2% | |||||||||||
Adobe Systems, Inc.† | 13,029 | 3,517,179 | |||||||||
Entertainment Software — 3.4% | |||||||||||
Activision Blizzard, Inc. | 45,338 | 3,771,668 | |||||||||
Finance-Credit Card — 3.9% | |||||||||||
Visa, Inc., Class A | 28,580 | 4,289,572 | |||||||||
Finance-Investment Banker/Broker — 2.3% | |||||||||||
Charles Schwab Corp. | 50,693 | 2,491,561 | |||||||||
Industrial Automated/Robotic — 2.8% | |||||||||||
Cognex Corp. | 55,606 | 3,103,927 | |||||||||
Internet Content-Entertainment — 3.9% | |||||||||||
Facebook, Inc., Class A† | 25,785 | 4,240,601 | |||||||||
Medical Instruments — 2.5% | |||||||||||
Edwards Lifesciences Corp.† | 15,680 | 2,729,888 | |||||||||
Medical-Biomedical/Gene — 14.0% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 25,579 | 3,555,737 | |||||||||
Celgene Corp.† | 34,430 | 3,081,140 | |||||||||
Exact Sciences Corp.† | 18,410 | 1,452,917 | |||||||||
Illumina, Inc.† | 9,547 | 3,504,322 | |||||||||
Vertex Pharmaceuticals, Inc.† | 19,581 | 3,774,042 | |||||||||
15,368,158 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Medical-Drugs — 3.1% | |||||||||||
Bristol-Myers Squibb Co. | 55,110 | $ | 3,421,229 | ||||||||
Medical-HMO — 2.4% | |||||||||||
UnitedHealth Group, Inc. | 9,768 | 2,598,679 | |||||||||
Oil Companies-Exploration & Production — 2.0% | |||||||||||
Pioneer Natural Resources Co. | 12,455 | 2,169,536 | |||||||||
Retail-Discount — 2.1% | |||||||||||
Costco Wholesale Corp. | 9,974 | 2,342,693 | |||||||||
Retail-Perfume & Cosmetics — 1.9% | |||||||||||
Ulta Beauty, Inc.† | 7,557 | 2,131,981 | |||||||||
Schools — 2.6% | |||||||||||
New Oriental Education & Technology Group, Inc. ADR† | 38,278 | 2,832,955 | |||||||||
Total Long-Term Investment Securities (cost $71,007,033) | 105,433,365 | ||||||||||
REPURCHASE AGREEMENTS — 4.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42% dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $4,567,160 and collateralized by $4,690,000 of United States Treasury Bonds, bearing interest at 3.13% due 02/15/2043 and having an approximate value of $4,660,270. (cost $4,567,000) | $ | 4,567,000 | 4,567,000 | ||||||||
TOTAL INVESTMENTS (cost $75,574,033)(1) | 100.3 | % | 110,000,365 | ||||||||
Liabilities in excess of other assets | (0.3 | ) | (337,205 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 109,663,160 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
288
Seasons Series Trust SA Columbia Focused Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 105,433,365 | $ | — | $ | — | $ | 105,433,365 | |||||||||||
Repurchase Agreements | — | 4,567,000 | — | 4,567,000 | |||||||||||||||
Total Investments at Value | $ | 105,433,365 | $ | 4,567,000 | $ | — | $ | 110,000,365 |
* 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
289
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 13.8 | % | |||||
Electric-Integrated | 5.2 | ||||||
Transport-Rail | 5.0 | ||||||
Tobacco | 4.5 | ||||||
Telephone-Integrated | 4.2 | ||||||
Chemicals-Diversified | 4.2 | ||||||
Medical-HMO | 3.8 | ||||||
Oil-Field Services | 3.8 | ||||||
Oil Refining & Marketing | 3.7 | ||||||
Oil Companies-Exploration & Production | 3.6 | ||||||
Food-Meat Products | 3.4 | ||||||
Medical-Drugs | 3.4 | ||||||
Instruments-Controls | 3.3 | ||||||
Electronic Components-Misc. | 3.2 | ||||||
Banks-Super Regional | 3.0 | ||||||
Medical Products | 2.9 | ||||||
Retail-Building Products | 2.9 | ||||||
Insurance-Multi-line | 2.8 | ||||||
Retail-Catalog Shopping | 2.8 | ||||||
Semiconductor Equipment | 2.7 | ||||||
Aerospace/Defense-Equipment | 2.7 | ||||||
Computer Services | 2.5 | ||||||
Insurance-Life/Health | 2.5 | ||||||
Pharmacy Services | 2.4 | ||||||
Oil Companies-Integrated | 2.2 | ||||||
Semiconductor Components-Integrated Circuits | 2.2 | ||||||
Pipelines | 1.9 | ||||||
Repurchase Agreements | 1.7 | ||||||
100.3 | % |
* Calculated as a percentage of net assets
290
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.6% | |||||||||||
Aerospace/Defense-Equipment — 2.7% | |||||||||||
United Technologies Corp. | 63,000 | $ | 8,808,030 | ||||||||
Banks-Super Regional — 3.0% | |||||||||||
Wells Fargo & Co. | 185,000 | 9,723,600 | |||||||||
Chemicals-Diversified — 4.2% | |||||||||||
FMC Corp. | 157,000 | 13,687,260 | |||||||||
Computer Services — 2.5% | |||||||||||
Teradata Corp.† | 222,000 | 8,371,620 | |||||||||
Diversified Banking Institutions — 13.8% | |||||||||||
Bank of America Corp. | 400,000 | 11,784,000 | |||||||||
Citigroup, Inc. | 160,000 | 11,478,400 | |||||||||
JPMorgan Chase & Co. | 117,000 | 13,202,280 | |||||||||
Morgan Stanley | 190,000 | 8,848,300 | |||||||||
45,312,980 | |||||||||||
Electric-Integrated — 5.2% | |||||||||||
AES Corp. | 670,000 | 9,380,000 | |||||||||
NextEra Energy, Inc. | 45,500 | 7,625,800 | |||||||||
17,005,800 | |||||||||||
Electronic Components-Misc. — 3.2% | |||||||||||
Corning, Inc. | 301,200 | 10,632,360 | |||||||||
Food-Meat Products — 3.4% | |||||||||||
Tyson Foods, Inc., Class A | 189,769 | 11,296,949 | |||||||||
Instruments-Controls — 3.3% | |||||||||||
Honeywell International, Inc. | 65,000 | 10,816,000 | |||||||||
Insurance-Life/Health — 2.5% | |||||||||||
Unum Group | 206,000 | 8,048,420 | |||||||||
Insurance-Multi-line — 2.8% | |||||||||||
MetLife, Inc. | 200,000 | 9,344,000 | |||||||||
Medical Products — 2.9% | |||||||||||
Baxter International, Inc. | 124,000 | 9,559,160 | |||||||||
Medical-Drugs — 3.4% | |||||||||||
Bristol-Myers Squibb Co. | 179,000 | 11,112,320 | |||||||||
Medical-HMO — 3.8% | |||||||||||
Humana, Inc. | 37,000 | 12,525,240 | |||||||||
Oil Companies-Exploration & Production — 3.6% | |||||||||||
Anadarko Petroleum Corp. | 175,000 | 11,796,750 | |||||||||
Oil Companies-Integrated — 2.2% | |||||||||||
Chevron Corp. | 59,204 | 7,239,465 | |||||||||
Oil Refining & Marketing — 3.7% | |||||||||||
Marathon Petroleum Corp. | 90,000 | 7,197,300 | |||||||||
Valero Energy Corp. | 43,800 | 4,982,250 | |||||||||
12,179,550 | |||||||||||
Oil-Field Services — 3.8% | |||||||||||
Halliburton Co. | 163,500 | 6,626,655 | |||||||||
TechnipFMC PLC | 185,000 | 5,781,250 | |||||||||
12,407,905 | |||||||||||
Pharmacy Services — 2.4% | |||||||||||
Express Scripts Holding Co.† | 84,000 | 7,980,840 | |||||||||
Pipelines — 1.9% | |||||||||||
Williams Cos., Inc. | 231,500 | 6,294,485 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Retail-Building Products — 2.9% | |||||||||||
Lowe's Cos., Inc. | 82,800 | $ | 9,507,096 | ||||||||
Retail-Catalog Shopping — 2.8% | |||||||||||
Qurate Retail Group, Inc.† | 411,100 | 9,130,531 | |||||||||
Semiconductor Components-Integrated Circuits — 2.2% | |||||||||||
QUALCOMM, Inc. | 99,384 | 7,158,629 | |||||||||
Semiconductor Equipment — 2.7% | |||||||||||
Applied Materials, Inc. | 228,850 | 8,845,052 | |||||||||
Telephone-Integrated — 4.2% | |||||||||||
Verizon Communications, Inc. | 257,000 | 13,721,230 | |||||||||
Tobacco — 4.5% | |||||||||||
Altria Group, Inc. | 108,312 | 6,532,297 | |||||||||
Philip Morris International, Inc. | 100,000 | 8,154,000 | |||||||||
14,686,297 | |||||||||||
Transport-Rail — 5.0% | |||||||||||
CSX Corp. | 160,000 | 11,848,000 | |||||||||
Union Pacific Corp. | 27,100 | 4,412,693 | |||||||||
16,260,693 | |||||||||||
Total Long-Term Investment Securities (cost $238,927,307) | 323,452,262 | ||||||||||
REPURCHASE AGREEMENTS — 1.7% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.42% dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $5,608,196 and collateralized by $5,760,000 of United States Treasury Bonds, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $5,720,786. (cost $5,608,000) | $ | 5,608,000 | 5,608,000 | ||||||||
TOTAL INVESTMENTS (cost $244,535,307)(1) | 100.3 | % | 329,060,262 | ||||||||
Liabilities in excess of other assets | (0.3 | ) | (888,368 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 328,171,894 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
291
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 323,452,262 | $ | — | $ | — | $ | 323,452,262 | |||||||||||
Repurchase Agreements | — | 5,608,000 | — | 5,608,000 | |||||||||||||||
Total Investments at Value | $ | 323,452,262 | $ | 5,608,000 | $ | — | $ | 329,060,262 |
* 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 Allocation Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 60.9 | % | |||||
Domestic Fixed Income Investment Companies | 20.3 | ||||||
International Equity Investment Companies | 18.8 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
293
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 60.9% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 809,316 | $ | 14,171,122 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 892,500 | 15,841,877 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 92,609 | 1,965,154 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 136,442 | 2,416,384 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 141,127 | 2,221,338 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 88,961 | 4,620,656 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 34,650 | 851,359 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 106,407 | 1,173,672 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 192,290 | 7,318,569 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 107,915 | 2,279,175 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1† | 137,693 | 2,347,673 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 422,539 | 10,407,127 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1† | 138,221 | 2,217,069 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 126,571 | 3,004,787 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 407,185 | 6,136,283 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 193,882 | 2,324,640 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 225,363 | 5,460,547 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 364,731 | 4,595,613 | |||||||||
Total Domestic Equity Investment Companies (cost $79,783,954) | 89,353,045 | ||||||||||
Domestic Fixed Income Investment Companies — 20.3% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 152,849 | 2,265,223 | |||||||||
Seasons Series Trust SA Multi -Managed Diversified Fixed Income Portfolio, Class 1 | 499,757 | 5,747,210 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 386,519 | 3,741,503 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | 65,513 | 698,367 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 155,268 | 2,066,614 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 602,405 | $ | 6,066,220 | ||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 572,881 | 5,648,604 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 312,253 | 2,750,952 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 152,931 | 894,648 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $30,251,431) | 29,879,341 | ||||||||||
International Equity Investment Companies — 18.8% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,358,912 | 13,140,676 | |||||||||
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1† | 116,796 | 1,632,805 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 316,494 | 3,598,538 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 310,667 | 2,553,687 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 406,057 | 4,373,233 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 215,710 | 2,301,622 | |||||||||
Total International Equity Investment Companies (cost $26,549,238) | 27,600,561 | ||||||||||
TOTAL INVESTMENTS (cost $136,584,623)(2) | 100.0 | % | 146,832,947 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (67,563 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 146,765,384 |
# 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
† Non-income producing security
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
294
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 146,832,947 | $ | — | $ | — | $ | 146,832,947 |
* 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 Moderate Growth Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 50.5 | % | |||||
Domestic Fixed Income Investment Companies | 34.9 | ||||||
International Equity Investment Companies | 14.6 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
296
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 50.5% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 2,235,702 | $ | 39,147,148 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 2,449,220 | 43,473,654 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 230,368 | 4,888,400 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 388,009 | 6,871,647 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 376,593 | 5,927,569 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 260,607 | 13,535,908 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 121,059 | 2,974,426 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 302,269 | 3,334,022 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 536,591 | 20,422,663 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 274,797 | 5,803,721 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1† | 397,479 | 6,777,015 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 1,254,681 | 30,902,799 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1† | 396,564 | 6,360,883 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 374,854 | 8,899,040 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 1,255,145 | 18,915,035 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 254,804 | 3,055,105 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 625,958 | 15,166,973 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 1,027,394 | 12,945,167 | |||||||||
Total Domestic Equity Investment Companies (cost $215,513,517) | 249,401,175 | ||||||||||
Domestic Fixed Income Investment Companies — 34.9% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 863,589 | 12,798,382 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 5,261,046 | 60,502,027 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 2,195,931 | 21,256,613 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | 452,334 | $ | 4,821,877 | ||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 941,307 | 12,528,796 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 1,827,450 | 18,402,421 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 1,770,470 | 17,456,832 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,208,985 | 19,461,158 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 843,381 | 4,933,778 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $174,734,865) | 172,161,884 | ||||||||||
International Equity Investment Companies — 14.6% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 3,479,775 | 33,649,424 | |||||||||
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1† | 292,736 | 4,092,446 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 888,223 | 10,099,097 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 767,994 | 6,312,913 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 1,132,880 | 12,201,113 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 530,779 | 5,663,418 | |||||||||
Total International Equity Investment Companies (cost $67,104,164) | 72,018,411 | ||||||||||
TOTAL INVESTMENTS (cost $457,352,546)(2) | 100.0 | % | 493,581,470 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (194,064 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 493,387,406 |
# 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
† 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 Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 493,581,470 | $ | — | $ | — | $ | 493,581,470 |
* 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 Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 44.8 | % | |||||
Domestic Equity Investment Companies | 44.5 | ||||||
International Equity Investment Companies | 10.7 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
299
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 44.5% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,315,391 | $ | 23,032,494 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,362,099 | 24,177,257 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 128,685 | 2,730,687 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 221,484 | 3,922,490 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 207,085 | 3,259,521 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 141,889 | 7,369,736 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 49,796 | 1,223,484 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 155,229 | 1,712,177 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 290,758 | 11,066,263 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 155,320 | 3,280,353 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1† | 197,948 | 3,375,004 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 663,439 | 16,340,512 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1† | 197,613 | 3,169,713 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 195,974 | 4,652,421 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 660,930 | 9,960,216 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 115,021 | 1,379,106 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 361,520 | 8,759,633 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 638,827 | 8,049,220 | |||||||||
Total Domestic Equity Investment Companies (cost $119,187,730) | 137,460,287 | ||||||||||
Domestic Fixed Income Investment Companies — 44.8% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 674,930 | 10,002,464 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 4,190,802 | 48,194,227 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,719,356 | 16,643,365 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | 281,789 | 3,003,871 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 764,373 | $ | 10,173,804 | ||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 1,589,149 | 16,002,725 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 1,550,768 | 15,290,572 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,727,082 | 15,215,590 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 680,919 | 3,983,378 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $140,833,506) | 138,509,996 | ||||||||||
International Equity Investment Companies — 10.7% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,805,179 | 17,456,080 | |||||||||
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1† | 145,984 | 2,040,855 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 134,176 | 1,525,585 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 407,295 | 3,347,966 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 548,773 | 5,910,283 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 266,466 | 2,843,190 | |||||||||
Total International Equity Investment Companies (cost $30,916,971) | 33,123,959 | ||||||||||
TOTAL INVESTMENTS (cost $290,938,207)(2) | 100.0 | % | 309,094,242 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (126,653 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 308,967,589 |
# 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.
† 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 Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 309,094,242 | $ | — | $ | — | $ | 309,094,242 |
* 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 Balanced Portfolio
PORTFOLIO PROFILE — September 30, 2018 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 59.5 | % | |||||
Domestic Equity Investment Companies | 32.3 | ||||||
International Equity Investment Companies | 8.2 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
302
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 32.3% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 672,834 | $ | 11,781,324 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 720,286 | 12,785,073 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 68,510 | 1,453,775 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 111,841 | 1,980,701 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 112,979 | 1,778,289 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 75,154 | 3,903,517 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1† | 22,776 | 559,611 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 88,361 | 974,617 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 157,747 | 6,003,832 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 85,679 | 1,809,546 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1† | 110,647 | 1,886,534 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 322,529 | 7,943,881 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1† | 110,539 | 1,773,044 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 109,666 | 2,603,483 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 329,312 | 4,962,730 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 58,892 | 706,114 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 195,765 | 4,743,378 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 358,485 | 4,516,910 | |||||||||
Total Domestic Equity Investment Companies (cost $62,966,385) | 72,166,359 | ||||||||||
Domestic Fixed Income Investment Companies — 59.5% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 648,048 | 9,604,070 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 4,384,292 | 50,419,359 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,710,786 | 16,560,412 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | 300,085 | 3,198,904 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 735,439 | 9,788,696 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1† | 1,314,829 | $ | 13,240,325 | ||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1† | 1,231,638 | 12,143,954 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,667,430 | 14,690,054 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 612,562 | 3,583,487 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $135,522,834) | 133,229,261 | ||||||||||
International Equity Investment Companies — 8.2% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 956,639 | 9,250,697 | |||||||||
SunAmerica Series Trust SA Emerging Market Equity Index, Class 1† | 74,191 | 1,037,195 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 141,671 | 1,610,803 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 176,068 | 1,447,277 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 314,397 | 3,386,058 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 156,970 | 1,674,875 | |||||||||
Total International Equity Investment Companies (cost $17,154,353) | 18,406,905 | ||||||||||
TOTAL INVESTMENTS (cost $215,643,572)(2) | 100.0 | % | 223,802,525 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (96,013 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 223,706,512 |
# 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.
† 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 Balanced Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2018 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 223,802,525 | $ | — | $ | — | $ | 223,802,525 |
* 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
304
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2018 (unaudited)
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)* | $ | 56,425,710 | $ | 96,666,300 | $ | 69,559,736 | $ | 60,040,046 | $ | 164,906,926 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 380,000 | 1,920,000 | 1,880,000 | 1,320,000 | 3,023,000 | ||||||||||||||||||
Cash | 593,695 | 1,064,655 | 37,179 | 54,990 | — | ||||||||||||||||||
Foreign cash* | 93 | 205 | 228 | 252 | 85,063 | ||||||||||||||||||
Cash collateral for futures contracts | — | 59,958 | — | — | — | ||||||||||||||||||
Due from broker | 15,051 | — | — | — | 1,484 | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 2,070 | 148 | 72,917 | 4,544 | 36,140 | ||||||||||||||||||
Dividends and interest | 120,203 | 254,788 | 261,863 | 266,592 | 458,446 | ||||||||||||||||||
Investments sold | 535,805 | 667,550 | 328,863 | 157,270 | 1,132,417 | ||||||||||||||||||
Investments sold on an extended settlement basis | 261,891 | 1,452,758 | 2,440,086 | 370,898 | 26,047 | ||||||||||||||||||
Receipts on swap contracts | 93 | 243 | 282 | 208 | 14,794 | ||||||||||||||||||
Prepaid expenses and other assets | 5,639 | 5,686 | 5,601 | 5,585 | 5,788 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 1,763 | 2,176 | 1,479 | 793 | 13,606 | ||||||||||||||||||
Variation margin on futures contracts | 1,494 | 2,169 | 2,333 | 2,216 | 36,758 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 8,209 | 27,554 | 31,164 | 31,055 | 10,859 | ||||||||||||||||||
Swap premiums paid | — | — | — | 2,157 | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | 18,814 | 49,532 | 58,183 | 64,918 | 47,484 | ||||||||||||||||||
Total assets | 58,370,530 | 102,173,722 | 74,679,914 | 62,321,524 | 169,798,812 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 52,078 | 366,520 | 18,369 | 11,656 | 493,182 | ||||||||||||||||||
Investments purchased | 652,390 | 1,117,015 | 624,664 | 305,306 | 64,258 | ||||||||||||||||||
Investments purchased on an extended settlement basis | 4,013,982 | 12,378,919 | 13,538,611 | 13,257,439 | 3,090,973 | ||||||||||||||||||
Payments on swap contracts | 1,003 | 2,623 | 3,048 | 2,276 | 5,499 | ||||||||||||||||||
Investment advisory and management fees | 39,222 | 61,649 | 39,926 | 30,528 | 115,654 | ||||||||||||||||||
Service fees — Class 2 | 2,414 | 5,268 | 4,041 | 3,249 | 6,840 | ||||||||||||||||||
Service fees — Class 3 | 4,906 | 7,375 | 3,814 | 3,394 | 19,345 | ||||||||||||||||||
Transfer agent fees and expenses | 95 | 95 | 95 | 119 | 475 | ||||||||||||||||||
Trustees' fees and expenses | 370 | 614 | 423 | 344 | 981 | ||||||||||||||||||
Other accrued expenses | 79,226 | 87,598 | 79,500 | 77,397 | 100,219 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | 1,475 | ||||||||||||||||||
Variation margin on futures contracts | 1,317 | 4,449 | 3,952 | 4,327 | 4,914 | ||||||||||||||||||
Due to custodian | — | — | — | — | 33,722 | ||||||||||||||||||
Due to broker | — | 39,399 | 46,459 | 66,741 | 17,742 | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | 59,478 | ||||||||||||||||||
Swap premiums received | 2,843 | 7,435 | 8,638 | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | 40,328 | ||||||||||||||||||
Total liabilities | 4,849,846 | 14,078,959 | 14,371,540 | 13,762,776 | 4,055,085 | ||||||||||||||||||
NET ASSETS | $ | 53,520,684 | $ | 88,094,763 | $ | 60,308,374 | $ | 48,558,748 | $ | 165,743,727 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 46,600,686 | $ | 84,341,569 | $ | 65,149,479 | $ | 58,616,099 | $ | 151,613,531 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | 94 | $ | 232 | $ | 259 | $ | 257 | $ | 84,131 |
See Notes to Financial Statements
305
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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 | $ | 35,841,774 | $ | 65,040,634 | $ | 50,575,405 | $ | 44,065,470 | $ | 134,438,377 | |||||||||||||
Accumulated undistributed net investment income (loss) | 474,099 | 1,305,337 | 1,491,157 | 1,426,714 | 3,930,046 | ||||||||||||||||||
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 | 7,353,245 | 9,358,746 | 3,733,843 | 1,516,349 | 14,181,771 | ||||||||||||||||||
Unrealized appreciation (depreciation) on investments | 9,825,024 | 12,324,731 | 4,410,257 | 1,423,947 | 13,293,395 | ||||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | 18,712 | 38,783 | 67,733 | 96,388 | (50,049 | ) | |||||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | 7,830 | 26,532 | 29,979 | 29,880 | (48,338 | ) | |||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | (1,475 | ) | |||||||||||||||||
NET ASSETS | $ | 53,520,684 | $ | 88,094,763 | $ | 60,308,374 | $ | 48,558,748 | $ | 165,743,727 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 10,163,058 | $ | 9,668,775 | $ | 8,678,236 | $ | 5,426,616 | $ | 15,887,588 | |||||||||||||
Shares of beneficial interest issued and outstanding | 546,783 | 699,297 | 743,348 | 480,599 | 1,233,947 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 18.59 | $ | 13.83 | $ | 11.67 | $ | 11.29 | $ | 12.88 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 19,537,506 | $ | 42,793,804 | $ | 32,879,145 | $ | 26,653,907 | $ | 55,180,959 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,052,746 | 3,102,103 | 2,822,284 | 2,365,604 | 4,288,793 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 18.56 | $ | 13.80 | $ | 11.65 | $ | 11.27 | $ | 12.87 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 23,820,120 | $ | 35,632,184 | $ | 18,750,993 | $ | 16,478,225 | $ | 94,675,180 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,286,897 | 2,587,609 | 1,609,723 | 1,463,398 | 7,381,524 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 18.51 | $ | 13.77 | $ | 11.65 | $ | 11.26 | $ | 12.83 |
See Notes to Financial Statements
306
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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)* | $ | 427,008,212 | $ | 543,665,732 | $ | 773,584,030 | $ | 231,058,772 | $ | 254,299,937 | |||||||||||||
Investments at value (affiliated)* | — | — | 1,130,498 | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | — | 826,000 | 9,936,000 | 4,314,000 | 489,000 | ||||||||||||||||||
Cash | — | 83,133 | 7,095,594 | 4,031 | 2,851 | ||||||||||||||||||
Foreign cash* | — | — | 2 | — | 4,144 | ||||||||||||||||||
Cash collateral for futures contracts | — | — | — | — | 18 | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 28,740 | 98,749 | 138,756 | 6,104 | 175,100 | ||||||||||||||||||
Dividends and interest | 154,689 | 325,083 | 1,290,200 | 75,192 | 384,789 | ||||||||||||||||||
Investments sold | 1,030,334 | 6,353,715 | 1,962,503 | 239,790 | 99,360 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,861 | 6,013 | 6,291 | 5,692 | 5,753 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 26,045 | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | 1,100 | — | 1,300 | 2,600 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 223,433 | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 428,227,836 | 551,385,570 | 795,367,307 | 235,704,881 | 255,463,552 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 956,516 | 1,383,778 | 1,761,568 | 549,353 | 512,088 | ||||||||||||||||||
Investments purchased | 504,076 | 5,051,929 | 859,631 | 779,027 | 120,830 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | 605,304 | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 290,602 | 342,592 | 489,514 | 164,614 | 178,536 | ||||||||||||||||||
Service fees — Class 2 | 5,468 | 4,453 | 3,331 | 3,045 | 3,066 | ||||||||||||||||||
Service fees — Class 3 | 7,516 | 3,943 | 2,923 | 3,206 | 3,261 | ||||||||||||||||||
Transfer agent fees and expenses | 451 | 285 | 261 | 356 | 356 | ||||||||||||||||||
Trustees' fees and expenses | 2,961 | 3,603 | 6,329 | 1,561 | 1,815 | ||||||||||||||||||
Other accrued expenses | 88,807 | 90,397 | 140,604 | 58,238 | 63,960 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | 1,100 | — | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | 26 | 28 | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 1,755 | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 1,856,397 | 6,881,006 | 3,267,044 | 1,559,400 | 1,489,216 | ||||||||||||||||||
NET ASSETS | $ | 426,371,439 | $ | 544,504,564 | $ | 792,100,263 | $ | 234,145,481 | $ | 253,974,336 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 300,842,508 | $ | 389,322,978 | $ | 678,811,819 | $ | 169,756,033 | $ | 221,858,600 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | 1,180,116 | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | — | $ | 2 | $ | — | $ | 4,142 |
See Notes to Financial Statements
307
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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 | $ | 182,338,594 | $ | 273,702,431 | $ | 569,479,868 | $ | 133,041,483 | $ | 195,182,990 | |||||||||||||
Accumulated undistributed net investment income (loss) | (174,235 | ) | 3,846,948 | 22,357,214 | 28,650 | 3,627,597 | |||||||||||||||||
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 | 118,041,383 | 112,601,660 | 105,326,694 | 39,776,310 | 22,729,486 | ||||||||||||||||||
Unrealized appreciation (depreciation) on investments | 126,165,704 | 154,342,754 | 94,722,593 | 61,302,739 | 32,441,337 | ||||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | — | 10,780 | (7,120 | ) | (3,654 | ) | (7,308 | ) | |||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | (7 | ) | (9 | ) | 221,014 | (47 | ) | 234 | |||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
NET ASSETS | $ | 426,371,439 | $ | 544,504,564 | $ | 792,100,263 | $ | 234,145,481 | $ | 253,974,336 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 346,319,266 | $ | 489,527,007 | $ | 751,044,632 | $ | 194,276,790 | $ | 213,333,312 | |||||||||||||
Shares of beneficial interest issued and outstanding | 11,428,493 | 27,950,077 | 42,311,224 | 9,154,770 | 12,042,776 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 30.30 | $ | 17.51 | $ | 17.75 | $ | 21.22 | $ | 17.71 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 43,906,141 | $ | 35,722,330 | $ | 26,832,864 | $ | 24,276,605 | $ | 24,747,400 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,490,366 | 2,082,737 | 1,514,623 | 1,196,585 | 1,402,376 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 29.46 | $ | 17.15 | $ | 17.72 | $ | 20.29 | $ | 17.65 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 36,146,032 | $ | 19,255,227 | $ | 14,222,767 | $ | 15,592,086 | $ | 15,893,624 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,248,620 | 1,134,459 | 803,472 | 788,786 | 903,006 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 28.95 | $ | 16.97 | $ | 17.70 | $ | 19.77 | $ | 17.60 |
See Notes to Financial Statements
308
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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)* | $ | 298,962,012 | $ | 471,316,152 | $ | 1,138,906,017 | $ | 816,912,633 | $ | 105,433,365 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 696,000 | 717,000 | 11,670,000 | 6,445,000 | 4,567,000 | ||||||||||||||||||
Cash | 4,294,020 | — | 70,543 | — | 976 | ||||||||||||||||||
Foreign cash* | — | 653,602 | 44,593 | 172 | — | ||||||||||||||||||
Cash collateral for futures contracts | 245,028 | — | 88 | 789 | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 114,709 | 347,119 | 171,892 | 10,699,150 | — | ||||||||||||||||||
Dividends and interest | 202,924 | 2,432,368 | 6,895,331 | 1,861,131 | 26,015 | ||||||||||||||||||
Investments sold | 589,769 | 1,105,464 | 5,993,956 | — | — | ||||||||||||||||||
Investments sold on an extended settlement basis | — | 41,422 | 970,646 | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | 20,458 | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 6,709 | 6,270 | 8,267 | 6,020 | 2,722 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 15,520 | — | 30,632 | 28,467 | ||||||||||||||||||
Variation margin on futures contracts | 13,545 | — | 24,418 | 41,523 | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 42,031 | 2,757,607 | — | ||||||||||||||||||
Swap premiums paid | — | — | 1,269,169 | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | 943,401 | — | — | ||||||||||||||||||
Total assets | 305,124,716 | 476,634,917 | 1,167,030,810 | 838,754,657 | 110,058,545 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 626,542 | 1,051,148 | 2,259,272 | 796,190 | 258,101 | ||||||||||||||||||
Investments purchased | 706,185 | 75,637 | 6,419,203 | 42 | — | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | 41,071 | 142,837,997 | 80,219,804 | — | ||||||||||||||||||
Payments on swap contracts | — | — | 190,435 | — | — | ||||||||||||||||||
Investment advisory and management fees | 214,413 | 359,484 | 524,586 | 357,501 | 91,830 | ||||||||||||||||||
Service fees — Class 2 | 2,270 | 2,471 | 2,672 | — | 3,717 | ||||||||||||||||||
Service fees — Class 3 | 2,595 | 3,180 | 2,814 | 81,276 | 4,483 | ||||||||||||||||||
Transfer agent fees and expenses | 261 | 332 | 309 | 396 | 261 | ||||||||||||||||||
Trustees' fees and expenses | 2,037 | 4,342 | 7,424 | 5,184 | 933 | ||||||||||||||||||
Other accrued expenses | 65,921 | 142,490 | 270,083 | 145,865 | 36,060 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Line of credit | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | 19,470 | 25,598 | 14,721 | — | ||||||||||||||||||
Due to custodian | — | 7,021 | — | 23,608 | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | 9 | 1,848,347 | 1,131 | — | ||||||||||||||||||
Call and put options written, at value@ | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 800 | 59,716 | — | ||||||||||||||||||
Swap premiums received | — | — | 178,159 | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | 22,993 | — | — | ||||||||||||||||||
Total liabilities | 1,620,224 | 1,706,655 | 154,590,692 | 81,705,434 | 395,385 | ||||||||||||||||||
NET ASSETS | $ | 303,504,492 | $ | 474,928,262 | $ | 1,012,440,118 | $ | 757,049,223 | $ | 109,663,160 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 228,864,607 | $ | 420,299,973 | $ | 1,159,661,253 | $ | 837,360,039 | $ | 71,007,033 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | 657,350 | $ | 47,996 | $ | 1,161 | $ | — |
See Notes to Financial Statements
309
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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 | $ | 195,987,941 | $ | 381,733,800 | $ | 997,657,972 | $ | 773,248,071 | $ | 54,972,585 | |||||||||||||
Accumulated undistributed net investment income (loss) | 955,055 | 19,113,726 | 40,197,857 | (11,392,402 | ) | (447,925 | ) | ||||||||||||||||
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 | 36,546,145 | 23,065,195 | (5,562,389 | ) | 12,202,402 | 20,712,168 | |||||||||||||||||
Unrealized appreciation (depreciation) on investments | 70,097,405 | 51,016,179 | (20,755,236 | ) | (20,447,406 | ) | 34,426,332 | ||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | (82,054 | ) | 4,692 | 880,422 | 743,950 | — | |||||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | — | (5,330 | ) | 21,492 | 2,694,608 | — | |||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
NET ASSETS | $ | 303,504,492 | $ | 474,928,262 | $ | 1,012,440,118 | $ | 757,049,223 | $ | 109,663,160 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 273,125,615 | $ | 439,054,983 | $ | 977,098,342 | $ | 352,949,785 | $ | 57,113,264 | |||||||||||||
Shares of beneficial interest issued and outstanding | 17,356,489 | 45,416,956 | 84,929,566 | 36,452,445 | 4,644,035 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 15.74 | $ | 9.67 | $ | 11.50 | $ | 9.68 | $ | 12.30 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 17,860,018 | $ | 20,254,437 | $ | 21,669,422 | $ | — | $ | 30,635,786 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,166,020 | 2,093,557 | 1,887,253 | — | 2,606,983 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 15.32 | $ | 9.67 | $ | 11.48 | $ | — | $ | 11.75 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 12,518,859 | $ | 15,618,842 | $ | 13,672,354 | $ | 404,099,438 | $ | 21,914,110 | |||||||||||||
Shares of beneficial interest issued and outstanding | 830,974 | 1,620,588 | 1,197,276 | 42,128,563 | 1,916,026 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 15.07 | $ | 9.64 | $ | 11.42 | $ | 9.59 | $ | 11.44 |
See Notes to Financial Statements
310
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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)* | $ | 323,452,262 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Investments at value (affiliated)* | — | 146,832,947 | 493,581,470 | 309,094,242 | 223,802,525 | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 5,608,000 | — | — | — | — | ||||||||||||||||||
Cash | 485 | — | — | — | — | ||||||||||||||||||
Foreign cash* | — | — | — | — | — | ||||||||||||||||||
Cash collateral for futures contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | — | 729,873 | 277,393 | 102,725 | 152,355 | ||||||||||||||||||
Dividends and interest | 296,954 | — | — | — | — | ||||||||||||||||||
Investments sold | — | — | 1,856,602 | 177,705 | — | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,825 | 5,541 | 5,542 | 5,541 | 5,541 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 86,082 | 1,189 | 4,084 | 2,544 | 1,842 | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 329,449,608 | 147,569,550 | 495,725,091 | 309,382,757 | 223,962,263 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 769,692 | 252,783 | 2,127,640 | 276,491 | 43,242 | ||||||||||||||||||
Investments purchased | 168,565 | 475,300 | — | — | 106,259 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 267,481 | 11,889 | 40,836 | 25,439 | 18,422 | ||||||||||||||||||
Service fees — Class 2 | 1,818 | — | — | — | — | ||||||||||||||||||
Service fees — Class 3 | 2,110 | 29,667 | 102,062 | 63,575 | 46,031 | ||||||||||||||||||
Transfer agent fees and expenses | 190 | 166 | 166 | 142 | 142 | ||||||||||||||||||
Trustees' fees and expenses | 2,279 | 795 | 3,531 | 2,194 | 1,599 | ||||||||||||||||||
Other accrued expenses | 65,579 | 33,566 | 63,450 | 47,327 | 40,056 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 1,277,714 | 804,166 | 2,337,685 | 415,168 | 255,751 | ||||||||||||||||||
NET ASSETS | $ | 328,171,894 | $ | 146,765,384 | $ | 493,387,406 | $ | 308,967,589 | $ | 223,706,512 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 238,927,307 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Investments (affiliated) | $ | — | $ | 136,584,623 | $ | 457,352,546 | $ | 290,938,207 | $ | 215,643,572 | |||||||||||||
Foreign cash | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
311
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2018 (unaudited)
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 | $ | 211,699,416 | $ | 125,840,775 | $ | 398,054,500 | $ | 258,675,920 | $ | 195,179,559 | |||||||||||||
Accumulated undistributed net investment income (loss) | 7,390,710 | 1,501,505 | 7,948,131 | 5,016,883 | 3,921,090 | ||||||||||||||||||
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 | 24,556,813 | 9,174,780 | 51,155,851 | 27,118,751 | 16,446,910 | ||||||||||||||||||
Unrealized appreciation (depreciation) on investments | 84,524,955 | 10,248,324 | 36,228,924 | 18,156,035 | 8,158,953 | ||||||||||||||||||
Unrealized appreciation (depreciation) on futures contracts, written options and swap contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | — | ||||||||||||||||||
Accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
NET ASSETS | $ | 328,171,894 | $ | 146,765,384 | $ | 493,387,406 | $ | 308,967,589 | $ | 223,706,512 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 303,262,430 | $ | 271,155 | $ | 141,224 | $ | 117,581 | $ | 112,661 | |||||||||||||
Shares of beneficial interest issued and outstanding | 13,883,760 | 17,785 | 11,494 | 9,735 | 10,107 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.84 | $ | 15.25 | $ | 12.29 | $ | 12.08 | $ | 11.15 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 14,719,261 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Shares of beneficial interest issued and outstanding | 675,361 | — | — | — | — | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.79 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 10,190,203 | $ | 146,494,229 | $ | 493,246,182 | $ | 308,850,008 | $ | 223,593,851 | |||||||||||||
Shares of beneficial interest issued and outstanding | 468,984 | 9,648,899 | 40,298,965 | 25,670,051 | 20,131,280 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.73 | $ | 15.18 | $ | 12.24 | $ | 12.03 | $ | 11.11 |
See Notes to Financial Statements
312
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended September 30, 2018 (unaudited)
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) | $ | 206,801 | $ | 273,829 | $ | 96,913 | $ | 40,891 | $ | 1,555,824 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 256,551 | 627,708 | 739,664 | 742,117 | 579,227 | ||||||||||||||||||
Total investment income* | 463,352 | 901,537 | 836,577 | 783,008 | 2,135,051 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 238,591 | 375,161 | 244,193 | 187,999 | 678,473 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 14,633 | 32,013 | 24,749 | 20,021 | 41,801 | ||||||||||||||||||
Class 3 | 30,058 | 44,974 | 23,334 | 20,843 | 110,002 | ||||||||||||||||||
Transfer agent fees and expenses | 286 | 286 | 286 | 358 | 1,448 | ||||||||||||||||||
Custodian and accounting fees | 53,588 | 59,323 | 51,496 | 50,112 | 64,876 | ||||||||||||||||||
Reports to shareholders | 2,976 | 4,883 | 3,323 | 2,621 | 10,127 | ||||||||||||||||||
Audit and tax fees | 31,092 | 31,092 | 29,567 | 29,567 | 35,413 | ||||||||||||||||||
Legal fees | 6,319 | 5,738 | 5,719 | 5,574 | 11,578 | ||||||||||||||||||
Trustees' fees and expenses | 536 | 960 | 616 | 489 | 1,714 | ||||||||||||||||||
Interest expense | 138 | 155 | 88 | 47 | — | ||||||||||||||||||
Other expenses | 14,730 | 14,947 | 10,835 | 10,762 | 10,718 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 392,947 | 569,532 | 394,206 | 328,393 | 966,150 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (9,058 | ) | (11,141 | ) | (7,558 | ) | (4,076 | ) | (79,820 | ) | |||||||||||||
Fees paid indirectly (Note 5) | (708 | ) | (991 | ) | (258 | ) | (111 | ) | (379 | ) | |||||||||||||
Net expenses | 383,181 | 557,400 | 386,390 | 324,206 | 885,951 | ||||||||||||||||||
Net investment income (loss) | 80,171 | 344,137 | 450,187 | 458,802 | 1,249,100 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 3,051,398 | 4,094,900 | 1,318,652 | 447,426 | 7,775,761 | ||||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 33,806 | 141,022 | 52,817 | 40,106 | 826,152 | ||||||||||||||||||
Forward contracts | 614 | 6,904 | 24,019 | 7,183 | (299,359 | ) | |||||||||||||||||
Swap contracts | 2,855 | 8,527 | 9,508 | 9,372 | 110,142 | ||||||||||||||||||
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 | (1,022 | ) | (2,268 | ) | (3,214 | ) | (2,731 | ) | (16,345 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 3,087,651 | 4,249,085 | 1,401,782 | 501,356 | 8,396,351 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 1,444,375 | 1,321,642 | 515,068 | (126,899 | ) | (580,201 | ) | ||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 9,922 | (3,253 | ) | 27,514 | 69,845 | 141,751 | |||||||||||||||||
Forward contracts | 22,827 | 66,223 | 75,376 | 75,966 | (70,931 | ) | |||||||||||||||||
Swap contracts | 9,828 | 25,350 | 29,442 | 24,582 | (39,015 | ) | |||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | (263 | ) | (689 | ) | (803 | ) | (794 | ) | (500 | ) | |||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | 4,583 | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 1,486,689 | 1,409,273 | 646,597 | 42,700 | (544,313 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 4,574,340 | 5,658,358 | 2,048,379 | 544,056 | 7,852,038 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,654,511 | $ | 6,002,495 | $ | 2,498,566 | $ | 1,002,858 | $ | 9,101,138 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 14 | $ | 20 | $ | — | $ | — | $ | 60,715 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | 7,211 |
See Notes to Financial Statements
313
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Six Months Ended September 30, 2018 (unaudited)
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) | $ | 1,749,623 | $ | 2,867,456 | $ | 10,612,176 | $ | 1,109,019 | $ | 2,705,601 | |||||||||||||
Dividends (affiliated) | — | — | 13,668 | — | — | ||||||||||||||||||
Interest (unaffiliated) | 18,302 | 35,313 | 54,481 | 28,207 | 71,170 | ||||||||||||||||||
Total investment income* | 1,767,925 | 2,902,769 | 10,680,325 | 1,137,226 | 2,776,771 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 1,763,410 | 1,940,950 | 3,019,061 | 979,556 | 1,087,354 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 33,415 | 26,643 | 20,296 | 18,034 | 18,825 | ||||||||||||||||||
Class 3 | 46,061 | 23,717 | 18,181 | 19,244 | 20,246 | ||||||||||||||||||
Transfer agent fees and expenses | 1,359 | 858 | 787 | 1,073 | 1,073 | ||||||||||||||||||
Custodian and accounting fees | 36,650 | 36,949 | 69,747 | 25,687 | 29,549 | ||||||||||||||||||
Reports to shareholders | 23,610 | 28,479 | 38,810 | 12,920 | 14,428 | ||||||||||||||||||
Audit and tax fees | 20,021 | 21,533 | 21,164 | 21,583 | 22,023 | ||||||||||||||||||
Legal fees | 4,851 | 16,973 | 17,280 | 3,754 | 9,846 | ||||||||||||||||||
Trustees' fees and expenses | 5,014 | 6,218 | 10,229 | 2,702 | 2,942 | ||||||||||||||||||
Interest expense | — | 528 | 196 | 287 | 12 | ||||||||||||||||||
Other expenses | 7,767 | 11,681 | 13,528 | 25,893 | 25,787 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 1,942,158 | 2,114,529 | 3,229,279 | 1,110,733 | 1,232,085 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | (116,462 | ) | — | — | — | |||||||||||||||||
Fees paid indirectly (Note 5) | — | (1,923 | ) | — | (192 | ) | — | ||||||||||||||||
Net expenses | 1,942,158 | 1,996,144 | 3,229,279 | 1,110,541 | 1,232,085 | ||||||||||||||||||
Net investment income (loss) | (174,233 | ) | 906,625 | 7,451,046 | 26,685 | 1,544,686 | |||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 23,181,367 | 38,318,988 | 25,368,175 | 16,254,672 | 8,837,903 | ||||||||||||||||||
Investments (affiliated) | — | — | 16,015 | — | — | ||||||||||||||||||
Futures contracts | — | 112,120 | 20,220 | 17,425 | 34,850 | ||||||||||||||||||
Forward contracts | — | — | 1,082,500 | — | — | ||||||||||||||||||
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 | (275 | ) | — | (3,741 | ) | 496 | (1,038 | ) | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 23,181,092 | 38,431,108 | 26,483,169 | 16,272,593 | 8,871,715 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 20,904,405 | 26,480,182 | 13,208,376 | 9,355,131 | 3,171,739 | ||||||||||||||||||
Investments (affiliated) | — | — | (39,220 | ) | — | — | |||||||||||||||||
Futures contracts | — | 96,400 | 30,400 | 8,789 | 17,579 | ||||||||||||||||||
Forward contracts | — | — | 212,713 | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | 2 | 3 | (540 | ) | (40 | ) | (484 | ) | |||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 20,904,407 | 26,576,585 | 13,411,729 | 9,363,880 | 3,188,834 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 44,085,499 | 65,007,693 | 39,894,898 | 25,636,473 | 12,060,549 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 43,911,266 | $ | 65,914,318 | $ | 47,345,944 | $ | 25,663,158 | $ | 13,605,235 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 8,149 | $ | 482 | $ | 160,478 | $ | 3,505 | $ | 9,477 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
314
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Six Months Ended September 30, 2018 (unaudited)
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) | $ | 1,845,408 | $ | 10,608,639 | $ | 11,367 | $ | 34 | $ | 233,897 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 22,878 | 5,301 | 17,027,893 | 11,215,208 | 1,964 | ||||||||||||||||||
Total investment income* | 1,868,286 | 10,613,940 | 17,039,260 | 11,215,242 | 235,861 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 1,261,610 | 2,511,971 | 3,226,272 | 2,219,337 | 635,009 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 13,731 | 15,811 | 17,154 | — | 22,147 | ||||||||||||||||||
Class 3 | 15,892 | 20,435 | 17,800 | 505,719 | 27,619 | ||||||||||||||||||
Transfer agent fees and expenses | 787 | 1,001 | 930 | 1,183 | 691 | ||||||||||||||||||
Custodian and accounting fees | 36,381 | 83,946 | 160,379 | 73,885 | 13,149 | ||||||||||||||||||
Reports to shareholders | 18,829 | 18,316 | 55,165 | 44,096 | 6,821 | ||||||||||||||||||
Audit and tax fees | 22,236 | 56,558 | 31,318 | 28,307 | 11,844 | ||||||||||||||||||
Legal fees | 3,742 | 12,729 | 9,010 | 30,051 | 2,649 | ||||||||||||||||||
Trustees' fees and expenses | 3,356 | 7,217 | 12,163 | 9,079 | 1,511 | ||||||||||||||||||
Interest expense | 340 | 4,468 | 68 | 47 | 663 | ||||||||||||||||||
Other expenses | 12,986 | 15,283 | 16,402 | 10,564 | 10,159 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 1,389,890 | 2,747,735 | 3,546,661 | 2,922,268 | 732,262 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (112 | ) | (109,456 | ) | — | (190,363 | ) | (196,861 | ) | ||||||||||||||
Fees paid indirectly (Note 5) | (4,053 | ) | — | — | — | (1,864 | ) | ||||||||||||||||
Net expenses | 1,385,725 | 2,638,279 | 3,546,661 | 2,731,905 | 533,537 | ||||||||||||||||||
Net investment income (loss) | 482,561 | 7,975,661 | 13,492,599 | 8,483,337 | (297,676 | ) | |||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 18,156,317 | 30,174,944 | (3,855,257 | ) | (963,455 | ) | 11,680,759 | ||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 212,167 | (100,397 | ) | 326,289 | 541,185 | — | |||||||||||||||||
Forward contracts | — | 171,981 | 24,663,626 | — | |||||||||||||||||||
Swap contracts | — | — | 57,483 | 49,610 | — | ||||||||||||||||||
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 | — | (117,728 | ) | (12,373 | ) | (3,548,412 | ) | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 18,368,484 | 29,956,819 | (3,311,877 | ) | 20,742,554 | 11,680,759 | |||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 9,450,068 | (38,486,695 | ) | (13,575,820 | ) | (28,883,027 | ) | 3,284,165 | |||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 5,093 | 59,113 | 277,443 | 1,758,033 | — | ||||||||||||||||||
Forward contracts | — | — | 33,047 | 660,191 | — | ||||||||||||||||||
Swap contracts | — | — | 949,195 | 50,130 | — | ||||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | — | (53,032 | ) | (13,157 | ) | 3,256 | — | ||||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 9,455,161 | (38,480,614 | ) | (12,329,292 | ) | (26,411,417 | ) | 3,284,165 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 27,823,645 | (8,523,795 | ) | (15,641,169 | ) | (5,668,863 | ) | 14,964,924 | |||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 28,306,206 | $ | (548,134 | ) | $ | (2,148,570 | ) | $ | 2,814,474 | $ | 14,667,248 | |||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 1,901 | $ | 1,070,315 | $ | (72 | ) | $ | 425 | $ | — | ||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
315
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Six Months Ended September 30, 2018 (unaudited)
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) | $ | 3,639,231 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 7,173 | — | — | — | — | ||||||||||||||||||
Total investment income* | 3,646,404 | — | — | — | — | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 1,596,636 | 67,145 | 251,830 | 156,127 | 112,716 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 11,087 | — | — | — | — | ||||||||||||||||||
Class 3 | 12,983 | 167,608 | 629,389 | 390,172 | 281,651 | ||||||||||||||||||
Transfer agent fees and expenses | 572 | 518 | 509 | 421 | 429 | ||||||||||||||||||
Custodian and accounting fees | 22,118 | 7,667 | 7,667 | 7,667 | 7,667 | ||||||||||||||||||
Reports to shareholders | 18,592 | 9,086 | 27,036 | 16,715 | 12,179 | ||||||||||||||||||
Audit and tax fees | 17,588 | 12,087 | 12,087 | 12,087 | 12,087 | ||||||||||||||||||
Legal fees | 11,189 | 3,323 | 5,455 | 4,132 | 3,756 | ||||||||||||||||||
Trustees' fees and expenses | 3,780 | 1,393 | 5,997 | 3,681 | 2,613 | ||||||||||||||||||
Interest expense | — | — | — | — | — | ||||||||||||||||||
Other expenses | 7,908 | 4,208 | 5,090 | 4,407 | 4,248 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 1,702,453 | 273,035 | 945,060 | 595,409 | 437,346 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (514,772 | ) | (6,714 | ) | (25,183 | ) | (15,613 | ) | (11,272 | ) | |||||||||||||
Fees paid indirectly (Note 5) | (1,115 | ) | — | — | — | — | |||||||||||||||||
Net expenses | 1,186,566 | 266,321 | 919,877 | 579,796 | 426,074 | ||||||||||||||||||
Net investment income (loss) | 2,459,838 | (266,321 | ) | (919,877 | ) | (579,796 | ) | (426,074 | ) | ||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 5,329,111 | — | — | — | — | ||||||||||||||||||
Investments (affiliated) | — | 1,314,434 | 5,769,723 | 2,341,603 | 1,236,421 | ||||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||
Forward contracts | — | — | — | — | — | ||||||||||||||||||
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 | — | — | — | — | — | ||||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 5,329,111 | 1,314,434 | 5,769,723 | 2,341,603 | 1,236,421 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 14,864,781 | — | — | — | — | ||||||||||||||||||
Investments (affiliated) | — | 5,949,126 | 17,051,685 | 10,292,824 | 5,426,885 | ||||||||||||||||||
Futures contracts | — | — | — | — | — | ||||||||||||||||||
Forward contracts | — | — | — | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Change in net realized 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 | 14,864,781 | 5,949,126 | 17,051,685 | 10,292,824 | 5,426,885 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 20,193,892 | 7,263,560 | 22,821,408 | 12,634,427 | 6,663,306 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 22,653,730 | $ | 6,997,239 | $ | 21,901,531 | $ | 12,054,631 | $ | 6,237,232 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
316
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 six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 80,171 | $ | 133,727 | $ | 344,137 | $ | 599,022 | $ | 450,187 | $ | 784,473 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 3,087,651 | 4,812,386 | 4,249,085 | 6,111,595 | 1,401,782 | 2,951,352 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 1,486,689 | 930,509 | 1,409,273 | 1,206,342 | 646,597 | 334,424 | |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,654,511 | 5,876,622 | 6,002,495 | 7,916,959 | 2,498,566 | 4,070,249 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | — | (47,140 | ) | — | (90,803 | ) | — | (139,685 | ) | ||||||||||||||||||
Net investment income — Class 2 | — | (65,113 | ) | — | (339,045 | ) | — | (501,793 | ) | ||||||||||||||||||
Net investment income — Class 3 | — | (55,234 | ) | — | (251,891 | ) | — | (263,436 | ) | ||||||||||||||||||
Net realized gain on investments — Class 1 | — | (678,837 | ) | — | (473,212 | ) | — | (255,134 | ) | ||||||||||||||||||
Net realized gain on investments — Class 2 | — | (1,353,925 | ) | — | (2,105,054 | ) | — | (1,016,154 | ) | ||||||||||||||||||
Net realized gain on investments — Class 3 | — | (1,723,144 | ) | — | (1,830,810 | ) | — | (579,934 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (3,923,393 | ) | — | (5,090,815 | ) | — | (2,756,136 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (4,116,332 | ) | (4,599,313 | ) | (5,853,596 | ) | (5,230,490 | ) | (2,827,299 | ) | (5,244,909 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 538,179 | (2,646,084 | ) | 148,899 | (2,404,346 | ) | (328,733 | ) | (3,930,796 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 52,982,505 | 55,628,589 | 87,945,864 | 90,350,210 | 60,637,107 | 64,567,903 | |||||||||||||||||||||
End of period† | $ | 53,520,684 | $ | 52,982,505 | $ | 88,094,763 | $ | 87,945,864 | $ | 60,308,374 | $ | 60,637,107 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 474,099 | $ | 393,928 | $ | 1,305,337 | $ | 961,200 | $ | 1,491,157 | $ | 1,040,970 |
See Notes to Financial Statements
317
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 six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 458,802 | $ | 812,753 | $ | 1,249,100 | $ | 1,775,201 | $ | (174,233 | ) | $ | (80,380 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 501,356 | 1,473,531 | 8,396,351 | 7,116,053 | 23,181,092 | 95,939,674 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 42,700 | (276,015 | ) | (544,313 | ) | 6,152,167 | 20,904,407 | 3,383,815 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,002,858 | 2,010,269 | 9,101,138 | 15,043,421 | 43,911,266 | 99,243,109 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | — | (108,409 | ) | — | (247,682 | ) | — | — | |||||||||||||||||||
Net investment income — Class 2 | — | (494,379 | ) | — | (814,369 | ) | — | — | |||||||||||||||||||
Net investment income — Class 3 | — | (288,283 | ) | — | (967,861 | ) | — | — | |||||||||||||||||||
Net realized gain on investments — Class 1 | — | (109,537 | ) | — | (1,156,276 | ) | — | (42,229,712 | ) | ||||||||||||||||||
Net realized gain on investments — Class 2 | — | (544,692 | ) | — | (4,211,004 | ) | — | (5,508,566 | ) | ||||||||||||||||||
Net realized gain on investments — Class 3 | — | (337,480 | ) | — | (5,090,124 | ) | — | (4,686,165 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (1,882,780 | ) | — | (12,487,316 | ) | — | (52,424,443 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (1,949,973 | ) | (3,484,613 | ) | 7,869,165 | 23,592,001 | (30,004,860 | ) | (75,721,148 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (947,115 | ) | (3,357,124 | ) | 16,970,303 | 26,148,106 | 13,906,406 | (28,902,482 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 49,505,863 | 52,862,987 | 148,773,424 | 122,625,318 | 412,465,033 | 441,367,515 | |||||||||||||||||||||
End of period† | $ | 48,558,748 | $ | 49,505,863 | $ | 165,743,727 | $ | 148,773,424 | $ | 426,371,439 | $ | 412,465,033 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 1,426,714 | $ | 967,912 | $ | 3,930,046 | $ | 2,680,946 | $ | (174,235 | ) | $ | (2 | ) |
See Notes to Financial Statements
318
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 six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 906,625 | $ | 2,577,216 | $ | 7,451,046 | $ | 16,621,607 | $ | 26,685 | $ | (144,661 | ) | ||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 38,431,108 | 75,998,601 | 26,483,169 | 85,051,729 | 16,272,593 | 24,378,292 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 26,576,585 | 17,017,859 | 13,411,729 | (40,830,939 | ) | 9,363,880 | 17,435,052 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 65,914,318 | 95,593,676 | 47,345,944 | 60,842,397 | 25,663,158 | 41,668,683 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | — | (2,356,489 | ) | — | (17,894,250 | ) | — | — | |||||||||||||||||||
Net investment income — Class 2 | — | (130,076 | ) | — | (581,718 | ) | — | — | |||||||||||||||||||
Net investment income — Class 3 | — | (47,820 | ) | — | (296,099 | ) | — | — | |||||||||||||||||||
Net realized gain on investments — Class 1 | — | (27,776,840 | ) | — | (63,574,076 | ) | — | (15,475,813 | ) | ||||||||||||||||||
Net realized gain on investments — Class 2 | — | (2,044,679 | ) | — | (2,203,293 | ) | — | (2,014,389 | ) | ||||||||||||||||||
Net realized gain on investments — Class 3 | — | (1,103,867 | ) | — | (1,198,254 | ) | — | (1,395,287 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (33,459,771 | ) | — | (85,747,690 | ) | — | (18,885,489 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (33,324,699 | ) | (77,101,935 | ) | (123,048,036 | ) | (133,117,091 | ) | (21,442,375 | ) | 3,278,212 | ||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 32,589,619 | (14,968,030 | ) | (75,702,092 | ) | (158,022,384 | ) | 4,220,783 | 26,061,406 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 511,914,945 | 526,882,975 | 867,802,355 | 1,025,824,739 | 229,924,698 | 203,863,292 | |||||||||||||||||||||
End of period† | $ | 544,504,564 | $ | 511,914,945 | $ | 792,100,263 | $ | 867,802,355 | $ | 234,145,481 | $ | 229,924,698 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 3,846,948 | $ | 2,940,323 | $ | 22,357,214 | $ | 14,906,168 | $ | 28,650 | $ | 1,965 |
See Notes to Financial Statements
319
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 six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,544,686 | $ | 2,102,967 | $ | 482,561 | $ | 484,950 | $ | 7,975,661 | $ | 11,520,950 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 8,871,715 | 16,217,038 | 18,368,484 | 20,700,892 | 29,956,819 | 38,703,941 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 3,188,834 | (2,259,573 | ) | 9,455,161 | 8,613,340 | (38,480,614 | ) | 55,237,293 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 13,605,235 | 16,060,432 | 28,306,206 | 29,799,182 | (548,134 | ) | 105,462,184 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | — | (2,594,232 | ) | — | (918,885 | ) | — | (12,521,978 | ) | ||||||||||||||||||
Net investment income — Class 2 | — | (296,949 | ) | — | (44,242 | ) | — | (432,780 | ) | ||||||||||||||||||
Net investment income — Class 3 | — | (177,672 | ) | — | (17,981 | ) | — | (318,610 | ) | ||||||||||||||||||
Net realized gain on investments — Class 1 | — | (25,124,578 | ) | — | (21,895,260 | ) | — | — | |||||||||||||||||||
Net realized gain on investments — Class 2 | — | (3,220,882 | ) | — | (1,618,164 | ) | — | — | |||||||||||||||||||
Net realized gain on investments — Class 3 | — | (2,122,841 | ) | — | (1,128,985 | ) | — | — | |||||||||||||||||||
Total distributions to shareholders | — | (33,537,154 | ) | — | (25,623,517 | ) | — | (13,273,368 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (12,191,687 | ) | (15,009,851 | ) | (10,142,595 | ) | (16,219,792 | ) | (140,634,282 | ) | (144,836,267 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 1,413,548 | (32,486,573 | ) | 18,163,611 | (12,044,127 | ) | (141,182,416 | ) | (52,647,451 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 252,560,788 | 285,047,361 | 285,340,881 | 297,385,008 | 616,110,678 | 668,758,129 | |||||||||||||||||||||
End of period† | $ | 253,974,336 | $ | 252,560,788 | $ | 303,504,492 | $ | 285,340,881 | $ | 474,928,262 | $ | 616,110,678 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 3,627,597 | $ | 2,082,911 | $ | 955,055 | $ | 472,494 | $ | 19,113,726 | $ | 11,138,065 |
See Notes to Financial Statements
320
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 six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 13,492,599 | $ | 25,254,079 | $ | 8,483,337 | $ | 6,082,035 | $ | (297,676 | ) | $ | (381,494 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | (3,311,877 | ) | 9,375,290 | 20,742,554 | (22,210,051 | ) | 11,680,759 | 11,878,332 | |||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (12,329,292 | ) | (16,729,409 | ) | (26,411,417 | ) | 25,443,702 | 3,284,165 | 17,282,438 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (2,148,570 | ) | 17,899,960 | 2,814,474 | 9,315,686 | 14,667,248 | 28,779,276 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | — | (21,767,568 | ) | — | (8,021,823 | ) | — | — | |||||||||||||||||||
Net investment income — Class 2 | — | (539,386 | ) | — | — | — | — | ||||||||||||||||||||
Net investment income — Class 3 | — | (301,448 | ) | — | (9,143,842 | ) | — | — | |||||||||||||||||||
Net realized gain on investments — Class 1 | — | (1,970,059 | ) | — | — | — | — | ||||||||||||||||||||
Net realized gain on investments — Class 2 | — | (52,285 | ) | — | — | — | — | ||||||||||||||||||||
Net realized gain on investments — Class 3 | — | (31,635 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions to shareholders | — | (24,662,381 | ) | — | (17,165,665 | ) | — | — | |||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (47,956,935 | ) | (103,782,499 | ) | (23,210,717 | ) | 91,051,046 | (34,807,404 | ) | (30,714,115 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (50,105,505 | ) | (110,544,920 | ) | (20,396,243 | ) | 83,201,067 | (20,140,156 | ) | (1,934,839 | ) | ||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 1,062,545,623 | 1,173,090,543 | 777,445,466 | 694,244,399 | 129,803,316 | 131,738,155 | |||||||||||||||||||||
End of period† | $ | 1,012,440,118 | $ | 1,062,545,623 | $ | 757,049,223 | $ | 777,445,466 | $ | 109,663,160 | $ | 129,803,316 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 40,197,857 | $ | 26,705,258 | $ | (11,392,402 | ) | $ | (19,875,739 | ) | $ | (447,925 | ) | $ | (150,249 | ) |
See Notes to Financial Statements
321
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Columbia Focused Value | SA Allocation Growth | SA Allocation Moderate Growth | |||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,459,838 | $ | 4,930,871 | $ | (266,321 | ) | $ | 1,227,484 | $ | (919,877 | ) | $ | 6,724,368 | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 5,329,111 | 19,313,183 | 1,314,434 | 11,374,415 | 5,769,723 | 55,777,279 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 14,864,781 | 15,540,404 | 5,949,126 | (1,673,483 | ) | 17,051,685 | (15,508,839 | ) | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 22,653,730 | 39,784,458 | 6,997,239 | 10,928,416 | 21,901,531 | 46,992,808 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | — | (4,577,879 | ) | — | (1,246 | ) | — | (1,817 | ) | ||||||||||||||||||
Net investment income — Class 2 | — | (212,077 | ) | — | — | — | — | ||||||||||||||||||||
Net investment income — Class 3 | — | (151,261 | ) | — | (1,106,919 | ) | — | (7,249,386 | ) | ||||||||||||||||||
Net realized gain on investments — Class 1 | — | (8,278,697 | ) | — | (2,631 | ) | — | (3,821 | ) | ||||||||||||||||||
Net realized gain on investments — Class 2 | — | (418,595 | ) | — | — | — | — | ||||||||||||||||||||
Net realized gain on investments — Class 3 | — | (321,671 | ) | — | (2,578,625 | ) | — | (16,626,862 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (13,960,180 | ) | — | (3,689,421 | ) | — | (23,881,886 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (7,375,111 | ) | (72,887,023 | ) | 18,329,729 | 20,843,164 | (36,274,546 | ) | (31,459,406 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 15,278,619 | (47,062,745 | ) | 25,326,968 | 28,082,159 | (14,373,015 | ) | (8,348,484 | ) | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 312,893,275 | 359,956,020 | 121,438,416 | 93,356,257 | 507,760,421 | 516,108,905 | |||||||||||||||||||||
End of period† | $ | 328,171,894 | $ | 312,893,275 | $ | 146,765,384 | $ | 121,438,416 | $ | 493,387,406 | $ | 507,760,421 | |||||||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 7,390,710 | $ | 4,930,872 | $ | 1,501,505 | $ | 1,767,826 | $ | 7,948,131 | $ | 8,868,008 |
See Notes to Financial Statements
322
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Moderate | SA Allocation Balanced | ||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | (579,796 | ) | $ | 4,380,481 | $ | (426,074 | ) | $ | 3,631,509 | |||||||||
Net realized gain (loss) on investments and foreign currencies | 2,341,603 | 31,904,359 | 1,236,421 | 17,835,679 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 10,292,824 | (10,880,670 | ) | 5,426,885 | (7,073,919 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 12,054,631 | 25,404,170 | 6,237,232 | 14,393,269 | |||||||||||||||
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 | ) | — | (3,727,674 | ) | |||||||||||||
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 | ) | — | (7,730,428 | ) | |||||||||||||
Total distributions to shareholders | — | (11,623,337 | ) | — | (11,463,539 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (17,494,339 | ) | (23,480,398 | ) | (8,389,039 | ) | (17,990,794 | ) | |||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (5,439,708 | ) | (9,699,565 | ) | (2,151,807 | ) | (15,061,064 | ) | |||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 314,407,297 | 324,106,862 | 225,858,319 | 240,919,383 | |||||||||||||||
End of period† | $ | 308,967,589 | $ | 314,407,297 | $ | 223,706,512 | $ | 225,858,319 | |||||||||||
† Includes accumulated undistributed net investment income (loss) | $ | 5,016,883 | $ | 5,596,679 | $ | 3,921,090 | $ | 4,347,164 |
See Notes to Financial Statements
323
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.
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.
324
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.
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").
325
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 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 September 30, 2018, is reported on a schedule at the end of 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.
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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.
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 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
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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, SA 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 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 at the end of 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
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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 at the end of each Portfolio's Portfolio of Investments.
Options: During the period, the 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 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 security, and for written options, may result in losses in excess of the amounts shown on the statement of assets and liabilities. 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 at the end of 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).
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Credit Default Swap Agreements: During the period, the SA Multi-Managed Diversified Fixed Income Portfolio 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 (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
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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 at the end of 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 at the end of each Portfolio's Portfolio of Investments. These potential amounts would be partially 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 at the end of 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.
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Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of 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 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 at the end of 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, which may be in excess of the amount reflected on the statement of assets and liabilities.
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
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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 September 30, 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 six months ended September 30, 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 September 30, 2018, please refer to a schedule at the end of each Portfolio's Portfolio of Investments.
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) | Swap Contracts(2) | Foreign Exchange Contracts(4) | Total | |||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 849 | $ | 18,814 | $ | — | $ | 645 | $ | — | $ | — | $ | 8,209 | $ | 28,517 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 1,094 | 49,532 | — | 1,075 | — | — | 27,554 | 79,255 | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | 2,333 | 58,183 | — | — | — | — | 31,164 | 91,680 | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 2,216 | 64,918 | — | — | — | — | 31,055 | 98,189 | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 2,297 | — | — | 34,461 | 47,484 | — | 10,859 | 95,101 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 1,100 | — | — | — | 1,100 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | — | — | — | 223,433 | 223,433 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 1,300 | — | — | — | 1,300 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 2,600 | — | — | — | 2,600 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 13,545 | — | — | — | 13,545 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 24,418 | 943,401 | 336,844 | — | — | — | 42,031 | 1,346,694 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 41,523 | — | — | — | — | — | 2,757,607 | 2,799,130 |
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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) | Swap Contracts(5) | Foreign Exchange Contracts(7) | Total | |||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 1,317 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,317 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 4,449 | — | — | — | — | — | — | 4,449 | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | 3,952 | — | — | — | — | — | — | 3,952 | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 4,327 | — | — | — | — | — | — | 4,327 | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 4,914 | — | — | — | 40,328 | — | 59,478 | 104,720 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 1,100 | — | — | 1,755 | 2,855 | |||||||||||||||||||||||||||
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 | — | — | — | 19,470 | — | — | — | 19,470 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 25,598 | — | — | — | — | 22,993 | 800 | 49,391 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 14,721 | — | — | — | — | — | 59,716 | 74,437 |
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 | $ | (102 | ) | ||||
SA Multi-Managed Moderate Growth Portfolio | (10,749 | ) | |||||
SA Multi-Managed Income/Equity Portfolio | 9,550 | ||||||
SA Multi-Managed Income Portfolio | 31,470 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (57,205 | ) | |||||
SA Multi-Managed Large Cap Growth Portfolio | 10,780 | ||||||
SA Multi-Managed Large Cap Value Portfolio | (7,120 | ) | |||||
SA Multi-Managed Mid Cap Growth Portfolio | (3,654 | ) | |||||
SA Multi-Managed Mid Cap Value Portfolio | (7,308 | ) |
334
Portfolio | Cumulative Appreciation (Depreciation) | ||||||
SA Multi-Managed Small Cap Portfolio | $ | (82,054 | ) | ||||
SA Multi-Managed International Equity Portfolio | 4,692 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | (39,986 | ) | |||||
SA Wellington Real Return Portfolio | 743,950 |
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 | $ | 16,912 | $ | 2,855 | $ | — | $ | 16,894 | $ | — | $ | — | $ | — | $ | 614 | $ | — | $ | 37,275 | |||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 65,225 | 8,527 | — | 75,797 | — | — | — | 6,904 | — | 156,453 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 52,817 | 9,508 | — | — | — | — | — | 24,019 | — | 86,344 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 40,106 | 9,372 | — | — | — | — | — | 7,183 | — | 56,661 | |||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 120,586 | — | — | 705,566 | 110,142 | — | — | (299,359 | ) | — | 636,935 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 112,120 | — | — | — | — | — | 112,120 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 20,220 | — | — | — | 1,082,500 | — | 1,102,720 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 17,425 | — | — | — | — | — | 17,425 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 34,850 | — | — | — | — | — | 34,850 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 212,167 | — | — | — | — | — | 212,167 | |||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | (100,397 | ) | — | — | — | — | — | (100,397 | ) |
335
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 Diversified Fixed Income Portfolio | $ | 326,289 | $ | 73,925 | $ | 32,107 | $ | — | $ | — | $ | — | $ | (16,442 | ) | $ | 171,981 | $ | — | $ | 587,860 | ||||||||||||||||||||||
SA Wellington Real Return Portfolio | 541,185 | 49,610 | — | — | — | — | — | 24,663,626 | — | 25,254,421 | |||||||||||||||||||||||||||||||||
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 | $ | 9,515 | $ | 9,828 | $ | — | $ | 407 | $ | — | $ | — | $ | — | $ | 22,827 | $ | — | $ | 42,577 | |||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 467 | 25,350 | — | (3,720 | ) | — | — | — | 66,223 | — | 88,320 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 27,514 | 29,442 | — | — | — | — | — | 75,376 | — | 132,332 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 69,845 | 24,582 | — | — | — | — | — | 75,966 | — | 170,393 | |||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (25,828 | ) | — | — | 167,579 | (39,015 | ) | — | — | (70,931 | ) | — | 31,805 | ||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 96,400 | — | — | — | — | — | 96,400 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 30,400 | — | — | — | 212,713 | — | 243,113 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 8,789 | — | — | — | — | — | 8,789 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 17,579 | — | — | — | — | — | 17,579 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 5,093 | — | — | — | — | — | 5,093 |
336
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 International Equity Portfolio | $ | — | $ | — | $ | — | $ | 59,113 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 59,113 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 277,443 | 964,360 | 204,765 | — | — | — | (15,165 | ) | 33,047 | — | 1,464,450 | ||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 1,758,033 | 50,130 | — | — | — | — | — | 660,191 | — | 2,468,354 |
* 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 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth 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 | — | — | — | — | — | — | — | — | — | — | — | — |
337
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 Small Cap Portfolio | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 21,436 | — | — | — | — | — | 204,765 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | — | — | — | — | — | — | — | — | — | — | — | — |
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
The following table represents the average monthly balances of derivatives held during the six months ended September 30, 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 Swap Contracts(1) | Total Return Swap Contracts(2) | |||||||||||||||||||||
SA Multi-Managed Growth Portfolio . | $ | 5,188,502 | $ | 281,871 | $ | — | $ | 328,667 | $ | — | $ | — | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 10,140,382 | 1,064,187 | — | 842,667 | — | — | |||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 12,457,219 | 1,310,541 | — | 963,333 | — | — | |||||||||||||||||||||
SA Multi-Managed Income Portfolio . | 14,360,295 | 1,184,553 | — | 980,000 | — | — | |||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 44,105,818 | 5,988,673 | — | — | — | 14,098,094 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 1,674,500 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 1,107,867 | 20,698,672 | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 394,400 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 788,800 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 3,948,768 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 2,766,289 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 117,116,463 | 3,359,141 | 511,747 | 38,971,882 | 1,870,833 | — | |||||||||||||||||||||
SA Wellington Real Return Portfolio | 63,533,921 | 359,177,471 | — | 6,423,909 | — | — |
(1) Amounts represent notional amounts in US dollars.
(2) Amounts represent values in US dollars.
338
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 September 30, 2018. The repurchase agreements held by the Portfolios as of September 30, 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) | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | $ | 8,209 | $ | — | $ | — | $ | 8,209 | $ | — | $ | — | $ | — | $ | — | $ | 8,209 | $ | — | $ | 8,209 |
(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) | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | $ | 5,853 | $ | — | $ | — | $ | 5,853 | $ | — | $ | — | $ | — | $ | — | $ | 5,853 | $ | — | $ | 5,853 | |||||||||||||||||||||||||
JPMorgan Chase Bank | 21,701 | — | — | 21,701 | — | — | — | — | 21,701 | — | 21,701 | ||||||||||||||||||||||||||||||||||||
Total | $ | 27,554 | $ | — | $ | — | $ | 27,554 | $ | — | $ | — | $ | — | $ | — | $ | 27,554 | $ | — | $ | 27,554 |
(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) | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | $ | 5,896 | $ | — | $ | — | $ | 5,896 | $ | — | $ | — | $ | — | $ | — | $ | 5,896 | $ | — | $ | 5,896 | |||||||||||||||||||||||||
JPMorgan Chase Bank | 25,268 | — | — | 25,268 | — | — | — | — | 25,268 | — | 25,268 | ||||||||||||||||||||||||||||||||||||
Total | $ | 31,164 | $ | — | $ | — | $ | 31,164 | $ | — | $ | — | $ | — | $ | — | $ | 31,164 | $ | — | $ | 31,164 |
(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.
339
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) | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | $ | 5,853 | $ | — | $ | — | $ | 5,853 | $ | — | $ | — | $ | — | $ | — | $ | 5,853 | $ | — | $ | 5,853 | |||||||||||||||||||||||||
JPMorgan Chase Bank | 25,202 | — | — | 25,202 | — | — | — | — | 25,202 | — | 25,202 | ||||||||||||||||||||||||||||||||||||
Total | $ | 31,055 | $ | — | $ | — | $ | 31,055 | $ | — | $ | — | $ | — | $ | — | $ | 31,055 | $ | — | $ | 31,055 |
(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. | $ | 2,543 | $ | — | $ | — | $ | 2,543 | $ | 16,186 | $ | — | $ | — | $ | 16,186 | $ | (13,643 | ) | $ | — | $ | (13,643 | ) | |||||||||||||||||||||||
Citibank N.A. | 7,218 | 47,484 | — | 54,702 | 6,749 | 40,328 | — | 47,077 | 7,625 | — | 7,625 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | — | — | 742 | — | — | 742 | (742 | ) | — | (742 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 1,098 | — | — | 1,098 | 26,583 | — | — | 26,583 | (25,485 | ) | — | (25,485 | ) | ||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | — | — | — | — | 4,572 | — | — | 4,572 | (4,572 | ) | — | (4,572 | ) | ||||||||||||||||||||||||||||||||||
UBS AG | — | — | — | — | 4,646 | — | — | 4,646 | (4,646 | ) | — | (4,646 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 10,859 | $ | 47,484 | $ | — | $ | 58,343 | $ | 59,478 | $ | 40,328 | $ | — | $ | 99,806 | $ | (41,463 | ) | $ | — | $ | (41,463 | ) |
(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.
340
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) | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 20,904 | $ | — | $ | — | $ | 20,904 | $ | — | $ | — | $ | — | $ | — | $ | 20,904 | $ | — | $ | 20,904 | |||||||||||||||||||||||||
Credit Suisse AG | 108,287 | — | — | 108,287 | — | — | — | — | 108,287 | — | 108,287 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | 32,617 | — | — | 32,617 | — | — | — | — | 32,617 | — | 32,617 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley and Co., Inc. | 25,965 | — | — | 25,965 | 1,755 | — | — | 1,755 | 24,210 | — | 24,210 | ||||||||||||||||||||||||||||||||||||
UBS AG | 35,660 | — | — | 35,660 | — | — | — | — | 35,660 | — | 35,660 | ||||||||||||||||||||||||||||||||||||
Total | $ | 223,433 | $ | — | $ | — | $ | 223,433 | $ | 1,755 | $ | — | $ | — | $ | 1,755 | $ | 221,678 | $ | — | $ | 221,678 |
(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. | $ | — | $ | — | $ | 207,940 | $ | 207,940 | $ | — | $ | — | $ | — | $ | — | $ | 207,940 | $ | — | $ | 207,940 | |||||||||||||||||||||||||
Goldman Sachs International | — | — | 128,904 | 128,904 | — | — | — | — | 128,904 | — | 128,904 | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | 42,031 | — | — | 42,031 | — | — | — | — | 42,031 | — | 42,031 | ||||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | — | — | — | — | 800 | — | — | 800 | (800 | ) | — | (800 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 42,031 | $ | — | $ | 336,844 | $ | 378,875 | $ | 800 | $ | — | $ | — | $ | 800 | $ | 378,075 | $ | — | $ | 378,075 |
(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) | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | $ | 1,793,229 | $ | — | $ | — | $ | 1,793,229 | $ | — | $ | — | $ | — | $ | — | $ | 1,793,229 | $ | — | $ | 1,793,229 | |||||||||||||||||||||||||
Morgan Stanley and Co., Inc. | 880,691 | — | — | 880,691 | — | — | — | — | 880,691 | — | 880,691 | ||||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | 83,687 | — | — | 83,687 | 59,716 | — | — | 59,716 | 23,971 | — | 23,971 | ||||||||||||||||||||||||||||||||||||
Total | $ | 2,757,607 | $ | — | $ | — | $ | 2,757,607 | $ | 59,716 | $ | — | $ | — | $ | 59,716 | $ | 2,697,891 | $ | — | $ | 2,697,891 |
(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 September 30, 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 | 0.16 | % | $ | 70,000 | |||||||
SA Multi-Managed Moderate Growth | 0.82 | 370,000 | |||||||||
SA Multi-Managed Income/Equity | 0.81 | 365,000 | |||||||||
SA Multi-Managed Income | 0.57 | 255,000 | |||||||||
SA Multi-Managed Large Cap Value | 4.00 | 1,800,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.76 | 790,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 5.04 | 2,270,000 | |||||||||
SA Wellington Real Return | 2.79 | 1,255,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated September 28, 2018, bearing interest at a rate of 2.24% per annum, with a principal amount of $45,000,000, a repurchase price of $45,008,400, and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 1.25 | % | 06/30/2019 | $ | 46,306,000 | $ | 46,007,779 |
As of September 30, 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 | 0.13 | % | $ | 20,000 | |||||||
SA Multi-Managed Moderate Growth | 0.80 | 120,000 | |||||||||
SA Multi-Managed Income/Equity | 0.80 | 120,000 | |||||||||
SA Multi-Managed Income | 0.57 | 85,000 | |||||||||
SA Multi-Managed Large Cap Value | 4.00 | 600,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.73 | 260,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 5.03 | 755,000 | |||||||||
SA Wellington Real Return | 2.77 | 415,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated September 28, 2018, bearing interest at a rate of 2.20% per annum, with a principal amount of $15,000,000, a repurchase price of $15,002,750 and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.50 | % | 05/15/2024 | $ | 15,514,000 | $ | 15,270,540 |
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As of September 30, 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 | 0.18 | % | $ | 150,000 | |||||||
SA Multi-Managed Moderate Growth | 0.85 | 720,000 | |||||||||
SA Multi-Managed Income/Equity | 0.82 | 700,000 | |||||||||
SA Multi-Managed Income | 0.58 | 490,000 | |||||||||
SA Multi-Managed Large Cap Value | 4.02 | 3,420,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.78 | 1,510,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 5.07 | 4,310,000 | |||||||||
SA Wellington Real Return | 2.81 | 2,385,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated September 28, 2018, bearing interest at a rate of 2.22% per annum, with a principal amount of $85,000,000, a repurchase price of $85,015,725, and a maturity date of October 01, 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 | $ | 89,302,200 | $ | 86,599,929 |
As of September 30, 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 | 0.16 | % | $ | 25,000 | |||||||
SA Multi-Managed Moderate Growth | 0.82 | 130,000 | |||||||||
SA Multi-Managed Income/Equity | 0.79 | 125,000 | |||||||||
SA Multi-Managed Income | 0.57 | 90,000 | |||||||||
SA Multi-Managed Large Cap Value | 4.00 | 635,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.73 | 275,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 5.04 | 800,000 | |||||||||
SA Wellington Real Return | 2.77 | 440,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated September 28, 2018, bearing interest at a rate of 2.23% per annum, with a principal amount of $15,865,000, a repurchase price of $15,867,948 and a maturity date of October 01, 2018. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.13 | % | 05/15/2025 | $ | 17,085,000 | $ | 16,309,182 |
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As of September 30, 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 | 0.16 | % | $ | 115,000 | |||||||
SA Multi-Managed Moderate Growth | 0.83 | 580,000 | |||||||||
SA Multi-Managed Income/Equity | 0.81 | 570,000 | |||||||||
SA Multi-Managed Income | 0.57 | 400,000 | |||||||||
SA Multi-Managed Large Cap Value | 4.01 | 2,805,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 1.76 | 1,230,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 5.05 | 3,535,000 | |||||||||
SA Wellington Real Return | 2.79 | 1,950,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated September 28, 2018, bearing interest at a rate of 2.23% per annum, with a principal amount of $70,000,000, a repurchase price of $70,013,008, and a maturity date of October 01, 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 | 05/23/2019 | $ | 72,610,000 | $ | 71,469,932 |
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 "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 period ended September 30, 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
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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 six months ended September 30, 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.
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).
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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 Pronouncements: In August 2018, the SEC adopted amendments to certain financial statement disclosure requirements of Regulation S-X to conform them to GAAP for investment companies. The final rule became effective on November 5, 2018. Management is currently evaluating the amendments and their impact, if any, on the Funds' financial statements.
In August 2018, the FASB issued Accounting Standards Update ("ASU") No. 2018-13 "Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement". The ASU eliminates, modifies, and adds disclosure requirements for fair value measurements and is for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. Management is currently evaluating the amendments and their impact, if any, on the Portfolios' financial statements.
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
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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)(8) | 0-$250 million | 0.89 | % | ||||||||
| >$250 million | 0.84 | % | ||||||||
| >$500 million | 0.79 | % | ||||||||
SA Multi-Managed Moderate Growth(1)(9) | 0-$250 million | 0.85 | % | ||||||||
>$250 million | 0.80 | % | |||||||||
>$500 million | 0.75 | % | |||||||||
SA Multi-Managed Income/Equity(10) | 0-$250 million | 0.81 | % | ||||||||
>$250 million | 0.76 | % | |||||||||
>$500 million | 0.71 | % | |||||||||
SA Multi-Managed Income(11) | 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(12), 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 six months ended September 30, 2018, the amount of advisory fees waived were $78, $55, and $112 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 six months ended September 30, 2018, the amount of advisory fees waived was $79,820.
(3) The Adviser contractually agreed to waive 0.04% of advisory fees for the SA Multi-Managed International Equity Portfolio. For the six months ended September 30, 2018, the amount of advisory fees waived was $109,456.
(4) The Adviser voluntarily agreed to waive 0.05% of advisory fees for the SA Wellington Real Return Portfolio. For the six months ended September 30, 2018, the amount of advisory fees waived was $190,363.
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(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 six months ended September 30, 2018, the amount of advisory fees waived was $196,861.
(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 six months ended September 30, 2018, the amount of advisory fees waived was $514,772.
(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 six months ended September 30, 2018, the amount of advisory fees waived was $6,714, $25,183, $15,613 and $11,272, respectively.
(8) Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Growth Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.85% on the first $250 million, 0.80% on the next $250 million, and 0.75% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $8,980.
(9) Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Moderate Growth Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.82% on the first $250 million, 0.77% on the next $250 million, and 0.72% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $11,086.
(10) Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Income/Equity Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.78% on the first $250 million, 0.73% on the next $250 million, and 0.68% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $7,558.
(11) Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Income Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.75% on the first $250 million, 0.70% on the next $250 million, and 0.65% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $4,076.
(12) Effective May 1, 2018, the Adviser contractually agreed to waive its advisory fee for the SA Multi-Managed Large Cap Growth Portfolio so that the advisory fee on average daily net assets payable to SunAmerica equals 0.75% on the first $250 million, 0.69% on the next $250 million, and 0.60% above $500 million. For the six months ended September 30, 2018, the amount of advisory fees waived was $116,462.
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 |
349
Portfolio | Subadviser/Adviser | ||||||
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 | ||||||
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 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 six months ended September 30, 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 six months ended September 30, 2018, service fees were paid (see Statement of Operations) based on the aforementioned rates.
On December 14, 2011, the SA Putnam Asset Allocation Diversified Growth Portfolio engaged in an investment transaction that violated Sections 17(a)(1) and 17(a)(2) of the Act. The violation resulted in a loss to the Fund of $0.38, which was reimbursed during November 2018.
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 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 |
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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 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.
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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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 | — | — | — |
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 | $ | 10,846,510 | $ | (1,232,497 | ) | $ | 9,614,013 | $ | 47,242,819 | ||||||||||
SA Multi-Managed Moderate Growth | 14,106,130 | (2,163,058 | ) | 11,943,072 | 86,754,596 | ||||||||||||||
SA Multi-Managed Income/Equity | 5,530,116 | (1,222,659 | ) | 4,307,457 | 67,291,778 | ||||||||||||||
SA Multi-Managed Income | 2,476,806 | (1,123,251 | ) | 1,353,555 | 60,224,253 | ||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 18,060,795 | (4,913,801 | ) | 13,146,994 | 154,830,569 | ||||||||||||||
SA T. Rowe Price Growth Stock | 133,198,656 | (7,962,046 | ) | 125,236,610 | 301,771,602 | ||||||||||||||
SA Multi-Managed Large Cap Growth . . | 158,867,083 | (5,048,667 | ) | 153,818,416 | 390,769,716 | ||||||||||||||
SA Multi-Managed Large Cap Value . . | 119,282,408 | (33,764,591 | ) | 85,517,817 | 699,375,824 | ||||||||||||||
SA Multi-Managed Mid Cap Growth . | 69,098,608 | (8,254,715 | ) | 60,843,893 | 174,537,668 | ||||||||||||||
SA Multi-Managed Mid Cap Value . | 40,982,210 | (11,019,946 | ) | 29,962,264 | 224,844,252 | ||||||||||||||
SA Multi-Managed Small Cap . . | 83,343,135 | (15,188,968 | ) | 68,154,167 | 231,508,938 | ||||||||||||||
SA Multi-Managed International Equity . | 66,358,308 | (23,521,190 | ) | 42,837,118 | 429,255,147 | ||||||||||||||
SA Multi-Managed Diversified Fixed Income . | 4,841,142 | (26,726,749 | ) | (21,885,607 | ) | 1,174,949,550 | |||||||||||||
SA Wellington Real Return | 7,460,024 | (26,895,456 | ) | (19,435,432 | ) | 845,182,171 | |||||||||||||
SA Columbia Focused Growth. . | 35,197,904 | (1,476,858 | ) | 33,721,046 | 76,279,319 | ||||||||||||||
SA Columbia Focused Value. . | 86,287,338 | (1,885,778 | ) | 84,401,560 | 244,658,702 | ||||||||||||||
SA Allocation Growth | 10,799,244 | (1,266,926 | ) | 9,532,318 | 137,300,629 | ||||||||||||||
SA Allocation Moderate Growth | 39,405,898 | (4,260,371 | ) | 35,145,527 | 458,435,943 | ||||||||||||||
SA Allocation Moderate | 20,820,957 | (4,400,138 | ) | 16,420,819 | 292,673,423 | ||||||||||||||
SA Allocation Balanced | 10,674,203 | (4,261,407 | ) | 6,412,796 | 217,389,729 |
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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 six months ended September 30, 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 six months ended September 30, 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 | $ | 12,713,725 | $ | 18,146,522 | $ | 1,511,551 | $ | 811,804 | |||||||||||
SA Multi-Managed Moderate Growth | 21,222,398 | 29,308,832 | 2,843,296 | 2,283,542 | |||||||||||||||
SA Multi-Managed Income/ Equity | 12,411,307 | 17,893,137 | 4,793,570 | 3,121,147 | |||||||||||||||
SA Multi-Managed Income | 10,598,998 | 14,428,695 | 3,990,075 | 2,753,975 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 71,049,053 | 65,550,519 | 18,460,291 | 15,518,806 | |||||||||||||||
SA T. Rowe Price Growth Stock | 80,558,366 | 107,588,855 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Growth | 120,401,207 | 152,974,909 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Value | 107,204,446 | 225,020,631 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 51,858,902 | 70,759,191 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Value | 37,262,562 | 51,204,612 | — | — | |||||||||||||||
SA Multi-Managed Small Cap | 58,347,007 | 69,283,519 | — | — | |||||||||||||||
SA Multi-Managed International Equity | 68,646,541 | 197,883,696 | — | — | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 150,753,397 | 182,069,031 | 61,808,064 | 79,188,445 | |||||||||||||||
SA Wellington Real Return | 71,298,218 | 10,299,131 | 184,977,986 | 95,131,283 | |||||||||||||||
SA Columbia Focused Growth Portfolio | 8,868,777 | 48,001,752 | — | — | |||||||||||||||
SA Columbia Focused Value Portfolio | 23,479,853 | 28,857,990 | — | — | |||||||||||||||
SA Allocation Growth | 31,935,465 | 13,876,267 | — | — | |||||||||||||||
SA Allocation Moderate Growth | 39,814,683 | 77,027,625 | — | — | |||||||||||||||
SA Allocation Moderate | 24,675,629 | 42,765,628 | — | — | |||||||||||||||
SA Allocation Balanced | 20,335,932 | 29,094,541 | — | — |
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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 six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 823 | $ | 15,068 | 23,923 | $ | 411,195 | 13,042 | $ | 225,480 | 54,487 | $ | 933,667 | |||||||||||||||||||||||
Reinvested dividends | — | — | 42,943 | 725,977 | — | — | 83,966 | 1,419,038 | |||||||||||||||||||||||||||
Shares redeemed | (40,130 | ) | (706,531 | ) | (91,641 | ) | (1,566,155 | ) | (92,155 | ) | (1,635,333 | ) | (173,913 | ) | (3,001,214 | ) | |||||||||||||||||||
Net increase (decrease) | (39,307 | ) | $ | (691,463 | ) | (24,775 | ) | $ | (428,983 | ) | (79,113 | ) | $ | (1,409,853 | ) | (35,460 | ) | $ | (648,509 | ) | |||||||||||||||
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 11,842 | $ | 208,859 | 74,588 | $ | 1,280,324 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 105,422 | 1,778,378 | |||||||||||||||||||||||||||||||
Shares redeemed | (124,543 | ) | (2,223,875 | ) | (382,459 | ) | (6,580,523 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (112,701 | ) | $ | (2,015,016 | ) | (202,449 | ) | $ | (3,521,821 | ) | |||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 4,264 | $ | 58,724 | 29,916 | $ | 388,833 | 19,709 | $ | 270,401 | 141,264 | $ | 1,844,423 | |||||||||||||||||||||||
Reinvested dividends | — | — | 43,819 | 564,015 | — | — | 190,087 | 2,444,099 | |||||||||||||||||||||||||||
Shares redeemed | (37,420 | ) | (501,989 | ) | (106,065 | ) | (1,385,280 | ) | (229,252 | ) | (3,045,280 | ) | (436,967 | ) | (5,673,054 | ) | |||||||||||||||||||
Net increase (decrease) | (33,156 | ) | $ | (443,265 | ) | (32,330 | ) | $ | (432,432 | ) | (209,543 | ) | $ | (2,774,879 | ) | (105,616 | ) | $ | (1,384,532 | ) | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 |
| ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 76,403 | $ | 1,033,789 | 149,916 | $ | 1,942,031 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 162,142 | 2,082,701 | |||||||||||||||||||||||||||||||
Shares redeemed | (274,012 | ) | (3,669,241 | ) | (571,672 | ) | (7,438,258 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (197,609 | ) | $ | (2,635,452 | ) | (259,614 | ) | $ | (3,413,526 | ) |
354
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 11,619 | $ | 133,867 | 62,970 | $ | 712,626 | 103,143 | $ | 1,173,244 | 273,512 | $ | 3,092,536 | |||||||||||||||||||||||
Reinvested dividends | — | — | 35,174 | 394,819 | — | — | 135,354 | 1,517,947 | |||||||||||||||||||||||||||
Shares redeemed | (38,048 | ) | (434,638 | ) | (124,701 | ) | (1,422,532 | ) | (244,952 | ) | (2,787,231 | ) | (655,871 | ) | (7,416,972 | ) | |||||||||||||||||||
Net increase (decrease) | (26,429 | ) | $ | (300,771 | ) | (26,557 | ) | $ | (315,087 | ) | (141,809 | ) | $ | (1,613,987 | ) | (247,005 | ) | $ | (2,806,489 | ) | |||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 33,046 | $ | 380,729 | 184,334 | $ | 2,078,266 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 75,151 | 843,370 | |||||||||||||||||||||||||||||||
Shares redeemed | (113,897 | ) | (1,293,270 | ) | (445,308 | ) | (5,044,969 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (80,851 | ) | $ | (912,541 | ) | (185,823 | ) | $ | (2,123,333 | ) | |||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 9,816 | $ | 110,133 | 28,998 | $ | 325,667 | 90,066 | $ | 1,000,092 | 192,414 | $ | 2,170,747 | |||||||||||||||||||||||
Reinvested dividends | — | — | 19,541 | 217,946 | — | — | 93,252 | 1,039,071 | |||||||||||||||||||||||||||
Shares redeemed | (30,301 | ) | (338,338 | ) | (100,282 | ) | (1,133,798 | ) | (176,535 | ) | (1,959,501 | ) | (469,340 | ) | (5,281,226 | ) | |||||||||||||||||||
Net increase (decrease) | (20,485 | ) | $ | (228,205 | ) | (51,743 | ) | $ | (590,185 | ) | (86,469 | ) | $ | (959,409 | ) | (183,674 | ) | $ | (2,071,408 | ) | |||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 66,171 | $ | 739,013 | 178,211 | $ | 2,006,383 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 56,150 | 625,763 | |||||||||||||||||||||||||||||||
Shares redeemed | (134,765 | ) | (1,501,372 | ) | (306,612 | ) | (3,455,166 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (68,594 | ) | $ | (762,359 | ) | (72,251 | ) | $ | (823,020 | ) |
355
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 15,904 | $ | 195,787 | 66,816 | $ | 822,031 | 86,880 | $ | 1,072,426 | 212,616 | $ | 2,643,686 | |||||||||||||||||||||||
Reinvested dividends | — | — | 114,888 | 1,403,958 | — | — | 411,013 | 5,025,373 | |||||||||||||||||||||||||||
Shares redeemed | (76,784 | ) | (962,142 | ) | (228,767 | ) | (2,856,980 | ) | (365,232 | ) | (4,573,273 | ) | (879,101 | ) | (10,951,490 | ) | |||||||||||||||||||
Net increase (decrease) | (60,880 | ) | $ | (766,355 | ) | (47,063 | ) | $ | (630,991 | ) | (278,352 | ) | $ | (3,500,847 | ) | (255,472 | ) | $ | (3,282,431 | ) | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
| ||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 1,341,194 | $ | 16,683,077 | 2,674,876 | $ | 33,454,153 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 496,632 | 6,057,985 | |||||||||||||||||||||||||||||||
Shares redeemed | (362,534 | ) | (4,546,710 | ) | (961,653 | ) | (12,006,715 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 978,660 | $ | 12,136,367 | 2,209,855 | $ | 27,505,423 | |||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 26,364 | $ | 794,514 | 155,378 | $ | 4,280,626 | 17,618 | $ | 488,231 | 36,337 | $ | 1,001,184 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,605,712 | 42,229,712 | — | — | 215,185 | 5,508,566 | |||||||||||||||||||||||||||
Shares redeemed | (795,973 | ) | (23,227,626 | ) | (3,967,927 | ) | (108,851,836 | ) | (160,752 | ) | (4,541,731 | ) | (481,656 | ) | (12,816,114 | ) | |||||||||||||||||||
Net increase (decrease) | (769,609 | ) | $ | (22,433,112 | ) | (2,206,837 | ) | $ | (62,341,498 | ) | (143,134 | ) | $ | (4,053,500 | ) | (230,134 | ) | $ | (6,306,364 | ) | |||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 20,944 | $ | 591,562 | 47,633 | $ | 1,246,833 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 186,122 | 4,686,165 | |||||||||||||||||||||||||||||||
Shares redeemed | (147,043 | ) | (4,109,810 | ) | (494,727 | ) | (13,006,284 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (126,099 | ) | $ | (3,518,248 | ) | (260,972 | ) | $ | (7,073,286 | ) |
356
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 3,590,998 | $ | 60,393,932 | 5,656,976 | $ | 83,239,821 | 24,326 | $ | 385,849 | 89,166 | $ | 1,320,841 | |||||||||||||||||||||||
Reinvested dividends | — | — | 2,021,233 | 30,133,329 | — | — | 148,777 | 2,174,755 | |||||||||||||||||||||||||||
Shares redeemed | (5,571,257 | ) | (88,185,502 | ) | (12,459,273 | ) | (186,041,023 | ) | (265,369 | ) | (4,253,928 | ) | (414,853 | ) | (6,101,050 | ) | |||||||||||||||||||
Net increase (decrease) | (1,980,259 | ) | $ | (27,791,570 | ) | (4,781,064 | ) | $ | (72,667,873 | ) | (241,043 | ) | $ | (3,868,079 | ) | (176,910 | ) | $ | (2,605,454 | ) | |||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 8,398 | $ | 136,959 | 71,362 | $ | 1,025,826 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 79,553 | 1,151,687 | |||||||||||||||||||||||||||||||
Shares redeemed | (112,654 | ) | (1,802,009 | ) | (276,177 | ) | (4,006,121 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (104,256 | ) | $ | (1,665,050 | ) | (125,262 | ) | $ | (1,828,608 | ) | |||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 246,843 | $ | 4,271,788 | 2,379,575 | $ | 41,593,430 | 11,476 | $ | 198,304 | 28,793 | $ | 500,918 | |||||||||||||||||||||||
Reinvested dividends | — | — | 4,780,858 | 81,468,326 | — | — | 163,557 | 2,785,011 | |||||||||||||||||||||||||||
Shares redeemed | (7,324,855 | ) | (123,971,302 | ) | (14,400,785 | ) | (253,523,230 | ) | (123,947 | ) | (2,134,723 | ) | (288,712 | ) | (5,085,722 | ) | |||||||||||||||||||
Net increase (decrease) | (7,078,012 | ) | $ | (119,699,514 | ) | (7,240,352 | ) | $ | (130,461,474 | ) | (112,471 | ) | $ | (1,936,419 | ) | (96,362 | ) | $ | (1,799,793 | ) | |||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 12,215 | $ | 211,196 | 51,676 | $ | 904,916 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 87,760 | 1,494,353 | |||||||||||||||||||||||||||||||
Shares redeemed | (94,198 | ) | (1,623,299 | ) | (185,078 | ) | (3,255,093 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (81,983 | ) | $ | (1,412,103 | ) | (45,642 | ) | $ | (855,824 | ) |
357
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 431,553 | $ | 8,631,518 | 1,127,173 | $ | 20,426,328 | 24,026 | $ | 462,556 | 46,660 | $ | 824,719 | |||||||||||||||||||||||
Reinvested dividends | — | — | 847,558 | 15,475,813 | — | — | 115,257 | 2,014,389 | |||||||||||||||||||||||||||
Shares redeemed | (1,358,141 | ) | (27,028,364 | ) | (1,652,651 | ) | (30,220,795 | ) | (114,707 | ) | (2,210,206 | ) | (214,888 | ) | (3,819,674 | ) | |||||||||||||||||||
Net increase (decrease) | (926,588 | ) | $ | (18,396,846 | ) | 322,080 | $ | 5,681,346 | (90,681 | ) | $ | (1,747,650 | ) | (52,971 | ) | $ | (980,566 | ) | |||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 14,046 | $ | 271,035 | 43,879 | $ | 735,824 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 81,872 | 1,395,287 | |||||||||||||||||||||||||||||||
Shares redeemed | (83,528 | ) | (1,568,914 | ) | (205,820 | ) | (3,553,679 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (69,482 | ) | $ | (1,297,879 | ) | (80,069 | ) | $ | (1,422,568 | ) | |||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 51,451 | $ | 901,698 | 1,166,991 | $ | 20,810,766 | 5,322 | $ | 93,411 | 22,107 | $ | 391,345 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,635,891 | 27,718,810 | — | — | 208,160 | 3,517,831 | |||||||||||||||||||||||||||
Shares redeemed | (586,262 | ) | (10,203,558 | ) | (3,429,926 | ) | (61,692,352 | ) | (97,611 | ) | (1,691,550 | ) | (251,164 | ) | (4,471,434 | ) | |||||||||||||||||||
Net increase (decrease) | (534,811 | ) | $ | (9,301,860 | ) | (627,044 | ) | $ | (13,162,776 | ) | (92,289 | ) | $ | (1,598,139 | ) | (20,897 | ) | $ | (562,258 | ) | |||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 17,234 | $ | 301,839 | 54,713 | $ | 966,461 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 136,376 | 2,300,513 | |||||||||||||||||||||||||||||||
Shares redeemed | (92,200 | ) | (1,593,527 | ) | (255,190 | ) | (4,551,791 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (74,966 | ) | $ | (1,291,688 | ) | (64,101 | ) | $ | (1,284,817 | ) |
358
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 870,395 | $ | 13,748,741 | 339,786 | $ | 4,810,859 | 14,416 | $ | 221,687 | 44,694 | $ | 632,044 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,614,464 | 22,814,145 | — | — | 120,714 | 1,662,406 | |||||||||||||||||||||||||||
Shares redeemed | (1,386,569 | ) | (21,262,808 | ) | (2,986,185 | ) | (42,227,086 | ) | (123,316 | ) | (1,851,068 | ) | (251,182 | ) | (3,526,143 | ) | |||||||||||||||||||
Net increase (decrease) | (516,174 | ) | $ | (7,514,067 | ) | (1,031,935 | ) | $ | (14,602,082 | ) | (108,900 | ) | $ | (1,629,381 | ) | (85,774 | ) | $ | (1,231,693 | ) | |||||||||||||||
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 30,051 | $ | 451,191 | 58,455 | $ | 803,463 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 84,609 | 1,146,966 | |||||||||||||||||||||||||||||||
Shares redeemed | (98,025 | ) | (1,450,338 | ) | (168,765 | ) | (2,336,446 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (67,974 | ) | $ | (999,147 | ) | (25,701 | ) | $ | (386,017 | ) | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 352,016 | $ | 3,402,018 | 1,815,942 | $ | 17,002,884 | 56,040 | $ | 549,333 | 153,900 | $ | 1,446,242 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,303,851 | 12,521,978 | — | — | 44,973 | 432,780 | |||||||||||||||||||||||||||
Shares redeemed | (14,528,309 | ) | (141,464,141 | ) | (17,779,072 | ) | (169,940,352 | ) | (213,340 | ) | (2,084,355 | ) | (378,795 | ) | (3,608,597 | ) | |||||||||||||||||||
Net increase (decrease) | (14,176,293 | ) | $ | (138,062,123 | ) | (14,659,279 | ) | $ | (140,415,490 | ) | (157,300 | ) | $ | (1,535,022 | ) | (179,922 | ) | $ | (1,729,575 | ) | |||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 57,308 | $ | 552,546 | 124,217 | $ | 1,141,505 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 33,209 | 318,610 | |||||||||||||||||||||||||||||||
Shares redeemed | (164,884 | ) | (1,589,683 | ) | (441,046 | ) | (4,151,317 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (107,576 | ) | $ | (1,037,137 | ) | (283,620 | ) | $ | (2,691,202 | ) |
359
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 2,375,859 | $ | 27,316,859 | 14,859,892 | $ | 173,898,970 | 21,126 | $ | 242,454 | 107,109 | $ | 1,269,079 | |||||||||||||||||||||||
Reinvested dividends | — | — | 2,031,030 | 23,737,627 | — | — | 50,662 | 591,671 | |||||||||||||||||||||||||||
Shares redeemed | (6,238,828 | ) | (71,569,027 | ) | (24,854,157 | ) | (295,973,448 | ) | (235,554 | ) | (2,700,080 | ) | (472,076 | ) | (5,575,063 | ) | |||||||||||||||||||
Net increase (decrease) | (3,862,969 | ) | $ | (44,252,168 | ) | (7,963,235 | ) | $ | (98,336,851 | ) | (214,428 | ) | $ | (2,457,626 | ) | (314,305 | ) | $ | (3,714,313 | ) | |||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 17,198 | $ | 196,302 | 203,931 | $ | 2,383,117 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 28,653 | 333,083 | |||||||||||||||||||||||||||||||
Shares redeemed | (126,559 | ) | (1,443,443 | ) | (380,137 | ) | (4,447,535 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (109,361 | ) | $ | (1,247,141 | ) | (147,553 | ) | $ | (1,731,335 | ) | |||||||||||||||||||||||||
SA Wellington Real Return Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 813,393 | $ | 7,879,745 | 11,411,819 | $ | 111,054,532 | 2,123,104 | $ | 20,368,954 | 5,144,242 | $ | 49,729,477 | |||||||||||||||||||||||
Reinvested dividends | — | — | 831,044 | 8,021,823 | — | — | 954,267 | 9,143,842 | |||||||||||||||||||||||||||
Shares redeemed | (2,218,588 | ) | (21,459,618 | ) | (2,701,807 | ) | (26,317,213 | ) | (3,127,289 | ) | (29,999,798 | ) | (6,266,709 | ) | (60,581,415 | ) | |||||||||||||||||||
Net increase (decrease) | (1,405,195 | ) | $ | (13,579,873 | ) | 9,541,056 | $ | 92,759,142 | (1,004,185 | ) | $ | (9,630,844 | ) | (168,200 | ) | $ | (1,708,096 | ) | |||||||||||||||||
SA Columbia Focused Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 10,028 | $ | 121,441 | 103,955 | $ | 1,098,903 | 103,262 | $ | 1,140,544 | 99,776 | $ | 950,819 | |||||||||||||||||||||||
Reinvested dividends | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Shares redeemed | (2,643,262 | ) | (31,224,097 | ) | (2,555,405 | ) | (25,489,519 | ) | (197,647 | ) | (2,165,374 | ) | (407,183 | ) | (3,902,367 | ) | |||||||||||||||||||
Net increase (decrease) | (2,633,234 | ) | $ | (31,102,656 | ) | (2,451,450 | ) | $ | (24,390,616 | ) | (94,385 | ) | $ | (1,024,830 | ) | (307,407 | ) | $ | (2,951,548 | ) |
360
SA Columbia Focused Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 9,571 | $ | 107,503 | 119,186 | $ | 1,068,551 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | — | — | |||||||||||||||||||||||||||||||
Shares redeemed | (258,209) | (2,787,421 | ) | (476,094 | ) | (4,440,502 | ) | ||||||||||||||||||||||||||||
Net increase (decrease) | (248,638) | $ | (2,679,918 | ) | (356,908 | ) | $ | (3,371,951 | ) | ||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 408,696 | $ | 8,554,625 | 138,503 | $ | 2,876,650 | 3,932 | $ | 82,369 | 30,929 | $ | 640,330 | |||||||||||||||||||||||
Reinvested dividends | — | — | 615,325 | 12,856,576 | — | — | 30,215 | 630,672 | |||||||||||||||||||||||||||
Shares redeemed | (646,864 | ) | (13,674,067 | ) | (4,367,370 | ) | (85,973,760 | ) | (59,257 | ) | (1,246,567 | ) | (111,491 | ) | (2,216,264 | ) | |||||||||||||||||||
Net increase (decrease) | (238,168 | ) | $ | (5,119,442 | ) | (3,613,542 | ) | $ | (70,240,534 | ) | (55,325 | ) | $ | (1,164,198 | ) | (50,347 | ) | $ | (945,262 | ) | |||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 3,829 | $ | 79,043 | 20,952 | $ | 419,647 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 22,709 | 472,932 | |||||||||||||||||||||||||||||||
Shares redeemed | (55,956 | ) | (1,170,514 | ) | (128,549 | ) | (2,593,806 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (52,127 | ) | $ | (1,091,471 | ) | (84,888 | ) | $ | (1,701,227 | ) | |||||||||||||||||||||||||
SA Allocation Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 7,268 | $ | 108,589 | 2,396 | $ | 35,885 | 1,849,372 | $ | 27,405,108 | 2,409,729 | $ | 34,518,413 | |||||||||||||||||||||||
Reinvested dividends | — | — | 269 | 3,877 | — | — | 256,542 | 3,685,544 | |||||||||||||||||||||||||||
Shares redeemed | (62 | ) | (934 | ) | (16 | ) | (229 | ) | (618,252 | ) | (9,183,034) | (1,217,632 | ) | (17,400,326 | ) | ||||||||||||||||||||
Net increase (decrease) | 7,206 | $ | 107,655 | 2,649 | $ | 39,533 | 1,231,120 | $ | 18,222,074 | 1,448,639 | $ | 20,803,631 |
361
SA Allocation Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,090 | $ | 13,043 | 4,082 | $ | 48,626 | 974,133 | $ | 11,658,869 | 2,241,194 | $ | 26,389,464 | |||||||||||||||||||||||
Reinvested dividends | — | — | 480 | 5,638 | — | — | 2,038,184 | 23,876,248 | |||||||||||||||||||||||||||
Shares redeemed | (2,146 | ) | (25,793 | ) | (1,358 | ) | (16,505 | ) | (3,995,717 | ) | (47,920,665 | ) | (6,936,893 | ) | (81,762,877 | ) | |||||||||||||||||||
Net increase (decrease) | (1,056 | ) | $ | (12,750 | ) | 3,204 | $ | 37,759 | (3,021,584 | ) | $ | (36,261,796 | ) | (2,657,515 | ) | $ | (31,497,165 | ) | |||||||||||||||||
SA Allocation Moderate Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | — | $ | — | 1,712 | $ | 20,000 | 805,516 | $ | 9,514,600 | 2,029,171 | $ | 23,566,955 | |||||||||||||||||||||||
Reinvested dividends | — | — | 359 | 4,167 | — | — | 1,002,440 | 11,619,170 | |||||||||||||||||||||||||||
Shares redeemed | — | — | (1,711 | ) | (20,463 | ) | (2,287,326 | ) | (27,008,939 | ) | (5,063,115 | ) | (58,670,227 | ) | |||||||||||||||||||||
Net increase (decrease) | — | $ | — | 360 | $ | 3,704 | (1,481,810 | ) | $ | (17,494,339 | ) | (2,031,504 | ) | $ | (23,484,102 | ) | |||||||||||||||||||
SA Allocation Balanced Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | For the six months ended September 30, 2018 (unaudited) | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 1,129,395 | $ | 12,308,743 | 2,624,362 | $ | 28,816,830 | |||||||||||||||||||||||
Reinvested dividends | — | — | 500 | 5,437 | — | — | 1,056,395 | 11,458,102 | |||||||||||||||||||||||||||
Shares redeemed | — | — | — | — | (1,896,184 | ) | (20,697,782 | ) | (5,306,727 | ) | (58,271,163 | ) | |||||||||||||||||||||||
Net increase (decrease) | — | $ | — | 500 | $ | 5,437 | (766,789 | ) | $ | (8,389,039 | ) | (1,625,970 | ) | $ | (17,996,231 | ) |
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 six months ended September 30, 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, 2018 | Cost of Purchases | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
American International Group, Inc. | $ | 13,668 | $ | — | $ | 1,311,685 | $ | 1,491 | $ | 159,473 | $ | 16,015 | $ | (39,220 | ) | $ | 1,130,498 |
362
SA Allocation Growth Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 1,688,248 | $ | 624,047 | $ | 46,218 | $ | (1,358 | ) | $ | 504 | $ | 2,265,223 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 4,936,294 | 954,419 | 132,051 | (1,584 | ) | (9,868 | ) | 5,747,210 | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 12,402,806 | 2,052,008 | 1,266,598 | 175,661 | (223,201 | ) | 13,140,676 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 13,269,765 | 2,010,691 | 2,809,672 | 524,054 | 1,176,284 | 14,171,122 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 14,492,594 | 2,341,778 | 1,860,842 | 205,006 | 663,341 | 15,841,877 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 1,561,521 | 245,645 | 37,965 | 8,599 | 187,354 | 1,965,154 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 2,003,239 | 352,448 | 54,471 | 4,809 | 110,359 | 2,416,384 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 1,879,175 | 299,047 | 146,218 | 37,236 | 152,098 | 2,221,338 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 2,790,118 | 1,016,291 | 75,929 | (1,021 | ) | 12,044 | 3,741,503 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 3,690,816 | 640,814 | 249,038 | 25,273 | 512,791 | 4,620,656 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 602,540 | 106,802 | 16,506 | 77 | 5,454 | 698,367 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | — | 1,779,066 | 36,303 | (2,293 | ) | (107,665 | ) | 1,632,805 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 2,238,921 | 495,169 | 686,073 | (36,848 | ) | 55,445 | 2,066,614 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 3,382,129 | 2,825,198 | 129,992 | (1,774 | ) | (9,341 | ) | 6,066,220 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 3,045,226 | 2,711,117 | 120,089 | (1,751 | ) | 14,101 | 5,648,604 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 703,410 | 128,163 | 19,808 | 534 | 39,060 | 851,359 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 6,511,846 | 770,615 | 3,656,456 | 75,589 | (103,056 | ) | 3,598,538 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 895,261 | 149,523 | 23,109 | 4,136 | 147,861 | 1,173,672 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 3,178,260 | 442,385 | 668,010 | 151,475 | (550,423 | ) | 2,553,687 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 5,893,344 | 1,068,023 | 165,063 | 8,692 | 513,573 | 7,318,569 |
363
SA Allocation Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | $ | — | $ | — | $ | 2,262,144 | $ | 555,849 | $ | 62,724 | $ | (2,700 | ) | $ | (1,617 | ) | $ | 2,750,952 | |||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 1,914,367 | 309,727 | 147,868 | 12,929 | 190,020 | 2,279,175 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | — | 2,124,879 | 43,564 | 3,505 | 262,853 | 2,347,673 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 8,201,940 | 1,441,831 | 222,835 | 24,407 | 961,784 | 10,407,127 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | — | 2,124,879 | 43,564 | 2,023 | 133,731 | 2,217,069 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 2,442,778 | 427,209 | 66,025 | 4,381 | 196,444 | 3,004,787 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 5,011,864 | 854,419 | 432,051 | 53,389 | 648,662 | 6,136,283 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 1,877,058 | 341,767 | 52,820 | 6,801 | 151,834 | 2,324,640 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 3,705,149 | 765,814 | 99,038 | 2,377 | (1,069 | ) | 4,373,233 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 4,304,206 | 801,017 | 123,797 | 5,213 | 473,908 | 5,460,547 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 929,768 | 160,204 | 224,760 | 10,622 | 18,814 | 894,648 | |||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 2,063,994 | 373,808 | 57,772 | 315 | (78,723 | ) | 2,301,622 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 3,631,408 | 640,813 | 99,038 | 16,660 | 405,770 | 4,595,613 | |||||||||||||||||||||||||||
$ | — | $ | — | $ | 121,510,189 | $ | 31,935,465 | $ | 13,876,267 | $ | 1,314,434 | $ | 5,949,126 | $ | 146,832,947 |
† Includes reinvestment of distributions paid.
SA Allocation Moderate Growth Portfolio
Security | Net Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 12,699,394 | $ | 1,037,552 | $ | 930,663 | $ | (28,777 | ) | $ | 20,876 | $ | 12,798,382 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 65,821,188 | 2,195,585 | 7,347,203 | (154,922 | ) | (12,621 | ) | 60,502,027 | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 39,837,999 | 117,638 | 6,189,274 | 769,490 | (886,429 | ) | 33,649,424 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 45,059,861 | 125,799 | 11,270,966 | 2,225,336 | 3,007,118 | 39,147,148 |
364
SA Allocation Moderate Growth Portfolio (continued)
Security | Net Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | $ | — | $ | — | $ | 48,996,553 | $ | 143,010 | $ | 8,322,519 | $ | 1,384,226 | $ | 1,272,384 | $ | 43,473,654 | |||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 4,989,245 | 14,082 | 648,999 | 43,133 | 490,939 | 4,888,400 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 7,016,979 | 21,906 | 542,887 | 66,870 | 308,779 | 6,871,647 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 6,294,200 | 17,994 | 970,943 | 97,409 | 488,909 | 5,927,569 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 21,262,826 | 2,262,587 | 2,351,105 | (59,596 | ) | 141,901 | 21,256,613 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 12,190,796 | 589,117 | 969,441 | 101,698 | 1,623,738 | 13,535,908 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 4,902,620 | 265,647 | 387,776 | 1,520 | 39,866 | 4,821,877 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | — | 4,710,766 | 304,194 | (16,042 | ) | (298,084 | ) | 4,092,446 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 16,618,759 | 50,070 | 4,240,884 | (233,211 | ) | 334,062 | 12,528,796 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 13,711,334 | 6,076,934 | 1,335,895 | (20,343 | ) | (29,609 | ) | 18,402,421 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 12,603,221 | 6,073,804 | 1,258,340 | (19,777 | ) | 57,924 | 17,456,832 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 3,031,034 | 9,388 | 232,666 | 4,466 | 162,204 | 2,974,426 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 22,990,483 | 51,036 | 12,867,194 | 273,093 | (348,321 | ) | 10,099,097 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 3,370,809 | 9,388 | 532,666 | 69,522 | 416,969 | 3,334,022 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 9,338,787 | 24,934 | 1,906,739 | 416,064 | (1,560,133 | ) | 6,312,913 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 19,762,726 | 612,587 | 1,551,105 | 67,257 | 1,531,198 | 20,422,663 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 20,998,225 | 62,587 | 1,551,105 | (69,068 | ) | 20,519 | 19,461,158 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 5,643,278 | 17,212 | 426,554 | 51,585 | 518,200 | 5,803,721 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | — | 6,313,458 | 380,243 | 29,798 | 814,002 | 6,777,015 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 30,240,515 | 93,881 | 2,676,657 | 262,772 | 2,982,288 | 30,902,799 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | — | 6,313,458 | 380,243 | 15,599 | 412,069 | 6,360,883 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 8,549,336 | 377,382 | 678,608 | 39,517 | 611,413 | 8,899,040 |
365
SA Allocation Moderate Growth Portfolio (continued)
Security | Net Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | $ | — | $ | — | $ | 17,469,342 | $ | 479,764 | $ | 1,357,217 | $ | 174,086 | $ | 2,149,060 | $ | 18,915,035 | |||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 2,643,057 | 409,389 | 232,666 | 27,898 | 207,427 | 3,055,105 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 12,406,294 | 738,336 | 950,052 | 27,689 | (21,154 | ) | 12,201,113 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 14,805,266 | 46,940 | 1,163,329 | 37,287 | 1,440,809 | 15,166,973 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 5,857,818 | 268,776 | 1,365,331 | 1,300 | 171,215 | 4,933,778 | |||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 6,337,005 | 19,559 | 484,720 | 6,248 | (214,674 | ) | 5,663,418 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 12,524,054 | 264,117 | 1,219,441 | 177,596 | 1,198,841 | 12,945,167 | |||||||||||||||||||||||||||
$ | — | $ | — | $ | 507,973,004 | $ | 39,814,683 | $ | 77,027,625 | $ | 5,769,723 | $ | 17,051,685 | $ | 493,581,470 |
† Includes reinvestment of distributions paid.
SA Allocation Moderate Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 9,551,306 | $ | 1,096,169 | $ | 638,869 | $ | (20,195 | ) | $ | 14,053 | $ | 10,002,464 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | �� | — | 50,947,645 | 1,058,092 | 3,675,357 | (82,753 | ) | (53,400 | ) | 48,194,227 | ||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 20,117,623 | 194,461 | 2,799,779 | 353,221 | (409,446 | ) | 17,456,080 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 24,866,260 | 225,436 | 5,063,481 | 821,589 | 2,182,690 | 23,032,494 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 26,659,692 | 252,683 | 4,194,494 | 352,265 | 1,107,111 | 24,177,257 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 2,780,236 | 25,645 | 370,365 | 57,251 | 237,920 | 2,730,687 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 3,937,088 | 40,070 | 266,195 | 39,765 | 171,762 | 3,922,490 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 3,521,399 | 32,056 | 612,956 | 106,850 | 212,172 | 3,259,521 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 16,083,155 | 1,560,281 | 1,064,781 | (25,822 | ) | 90,532 | 16,643,365 |
366
SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | $ | — | $ | — | $ | 7,268,930 | $ | 72,127 | $ | 929,152 | $ | 90,061 | $ | 867,770 | $ | 7,369,736 | |||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 3,176,754 | 35,262 | 234,252 | 793 | 25,314 | 3,003,871 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | — | 2,320,857 | 126,655 | (5,544 | ) | (147,803 | ) | 2,040,855 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 12,519,249 | 228,225 | 2,651,825 | (147,601 | ) | 225,756 | 10,173,804 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 11,918,089 | 5,121,216 | 993,615 | (16,027 | ) | (26,938 | ) | 16,002,725 | |||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 11,108,374 | 5,093,672 | 944,613 | (15,675 | ) | 48,814 | 15,290,572 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 1,228,252 | 12,822 | 85,183 | 1,586 | 66,007 | 1,223,484 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 11,069,874 | 54,525 | 9,582,996 | 171,462 | (187,280 | ) | 1,525,585 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 1,706,056 | 16,028 | 266,478 | 42,162 | 214,409 | 1,712,177 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 4,879,761 | 41,132 | 977,216 | 217,002 | (812,713 | ) | 3,347,966 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 10,839,769 | 112,198 | 745,347 | 29,105 | 830,538 | 11,066,263 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 16,157,991 | 160,281 | 1,064,781 | (48,317 | ) | 10,416 | 15,215,590 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 3,247,985 | 32,056 | 322,956 | 37,533 | 285,735 | 3,280,353 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | — | 3,127,809 | 168,874 | 11,983 | 404,086 | 3,375,004 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 15,554,961 | 160,281 | 1,064,781 | 102,218 | 1,587,833 | 16,340,512 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | — | 3,127,809 | 168,874 | 6,040 | 204,738 | 3,169,713 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 4,585,384 | 48,084 | 319,434 | 17,313 | 321,074 | 4,652,421 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 9,466,907 | 96,169 | 838,869 | 114,775 | 1,121,234 | 9,960,216 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 1,345,751 | 12,824 | 85,183 | 9,999 | 95,715 | 1,379,106 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 6,264,644 | 64,113 | 425,913 | 13,706 | (6,267 | ) | 5,910,283 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 8,413,080 | 88,156 | 585,630 | 16,319 | 827,708 | 8,759,633 |
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SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | $ | — | $ | — | $ | 4,524,111 | $ | 48,085 | $ | 719,434 | $ | (645 | ) | $ | 131,261 | $ | 3,983,378 | ||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 3,126,595 | 32,056 | 212,956 | 3,994 | (106,499 | ) | 2,843,190 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 7,682,893 | 84,949 | 564,334 | 87,190 | 758,522 | 8,049,220 | |||||||||||||||||||||||||||
$ | — | $ | — | $ | 314,549,814 | $ | 24,675,629 | $ | 42,765,628 | $ | 2,341,603 | $ | 10,292,824 | $ | 309,094,242 |
† Includes reinvestment of distributions paid.
SA Allocation Balanced Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 9,160,640 | $ | 1,073,437 | $ | 623,783 | $ | (20,206 | ) | $ | 13,982 | $ | 9,604,070 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 52,709,087 | 2,412,010 | 4,563,352 | (110,703 | ) | (27,683 | ) | 50,419,359 | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 10,353,942 | 312,786 | 1,383,367 | 158,669 | (191,333 | ) | 9,250,697 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 12,754,183 | 367,521 | 2,877,313 | 588,144 | 948,789 | 11,781,324 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 13,658,003 | 408,536 | 2,045,880 | 169,089 | 595,325 | 12,785,073 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 1,350,326 | 41,016 | 93,567 | 15,884 | 140,116 | 1,453,775 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 1,953,788 | 61,523 | 140,351 | 25,470 | 80,271 | 1,980,701 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 1,897,092 | 51,269 | 341,958 | 87,153 | 84,733 | 1,778,289 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 15,407,722 | 2,454,589 | 1,362,037 | (35,133 | ) | 95,271 | 16,560,412 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 3,672,956 | 187,793 | 457,310 | 41,113 | 458,965 | 3,903,517 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 3,302,761 | 102,540 | 233,918 | 1,413 | 26,108 | 3,198,904 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | — | 1,170,436 | 55,498 | (2,844 | ) | (74,899 | ) | 1,037,195 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 11,973,567 | 358,886 | 2,618,713 | (145,929 | ) | 220,885 | 9,788,696 |
368
SA Allocation Balanced Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2018 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2018 | |||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $ | — | $ | — | $ | 11,554,142 | $ | 2,592,338 | $ | 861,947 | $ | (14,349 | ) | $ | (29,859 | ) | $ | 13,240,325 | |||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 10,698,114 | 2,212,800 | 792,100 | (13,673 | ) | 38,813 | 12,143,954 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 555,311 | 20,508 | 46,784 | 421 | 30,155 | 559,611 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 5,749,650 | 135,682 | 4,264,082 | 83,268 | (93,715 | ) | 1,610,803 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 867,692 | 23,926 | 54,581 | 7,945 | 129,635 | 974,617 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 2,258,546 | 59,844 | 607,821 | 138,127 | (401,419 | ) | 1,447,277 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 5,517,414 | 424,316 | 397,661 | 12,810 | 446,953 | 6,003,832 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 15,308,546 | 454,589 | 1,037,037 | (47,438 | ) | 11,394 | 14,690,054 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 1,827,356 | 51,270 | 241,959 | 20,889 | 151,990 | 1,809,546 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | — | 1,725,545 | 69,373 | 5,134 | 225,228 | 1,886,534 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 7,519,269 | 229,004 | 622,417 | 53,526 | 764,499 | 7,943,881 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | — | 1,725,545 | 69,373 | 2,678 | 114,194 | 1,773,044 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 2,388,281 | 200,195 | 171,540 | 8,363 | 178,184 | 2,603,483 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 4,701,090 | 450,391 | 843,080 | 127,014 | 527,315 | 4,962,730 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 729,026 | 70,508 | 146,784 | 12,580 | 40,784 | 706,114 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 3,414,849 | 202,539 | 233,918 | 7,179 | (4,591 | ) | 3,386,058 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 4,466,154 | 136,719 | 311,891 | 5,472 | 446,924 | 4,743,378 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 4,332,788 | 136,719 | 1,011,891 | 111 | 125,760 | 3,583,487 | |||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 1,698,955 | 151,269 | 116,959 | 2,366 | (60,756 | ) | 1,674,875 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 4,116,578 | 329,883 | 396,296 | 51,878 | 414,867 | 4,516,910 | |||||||||||||||||||||||||||
$ | — | $ | — | $ | 225,897,828 | $ | 20,335,932 | $ | 29,094,541 | $ | 1,236,421 | $ | 5,426,885 | $ | 223,802,525 |
† 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 September 30, 2018, the following affiliates owned outstanding shares of the following Portfolios:
Holder | |||||||||||||||||||||||||||||||||||
Portfolio | USL | AGL | 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 | 1.54 | % | 98.46 | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 0.69 | 99.31 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 0.57 | 99.43 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 0.94 | 99.06 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 2.60 | 97.40 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | 0.21 | 22.17 | — | — | — | — | 77.62 | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 0.15 | 11.07 | 2.16 | 2.60 | 7.17 | 4.22 | 40.59 | 32.04 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 0.05 | 5.60 | 1.61 | 2.00 | 5.49 | 3.05 | 47.05 | 35.15 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 0.29 | 19.11 | 0.61 | 0.83 | 2.07 | 1.16 | 42.31 | 33.62 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 0.24 | 16.98 | 0.78 | 0.95 | 2.70 | 1.54 | 58.23 | 18.58 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 0.18 | 10.74 | 0.58 | 0.73 | 1.95 | 1.07 | 34.35 | 50.40 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 0.16 | 7.68 | 1.95 | 2.77 | 7.08 | 3.67 | 50.15 | 26.54 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 0.08 | 3.62 | 4.98 | 0.57 | 5.98 | 4.76 | 67.19 | 12.82 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 2.86 | 50.76 | 2.18 | 0.49 | 2.79 | 2.19 | 28.58 | 10.15 | |||||||||||||||||||||||||||
SA Columbia Focused Growth Portfolio | 0.79 | 49.57 | — | — | — | — | 49.64 | — | |||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio | 0.09 | 7.59 | — | — | — | — | 60.22 | 32.10 | |||||||||||||||||||||||||||
SA Allocation Growth Portfolio | 6.31 | 93.69 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio | 6.04 | 93.96 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Moderate Portfolio | 6.34 | 93.66 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Balanced Portfolio | 10.04 | 89.96 | — | — | — | — | — | — |
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 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
370
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 six months ended September 30, 2018, the following Portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | |||||||||||||||
SA Multi-Managed Growth | 5 | $ | 138 | $ | 289,177 | 3.34 | % | ||||||||||||
SA Multi-Managed Moderate Growth | 3 | 155 | 530,924 | 3.40 | |||||||||||||||
SA Multi-Managed Income/Equity | 1 | 88 | 907,986 | 3.51 | |||||||||||||||
SA Multi-Managed Income | 1 | 47 | 480,746 | 3.51 | |||||||||||||||
SA Multi-Managed Large Cap Growth | 14 | 528 | 405,140 | 3.34 | |||||||||||||||
SA Multi-Managed Large Cap Value | 12 | 196 | 179,469 | 3.29 | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 7 | 287 | 460,036 | 3.17 | |||||||||||||||
SA Multi-Managed Mid Cap Value | 1 | 12 | 142,868 | 3.15 | |||||||||||||||
SA Multi-Managed Small Cap | 2 | 340 | 1,859,384 | 3.29 | |||||||||||||||
SA Multi-Managed International Equity | 19 | 4,468 | 2,617,072 | 3.24 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 2 | 68 | 386,059 | 3.16 | |||||||||||||||
SA Wellington Real Return | 3 | 47 | 168,564 | 3.33 | |||||||||||||||
SA Columbia Focused Growth | 1 | 663 | 7,175,157 | 3.32 |
As of September 30, 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 six months ended September 30, 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 | $ | — | $ | 1,069,810 | $ | 373,747 | |||||||||
SA Multi-Managed Large Cap Value | 1,164,955 | 1,044,841 | (56,366 | ) | |||||||||||
SA Multi-Managed Mid Cap Value | 10,171 | 64,514 | 18,189 |
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 six months ended September 30, 2018, none of the Portfolios participated in this program.
Note 13. Subsequent Event: The Funds Boards of Trustees and shareholders approved the below reorganization:
Target Portfolio | Acquiring Portfolio | ||||||
Seasons Series Trust — SA Columbia Focused Growth Portfolio | SA AB Growth Portfolio |
The Target Portfolio was merged with and into the Acquiring Portfolio indicated above (such combination referred to hereinafter as the "Reorganization"). The Reorganization was effective on October 22, 2018.
371
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 17.02 | 0.04 | 1.53 | 1.57 | — | — | — | 18.59 | 9.22 | 10,163 | 1.27 | #(2) | 0.46 | #(2) | 25 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 17.01 | 0.03 | 1.52 | 1.55 | — | — | — | 18.56 | 9.11 | 19,538 | 1.42 | #(2) | 0.31 | #(2) | 25 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.97 | 0.02 | 1.52 | 1.54 | — | — | — | 18.51 | 9.07 | 23,820 | 1.51 | #(2) | 0.21 | #(2) | 25 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.01 | % | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.01 | 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 | 09/30/18#@ | ||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 0.03 | % | |||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | 0.03 | |||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.03 |
See Notes to Financial Statements
372
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 12.90 | 0.06 | 0.87 | 0.93 | — | — | — | 13.83 | 7.21 | 9,669 | 1.09 | #(2) | 0.95 | #(2) | 25 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 12.88 | 0.05 | 0.87 | 0.92 | — | — | — | 13.80 | 7.14 | 42,794 | 1.24 | #(2) | 0.80 | #(2) | 25 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 12.87 | 0.05 | 0.85 | 0.90 | — | — | — | 13.77 | 6.99 | 35,632 | 1.34 | #(2) | 0.70 | #(2) | 25 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.01 | % | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.01 | 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 | 09/30/18#@ | ||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | 0.03 | % | |||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.00 | 0.03 | |||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 | 0.03 |
See Notes to Financial Statements
373
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.19 | 0.09 | 0.39 | 0.48 | — | — | — | 11.67 | 4.29 | 8,678 | 1.12 | #(2) | 1.65 | #(2) | 24 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.17 | 0.09 | 0.39 | 0.48 | — | — | — | 11.65 | 4.30 | 32,879 | 1.27 | #(2) | 1.50 | #(2) | 24 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.18 | 0.08 | 0.39 | 0.47 | — | — | — | 11.65 | 4.20 | 18,751 | 1.37 | #(2) | 1.40 | #(2) | 24 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.01 | % | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.01 | 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):
09/30/18#@ | |||||||
Multi-Managed Income/Equity Portfolio Class 1 | 0.03 | % | |||||
Multi-Managed Income/Equity Portfolio Class 2 | 0.03 | ||||||
Multi-Managed Income/Equity Portfolio Class 3 | 0.03 |
See Notes to Financial Statements
374
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.05 | 0.11 | 0.13 | 0.24 | — | — | — | 11.29 | 2.17 | 5,427 | 1.16 | #(2) | 2.05 | #(2) | 24 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.04 | 0.11 | 0.12 | 0.23 | — | — | — | 11.27 | 2.08 | 26,654 | 1.31 | #(2) | 1.90 | #(2) | 24 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.04 | 0.10 | 0.12 | 0.22 | — | — | — | 11.26 | 1.99 | 16,478 | 1.41 | #(2) | 1.80 | #(2) | 24 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.00 | 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):
09/30/18#@ | |||||||
Multi-Managed Income Portfolio Class 1 | 0.02 | % | |||||
Multi-Managed Income Portfolio Class 2 | 0.02 | ||||||
Multi-Managed Income Portfolio Class 3 | 0.02 |
See Notes to Financial Statements
375
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 12.15 | 0.11 | 0.62 | 0.73 | — | — | — | 12.88 | 6.01 | 15,888 | 0.92 | #(2) | 1.75 | #(2) | 57 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 12.15 | 0.10 | 0.62 | 0.72 | — | — | — | 12.87 | 5.93 | 55,181 | 1.07 | #(2) | 1.60 | #(2) | 57 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 12.11 | 0.09 | 0.63 | 0.72 | — | — | — | 12.83 | 5.95 | 94,675 | 1.17 | #(2) | 1.51 | #(2) | 57 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 3 | 0.00 | 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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 1 | 0.10 | % | 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 | 0.10 | |||||||||||||||||||||
SA Multi-Managed Asset Allocation Diversified Growth Portfolio Class 3 | 0.10 | 0.10 | 0.10 | 0.10 | 0.10 | 0.10 |
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 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 | ||||||||||||||||||||||||||||||||||||||||
09/30/18@ | 27.31 | (0.01 | ) | 3.00 | 2.99 | — | — | — | 30.30 | 10.95 | 346,319 | 0.88 | # | (0.04 | )# | 19 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 26.57 | (0.03 | ) | 2.92 | 2.89 | — | — | — | 29.46 | 10.88 | 43,906 | 1.03 | # | (0.19 | )# | 19 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 26.13 | (0.04 | ) | 2.86 | 2.82 | — | — | — | 28.95 | 10.79 | 36,146 | 1.13 | # | (0.29 | )# | 19 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
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
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 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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 15.32 | 0.03 | 2.16 | 2.19 | — | — | — | 17.51 | 14.30 | 489,527 | 0.78 | #(2) | 0.38 | #(2) | 24 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 15.02 | 0.02 | 2.11 | 2.13 | — | — | — | 17.15 | 14.18 | 35,722 | 0.93 | #(2) | 0.23 | #(2) | 24 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 14.87 | 0.01 | 2.09 | 2.10 | — | — | — | 16.97 | 14.12 | 19,255 | 1.03 | #(2) | 0.14 | #(2) | 24 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.01 | % | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.01 | 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):
09/30/18#@ | |||||||
Multi-Managed Large Cap Growth Portfolio Class 1 | 0.05 | % | |||||
Multi-Managed Large Cap Growth Portfolio Class 2 | 0.05 | ||||||
Multi-Managed Large Cap Growth Portfolio Class 3 | 0.05 |
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 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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.72 | 0.16 | 0.87 | 1.03 | — | — | — | 17.75 | 6.16 | 751,045 | 0.79 | # | 1.85 | # | 13 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.70 | 0.15 | 0.87 | 1.02 | — | — | — | 17.72 | 6.11 | 26,833 | 0.94 | # | 1.71 | # | 13 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.70 | 0.14 | 0.86 | 1.00 | — | — | — | 17.70 | 5.99 | 14,223 | 1.04 | # | 1.61 | # | 13 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 18.98 | 0.01 | 2.23 | 2.24 | — | — | — | 21.22 | 11.80 | 194,277 | 0.93 | # | 0.05 | # | 23 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 18.16 | (0.01 | ) | 2.14 | 2.13 | — | — | — | 20.29 | 11.73 | 24,277 | 1.08 | # | (0.09 | )# | 23 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 17.70 | (0.02 | ) | 2.09 | 2.07 | — | — | — | 19.77 | 11.69 | 15,592 | 1.18 | # | (0.19 | )# | 23 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 0.00 | 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 | 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) | 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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.79 | 0.11 | 0.81 | 0.92 | — | — | — | 17.71 | 5.48 | 213,333 | 0.93 | # | 1.24 | # | 15 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.74 | 0.09 | 0.82 | 0.91 | — | — | — | 17.65 | 5.44 | 24,747 | 1.08 | # | 1.08 | # | 15 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 16.70 | 0.09 | 0.81 | 0.90 | — | — | — | 17.60 | 5.39 | 15,894 | 1.18 | # | 0.98 | # | 15 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 14.28 | 0.03 | 1.43 | 1.46 | — | — | — | 15.74 | 10.22 | 273,126 | 0.91 | #(2) | 0.34 | #(2) | 20 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 13.91 | 0.01 | 1.40 | 1.41 | — | — | — | 15.32 | 10.14 | 17,860 | 1.06 | #(2) | 0.18 | #(2) | 20 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
09/30/18@ | 13.69 | 0.01 | 1.37 | 1.38 | — | — | — | 15.07 | 10.08 | 12,519 | 1.16 | #(2) | 0.08 | #(2) | 20 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | 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 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 09/30/18#@ | ||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 0.00 | % | 0.00 | % | |||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | 0.00 | |||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 0.00 | 0.00 |
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 | 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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 9.69 | 0.15 | (0.17 | ) | (0.02 | ) | — | — | — | 9.67 | (0.21 | ) | 439,055 | 0.95 | #(2) | 2.93 | #(2) | 13 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 9.71 | 0.13 | (0.17 | ) | (0.04 | ) | — | — | — | 9.67 | (0.41 | ) | 20,254 | 1.10 | #(2) | 2.74 | #(2) | 13 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 9.67 | 0.13 | (0.16 | ) | (0.03 | ) | — | — | — | 9.64 | (0.31 | ) | 15,619 | 1.20 | #(2) | 2.62 | #(2) | 13 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.53 | 0.15 | (0.18 | ) | (0.03 | ) | — | — | — | 11.50 | (0.26 | ) | 977,098 | 0.69 | # | 2.64 | # | 18 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.51 | 0.14 | (0.17 | ) | (0.03 | ) | — | — | — | 11.48 | (0.26 | ) | 21,669 | 0.83 | # | 2.49 | # | 18 | |||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.45 | 0.14 | (0.17 | ) | (0.03 | ) | — | — | — | 11.42 | (0.26 | ) | 13,672 | 0.93 | # | 2.39 | # | 18 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | |||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.01 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | |||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.01 | 0.04 | 0.04 | 0.04 | 0.04 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.01 | 0.04 | 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
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 | 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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 9.64 | 0.11 | (0.07 | ) | 0.04 | — | — | — | 9.68 | 0.41 | 352,950 | 0.58 | #(1) | 2.36 | #(1) | 15 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/18@ | 9.56 | 0.10 | (0.07 | ) | 0.03 | — | — | — | 9.59 | 0.31 | 404,099 | 0.83 | #(1) | 2.11 | #(1) | 15 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(1) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/17 | 03/31/18 | 09/30/18#@ | |||||||||||||
SA Wellington Real Return Portfolio Class 1 | 0.02 | % | 0.05 | % | 0.05 | % | |||||||||
SA Wellington Real Return Portfolio Class 3 | 0.02 | 0.05 | 0.05 |
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 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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 10.93 | (0.02 | ) | 1.39 | 1.37 | — | — | — | 12.30 | 12.53 | 57,113 | 0.76 | #(2) | (0.39 | )#(2) | 7 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 10.45 | (0.03 | ) | 1.33 | 1.30 | — | — | — | 11.75 | 12.44 | 30,636 | 0.91 | #(2) | (0.55 | )#(2) | 7 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 10.18 | (0.04 | ) | 1.30 | 1.26 | — | — | — | 11.44 | 12.38 | 21,914 | 1.01 | #(2) | (0.65 | )#(2) | 7 |
* 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.00 | % | |||||||||||||||
SA Columbia Focused Growth Portfolio Class 2 | 0.00 | 0.00 | 0.01 | 0.01 | 0.01 | 0.00 | |||||||||||||||||||||
SA Columbia Focused Growth Portfolio Class 3 | 0.00 | 0.00 | 0.01 | 0.01 | 0.01 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/16 | 03/31/17 | 03/31/18 | 09/30/18#@ | ||||||||||||||||
SA Columbia Focused Growth Portfolio Class 1 | 0.22 | % | 0.31 | % | 0.31 | % | 0.31 | % | |||||||||||
SA Columbia Focused Growth Portfolio Class 2 | 0.20 | 0.31 | 0.31 | 0.31 | |||||||||||||||
SA Columbia Focused Growth Portfolio Class 3 | 0.21 | 0.31 | 0.31 | 0.31 |
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)(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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 20.36 | 0.16 | 1.32 | 1.48 | — | — | — | 21.84 | 7.27 | 303,262 | 0.72 | # | 1.54 | # | 7 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 20.33 | 0.15 | 1.31 | 1.46 | — | — | — | 21.79 | 7.18 | 14,719 | 0.87 | # | 1.39 | # | 7 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/18@ | 20.28 | 0.14 | 1.31 | 1.45 | — | — | — | 21.73 | 7.15 | 10,190 | 0.97 | # | 1.29 | # | 7 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
# Annualized
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.01 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.01 | 0.00 | 0.01 | 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 | 09/30/18#@ | ||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.03 | % | 0.05 | % | 0.23 | % | 0.31 | % | 0.32 | % | 0.32 | % | |||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.02 | 0.05 | 0.22 | 0.31 | 0.32 | 0.32 | |||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.02 | 0.05 | 0.22 | 0.31 | 0.32 | 0.32 |
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(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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 14.45 | (0.01 | ) | 0.81 | 0.80 | — | — | — | 15.25 | 5.54 | 271 | 0.15 | #(2) | (0.15 | )#(2) | 10 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 14.41 | (0.03 | ) | 0.80 | 0.77 | — | — | — | 15.18 | 5.34 | 146,494 | 0.40 | #(2) | (0.40 | )#(2) | 10 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.75 | (0.01 | ) | 0.55 | 0.54 | — | — | — | 12.29 | 4.60 | 141 | 0.11 | #(2) | (0.11 | )#(2) | 8 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.72 | (0.02 | ) | 0.54 | 0.52 | — | — | — | 12.24 | 4.44 | 493,246 | 0.37 | #(2) | (0.37 | )#(2) | 8 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.61 | (0.01 | ) | 0.48 | 0.47 | — | — | — | 12.08 | 4.05 | 118 | 0.12 | #(2) | (0.12 | )#(2) | 8 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 11.58 | (0.02 | ) | 0.47 | 0.45 | — | — | — | 12.03 | 3.89 | 308,850 | 0.37 | #(2) | (0.37 | )#(2) | 8 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 10.83 | (0.01 | ) | 0.33 | 0.32 | — | — | — | 11.15 | 2.95 | 113 | 0.13 | #(2) | (0.13 | )#(2) | 9 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/18@ | 10.80 | (0.02 | ) | 0.33 | 0.31 | — | — | — | 11.11 | 2.87 | 223,594 | 0.38 | #(2) | (0.38 | )#(2) | 9 |
* Calculated based upon average shares outstanding
** Total return is not annualized and 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.
@ Unaudited
(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 | 09/30/18#@ | ||||||||||||||||
SA Allocation Growth Portfolio Class 1 | N/A | 0.01 | %# | 0.01 | % | 0.01 | % | ||||||||||||
SA Allocation Growth Portfolio Class 3 | 0.01 | % | 0.01 | 0.01 | 0.01 | ||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 | N/A | 0.01 | # | 0.01 | 0.01 | ||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
SA Allocation Moderate Portfolio Class 1 | N/A | 0.01 | # | 0.01 | 0.01 | ||||||||||||||
SA Allocation Moderate Portfolio Class 3 | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||
SA Allocation Balanced Portfolio Class 1 | N/A | 0.01 | # | 0.01 | 0.01 | ||||||||||||||
SA Allocation Balanced Portfolio Class 3 | 0.01 | 0.01 | 0.04 | 0.01 |
See Notes to Financial Statements
385
Filed under Rule 497(e) and 497(k)
Registration No. 333-08653
SEASONS SERIES TRUST
Supplement to the Statutory Prospectus Dated July 27, 2018
SA Putnam Asset Allocation Diversified Growth Portfolio
(the "Portfolio")
Supplement dated October 29, 2018,
to the Summary Prospectus and Prospectus, each dated July 27, 2018,
as supplemented and amended to date
At the October 10, 2018 meeting of the Board of Trustees (the "Board") of Seasons Series Trust (the "Trust"), the Board approved an amendment to the Subadvisory Agreement (the "Amendment") between SunAmerica Asset Management, LLC ("SunAmerica") and Putnam Investment Management, LLC with respect to the Portfolio. The Amendment reduces the fees payable by SunAmerica under the Subadvisory Agreement.
At the meeting, the Board also approved an Advisory Fee Waiver Agreement (the "Fee Waiver Agreement") with respect to the Portfolio. Pursuant to the Fee Waiver Agreement, SunAmerica is contractually obligated to waive a portion of its advisory fee with respect to the Portfolio so that the advisory fee rate payable by the Portfolio to SunAmerica under the Investment Advisory and Management Agreement with the Trust (the "Advisory Agreement") is equal to 0.70% on the first $250 million, 0.65% on the next $250 million and 0.60% above $500 million.
This Fee Waiver Agreement becomes effective on November 1, 2018, and will continue in effect through July 31, 2020. In addition, the Fee Waiver Agreement will automatically terminate upon the termination of the Advisory Agreement. SunAmerica may not recoup any advisory fees waived with respect to the Portfolio pursuant to the Fee Waiver Agreement.
Capitalized terms used but not defined herein shall have the meanings assigned to them by the Summary Prospectus or Prospectus.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
386
PRSRT BPM
US POSTAGE PAID
MERRILL
CORPORATION
ZIP CODE 10105
ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570
CHANGE SERVICE REQUESTED
J1906SAR.15 (11/18)
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
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 Item 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) Not applicable.
(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 270.30a-2(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 | ||
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By: | /s/ John T. Genoy |
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John T. Genoy | ||
President | ||
Date: December 7, 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: December 7, 2018 | ||
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By: | /s/ Gregory R. Kingston |
|
Gregory R. Kingston | ||
Treasurer | ||
Date: December 7, 2018 |