UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-07725 | |||||||
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SEASONS SERIES TRUST | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
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21650 Oxnard Street, 10th fl, Woodland Hills, CA |
| 91367 | ||||||
(Address of principal executive offices) |
| (Zip code) | ||||||
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John T. Genoy | ||||||||
(Name and address of agent for service) | ||||||||
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Registrant’s telephone number, including area code: | (201) 324-6414 |
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Date of fiscal year end: | March 31 |
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Date of reporting period: | March 31, 2019 |
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Item 1. Reports to Stockholders
SEASONS SERIES TRUST
ANNUAL REPORT
MARCH 31, 2019
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 | 148 | ||||||
Seasons Select | |||||||
SA Multi-Managed Large Cap Growth Portfolio | 153 | ||||||
SA Multi-Managed Large Cap Value Portfolio | 161 | ||||||
SA Multi-Managed Mid Cap Growth Portfolio | 171 | ||||||
SA Multi-Managed Mid Cap Value Portfolio | 185 | ||||||
SA Multi-Managed Small Cap Portfolio | 199 | ||||||
SA Multi-Managed International Equity Portfolio | 215 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 229 | ||||||
SA Wellington Real Return Portfolio | 277 | ||||||
Seasons Focused | |||||||
SA Columbia Focused Value Portfolio | 288 | ||||||
Seasons Managed Allocation | |||||||
SA Allocation Growth Portfolio | 291 | ||||||
SA Allocation Moderate Growth Portfolio | 294 | ||||||
SA Allocation Moderate Portfolio | 297 | ||||||
SA Allocation Balanced Portfolio | 300 | ||||||
Statements of Assets and Liabilities | 303 | ||||||
Statements of Operations | 311 | ||||||
Statements of Changes in Net Assets | 315 | ||||||
Notes to Financial Statements | 322 | ||||||
Financial Highlights | 369 | ||||||
Report of Independent Registered Public Accounting Firm | 382 | ||||||
Approval of Advisory and Subadvisory Agreements | 384 | ||||||
Results of Special Shareholder Meetings | 393 | ||||||
Trustees and Officers Information | 394 | ||||||
Shareholders Tax Information | 396 | ||||||
Comparisons: Portfolios vs Indexes | 398 | ||||||
Supplement to the Prospectus | 435 | ||||||
Proxy Vote | 437 |
Beginning on January 1, 2021, as permitted by regulations adopted by the SEC, paper copies of the shareholder reports for portfolios available under your contract will no longer be sent by mail, unless you specifically request paper copies of the reports from the Company. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. You can inform the Company that you wish to continue receiving paper copies of your shareholder reports by contacting (855) 421-2692 or visiting www.aig.com/annuities/GetMyPrintedReports and providing the 12-digit opt-in ID located above your mailing address. Your election to receive reports in paper will apply to all portfolios available under your contract.
Dear Seasons Series Trust Investor:
We are pleased to present the annual report for Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.
This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended March 31, 2019.
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 591/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.
Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and "junk bonds" are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer's creditworthiness.
Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank or Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
2
SEASONS SERIES TRUST
EXPENSE EXAMPLE March 31, 2019
(unaudited)
Disclosure of Portfolio Expenses in Shareholder Reports
As a shareholder of a Portfolio in the Seasons Series Trust (the "Trust''), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at October 1, 2018 and held until March 31, 2019. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies ("Variable Contracts'') offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust's investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the Variable Contract.
Actual Expenses
The "Actual" section of the table provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled "Expenses Paid During the Six Months Ended March 31, 2019" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended March 31, 2019" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2019" column would have been higher and the "Ending Account Value" column would have been lower.
Hypothetical Example for Comparison Purposes
The "Hypothetical" section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the Six Months Ended March 31, 2019" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2019" column would have been higher and the "Ending Account Value" column would have been lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the "Hypothetical" example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.
3
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) March 31, 2019
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2018 | Ending Account Value Using Actual Return at March 31, 2019 | Expenses Paid During the Six Months Ended March 31, 2019* | Beginning Account Value at October 1, 2018 | Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2019 | Expenses Paid During the Six Months Ended March 31, 2019* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 982.98 | $ | 6.08 | $ | 1,000.00 | $ | 1,018.80 | $ | 6.19 | 1.23 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 982.32 | $ | 6.82 | $ | 1,000.00 | $ | 1,018.05 | $ | 6.94 | 1.38 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 982.02 | $ | 7.31 | $ | 1,000.00 | $ | 1,017.55 | $ | 7.44 | 1.48 | % | |||||||||||||||||
SA Multi-Managed Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 995.01 | $ | 5.32 | $ | 1,000.00 | $ | 1,019.60 | $ | 5.39 | 1.07 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 994.04 | $ | 6.07 | $ | 1,000.00 | $ | 1,018.85 | $ | 6.14 | 1.22 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 994.17 | $ | 6.56 | $ | 1,000.00 | $ | 1,018.35 | $ | 6.64 | 1.32 | % | |||||||||||||||||
SA Multi-Managed Income/ Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,024.66 | $ | 5.45 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | 1.08 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,022.90 | $ | 6.20 | $ | 1,000.00 | $ | 1,018.80 | $ | 6.19 | 1.23 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,022.55 | $ | 6.71 | $ | 1,000.00 | $ | 1,018.30 | $ | 6.69 | 1.33 | % | |||||||||||||||||
SA Multi-Managed Income# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,031.49 | $ | 5.62 | $ | 1,000.00 | $ | 1,019.40 | $ | 5.59 | 1.11 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,030.70 | $ | 6.38 | $ | 1,000.00 | $ | 1,018.65 | $ | 6.34 | 1.26 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,030.48 | $ | 6.88 | $ | 1,000.00 | $ | 1,018.15 | $ | 6.84 | 1.36 | % | |||||||||||||||||
SA Putnam Asset Allocation: Diversified Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 966.24 | $ | 4.56 | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 | 0.93 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 965.41 | $ | 5.29 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.44 | 1.08 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 965.12 | $ | 5.83 | $ | 1,000.00 | $ | 1,019.00 | $ | 5.99 | 1.19 | % | |||||||||||||||||
SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 995.08 | $ | 4.38 | $ | 1,000.00 | $ | 1,020.54 | $ | 4.43 | 0.88 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 994.17 | $ | 5.12 | $ | 1,000.00 | $ | 1,019.80 | $ | 5.19 | 1.03 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 993.57 | $ | 5.62 | $ | 1,000.00 | $ | 1,019.30 | $ | 5.69 | 1.13 | % | |||||||||||||||||
SA Multi-Managed Large Cap Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 977.15 | $ | 3.80 | $ | 1,000.00 | $ | 1,021.09 | $ | 3.88 | 0.77 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 976.71 | $ | 4.53 | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | 0.92 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 976.00 | $ | 5.02 | $ | 1,000.00 | $ | 1,019.85 | $ | 5.14 | 1.02 | % | |||||||||||||||||
SA Multi-Managed Large Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 982.04 | $ | 3.90 | $ | 1,000.00 | $ | 1,020.99 | $ | 3.98 | 0.79 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 980.74 | $ | 4.64 | $ | 1,000.00 | $ | 1,020.24 | $ | 4.73 | 0.94 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 980.72 | $ | 5.14 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.24 | 1.04 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,009.73 | $ | 4.76 | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,008.64 | $ | 5.51 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.54 | 1.10 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,008.32 | $ | 6.01 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.04 | 1.20 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 963.71 | $ | 4.65 | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 962.34 | $ | 5.38 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.54 | 1.10 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 962.13 | $ | 5.87 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.04 | 1.20 | % |
4
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) March 31, 2019
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2018 | Ending Account Value Using Actual Return at March 31, 2019 | Expenses Paid During the Six Months Ended March 31, 2019* | Beginning Account Value at October 1, 2018 | Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2019 | Expenses Paid During the Six Months Ended March 31, 2019* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Small Cap# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 901.12 | $ | 4.46 | $ | 1,000.00 | $ | 1,020.24 | $ | 4.73 | 0.94 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 899.94 | $ | 5.16 | $ | 1,000.00 | $ | 1,019.50 | $ | 5.49 | 1.09 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 900.04 | $ | 5.64 | $ | 1,000.00 | $ | 1,019.00 | $ | 5.99 | 1.19 | % | |||||||||||||||||
SA Multi-Managed International Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 957.60 | $ | 5.08 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.24 | 1.04 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 957.80 | $ | 5.81 | $ | 1,000.00 | $ | 1,019.00 | $ | 5.99 | 1.19 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 956.34 | $ | 6.29 | $ | 1,000.00 | $ | 1,018.50 | $ | 6.49 | 1.29 | % | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,042.98 | $ | 3.41 | $ | 1,000.00 | $ | 1,021.59 | $ | 3.38 | 0.67 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,041.80 | $ | 4.17 | $ | 1,000.00 | $ | 1,020.84 | $ | 4.13 | 0.82 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,040.95 | $ | 4.68 | $ | 1,000.00 | $ | 1,020.34 | $ | 4.63 | 0.92 | % | |||||||||||||||||
SA Wellington Real Return# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,019.77 | $ | 3.07 | $ | 1,000.00 | $ | 1,021.89 | $ | 3.07 | 0.61 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,018.51 | $ | 4.33 | $ | 1,000.00 | $ | 1,020.64 | $ | 4.33 | 0.86 | % | |||||||||||||||||
SA Columbia Focused Value# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 948.62 | $ | 3.55 | $ | 1,000.00 | $ | 1,021.29 | $ | 3.68 | 0.73 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 948.03 | $ | 4.27 | $ | 1,000.00 | $ | 1,020.54 | $ | 4.43 | 0.88 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 947.36 | $ | 4.76 | $ | 1,000.00 | $ | 1,020.04 | $ | 4.94 | 0.98 | % | |||||||||||||||||
SA Allocation Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 986.79 | $ | 0.74 | $ | 1,000.00 | $ | 1,024.18 | $ | 0.76 | 0.15 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 986.18 | $ | 1.98 | $ | 1,000.00 | $ | 1,022.94 | $ | 2.02 | 0.40 | % | |||||||||||||||||
SA Allocation Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 996.56 | $ | 0.60 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | 0.12 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 995.37 | $ | 1.84 | $ | 1,000.00 | $ | 1,023.09 | $ | 1.87 | 0.37 | % | |||||||||||||||||
SA Allocation Moderate# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,004.51 | $ | 0.65 | $ | 1,000.00 | $ | 1,024.28 | $ | 0.66 | 0.13 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,003.73 | $ | 1.90 | $ | 1,000.00 | $ | 1,023.04 | $ | 1.92 | 0.38 | % | |||||||||||||||||
SA Allocation Balanced# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,013.32 | $ | 0.70 | $ | 1,000.00 | $ | 1,024.23 | $ | 0.71 | 0.14 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,012.05 | $ | 1.96 | $ | 1,000.00 | $ | 1,022.99 | $ | 1.97 | 0.39 | % |
* Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.
# During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2019" and "Annualized Expense Ratio" would have been higher. If these fees and expenses had not been recouped, the "Actual/Hypothetical Ending Account Value" would have been higher and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2019" and the "Annualized Expense Ratio" would have been lower.
5
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 8.3 | % | |||||
Applications Software | 4.9 | ||||||
Federal National Mtg. Assoc. | 4.3 | ||||||
Web Portals/ISP | 3.8 | ||||||
E-Commerce/Products | 3.7 | ||||||
Electronic Components-Semiconductors | 3.6 | ||||||
Finance-Credit Card | 3.2 | ||||||
Medical-Drugs | 2.9 | ||||||
Real Estate Investment Trusts | 2.5 | ||||||
Federal Home Loan Mtg. Corp. | 2.3 | ||||||
Computers | 2.0 | ||||||
Government National Mtg. Assoc. | 2.0 | ||||||
Diversified Banking Institutions | 1.9 | ||||||
Medical-HMO | 1.9 | ||||||
United States Treasury Bonds | 1.9 | ||||||
United States Treasury Notes | 1.8 | ||||||
Retail-Restaurants | 1.8 | ||||||
Internet Content-Entertainment | 1.8 | ||||||
Medical-Biomedical/Gene | 1.8 | ||||||
Banks-Commercial | 1.6 | ||||||
Consulting Services | 1.6 | ||||||
Tobacco | 1.5 | ||||||
Electronic Forms | 1.4 | ||||||
Diversified Manufacturing Operations | 1.2 | ||||||
Repurchase Agreements | 1.2 | ||||||
Medical Products | 1.1 | ||||||
Aerospace/Defense | 0.9 | ||||||
Finance-Other Services | 0.9 | ||||||
Therapeutics | 0.9 | ||||||
Cable/Satellite TV | 0.9 | ||||||
Multimedia | 0.9 | ||||||
Transport-Rail | 0.9 | ||||||
Broadcast Services/Program | 0.8 | ||||||
Insurance-Property/Casualty | 0.8 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Enterprise Software/Service | 0.8 | ||||||
Athletic Footwear | 0.8 | ||||||
Semiconductor Equipment | 0.8 | ||||||
Commercial Services | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Computer Aided Design | 0.7 | ||||||
Medical Instruments | 0.7 | ||||||
Web Hosting/Design | 0.6 | ||||||
Foreign Government Obligations | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Industrial Gases | 0.6 | ||||||
Coatings/Paint | 0.6 | ||||||
Beverages-Wine/Spirits | 0.6 | ||||||
Cosmetics & Toiletries | 0.6 | ||||||
Commercial Services-Finance | 0.6 | ||||||
Electric-Integrated | 0.5 | ||||||
Computer Software | 0.5 | ||||||
Building Products-Cement | 0.5 | ||||||
Electronic Components-Misc. | 0.5 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Cruise Lines | 0.5 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Machinery-Farming | 0.5 | ||||||
Machinery-General Industrial | 0.5 | ||||||
Hotels/Motels | 0.4 |
Savings & Loans/Thrifts | 0.4 | % | |||||
Building-Residential/Commercial | 0.4 | ||||||
Building & Construction-Misc. | 0.4 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Industrial Automated/Robotic | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Telephone-Integrated | 0.3 | ||||||
Firearms & Ammunition | 0.3 | ||||||
Human Resources | 0.3 | ||||||
Medical Labs & Testing Services | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Oil-Field Services | 0.3 | ||||||
Coal | 0.3 | ||||||
Independent Power Producers | 0.3 | ||||||
Retail-Apparel/Shoe | 0.3 | ||||||
Pharmacy Services | 0.2 | ||||||
Electronic Parts Distribution | 0.2 | ||||||
Brewery | 0.2 | ||||||
Banks-Super Regional | 0.2 | ||||||
Energy-Alternate Sources | 0.2 | ||||||
Transactional Software | 0.2 | ||||||
Veterinary Diagnostics | 0.2 | ||||||
Municipal Bonds & Notes | 0.2 | ||||||
Commercial Paper | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Computers-Integrated Systems | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Cellular Telecom | 0.2 | ||||||
Electric-Distribution | 0.1 | ||||||
Sovereign | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Water | 0.1 | ||||||
Rubber/Plastic Products | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Auto-Truck Trailers | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Television | 0.1 | ||||||
Audio/Video Products | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Publishing-Books | 0.1 |
6
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Chemicals-Diversified | 0.1 | % | |||||
Miscellaneous Manufacturing | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Racetracks | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
B2B/E-Commerce | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Retail-Drug Store | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Investment Management/Advisor Services | 0.1 | ||||||
Schools | 0.1 | ||||||
Poultry | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Retail-Office Supplies | 0.1 | ||||||
Theaters | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
104.0 | % |
* Calculated as a percentage of net assets
7
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 73.3% | |||||||||||
Aerospace/Defense — 0.9% | |||||||||||
Boeing Co. | 1,141 | $ | 435,200 | ||||||||
Aerospace/Defense-Equipment — 0.7% | |||||||||||
L3 Technologies, Inc. | 1,661 | 342,781 | |||||||||
Moog, Inc., Class A | 175 | 15,216 | |||||||||
357,997 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Deckers Outdoor Corp.† | 600 | 88,194 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 250 | 5,365 | |||||||||
Applications Software — 4.9% | |||||||||||
Brightcove, Inc.† | 2,125 | 17,871 | |||||||||
Microsoft Corp. | 16,152 | 1,904,967 | |||||||||
salesforce.com, Inc.† | 3,054 | 483,662 | |||||||||
Telenav, Inc.† | 3,029 | 18,386 | |||||||||
2,424,886 | |||||||||||
Athletic Footwear — 0.8% | |||||||||||
NIKE, Inc., Class B | 4,541 | 382,398 | |||||||||
Audio/Video Products — 0.1% | |||||||||||
Sonos, Inc.† | 5,275 | 54,280 | |||||||||
Auto-Truck Trailers — 0.1% | |||||||||||
Wabash National Corp. | 4,400 | 59,620 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Aptiv PLC | 2,733 | 217,246 | |||||||||
Meritor, Inc.† | 1,025 | 20,859 | |||||||||
Tenneco, Inc., Class A | 2,975 | 65,926 | |||||||||
304,031 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 1,425 | 54,250 | |||||||||
B2B/E-Commerce — 0.1% | |||||||||||
ePlus, Inc.† | 475 | 42,056 | |||||||||
Banks-Commercial — 1.6% | |||||||||||
1st Source Corp. | 300 | 13,473 | |||||||||
BancFirst Corp. | 950 | 49,542 | |||||||||
BancorpSouth Bank | 1,275 | 35,980 | |||||||||
Banner Corp. | 2,025 | 109,694 | |||||||||
Cadence BanCorp | 75 | 1,391 | |||||||||
Cathay General Bancorp | 500 | 16,955 | |||||||||
Central Pacific Financial Corp. | 1,525 | 43,981 | |||||||||
Central Valley Community Bancorp | 125 | 2,444 | |||||||||
Citizens & Northern Corp. | 125 | 3,130 | |||||||||
City Holding Co. | 325 | 24,762 | |||||||||
Columbia Banking System, Inc. | 1,225 | 40,045 | |||||||||
CVB Financial Corp. | 2,050 | 43,152 | |||||||||
East West Bancorp, Inc. | 24 | 1,151 | |||||||||
Enterprise Financial Services Corp. | 300 | 12,231 | |||||||||
First Commonwealth Financial Corp. | 2,075 | 26,145 | |||||||||
First Community Bankshares, Inc. | 150 | 4,971 | |||||||||
First Hawaiian, Inc. | 450 | 11,723 | |||||||||
First Interstate BancSystem, Inc., Class A | 325 | 12,941 | |||||||||
Great Western Bancorp, Inc. | 150 | 4,739 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Hope Bancorp, Inc. | 1,019 | $ | 13,329 | ||||||||
Independent Bank Corp./ Massachusetts | 75 | 6,076 | |||||||||
Independent Bank Corp./ Michigan | 600 | 12,900 | |||||||||
OFG Bancorp | 175 | 3,463 | |||||||||
PacWest Bancorp | 325 | 12,223 | |||||||||
Simmons First National Corp., Class A | 589 | 14,419 | |||||||||
South State Corp. | 75 | 5,126 | |||||||||
TCF Financial Corp. | 1,275 | 26,380 | |||||||||
Trustmark Corp. | 3,075 | 103,412 | |||||||||
UMB Financial Corp. | 300 | 19,212 | |||||||||
Union Bankshares Corp. | 241 | 7,792 | |||||||||
United Bankshares, Inc. | 900 | 32,616 | |||||||||
Webster Financial Corp. | 300 | 15,201 | |||||||||
West Bancorporation, Inc. | 200 | 4,136 | |||||||||
Westamerica Bancorporation | 1,200 | 74,160 | |||||||||
808,895 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 125 | 4,158 | |||||||||
Beverages-Wine/Spirits — 0.5% | |||||||||||
Constellation Brands, Inc., Class A | 1,428 | 250,371 | |||||||||
Broadcast Services/Program — 0.7% | |||||||||||
Discovery, Inc., Class C† | 6,252 | 158,926 | |||||||||
Hemisphere Media Group, Inc.† | 1,350 | 19,035 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 5,107 | 179,000 | |||||||||
356,961 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Louisiana-Pacific Corp. | 900 | 21,942 | |||||||||
Building & Construction-Misc. — 0.4% | |||||||||||
Comfort Systems USA, Inc. | 540 | 28,291 | |||||||||
EMCOR Group, Inc. | 1,825 | 133,371 | |||||||||
MYR Group, Inc.† | 600 | 20,778 | |||||||||
182,440 | |||||||||||
Building Products-Cement — 0.5% | |||||||||||
Continental Building Products, Inc.† | 1,675 | 41,523 | |||||||||
Vulcan Materials Co. | 1,681 | 199,031 | |||||||||
240,554 | |||||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 575 | 28,687 | |||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. | 550 | 14,718 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
MasTec, Inc.† | 650 | 31,265 | |||||||||
Sterling Construction Co., Inc.† | 900 | 11,268 | |||||||||
42,533 | |||||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
ABM Industries, Inc. | 325 | 11,814 |
8
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
KB Home | 5,225 | $ | 126,288 | ||||||||
Taylor Morrison Home Corp., Class A† | 2,575 | 45,706 | |||||||||
TRI Pointe Group, Inc.† | 700 | 8,848 | |||||||||
180,842 | |||||||||||
Cable/Satellite TV — 0.5% | |||||||||||
Liberty Broadband Corp., Class C† | 2,431 | 223,020 | |||||||||
WideOpenWest, Inc.† | 2,600 | 23,660 | |||||||||
246,680 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. | 825 | 22,572 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 250 | 7,328 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Minerals Technologies, Inc. | 425 | 24,986 | |||||||||
OMNOVA Solutions, Inc.† | 1,775 | 12,460 | |||||||||
37,446 | |||||||||||
Coal — 0.3% | |||||||||||
Arch Coal, Inc., Class A | 475 | 43,353 | |||||||||
NACCO Industries, Inc., Class A | 247 | 9,440 | |||||||||
Peabody Energy Corp. | 950 | 26,914 | |||||||||
SunCoke Energy, Inc.† | 75 | 637 | |||||||||
Warrior Met Coal, Inc. | 1,625 | 49,400 | |||||||||
129,744 | |||||||||||
Coatings/Paint — 0.6% | |||||||||||
Sherwin-Williams Co. | 653 | 281,254 | |||||||||
Commercial Services — 0.8% | |||||||||||
CoStar Group, Inc.† | 530 | 247,203 | |||||||||
Medifast, Inc. | 75 | 9,566 | |||||||||
ServiceMaster Global Holdings, Inc.† | 2,396 | 111,893 | |||||||||
368,662 | |||||||||||
Commercial Services-Finance — 0.5% | |||||||||||
Euronet Worldwide, Inc.† | 100 | 14,259 | |||||||||
Green Dot Corp., Class A† | 275 | 16,679 | |||||||||
Worldpay, Inc., Class A† | 1,730 | 196,355 | |||||||||
227,293 | |||||||||||
Computer Aided Design — 0.7% | |||||||||||
Altair Engineering, Inc., Class A† | 425 | 15,644 | |||||||||
Aspen Technology, Inc.† | 575 | 59,950 | |||||||||
Autodesk, Inc.† | 1,729 | 269,413 | |||||||||
345,007 | |||||||||||
Computer Data Security — 0.1% | |||||||||||
Qualys, Inc.† | 425 | 35,164 | |||||||||
Computer Services — 0.2% | |||||||||||
CACI International, Inc., Class A† | 100 | 18,202 | |||||||||
Science Applications International Corp. | 675 | 51,941 | |||||||||
Unisys Corp.† | 225 | 2,626 | |||||||||
72,769 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Software — 0.5% | |||||||||||
Box, Inc., Class A† | 450 | $ | 8,690 | ||||||||
Cloudera, Inc.† | 2,675 | 29,264 | |||||||||
j2 Global, Inc. | 250 | 21,650 | |||||||||
SS&C Technologies Holdings, Inc. | 2,763 | 175,975 | |||||||||
TiVo Corp. | 1,000 | 9,320 | |||||||||
244,899 | |||||||||||
Computers — 2.0% | |||||||||||
Apple, Inc. | 5,097 | 968,175 | |||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
NetScout Systems, Inc.† | 2,675 | 75,087 | |||||||||
Computers-Periphery Equipment — 0.0% | |||||||||||
Electronics For Imaging, Inc.† | 175 | 4,708 | |||||||||
Consulting Services — 1.6% | |||||||||||
Gartner, Inc.† | 3,042 | 461,411 | |||||||||
Huron Consulting Group, Inc.† | 1,225 | 57,844 | |||||||||
Navigant Consulting, Inc. | 4,625 | 90,049 | |||||||||
Verisk Analytics, Inc. | 1,287 | 171,171 | |||||||||
780,475 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 2,875 | 166,347 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Graphic Packaging Holding Co. | 1,095 | 13,830 | |||||||||
Cosmetics & Toiletries — 0.6% | |||||||||||
Edgewell Personal Care Co.† | 275 | 12,070 | |||||||||
Estee Lauder Cos., Inc., Class A | 1,566 | 259,251 | |||||||||
271,321 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 4,302 | 236,438 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
CommVault Systems, Inc.† | 400 | 25,896 | |||||||||
Dental Supplies & Equipment — 0.0% | |||||||||||
Patterson Cos., Inc. | 825 | 18,026 | |||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Thermo Fisher Scientific, Inc. | 836 | 228,830 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,275 | 22,453 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Utah Medical Products, Inc. | 100 | 8,825 | |||||||||
Distribution/Wholesale — 0.2% | |||||||||||
Core-Mark Holding Co., Inc. | 525 | 19,493 | |||||||||
Fossil Group, Inc.† | 2,450 | 33,614 | |||||||||
Titan Machinery, Inc.† | 1,000 | 15,560 | |||||||||
Veritiv Corp.† | 425 | 11,186 | |||||||||
79,853 | |||||||||||
Diversified Manufacturing Operations — 1.2% | |||||||||||
Actuant Corp., Class A | 1,225 | 29,853 | |||||||||
Fabrinet† | 550 | 28,798 | |||||||||
Harsco Corp.† | 875 | 17,640 | |||||||||
Illinois Tool Works, Inc. | 1,834 | 263,234 | |||||||||
Parker-Hannifin Corp. | 1,589 | 272,704 | |||||||||
612,229 |
9
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
E-Commerce/Products — 3.6% | |||||||||||
Amazon.com, Inc.† | 908 | $ | 1,616,921 | ||||||||
Wayfair, Inc., Class A† | 1,065 | 158,099 | |||||||||
1,775,020 | |||||||||||
E-Commerce/Services — 0.3% | |||||||||||
Groupon, Inc.† | 3,025 | 10,739 | |||||||||
Liberty Expedia Holdings, Inc., Class A† | 2,625 | 112,350 | |||||||||
Upwork, Inc.† | 700 | 13,398 | |||||||||
136,487 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
New Media Investment Group, Inc. | 725 | 7,613 | |||||||||
E-Services/Consulting — 0.1% | |||||||||||
Perficient, Inc.† | 1,950 | 53,410 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 200 | 3,926 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Portland General Electric Co. | 1,025 | 53,136 | |||||||||
Spark Energy, Inc., Class A | 1,550 | 13,810 | |||||||||
66,946 | |||||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 13,325 | 33,579 | |||||||||
Electric-Integrated — 0.1% | |||||||||||
Black Hills Corp. | 200 | 14,814 | |||||||||
El Paso Electric Co. | 600 | 35,292 | |||||||||
PNM Resources, Inc. | 450 | 21,303 | |||||||||
71,409 | |||||||||||
Electronic Components-Misc. — 0.5% | |||||||||||
Bel Fuse, Inc., Class B | 125 | 3,160 | |||||||||
Benchmark Electronics, Inc. | 900 | 23,625 | |||||||||
OSI Systems, Inc.† | 625 | 54,750 | |||||||||
Sensata Technologies Holding PLC† | 3,256 | 146,585 | |||||||||
228,120 | |||||||||||
Electronic Components-Semiconductors — 3.3% | |||||||||||
Amkor Technology, Inc.† | 3,975 | 33,947 | |||||||||
Microchip Technology, Inc. | 2,990 | 248,050 | |||||||||
NVIDIA Corp. | 2,665 | 478,527 | |||||||||
Rambus, Inc.† | 10,150 | 106,068 | |||||||||
Synaptics, Inc.† | 1,375 | 54,656 | |||||||||
Texas Instruments, Inc. | 5,633 | 597,492 | |||||||||
Xperi Corp. | 3,675 | 85,995 | |||||||||
1,604,735 | |||||||||||
Electronic Forms — 1.4% | |||||||||||
Adobe, Inc.† | 2,484 | 661,961 | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Stoneridge, Inc.† | 1,925 | 55,555 | |||||||||
Electronic Parts Distribution — 0.2% | |||||||||||
Tech Data Corp.† | 1,100 | 112,651 |
Security Description | Shares | Value (Note 2) | |||||||||
Energy-Alternate Sources — 0.2% | |||||||||||
FutureFuel Corp. | 1,125 | $ | 15,075 | ||||||||
Renewable Energy Group, Inc.† | 1,700 | 37,332 | |||||||||
REX American Resources Corp.† | 650 | 52,396 | |||||||||
104,803 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
VSE Corp. | 395 | 12,474 | |||||||||
Enterprise Software/Service — 0.8% | |||||||||||
Blackline, Inc.† | 325 | 15,054 | |||||||||
Domo, Inc., Class B† | 525 | 21,173 | |||||||||
Donnelley Financial Solutions, Inc.† | 675 | 10,044 | |||||||||
Manhattan Associates, Inc.† | 250 | 13,778 | |||||||||
MicroStrategy, Inc., Class A† | 100 | 14,425 | |||||||||
Progress Software Corp. | 1,725 | 76,538 | |||||||||
SPS Commerce, Inc.† | 275 | 29,167 | |||||||||
Tyler Technologies, Inc.† | 1,021 | 208,692 | |||||||||
388,871 | |||||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Credit Acceptance Corp.† | 65 | 29,375 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Nelnet, Inc., Class A | 75 | 4,130 | |||||||||
Synchrony Financial | 5,093 | 162,467 | |||||||||
166,597 | |||||||||||
Finance-Credit Card — 3.1% | |||||||||||
Mastercard, Inc., Class A | 2,991 | 704,231 | |||||||||
Visa, Inc., Class A | 5,290 | 826,245 | |||||||||
1,530,476 | |||||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Cowen, Inc.† | 425 | 6,158 | |||||||||
Houlihan Lokey, Inc. | 825 | 37,827 | |||||||||
TD Ameritrade Holding Corp. | 3,876 | 193,761 | |||||||||
237,746 | |||||||||||
Finance-Other Services — 0.8% | |||||||||||
CME Group, Inc. | 937 | 154,211 | |||||||||
Deluxe Corp. | 600 | 26,232 | |||||||||
Intercontinental Exchange, Inc. | 2,630 | 200,248 | |||||||||
WageWorks, Inc.† | 497 | 18,767 | |||||||||
399,458 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 3,000 | 28,560 | |||||||||
MGIC Investment Corp.† | 1,300 | 17,147 | |||||||||
NMI Holdings, Inc., Class A† | 600 | 15,522 | |||||||||
Radian Group, Inc. | 350 | 7,259 | |||||||||
68,488 | |||||||||||
Firearms & Ammunition — 0.3% | |||||||||||
Axon Enterprise, Inc.† | 2,836 | 154,307 | |||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 125 | 3,075 | |||||||||
Food-Catering — 0.3% | |||||||||||
Aramark | 5,521 | 163,146 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 1,500 | 4,545 |
10
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Footwear & Related Apparel — 0.1% | |||||||||||
Crocs, Inc.† | 1,500 | $ | 38,625 | ||||||||
Weyco Group, Inc. | 75 | 2,322 | |||||||||
40,947 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
Northwest Natural Holding Co. | 150 | 9,844 | |||||||||
Southwest Gas Holdings, Inc. | 300 | 24,678 | |||||||||
34,522 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,250 | 58,750 | |||||||||
Hotels/Motels — 0.4% | |||||||||||
Hilton Worldwide Holdings, Inc. | 2,450 | 203,619 | |||||||||
Red Lion Hotels Corp.† | 1,075 | 8,686 | |||||||||
212,305 | |||||||||||
Human Resources �� 0.3% | |||||||||||
Barrett Business Services, Inc. | 1,000 | 77,330 | |||||||||
Cross Country Healthcare, Inc.† | 2,325 | 16,345 | |||||||||
Heidrick & Struggles International, Inc. | 150 | 5,749 | |||||||||
Kforce, Inc. | 800 | 28,096 | |||||||||
TrueBlue, Inc.† | 925 | 21,867 | |||||||||
149,387 | |||||||||||
Independent Power Producers — 0.3% | |||||||||||
Clearway Energy, Inc., Class A | 550 | 7,997 | |||||||||
Clearway Energy, Inc., Class C | 1,200 | 18,132 | |||||||||
NRG Energy, Inc. | 2,368 | 100,593 | |||||||||
126,722 | |||||||||||
Industrial Audio & Video Products — 0.0% | |||||||||||
Turtle Beach Corp.† | 475 | 5,396 | |||||||||
Industrial Automated/Robotic — 0.3% | |||||||||||
Cognex Corp. | 3,238 | 164,685 | |||||||||
Industrial Gases — 0.6% | |||||||||||
Air Products & Chemicals, Inc. | 1,571 | 299,998 | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
American Equity Investment Life Holding Co. | 100 | 2,702 | |||||||||
CNO Financial Group, Inc. | 1,550 | 25,079 | |||||||||
Primerica, Inc. | 475 | 58,021 | |||||||||
85,802 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 175 | 13,325 | |||||||||
Insurance-Property/Casualty — 0.8% | |||||||||||
Ambac Financial Group, Inc.† | 100 | 1,812 | |||||||||
First American Financial Corp. | 200 | 10,300 | |||||||||
Kinsale Capital Group, Inc. | 475 | 32,571 | |||||||||
Navigators Group, Inc. | 150 | 10,480 | |||||||||
ProAssurance Corp. | 375 | 12,979 | |||||||||
Progressive Corp. | 4,660 | 335,939 | |||||||||
Universal Insurance Holdings, Inc. | 350 | 10,850 | |||||||||
414,931 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 125 | $ | 3,798 | ||||||||
Third Point Reinsurance, Ltd.† | 625 | 6,487 | |||||||||
10,285 | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 1,074 | 58,264 | |||||||||
Internet Content-Entertainment — 1.8% | |||||||||||
Facebook, Inc., Class A† | 2,626 | 437,728 | |||||||||
Netflix, Inc.† | 1,206 | 430,011 | |||||||||
867,739 | |||||||||||
Internet Content-Information/News — 0.2% | |||||||||||
HealthStream, Inc.† | 300 | 8,418 | |||||||||
Yelp, Inc.† | 2,050 | 70,725 | |||||||||
79,143 | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 225 | 27,322 | |||||||||
Zix Corp.† | 2,300 | 15,824 | |||||||||
43,146 | |||||||||||
Investment Companies — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 375 | 5,085 | |||||||||
Investment Management/Advisor Services — 0.1% | |||||||||||
Stifel Financial Corp. | 615 | 32,447 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
Bloom Energy Corp. Class A† | 75 | 969 | |||||||||
Machinery-Farming — 0.5% | |||||||||||
Deere & Co. | 1,434 | 229,211 | |||||||||
Machinery-General Industrial — 0.5% | |||||||||||
DXP Enterprises, Inc.† | 700 | 27,244 | |||||||||
Kadant, Inc. | 400 | 35,184 | |||||||||
Wabtec Corp. | 2,251 | 165,944 | |||||||||
228,372 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
CSW Industrials, Inc.† | 500 | 28,645 | |||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 475 | 11,628 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 2,900 | 27,666 | |||||||||
Medical Instruments — 0.7% | |||||||||||
AngioDynamics, Inc.† | 1,750 | 40,005 | |||||||||
Boston Scientific Corp.† | 6,078 | 233,274 | |||||||||
NuVasive, Inc.† | 800 | 45,432 | |||||||||
318,711 | |||||||||||
Medical Labs & Testing Services — 0.3% | |||||||||||
Medpace Holdings, Inc.† | 575 | 33,908 | |||||||||
SI-BONE, Inc.† | 100 | 1,884 | |||||||||
Teladoc Health, Inc.† | 1,923 | 106,919 | |||||||||
142,711 |
11
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Products — 1.0% | |||||||||||
Abbott Laboratories | 2,710 | $ | 216,637 | ||||||||
Axonics Modulation Technologies, Inc.† | 75 | 1,796 | |||||||||
ICU Medical, Inc.† | 482 | 115,357 | |||||||||
Integer Holdings Corp.† | 1,425 | 107,473 | |||||||||
Luminex Corp. | 475 | 10,930 | |||||||||
Nevro Corp.† | 425 | 26,567 | |||||||||
Orthofix Medical, Inc.† | 275 | 15,513 | |||||||||
494,273 | |||||||||||
Medical-Biomedical/Gene — 1.7% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 1,150 | 30,877 | |||||||||
Achillion Pharmaceuticals, Inc.† | 3,025 | 8,954 | |||||||||
Alder Biopharmaceuticals, Inc.† | 1,325 | 18,086 | |||||||||
AMAG Pharmaceuticals, Inc.† | 125 | 1,610 | |||||||||
Amicus Therapeutics, Inc.† | 2,100 | 28,560 | |||||||||
AnaptysBio, Inc.† | 1,413 | 103,220 | |||||||||
Aptinyx, Inc.† | 825 | 3,341 | |||||||||
Arena Pharmaceuticals, Inc.† | 630 | 28,243 | |||||||||
Atara Biotherapeutics, Inc.† | 700 | 27,825 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 775 | 39,889 | |||||||||
Bluebird Bio, Inc.† | 100 | 15,733 | |||||||||
Cymabay Therapeutics, Inc.† | 1,650 | 21,912 | |||||||||
CytomX Therapeutics, Inc.† | 725 | 7,794 | |||||||||
Forty Seven, Inc.† | 1,350 | 21,816 | |||||||||
Gilead Sciences, Inc. | 1,732 | 112,597 | |||||||||
Homology Medicines, Inc.† | 425 | 11,785 | |||||||||
Insmed, Inc.† | 3,692 | 107,326 | |||||||||
Intercept Pharmaceuticals, Inc.† | 250 | 27,965 | |||||||||
Menlo Therapeutics, Inc.† | 575 | 4,514 | |||||||||
Myriad Genetics, Inc.† | 850 | 28,220 | |||||||||
NewLink Genetics Corp.† | 585 | 1,129 | |||||||||
Puma Biotechnology, Inc.† | 500 | 19,395 | |||||||||
REGENXBIO, Inc.† | 450 | 25,790 | |||||||||
resTORbio, Inc.† | 425 | 2,899 | |||||||||
Sage Therapeutics, Inc.† | 441 | 70,141 | |||||||||
Sangamo Therapeutics, Inc.† | 425 | 4,055 | |||||||||
Selecta Biosciences, Inc.† | 612 | 1,450 | |||||||||
Solid Biosciences, Inc.† | 675 | 6,210 | |||||||||
Synlogic, Inc.† | 1,375 | 10,436 | |||||||||
TCR2 Therapeutics, Inc.† | 500 | 8,715 | |||||||||
Twist Bioscience Corp.† | 450 | 10,431 | |||||||||
Y-mAbs Therapeutics, Inc.† | 75 | 1,966 | |||||||||
812,884 | |||||||||||
Medical-Drugs — 2.7% | |||||||||||
AbbVie, Inc. | 4,636 | 373,615 | |||||||||
Aimmune Therapeutics, Inc.† | 675 | 15,086 | |||||||||
Alector, Inc.† | 300 | 5,616 | |||||||||
Athenex, Inc.† | 1,675 | 20,519 | |||||||||
Bristol-Myers Squibb Co. | 3,284 | 156,680 | |||||||||
Clovis Oncology, Inc.† | 975 | 24,199 | |||||||||
Eagle Pharmaceuticals, Inc.† | 175 | 8,836 | |||||||||
Eli Lilly & Co. | 1,436 | 186,335 | |||||||||
Global Blood Therapeutics, Inc.† | 700 | 37,051 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Gritstone Oncology, Inc.† | 325 | $ | 4,323 | ||||||||
Horizon Pharma PLC† | 1,325 | 35,020 | |||||||||
Lannett Co., Inc.† | 2,550 | 20,068 | |||||||||
Mallinckrodt PLC† | 625 | 13,588 | |||||||||
Merck & Co., Inc. | 2,713 | 225,640 | |||||||||
MyoKardia, Inc.† | 750 | 38,992 | |||||||||
Paratek Pharmaceuticals, Inc.† | 1,675 | 8,978 | |||||||||
Prestige Consumer Healthcare, Inc.† | 1,100 | 32,901 | |||||||||
Principia Biopharma, Inc.† | 775 | 26,350 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 315 | 26,923 | |||||||||
Seres Therapeutics, Inc.† | 3,625 | 24,904 | |||||||||
Sutro Biopharma, Inc.† | 250 | 2,848 | |||||||||
TG Therapeutics, Inc.† | 1,475 | 11,859 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,075 | 19,780 | |||||||||
Voyager Therapeutics, Inc.† | 1,125 | 21,532 | |||||||||
1,341,643 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Arvinas, Inc.† | 25 | 369 | |||||||||
Endo International PLC† | 2,450 | 19,674 | |||||||||
20,043 | |||||||||||
Medical-HMO — 1.8% | |||||||||||
Humana, Inc. | 927 | 246,582 | |||||||||
Tivity Health, Inc.† | 1,000 | 17,560 | |||||||||
Triple-S Management Corp., Class B† | 1,925 | 43,928 | |||||||||
UnitedHealth Group, Inc. | 2,364 | 584,523 | |||||||||
892,593 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
Community Health Systems, Inc.† | 1,800 | 6,714 | |||||||||
Quorum Health Corp.† | 1,918 | 2,685 | |||||||||
Surgery Partners, Inc.† | 825 | 9,306 | |||||||||
Tenet Healthcare Corp.† | 950 | 27,398 | |||||||||
46,103 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Amedisys, Inc.† | 350 | 43,141 | |||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. | 3,425 | 14,043 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
LB Foster Co., Class A† | 125 | 2,353 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,000 | 37,320 | |||||||||
Metal-Aluminum — 0.0% | |||||||||||
Kaiser Aluminum Corp. | 75 | 7,855 | |||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
Hillenbrand, Inc. | 1,150 | 47,759 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 56 | 512 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 775 | 9,602 |
12
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Multimedia — 0.8% | |||||||||||
Entravision Communications Corp., Class A | 875 | $ | 2,835 | ||||||||
Walt Disney Co. | 3,290 | 365,289 | |||||||||
368,124 | |||||||||||
Networking Products — 0.1% | |||||||||||
Infinera Corp.† | 4,175 | 18,119 | |||||||||
NeoPhotonics Corp.† | 1,475 | 9,278 | |||||||||
27,397 | |||||||||||
Office Furnishings-Original — 0.0% | |||||||||||
HNI Corp. | 600 | 21,774 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
ACCO Brands Corp. | 6,625 | 56,710 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Denbury Resources, Inc.† | 6,050 | 12,403 | |||||||||
EOG Resources, Inc. | 1,003 | 95,466 | |||||||||
Gulfport Energy Corp.† | 3,075 | 24,661 | |||||||||
Unit Corp.† | 314 | 4,471 | |||||||||
W&T Offshore, Inc.† | 7,525 | 51,922 | |||||||||
188,923 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Dril-Quip, Inc.† | 1,325 | 60,751 | |||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Adams Resources & Energy, Inc. | 75 | 2,930 | |||||||||
CVR Energy, Inc. | 625 | 25,750 | |||||||||
Murphy USA, Inc.† | 375 | 32,107 | |||||||||
60,787 | |||||||||||
Oil-Field Services — 0.3% | |||||||||||
FTS International, Inc.† | 775 | 7,750 | |||||||||
Matrix Service Co.† | 2,275 | 44,544 | |||||||||
MRC Global, Inc.† | 2,575 | 45,011 | |||||||||
Nine Energy Service, Inc.† | 21 | 476 | |||||||||
NOW, Inc.† | 2,725 | 38,041 | |||||||||
135,822 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. | 225 | 11,171 | |||||||||
Verso Corp., Class A† | 2,125 | 45,518 | |||||||||
56,689 | |||||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 4,075 | 88,224 | |||||||||
Poultry — 0.1% | |||||||||||
Sanderson Farms, Inc. | 225 | 29,664 | |||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 1,600 | 81,968 | |||||||||
Powell Industries, Inc. | 525 | 13,939 | |||||||||
95,907 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Ennis, Inc. | 1,725 | 35,811 | |||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 4,875 | 35,441 | |||||||||
Tribune Publishing Co.† | 1,075 | 12,674 | |||||||||
48,115 |
Security Description | Shares | Value (Note 2) | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 5,050 | $ | 53,227 | ||||||||
Racetracks — 0.1% | |||||||||||
Penn National Gaming, Inc.† | 2,288 | 45,989 | |||||||||
Real Estate Investment Trusts — 2.4% | |||||||||||
Alexander & Baldwin, Inc. | 259 | 6,589 | |||||||||
American Assets Trust, Inc. | 1,224 | 56,133 | |||||||||
Americold Realty Trust | 2,050 | 62,545 | |||||||||
Ashford Hospitality Trust, Inc. | 3,650 | 17,337 | |||||||||
Capstead Mtg. Corp. | 450 | 3,866 | |||||||||
Cherry Hill Mtg. Investment Corp. | 625 | 10,762 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 57 | 2,095 | |||||||||
CoreSite Realty Corp. | 800 | 85,616 | |||||||||
Cousins Properties, Inc. | 1,500 | 14,490 | |||||||||
Crown Castle International Corp. | 3,348 | 428,544 | |||||||||
CubeSmart | 400 | 12,816 | |||||||||
DiamondRock Hospitality Co. | 3,350 | 36,280 | |||||||||
Dynex Capital, Inc. | 250 | 1,523 | |||||||||
EastGroup Properties, Inc. | 250 | 27,910 | |||||||||
Equity LifeStyle Properties, Inc. | 150 | 17,145 | |||||||||
First Industrial Realty Trust, Inc. | 300 | 10,608 | |||||||||
GEO Group, Inc. | 2,600 | 49,920 | |||||||||
Gladstone Commercial Corp. | 125 | 2,596 | |||||||||
Hersha Hospitality Trust | 475 | 8,142 | |||||||||
Highwoods Properties, Inc. | 225 | 10,525 | |||||||||
Hospitality Properties Trust | 600 | 15,786 | |||||||||
Invesco Mtg. Capital, Inc. | 1,125 | 17,775 | |||||||||
Invitation Homes, Inc. | 3,152 | 76,688 | |||||||||
Mack-Cali Realty Corp. | 525 | 11,655 | |||||||||
National Retail Properties, Inc. | 75 | 4,154 | |||||||||
Pebblebrook Hotel Trust | 2,600 | 80,756 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 1,100 | 22,935 | |||||||||
PotlatchDeltic Corp. | 325 | 12,282 | |||||||||
PS Business Parks, Inc. | 100 | 15,683 | |||||||||
RLJ Lodging Trust | 325 | 5,710 | |||||||||
Saul Centers, Inc. | 275 | 14,127 | |||||||||
Taubman Centers, Inc. | 200 | 10,576 | |||||||||
Two Harbors Investment Corp. | 3,013 | 40,766 | |||||||||
Xenia Hotels & Resorts, Inc. | 250 | 5,478 | |||||||||
1,199,813 | |||||||||||
Retail-Apparel/Shoe — 0.3% | |||||||||||
Abercrombie & Fitch Co., Class A | 4,250 | 116,492 | |||||||||
Tailored Brands, Inc. | 1,250 | 9,800 | |||||||||
126,292 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 275 | 6,287 | |||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 4,025 | 16,905 | |||||||||
Retail-Drug Store — 0.1% | |||||||||||
Rite Aid Corp.† | 51,175 | 32,496 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
GameStop Corp., Class A | 1,300 | 13,208 | |||||||||
Retail-Office Supplies — 0.1% | |||||||||||
Office Depot, Inc. | 6,650 | 24,140 |
13
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. | 175 | $ | 15,138 | ||||||||
Retail-Restaurants — 1.8% | |||||||||||
Bloomin' Brands, Inc. | 3,075 | 62,884 | |||||||||
Brinker International, Inc. | 2,950 | 130,921 | |||||||||
Dunkin' Brands Group, Inc. | 1,329 | 99,808 | |||||||||
McDonald's Corp. | 1,307 | 248,199 | |||||||||
Starbucks Corp. | 4,332 | 322,041 | |||||||||
863,853 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Hibbett Sports, Inc.† | 1,400 | 31,934 | |||||||||
Zumiez, Inc.† | 1,375 | 34,224 | |||||||||
66,158 | |||||||||||
Rubber/Plastic Products — 0.1% | |||||||||||
Myers Industries, Inc. | 175 | 2,994 | |||||||||
Trinseo SA | 1,325 | 60,023 | |||||||||
63,017 | |||||||||||
Savings & Loans/Thrifts — 0.4% | |||||||||||
BankFinancial Corp. | 500 | 7,435 | |||||||||
Capitol Federal Financial, Inc. | 100 | 1,335 | |||||||||
First Defiance Financial Corp. | 225 | 6,467 | |||||||||
Flushing Financial Corp. | 425 | 9,320 | |||||||||
Investors Bancorp, Inc. | 1,375 | 16,294 | |||||||||
Meridian Bancorp, Inc. | 3,025 | 47,462 | |||||||||
Northfield Bancorp, Inc. | 3,075 | 42,742 | |||||||||
People's United Financial, Inc. | 698 | 11,475 | |||||||||
Washington Federal, Inc. | 2,000 | 57,780 | |||||||||
200,310 | |||||||||||
Schools — 0.1% | |||||||||||
K12, Inc.† | 950 | 32,423 | |||||||||
Seismic Data Collection — 0.0% | |||||||||||
Dawson Geophysical Co.† | 550 | 1,612 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
Cirrus Logic, Inc.† | 1,425 | 59,950 | |||||||||
Semiconductor Equipment — 0.8% | |||||||||||
Cohu, Inc. | 1,725 | 25,444 | |||||||||
Lam Research Corp. | 1,820 | 325,798 | |||||||||
Veeco Instruments, Inc.† | 1,850 | 20,054 | |||||||||
371,296 | |||||||||||
Telecom Equipment-Fiber Optics — 0.0% | |||||||||||
Ciena Corp.† | 275 | 10,269 | |||||||||
Telecom Services — 0.1% | |||||||||||
HC2 Holdings, Inc.† | 3,375 | 8,269 | |||||||||
Vonage Holdings Corp.† | 2,575 | 25,853 | |||||||||
34,122 | |||||||||||
Television — 0.1% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 2 | 1,794 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 1,375 | 52,910 | |||||||||
54,704 |
Security Description | Shares | Value (Note 2) | |||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc., Class A | 1,600 | $ | 23,760 | ||||||||
Therapeutics — 0.9% | |||||||||||
Flexion Therapeutics, Inc.† | 750 | 9,360 | |||||||||
La Jolla Pharmaceutical Co.† | 675 | 4,340 | |||||||||
Mersana Therapeutics, Inc.† | 4,250 | 22,355 | |||||||||
Mirati Therapeutics, Inc.† | 755 | 55,341 | |||||||||
Neurocrine Biosciences, Inc.† | 2,458 | 216,550 | |||||||||
Sarepta Therapeutics, Inc.† | 916 | 109,178 | |||||||||
Xencor, Inc.† | 825 | 25,625 | |||||||||
442,749 | |||||||||||
Tobacco — 1.1% | |||||||||||
Altria Group, Inc. | 9,756 | 560,287 | |||||||||
Transactional Software — 0.2% | |||||||||||
ACI Worldwide, Inc.† | 2,875 | 94,501 | |||||||||
Synchronoss Technologies, Inc.† | 1,600 | 9,728 | |||||||||
104,229 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 44 | 282 | |||||||||
SEACOR Holdings, Inc.† | 500 | 21,140 | |||||||||
21,422 | |||||||||||
Transport-Rail — 0.8% | |||||||||||
CSX Corp. | 5,026 | 376,045 | |||||||||
Transport-Services — 0.1% | |||||||||||
Echo Global Logistics, Inc.† | 1,050 | 26,019 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 1,475 | 45,415 | |||||||||
Covenant Transportation Group, Inc., Class A† | 175 | 3,322 | |||||||||
Schneider National, Inc., Class B | 300 | 6,315 | |||||||||
YRC Worldwide, Inc.† | 1,962 | 13,126 | |||||||||
68,178 | |||||||||||
Travel Services — 0.0% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 1,475 | 20,930 | |||||||||
Veterinary Diagnostics — 0.2% | |||||||||||
Elanco Animal Health, Inc.† | 3,212 | 103,009 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 200 | 10,598 | |||||||||
USANA Health Sciences, Inc.† | 125 | 10,484 | |||||||||
21,082 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 900 | 64,170 | |||||||||
Web Hosting/Design — 0.6% | |||||||||||
Endurance International Group Holdings, Inc.† | 1,300 | 9,425 | |||||||||
GoDaddy, Inc., Class A† | 3,745 | 281,587 | |||||||||
NIC, Inc. | 1,350 | 23,071 | |||||||||
314,083 | |||||||||||
Web Portals/ISP — 3.8% | |||||||||||
Alphabet, Inc., Class C† | 1,592 | 1,867,910 | |||||||||
Total Common Stocks (cost $28,999,088) | 35,998,972 |
14
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.7% | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC 7.00% due 04/04/2079 | $ | 25,000 | $ | 25,368 | |||||||
Diversified Banking Institutions — 0.6% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(3) | 275,000 | 308,867 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1) | 6,000 | 1 | |||||||||
Total Preferred Securities/Capital Securities (cost $309,384) | 334,236 | ||||||||||
ASSET BACKED SECURITIES — 8.3% | |||||||||||
Diversified Financial Services — 8.3% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.66% (1 ML+0.17%) due 01/25/2037(4) | 6,232 | 6,050 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 4.30% (3 ML+1.51%) due 01/15/2029* | 250,915 | 250,825 | |||||||||
Apidos CLO FRS Series 2015-21A, Class A1R 3.71% (3 ML+0.93%) due 07/18/2027* | 250,000 | 247,844 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 4.06% (1 ML+1.58%) due 10/25/2034 | 1,925 | 1,934 | |||||||||
Avery Point VI CLO, Ltd. FRS Series 2015-6A, Class AR 3.78% (3 ML+1.05%) due 08/05/2027* | 265,000 | 263,962 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.53% due 09/15/2060(5)(6)(7) | 995,192 | 37,495 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6) | 72,275 | 72,604 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6) | 69,458 | 69,659 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(6) | 71,092 | 71,476 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6) | 68,213 | 69,273 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.43% due 02/25/2036(4)(6) | 23,293 | 21,816 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(5)(6)(7) | $ | 99,677 | $ | 3,652 | |||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.54% due 07/15/2051(5)(6)(7) | 124,691 | 4,608 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 1,792 | 1,791 | |||||||||
CFCRE Commercial Mtg. Trust Series 2016-C3, Class A3 3.87% due 01/10/2048(5) | 39,000 | 40,530 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 3,611 | 3,604 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(6) | 70,965 | 70,555 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(5) | 39,000 | 40,456 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(5) | 20,000 | 20,808 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.97% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 14,056 | 13,842 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 30,445 | 30,318 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5) | 35,000 | 35,330 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5) | 45,267 | 46,505 | |||||||||
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(5) | 43,000 | 44,854 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(5) | 100,000 | 105,517 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 6,929 | 5,947 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.79% due 06/15/2057(5)(6)(7) | 318,600 | 11,712 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(5) | 40,000 | 41,566 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 49,625 | 50,373 |
15
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.19% due 05/25/2035(4)(6) | $ | 21,017 | $ | 21,077 | |||||||
GS Mtg. Securities Trust Series 2016-CS3, Class A4 2.85% due 10/10/2049(5) | 44,000 | 43,280 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(5) | 46,000 | 47,677 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5) | 40,000 | 41,818 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.59% (1 ML+0.10%) due 03/25/2037 | 52,382 | 24,807 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.15% due 03/25/2047(4)(6) | 4,542 | 4,053 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 4.41% due 01/25/2036(4)(6) | 9,360 | 9,397 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 3.03% (1 ML+0.54%) due 05/25/2035(4) | 12,280 | 12,033 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(5) | 39,000 | 40,168 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5) | 25,000 | 25,977 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(5) | 60,000 | 62,885 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(8) | 93,901 | 93,852 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 3.77% (3 ML+1.00%) due 07/25/2026* | 220,964 | 220,819 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.56% due 12/25/2034(4)(6) | 5,211 | 5,344 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(8) | 78,718 | 78,621 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(6) | 72,315 | 71,263 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.09% due 12/15/2047(5)(6)(7) | 95,863 | 3,344 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(5) | $ | 42,000 | $ | 42,598 | |||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | 8,990 | 6,913 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.77% (1 ML+0.28%) due 10/25/2035(4) | 25,154 | 24,809 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 3.24% (1 ML + 0.75%) due 01/25/2048*(4) | 84,686 | 84,085 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.99% (1 ML+1.50%) due 06/25/2057*(4) | 61,414 | 62,342 | |||||||||
New Residential Mtg. Loan Trust VRS(4) Series 2017-1A, Class A1 4.00% due 02/25/2057*(6) | 61,185 | 62,269 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(6) | 67,606 | 69,066 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(6) | 64,243 | 65,632 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(6) | 73,285 | 74,432 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.45% due 06/25/2036(4)(6) | 26,813 | 23,431 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(6) | 6,899 | 6,792 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 100,000 | 100,084 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 73,237 | 72,919 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 100,000 | 99,218 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 10,335 | 10,351 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.59% (1 ML+0.10%) due 02/25/2037 | 8,977 | 5,310 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(8) | 60,387 | 27,737 |
16
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4) | $ | 869 | $ | 829 | |||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.62% (1 ML+0.13%) due 05/25/2037 | 24,728 | 18,974 | |||||||||
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 4.11% due 02/20/2047(4)(6) | 20,895 | 19,371 | |||||||||
Shackleton CLO, Ltd. FRS Series 2015-8A, Class A1R 3.70% (3 ML+0.92%) due 10/20/2027* | 270,000 | 268,151 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.74% (1 ML+0.25%) due 11/25/2036 | 50,000 | 46,305 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(6) | 62,157 | 61,462 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(6) | 74,777 | 73,555 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(6) | 80,355 | 78,877 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5) | 30,000 | 31,244 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.75% due 10/25/2036(4)(6) | 6,727 | 6,651 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.83% due 11/25/2034(4)(6) | 648 | 660 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.94% due 01/25/2035(4)(6) | 13,999 | 14,211 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.15% due 03/25/2035(4)(6) | 10,953 | 11,230 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 30,000 | 30,003 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5) | 35,000 | 36,692 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5) | 36,000 | 37,947 | |||||||||
Total Asset Backed Securities (cost $4,064,629) | 4,065,471 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES — 6.3% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | $ | 11,000 | $ | 11,176 | |||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 25,000 | 25,662 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 10,000 | 10,386 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,304 | |||||||||
41,352 | |||||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 5,000 | 5,028 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 10,000 | 10,105 | |||||||||
15,133 | |||||||||||
Applications Software — 0.0% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 5,000 | 5,102 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 10,000 | 10,430 | |||||||||
15,532 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 4.75% due 01/15/2043 | 5,000 | 3,918 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 5,000 | 4,189 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 5,000 | 4,571 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 5,000 | 4,847 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 10,000 | 10,430 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 15,000 | 14,845 | |||||||||
42,800 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 15,000 | 15,178 |
17
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Super Regional — 0.2% | |||||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | $ | 55,000 | $ | 55,073 | |||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 25,000 | 25,096 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 15,000 | 15,436 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 5,000 | 5,325 | |||||||||
100,930 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 5,000 | 4,936 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 5,000 | 4,887 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 15,000 | 15,748 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 12,000 | 12,793 | |||||||||
38,364 | |||||||||||
Brewery — 0.2% | |||||||||||
Anheuser-Busch Cos. LLC/Anheuser- Busch InBev Worldwide, Inc. Company Guar. Notes 4.70% due 02/01/2036* | 10,000 | 9,990 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 15,000 | 12,980 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.15% due 01/23/2025 | 10,000 | 10,421 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 10,000 | 10,654 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 15,000 | 14,295 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 50,000 | 54,126 | |||||||||
112,466 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 7,000 | 7,057 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 8,000 | 8,063 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Broadcast Services/Program (continued) | |||||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | $ | 5,000 | $ | 5,263 | |||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 5,000 | 4,861 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 15,000 | 16,461 | |||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 15,000 | 15,550 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 7,000 | 7,140 | |||||||||
64,395 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 13,000 | 13,612 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 12,000 | 12,075 | |||||||||
Cable/Satellite TV — 0.4% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | 2,000 | 2,092 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 20,000 | 20,692 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 5,000 | 5,276 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 20,000 | 20,892 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 7,000 | 7,847 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 10,000 | 10,458 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 5,000 | 4,872 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 10,000 | 10,624 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 5,000 | 5,277 |
18
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | $ | 5,000 | $ | 5,352 | |||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 5,000 | 5,515 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 25,000 | 24,886 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 5,000 | 4,729 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 8,000 | 7,200 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 5,000 | 4,200 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 20,000 | 17,481 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 10,000 | 10,249 | |||||||||
167,642 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 5,000 | 5,131 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 9,000 | 9,135 | |||||||||
14,266 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | 15,000 | 15,686 | |||||||||
DowDuPont, Inc. Senior Notes 4.73% due 11/15/2028 | 30,000 | 32,412 | |||||||||
48,098 | |||||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 15,000 | 14,736 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 35,000 | 35,694 | |||||||||
Computers — 0.0% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 5,000 | 4,757 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,240 | |||||||||
9,997 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | $ | 20,000 | $ | 19,100 | |||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 15,000 | 15,894 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 10,000 | 10,282 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 5,001 | |||||||||
Diversified Banking Institutions — 1.2% | |||||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | 15,000 | 15,044 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 35,000 | 35,025 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 30,000 | 30,134 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 10,000 | 10,192 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 40,000 | 41,888 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 10,000 | 9,907 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 15,000 | 14,692 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 10,000 | 9,825 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.78% (3 ML+1.10%) due 05/17/2024 | 30,000 | 30,131 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 30,000 | 30,498 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 15,000 | 15,390 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 10,000 | 10,961 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 15,000 | 14,867 |
19
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | $ | 25,000 | $ | 24,721 | |||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 5,000 | 4,952 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 15,000 | 14,860 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 5,000 | 4,774 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 10,000 | 10,220 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 5,000 | 5,288 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 15,000 | 18,501 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 8,000 | 9,753 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 40,000 | 39,987 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 34,000 | 34,476 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 15,000 | 14,898 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 15,000 | 15,402 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 4.01% (3 ML+1.23%) due 10/24/2023 | 10,000 | 10,150 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 25,000 | 24,886 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 5,000 | 4,867 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 30,000 | 29,773 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 20,000 | 20,351 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 10,000 | 9,997 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | $ | 5,000 | $ | 5,130 | |||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | 5,000 | 5,266 | |||||||||
576,806 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 10,000 | 10,016 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 5,000 | 5,009 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 15,000 | 15,591 | |||||||||
20,600 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 10,000 | 9,955 | |||||||||
Electric-Integrated — 0.4% | |||||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 5,000 | 4,966 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 5,000 | 4,965 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 15,000 | 13,959 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 5,000 | 4,780 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 5,000 | 4,880 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 15,000 | 14,984 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 15,000 | 15,527 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 30,000 | 29,723 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 10,051 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 20,000 | 20,072 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026(9) | 25,000 | 21,875 |
20
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Pacific Gas & Electric Co. Senior Notes 3.50% due 06/15/2025(9) | $ | 5,000 | $ | 4,450 | |||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034(9) | 25,000 | 24,812 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 5,000 | 5,398 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 5,000 | 4,978 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 10,000 | 9,795 | |||||||||
195,215 | |||||||||||
Electronic Components-Semiconductors — 0.3% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 5,000 | 4,792 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 25,000 | 24,936 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 40,000 | 38,213 | |||||||||
Broadcom, Inc. Company Guar. Notes 3.13% due 04/15/2021* | 30,000 | 29,965 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 7,000 | 7,397 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 15,000 | 15,304 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 35,000 | 35,705 | |||||||||
156,312 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 10,000 | 9,893 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 20,000 | 20,000 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 5,000 | 5,030 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | $ | 10,000 | $ | 10,562 | |||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 15,000 | 15,228 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 15,000 | 15,335 | |||||||||
30,563 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 7,000 | 133 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1) | 7,000 | 1 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1) | 10,000 | 1 | |||||||||
135 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 45,000 | 45,444 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Conagra Brands, Inc. Senior Notes 3.80% due 10/22/2021 | 5,000 | 5,094 | |||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 10,000 | 10,377 | |||||||||
Conagra Brands, Inc. Senior Notes 5.30% due 11/01/2038 | 5,000 | 5,061 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026 | 10,000 | 9,321 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 5,000 | 4,325 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 15,000 | 15,430 | |||||||||
49,608 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 12,000 | 12,195 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 5,000 | 5,126 |
21
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance Brokers (continued) | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | $ | 10,000 | $ | 10,372 | |||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 5,000 | 5,291 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 5,000 | 5,032 | |||||||||
25,821 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 4,000 | 4,140 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 5,000 | 4,213 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 2,000 | 3,144 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 7,000 | 7,184 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 5,000 | 5,075 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 15,000 | 15,420 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 30,000 | 30,000 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 10,000 | 9,961 | |||||||||
39,961 | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 15,000 | 14,948 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 5,000 | 5,093 | |||||||||
20,041 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 20,000 | 20,705 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | $ | 5,000 | $ | 4,861 | |||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048 | 5,000 | 4,510 | |||||||||
9,371 | |||||||||||
Medical-HMO — 0.1% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 5,000 | 4,910 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 16,383 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 10,000 | 10,302 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 5,000 | 5,202 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 15,000 | 15,658 | |||||||||
52,455 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 5,000 | 4,916 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 7,000 | 6,586 | |||||||||
11,502 | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 10,000 | 9,866 | |||||||||
Multimedia — 0.1% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 25,000 | 25,990 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 5,000 | 4,495 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 20,000 | 19,918 | |||||||||
50,403 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 10,000 | 10,125 | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 5,000 | 4,705 |
22
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | $ | 15,000 | $ | 15,437 | |||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 25,000 | 24,760 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,206 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 13,000 | 15,060 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 5,000 | 5,831 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 5,000 | 5,747 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 5,000 | 5,062 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 15,000 | 14,890 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 8,000 | 7,820 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 7,000 | 7,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 7,000 | 7,070 | |||||||||
118,588 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028* | 5,000 | 4,950 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 12,000 | 11,740 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,046 | |||||||||
21,736 | |||||||||||
Pharmacy Services — 0.2% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028* | 45,000 | 46,677 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 9,108 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 20,000 | 20,533 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Pharmacy Services (continued) | |||||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | $ | 20,000 | $ | 20,148 | |||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 5,000 | 5,082 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034* | 7,221 | 8,018 | |||||||||
109,566 | |||||||||||
Pipelines — 0.3% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 15,000 | 15,072 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 5,000 | 5,213 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 15,000 | 16,085 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | 5,000 | 5,600 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 5,000 | 5,167 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.15% due 03/15/2045 | 5,000 | 4,806 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 5,000 | 4,639 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 10,000 | 10,101 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 5,000 | 4,969 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 5,000 | 4,777 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,074 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 5,000 | 5,035 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 5,000 | 4,957 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 15,000 | 14,781 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 5,000 | 4,884 |
23
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | $ | 5,000 | $ | 5,102 | |||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 10,000 | 10,343 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 15,000 | 14,875 | |||||||||
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028 | 5,000 | 5,075 | |||||||||
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048 | 5,000 | 4,874 | |||||||||
151,429 | |||||||||||
Real Estate Investment Trusts — 0.1% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 10,000 | 9,989 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 10,000 | 10,436 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 25,000 | 25,154 | |||||||||
45,579 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 5,000 | 5,112 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 10,000 | 10,100 | |||||||||
15,212 | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 20,000 | 20,086 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 4,426 | |||||||||
24,512 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 20,000 | 20,593 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 10,000 | 10,205 | |||||||||
Telephone-Integrated — 0.2% | |||||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 5,000 | 5,141 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | $ | 15,000 | $ | 15,172 | |||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 25,000 | 25,539 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 5,000 | 5,120 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 17,000 | 17,194 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 25,000 | 26,425 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 10,000 | 10,712 | |||||||||
105,303 | |||||||||||
Tobacco — 0.4% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 40,000 | 39,905 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.80% due 02/14/2024 | 5,000 | 5,089 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 5,000 | 4,105 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 5,000 | 5,139 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 10,000 | 10,309 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 35,000 | 37,017 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049 | 20,000 | 21,461 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020 | 15,000 | 14,846 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024 | 5,000 | 4,889 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.56% due 08/15/2027 | 20,000 | 18,936 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 20,000 | 17,895 | |||||||||
179,591 |
24
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | $ | 25,000 | $ | 24,677 | |||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 15,000 | 15,574 | |||||||||
40,251 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $3,068,764) | 3,108,048 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.8% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 5,000 | 5,148 | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 5,000 | 5,263 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 25,000 | 25,410 | |||||||||
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048 | 5,000 | 4,957 | |||||||||
30,367 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 10,000 | 9,983 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 5,000 | 4,751 | |||||||||
14,734 | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021 | 50,000 | 52,131 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 10,000 | 10,327 | |||||||||
62,458 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 5,000 | 4,891 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 10,000 | 10,250 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | $ | 20,000 | $ | 19,753 | |||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023 | 20,000 | 17,843 | |||||||||
37,596 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 5,000 | 5,045 | |||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 5,000 | 4,499 | |||||||||
9,544 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 30,000 | 32,610 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 20,000 | 20,051 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 10,000 | 10,181 | |||||||||
30,232 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 11,000 | 10,098 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 546,996 | 8,199 | ||||||||
18,297 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
Cigna Corp. Company Guar. Notes 4.13% due 11/15/2025* | 10,000 | 10,350 | |||||||||
Pipelines — 0.0% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 5,000 | 5,099 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 10,000 | 10,467 | |||||||||
15,566 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 35,000 | 36,954 |
25
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028 | $ | 10,000 | $ | 10,110 | |||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 2,000 | 1,835 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 35,000 | 42,595 | |||||||||
54,540 | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 5,000 | 4,950 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 5,000 | 5,337 | |||||||||
10,287 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $413,489) | 389,087 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.2% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 5,000 | 5,019 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 10,000 | 10,290 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 5,000 | 5,579 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 30,000 | 33,462 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 9,000 | 10,129 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 10,000 | 15,187 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 10,000 | 10,284 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,432 | |||||||||
Total Municipal Bonds & Notes (cost $98,389) | 100,382 | ||||||||||
U.S. GOVERNMENT AGENCIES — 8.6% | |||||||||||
Federal Home Loan Mtg. Corp. — 2.3% | |||||||||||
2.50% due 01/01/2028 | 2,931 | 2,930 | |||||||||
2.50% due 04/01/2028 | 8,235 | 8,234 | |||||||||
3.00% due April TBA | 200,000 | 199,113 | |||||||||
3.50% due 03/01/2042 | 2,777 | 2,838 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.50% due 09/01/2043 | $ | 23,920 | $ | 24,476 | |||||||
3.50% due 08/01/2048 | 131,765 | 133,897 | |||||||||
3.50% due April TBA | 65,000 | 65,931 | |||||||||
4.00% due 09/01/2040 | 4,073 | 4,227 | |||||||||
4.00% due April TBA | 200,000 | 205,871 | |||||||||
4.50% due 01/01/2039 | 483 | 510 | |||||||||
4.50% due April TBA | 320,000 | 333,953 | |||||||||
5.00% due 07/01/2021 | 4,398 | 4,426 | |||||||||
5.50% due 07/01/2034 | 3,257 | 3,573 | |||||||||
6.50% due 05/01/2029 | 459 | 510 | |||||||||
7.50% due 08/01/2023 | 33 | 33 | |||||||||
7.50% due 04/01/2028 | 465 | 528 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.33% (6 ML+1.49%) due 02/01/2037 | 634 | 653 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.04% due 10/25/2047*(5)(6) | 20,000 | 19,970 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(5)(6) | 25,000 | 25,595 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(5)(6)(7) | 99,994 | 5,309 | |||||||||
Series K064, Class X1 0.61% due 03/25/2027(5)(6)(7) | 124,153 | 5,176 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(5) | 40,000 | 41,008 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 4.14% (1 ML+1.65%) due 04/25/2043*(4) | 8,758 | 8,814 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 3.24% (1 ML+0.75%) due 09/25/2048*(4) | 25,000 | 24,974 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 580 | 566 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 7,267 | 7,362 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | 701 | 733 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 138 | 145 | |||||||||
1,131,355 |
26
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. — 4.3% | |||||||||||
2.50% due 02/01/2043 | $ | 64,515 | $ | 62,958 | |||||||
2.88% due 11/01/2027 | 80,000 | 79,750 | |||||||||
2.97% due 06/01/2030 | 40,000 | 39,413 | |||||||||
3.00% due 01/01/2028 | 5,836 | 5,912 | |||||||||
3.16% due 08/01/2027 | 75,000 | 76,192 | |||||||||
3.50% due 08/01/2026 | 7,052 | 7,213 | |||||||||
3.50% due 09/01/2026 | 6,932 | 7,100 | |||||||||
3.50% due 10/01/2028 | 9,516 | 9,765 | |||||||||
3.50% due 11/01/2047 | 192,536 | 195,504 | |||||||||
3.50% due 03/01/2048 | 95,193 | 96,722 | |||||||||
3.50% due April TBA | 270,000 | 273,660 | |||||||||
4.00% due 11/01/2025 | 1,187 | 1,229 | |||||||||
4.00% due 09/01/2040 | 3,620 | 3,754 | |||||||||
4.00% due 11/01/2040 | 1,286 | 1,334 | |||||||||
4.00% due 12/01/2040 | 15,983 | 16,578 | |||||||||
4.00% due 10/01/2041 | 5,472 | 5,676 | |||||||||
4.00% due 11/01/2041 | 5,762 | 5,979 | |||||||||
4.00% due 01/01/2042 | 5,281 | 5,478 | |||||||||
4.00% due 12/01/2043 | 14,965 | 15,682 | |||||||||
4.00% due 02/01/2049 | 338,863 | 349,745 | |||||||||
4.00% due April TBA | 195,000 | 200,577 | |||||||||
4.50% due 11/01/2022 | 1,960 | 2,000 | |||||||||
4.50% due 01/01/2039 | 1,420 | 1,500 | |||||||||
4.50% due 06/01/2039 | 17,633 | 18,584 | |||||||||
4.50% due 09/01/2039 | 3,096 | 3,272 | |||||||||
4.50% due 09/01/2040 | 6,302 | 6,663 | |||||||||
4.50% due 05/01/2041 | 2,343 | 2,453 | |||||||||
5.00% due 06/01/2019 | 15 | 15 | |||||||||
5.00% due 05/01/2035 | 541 | 582 | |||||||||
5.00% due 06/01/2040 | 21,793 | 23,502 | |||||||||
5.00% due 07/01/2040 | 5,195 | 5,603 | |||||||||
5.00% due April TBA | 100,000 | 105,720 | |||||||||
5.50% due 11/01/2020 | 825 | 832 | |||||||||
5.50% due 04/01/2021 | 13,686 | 13,832 | |||||||||
5.50% due 12/01/2029 | 828 | 884 | |||||||||
5.50% due 06/01/2035 | 56,530 | 62,140 | |||||||||
5.50% due 08/01/2037 | 8,531 | 9,377 | |||||||||
5.50% due 06/01/2038 | 4,289 | 4,683 | |||||||||
6.00% due 12/01/2033 | 3,970 | 4,378 | |||||||||
6.00% due 05/01/2034 | 287 | 317 | |||||||||
6.00% due 06/01/2040 | 103 | 114 | |||||||||
6.50% due 10/01/2037 | 92 | 103 | |||||||||
7.00% due 06/01/2037 | 3,713 | 4,255 | |||||||||
Federal National Mtg. Assoc. FRS 4.34% (12 ML+1.57%) due 05/01/2037 | 1,086 | 1,131 | |||||||||
4.57% (12 ML+1.82%) due 10/01/2040 | 1,067 | 1,116 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 6.04% (1 ML+3.55%) due 07/25/2029(4) | 10,000 | 10,742 | |||||||||
Series 2016-C07, Class 2M2 6.84% (1 ML+4.35%) due 05/25/2029(4) | 20,143 | 22,055 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | $ | 5,031 | $ | 4,952 | |||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 6,260 | 6,089 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 12,664 | 12,400 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 13,399 | 13,282 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 10,762 | 10,676 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 17,023 | 17,063 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(4) | 3,525 | 3,542 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(4) | 10,487 | 10,515 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 15,246 | 15,216 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 17,641 | 17,606 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 16,755 | 16,791 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 7,840 | 8,094 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(4) | 20,868 | 21,330 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 18,046 | 18,431 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 20,126 | 20,509 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 14,781 | 15,459 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(4) | 18,704 | 19,172 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(4) | 13,658 | 13,832 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(4) | 13,556 | 13,847 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(4) | 27,119 | 27,613 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(4) | 8,083 | 8,276 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 20,642 | 21,164 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(4) | 18,834 | 19,205 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(4) | 14,000 | 14,263 | |||||||||
2,115,401 | |||||||||||
Government National Mtg. Assoc. — 2.0% | |||||||||||
3.00% due April TBA | 200,000 | 200,859 | |||||||||
3.50% due April TBA | 400,000 | 408,649 | |||||||||
4.00% due 09/15/2041 | 143,973 | 148,907 | |||||||||
4.00% due April TBA | 100,000 | 103,248 | |||||||||
4.50% due 06/15/2041 | 48,681 | 51,194 | |||||||||
6.00% due 11/15/2031 | 16,666 | 17,951 | |||||||||
7.00% due 05/15/2033 | 4,721 | 5,379 | |||||||||
9.00% due 11/15/2021 | 40 | 41 |
27
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
Government National Mtg. Assoc. REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | $ | 19,345 | $ | 18,727 | |||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 91 | 101 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(4) | 1,415 | 1,613 | |||||||||
956,669 | |||||||||||
Total U.S. Government Agencies (cost $4,165,457) | 4,203,425 | ||||||||||
U.S. GOVERNMENT TREASURIES — 3.7% | |||||||||||
United States Treasury Bonds — 1.9% | |||||||||||
2.88% due 08/15/2045(12)(13) | 106,000 | 107,412 | |||||||||
2.88% due 11/15/2046 | 93,000 | 94,155 | |||||||||
3.00% due 05/15/2045 | 16,000 | 16,600 | |||||||||
3.00% due 11/15/2045 | 101,000 | 104,819 | |||||||||
3.00% due 02/15/2047 | 50,000 | 51,885 | |||||||||
3.00% due 02/15/2048 | 185,000 | 191,410 | |||||||||
3.13% due 05/15/2048 | 45,000 | 47,716 | |||||||||
3.63% due 08/15/2043 | 65,000 | 74,679 | |||||||||
3.75% due 11/15/2043 | 55,000 | 64,477 | |||||||||
8.13% due 08/15/2021 | 75,000 | 85,016 | |||||||||
838,169 | |||||||||||
United States Treasury Notes — 1.8% | |||||||||||
0.38% due 07/15/2027 TIPS(10) | 380,708 | 377,790 | |||||||||
0.88% due 01/15/2029 TIPS(10) | 64,793 | 66,852 | |||||||||
1.88% due 02/28/2022 | 250,000 | 247,412 | |||||||||
2.25% due 08/15/2027 | 50,000 | 49,521 | |||||||||
3.13% due 11/15/2028 | 215,000 | 228,060 | |||||||||
969,635 | |||||||||||
Total U.S. Government Treasuries (cost $1,787,408) | 1,807,804 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.1% | |||||||||||
Sovereign — 0.1% | |||||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 56,000 | 64,004 | |||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 6,000 | 6,390 | |||||||||
Total Foreign Government Obligations (cost $71,337) | 70,394 | ||||||||||
OPTIONS — PURCHASED†(11) — 0.0% | |||||||||||
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $9,855) | 763,000 | 2,486 | |||||||||
Total Long-Term Investment Securities (cost $42,987,800) | 50,080,305 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.8% | |||||||||||
Commercial Paper — 0.2% | |||||||||||
Societe Generale SA 2.39% due 04/01/19* | $ | 100,000 | $ | 99,980 | |||||||
Foreign Government Obligations — 0.6% | |||||||||||
Government of Egypt Bills 17.26% due 11/19/2019 | EGP | 50,000 | 2,605 | ||||||||
Government of Egypt Bills 19.43% due 10/15/2019 | EGP | 300,000 | 15,862 | ||||||||
Government of Japan Bills (0.21)% due 05/27/2019 | JPY | 32,000,000 | 288,813 | ||||||||
307,280 | |||||||||||
Total Short-Term Investment Securities (cost $407,788) | 407,260 | ||||||||||
REPURCHASE AGREEMENTS — 1.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | 155,000 | 155,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 65,000 | 65,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 120,000 | 120,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | 130,000 | 130,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 135,000 | 135,000 | |||||||||
Total Repurchase Agreements (cost $605,000) | 605,000 | ||||||||||
TOTAL INVESTMENTS (cost $44,000,588)(15) | 104.0 | % | 51,092,565 | ||||||||
Liabilities in excess of other assets | (4.0 | ) | (1,955,473 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 49,137,092 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $3,843,121 representing 7.8% of net assets.
(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
28
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | $ | 1,794 | $ | 897.18 | 0.00 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Collateralized Mortgage Obligation
(5) Commercial Mortgage Backed Security
(6) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(7) Interest Only
(8) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2019.
(9) Security in default of interest.
(10) Principal amount of security is adjusted for inflation.
(11) Purchased Options
Over the Counter Purchased Put Options on Interest Rate Swap Contracts
Issue | Counterparty | Expiration Month | Strike Rate | Notional Amount(000's) | Premiums Paid | Value at March 31, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 3 Month USD LIBOR-BBA maturing on 12/09/2019 | Goldman Sachs International | December 2019 | 3.20 | % | $ | 370 | $ | 4,884 | $ | 554 | $ | (4,330 | ) | ||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.00% versus 3 Month USD LIBOR-BBA maturing on 03/18/2020 | Goldman Sachs International | March 2020 | 3.00 | 393 | 4,971 | 1,932 | (3,039 | ) | |||||||||||||||||||||||
$ | 9,855 | $ | 2,486 | $ | (7,369 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(14) 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
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2019 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
29
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
1 | Short | Australian 10 YR Bonds | June 2019 | $ | 96,940 | $ | 98,382 | $ | (1,442 | ) | |||||||||||||||||
3 | Long | E-Mini Russell 2000 Index | June 2019 | 232,401 | 231,570 | (831 | ) | ||||||||||||||||||||
2 | Long | U.S. Treasury 2 Year Notes | June 2019 | 424,587 | 426,188 | 1,601 | |||||||||||||||||||||
7 | Long | U.S. Treasury 5 Year Notes | June 2019 | 802,649 | 810,797 | 8,148 | |||||||||||||||||||||
2 | Short | U.S. Treasury 10 Year Notes | June 2019 | 245,692 | 248,437 | (2,745 | ) | ||||||||||||||||||||
4 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2019 | 519,469 | 531,125 | (11,656 | ) | ||||||||||||||||||||
1 | Long | U.S. Treasury Long Bonds | June 2019 | 145,364 | 149,656 | 4,292 | |||||||||||||||||||||
2 | Long | U.S. Treasury Ultra Bonds | June 2019 | 323,734 | 336,000 | 12,266 | |||||||||||||||||||||
$ | 9,633 |
* 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 | 32,000,000 | USD | 292,402 | 05/28/2019 | $ | 2,406 | $ | — | ||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 2,406 | $ | — |
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 | $ | — | $ | 2,646 | |||||||||||||||
USD | 130 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (2,795 | ) | (1,662 | ) | |||||||||||||||
USD | 65 | 02/05/2049 | USD-LIBOR-BBA/Quarterly | 2.84%/Semi-annually | (223 | ) | (3,323 | ) | |||||||||||||||
$ | (3,018 | ) | $ | (2,339 | ) |
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 — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 52,910 | $ | — | $ | 1,794 | $ | 54,704 | |||||||||||
Other Industries | 35,944,268 | — | — | 35,944,268 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 334,235 | — | 334,235 | |||||||||||||||
Asset Backed Securities | — | 4,065,471 | — | 4,065,471 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 133 | 2 | 135 | |||||||||||||||
Other Industries | — | 3,107,913 | — | 3,107,913 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 389,087 | — | 389,087 | |||||||||||||||
Municipal Bond & Notes | — | 100,382 | — | 100,382 | |||||||||||||||
U.S. Government Agencies | — | 4,203,425 | — | 4,203,425 | |||||||||||||||
U.S. Government Treasuries | — | 1,807,804 | — | 1,807,804 | |||||||||||||||
Foreign Government Obligations | — | 70,394 | — | 70,394 | |||||||||||||||
Options — Purchased | — | 2,486 | — | 2,486 | |||||||||||||||
Short-Term Investment Securities | — | 407,260 | — | 407,260 | |||||||||||||||
Repurchase Agreements | — | 605,000 | — | 605,000 | |||||||||||||||
Total Investments at Value | $ | 35,997,178 | $ | 15,093,590 | $ | 1,797 | $ | 51,092,565 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 26,307 | $ | — | $ | — | $ | 26,307 | |||||||||||
Forward Foreign Currency Contracts | — | 2,406 | — | 2,406 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 2,646 | — | 2,646 | |||||||||||||||
Total Other Financial Instruments | $ | 26,307 | $ | 5,052 | $ | — | $ | 31,359 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 16,674 | $ | — | $ | — | $ | 16,674 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 4,985 | — | 4,985 | |||||||||||||||
Total Other Financial Instruments | $ | 16,674 | $ | 4,985 | $ | — | $ | 21,659 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no material Level 3 transfers during the reporting period.
See Notes to Financial Statements
31
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 14.0 | % | |||||
Federal National Mtg. Assoc. | 6.6 | ||||||
Applications Software | 3.8 | ||||||
Federal Home Loan Mtg. Corp. | 3.8 | ||||||
United States Treasury Notes | 3.6 | ||||||
Government National Mtg. Assoc. | 3.3 | ||||||
Electronic Components-Semiconductors | 3.0 | ||||||
Web Portals/ISP | 2.9 | ||||||
United States Treasury Bonds | 2.8 | ||||||
E-Commerce/Products | 2.8 | ||||||
Diversified Banking Institutions | 2.7 | ||||||
Finance-Credit Card | 2.4 | ||||||
Real Estate Investment Trusts | 2.4 | ||||||
Medical-Drugs | 2.3 | ||||||
Banks-Commercial | 1.8 | ||||||
Medical-HMO | 1.6 | ||||||
Computers | 1.5 | ||||||
Tobacco | 1.5 | ||||||
Medical-Biomedical/Gene | 1.5 | ||||||
Retail-Restaurants | 1.4 | ||||||
Internet Content-Entertainment | 1.3 | ||||||
Consulting Services | 1.3 | ||||||
Repurchase Agreements | 1.2 | ||||||
Electronic Forms | 1.0 | ||||||
Foreign Government Obligations | 1.0 | ||||||
Diversified Manufacturing Operations | 1.0 | ||||||
Cable/Satellite TV | 0.9 | ||||||
Medical Products | 0.9 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Finance-Other Services | 0.8 | ||||||
Broadcast Services/Program | 0.8 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Multimedia | 0.8 | ||||||
Electric-Integrated | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Therapeutics | 0.7 | ||||||
Aerospace/Defense | 0.7 | ||||||
Enterprise Software/Service | 0.7 | ||||||
Insurance-Property/Casualty | 0.7 | ||||||
Commercial Services | 0.6 | ||||||
Semiconductor Equipment | 0.6 | ||||||
Athletic Footwear | 0.6 | ||||||
Telephone-Integrated | 0.6 | ||||||
Computer Aided Design | 0.6 | ||||||
Medical Instruments | 0.6 | ||||||
Pipelines | 0.5 | ||||||
Beverages-Wine/Spirits | 0.5 | ||||||
Web Hosting/Design | 0.5 | ||||||
Auto/Truck Parts & Equipment-Original | 0.5 | ||||||
Commercial Services-Finance | 0.5 | ||||||
Coatings/Paint | 0.5 | ||||||
Industrial Gases | 0.4 | ||||||
Cosmetics & Toiletries | 0.4 | ||||||
Electronic Components-Misc. | 0.4 | ||||||
Computer Software | 0.4 | ||||||
Building Products-Cement | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Diagnostic Equipment | 0.4 | ||||||
Machinery-General Industrial | 0.4 | ||||||
Savings & Loans/Thrifts | 0.4 |
Brewery | 0.4 | % | |||||
Machinery-Farming | 0.4 | ||||||
Cruise Lines | 0.4 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Sovereign | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Hotels/Motels | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Banks-Super Regional | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Human Resources | 0.3 | ||||||
Municipal Bonds & Notes | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Cellular Telecom | 0.3 | ||||||
Oil-Field Services | 0.2 | ||||||
Industrial Automated/Robotic | 0.2 | ||||||
Firearms & Ammunition | 0.2 | ||||||
Coal | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 | ||||||
Electronic Parts Distribution | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Transactional Software | 0.2 | ||||||
Energy-Alternate Sources | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Veterinary Diagnostics | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Chemicals-Diversified | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Electric-Distribution | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Computer Services | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Computers-Integrated Systems | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Commercial Paper | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Water | 0.1 | ||||||
Rubber/Plastic Products | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Auto-Truck Trailers | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Television | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 |
32
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Audio/Video Products | 0.1 | % | |||||
Publishing-Newspapers | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Racetracks | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
B2B/E-Commerce | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Investment Management/Advisor Services | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Schools | 0.1 | ||||||
Retail-Drug Store | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Poultry | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Airlines | 0.1 | ||||||
107.6 | % |
* Calculated as a percentage of net assets
33
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 58.2% | |||||||||||
Aerospace/Defense — 0.7% | |||||||||||
Boeing Co. | 1,399 | $ | 533,607 | ||||||||
Aerospace/Defense-Equipment — 0.6% | |||||||||||
L3 Technologies, Inc. | 2,124 | 438,330 | |||||||||
Moog, Inc., Class A | 275 | 23,911 | |||||||||
462,241 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Deckers Outdoor Corp.† | 900 | 132,291 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 350 | 7,511 | |||||||||
Applications Software — 3.7% | |||||||||||
Brightcove, Inc.† | 3,125 | 26,281 | |||||||||
Microsoft Corp. | 20,061 | 2,365,994 | |||||||||
salesforce.com, Inc.† | 3,793 | 600,698 | |||||||||
Telenav, Inc.† | 4,662 | 28,298 | |||||||||
3,021,271 | |||||||||||
Athletic Footwear — 0.6% | |||||||||||
NIKE, Inc., Class B | 5,533 | 465,934 | |||||||||
Audio/Video Products — 0.1% | |||||||||||
Sonos, Inc.† | 7,850 | 80,776 | |||||||||
Auto-Truck Trailers — 0.1% | |||||||||||
Wabash National Corp. | 6,525 | 88,414 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.5% | |||||||||||
Aptiv PLC | 3,390 | 269,471 | |||||||||
Meritor, Inc.† | 1,500 | 30,525 | |||||||||
Tenneco, Inc., Class A | 4,400 | 97,504 | |||||||||
397,500 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 2,125 | 80,899 | |||||||||
B2B/E-Commerce — 0.1% | |||||||||||
ePlus, Inc.† | 725 | 64,191 | |||||||||
Banks-Commercial — 1.5% | |||||||||||
1st Source Corp. | 460 | 20,659 | |||||||||
BancFirst Corp. | 1,400 | 73,010 | |||||||||
BancorpSouth Bank | 1,875 | 52,912 | |||||||||
Banner Corp. | 3,000 | 162,510 | |||||||||
Cadence BanCorp | 125 | 2,319 | |||||||||
Cathay General Bancorp | 725 | 24,585 | |||||||||
Central Pacific Financial Corp. | 2,275 | 65,611 | |||||||||
Central Valley Community Bancorp | 175 | 3,421 | |||||||||
Citizens & Northern Corp. | 200 | 5,008 | |||||||||
City Holding Co. | 475 | 36,190 | |||||||||
Columbia Banking System, Inc. | 1,800 | 58,842 | |||||||||
CVB Financial Corp. | 3,025 | 63,676 | |||||||||
East West Bancorp, Inc. | 18 | 863 | |||||||||
Enterprise Financial Services Corp. | 425 | 17,327 | |||||||||
First Commonwealth Financial Corp. | 3,075 | 38,745 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
First Community Bankshares, Inc. | 200 | $ | 6,628 | ||||||||
First Hawaiian, Inc. | 675 | 17,584 | |||||||||
First Interstate BancSystem, Inc., Class A | 475 | 18,915 | |||||||||
Great Western Bancorp, Inc. | 225 | 7,108 | |||||||||
Hope Bancorp, Inc. | 1,508 | 19,725 | |||||||||
Independent Bank Corp./ Massachusetts | 100 | 8,101 | |||||||||
Independent Bank Corp./ Michigan | 875 | 18,813 | |||||||||
OFG Bancorp | 275 | 5,442 | |||||||||
PacWest Bancorp | 500 | 18,805 | |||||||||
Simmons First National Corp., Class A | 880 | 21,542 | |||||||||
South State Corp. | 100 | 6,834 | |||||||||
TCF Financial Corp. | 1,875 | 38,794 | |||||||||
Trustmark Corp. | 4,575 | 153,857 | |||||||||
UMB Financial Corp. | 450 | 28,818 | |||||||||
Union Bankshares Corp. | 359 | 11,606 | |||||||||
United Bankshares, Inc. | 1,350 | 48,924 | |||||||||
Webster Financial Corp. | 450 | 22,802 | |||||||||
West Bancorporation, Inc. | 300 | 6,204 | |||||||||
Westamerica Bancorporation | 1,750 | 108,150 | |||||||||
1,194,330 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 180 | 5,987 | |||||||||
Beverages-Wine/Spirits — 0.4% | |||||||||||
Constellation Brands, Inc., Class A | 1,774 | 311,035 | |||||||||
Broadcast Services/Program — 0.6% | |||||||||||
Discovery, Inc., Class C† | 7,813 | 198,607 | |||||||||
Hemisphere Media Group, Inc.† | 2,000 | 28,200 | |||||||||
Liberty Media Corp. — Liberty Formula One, Series C† | 6,344 | 222,357 | |||||||||
449,164 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Louisiana-Pacific Corp. | 1,325 | 32,304 | |||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
Comfort Systems USA, Inc. | 700 | 36,673 | |||||||||
EMCOR Group, Inc. | 2,725 | 199,143 | |||||||||
MYR Group, Inc.† | 900 | 31,167 | |||||||||
266,983 | |||||||||||
Building Products-Cement — 0.4% | |||||||||||
Continental Building Products, Inc.† | 2,475 | 61,355 | |||||||||
Vulcan Materials Co. | 2,094 | 247,930 | |||||||||
309,285 | |||||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 875 | 43,654 | |||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. | 825 | 22,077 |
34
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Heavy Construction — 0.1% | |||||||||||
MasTec, Inc.† | 975 | $ | 46,897 | ||||||||
Sterling Construction Co., Inc.† | 1,350 | 16,902 | |||||||||
63,799 | |||||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
ABM Industries, Inc. | 475 | 17,266 | |||||||||
Building-Residential/Commercial — 0.3% | |||||||||||
KB Home | 7,750 | 187,317 | |||||||||
Taylor Morrison Home Corp., Class A† | 3,825 | 67,894 | |||||||||
TRI Pointe Group, Inc.† | 1,050 | 13,272 | |||||||||
268,483 | |||||||||||
Cable/Satellite TV — 0.4% | |||||||||||
Liberty Broadband Corp., Class C† | 2,886 | 264,762 | |||||||||
WideOpenWest, Inc.† | 3,850 | 35,035 | |||||||||
299,797 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. | 1,225 | 33,516 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 350 | 10,259 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Minerals Technologies, Inc. | 625 | 36,744 | |||||||||
OMNOVA Solutions, Inc.† | 2,625 | 18,427 | |||||||||
55,171 | |||||||||||
Coal — 0.2% | |||||||||||
Arch Coal, Inc., Class A | 700 | 63,889 | |||||||||
NACCO Industries, Inc., Class A | 400 | 15,288 | |||||||||
Peabody Energy Corp. | 1,425 | 40,370 | |||||||||
Warrior Met Coal, Inc. | 2,400 | 72,960 | |||||||||
192,507 | |||||||||||
Coatings/Paint — 0.4% | |||||||||||
Sherwin-Williams Co. | 797 | 343,276 | |||||||||
Commercial Services — 0.6% | |||||||||||
CoStar Group, Inc.† | 657 | 306,438 | |||||||||
Medifast, Inc. | 125 | 15,944 | |||||||||
ServiceMaster Global Holdings, Inc.† | 3,265 | 152,475 | |||||||||
474,857 | |||||||||||
Commercial Services-Finance — 0.4% | |||||||||||
Euronet Worldwide, Inc.† | 150 | 21,389 | |||||||||
Green Dot Corp., Class A† | 400 | 24,260 | |||||||||
Worldpay, Inc., Class A† | 2,157 | 244,819 | |||||||||
290,468 | |||||||||||
Computer Aided Design — 0.6% | |||||||||||
Altair Engineering, Inc., Class A† | 625 | 23,006 | |||||||||
Aspen Technology, Inc.† | 850 | 88,621 | |||||||||
Autodesk, Inc.† | 2,147 | 334,546 | |||||||||
446,173 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Data Security — 0.1% | |||||||||||
Qualys, Inc.† | 625 | $ | 51,712 | ||||||||
Computer Services — 0.1% | |||||||||||
CACI International, Inc., Class A† | 175 | 31,853 | |||||||||
Science Applications International Corp. | 1,000 | 76,950 | |||||||||
Unisys Corp.† | 325 | 3,793 | |||||||||
112,596 | |||||||||||
Computer Software — 0.4% | |||||||||||
Box, Inc., Class A† | 650 | 12,552 | |||||||||
Cloudera, Inc.† | 3,950 | 43,213 | |||||||||
j2 Global, Inc. | 375 | 32,475 | |||||||||
SS&C Technologies Holdings, Inc. | 3,416 | 217,565 | |||||||||
TiVo Corp. | 1,475 | 13,747 | |||||||||
319,552 | |||||||||||
Computers — 1.5% | |||||||||||
Apple, Inc. | 6,329 | 1,202,194 | |||||||||
Computers-Integrated Systems — 0.1% | |||||||||||
NetScout Systems, Inc.† | 3,975 | 111,578 | |||||||||
Computers-Periphery Equipment — 0.0% | |||||||||||
Electronics For Imaging, Inc.† | 275 | 7,398 | |||||||||
Consulting Services — 1.3% | |||||||||||
Gartner, Inc.† | 3,777 | 572,895 | |||||||||
Huron Consulting Group, Inc.† | 1,825 | 86,177 | |||||||||
Navigant Consulting, Inc. | 6,675 | 129,962 | |||||||||
Verisk Analytics, Inc. | 1,769 | 235,277 | |||||||||
1,024,311 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 3,573 | 206,734 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Graphic Packaging Holding Co. | 1,625 | 20,524 | |||||||||
Cosmetics & Toiletries — 0.4% | |||||||||||
Edgewell Personal Care Co.† | 400 | 17,556 | |||||||||
Estee Lauder Cos., Inc., Class A | 1,938 | 320,836 | |||||||||
338,392 | |||||||||||
Cruise Lines — 0.4% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 5,150 | 283,044 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
CommVault Systems, Inc.† | 575 | 37,226 | |||||||||
Dental Supplies & Equipment — 0.0% | |||||||||||
Patterson Cos., Inc. | 1,225 | 26,766 | |||||||||
Diagnostic Equipment — 0.4% | |||||||||||
Thermo Fisher Scientific, Inc. | 1,039 | 284,395 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,900 | 33,459 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Utah Medical Products, Inc. | 175 | 15,444 |
35
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Core-Mark Holding Co., Inc. | 800 | $ | 29,704 | ||||||||
Fossil Group, Inc.† | 3,625 | 49,735 | |||||||||
Titan Machinery, Inc.† | 1,475 | 22,951 | |||||||||
Veritiv Corp.† | 625 | 16,450 | |||||||||
118,840 | |||||||||||
Diversified Manufacturing Operations — 1.0% | |||||||||||
Actuant Corp., Class A | 1,825 | 44,475 | |||||||||
Fabrinet† | 850 | 44,506 | |||||||||
Harsco Corp.† | 1,300 | 26,208 | |||||||||
Illinois Tool Works, Inc. | 2,278 | 326,961 | |||||||||
Parker-Hannifin Corp. | 2,053 | 352,336 | |||||||||
794,486 | |||||||||||
E-Commerce/Products — 2.7% | |||||||||||
Amazon.com, Inc.† | 1,128 | 2,008,686 | |||||||||
Wayfair, Inc., Class A† | 1,313 | 194,915 | |||||||||
2,203,601 | |||||||||||
E-Commerce/Services — 0.3% | |||||||||||
Groupon, Inc.† | 4,475 | 15,886 | |||||||||
Liberty Expedia Holdings, Inc., Class A† | 3,875 | 165,850 | |||||||||
Upwork, Inc.† | 1,050 | 20,097 | |||||||||
201,833 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
New Media Investment Group, Inc. | 1,100 | 11,550 | |||||||||
E-Services/Consulting — 0.1% | |||||||||||
Perficient, Inc.† | 2,875 | 78,746 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 300 | 5,889 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Portland General Electric Co. | 1,500 | 77,760 | |||||||||
Spark Energy, Inc., Class A | 2,300 | 20,493 | |||||||||
98,253 | |||||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 19,765 | 49,808 | |||||||||
Electric-Integrated — 0.1% | |||||||||||
Black Hills Corp. | 300 | 22,221 | |||||||||
El Paso Electric Co. | 875 | 51,467 | |||||||||
PNM Resources, Inc. | 650 | 30,771 | |||||||||
104,459 | |||||||||||
Electronic Components-Misc. — 0.4% | |||||||||||
Bel Fuse, Inc., Class B | 175 | 4,424 | |||||||||
Benchmark Electronics, Inc. | 1,350 | 35,437 | |||||||||
OSI Systems, Inc.† | 925 | 81,030 | |||||||||
Sensata Technologies Holding PLC† | 4,043 | 182,016 | |||||||||
302,907 | |||||||||||
Electronic Components-Semiconductors — 2.5% | |||||||||||
Amkor Technology, Inc.† | 5,875 | 50,172 | |||||||||
Microchip Technology, Inc. | 3,721 | 308,694 | |||||||||
NVIDIA Corp. | 3,310 | 594,344 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Rambus, Inc.† | 15,025 | $ | 157,011 | ||||||||
Synaptics, Inc.† | 2,025 | 80,494 | |||||||||
Texas Instruments, Inc. | 6,936 | 735,702 | |||||||||
Xperi Corp. | 5,425 | 126,945 | |||||||||
2,053,362 | |||||||||||
Electronic Forms — 1.0% | |||||||||||
Adobe, Inc.† | 3,085 | 822,122 | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Stoneridge, Inc.† | 2,850 | 82,251 | |||||||||
Electronic Parts Distribution — 0.2% | |||||||||||
Tech Data Corp.† | 1,625 | 166,416 | |||||||||
Energy-Alternate Sources — 0.2% | |||||||||||
FutureFuel Corp. | 1,675 | 22,445 | |||||||||
Renewable Energy Group, Inc.† | 2,500 | 54,900 | |||||||||
REX American Resources Corp.† | 950 | 76,579 | |||||||||
153,924 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
VSE Corp. | 475 | 15,001 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
Blackline, Inc.† | 475 | 22,002 | |||||||||
Domo, Inc., Class B† | 750 | 30,248 | |||||||||
Donnelley Financial Solutions, Inc.† | 1,025 | 15,252 | |||||||||
Manhattan Associates, Inc.† | 375 | 20,666 | |||||||||
MicroStrategy, Inc., Class A† | 150 | 21,638 | |||||||||
Progress Software Corp. | 2,550 | 113,143 | |||||||||
SPS Commerce, Inc.† | 400 | 42,424 | |||||||||
Tyler Technologies, Inc.† | 1,332 | 272,261 | |||||||||
537,634 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 75 | 33,895 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Nelnet, Inc., Class A | 125 | 6,884 | |||||||||
Synchrony Financial | 6,300 | 200,970 | |||||||||
207,854 | |||||||||||
Finance-Credit Card — 2.3% | |||||||||||
Mastercard, Inc., Class A | 3,681 | 866,691 | |||||||||
Visa, Inc., Class A | 6,595 | 1,030,073 | |||||||||
1,896,764 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Cowen, Inc.† | 625 | 9,056 | |||||||||
Houlihan Lokey, Inc. | 1,225 | 56,166 | |||||||||
TD Ameritrade Holding Corp. | 4,751 | 237,503 | |||||||||
302,725 | |||||||||||
Finance-Other Services — 0.6% | |||||||||||
CME Group, Inc. | 1,158 | 190,583 | |||||||||
Deluxe Corp. | 900 | 39,348 | |||||||||
Intercontinental Exchange, Inc. | 3,255 | 247,836 | |||||||||
WageWorks, Inc.† | 775 | 29,264 | |||||||||
507,031 |
36
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 4,425 | $ | 42,126 | ||||||||
MGIC Investment Corp.† | 1,925 | 25,391 | |||||||||
NMI Holdings, Inc., Class A† | 900 | 23,283 | |||||||||
Radian Group, Inc. | 500 | 10,370 | |||||||||
101,170 | |||||||||||
Firearms & Ammunition — 0.2% | |||||||||||
Axon Enterprise, Inc.† | 3,558 | 193,591 | |||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 175 | 4,305 | |||||||||
Food-Catering — 0.3% | |||||||||||
Aramark | 6,857 | 202,624 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 2,225 | 6,742 | |||||||||
Footwear & Related Apparel — 0.1% | |||||||||||
Crocs, Inc.† | 2,225 | 57,294 | |||||||||
Weyco Group, Inc. | 100 | 3,096 | |||||||||
60,390 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
Northwest Natural Holding Co. | 225 | 14,767 | |||||||||
Southwest Gas Holdings, Inc. | 450 | 37,017 | |||||||||
51,784 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,850 | 86,950 | |||||||||
Hotels/Motels — 0.3% | |||||||||||
Hilton Worldwide Holdings, Inc. | 3,064 | 254,649 | |||||||||
Red Lion Hotels Corp.† | 1,550 | 12,524 | |||||||||
267,173 | |||||||||||
Human Resources — 0.3% | |||||||||||
Barrett Business Services, Inc. | 1,500 | 115,995 | |||||||||
Cross Country Healthcare, Inc.† | 3,475 | 24,429 | |||||||||
Heidrick & Struggles International, Inc. | 200 | 7,666 | |||||||||
Kforce, Inc. | 1,200 | 42,144 | |||||||||
TrueBlue, Inc.† | 1,375 | 32,505 | |||||||||
222,739 | |||||||||||
Independent Power Producers — 0.2% | |||||||||||
Clearway Energy, Inc., Class A | 825 | 11,995 | |||||||||
Clearway Energy, Inc., Class C | 1,775 | 26,820 | |||||||||
NRG Energy, Inc. | 2,949 | 125,274 | |||||||||
164,089 | |||||||||||
Industrial Audio & Video Products — 0.0% | |||||||||||
Turtle Beach Corp.† | 725 | 8,236 | |||||||||
Industrial Automated/Robotic — 0.2% | |||||||||||
Cognex Corp. | 3,947 | 200,744 | |||||||||
Industrial Gases — 0.4% | |||||||||||
Air Products & Chemicals, Inc. | 1,871 | 357,286 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Life/Health — 0.2% | |||||||||||
American Equity Investment Life Holding Co. | 150 | $ | 4,053 | ||||||||
CNO Financial Group, Inc. | 2,200 | 35,596 | |||||||||
Primerica, Inc. | 700 | 85,505 | |||||||||
125,154 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 275 | 20,939 | |||||||||
Insurance-Property/Casualty — 0.7% | |||||||||||
Ambac Financial Group, Inc.† | 125 | 2,265 | |||||||||
First American Financial Corp. | 300 | 15,450 | |||||||||
Kinsale Capital Group, Inc. | 725 | 49,713 | |||||||||
Navigators Group, Inc. | 250 | 17,468 | |||||||||
ProAssurance Corp. | 550 | 19,035 | |||||||||
Progressive Corp. | 5,734 | 413,364 | |||||||||
Universal Insurance Holdings, Inc. | 525 | 16,275 | |||||||||
533,570 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 175 | 5,317 | |||||||||
Third Point Reinsurance, Ltd.† | 925 | 9,601 | |||||||||
14,918 | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 1,575 | 85,444 | |||||||||
Internet Content-Entertainment — 1.3% | |||||||||||
Facebook, Inc., Class A† | 3,260 | 543,409 | |||||||||
Netflix, Inc.† | 1,500 | 534,840 | |||||||||
1,078,249 | |||||||||||
Internet Content-Information/News — 0.2% | |||||||||||
HealthStream, Inc.† | 651 | 18,267 | |||||||||
Yelp, Inc.† | 3,050 | 105,225 | |||||||||
123,492 | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 325 | 39,465 | |||||||||
Zix Corp.† | 3,425 | 23,564 | |||||||||
63,029 | |||||||||||
Investment Companies — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 300 | 4,068 | |||||||||
Investment Management/Advisor Services — 0.1% | |||||||||||
Stifel Financial Corp. | 925 | 48,803 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
Bloom Energy Corp. Class A† | 100 | 1,292 | |||||||||
Machinery-Farming — 0.4% | |||||||||||
Deere & Co. | 1,822 | 291,228 | |||||||||
Machinery-General Industrial — 0.4% | |||||||||||
DXP Enterprises, Inc.† | 1,025 | 39,893 | |||||||||
Kadant, Inc. | 600 | 52,776 | |||||||||
Wabtec Corp. | 2,795 | 206,047 | |||||||||
298,716 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
CSW Industrials, Inc.† | 850 | 48,696 |
37
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 675 | $ | 16,524 | ||||||||
Medical Information Systems — 0.1% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 4,300 | 41,022 | |||||||||
Medical Instruments — 0.5% | |||||||||||
AngioDynamics, Inc.† | 2,600 | 59,436 | |||||||||
Boston Scientific Corp.† | 7,147 | 274,302 | |||||||||
NuVasive, Inc.† | 1,175 | 66,728 | |||||||||
400,466 | |||||||||||
Medical Labs & Testing Services — 0.2% | |||||||||||
Medpace Holdings, Inc.† | 825 | 48,650 | |||||||||
SI-BONE, Inc.† | 150 | 2,826 | |||||||||
Teladoc Health, Inc.† | 2,389 | 132,829 | |||||||||
184,305 | |||||||||||
Medical Products — 0.8% | |||||||||||
Abbott Laboratories | 3,366 | 269,078 | |||||||||
Axonics Modulation Technologies, Inc.† | 100 | 2,395 | |||||||||
ICU Medical, Inc.† | 598 | 143,119 | |||||||||
Integer Holdings Corp.† | 2,125 | 160,268 | |||||||||
Luminex Corp. | 700 | 16,107 | |||||||||
Nevro Corp.† | 625 | 39,069 | |||||||||
Orthofix Medical, Inc.† | 425 | 23,974 | |||||||||
654,010 | |||||||||||
Medical-Biomedical/Gene — 1.4% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 1,700 | 45,645 | |||||||||
Achillion Pharmaceuticals, Inc.† | 4,525 | 13,394 | |||||||||
Alder Biopharmaceuticals, Inc.† | 1,950 | 26,617 | |||||||||
AMAG Pharmaceuticals, Inc.† | 200 | 2,576 | |||||||||
Amicus Therapeutics, Inc.† | 3,125 | 42,500 | |||||||||
AnaptysBio, Inc.† | 1,753 | 128,057 | |||||||||
Aptinyx, Inc.† | 1,225 | 4,961 | |||||||||
Arena Pharmaceuticals, Inc.† | 945 | 42,364 | |||||||||
Atara Biotherapeutics, Inc.† | 1,050 | 41,737 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 1,175 | 60,477 | |||||||||
Bluebird Bio, Inc.† | 150 | 23,600 | |||||||||
Cymabay Therapeutics, Inc.† | 2,450 | 32,536 | |||||||||
CytomX Therapeutics, Inc.† | 1,075 | 11,556 | |||||||||
Forty Seven, Inc.† | 2,000 | 32,320 | |||||||||
Gilead Sciences, Inc. | 2,148 | 139,641 | |||||||||
Homology Medicines, Inc.† | 650 | 18,025 | |||||||||
Insmed, Inc.† | 4,648 | 135,117 | |||||||||
Intercept Pharmaceuticals, Inc.† | 400 | 44,744 | |||||||||
Menlo Therapeutics, Inc.† | 850 | 6,673 | |||||||||
Myriad Genetics, Inc.† | 1,275 | 42,330 | |||||||||
NewLink Genetics Corp.† | 1,100 | 2,123 | |||||||||
Puma Biotechnology, Inc.† | 725 | 28,123 | |||||||||
REGENXBIO, Inc.† | 650 | 37,251 | |||||||||
resTORbio, Inc.† | 625 | 4,263 | |||||||||
Sage Therapeutics, Inc.† | 548 | 87,159 | |||||||||
Sangamo Therapeutics, Inc.† | 625 | 5,963 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Selecta Biosciences, Inc.† | 933 | $ | 2,211 | ||||||||
Solid Biosciences, Inc.† | 1,000 | 9,200 | |||||||||
Synlogic, Inc.† | 2,025 | 15,370 | |||||||||
TCR2 Therapeutics, Inc.† | 800 | 13,944 | |||||||||
Twist Bioscience Corp.† | 675 | 15,647 | |||||||||
Y-mAbs Therapeutics, Inc.† | 100 | 2,621 | |||||||||
1,118,745 | |||||||||||
Medical-Drugs — 2.1% | |||||||||||
AbbVie, Inc. | 5,519 | 444,776 | |||||||||
Aimmune Therapeutics, Inc.† | 1,025 | 22,909 | |||||||||
Alector, Inc.† | 400 | 7,488 | |||||||||
Athenex, Inc.† | 2,500 | 30,625 | |||||||||
Bristol-Myers Squibb Co. | 4,081 | 194,705 | |||||||||
Clovis Oncology, Inc.† | 1,425 | 35,368 | |||||||||
Eagle Pharmaceuticals, Inc.† | 250 | 12,623 | |||||||||
Eli Lilly & Co. | 1,751 | 227,210 | |||||||||
Global Blood Therapeutics, Inc.† | 1,025 | 54,253 | |||||||||
Gritstone Oncology, Inc.† | 475 | 6,318 | |||||||||
Horizon Pharma PLC† | 1,975 | 52,199 | |||||||||
Lannett Co., Inc.† | 3,800 | 29,906 | |||||||||
Mallinckrodt PLC† | 925 | 20,109 | |||||||||
Merck & Co., Inc. | 3,369 | 280,200 | |||||||||
MyoKardia, Inc.† | 1,100 | 57,189 | |||||||||
Paratek Pharmaceuticals, Inc.† | 2,500 | 13,400 | |||||||||
Prestige Consumer Healthcare, Inc.† | 1,625 | 48,604 | |||||||||
Principia Biopharma, Inc.† | 1,150 | 39,100 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 470 | 40,171 | |||||||||
Seres Therapeutics, Inc.† | 5,175 | 35,552 | |||||||||
Sutro Biopharma, Inc.† | 375 | 4,271 | |||||||||
TG Therapeutics, Inc.† | 2,200 | 17,688 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,575 | 28,980 | |||||||||
Voyager Therapeutics, Inc.† | 1,675 | 32,059 | |||||||||
1,735,703 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Arvinas, Inc.† | 25 | 369 | |||||||||
Endo International PLC† | 3,600 | 28,908 | |||||||||
29,277 | |||||||||||
Medical-HMO — 1.4% | |||||||||||
Humana, Inc. | 1,090 | 289,940 | |||||||||
Tivity Health, Inc.† | 1,475 | 25,901 | |||||||||
Triple-S Management Corp., Class B† | 2,875 | 65,608 | |||||||||
UnitedHealth Group, Inc. | 2,897 | 716,312 | |||||||||
1,097,761 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
Community Health Systems, Inc.† | 2,675 | 9,978 | |||||||||
Quorum Health Corp.† | 2,708 | 3,791 | |||||||||
Surgery Partners, Inc.† | 1,225 | 13,818 | |||||||||
Tenet Healthcare Corp.† | 1,400 | 40,376 | |||||||||
67,963 |
38
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Amedisys, Inc.† | 525 | $ | 64,711 | ||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. | 5,200 | 21,320 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
LB Foster Co., Class A† | 200 | 3,764 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,475 | 55,047 | |||||||||
Metal-Aluminum — 0.0% | |||||||||||
Kaiser Aluminum Corp. | 100 | 10,473 | |||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
Hillenbrand, Inc. | 1,700 | 70,601 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 175 | 1,600 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 1,175 | 14,558 | |||||||||
Multimedia — 0.6% | |||||||||||
Entravision Communications Corp., Class A | 1,343 | 4,351 | |||||||||
Walt Disney Co. | 4,085 | 453,558 | |||||||||
457,909 | |||||||||||
Networking Products — 0.1% | |||||||||||
Infinera Corp.† | 6,325 | 27,450 | |||||||||
NeoPhotonics Corp.† | 2,250 | 14,153 | |||||||||
41,603 | |||||||||||
Office Furnishings-Original — 0.0% | |||||||||||
HNI Corp. | 900 | 32,661 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
ACCO Brands Corp. | 9,825 | 84,102 | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Denbury Resources, Inc.† | 9,000 | 18,450 | |||||||||
EOG Resources, Inc. | 1,251 | 119,070 | |||||||||
Gulfport Energy Corp.† | 4,575 | 36,692 | |||||||||
Unit Corp.† | 350 | 4,984 | |||||||||
W&T Offshore, Inc.† | 11,150 | 76,935 | |||||||||
256,131 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Dril-Quip, Inc.† | 1,950 | 89,407 | |||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Adams Resources & Energy, Inc. | 125 | 4,882 | |||||||||
CVR Energy, Inc. | 950 | 39,140 | |||||||||
Murphy USA, Inc.† | 550 | 47,091 | |||||||||
91,113 | |||||||||||
Oil-Field Services — 0.2% | |||||||||||
FTS International, Inc.† | 1,150 | 11,500 | |||||||||
Matrix Service Co.† | 3,400 | 66,572 | |||||||||
MRC Global, Inc.† | 3,825 | 66,861 | |||||||||
NOW, Inc.† | 4,050 | 56,538 | |||||||||
201,471 |
Security Description | Shares | Value (Note 2) | |||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. | 350 | $ | 17,377 | ||||||||
Verso Corp., Class A† | 3,150 | 67,473 | |||||||||
84,850 | |||||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 6,050 | 130,982 | |||||||||
Poultry — 0.1% | |||||||||||
Sanderson Farms, Inc. | 325 | 42,848 | |||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 2,375 | 121,671 | |||||||||
Powell Industries, Inc. | 775 | 20,576 | |||||||||
142,247 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Ennis, Inc. | 2,575 | 53,457 | |||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 7,225 | 52,526 | |||||||||
Tribune Publishing Co.† | 1,600 | 18,864 | |||||||||
71,390 | |||||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 7,500 | 79,050 | |||||||||
Racetracks — 0.1% | |||||||||||
Penn National Gaming, Inc.† | 3,386 | 68,059 | |||||||||
Real Estate Investment Trusts — 2.1% | |||||||||||
Alexander & Baldwin, Inc. | 376 | 9,565 | |||||||||
American Assets Trust, Inc. | 1,850 | 84,841 | |||||||||
Americold Realty Trust | 3,000 | 91,530 | |||||||||
Ashford Hospitality Trust, Inc. | 5,425 | 25,769 | |||||||||
Capstead Mtg. Corp. | 650 | 5,584 | |||||||||
Cherry Hill Mtg. Investment Corp. | 950 | 16,359 | |||||||||
CorEnergy Infrastructure Trust, Inc. | 85 | 3,124 | |||||||||
CoreSite Realty Corp. | 1,175 | 125,748 | |||||||||
Cousins Properties, Inc. | 2,200 | 21,252 | |||||||||
Crown Castle International Corp. | 4,157 | 532,096 | |||||||||
CubeSmart | 575 | 18,423 | |||||||||
DiamondRock Hospitality Co. | 4,950 | 53,608 | |||||||||
Dynex Capital, Inc. | 375 | 2,284 | |||||||||
EastGroup Properties, Inc. | 375 | 41,865 | |||||||||
Equity LifeStyle Properties, Inc. | 225 | 25,717 | |||||||||
First Industrial Realty Trust, Inc. | 425 | 15,028 | |||||||||
GEO Group, Inc. | 3,875 | 74,400 | |||||||||
Gladstone Commercial Corp. | 175 | 3,635 | |||||||||
Hersha Hospitality Trust | 700 | 11,998 | |||||||||
Highwoods Properties, Inc. | 325 | 15,204 | |||||||||
Hospitality Properties Trust | 875 | 23,021 | |||||||||
Invesco Mtg. Capital, Inc. | 1,675 | 26,465 | |||||||||
Invitation Homes, Inc. | 4,221 | 102,697 | |||||||||
Mack-Cali Realty Corp. | 775 | 17,205 | |||||||||
National Retail Properties, Inc. | 100 | 5,539 | |||||||||
Pebblebrook Hotel Trust | 3,850 | 119,581 |
39
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Piedmont Office Realty Trust, Inc., Class A | 1,625 | $ | 33,881 | ||||||||
PotlatchDeltic Corp. | 500 | 18,895 | |||||||||
PS Business Parks, Inc. | 150 | 23,525 | |||||||||
RLJ Lodging Trust | 500 | 8,785 | |||||||||
Saul Centers, Inc. | 425 | 21,832 | |||||||||
Taubman Centers, Inc. | 300 | 15,864 | |||||||||
Two Harbors Investment Corp. | 4,479 | 60,601 | |||||||||
Xenia Hotels & Resorts, Inc. | 375 | 8,216 | |||||||||
1,664,137 | |||||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
Abercrombie & Fitch Co., Class A | 6,275 | 171,998 | |||||||||
Tailored Brands, Inc. | 1,850 | 14,504 | |||||||||
186,502 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 400 | 9,144 | |||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 6,175 | 25,935 | |||||||||
Retail-Drug Store — 0.1% | |||||||||||
Rite Aid Corp.† | 75,450 | 47,911 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
GameStop Corp., Class A | 2,050 | 20,828 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Office Depot, Inc. | 9,925 | 36,028 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. | 250 | 21,625 | |||||||||
Retail-Restaurants — 1.4% | |||||||||||
Bloomin' Brands, Inc. | 4,550 | 93,047 | |||||||||
Brinker International, Inc. | 4,250 | 188,615 | |||||||||
Dunkin' Brands Group, Inc. | 1,564 | 117,456 | |||||||||
McDonald's Corp. | 1,634 | 310,297 | |||||||||
Starbucks Corp. | 5,367 | 398,983 | |||||||||
1,108,398 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Hibbett Sports, Inc.† | 2,075 | 47,331 | |||||||||
Zumiez, Inc.† | 2,050 | 51,024 | |||||||||
98,355 | |||||||||||
Rubber/Plastic Products — 0.1% | |||||||||||
Myers Industries, Inc. | 275 | 4,705 | |||||||||
Trinseo SA | 1,975 | 89,468 | |||||||||
94,173 | |||||||||||
Savings & Loans/Thrifts — 0.4% | |||||||||||
BankFinancial Corp. | 750 | 11,153 | |||||||||
Capitol Federal Financial, Inc. | 175 | 2,336 | |||||||||
First Defiance Financial Corp. | 325 | 9,341 | |||||||||
Flushing Financial Corp. | 625 | 13,706 | |||||||||
Investors Bancorp, Inc. | 2,050 | 24,292 | |||||||||
Meridian Bancorp, Inc. | 4,500 | 70,605 | |||||||||
Northfield Bancorp, Inc. | 4,550 | 63,245 |
Security Description | Shares | Value (Note 2) | |||||||||
Savings & Loans/Thrifts (continued) | |||||||||||
People's United Financial, Inc. | 1,022 | $ | 16,802 | ||||||||
Washington Federal, Inc. | 2,950 | 85,225 | |||||||||
296,705 | |||||||||||
Schools — 0.1% | |||||||||||
K12, Inc.† | 1,425 | 48,635 | |||||||||
Seismic Data Collection — 0.0% | |||||||||||
Dawson Geophysical Co.† | 825 | 2,417 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
Cirrus Logic, Inc.† | 2,125 | 89,399 | |||||||||
Semiconductor Equipment — 0.6% | |||||||||||
Cohu, Inc. | 2,650 | 39,087 | |||||||||
Lam Research Corp. | 2,261 | 404,742 | |||||||||
Veeco Instruments, Inc.† | 2,750 | 29,810 | |||||||||
473,639 | |||||||||||
Telecom Equipment-Fiber Optics — 0.0% | |||||||||||
Ciena Corp.† | 425 | 15,870 | |||||||||
Telecom Services — 0.1% | |||||||||||
HC2 Holdings, Inc.† | 5,003 | 12,257 | |||||||||
Vonage Holdings Corp.† | 3,825 | 38,403 | |||||||||
50,660 | |||||||||||
Television — 0.1% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 4 | 3,589 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 2,050 | 78,884 | |||||||||
82,473 | |||||||||||
Theaters — 0.0% | |||||||||||
AMC Entertainment Holdings, Inc., Class A | 2,375 | 35,269 | |||||||||
Therapeutics — 0.7% | |||||||||||
Flexion Therapeutics, Inc.† | 1,100 | 13,728 | |||||||||
La Jolla Pharmaceutical Co.† | 1,000 | 6,430 | |||||||||
Mersana Therapeutics, Inc.† | 6,557 | 34,490 | |||||||||
Mirati Therapeutics, Inc.† | 937 | 68,682 | |||||||||
Neurocrine Biosciences, Inc.† | 3,008 | 265,005 | |||||||||
Sarepta Therapeutics, Inc.† | 1,196 | 142,551 | |||||||||
Xencor, Inc.† | 1,200 | 37,272 | |||||||||
568,158 | |||||||||||
Tobacco — 0.9% | |||||||||||
Altria Group, Inc. | 12,118 | 695,937 | |||||||||
Transactional Software — 0.2% | |||||||||||
ACI Worldwide, Inc.† | 4,375 | 143,806 | |||||||||
Synchronoss Technologies, Inc.† | 2,375 | 14,440 | |||||||||
158,246 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd.† | 66 | 424 | |||||||||
SEACOR Holdings, Inc.† | 775 | 32,767 | |||||||||
33,191 | |||||||||||
Transport-Rail — 0.6% | |||||||||||
CSX Corp. | 6,508 | 486,929 |
40
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transport-Services — 0.0% | |||||||||||
Echo Global Logistics, Inc.† | 1,575 | $ | 39,029 | ||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 2,200 | 67,738 | |||||||||
Covenant Transportation Group, Inc., Class A† | 250 | 4,745 | |||||||||
Schneider National, Inc., Class B | 450 | 9,473 | |||||||||
YRC Worldwide, Inc.† | 3,109 | 20,799 | |||||||||
102,755 | |||||||||||
Travel Services — 0.0% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 2,200 | 31,218 | |||||||||
Veterinary Diagnostics — 0.2% | |||||||||||
Elanco Animal Health, Inc.† | 3,965 | 127,158 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 300 | 15,897 | |||||||||
USANA Health Sciences, Inc.† | 175 | 14,677 | |||||||||
30,574 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 1,350 | 96,255 | |||||||||
Web Hosting/Design — 0.5% | |||||||||||
Endurance International Group Holdings, Inc.† | 1,925 | 13,956 | |||||||||
GoDaddy, Inc., Class A† | 4,655 | 350,010 | |||||||||
NIC, Inc. | 2,000 | 34,180 | |||||||||
398,146 | |||||||||||
Web Portals/ISP — 2.9% | |||||||||||
Alphabet, Inc., Class C† | 1,977 | 2,319,634 | |||||||||
Total Common Stocks (cost $38,063,843) | 46,965,586 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.2% | |||||||||||
Banks-Commercial — 0.3% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(3) | EUR | 200,000 | 207,759 | ||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC 7.00% due 04/04/2079 | 65,000 | 65,958 | |||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(3) | 200,000 | 224,630 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(3) | 225,000 | 224,313 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(3) | EUR | 200,000 | 218,013 | ||||||||
666,956 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1) | 8,000 | 1 | |||||||||
Total Preferred Securities/Capital Securities (cost $952,756) | 940,674 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 14.0% | |||||||||||
Diversified Financial Services — 14.0% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.66% (1 ML+0.17%) due 01/25/2037(4) | $ | 21,811 | $ | 21,173 | |||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 4.02% (3 ML+1.25%) due 07/25/2029*(5) | 250,000 | 249,489 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.76% (3 ML+1.00%) due 07/28/2028*(5) | 250,000 | 248,311 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 4.06% (1 ML+1.58%) due 10/25/2034 | 7,701 | 7,735 | |||||||||
Avant Loans Funding Trust Series 2018-B, Class A 3.42% due 01/18/2022* | 103,967 | 104,084 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.90% (3 ML+1.12%) due 01/18/2025*(5) | 103,569 | 103,594 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(6)(7)(8) | 994,920 | 52,137 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(7) | 95,000 | 97,011 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6) | 93,235 | 93,659 | |||||||||
Bayview Koitere Fund Trust Series 2018-RN4, Class A1 3.62% due 03/28/2033*(9) | 31,470 | 31,544 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6) | 69,458 | 69,659 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(6) | 66,693 | 66,885 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(6) | 67,838 | 68,043 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(6) | 88,865 | 89,346 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6) | 71,623 | 72,737 |
41
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.33% (1 ML+0.85%) due 08/15/2036*(7) | $ | 131,000 | $ | 130,362 | |||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.43% due 02/25/2036(4)(6) | 79,197 | 74,173 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.44% (1 ML+0.95%) due 08/25/2028*(4) | 132,431 | 132,499 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.69% (1 ML + 1.20%) due 10/25/2027*(4) | 150,000 | 149,907 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(6)(7)(8) | 186,396 | 6,829 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.54% due 07/15/2051(6)(7)(8) | 327,189 | 12,091 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 7,525 | 7,523 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.54% (3 ML+0.78%) due 04/27/2027*(5) | 250,000 | 248,735 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 4.00% (3 ML+1.23%) due 10/17/2029*(5) | 250,000 | 249,577 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.83% (3 ML+1.05%) due 04/24/2030*(5) | 250,000 | 247,673 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 9,028 | 9,009 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(6) | 90,126 | 89,605 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(7) | 101,000 | 104,771 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7) | 65,000 | 68,306 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.97% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | $ | 38,654 | $ | 38,066 | |||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 30,445 | 30,318 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7) | 90,000 | 90,849 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7) | 105,000 | 107,745 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7) | 125,267 | 128,693 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7) | 123,000 | 128,734 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7) | 60,000 | 62,820 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 28,498 | 24,460 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.79% due 06/15/2057(6)(7)(8) | 983,995 | 36,172 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(7) | 105,000 | 109,112 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(6) | 42,371 | 41,364 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 49,625 | 50,373 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 3.99% (3 ML+1.21%) due 07/18/2030*(5) | 250,000 | 249,431 | |||||||||
Eagle RE, Ltd. FRS Series 2018-1, Class M1 4.19% (1 ML+1.70%) due 11/25/2028*(4) | 150,000 | 150,550 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.19% due 05/25/2035(4)(6) | 58,847 | 59,016 |
42
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 4.00% (3 ML+1.22%) due 07/24/2030*(5) | $ | 250,000 | $ | 249,096 | |||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7) | 110,000 | 110,143 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7) | 30,000 | 33,739 | |||||||||
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(7) | 76,140 | 76,930 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(7) | 120,000 | 124,375 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7) | 115,000 | 120,228 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.15% due 03/25/2047(4)(6) | 17,521 | 15,634 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 4.65% due 04/25/2036(4)(6) | 5,922 | 5,236 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 4.09% (1 ML + 1.60%) due 10/25/2028*(4) | 60,000 | 60,113 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 3.03% (1 ML+0.54%) due 05/25/2035(4) | 43,662 | 42,785 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7) | 64,000 | 67,448 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7) | 60,000 | 62,344 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(9) | 118,316 | 118,254 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 4.19% (1 ML+1.70%) due 03/01/2024*(4) | 100,000 | 100,066 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.25% (1 ML+1.75%) due 09/01/2022*(4) | 42,890 | 42,904 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 3.93% (3 ML+1.16%) due 07/23/2029*(5) | $ | 250,000 | $ | 249,962 | |||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(6) | 25,929 | 26,747 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.56% due 12/25/2034(4)(6) | 16,935 | 17,368 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9) | 78,718 | 78,621 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(6) | 72,315 | 71,263 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2018-1, Class A1 3.25% due 05/25/2062*(6) | 94,233 | 93,877 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.09% due 12/15/2047(6)(7)(8) | 282,795 | 9,865 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7) | 20,000 | 20,978 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.45% due 06/15/2050(6)(7)(8) | 108,613 | 8,654 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(7) | 100,000 | 101,456 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | 29,735 | 22,866 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.77% (1 ML+0.28%) due 10/25/2035(4) | 79,374 | 78,287 | |||||||||
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.59% (3 ML+0.80%) due 01/15/2028*(5) | 250,000 | 247,883 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 50,000 | 49,844 |
43
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 3.24% (1 ML + 0.75%) due 01/25/2048*(4) | $ | 105,858 | $ | 105,106 | |||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(6) | 66,974 | 67,713 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(4)(6) | 33,936 | 34,345 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(6) | 61,146 | 61,775 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.99% (1 ML+1.50%) due 06/25/2057*(4) | 80,453 | 81,668 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(6) | 113,193 | 115,199 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(6) | 112,531 | 114,998 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(6) | 89,916 | 91,858 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(6) | 70,667 | 72,195 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(6) | 96,004 | 97,505 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(6) | 12,544 | 12,350 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 100,000 | 100,084 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | $ | 73,237 | $ | 72,919 | |||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 75,511 | 75,473 | |||||||||
Oaktown Re, Ltd. FRS Series 2018-1A, Class M1 4.04% (1 ML+1.55%) due 07/25/2028*(4) | 150,000 | 149,609 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.62% (3 ML+0.85%) due 04/17/2027*(5) | 215,000 | 213,981 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 119,000 | 118,069 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 13,952 | 13,973 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.59% (1 ML+0.10%) due 02/25/2037 | 34,412 | 20,354 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.80% (3 ML+1.05%) due 04/30/2027*(5) | 250,000 | 248,425 | |||||||||
PRPM LLC VRS Series 2018-3A, Class A1 4.48% due 10/25/2023* | 108,820 | 109,669 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4) | 1,737 | 1,658 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.62% (1 ML+0.13%) due 05/25/2037 | 81,536 | 62,563 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 37,659 | 37,660 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.74% (1 ML+0.25%) due 11/25/2036 | 160,000 | 148,177 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 120,000 | 119,044 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(6) | 49,634 | 48,831 |
44
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(6) | $ | 117,476 | $ | 116,163 | |||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(6) | 64,425 | 63,761 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(6) | 83,003 | 81,646 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(6) | 71,160 | 70,034 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(6) | 80,355 | 78,877 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 3.09% (1 ML+0.60%) due 02/25/2057* | 73,727 | 73,118 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class ARR 3.83% (3 ML+1.07%) due 10/20/2028*(5) | 250,000 | 250,120 | |||||||||
Verus Securitization Trust VRS Series 2018-INV2, Class A1FX 4.15% due 10/25/2058*(4)(6) | 122,412 | 124,230 | |||||||||
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.87% (3 ML+1.24%) due 06/20/2029*(5) | 250,000 | 249,306 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(9) | 75,579 | 75,472 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(9) | 70,804 | 70,963 | |||||||||
VOLT LXXIV LLC Series 2018-NP10, Class A1A 4.58% due 11/25/2048*(9) | 118,957 | 119,948 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.68% (3 ML+0.90%) due 01/18/2029*(5) | 250,000 | 247,576 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.14% due 09/15/2057(6)(7)(8) | 971,025 | 42,134 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2017-C38, Class A5 3.45% due 07/15/2050(7) | 111,000 | 112,505 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7) | 65,000 | 67,696 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.75% due 10/25/2036(4)(6) | $ | 20,821 | $ | 20,587 | |||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.83% due 11/25/2034(4)(6) | 1,134 | 1,156 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.94% due 01/25/2035(4)(6) | 44,996 | 45,679 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.15% due 03/25/2035(4)(6) | 34,763 | 35,644 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 49,375 | 48,677 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 75,000 | 75,007 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7) | 120,000 | 125,801 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7) | 110,000 | 115,224 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7) | 50,111 | 52,820 | |||||||||
Total Asset Backed Securities (cost $11,251,277) | 11,280,481 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 10.1% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 23,000 | 23,367 | |||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 105,000 | 107,779 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 25,000 | 25,965 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,304 | |||||||||
139,048 |
45
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Airlines — 0.1% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | $ | 10,000 | $ | 10,056 | |||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 25,000 | 25,263 | |||||||||
35,319 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 10,000 | 10,204 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 25,000 | 26,074 | |||||||||
36,278 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 15,000 | 13,923 | |||||||||
Ford Motor Co. Senior Notes 4.75% due 01/15/2043 | 5,000 | 3,918 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 8,379 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 10,000 | 9,141 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 5,000 | 4,847 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 40,000 | 41,720 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 30,000 | 29,690 | |||||||||
111,618 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 30,000 | 30,357 | |||||||||
Banks-Super Regional — 0.3% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 25,000 | 24,427 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 105,000 | 105,139 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 70,000 | 70,270 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 40,000 | 41,163 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | $ | 15,000 | $ | 17,317 | |||||||
258,316 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 20,000 | 19,745 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 10,000 | 9,774 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 40,000 | 41,994 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 30,000 | 31,982 | |||||||||
103,495 | |||||||||||
Brewery — 0.4% | |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.70% due 02/01/2036* | 25,000 | 24,975 | |||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046* | 5,000 | 5,022 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 30,000 | 25,961 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.15% due 01/23/2025 | 20,000 | 20,841 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 9,607 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 20,000 | 21,308 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 35,000 | 33,356 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 140,000 | 151,552 | |||||||||
292,622 |
46
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | $ | 33,000 | $ | 33,268 | |||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 12,000 | 12,094 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 10,000 | 10,527 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 25,000 | 24,306 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 30,000 | 32,922 | |||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 40,000 | 41,467 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 20,000 | 20,400 | |||||||||
174,984 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 30,000 | 31,413 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 27,000 | 27,169 | |||||||||
Cable/Satellite TV — 0.5% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.46% due 07/23/2022 | 40,000 | 41,385 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 35,000 | 36,931 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 45,000 | 47,006 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | $ | 20,000 | $ | 22,420 | |||||||
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027 | 10,000 | 9,344 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 9,093 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 15,000 | 15,687 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 20,000 | 21,248 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 20,000 | 21,109 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 15,000 | 16,057 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 15,000 | 16,545 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 63,000 | 62,714 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 10,000 | 9,457 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 4,000 | 3,600 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 25,000 | 25,775 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 40,000 | 34,961 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 40,000 | 40,996 | |||||||||
434,328 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 10,000 | 10,262 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 30,000 | 30,450 | |||||||||
40,712 |
47
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Diversified — 0.2% | |||||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | $ | 45,000 | $ | 47,058 | |||||||
DowDuPont, Inc. Senior Notes 4.73% due 11/15/2028 | 65,000 | 70,225 | |||||||||
117,283 | |||||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 35,000 | 34,384 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 95,000 | 96,885 | |||||||||
Computers — 0.0% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 10,000 | 9,514 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,240 | |||||||||
14,754 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 55,000 | 52,525 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 40,000 | 42,385 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 20,000 | 20,563 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,647 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 5,001 | |||||||||
14,648 | |||||||||||
Diversified Banking Institutions — 1.8% | |||||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 85,000 | 85,060 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 40,000 | 39,114 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 60,000 | 60,269 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025 | $ | 30,000 | $ | 30,515 | |||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 30,000 | 30,577 | |||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 40,000 | 41,823 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 75,000 | 78,540 | |||||||||
Bank of America Corp. Senior Notes 5.00% due 01/21/2044 | 10,000 | 11,238 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 20,000 | 19,814 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 35,000 | 34,280 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 15,000 | 14,738 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.78% (3 ML+1.10%) due 05/17/2024 | 55,000 | 55,240 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 80,000 | 81,329 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 20,520 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 25,000 | 25,408 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 8,000 | 8,509 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 10,000 | 10,361 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 20,000 | 19,822 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 80,000 | 79,107 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 20,000 | 19,954 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 5,000 | 4,952 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 25,000 | 24,767 |
48
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | $ | 20,000 | $ | 19,097 | |||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 15,000 | 15,330 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 25,000 | 26,439 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 45,000 | 55,504 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 6,000 | 7,315 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 115,000 | 114,964 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 16,000 | 16,224 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 45,000 | 44,694 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 35,000 | 35,938 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 4.01% (3 ML+1.23%) due 10/24/2023 | 35,000 | 35,526 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 45,000 | 44,707 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 10,000 | 9,954 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 20,000 | 19,469 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 75,000 | 74,433 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 45,000 | 45,105 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 35,000 | 34,989 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 15,000 | 15,438 | |||||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | 5,000 | 5,266 | |||||||||
1,416,329 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | $ | 20,000 | $ | 20,032 | |||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 10,000 | 10,018 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 45,000 | 46,772 | |||||||||
56,790 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 25,000 | 24,887 | |||||||||
Electric-Integrated — 0.6% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 5,000 | 5,067 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 15,000 | 14,897 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 20,000 | 19,858 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 40,000 | 37,225 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 14,340 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 10,000 | 9,761 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 40,000 | 39,956 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 40,000 | 41,405 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 81,000 | 80,251 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 25,000 | 25,128 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 45,000 | 45,163 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026(10) | 70,000 | 61,250 |
49
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Pacific Gas & Electric Co. Senior Notes 3.50% due 06/15/2025(10) | $ | 15,000 | $ | 13,350 | |||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034(10) | 60,000 | 59,550 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 10,000 | 10,796 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,956 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 25,000 | 24,487 | |||||||||
512,440 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 10,000 | 11,946 | |||||||||
Electronic Components-Semiconductors — 0.5% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 15,000 | 14,377 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 70,000 | 69,820 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 95,000 | 90,756 | |||||||||
Broadcom, Inc. Company Guar. Notes 3.13% due 04/15/2021* | 90,000 | 89,894 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 20,000 | 21,135 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 40,000 | 40,811 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 90,000 | 91,812 | |||||||||
418,605 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 25,000 | 24,734 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 50,000 | 50,000 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | $ | 15,000 | $ | 15,089 | |||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 30,000 | 31,687 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 40,000 | 40,609 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 35,000 | 35,781 | |||||||||
76,390 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/16/2016† | 10,000 | 190 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1) | 11,000 | 1 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1) | 15,000 | 2 | |||||||||
193 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 135,000 | 136,333 | |||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Conagra Brands, Inc. Senior Notes 3.80% due 10/22/2021 | 10,000 | 10,187 | |||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 35,000 | 36,319 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 5,000 | 5,248 | |||||||||
Conagra Brands, Inc. Senior Notes 5.30% due 11/01/2038 | 5,000 | 5,061 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026 | 20,000 | 18,642 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 10,000 | 8,650 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 45,000 | 46,289 | |||||||||
130,396 |
50
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | $ | 30,000 | $ | 30,487 | |||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 15,378 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 20,000 | 20,744 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 10,000 | 10,582 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 10,822 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,127 | |||||||||
77,653 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 23,000 | 23,805 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 15,000 | 12,638 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,004 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 15,000 | 15,394 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 5,000 | 5,075 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 40,000 | 41,121 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 70,000 | 70,000 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 20,000 | 19,923 | |||||||||
89,923 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | $ | 25,000 | $ | 24,913 | |||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,010 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 15,000 | 15,280 | |||||||||
42,203 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 55,000 | 56,937 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 10,000 | 9,722 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048 | 20,000 | 18,038 | |||||||||
27,760 | |||||||||||
Medical-HMO — 0.2% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 14,730 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 25,000 | 25,313 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 25,000 | 25,801 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 10,922 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 25,000 | 25,755 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 15,000 | 15,607 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 40,000 | 41,753 | |||||||||
159,881 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 20,000 | 19,662 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 10,000 | 9,409 | |||||||||
29,071 |
51
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | $ | 30,000 | $ | 29,598 | |||||||
Multimedia — 0.2% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 55,000 | 57,177 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 20,000 | 17,980 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 50,000 | 49,797 | |||||||||
124,954 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 30,000 | 30,375 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 50,000 | 51,456 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 65,000 | 64,375 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 15,000 | 15,619 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 34,000 | 39,387 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 10,000 | 11,663 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 40,000 | 45,973 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 10,000 | 10,123 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 35,000 | 34,744 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 25,000 | 24,438 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 20,000 | 20,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 15,000 | 15,150 | |||||||||
332,928 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028* | $ | 15,000 | $ | 14,851 | |||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 30,000 | 29,351 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,046 | |||||||||
49,248 | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028* | 125,000 | 129,659 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 55,000 | 56,465 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 35,000 | 35,259 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 30,000 | 30,489 | |||||||||
251,872 | |||||||||||
Pipelines — 0.5% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 30,000 | 30,145 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 15,000 | 15,640 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 55,000 | 58,979 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | 5,000 | 5,600 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 10,000 | 10,333 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.15% due 03/15/2045 | 10,000 | 9,612 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 7,000 | 6,495 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 30,000 | 30,304 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 15,000 | 14,907 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 25,000 | 25,157 |
52
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | $ | 10,000 | $ | 9,553 | |||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,073 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 10,000 | 10,070 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 15,000 | 14,870 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 35,000 | 34,488 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,769 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 10,000 | 10,204 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 35,000 | 36,202 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 40,000 | 39,666 | |||||||||
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028 | 15,000 | 15,226 | |||||||||
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048 | 10,000 | 9,748 | |||||||||
402,041 | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 25,000 | 24,973 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 20,000 | 20,872 | |||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/15/2044* | 80,000 | 79,908 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 75,000 | 74,596 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 50,000 | 50,307 | |||||||||
250,656 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | $ | 30,000 | $ | 30,675 | |||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 50,000 | 50,216 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 10,000 | 8,852 | |||||||||
59,068 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 45,000 | 46,333 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 30,000 | 30,616 | |||||||||
Telephone-Integrated — 0.4% | |||||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 10,000 | 10,281 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 62,000 | 62,712 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 60,000 | 61,294 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 10,000 | 9,852 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 20,000 | 20,479 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 10,000 | 10,403 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 65,000 | 68,705 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 15,000 | 15,282 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 15,000 | 16,068 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 15,000 | 16,044 | |||||||||
291,120 | |||||||||||
Tobacco — 0.6% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 95,000 | 94,775 |
53
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Tobacco (continued) | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.80% due 02/14/2024 | $ | 10,000 | $ | 10,178 | |||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 15,000 | 12,316 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 10,000 | 10,278 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 25,000 | 25,772 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 90,000 | 95,186 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049 | 55,000 | 59,018 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020 | 45,000 | 44,539 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024 | 15,000 | 14,666 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.56% due 08/15/2027 | 60,000 | 56,808 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 50,000 | 44,737 | |||||||||
468,273 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 55,000 | 54,290 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 45,000 | 46,721 | |||||||||
101,011 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $8,075,274) | 8,180,024 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.1% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 15,000 | 15,446 | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 15,000 | 15,788 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 60,000 | 60,985 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Cellular Telecom (continued) | |||||||||||
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048 | $ | 5,000 | $ | 4,957 | |||||||
65,942 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 25,000 | 24,957 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 15,000 | 14,253 | |||||||||
39,210 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,862 | |||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 50,000 | 51,634 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 10,000 | 9,782 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 25,000 | 25,625 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 40,000 | 39,507 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023 | 50,000 | 44,607 | |||||||||
84,114 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 15,000 | 15,135 | |||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 10,000 | 8,999 | |||||||||
24,134 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 70,000 | 76,090 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 5,000 | 5,737 | |||||||||
81,827 |
54
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (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 | $ | 55,000 | $ | 55,139 | |||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 25,000 | 25,453 | |||||||||
80,592 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.50% due 01/23/2029 | 10,000 | 9,910 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 19,000 | 17,442 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,419,989 | 21,285 | ||||||||
48,637 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
Cigna Corp. Company Guar. Notes 4.13% due 11/15/2025* | 25,000 | 25,875 | |||||||||
Pipelines — 0.0% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,298 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 15,000 | 15,700 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040 | 5,000 | 5,910 | |||||||||
36,908 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 90,000 | 95,024 | |||||||||
Telephone-Integrated — 0.2% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038 | 150,000 | 143,168 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 25,000 | 30,425 | |||||||||
173,593 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 20,000 | 19,800 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,350 | |||||||||
41,150 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $982,967) | 920,143 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES — 0.3% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | $ | 15,000 | $ | 15,057 | |||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 25,000 | 25,725 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 15,000 | 16,737 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 65,000 | 72,500 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 24,000 | 27,010 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 30,000 | 30,852 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,286 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,433 | |||||||||
Total Municipal Bonds & Notes (cost $203,715) | 208,600 | ||||||||||
U.S. GOVERNMENT AGENCIES — 13.7% | |||||||||||
Federal Home Loan Mtg. Corp. — 3.8% | |||||||||||
2.50% due 01/01/2028 | 4,397 | 4,396 | |||||||||
2.50% due 04/01/2028 | 14,412 | 14,409 | |||||||||
3.00% due 08/01/2027 | 3,989 | 4,034 | |||||||||
3.00% due April TBA | 600,000 | 597,340 | |||||||||
3.50% due 03/01/2042 | 6,347 | 6,487 | |||||||||
3.50% due 08/01/2042 | 32,861 | 33,586 | |||||||||
3.50% due 09/01/2043 | 21,746 | 22,250 | |||||||||
3.50% due 10/01/2048 | 682,370 | 693,408 | |||||||||
4.00% due 03/01/2023 | 315 | 325 | |||||||||
4.00% due 10/01/2043 | 27,831 | 28,871 | |||||||||
4.00% due April TBA | 500,000 | 514,678 | |||||||||
4.50% due 01/01/2039 | 827 | 875 | |||||||||
4.50% due April TBA | 675,000 | 704,432 | |||||||||
5.00% due 05/01/2020 | 6,826 | 6,870 | |||||||||
5.00% due 05/01/2034 | 14,250 | 15,462 | |||||||||
5.50% due 07/01/2034 | 4,886 | 5,360 | |||||||||
5.50% due 05/01/2037 | 1,752 | 1,922 | |||||||||
6.00% due 08/01/2026 | 10,663 | 11,531 | |||||||||
6.50% due 05/01/2029 | 918 | 1,020 | |||||||||
7.50% due 08/01/2023 | 33 | 33 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.33% (6 ML+1.49%) due 02/01/2037 | 1,162 | 1,198 |
55
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.04% due 10/25/2047*(6)(7) | $ | 70,000 | $ | 69,894 | |||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(6)(7) | 80,000 | 81,904 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(6)(7)(8) 174,989 9,290 Series K064, Class X1 0.61% due 03/25/2027(6)(7)(8) | 317,832 | 13,249 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(7) | 68,000 | 69,714 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 4.14% (1 ML+1.65%) due 04/25/2043*(4) | 26,274 | 26,441 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 3.24% (1 ML+0.75%) due 09/25/2048*(4) | 75,000 | 74,923 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 2,898 | 2,832 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 19,275 | 19,527 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | 1,402 | 1,466 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 186 | 196 | |||||||||
3,037,923 | |||||||||||
Federal National Mtg. Assoc. — 6.6% | |||||||||||
2.50% due 02/01/2043 | 64,515 | 62,958 | |||||||||
2.50% due 03/01/2043 | 125,261 | 122,237 | |||||||||
2.64% due 03/01/2027 | 27,706 | 27,574 | |||||||||
2.78% due 03/01/2027 | 61,922 | 61,728 | |||||||||
2.88% due 11/01/2027 | 130,111 | 129,704 | |||||||||
2.97% due 06/01/2027 | 106,579 | 108,029 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
2.97% due 06/01/2030 | $ | 124,000 | $ | 122,179 | |||||||
3.00% due 12/01/2027 | 8,499 | 8,592 | |||||||||
3.00% due 01/01/2028 | 8,754 | 8,868 | |||||||||
3.00% due 04/15/2034 | 100,000 | 100,920 | |||||||||
3.16% due 08/01/2027 | 125,000 | 126,986 | |||||||||
3.50% due 11/01/2047 | 472,859 | 480,145 | |||||||||
3.50% due 03/01/2048 | 169,453 | 172,175 | |||||||||
3.50% due 04/10/2049 | 625,000 | 633,471 | |||||||||
4.00% due 11/01/2040 | 12,859 | 13,336 | |||||||||
4.00% due 12/01/2040 | 31,967 | 33,157 | |||||||||
4.00% due 11/01/2041 | 4,043 | 4,199 | |||||||||
4.00% due 01/01/2042 | 8,802 | 9,129 | |||||||||
4.00% due 11/01/2043 | 16,887 | 17,508 | |||||||||
4.00% due 12/01/2043 | 9,976 | 10,455 | |||||||||
4.00% due 02/01/2049 | 896,990 | 925,795 | |||||||||
4.00% due 04/10/2049 | 450,000 | 462,871 | |||||||||
4.50% due 01/01/2039 | 2,366 | 2,500 | |||||||||
4.50% due 06/01/2039 | 29,094 | 30,664 | |||||||||
4.50% due 09/01/2039 | 6,605 | 6,979 | |||||||||
4.50% due 05/01/2041 | 4,962 | 5,194 | |||||||||
5.00% due 06/01/2019 | 38 | 39 | |||||||||
5.00% due 03/01/2020 | 589 | 602 | |||||||||
5.00% due 05/01/2035 | 1,905 | 2,049 | |||||||||
5.00% due 07/01/2040 | 39,475 | 42,579 | |||||||||
5.00% due 04/10/2049 | 300,000 | 317,161 | |||||||||
5.50% due 05/01/2020 | 5,709 | 5,712 | |||||||||
5.50% due 06/01/2020 | 3,143 | 3,152 | |||||||||
5.50% due 12/01/2029 | 1,657 | 1,768 | |||||||||
5.50% due 06/01/2035 | 108,907 | 119,715 | |||||||||
5.50% due 06/01/2036 | 52,661 | 57,550 | |||||||||
5.50% due 08/01/2037 | 9,140 | 10,046 | |||||||||
5.50% due 06/01/2038 | 7,353 | 8,027 | |||||||||
6.00% due 06/01/2021 | 14,554 | 14,741 | |||||||||
6.00% due 12/01/2033 | 6,238 | 6,879 | |||||||||
6.00% due 05/01/2034 | 4,954 | 5,461 | |||||||||
6.00% due 08/01/2034 | 1,035 | 1,142 | |||||||||
6.00% due 11/01/2038 | 1,376 | 1,518 | |||||||||
7.00% due 06/01/2037 | 10,700 | 12,263 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 6.04% (1 ML+3.55%) due 07/25/2029(4) | 30,000 | 32,226 | |||||||||
Series 2016-C07, Class 2M2 6.84 (1 ML+4.35%) due 05/25/2029(4) | 60,000 | 65,695 | |||||||||
Federal National Mtg. Assoc. FRS 4.34% (12 ML+1.57%) due 05/01/2037 | 1,981 | 2,063 | |||||||||
Federal National Mtg. Assoc. FRS 4.57% (12 ML+1.82%) due 10/01/2040 | 1,955 | 2,047 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(4) | 14,101 | 14,169 |
56
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | $ | 51,753 | $ | 52,738 | |||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(4) | 41,634 | 42,454 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | 5,031 | 4,952 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 17,215 | 16,744 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 33,772 | 33,068 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 36,179 | 35,861 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 29,595 | 29,358 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 45,831 | 45,939 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(4) | 27,265 | 27,338 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 41,927 | 41,844 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 42,339 | 42,254 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 50,266 | 50,373 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 18,817 | 19,426 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(4) | 48,692 | 49,771 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 48,724 | 49,764 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 39,168 | 40,963 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(4) | 42,084 | 43,137 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(4) | 40,973 | 41,495 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(4) | 40,668 | 41,542 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(4) | 67,798 | 69,032 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(4) | 20,657 | 21,150 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 51,608 | 52,913 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(4) | 43,000 | 43,808 | |||||||||
5,309,881 | |||||||||||
Government National Mtg. Assoc. — 3.3% | |||||||||||
3.00% due April TBA | 500,000 | 502,148 | |||||||||
3.50% due April TBA | 1,200,000 | 1,225,945 | |||||||||
4.00% due 07/15/2041 | 22,067 | 22,922 | |||||||||
4.00% due 08/15/2041 | 7,284 | 7,571 | |||||||||
4.00% due 10/15/2041 | 14,153 | 14,699 | |||||||||
4.00% due 04/17/2049 | 600,000 | 619,805 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
4.00% due April TBA | $ | 100,000 | $ | 103,248 | |||||||
4.50% due 06/15/2041 | 112,411 | 118,214 | |||||||||
6.00% due 11/15/2028 | 15,070 | 16,667 | |||||||||
7.00% due 07/15/2033 | 6,763 | 7,640 | |||||||||
9.00% due 11/15/2021 | 59 | 61 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 51,002 | 49,371 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 561 | 624 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(4) | 4,333 | 4,939 | |||||||||
2,693,854 | |||||||||||
Total U.S. Government Agencies (cost $10,911,227) | 11,041,658 | ||||||||||
U.S. GOVERNMENT TREASURIES — 6.4% | |||||||||||
United States Treasury Bonds — 2.8% | |||||||||||
2.50% due 02/15/2045 | 5,000 | 4,718 | |||||||||
2.88% due 11/15/2046 | 70,000 | 70,869 | |||||||||
3.00% due 05/15/2045 | 58,000 | 60,177 | |||||||||
3.00% due 11/15/2045 | 145,000 | 150,483 | |||||||||
3.00% due 02/15/2048 | 335,000 | 346,607 | |||||||||
3.13% due 05/15/2048 | 125,000 | 132,544 | |||||||||
3.63% due 08/15/2043 | 160,000 | 183,825 | |||||||||
3.63% due 02/15/2044 | 360,000 | 414,127 | |||||||||
3.75% due 11/15/2043 | 140,000 | 164,123 | |||||||||
8.13% due 08/15/2021 | 620,000 | 702,804 | |||||||||
2,230,277 | |||||||||||
United States Treasury Notes — 3.6% | |||||||||||
0.38% due 07/15/2027 TIPS(11)(12) | 1,008,361 | 1,000,632 | |||||||||
0.88% due 01/15/2029 TIPS(11) | 174,442 | 179,986 | |||||||||
1.88% due 01/31/2022 | 430,000 | 425,650 | |||||||||
2.00% due 02/15/2023 | 520,000 | 515,430 | |||||||||
2.00% due 02/15/2025(13) | 85,000 | 83,609 | |||||||||
2.25% due 08/15/2027 | 80,000 | 79,234 | |||||||||
2.88% due 05/15/2028 | 505,000 | 524,549 | |||||||||
3.13% due 11/15/2028 | 115,000 | 121,985 | |||||||||
2,931,075 | |||||||||||
Total U.S. Government Treasuries (cost $5,108,348) | 5,161,352 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.3% | |||||||||||
Sovereign — 0.3% | |||||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 62,000 | 70,862 | |||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 10,000 | 10,649 | |||||||||
State of Qatar Senior Notes 4.00% due 03/14/2029* | 200,000 | 206,122 | |||||||||
Total Foreign Government Obligations (cost $281,798) | 287,633 |
57
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
OPTIONS — PURCHASED†(14) — 0.0% | |||||||||||
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $25,985) | 2,012,000 | $ | 6,575 | ||||||||
Total Long-Term Investment Securities (cost $75,857,190) | 84,992,726 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.1% | |||||||||||
Commercial Paper — 0.1% | |||||||||||
Societe Generale SA 2.42% due 04/01/19* | $ | 100,000 | 99,980 | ||||||||
Foreign Government Obligations — 1.0% | |||||||||||
Government of Egypt Bills 17.50% due 11/19/2019 | EGP | 125,000 | 6,512 | ||||||||
Government of Egypt Bills 19.70% due 10/15/2019 | EGP | 775,000 | 40,978 | ||||||||
Government of Japan Bills (0.21)% due 05/27/2019 | JPY | 85,000,000 | 767,159 | ||||||||
814,649 | |||||||||||
Total Short-Term Investment Securities (cost $916,044) | 914,629 | ||||||||||
REPURCHASE AGREEMENTS — 1.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | 230,000 | 230,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 105,000 | 105,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 190,000 | 190,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 205,000 | 205,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | 215,000 | 215,000 | |||||||||
Total Repurchase Agreements (cost $945,000) | 945,000 | ||||||||||
TOTAL INVESTMENTS (cost $77,718,234)(17) | 107.6 | % | 86,852,355 | ||||||||
Liabilities in excess of other assets | (7.6 | ) | (6,104,222 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 80,748,133 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $10,467,629 representing 13.0% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | $ | 3,589 | $ | 897.18 | 0.00 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Collateralized Mortgage Obligation
(5) Collateralized Loan Obligation
(6) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(7) Commercial Mortgage Backed Security
(8) Interest Only
(9) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2019.
(10) Security in default of interest.
(11) Principal amount of security is adjusted for inflation.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(14) Purchased Options
58
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Over the Counter Purchased Put Options on Interest Rate Swap Contracts
Issue | Counterparty | Expiration Month | Strike Rate | Notional Amount(000's) | Premiums Paid | Value at March 31, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 3 Month USD LIBOR-BBA maturing on 12/09/2019 | Goldman Sachs International | December 2019 | 3.20 | % | $ | 970 | $ | 12,804 | $ | 1,452 | $ | (11,352 | ) | ||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.00% versus 3 Month USD LIBOR-BBA maturing on 03/18/2020 | Goldman Sachs International | March 2020 | 3.00 | 1,042 | 13,181 | 5,123 | (8,058 | ) | |||||||||||||||||||||||
$ | 25,985 | $ | 6,575 | $ | (19,410 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(15) See Note 2 for details of Joint Repurchase Agreements.
(16) Denominated in United States dollars unless otherwise indicated.
(17) See Note 4 for cost of investments on a tax basis.
ARS — Argentina Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
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 March 31, 2019 and unless noted otherwise, the dates shown arethe original maturity dates.
Index Legend |
1 ML — 1 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 ML — 12 Month USD LIBOR
1 Yr USTYCR — 1Year US Treasury Yield Curve Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2 | Short | Australian 10 Year Bonds | June 2019 | $ | 193,880 | $ | 196,764 | $ | (2,884 | ) | |||||||||||||||||
5 | Long | E-Mini Russell 2000 Index | June 2019 | 388,290 | 385,950 | (2,340 | ) | ||||||||||||||||||||
1 | Short | Euro-Bund | June 2019 | 184,438 | 186,592 | (2,154 | ) | ||||||||||||||||||||
3 | Long | U.S. Treasury 2 Year Notes | June 2019 | 636,890 | 639,281 | 2,391 | |||||||||||||||||||||
7 | Long | U.S. Treasury 5 Year Notes | June 2019 | 802,649 | 810,797 | 8,148 | |||||||||||||||||||||
3 | Long | U.S. Treasury 10 Year Notes | June 2019 | 373,453 | 372,656 | (797 | ) | ||||||||||||||||||||
10 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2019 | 1,302,025 | 1,327,813 | (25,788 | ) | ||||||||||||||||||||
2 | Short | U.S. Treasury Long Bonds | June 2019 | 290,743 | 299,313 | (8,570 | ) | ||||||||||||||||||||
11 | Long | U.S. Treasury Ultra Bonds | June 2019 | 1,780,523 | 1,848,000 | 67,477 | |||||||||||||||||||||
$ | 35,483 |
* 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.
59
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | USD | 3,394 | EUR | 3,000 | 04/30/2019 | $ | — | $ | (20 | ) | |||||||||||||
JPMorgan Chase Bank | EUR | 384,000 | USD | 434,836 | 04/30/2019 | 3,062 | — | ||||||||||||||||
JPY | 85,000,000 | USD | 776,692 | 05/28/2019 | 6,392 | — | |||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 9,454 | $ | (20 | ) |
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 | $ | — | $ | 7,055 | |||||||||||||||
USD | 340 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (7,308 | ) | (4,347 | ) | |||||||||||||||
USD | 155 | 02/05/2049 | USD-LIBOR-BBA/Quarterly | 2.84%/Semi-annually | (533 | ) | (7,924 | ) | |||||||||||||||
$ | (7,841 | ) | $ | (5,216 | ) |
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 — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 78,884 | $ | — | $ | 3,589 | $ | 82,473 | |||||||||||
Other Industries | 46,883,113 | — | — | 46,883,113 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 940,673 | — | 940,673 | |||||||||||||||
Asset Backed Securities | — | 11,280,481 | — | 11,280,481 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 190 | 3 | 193 | |||||||||||||||
Other Industries | — | 8,179,831 | — | 8,179,831 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 920,143 | — | 920,143 | |||||||||||||||
Municipal Bonds & Notes | — | 208,600 | — | 208,600 | |||||||||||||||
U.S. Government Agencies | — | 11,041,658 | — | 11,041,658 | |||||||||||||||
U.S. Government Treasuries | — | 5,161,352 | — | 5,161,352 | |||||||||||||||
Foreign Government Obligations | — | 287,633 | — | 287,633 | |||||||||||||||
Options — Purchased | — | 6,575 | — | 6,575 | |||||||||||||||
Short-Term Investment Securities | — | 914,629 | — | 914,629 | |||||||||||||||
Repurchase Agreement | — | 945,000 | — | 945,000 | |||||||||||||||
Total Investments at Value | $ | 46,961,997 | $ | 39,886,765 | $ | 3,593 | $ | 86,852,355 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 78,016 | $ | — | $ | — | $ | 78,016 | |||||||||||
Forward Foreign Currency Contracts | — | 9,454 | — | 9,454 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 7,055 | — | 7,055 | |||||||||||||||
Total Other Financial Instruments | $ | 78,016 | $ | 16,509 | $ | — | $ | 94,525 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 42,533 | $ | — | $ | — | $ | 42,533 | |||||||||||
Forward Foreign Currency Contracts | — | 20 | — | 20 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 12,271 | — | 12,271 | |||||||||||||||
Total Other Financial Instruments | $ | 42,533 | $ | 12,291 | $ | — | $ | 54,824 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no material Level 3 transfers during the reporting period.
See Notes to Financial Statements
61
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 22.5 | % | |||||
Federal National Mtg. Assoc. | 11.4 | ||||||
Federal Home Loan Mtg. Corp. | 6.3 | ||||||
Government National Mtg. Assoc. | 5.5 | ||||||
United States Treasury Bonds | 5.1 | ||||||
Diversified Banking Institutions | 3.7 | ||||||
Applications Software | 3.0 | ||||||
United States Treasury Notes | 3.2 | ||||||
Electronic Components-Semiconductors | 2.4 | ||||||
Web Portals/ISP | 2.3 | ||||||
E-Commerce/Products | 2.2 | ||||||
Finance-Credit Card | 1.9 | ||||||
Foreign Government Obligations | 1.7 | ||||||
Repurchase Agreements | 1.7 | ||||||
Tobacco | 1.6 | ||||||
Medical-Drugs | 1.4 | ||||||
Medical-HMO | 1.3 | ||||||
Computers | 1.2 | ||||||
Real Estate Investment Trusts | 1.1 | ||||||
Cable/Satellite TV | 1.1 | ||||||
Electric-Integrated | 1.0 | ||||||
Internet Content-Entertainment | 1.0 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Telephone-Integrated | 0.9 | ||||||
Retail-Restaurants | 0.9 | ||||||
Pipelines | 0.9 | ||||||
Electronic Forms | 0.8 | ||||||
Broadcast Services/Program | 0.8 | ||||||
Consulting Services | 0.8 | ||||||
Finance-Other Services | 0.7 | ||||||
Multimedia | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Diversified Manufacturing Operations | 0.6 | ||||||
Medical Products | 0.6 | ||||||
Brewery | 0.6 | ||||||
Medical-Biomedical/Gene | 0.6 | ||||||
Pharmacy Services | 0.6 | ||||||
Aerospace/Defense | 0.5 | ||||||
Sovereign | 0.5 | ||||||
Banks-Super Regional | 0.5 | ||||||
Beverages-Wine/Spirits | 0.5 | ||||||
Athletic Footwear | 0.5 | ||||||
Banks-Commercial | 0.5 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Therapeutics | 0.4 | ||||||
Commercial Services | 0.4 | ||||||
Municipal Bonds & Notes | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Insurance-Property/Casualty | 0.4 | ||||||
Semiconductor Equipment | 0.4 | ||||||
Medical Instruments | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Electric-Generation | 0.3 | ||||||
Web Hosting/Design | 0.3 | ||||||
Cosmetics & Toiletries | 0.3 | ||||||
Cellular Telecom | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
Cruise Lines | 0.3 |
Enterprise Software/Service | 0.3 | % | |||||
Machinery-Farming | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Hotels/Motels | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Building Products-Cement | 0.2 | ||||||
Finance-Investment Banker/Broker | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 | ||||||
Computer Software | 0.2 | ||||||
Industrial Automated/Robotic | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Central Bank | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Firearms & Ammunition | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Medical-Generic Drugs | 0.2 | ||||||
Insurance Brokers | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Airlines | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
110.4 | % |
62
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 56.3 | % | |||||
Aa | 0.9 | ||||||
A | 6.8 | ||||||
Baa | 13.7 | ||||||
Ba | 3.8 | ||||||
B | 0.7 | ||||||
Caa | 0.7 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 16.9 | ||||||
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.
63
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 31.8% | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Boeing Co. | 770 | $ | 293,693 | ||||||||
Aerospace/Defense-Equipment — 0.4% | |||||||||||
L3 Technologies, Inc. | 1,106 | 228,245 | |||||||||
Applications Software — 2.9% | |||||||||||
Microsoft Corp. | 10,739 | 1,266,558 | |||||||||
salesforce.com, Inc.† | 2,030 | 321,491 | |||||||||
1,588,049 | |||||||||||
Athletic Footwear — 0.5% | |||||||||||
NIKE, Inc., Class B | 2,946 | 248,083 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Aptiv PLC | 1,808 | 143,718 | |||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Constellation Brands, Inc., Class A | 950 | 166,564 | |||||||||
Broadcast Services/Program — 0.4% | |||||||||||
Discovery, Inc., Class C† | 4,179 | 106,230 | |||||||||
Liberty Media Corp. — Liberty Formula One, Series C† | 3,608 | 126,461 | |||||||||
232,691 | |||||||||||
Building Products-Cement — 0.2% | |||||||||||
Vulcan Materials Co. | 1,116 | 132,134 | |||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Liberty Broadband Corp., Class C† | 1,546 | 141,830 | |||||||||
Coatings/Paint — 0.3% | |||||||||||
Sherwin-Williams Co. | 439 | 189,082 | |||||||||
Commercial Services — 0.4% | |||||||||||
CoStar Group, Inc.† | 348 | 162,314 | |||||||||
ServiceMaster Global Holdings, Inc.† | 1,600 | 74,720 | |||||||||
237,034 | |||||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Worldpay, Inc., Class A† | 1,150 | 130,525 | |||||||||
Computer Aided Design — 0.3% | |||||||||||
Autodesk, Inc.† | 1,151 | 179,349 | |||||||||
Computer Software — 0.2% | |||||||||||
SS&C Technologies Holdings, Inc. | 1,798 | 114,515 | |||||||||
Computers — 1.2% | |||||||||||
Apple, Inc. | 3,394 | 644,690 | |||||||||
Consulting Services — 0.8% | |||||||||||
Gartner, Inc.† | 2,026 | 307,304 | |||||||||
Verisk Analytics, Inc. | 946 | 125,818 | |||||||||
433,122 | |||||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Ball Corp. | 1,887 | 109,182 | |||||||||
Cosmetics & Toiletries — 0.3% | |||||||||||
Estee Lauder Cos., Inc., Class A | 1,113 | 184,257 | |||||||||
Cruise Lines — 0.3% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 2,971 | 163,286 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Thermo Fisher Scientific, Inc. | 553 | $ | 151,367 | ||||||||
Diversified Manufacturing Operations — 0.6% | |||||||||||
Illinois Tool Works, Inc. | 1,222 | 175,394 | |||||||||
Parker-Hannifin Corp. | 1,021 | 175,224 | |||||||||
350,618 | |||||||||||
E-Commerce/Products — 2.1% | |||||||||||
Amazon.com, Inc.† | 604 | 1,075,573 | |||||||||
Wayfair, Inc., Class A† | 703 | 104,360 | |||||||||
1,179,933 | |||||||||||
Electronic Components-Misc. — 0.2% | |||||||||||
Sensata Technologies Holding PLC† | 2,168 | 97,603 | |||||||||
Electronic Components-Semiconductors — 1.6% | |||||||||||
Microchip Technology, Inc. | 1,990 | 165,091 | |||||||||
NVIDIA Corp. | 1,775 | 318,719 | |||||||||
Texas Instruments, Inc. | 3,688 | 391,186 | |||||||||
874,996 | |||||||||||
Electronic Forms — 0.8% | |||||||||||
Adobe, Inc.† | 1,655 | 441,041 | |||||||||
Enterprise Software/Service — 0.3% | |||||||||||
Tyler Technologies, Inc.† | 708 | 144,715 | |||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
Synchrony Financial | 3,380 | 107,822 | |||||||||
Finance-Credit Card — 1.8% | |||||||||||
Mastercard, Inc., Class A | 1,979 | 465,956 | |||||||||
Visa, Inc., Class A | 3,516 | 549,164 | |||||||||
1,015,120 | |||||||||||
Finance-Investment Banker/Broker — 0.2% | |||||||||||
TD Ameritrade Holding Corp. | 2,554 | 127,674 | |||||||||
Finance-Other Services — 0.4% | |||||||||||
CME Group, Inc. | 621 | 102,204 | |||||||||
Intercontinental Exchange, Inc. | 1,745 | 132,864 | |||||||||
235,068 | |||||||||||
Firearms & Ammunition — 0.2% | |||||||||||
Axon Enterprise, Inc.† | 1,878 | 102,182 | |||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 3,674 | 108,567 | |||||||||
Hotels/Motels — 0.3% | |||||||||||
Hilton Worldwide Holdings, Inc. | 1,639 | 136,217 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 1,574 | 66,864 | |||||||||
Industrial Automated/Robotic — 0.2% | |||||||||||
Cognex Corp. | 2,212 | 112,502 | |||||||||
Industrial Gases — 0.4% | |||||||||||
Air Products & Chemicals, Inc. | 1,038 | 198,216 | |||||||||
Insurance-Property/Casualty — 0.4% | |||||||||||
Progressive Corp. | 3,075 | 221,677 | |||||||||
Internet Content-Entertainment — 1.0% | |||||||||||
Facebook, Inc., Class A† | 1,745 | 290,874 | |||||||||
Netflix, Inc.† | 798 | 284,535 | |||||||||
575,409 |
64
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Farming — 0.3% | |||||||||||
Deere & Co. | 970 | $ | 155,045 | ||||||||
Machinery-General Industrial — 0.2% | |||||||||||
Wabtec Corp. | 1,499 | 110,506 | |||||||||
Medical Instruments — 0.3% | |||||||||||
Boston Scientific Corp.† | 4,019 | 154,249 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Teladoc Health, Inc.† | 1,272 | 70,723 | |||||||||
Medical Products — 0.4% | |||||||||||
Abbott Laboratories | 1,794 | 143,413 | |||||||||
ICU Medical, Inc.† | 319 | 76,346 | |||||||||
219,759 | |||||||||||
Medical-Biomedical/Gene — 0.5% | |||||||||||
AnaptysBio, Inc.† | 940 | 68,667 | |||||||||
Gilead Sciences, Inc. | 1,151 | 74,827 | |||||||||
Insmed, Inc.† | 2,507 | 72,878 | |||||||||
Sage Therapeutics, Inc.† | 294 | 46,761 | |||||||||
263,133 | |||||||||||
Medical-Drugs — 1.1% | |||||||||||
AbbVie, Inc. | 3,065 | 247,008 | |||||||||
Bristol-Myers Squibb Co. | 2,171 | 103,579 | |||||||||
Eli Lilly & Co. | 949 | 123,142 | |||||||||
Merck & Co., Inc. | 1,794 | 149,207 | |||||||||
622,936 | |||||||||||
Medical-HMO — 1.0% | |||||||||||
Humana, Inc. | 613 | 163,058 | |||||||||
UnitedHealth Group, Inc. | 1,567 | 387,456 | |||||||||
550,514 | |||||||||||
Multimedia — 0.4% | |||||||||||
Walt Disney Co. | 2,189 | 243,045 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
EOG Resources, Inc. | 668 | 63,580 | |||||||||
Real Estate Investment Trusts — 0.6% | |||||||||||
Crown Castle International Corp. | 2,230 | 285,440 | |||||||||
Invitation Homes, Inc. | 1,733 | 42,164 | |||||||||
327,604 | |||||||||||
Retail-Restaurants — 0.8% | |||||||||||
Dunkin' Brands Group, Inc. | 905 | 67,965 | |||||||||
McDonald's Corp. | 874 | 165,973 | |||||||||
Starbucks Corp. | 3,041 | 226,068 | |||||||||
460,006 | |||||||||||
Semiconductor Equipment — 0.4% | |||||||||||
Lam Research Corp. | 1,210 | 216,602 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 10 | 8,972 | |||||||||
Therapeutics — 0.4% | |||||||||||
Mirati Therapeutics, Inc.† | 503 | 36,870 | |||||||||
Neurocrine Biosciences, Inc.† | 1,629 | 143,515 | |||||||||
Sarepta Therapeutics, Inc.† | 491 | 58,522 | |||||||||
238,907 |
Security Description | Shares/ Principal Amount(15) | Value (Note 2) | |||||||||
Tobacco — 0.7% | |||||||||||
Altria Group, Inc. | 6,493 | $ | 372,893 | ||||||||
Transport-Rail — 0.5% | |||||||||||
CSX Corp. | 3,348 | 250,497 | |||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc.† | 2,134 | 68,437 | |||||||||
Web Hosting/Design — 0.3% | |||||||||||
GoDaddy, Inc., Class A† | 2,486 | 186,922 | |||||||||
Web Portals/ISP — 2.3% | |||||||||||
Alphabet, Inc., Class C† | 1,060 | 1,243,709 | |||||||||
Total Common Stocks (cost $13,936,013) | 17,635,679 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.3% | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(3) | EUR | 200,000 | 207,759 | ||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC 7.00% due 04/04/2079 | 70,000 | 71,032 | |||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(3) | 200,000 | 224,630 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(3) | 200,000 | 199,389 | |||||||||
424,019 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1) | 16,000 | 2 | |||||||||
Total Preferred Securities/Capital Securities (cost $716,418) | 702,812 | ||||||||||
ASSET BACKED SECURITIES — 22.5% | |||||||||||
Diversified Financial Services — 22.5% | |||||||||||
ALM XVI, Ltd./ALM XVI LLC FRS Series 2015-16A, Class AAR2 3.69% (3 ML+0.90%) due 07/15/2027*(5) | 250,000 | 248,235 | |||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.66% (1 ML+0.17%) due 01/25/2037(4) | 24,927 | 24,198 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 4.02% (3 ML+1.25%) due 07/25/2029*(5) | 250,000 | 249,489 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.76% (3 ML+1.00%) due 07/28/2028*(5) | 250,000 | 248,311 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(4)(6) | 50,000 | 50,182 |
65
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 4.06% (1 ML+1.58%) due 10/25/2034 | $ | 15,401 | $ | 15,470 | |||||||
Atlas Senior Loan Fund IV, Ltd. FRS Series 2013-2A, Class A1RR 3.36% (3 ML + 0.68%) due 02/17/2026*(5) | 110,723 | 110,105 | |||||||||
Atrium XII FRS Series 12A, Class AR 3.59% (3 ML+0.83%) due 04/22/2027*(5) | 250,000 | 248,310 | |||||||||
Avant Loans Funding Trust Series 2018-B, Class A 3.42% due 01/18/2022* | 103,967 | 104,084 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.90% (3 ML+1.12%) due 01/18/2025*(5) | 103,569 | 103,594 | |||||||||
Babson CLO, Ltd. FRS Series 2016-2A, Class AR 3.84% (3 ML+1.08%) due 07/20/2028*(5) | 250,000 | 248,965 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(6)(7)(8) | 994,920 | 52,137 | |||||||||
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(7) | 63,000 | 64,770 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6) | 107,690 | 108,180 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6) | 72,931 | 73,142 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(6) | 66,693 | 66,885 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(6) | 67,838 | 68,043 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(6) | 68,134 | 69,225 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6) | 81,855 | 83,128 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.33% (1 ML+0.85%) due 08/15/2036*(7) | 152,000 | 151,260 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.43% due 02/25/2036(4)(6) | $ | 91,842 | $ | 86,016 | |||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.69% (1 ML + 1.20%) due 10/25/2027*(4) | 150,000 | 149,907 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 3.78% (1 ML+ 1.30%) due 03/25/2029*(4) | 150,000 | 150,000 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(6)(7)(8) | 210,318 | 7,706 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.54% due 07/15/2051(6)(7)(8) | 370,082 | 13,676 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 8,958 | 8,956 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.54% (3 ML+0.78%) due 04/27/2027*(5) | 250,000 | 248,735 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.83% (3 ML+1.05%) due 04/24/2030*(5) | 250,000 | 247,673 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 10,834 | 10,811 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(6) | 103,609 | 103,011 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(7) | 122,000 | 126,556 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.97% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 48,193 | 47,459 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 30,445 | 30,318 | |||||||||
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(4)(6) | 100,000 | 100,000 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7) | 125,105 | 126,285 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7) | 140,000 | 143,660 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7) | 155,000 | 159,239 |
66
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7) | $ | 150,000 | $ | 156,993 | |||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7) | 65,000 | 68,055 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(7) | 195,000 | 205,759 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 36,321 | 31,175 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.79% due 06/15/2057(6)(7)(8) | 1,194,516 | 43,911 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(7) | 125,000 | 129,895 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(6) | 46,608 | 45,500 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(4)(6) | 39,423 | 38,963 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 59,550 | 60,447 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.19% due 05/25/2035(4)(6) | 73,559 | 73,770 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 4.00% (3 ML+1.22%) due 07/24/2030*(5) | 250,000 | 249,096 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7) | 125,000 | 125,162 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7) | 30,445 | 34,239 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(7) | 100,000 | 101,854 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(7) | 146,000 | 151,323 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7) | 140,000 | 146,365 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.15% due 03/25/2047(4)(6) | 20,766 | 18,529 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 4.65% due 04/25/2036(4)(6) | $ | 6,580 | $ | 5,817 | |||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 4.09% (1 ML + 1.60%) due 10/25/2028*(4) | 60,000 | 60,113 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 3.03% (1 ML+0.54%) due 05/25/2035(4) | 57,307 | 56,155 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7) | 68,000 | 71,663 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7) | 65,000 | 67,539 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(7) | 122,000 | 123,965 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(9) | 133,340 | 133,270 | |||||||||
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025* | 100,000 | 99,141 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 4.15% (1 ML+1.65%) due 11/01/2022*(4) | 44,574 | 44,707 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 3.93% (3 ML+1.16%) due 07/23/2029*(5) | 250,000 | 249,962 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(6) | 13,120 | 13,535 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.56% due 12/25/2034(4)(6) | 21,495 | 22,045 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9) | 82,654 | 82,552 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.09% due 12/15/2047(6)(7)(8) | 345,105 | 12,039 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.45% due 06/15/2050(6)(7)(8) | 123,424 | 9,834 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(7) | 105,000 | 106,529 |
67
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | $ | 34,576 | $ | 26,588 | |||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.77% (1 ML+0.28%) due 10/25/2035(4) | 104,528 | 103,096 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 57,000 | 56,822 | |||||||||
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051* | 100,000 | 100,270 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 3.24% (1 ML + 0.75%) due 01/25/2048*(4) | 122,795 | 121,923 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(6) | 80,369 | 81,255 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(6) | 70,318 | 71,041 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.99% (1 ML+1.50%) due 06/25/2057*(4) | 93,964 | 95,383 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(6) | 130,936 | 133,257 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(6) | 131,286 | 134,164 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(6) | 106,141 | 108,434 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(6) | 83,516 | 85,321 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(6) | 110,661 | 112,392 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(6) | 80,204 | 81,864 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(6) | $ | 24,460 | $ | 24,082 | |||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 110,000 | 110,092 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 76,899 | 76,565 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 75,511 | 75,473 | |||||||||
OCP CLO, Ltd. FRS Series 2015-9A, Class A1R 3.59% (3 ML+0.80%) due 07/15/2027*(5) | 250,000 | 248,453 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.62% (3 ML+0.85%) due 04/17/2027*(5) | 215,000 | 213,981 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 139,000 | 137,913 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 17,570 | 17,596 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.59% (1 ML+0.10%) due 02/25/2037 | 35,908 | 21,239 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.80% (3 ML+1.05%) due 04/30/2027*(5) | 250,000 | 248,425 | |||||||||
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023* | 8,063 | 8,058 | |||||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4) | 3,475 | 3,315 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.62% (1 ML+0.13%) due 05/25/2037 | 91,561 | 70,255 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 37,659 | 37,660 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 41,813 | 41,506 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025* | 20,506 | 20,506 |
68
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.74% (1 ML+0.25%) due 11/25/2036 | $ | 200,000 | $ | 185,221 | |||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 143,845 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 75,526 | 75,417 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(6) | 61,452 | 60,458 | |||||||||
Towd Point Mtg. Trust Series 2016-2, Class A1A 2.75% due 08/25/2055*(6) | 53,203 | 52,596 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(6) | 134,880 | 133,373 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(6) | 64,425 | 63,761 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(6) | 96,463 | 94,886 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(6) | 71,160 | 70,034 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(6) | 132,587 | 130,147 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 3.09% (1 ML+0.60%) due 02/25/2057* | 85,069 | 84,367 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class ARR 3.83% (3 ML+1.07%) due 10/20/2028*(5) | 250,000 | 250,120 | |||||||||
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(7) | 80,000 | 81,116 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(9) | 87,388 | 87,264 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(9) | 70,804 | 70,963 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048*(9) | 79,414 | 79,759 | |||||||||
VOLT LXXIII LLC Series 2018-NPL9, Class A1A 4.46% due 10/25/2048*(9) | 118,016 | 118,797 | |||||||||
VOLT LXXIV LLC Series 2018-NP10, Class A1A 4.58% due 11/25/2048*(9) | 128,473 | 129,544 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.68% (3 ML+0.90%) due 01/18/2029*(5) | $ | 250,000 | $ | 247,576 | |||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.14% due 09/15/2057(6)(7)(8) | 971,025 | 42,134 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7) | 105,000 | 109,355 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(6)(7) | 10,000 | 9,438 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.75% due 10/25/2036(4)(6) | 25,626 | 25,338 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.83% due 11/25/2034(4)(6) | 2,241 | 2,284 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.94% due 01/25/2035(4)(6) | 59,994 | 60,905 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.15% due 03/25/2035(4)(6) | 45,478 | 46,630 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 49,375 | 48,677 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 85,008 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.78% due 02/15/2044*(6)(7)(8) | 436,990 | 5,213 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7) | 145,280 | 152,303 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7) | 55,111 | 58,091 | |||||||||
Total Asset Backed Securities (cost $12,413,646) | 12,459,172 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 16.5% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 24,000 | 24,383 |
69
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Aerospace/Defense-Equipment — 0.3% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | $ | 115,000 | $ | 118,043 | |||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 30,000 | 31,158 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,304 | |||||||||
154,505 | |||||||||||
Airlines — 0.1% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 15,000 | 15,085 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 25,000 | 25,262 | |||||||||
40,347 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 20,000 | 20,408 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 20,000 | 20,859 | |||||||||
41,267 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 15,000 | 13,922 | |||||||||
Ford Motor Co. Senior Notes 4.75% due 01/15/2043 | 10,000 | 7,837 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 8,379 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 5,000 | 4,570 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 50,000 | 52,149 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 35,000 | 34,639 | |||||||||
121,496 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 35,000 | 35,416 | |||||||||
Banks-Super Regional — 0.5% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 29,313 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | $ | 20,000 | $ | 19,502 | |||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 130,172 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 60,000 | 60,231 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 40,000 | 41,163 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 10,000 | 11,544 | |||||||||
291,925 | |||||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 35,000 | 34,554 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 10,000 | 9,774 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 25,000 | 26,247 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | 39,000 | 41,576 | |||||||||
112,151 | |||||||||||
Brewery — 0.6% | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.70% due 02/01/2036* | 10,000 | 9,990 | |||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046* | 20,000 | 20,088 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 38,942 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.15% due 01/23/2025 | 20,000 | 20,841 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 9,607 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 20,000 | 21,308 |
70
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | $ | 40,000 | $ | 38,121 | |||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 150,000 | 162,377 | |||||||||
321,274 | |||||||||||
Broadcast Services/Program — 0.4% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 36,000 | 36,292 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 19,000 | 19,149 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,790 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 20,000 | 19,445 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 35,000 | 38,409 | |||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 45,000 | 46,651 | |||||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 25,000 | 25,500 | |||||||||
201,236 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 35,000 | 36,648 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 30,000 | 30,187 | |||||||||
Cable/Satellite TV — 0.8% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 65,000 | 68,587 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 45,000 | 47,006 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | $ | 25,000 | $ | 28,025 | |||||||
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027 | 5,000 | 4,672 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 5,000 | 4,546 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 20,000 | 20,916 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 15,000 | 14,615 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 35,000 | 37,183 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 10,000 | 10,555 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 15,000 | 16,057 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 10,000 | 11,030 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 65,000 | 64,705 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 10,000 | 9,457 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 10,000 | 9,000 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 21,000 | 21,651 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 45,000 | 39,331 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 46,121 | |||||||||
453,457 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 10,000 | 10,262 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 30,000 | 30,450 | |||||||||
40,712 |
71
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | $ | 70,000 | $ | 73,201 | |||||||
DowDuPont, Inc. Senior Notes 4.73% due 11/15/2028 | 65,000 | 70,226 | |||||||||
143,427 | |||||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 40,000 | 39,296 | |||||||||
Commercial Services-Finance — 0.2% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 110,000 | 112,182 | |||||||||
Computers — 0.0% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 15,000 | 14,271 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,240 | |||||||||
19,511 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 60,000 | 57,300 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 45,000 | 47,683 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 25,000 | 25,704 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,647 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 10,002 | |||||||||
19,649 | |||||||||||
Diversified Banking Institutions — 2.8% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 35,000 | 34,815 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 105,000 | 105,074 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 40,000 | 39,114 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | $ | 70,000 | $ | 70,314 | |||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 35,000 | 35,673 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 5,000 | 5,214 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 95,000 | 99,484 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 25,000 | 24,767 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 45,000 | 44,075 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 19,650 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.78% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,348 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 90,000 | 91,495 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 20,520 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 20,000 | 20,549 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 7,445 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 15,000 | 15,542 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 25,000 | 24,778 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 85,000 | 84,051 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 10,000 | 9,905 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 30,000 | 29,721 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 5,000 | 4,774 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 30,000 | 31,727 |
72
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | $ | 55,000 | $ | 67,839 | |||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 39,000 | 47,544 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 115,000 | 114,964 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 33,000 | 33,462 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 49,659 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 41,072 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 4.01% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,451 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 30,000 | 29,805 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 15,000 | 14,931 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 30,000 | 29,204 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 85,000 | 84,357 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 40,000 | 40,093 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 39,988 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 20,000 | 20,584 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 1,000 | 1,026 | |||||||||
1,544,014 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 25,040 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 15,000 | 15,026 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
E-Commerce/Products (continued) | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | $ | 50,000 | $ | 51,970 | |||||||
66,996 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 30,000 | 29,865 | |||||||||
Electric-Integrated — 1.0% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 5,000 | 5,067 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 15,000 | 14,897 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 20,000 | 19,858 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 45,000 | 41,878 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 14,340 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 14,641 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 49,946 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 45,000 | 46,580 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 90,000 | 89,168 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 30,153 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 50,000 | 50,181 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027(10) | 100,000 | 87,250 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034(10) | 45,000 | 44,663 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 15,000 | 16,194 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,956 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 30,000 | 29,384 | |||||||||
564,156 |
73
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | $ | 10,000 | $ | 11,946 | |||||||
Electronic Components-Semiconductors — 0.8% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 25,000 | 23,961 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 80,000 | 79,794 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 100,000 | 95,533 | |||||||||
Broadcom, Inc. Company Guar. Notes 3.13% due 04/15/2021* | 95,000 | 94,888 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 20,000 | 21,135 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 45,000 | 45,913 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 100,000 | 102,013 | |||||||||
463,237 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 30,000 | 29,680 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 55,000 | 55,000 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 15,089 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 35,000 | 36,969 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 45,000 | 45,686 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 40,000 | 40,892 | |||||||||
86,578 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | $ | 19,000 | $ | 361 | |||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1) | 21,000 | 2 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1) | 26,000 | 3 | |||||||||
366 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 161,579 | |||||||||
Food-Misc./Diversified — 0.3% | |||||||||||
Conagra Brands, Inc. Senior Notes 3.80% due 10/22/2021 | 10,000 | 10,187 | |||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 35,000 | 36,319 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 5,000 | 5,248 | |||||||||
Conagra Brands, Inc. Senior Notes 5.30% due 11/01/2038 | 10,000 | 10,122 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026 | 35,000 | 32,624 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 5,000 | 4,325 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 50,000 | 51,432 | |||||||||
150,257 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 35,000 | 35,569 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 25,000 | 25,630 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 20,000 | 20,744 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 10,000 | 10,582 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 10,822 |
74
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance Brokers (continued) | |||||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | $ | 20,000 | $ | 20,128 | |||||||
87,906 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 26,000 | 26,910 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 20,000 | 16,850 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,004 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 20,000 | 20,525 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 45,000 | 46,261 | |||||||||
Medical Products — 0.2% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 79,999 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 25,000 | 24,904 | |||||||||
104,903 | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 29,896 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,010 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 25,466 | |||||||||
57,372 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 60,000 | 62,114 | |||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 15,000 | 14,583 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Medical-Generic Drugs (continued) | |||||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048 | $ | 20,000 | $ | 18,038 | |||||||
32,621 | |||||||||||
Medical-HMO — 0.3% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 14,730 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 25,000 | 25,312 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 30,000 | 30,962 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 30,000 | 30,906 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 10,000 | 10,405 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 50,000 | 52,191 | |||||||||
164,506 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 25,000 | 24,577 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 10,000 | 9,409 | |||||||||
33,986 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 35,000 | 34,531 | |||||||||
Multimedia — 0.3% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 65,000 | 67,573 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 20,000 | 17,981 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 60,000 | 59,756 | |||||||||
145,310 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 25,000 | 25,312 |
75
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production — 0.7% | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | $ | 55,000 | $ | 56,602 | |||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 70,000 | 69,328 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,206 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 43,000 | 49,813 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 25,000 | 29,158 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 45,000 | 51,720 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 10,000 | 10,123 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 40,000 | 39,707 | |||||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 30,000 | 29,325 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 25,000 | 25,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 25,000 | 25,250 | |||||||||
391,232 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028* | 20,000 | 19,801 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 35,000 | 34,243 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,046 | |||||||||
59,090 | |||||||||||
Pharmacy Services — 0.5% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028* | 140,000 | 145,218 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 9,108 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 60,000 | 61,599 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Pharmacy Services (continued) | |||||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | $ | 35,000 | $ | 35,259 | |||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 35,570 | |||||||||
286,754 | |||||||||||
Pipelines — 0.8% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 35,000 | 35,169 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 15,000 | 15,640 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 55,000 | 58,978 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | 10,000 | 11,201 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 15,000 | 15,500 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.15% due 03/15/2045 | 10,000 | 9,612 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 10,000 | 9,278 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 30,000 | 30,304 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 20,000 | 19,876 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 25,000 | 25,157 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,553 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,073 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 10,000 | 10,070 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 20,000 | 19,827 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 45,000 | 44,342 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,769 |
76
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | $ | 10,000 | $ | 10,204 | |||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 40,000 | 41,373 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 50,000 | 49,583 | |||||||||
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028 | 15,000 | 15,226 | |||||||||
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048 | 5,000 | 4,874 | |||||||||
450,609 | |||||||||||
Real Estate Investment Trusts — 0.5% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 20,000 | 19,978 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 10,000 | 9,924 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 25,000 | 26,090 | |||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/15/2044* | 90,000 | 89,896 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 84,542 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 60,000 | 60,369 | |||||||||
290,799 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 30,000 | 30,675 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 65,000 | 65,280 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 4,426 | |||||||||
69,706 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 55,000 | 56,630 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | $ | 35,000 | $ | 35,719 | |||||||
Telephone-Integrated — 0.6% | |||||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 15,422 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 62,000 | 62,711 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 65,000 | 66,402 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 15,000 | 14,778 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 20,000 | 20,479 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 31,000 | 31,355 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 50,000 | 52,015 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 40,000 | 42,280 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 24,000 | 24,452 | |||||||||
329,894 | |||||||||||
Tobacco — 0.9% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 95,000 | 94,775 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.80% due 02/14/2024 | 10,000 | 10,178 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 16,421 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 15,000 | 15,418 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 30,000 | 30,927 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 95,000 | 100,474 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049 | 65,000 | 69,748 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020 | 50,000 | 49,488 |
77
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Tobacco (continued) | |||||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024 | $ | 30,000 | $ | 29,333 | |||||||
BAT Capital Corp. Company Guar. Notes 3.56% due 08/15/2027 | 45,000 | 42,606 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 60,000 | 53,684 | |||||||||
513,052 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 60,000 | 59,225 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 55,000 | 57,104 | |||||||||
116,329 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $9,030,105) | 9,146,697 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 2.3% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 15,000 | 15,446 | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 20,000 | 21,051 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 70,000 | 71,150 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 34,939 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 15,000 | 14,253 | |||||||||
49,192 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,862 | |||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 60,000 | 61,961 | |||||||||
Electric-Generation — 0.3% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 200,000 | 201,500 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | $ | 15,000 | $ | 14,672 | |||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 30,000 | 30,750 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 49,383 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023 | 55,000 | 49,068 | |||||||||
98,451 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 20,000 | 20,180 | |||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 10,000 | 8,999 | |||||||||
29,179 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 75,000 | 81,525 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 11,475 | |||||||||
93,000 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 65,000 | 65,165 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 30,000 | 30,543 | |||||||||
95,708 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.50% due 01/23/2029 | 10,000 | 9,910 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 24,000 | 22,032 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,657,987 | 24,853 | ||||||||
56,795 |
78
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Company Guar. Notes 4.13% due 11/15/2025* | $ | 30,000 | $ | 31,049 | |||||||
Pipelines — 0.1% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,298 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 20,000 | 20,933 | |||||||||
36,231 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 100,000 | 105,582 | |||||||||
Telephone-Integrated — 0.3% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.52% due 03/01/2049 | 150,000 | 156,931 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 36,510 | |||||||||
193,441 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 25,000 | 24,750 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,350 | |||||||||
46,100 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,320,772) | 1,256,120 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.4% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 15,057 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 30,000 | 30,870 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 20,000 | 22,316 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 75,000 | 83,654 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 24,000 | 27,010 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 30,000 | 30,852 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | $ | 10,000 | $ | 10,286 | |||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,433 | |||||||||
Total Municipal Bonds & Notes (cost $224,843) | 230,478 | ||||||||||
U.S. GOVERNMENT AGENCIES — 23.2% | |||||||||||
Federal Home Loan Mtg. Corp. — 6.3% | |||||||||||
2.50% due 01/01/2028 | 10,259 | 10,257 | |||||||||
2.50% due 04/01/2028 | 24,706 | 24,701 | |||||||||
3.00% due 08/01/2027 | 35,368 | 35,817 | |||||||||
3.00% due April 30 TBA | 400,000 | 398,226 | |||||||||
3.50% due 03/01/2042 | 9,917 | 10,136 | |||||||||
3.50% due 08/01/2042 | 57,507 | 58,775 | |||||||||
3.50% due 09/01/2043 | 39,142 | 40,051 | |||||||||
3.50% due 10/01/2048 | 779,852 | 792,466 | |||||||||
4.00% due 03/01/2023 | 630 | 650 | |||||||||
4.00% due 09/01/2040 | 4,073 | 4,227 | |||||||||
4.00% due 10/01/2043 | 55,662 | 57,741 | |||||||||
4.00% due April 30 TBA | 600,000 | 617,613 | |||||||||
4.50% due 01/01/2039 | 1,613 | 1,706 | |||||||||
4.50% due April 30 TBA | 975,000 | 1,017,512 | |||||||||
5.00% due 12/01/2020 | 1,701 | 1,728 | |||||||||
5.00% due 05/01/2021 | 15,439 | 15,731 | |||||||||
5.00% due 07/01/2021 | 4,647 | 4,677 | |||||||||
5.00% due 05/01/2034 | 26,374 | 28,640 | |||||||||
5.50% due 05/01/2037 | 5,492 | 6,027 | |||||||||
5.50% due 06/01/2037 | 2,865 | 3,145 | |||||||||
6.50% due 05/01/2029 | 1,378 | 1,530 | |||||||||
6.50% due 07/01/2035 | 1,628 | 1,844 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.33% (6 ML+1.49%) due 02/01/2037 | 2,114 | 2,178 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.04% due 10/25/2047*(6)(7) | 80,000 | 79,879 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(6)(7) | 90,000 | 92,142 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(7) | 79,000 | 80,991 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(6)(7)(8) | 199,988 | 10,618 | |||||||||
Series K064, Class X1 0.61% due 03/25/2027(6)(7)(8) | 372,460 | 15,527 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 4.14% (1 ML+1.65%) due 04/25/2043*(4) | 26,274 | 26,441 |
79
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | $ | 5,602 | $ | 5,475 | |||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 21,992 | 22,279 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | 2,103 | 2,200 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 266 | 279 | |||||||||
3,471,209 | |||||||||||
Federal National Mtg. Assoc. — 11.4% | |||||||||||
2.50% due 04/01/2028 | 39,780 | 39,758 | |||||||||
2.50% due 02/01/2043 | 64,515 | 62,958 | |||||||||
2.50% due 03/01/2043 | 123,795 | 120,807 | |||||||||
2.66% due 03/01/2027 | 410,000 | 405,108 | |||||||||
2.88% due 11/01/2027 | 160,000 | 159,500 | |||||||||
3.00% due 10/01/2027 | 14,835 | 15,028 | |||||||||
3.00% due 12/01/2027 | 10,199 | 10,311 | |||||||||
3.00% due 01/01/2028 | 23,344 | 23,649 | |||||||||
3.16% due 08/01/2027 | 150,000 | 152,383 | |||||||||
3.50% due 11/01/2047 | 662,003 | 672,204 | |||||||||
3.50% due 12/01/2047 | 364,747 | 370,367 | |||||||||
3.50% due 03/01/2048 | 580,982 | 590,312 | |||||||||
4.00% due 11/01/2025 | 4,452 | 4,608 | |||||||||
4.00% due 09/01/2040 | 3,620 | 3,754 | |||||||||
4.00% due 12/01/2040 | 71,926 | 74,603 | |||||||||
4.00% due 11/01/2041 | 6,660 | 6,916 | |||||||||
4.00% due 01/01/2042 | 17,603 | 18,258 | |||||||||
4.00% due 12/01/2043 | 20,452 | 21,432 | |||||||||
4.00% due 02/01/2049 | 1,021,571 | 1,054,377 | |||||||||
4.50% due 01/01/2039 | 4,732 | 4,999 | |||||||||
4.50% due 09/01/2039 | 12,384 | 13,086 | |||||||||
4.50% due 09/01/2040 | 24,885 | 26,309 | |||||||||
4.50% due 05/01/2041 | 9,234 | 9,666 | |||||||||
5.00% due 06/01/2019 | 115 | 118 | |||||||||
5.00% due 05/01/2035 | 257 | 277 | |||||||||
5.00% due 07/01/2040 | 17,996 | 19,411 | |||||||||
5.50% due 10/01/2021 | 3,263 | 3,315 | |||||||||
5.50% due 06/01/2022 | 1,597 | 1,626 | |||||||||
5.50% due 12/01/2029 | 3,423 | 3,654 | |||||||||
5.50% due 05/01/2034 | 12,817 | 14,026 | |||||||||
5.50% due 08/01/2037 | 18,281 | 20,093 | |||||||||
5.50% due 06/01/2038 | 4,595 | 5,017 | |||||||||
6.00% due 06/01/2026 | 10,143 | 10,924 | |||||||||
6.00% due 04/01/2027 | 51,086 | 55,020 | |||||||||
6.00% due 12/01/2033 | 17,013 | 18,762 | |||||||||
6.00% due 05/01/2034 | 10,453 | 11,522 | |||||||||
6.50% due 06/01/2035 | 35,811 | 39,630 | |||||||||
6.50% due 10/01/2037 | 1,646 | 1,831 | |||||||||
7.00% due 06/01/2037 | 11,122 | 12,747 | |||||||||
4.00% due 04/10/2049 | 765,000 | 786,881 | |||||||||
5.00% due 04/10/2049 | 300,000 | 317,161 | |||||||||
Federal National Mtg. Assoc. FRS 4.34% (12 ML+1.57%) due 05/01/2037 | 3,515 | 3,660 | |||||||||
4.57% (12 ML+1.82%) due 10/01/2040 | 3,733 | 3,907 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 6.04% (1 ML+3.55%) due 07/25/2029(4) | $ | 35,000 | $ | 37,597 | |||||||
Series 2016-C07, Class 2M2 6.84% (1 ML+4.35%) due 05/25/2029(4) | 70,143 | 76,800 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | 7,295 | 7,181 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 18,779 | 18,266 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 37,993 | 37,201 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 41,538 | 41,174 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 34,976 | 34,696 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 51,724 | 51,846 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(4) | 14,101 | 14,169 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(4) | 31,457 | 31,543 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 49,551 | 49,452 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 49,396 | 49,297 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 54,454 | 54,571 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 21,953 | 22,664 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(4) | 55,648 | 56,881 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 55,041 | 56,215 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 58,461 | 59,574 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 45,077 | 47,143 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(4) | 51,435 | 52,722 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(4) | 45,526 | 46,106 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(4) | 45,188 | 46,159 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(4) | 72,318 | 73,635 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(4) | 25,148 | 25,748 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 55,048 | 56,440 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(4) | 50,556 | 51,552 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(4) | 48,000 | 48,902 | |||||||||
6,337,509 |
80
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. — 5.5% | |||||||||||
3.00% due April TBA | $ | 275,000 | $ | 276,182 | |||||||
3.50% due April TBA | 1,500,000 | 1,532,432 | |||||||||
4.00% due 09/15/2040 | 13,563 | 14,095 | |||||||||
4.00% due 11/15/2040 | 55,945 | 58,112 | |||||||||
4.00% due April TBA | 900,000 | 929,232 | |||||||||
4.50% due 02/15/2039 | 6,141 | 6,458 | |||||||||
4.50% due 08/15/2041 | 110,046 | 115,740 | |||||||||
5.50% due 05/15/2036 | 5,026 | 5,377 | |||||||||
6.00% due 09/15/2032 | 8,391 | 9,430 | |||||||||
6.00% due 12/15/2033 | 29,237 | 32,846 | |||||||||
7.00% due 07/15/2033 | 7,013 | 7,922 | |||||||||
7.00% due 11/15/2033 | 8,002 | 9,125 | |||||||||
8.00% due 11/15/2031 | 2,620 | 2,632 | |||||||||
9.00% due 11/15/2021 | 64 | 66 | |||||||||
Government National Mtg. Assoc. REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(4) | 76 | 82 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 5,606 | 6,229 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 56,277 | 54,478 | |||||||||
3,060,438 | |||||||||||
Total U.S. Government Agencies (cost $12,724,016) | 12,869,156 | ||||||||||
U.S. GOVERNMENT TREASURIES — 8.3% | |||||||||||
United States Treasury Bonds — 5.1% | |||||||||||
2.50% due 02/15/2045(12) | 213,000 | 200,969 | |||||||||
3.00% due 11/15/2045 | 170,000 | 176,428 | |||||||||
3.00% due 02/15/2047 | 108,000 | 112,071 | |||||||||
3.00% due 02/15/2048 | 120,000 | 124,158 | |||||||||
3.00% due 08/15/2048 | 185,000 | 191,504 | |||||||||
3.13% due 05/15/2048 | 200,000 | 212,070 | |||||||||
3.38% due 05/15/2044 | 155,000 | 171,329 | |||||||||
3.63% due 02/15/2044 | 450,000 | 517,658 | |||||||||
8.13% due 08/15/2021 | 975,000 | 1,105,216 | |||||||||
2,811,403 | |||||||||||
United States Treasury Notes — 3.2% | |||||||||||
0.38% due 07/15/2027 TIPS(11)(13) | 1,162,702 | 1,153,790 | |||||||||
0.88% due 01/15/2029 TIPS(11) | 194,378 | 200,556 | |||||||||
2.25% due 08/15/2027 | 195,000 | 193,134 | |||||||||
3.13% due 11/15/2028 | 215,000 | 228,060 | |||||||||
1,775,540 | |||||||||||
Total U.S. Government Treasuries (cost $4,548,704) | 4,586,943 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.7% | |||||||||||
Central Bank — 0.2% | |||||||||||
Banque Centrale de Tunisie International Bond Senior Notes 6.75% due 10/31/2023* | EUR | 100,000 | 108,698 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Sovereign — 0.5% | |||||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | $ | 70,000 | $ | 80,005 | |||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 16,000 | 17,039 | |||||||||
State of Qatar Senior Notes 4.00% due 03/14/2029* | 200,000 | 206,122 | |||||||||
303,166 | |||||||||||
Total Foreign Government Obligations (cost $410,288) | 411,864 | ||||||||||
OPTIONS — PURCHASED†(14) — 0.0% | |||||||||||
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $29,051) | 2,250,000 | 7,403 | |||||||||
Total Long-Term Investment Securities (cost $55,353,856) | 59,306,324 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.7% | |||||||||||
Foreign Government Obligations — 1.7% | |||||||||||
Government of Egypt Bills 17.26% due 11/19/2019 | EGP | 125,000 | 6,513 | ||||||||
Government of Egypt Bills 19.43% due 10/15/2019 | EGP | 850,000 | 44,943 | ||||||||
Government of Japan Bills (0.21)% due 05/27/2019 | JPY | 100,000,000 | 902,540 | ||||||||
Total Short-Term Investment Securities (cost $955,769) | 953,996 | ||||||||||
REPURCHASE AGREEMENTS — 1.7% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(16) | 220,000 | 220,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(16) | 105,000 | 105,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(16) | 190,000 | 190,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(16) | 205,000 | 205,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(16) | 210,000 | 210,000 | |||||||||
Total Repurchase Agreements (cost $930,000) | 930,000 | ||||||||||
TOTAL INVESTMENTS (cost $57,239,625)(17) | 110.4 | % | 61,190,320 | ||||||||
Liabilities in excess of other assets | (10.4 | ) | (5,762,764 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 55,427,556 |
81
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $11,881,224 representing 21.4% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | 10 | $ | 0 | $ | 8,972 | $ | 897.18 | 0.00 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Collateralized Mortgage Obligation
(5) Collateralized Loan Obligation
(6) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(7) Commercial Mortgage Backed Security
(8) Interest Only
(9) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2019.
(10) Security in default of interest.
(11) Principal amount of security is adjusted for inflation.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(14) Purchased Options
Over the Counter Purchased Put Options on Interest Rate Swap Contracts
Issue | Counterparty | Expiration Month | Strike Rate | Notional Amount(000's) | Premiums Paid | Value at March 31, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 3 Month USD LIBOR-BBA maturing on 12/09/2019 | Goldman Sachs International | December 2019 | 3.20 | % | $ | 1,070 | $ | 14,124 | $ | 1,601 | $ | (12,523 | ) | ||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.00% versus 3 Month USD LIBOR-BBA maturing on 03/18/2020 | Goldman Sachs International | March 2020 | 3.00 | 1,180 | 14,927 | 5,802 | (9,125 | ) | |||||||||||||||||||||||
$ | 29,051 | $ | 7,403 | $ | (21,648 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United State Dollar
(15) Denominated in United States dollars unless otherwise indicated.
(16) See Note 2 for details of Joint Repurchase Agreements.
(17) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Dollar
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
82
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2019 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 | Short | Australian 10 YR Bonds | June 2019 | $ | 193,880 | $ | 196,764 | $ | (2,884 | ) | |||||||||||||||||
1 | Short | Euro-Bund | June 2019 | 184,169 | 186,592 | (2,423 | ) | ||||||||||||||||||||
6 | Long | U.S. Treasury 2 Year Notes | June 2019 | 1,273,758 | 1,278,562 | 4,804 | |||||||||||||||||||||
23 | Long | U.S. Treasury 5 Year Notes | June 2019 | 2,640,117 | 2,664,047 | 23,930 | |||||||||||||||||||||
3 | Short | U.S. Treasury 10 Year Notes | June 2019 | 368,687 | 372,656 | (3,969 | ) | ||||||||||||||||||||
11 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2019 | 1,431,892 | 1,460,593 | (28,701 | ) | ||||||||||||||||||||
11 | Long | U.S. Treasury Ultra Bonds | June 2019 | 1,781,781 | 1,848,000 | 66,219 | |||||||||||||||||||||
$ | 56,976 |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current
value of the open contract.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | USD | 3,394 | EUR | 3,000 | 04/30/2019 | $ | — | $ | (21 | ) | |||||||||||||
Goldman Sachs International | EUR | 99,000 | USD | 112,742 | 06/19/2019 | 957 | — | ||||||||||||||||
JPMorgan Chase Bank | EUR | 383,000 | USD | 433,703 | 04/30/2019 | 3,054 | — | ||||||||||||||||
JPY | 100,000,000 | USD | 913,755 | 05/28/2019 | 7,521 | — | |||||||||||||||||
10,575 | — | ||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 11,532 | $ | (21 | ) |
EUR — Euro Currency
JPY — Japanese Yen
USD — United States Dollar
83
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 240 | 11/14/2026 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | 8,466 | |||||||||||||||
USD | 395 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (8,491 | ) | (5,049 | ) | |||||||||||||||
USD | 175 | 02/05/2049 | USD-LIBOR-BBA/Quarterly | 2.84%/Semi-annually | (677 | ) | (8,872 | ) | |||||||||||||||
$ | (9,168 | ) | $ | (5,455 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as March 31, 2019 (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 | $ | — | $ | — | $ | 8,972 | $ | 8,972 | |||||||||||
Other Industries | 17,626,707 | — | — | 17,626,707 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 2 | 2 | |||||||||||||||
Other Industries | — | 702,810 | — | 702,810 | |||||||||||||||
Asset Backed Securities | — | 12,459,172 | — | 12,459,172 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 361 | 5 | 366 | |||||||||||||||
Other Industries | — | 9,146,331 | — | 9,146,331 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,256,120 | — | 1,256,120 | |||||||||||||||
Municipal Bond & Notes | — | 230,478 | — | 230,478 | |||||||||||||||
U.S. Government Agencies | — | 12,869,156 | — | 12,869,156 | |||||||||||||||
U.S. Government Treasuries | — | 4,586,943 | — | 4,586,943 | |||||||||||||||
Foreign Government Obligations | — | 411,864 | — | 411,864 | |||||||||||||||
Options — Purchased | — | 7,403 | — | 7,403 | |||||||||||||||
Short-Term Investment Securities | — | 953,996 | — | 953,996 | |||||||||||||||
Repurchase Agreements | — | 930,000 | 930,000 | ||||||||||||||||
Total Investments at Value | $ | 17,626,707 | $ | 43,554,634 | $ | 8,979 | $ | 61,190,320 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 94,953 | $ | — | $ | — | $ | 94,953 | |||||||||||
Forward Foreign Currency Contracts | — | 11,532 | — | 11,532 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 8,466 | — | 8,466 | |||||||||||||||
Total Other Financial Instruments | $ | 94,953 | $ | 19,998 | $ | — | $ | 114,951 |
84
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 37,977 | $ | — | $ | — | $ | 37,977 | |||||||||||
Forward Foreign Currency Contracts | — | 21 | — | 21 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 13,921 | — | 13,921 | |||||||||||||||
Total Other Financial Instruments | $ | 37,977 | $ | 13,942 | $ | — | $ | 51,919 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no material Level 3 transfers during the reporting period.
See Notes to Financial Statements
85
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 29.8 | % | |||||
Federal National Mtg. Assoc. | 14.1 | ||||||
Federal Home Loan Mtg. Corp. | 8.2 | ||||||
Government National Mtg. Assoc. | 7.9 | ||||||
United States Treasury Bonds | 7.4 | ||||||
Diversified Banking Institutions | 5.1 | ||||||
United States Treasury Notes | 5.0 | ||||||
Foreign Government Obligations | 2.1 | ||||||
Electronic Components-Semiconductors | 1.8 | ||||||
Applications Software | 1.6 | ||||||
Tobacco | 1.6 | ||||||
Electric-Integrated | 1.3 | ||||||
E-Commerce/Products | 1.2 | ||||||
Cable/Satellite TV | 1.2 | ||||||
Finance-Credit Card | 1.2 | ||||||
Web Portals/ISP | 1.2 | ||||||
Telephone-Integrated | 1.1 | ||||||
Oil Companies-Exploration & Production | 1.1 | ||||||
Pipelines | 1.1 | ||||||
Real Estate Investment Trusts | 1.0 | ||||||
Medical-Drugs | 0.9 | ||||||
Medical-HMO | 0.8 | ||||||
Pharmacy Services | 0.8 | ||||||
Repurchase Agreements | 0.7 | ||||||
Brewery | 0.7 | ||||||
Sovereign | 0.7 | ||||||
Banks-Super Regional | 0.7 | ||||||
Broadcast Services/Program | 0.6 | ||||||
Computers | 0.6 | ||||||
Municipal Bonds & Notes | 0.6 | ||||||
Finance-Other Services | 0.6 | ||||||
Banks-Commercial | 0.6 | ||||||
Aerospace/Defense-Equipment | 0.5 | ||||||
Multimedia | 0.5 | ||||||
Internet Content-Entertainment | 0.5 | ||||||
Transport-Rail | 0.5 | ||||||
Retail-Restaurants | 0.5 | ||||||
Electric-Generation | 0.5 | ||||||
Beverages-Wine/Spirits | 0.5 | ||||||
Medical Products | 0.4 | ||||||
Electronic Forms | 0.4 | ||||||
Consulting Services | 0.4 | ||||||
Diversified Manufacturing Operations | 0.4 | ||||||
Cellular Telecom | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Medical-Biomedical/Gene | 0.4 | ||||||
Aerospace/Defense | 0.4 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Auto-Cars/Light Trucks | 0.3 | ||||||
Coatings/Paint | 0.3 | ||||||
Medical Instruments | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Athletic Footwear | 0.2 | ||||||
Therapeutics | 0.2 | ||||||
Commercial Services | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Metal-Iron | 0.2 | ||||||
Semiconductor Equipment | 0.2 | ||||||
Insurance Brokers | 0.2 |
Finance-Consumer Loans | 0.2 | % | |||||
Industrial Gases | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Computer Aided Design | 0.2 | ||||||
Cosmetics & Toiletries | 0.2 | ||||||
Electronic Components-Misc. | 0.2 | ||||||
Machinery-Farming | 0.2 | ||||||
Medical-Generic Drugs | 0.2 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Enterprise Software/Service | 0.1 | ||||||
Cruise Lines | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Computer Software | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Industrial Automated/Robotic | 0.1 | ||||||
Firearms & Ammunition | 0.1 | ||||||
Airlines | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Music | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
118.4 | % |
86
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 60.4 | % | |||||
Aa | 1.0 | ||||||
A | 6.7 | ||||||
Baa | 13.2 | ||||||
Ba | 3.7 | ||||||
B | 0.9 | ||||||
Caa | 0.7 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 13.2 | ||||||
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.
87
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 16.5% | |||||||||||
Aerospace/Defense — 0.3% | |||||||||||
Boeing Co. | 321 | $ | 122,436 | ||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
L3 Technologies, Inc. | 467 | 96,375 | |||||||||
Applications Software — 1.5% | |||||||||||
Microsoft Corp. | 4,520 | 533,089 | |||||||||
salesforce.com, Inc.† | 863 | 136,673 | |||||||||
669,762 | |||||||||||
Athletic Footwear — 0.2% | |||||||||||
NIKE, Inc., Class B | 1,251 | 105,347 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Aptiv PLC | 773 | 61,446 | |||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Constellation Brands, Inc., Class A | 402 | 70,483 | |||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery, Inc., Class C† | 1,788 | 45,451 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 1,438 | 50,402 | |||||||||
95,853 | |||||||||||
Building Products-Cement — 0.1% | |||||||||||
Vulcan Materials Co. | 433 | 51,267 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Liberty Broadband Corp., Class C† | 654 | 59,998 | |||||||||
Coatings/Paint — 0.2% | |||||||||||
Sherwin-Williams Co. | 180 | 77,528 | |||||||||
Commercial Services — 0.2% | |||||||||||
CoStar Group, Inc.† | 146 | 68,097 | |||||||||
ServiceMaster Global Holdings, Inc.† | 683 | 31,896 | |||||||||
99,993 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Worldpay, Inc., Class A† | 492 | 55,842 | |||||||||
Computer Aided Design — 0.2% | |||||||||||
Autodesk, Inc.† | 486 | 75,729 | |||||||||
Computer Software — 0.1% | |||||||||||
SS&C Technologies Holdings, Inc. | 763 | 48,595 | |||||||||
Computers — 0.6% | |||||||||||
Apple, Inc. | 1,432 | 272,008 | |||||||||
Consulting Services — 0.4% | |||||||||||
Gartner, Inc.† | 855 | 129,686 | |||||||||
Verisk Analytics, Inc. | 386 | 51,338 | |||||||||
181,024 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. | 797 | 46,114 | |||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
Estee Lauder Cos., Inc., Class A | 438 | 72,511 | |||||||||
Cruise Lines — 0.1% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 1,175 | 64,578 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Thermo Fisher Scientific, Inc. | 233 | $ | 63,777 | ||||||||
Diversified Manufacturing Operations — 0.3% | |||||||||||
Illinois Tool Works, Inc. | 534 | 76,645 | |||||||||
Parker-Hannifin Corp. | 432 | 74,140 | |||||||||
150,785 | |||||||||||
E-Commerce/Products — 1.1% | |||||||||||
Amazon.com, Inc.† | 256 | 455,872 | |||||||||
Wayfair, Inc., Class A† | 301 | 44,683 | |||||||||
500,555 | |||||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies Holding PLC† | 915 | 41,193 | |||||||||
Electronic Components-Semiconductors — 0.8% | |||||||||||
Microchip Technology, Inc. | 847 | 70,267 | |||||||||
NVIDIA Corp. | 749 | 134,490 | |||||||||
Texas Instruments, Inc. | 1,550 | 164,409 | |||||||||
369,166 | |||||||||||
Electronic Forms — 0.4% | |||||||||||
Adobe, Inc.† | 698 | 186,010 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Tyler Technologies, Inc.† | 293 | 59,889 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 1,407 | 44,883 | |||||||||
Finance-Credit Card — 1.0% | |||||||||||
Mastercard, Inc., Class A | 875 | 206,019 | |||||||||
Visa, Inc., Class A | 1,506 | 235,222 | |||||||||
441,241 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
TD Ameritrade Holding Corp. | 1,162 | 58,088 | |||||||||
Finance-Other Services — 0.2% | |||||||||||
CME Group, Inc. | 258 | 42,462 | |||||||||
Intercontinental Exchange, Inc. | 728 | 55,430 | |||||||||
97,892 | |||||||||||
Firearms & Ammunition — 0.1% | |||||||||||
Axon Enterprise, Inc.† | 782 | 42,549 | |||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 1,555 | 45,950 | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Worldwide Holdings, Inc. | 701 | 58,260 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 675 | 28,674 | |||||||||
Industrial Automated/Robotic — 0.1% | |||||||||||
Cognex Corp. | 893 | 45,418 | |||||||||
Industrial Gases — 0.2% | |||||||||||
Air Products & Chemicals, Inc. | 423 | 80,776 | |||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Progressive Corp. | 1,312 | 94,582 | |||||||||
Internet Content-Entertainment — 0.5% | |||||||||||
Facebook, Inc., Class A† | 743 | 123,851 | |||||||||
Netflix, Inc.† | 340 | 121,230 | |||||||||
245,081 |
88
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Farming — 0.2% | |||||||||||
Deere & Co. | 411 | $ | 65,694 | ||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Wabtec Corp. | 633 | 46,665 | |||||||||
Medical Instruments — 0.2% | |||||||||||
Boston Scientific Corp.† | 1,700 | 65,246 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Teladoc Health, Inc.† | 548 | 30,469 | |||||||||
Medical Products — 0.2% | |||||||||||
Abbott Laboratories | 756 | 60,435 | |||||||||
ICU Medical, Inc.† | 134 | 32,070 | |||||||||
92,505 | |||||||||||
Medical-Biomedical/Gene — 0.3% | |||||||||||
AnaptysBio, Inc.† | 397 | 29,001 | |||||||||
Gilead Sciences, Inc. | 487 | 31,660 | |||||||||
Insmed, Inc.† | 1,033 | 30,029 | |||||||||
Sage Therapeutics, Inc.† | 123 | 19,563 | |||||||||
110,253 | |||||||||||
Medical-Drugs — 0.6% | |||||||||||
AbbVie, Inc. | 1,293 | 104,203 | |||||||||
Bristol-Myers Squibb Co. | 919 | 43,845 | |||||||||
Eli Lilly & Co. | 400 | 51,904 | |||||||||
Merck & Co., Inc. | 756 | 62,877 | |||||||||
262,829 | |||||||||||
Medical-HMO — 0.5% | |||||||||||
Humana, Inc. | 259 | 68,894 | |||||||||
UnitedHealth Group, Inc. | 662 | 163,686 | |||||||||
232,580 | |||||||||||
Multimedia — 0.2% | |||||||||||
Walt Disney Co. | 926 | 102,814 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
EOG Resources, Inc. | 286 | 27,222 | |||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
Crown Castle International Corp. | 962 | 123,136 | |||||||||
Invitation Homes, Inc. | 749 | 18,223 | |||||||||
141,359 | |||||||||||
Retail-Restaurants — 0.4% | |||||||||||
Dunkin' Brands Group, Inc. | 363 | 27,261 | |||||||||
McDonald's Corp. | 355 | 67,415 | |||||||||
Starbucks Corp. | 1,218 | 90,546 | |||||||||
185,222 | |||||||||||
Semiconductor Equipment — 0.2% | |||||||||||
Lam Research Corp. | 514 | 92,011 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 4 | 3,589 | |||||||||
Therapeutics — 0.2% | |||||||||||
Mirati Therapeutics, Inc.† | 212 | 15,540 | |||||||||
Neurocrine Biosciences, Inc.† | 687 | 60,525 | |||||||||
Sarepta Therapeutics, Inc.† | 207 | 24,672 | |||||||||
100,737 |
Security Description | Shares/ Principal Amount(17) | Value (Note 2) | |||||||||
Tobacco — 0.4% | |||||||||||
Altria Group, Inc. | 2,747 | $ | 157,760 | ||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. | 1,413 | 105,721 | |||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc.† | 901 | 28,895 | |||||||||
Web Hosting/Design — 0.2% | |||||||||||
GoDaddy, Inc., Class A† | 1,049 | 78,874 | |||||||||
Web Portals/ISP — 1.2% | |||||||||||
Alphabet, Inc., Class C† | 446 | 523,296 | |||||||||
Total Common Stocks (cost $5,927,336) | 7,435,399 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 2.2% | |||||||||||
Banks-Commercial — 0.5% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(3) | EUR | 200,000 | 207,759 | ||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC 7.00% due 04/04/2079 | 70,000 | 71,032 | |||||||||
Diversified Banking Institutions — 1.6% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025(3) | 200,000 | 224,630 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(3) | 275,000 | 274,160 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(3) | EUR | 200,000 | 218,013 | ||||||||
716,803 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(1) | 8,000 | 1 | |||||||||
Total Preferred Securities/Capital Securities (cost $1,004,483) | 995,595 | ||||||||||
ASSET BACKED SECURITIES — 29.8% | |||||||||||
Diversified Financial Services — 29.8% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.66% (1 ML+0.17%) due 01/25/2037(4) | 29,823 | 28,951 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 4.02% (3 ML+1.25%) due 07/25/2029*(5) | 250,000 | 249,489 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-8A, Class AR 3.76% (3 ML+1.00%) due 07/28/2028*(5) | 250,000 | 248,311 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(4)(6) | 50,000 | 50,182 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 4.06% (1 ML+1.58%) due 10/25/2034 | 3,080 | 3,094 |
89
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Atrium XII FRS Series 12A, Class AR 3.59% (3 ML+0.83%) due 04/22/2027*(5) | $ | 250,000 | $ | 248,310 | |||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.90% (3 ML+1.12%) due 01/18/2025*(5) | 103,569 | 103,594 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(6)(7)(8) | 994,920 | 52,137 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(6) | 107,690 | 108,180 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(6) | 72,931 | 73,142 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(6) | 66,693 | 66,885 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(6) | 67,838 | 68,043 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(6) | 68,134 | 69,225 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(6) | 85,266 | 86,592 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 3.33% (1 ML+0.85%) due 08/15/2036*(7) | 153,000 | 152,255 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.43% due 02/25/2036(4)(6) | 109,145 | 102,222 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.69% (1 ML + 1.20%) due 10/25/2027*(4) | 150,000 | 149,907 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 3.78% (1 ML+ 1.30%) due 03/25/2029*(4) | 150,000 | 150,000 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(6)(7)(8) | 212,312 | 7,779 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.54% due 07/15/2051(6)(7)(8) | 370,082 | 13,676 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 10,750 | 10,747 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 5.03% (1 ML + 2.55%) due 12/15/2037*(7) | $ | 100,000 | $ | 100,562 | |||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.54% (3 ML+0.78%) due 04/27/2027*(5) | 250,000 | 248,735 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 4.00% (3 ML+1.23%) due 10/17/2029*(5) | 250,000 | 249,577 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.83% (3 ML+1.05%) due 04/24/2030*(5) | 250,000 | 247,673 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 10,834 | 10,811 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(6) | 103,609 | 103,011 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(7) | 120,000 | 124,481 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7) | 75,000 | 78,815 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.97% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 53,213 | 52,403 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 30,445 | 30,318 | |||||||||
Colombia Cent, Ltd. FRS Series 2018-27A, Class A1 3.64% (3 ML+1.15%) due 10/25/2028*(5) | 250,000 | 248,772 | |||||||||
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(4)(6) | 100,000 | 100,000 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7) | 75,000 | 78,525 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7) | 110,000 | 111,037 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7) | 155,000 | 159,052 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7) | 155,059 | 159,300 |
90
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7) | $ | 149,000 | $ | 155,946 | |||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 39,674 | 34,052 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.79% due 06/15/2057(6)(7)(8) | 1,185,118 | 43,565 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C4, Class A4 3.81% due 11/15/2048(7) | 125,000 | 129,895 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(6) | 46,608 | 45,500 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(4)(6) | 39,423 | 38,963 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 59,550 | 60,447 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.19% due 05/25/2035(4)(6) | 81,966 | 82,201 | |||||||||
Galaxy CLO, Ltd. FRS Series 2015-19A, Class A1R 4.00% (3 ML+1.22%) due 07/24/2030*(5) | 250,000 | 249,096 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7) | 160,000 | 160,208 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7) | 40,000 | 44,985 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(7) | 100,000 | 101,854 | |||||||||
GS Mtg. Securities Trust Series 2017-CS5, Class A4 3.67% due 03/10/2050(7) | 35,124 | 36,372 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(7) | 145,000 | 150,287 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7) | 140,000 | 146,365 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.15% due 03/25/2047(4)(6) | 20,766 | 18,529 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 4.65% due 04/25/2036(4)(6) | 7,896 | 6,981 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 4.09% (1 ML + 1.60%) due 10/25/2028*(4) | $ | 60,000 | $ | 60,113 | |||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 3.03% (1 ML+0.54%) due 05/25/2035(4) | 60,036 | 58,829 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7) | 64,000 | 66,500 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2017-C7, Class A5 3.41% due 10/15/2050(7) | 125,000 | 127,014 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(9) | 133,340 | 133,270 | |||||||||
Lendmark Funding Trust Series 2017-1A, Class A 2.83% due 12/22/2025* | 100,000 | 99,141 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 4.19% (1 ML+1.70%) due 03/01/2024*(4) | 100,000 | 100,066 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-8, Class A 4.15% (1 ML+1.65%) due 11/01/2022*(4) | 44,574 | 44,707 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.25% (1 ML+1.75%) due 09/01/2022*(4) | 42,890 | 42,904 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 3.93% (3 ML+1.16%) due 07/23/2029*(5) | 250,000 | 249,962 | |||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 4.27% (3 ML+1.50%) due 07/25/2026*(5) | 250,000 | 249,909 | |||||||||
Marlette Funding Trust Series 2017-3A, Class A 2.36% due 12/15/2024* | 18,873 | 18,847 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(6) | 12,496 | 12,890 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.56% due 12/25/2034(4)(6) | 22,798 | 23,381 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9) | 83,441 | 83,338 |
91
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.09% due 12/15/2047(6)(7)(8) | $ | 345,105 | $ | 12,039 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7) | 25,000 | 26,223 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.45% due 06/15/2050(6)(7)(8) | 128,361 | 10,228 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(7) | 105,000 | 106,529 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | 31,810 | 24,461 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.77% (1 ML+0.28%) due 10/25/2035(4) | 108,999 | 107,507 | |||||||||
New Residential Advance Receivables Trust Series 2016-T2, Class AT2 2.58% due 10/15/2049* | 57,500 | 57,320 | |||||||||
New Residential Advance Receivables Trust Series T1, Class AT1 3.21% due 02/15/2051* | 100,000 | 100,270 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A 4.00% due 12/25/2057*(6) | 80,204 | 81,864 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 3.24% (1 ML + 0.75%) due 01/25/2048*(4) | 118,561 | 117,719 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(6) | 77,690 | 78,546 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(6) | 70,382 | 71,106 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.99% (1 ML+1.50%) due 06/25/2057*(4) | 94,578 | 96,006 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(6) | 132,160 | 134,502 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(6) | $ | 134,412 | $ | 137,359 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(6) | 106,141 | 108,434 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(6) | 83,516 | 85,321 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(6) | 110,661 | 112,392 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(6) | 11,916 | 11,732 | |||||||||
NRZ Advance Receivables Trust Series 2016-T4, Class AT4 3.11% due 12/15/2050* | 110,000 | 110,092 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 76,899 | 76,564 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 75,511 | 75,473 | |||||||||
OCP CLO, Ltd. FRS Series 2015-9A, Class A1R 3.59% (3 ML+0.80%) due 07/15/2027*(5) | 250,000 | 248,453 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.62% (3 ML+0.85%) due 04/17/2027*(5) | 215,000 | 213,981 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 138,000 | 136,921 | |||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | 17,570 | 17,596 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.59% (1 ML+0.10%) due 02/25/2037 | 43,389 | 25,663 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.80% (3 ML+1.05%) due 04/30/2027*(5) | 250,000 | 248,425 | |||||||||
PMT Credit Risk Transfer Trust FRS Series 2019-1R, Class A 4.48% (1 ML+2.00%) due 03/27/2024*(4) | 100,000 | 100,239 |
92
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Prosper Marketplace Issuance Trust Series 2017-3A, Class A 2.36% due 11/15/2023* | $ | 8,063 | $ | 8,058 | |||||||
RFMSI Series Trust Series 2006-S1, Class 1A3 5.75% due 01/25/2036(4) | 1,520 | 1,450 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.62% (1 ML+0.13%) due 05/25/2037 | 106,265 | 81,537 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 37,659 | 37,660 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 41,813 | 41,506 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025* | 20,506 | 20,505 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.74% (1 ML+0.25%) due 11/25/2036 | 195,000 | 180,590 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 143,845 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 75,526 | 75,417 | |||||||||
TICP CLO III-2 Ltd FRS Series 2018-3R, Class A 3.60% (3 ML+0.84%) due 04/20/2028*(5) | 250,000 | 247,977 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(6) | 59,088 | 58,133 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(6) | 53,203 | 52,596 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(6) | 136,745 | 135,217 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(6) | 64,425 | 63,761 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(6) | 97,210 | 95,622 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(6) | 71,160 | 70,034 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(6) | 132,587 | 130,147 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 3.09% (1 ML+0.60%) due 02/25/2057* | $ | 85,069 | $ | 84,367 | |||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class ARR 3.83% (3 ML+1.07%) due 10/20/2028*(5) | 250,000 | 250,120 | |||||||||
Tryon Park CLO, Ltd. FRS Series 2013-1A, Class A1SR 3.68% (3 ML+0.89%) due 04/15/2029*(5) | 405,000 | 402,651 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(9) | 87,388 | 87,264 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(9) | 70,804 | 70,963 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048*(9) | 79,414 | 79,759 | |||||||||
VOLT LXXIII LLC Series 2018-NPL9, Class A1A 4.46% due 10/25/2048*(9) | 118,016 | 118,797 | |||||||||
VOLT LXXIV LLC Series 2018-NP10, Class A1A 4.58% due 11/25/2048*(9) | 128,473 | 129,544 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.68% (3 ML+0.90%) due 01/18/2029*(5) | 250,000 | 247,576 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.14% due 09/15/2057(6)(7)(8) | 971,025 | 42,134 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7) | 80,000 | 83,318 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(6)(7) | 10,000 | 9,438 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.75% due 10/25/2036(4)(6) | 27,227 | 26,922 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.83% due 11/25/2034(4)(6) | 1,080 | 1,101 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.94% due 01/25/2035(4)(6) | 64,994 | 65,980 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.15% due 03/25/2035(4)(6) | 47,621 | 48,827 |
93
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | $ | 49,375 | $ | 48,677 | |||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 85,008 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.78% due 02/15/2044*(6)(7)(8) | 494,112 | 5,895 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7) | 145,000 | 152,010 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7) | 130,000 | 136,174 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7) | 60,000 | 63,244 | |||||||||
Total Asset Backed Securities (cost $13,371,968) | 13,438,699 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 20.3% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 25,000 | 25,399 | |||||||||
Aerospace/Defense-Equipment — 0.3% | |||||||||||
United Technologies Corp. Senior Notes 2.80% due 05/04/2024 | 5,000 | 4,937 | |||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 110,000 | 112,911 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 30,000 | 31,158 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 5,304 | |||||||||
154,310 | |||||||||||
Airlines — 0.1% | |||||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 15,000 | 15,085 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 25,000 | 25,262 | |||||||||
40,347 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 20,000 | 20,408 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 20,000 | 20,859 | |||||||||
41,267 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Auto-Cars/Light Trucks — 0.3% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | $ | 15,000 | $ | 13,923 | |||||||
Ford Motor Co. Senior Notes 4.75% due 01/15/2043 | 10,000 | 7,837 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 8,379 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 5,000 | 4,570 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 5,000 | 4,847 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 45,000 | 46,934 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.95% due 04/13/2024 | 40,000 | 39,587 | |||||||||
126,077 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 40,000 | 40,476 | |||||||||
Banks-Super Regional — 0.7% | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 29,313 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 25,000 | 24,377 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 130,172 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 65,000 | 65,250 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 40,000 | 41,163 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 5,000 | 5,325 | |||||||||
295,600 | |||||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 30,000 | 29,618 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 15,000 | 14,661 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 25,000 | 26,246 |
94
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Beverages-Wine/Spirits (continued) | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 4.75% due 12/01/2025 | $ | 39,000 | $ | 41,576 | |||||||
112,101 | |||||||||||
Brewery — 0.7% | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.70% due 02/01/2036* | 15,000 | 14,985 | |||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046* | 10,000 | 10,044 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 38,942 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.15% due 01/23/2025 | 25,000 | 26,051 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 9,607 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 20,000 | 21,308 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 40,000 | 38,121 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 155,000 | 167,790 | |||||||||
326,848 | |||||||||||
Broadcast Services/Program — 0.4% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 36,000 | 36,292 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 19,000 | 19,149 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 15,000 | 15,790 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 20,000 | 19,445 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 35,000 | 38,409 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Broadcast Services/Program (continued) | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | $ | 50,000 | $ | 51,834 | |||||||
Liberty Interactive LLC Senior Notes 8.25% due 02/01/2030 | 20,000 | 20,400 | |||||||||
201,319 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 35,000 | 36,648 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 30,000 | 30,188 | |||||||||
Cable/Satellite TV — 1.0% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 65,000 | 68,587 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 35,000 | 36,560 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 30,000 | 33,630 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 9,093 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 20,000 | 20,916 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 5,000 | 4,872 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 50,000 | 53,119 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 15,000 | 15,832 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 15,000 | 16,057 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 10,000 | 11,030 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 63,000 | 62,714 |
95
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | $ | 5,000 | $ | 4,729 | |||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 10,000 | 9,000 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 25,000 | 25,775 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 50,000 | 43,701 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 46,120 | |||||||||
461,735 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Company Guar. Notes 7.00% due 03/01/2020* | 5,000 | 5,131 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 25,000 | 25,375 | |||||||||
30,506 | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | 70,000 | 73,201 | |||||||||
DowDuPont, Inc. Senior Notes 4.73% due 11/15/2028 | 60,000 | 64,824 | |||||||||
138,025 | |||||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 40,000 | 39,296 | |||||||||
Commercial Services-Finance — 0.3% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 110,000 | 112,182 | |||||||||
Computers — 0.0% | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 15,000 | 14,271 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,240 | |||||||||
19,511 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 60,000 | 57,300 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | $ | 45,000 | $ | 47,683 | |||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 25,000 | 25,704 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 10,000 | 9,647 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 10,002 | |||||||||
19,649 | |||||||||||
Diversified Banking Institutions — 3.4% | |||||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | 15,000 | 15,044 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 115,000 | 115,081 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 45,000 | 44,003 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 75,000 | 75,336 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 35,000 | 35,673 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 100,000 | 104,720 | |||||||||
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025 | 4,000 | 4,759 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 25,000 | 24,767 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 50,000 | 48,972 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 19,651 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.78% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,348 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 90,000 | 91,495 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 20,520 |
96
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | $ | 25,000 | $ | 25,686 | |||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 7,445 | |||||||||
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046 | 10,000 | 10,361 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 35,000 | 34,689 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 35,000 | 34,609 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 60,000 | 59,861 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 75,000 | 71,614 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 15,000 | 15,330 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 35,000 | 37,015 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 30,000 | 37,003 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 50,000 | 49,984 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 15,000 | 15,210 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 49,660 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 41,072 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | 50,000 | 51,356 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 4.01% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,451 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 25,000 | 24,837 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 40,000 | 39,817 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | $ | 16,000 | $ | 15,575 | |||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 85,000 | 84,357 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 15,000 | 15,035 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 39,988 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 50,000 | 51,461 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 2,000 | 2,052 | |||||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | 5,000 | 5,266 | |||||||||
1,530,103 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 25,040 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 2.80% due 08/22/2024 | 15,000 | 15,026 | |||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 50,000 | 51,970 | |||||||||
66,996 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 30,000 | 29,865 | |||||||||
Electric-Integrated — 1.3% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 5,000 | 5,067 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 20,000 | 19,863 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 20,000 | 19,858 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 45,000 | 41,878 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 14,340 |
97
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | $ | 15,000 | $ | 14,641 | |||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 49,946 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 45,000 | 46,580 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 90,000 | 89,168 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 30,153 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 50,000 | 50,181 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027(10) | 100,000 | 87,250 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034(10) | 45,000 | 44,663 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 15,000 | 16,194 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 9,956 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 30,000 | 29,384 | |||||||||
569,122 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 10,000 | 11,946 | |||||||||
Electronic Components-Semiconductors — 1.0% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 20,000 | 19,169 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 80,000 | 79,794 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 105,000 | 100,309 | |||||||||
Broadcom, Inc. Company Guar. Notes 3.13% due 04/15/2021* | 95,000 | 94,888 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | $ | 20,000 | $ | 21,135 | |||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 45,000 | 45,913 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 100,000 | 102,013 | |||||||||
463,221 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Fortive Corp. Senior Notes 2.35% due 06/15/2021 | 30,000 | 29,680 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 55,000 | 55,000 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 15,089 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 35,000 | 36,969 | |||||||||
Finance-Credit Card — 0.2% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 50,000 | 50,762 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 40,000 | 40,892 | |||||||||
91,654 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 10,000 | 190 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(1) | 9,000 | 1 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(1) | 11,000 | 1 | |||||||||
192 | |||||||||||
Finance-Other Services — 0.4% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 161,579 | |||||||||
Food-Misc./Diversified — 0.3% | |||||||||||
Conagra Brands, Inc. Senior Notes 3.80% due 10/22/2021 | 10,000 | 10,187 | |||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 40,000 | 41,507 |
98
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Food-Misc./Diversified (continued) | |||||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | $ | 5,000 | $ | 5,248 | |||||||
Conagra Brands, Inc. Senior Notes 5.30% due 11/01/2038 | 5,000 | 5,061 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026 | 35,000 | 32,624 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 5,000 | 4,325 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 50,000 | 51,432 | |||||||||
150,384 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 35,000 | 35,569 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 15,378 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 25,000 | 25,930 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 15,000 | 15,873 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 10,822 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,127 | |||||||||
88,130 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 26,000 | 26,910 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023 | 20,000 | 16,850 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,004 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 20,000 | 20,525 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
BWX Technologies, Inc. Company Guar. Notes 5.38% due 07/15/2026* | $ | 10,000 | $ | 10,150 | |||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 45,000 | 46,261 | |||||||||
Medical Products — 0.2% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 79,999 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 25,000 | 24,904 | |||||||||
104,903 | |||||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 29,896 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,010 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 25,000 | 25,466 | |||||||||
57,372 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 60,000 | 62,114 | |||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 15,000 | 14,583 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048 | 15,000 | 13,528 | |||||||||
28,111 | |||||||||||
Medical-HMO — 0.3% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 14,730 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 25,000 | 25,801 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 10,922 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 30,000 | 30,906 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 10,000 | 10,405 |
99
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | $ | 50,000 | $ | 52,192 | |||||||
144,956 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.13% due 08/01/2021 | 25,000 | 24,577 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 15,000 | 14,114 | |||||||||
38,691 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 35,000 | 34,531 | |||||||||
Multimedia — 0.3% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 70,000 | 72,771 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 15,000 | 13,486 | |||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | 60,000 | 59,756 | |||||||||
146,013 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 30,000 | 30,375 | |||||||||
Oil Companies-Exploration & Production — 0.8% | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 55,000 | 56,602 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 60,000 | 59,424 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,206 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 43,000 | 49,813 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 25,000 | 29,158 | |||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | 45,000 | 51,720 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 10,000 | 10,123 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | $ | 40,000 | $ | 39,707 | |||||||
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022 | 30,000 | 29,325 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 25,000 | 25,000 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024 | 25,000 | 25,250 | |||||||||
381,328 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028* | 20,000 | 19,801 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 35,000 | 34,243 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,046 | |||||||||
59,090 | |||||||||||
Pharmacy Services — 0.7% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028* | 145,000 | 150,404 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 28,000 | 28,336 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 65,000 | 66,732 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 30,000 | 30,222 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 35,570 | |||||||||
311,264 | |||||||||||
Pipelines — 1.0% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | 35,000 | 35,169 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 20,000 | 20,853 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 55,000 | 58,979 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | 10,000 | 11,201 |
100
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | $ | 15,000 | $ | 15,500 | |||||||
Energy Transfer Partners LP Company Guar. Notes 5.15% due 03/15/2045 | 10,000 | 9,612 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 12,000 | 11,133 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 30,000 | 30,304 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 20,000 | 19,876 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 25,000 | 25,157 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 10,000 | 9,553 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,073 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 10,000 | 10,070 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 15,000 | 14,870 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 45,000 | 44,342 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 9,769 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 10,000 | 10,204 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 45,000 | 46,545 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 45,000 | 44,624 | |||||||||
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028 | 20,000 | 20,302 | |||||||||
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048 | 5,000 | 4,874 | |||||||||
458,010 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Real Estate Investment Trusts — 0.7% | |||||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | $ | 30,000 | $ | 29,967 | |||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 25,000 | 26,090 | |||||||||
SBA Tower Trust Mtg. Notes Series 2014-1C 2.90% due 10/15/2044* | 100,000 | 99,885 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 84,542 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 70,000 | 70,430 | |||||||||
310,914 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 07/15/2025 | 30,000 | 30,675 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 60,000 | 60,259 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 4,426 | |||||||||
64,685 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.40% due 06/26/2023 | 55,000 | 56,630 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 35,000 | 35,719 | |||||||||
Telephone-Integrated — 0.6% | |||||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 15,422 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 31,000 | 31,356 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 70,000 | 71,510 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 5,000 | 4,926 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 20,000 | 20,479 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 60,000 | 62,418 |
101
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | $ | 15,000 | $ | 15,855 | |||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 26,000 | 26,489 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 15,000 | 16,044 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 15,000 | 16,874 | |||||||||
281,373 | |||||||||||
Tobacco — 1.2% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.85% due 08/09/2022 | 100,000 | 99,763 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.80% due 02/14/2024 | 10,000 | 10,178 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 16,421 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 15,000 | 15,417 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 30,000 | 30,927 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 95,000 | 100,474 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049 | 65,000 | 69,748 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020 | 50,000 | 49,488 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024 | 35,000 | 34,222 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.56% due 08/15/2027 | 50,000 | 47,340 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 55,000 | 49,211 | |||||||||
523,189 | |||||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 60,000 | 59,225 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 55,000 | 57,104 | |||||||||
116,329 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $9,030,687) | 9,150,682 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 2.9% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | $ | 15,000 | $ | 15,446 | |||||||
Cable/Satellite TV — 0.1% | |||||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 20,000 | 21,051 | |||||||||
Cellular Telecom — 0.2% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 70,000 | 71,150 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 34,939 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 15,000 | 14,254 | |||||||||
49,193 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
VOC Escrow, Ltd. Senior Sec. Notes 5.00% due 02/15/2028* | 5,000 | 4,862 | |||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 55,000 | 56,798 | |||||||||
Electric-Generation — 0.5% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 200,000 | 201,500 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 15,000 | 14,672 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 30,000 | 30,750 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 49,383 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023 | 55,000 | 49,068 | |||||||||
98,451 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 20,000 | 20,180 |
102
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Generic Drugs (continued) | |||||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | $ | 10,000 | $ | 8,999 | |||||||
29,179 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 75,000 | 81,525 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 11,475 | |||||||||
93,000 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 65,000 | 65,165 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 30,000 | 30,543 | |||||||||
95,708 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.50% due 01/23/2029 | 10,000 | 9,910 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 24,000 | 22,032 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,676,987 | 25,137 | ||||||||
57,079 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Company Guar. Notes 4.13% due 11/15/2025* | 30,000 | 31,049 | |||||||||
Pipelines — 0.1% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,298 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 20,000 | 20,933 | |||||||||
36,231 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 100,000 | 105,582 | |||||||||
Telephone-Integrated — 0.5% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028 | 45,000 | 45,496 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 3,000 | 2,753 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.52% due 03/01/2049 | $ | 150,000 | $ | 156,931 | |||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 36,510 | |||||||||
241,690 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 25,000 | 24,750 | |||||||||
Nokia OYJ Senior Notes 6.63% due 05/15/2039 | 20,000 | 21,350 | |||||||||
46,100 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,364,450) | 1,299,491 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.6% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 15,057 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 30,000 | 30,870 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 15,000 | 16,737 | |||||||||
City of Chicago, IL Series B | |||||||||||
General Obligation Bonds 7.38% due 01/01/2033 | 70,000 | 78,077 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 24,000 | 27,010 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 35,000 | 53,155 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 30,000 | 30,852 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,286 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,433 | |||||||||
Total Municipal Bonds & Notes (cost $259,902) | 272,477 | ||||||||||
U.S. GOVERNMENT AGENCIES — 30.2% | |||||||||||
Federal Home Loan Mtg. Corp. — 8.2% | |||||||||||
2.50% due 01/01/2028 | 5,862 | 5,861 | |||||||||
2.50% due 04/01/2028 | 12,353 | 12,350 | |||||||||
3.00% due 08/01/2027 | 4,986 | �� | 5,043 | ||||||||
3.00% due 10/01/2042 | 15,652 | 15,661 |
103
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.00% due 11/01/2042 | $ | 6,147 | $ | 6,150 | |||||||
3.00% due 02/01/2043 | 25,749 | 25,763 | |||||||||
3.00% due 08/01/2043 | 52,409 | 52,438 | |||||||||
3.00% due April TBA | 175,000 | 174,224 | |||||||||
3.50% due 02/01/2042 | 6,454 | 6,597 | |||||||||
3.50% due 03/01/2042 | 3,967 | 4,054 | |||||||||
3.50% due 09/01/2043 | 21,746 | 22,250 | |||||||||
3.50% due April TBA | 1,000,000 | 1,014,319 | |||||||||
4.00% due 03/01/2023 | 315 | 325 | |||||||||
4.00% due 10/01/2043 | 10,704 | 11,104 | |||||||||
4.00% due April TBA | 1,000,000 | 1,029,356 | |||||||||
4.50% due 01/01/2039 | 731 | 773 | |||||||||
4.50% due April TBA | 875,000 | 913,152 | |||||||||
5.00% due 12/01/2020 | 506 | 517 | |||||||||
5.00% due 07/01/2021 | 2,554 | 2,576 | |||||||||
5.00% due 05/01/2034 | 8,919 | 9,703 | |||||||||
5.50% due 07/01/2034 | 5,700 | 6,253 | |||||||||
5.50% due 07/01/2035 | 5,529 | 6,074 | |||||||||
5.50% due 04/01/2037 | 1,955 | 2,147 | |||||||||
5.50% due 05/01/2037 | 1,931 | 2,119 | |||||||||
5.50% due 08/01/2037 | 10,762 | 11,824 | |||||||||
6.50% due 05/01/2029 | 1,841 | 2,045 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.33% (6 ML+1.49%) due 02/01/2037 | 1,004 | 1,035 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.04% due 10/25/2047*(6)(7) | 90,000 | 89,864 | |||||||||
Series 2010-K8, Class B 5.28% due 09/25/2043*(6)(7) | 100,000 | 102,380 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(6)(7)(8) | 204,988 | 10,883 | |||||||||
Series K064, Class X1 0.61% due 03/25/2027(6)(7)(8) | 377,426 | 15,734 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(7) | 82,000 | 84,066 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 4.14% (1 ML+1.65%) due 04/25/2043*(4) | 26,274 | 26,441 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 773 | 755 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 22,245 | 22,535 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | $ | 3,364 | $ | 3,520 | |||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 373 | 391 | |||||||||
3,700,282 | |||||||||||
Federal National Mtg. Assoc. — 14.1% | |||||||||||
2.50% due 02/01/2043 | 129,030 | 125,915 | |||||||||
2.50% due 03/01/2043 | 125,261 | 122,237 | |||||||||
2.66% due 03/01/2027 | 210,000 | 207,352 | |||||||||
2.78% due 03/01/2027 | 74,700 | 74,466 | |||||||||
2.88% due 11/01/2027 | 155,111 | 154,626 | |||||||||
2.97% due 06/01/2027 | 130,801 | 132,581 | |||||||||
3.00% due 01/01/2028 | 8,754 | 8,868 | |||||||||
3.00% due April TBA | 125,000 | 126,150 | |||||||||
3.16% due 08/01/2027 | 150,000 | 152,383 | |||||||||
3.50% due 11/01/2047 | 756,573 | 768,232 | |||||||||
3.50% due April TBA | 925,000 | 937,537 | |||||||||
4.00% due 11/01/2040 | 51,436 | 53,346 | |||||||||
4.00% due 11/01/2041 | 2,616 | 2,717 | |||||||||
4.00% due 10/01/2043 | 46,122 | 47,735 | |||||||||
4.00% due 11/01/2043 | 6,031 | 6,253 | |||||||||
4.00% due 12/01/2043 | 30,428 | 31,886 | |||||||||
4.00% due 02/01/2049 | 1,046,488 | 1,080,094 | |||||||||
4.00% due April TBA | 390,000 | 401,155 | |||||||||
4.50% due 01/01/2039 | 1,893 | 2,000 | |||||||||
4.50% due 06/01/2039 | 29,094 | 30,664 | |||||||||
4.50% due 05/01/2041 | 4,824 | 5,049 | |||||||||
5.00% due 06/01/2019 58 59 5.00% due 07/01/2040 | 18,326 | 19,766 | |||||||||
5.50% due 06/01/2020 | 18,108 | 18,197 | |||||||||
5.50% due 07/01/2020 | 1,745 | 1,747 | |||||||||
5.50% due 03/01/2021 | 4,830 | 4,880 | |||||||||
5.50% due 04/01/2021 | 4,720 | 4,771 | |||||||||
5.50% due 06/01/2021 | 22,575 | 22,831 | |||||||||
5.50% due 10/01/2021 | 10,567 | 10,713 | |||||||||
5.50% due 12/01/2021 | 24,102 | 24,335 | |||||||||
5.50% due 06/01/2022 | 31,715 | 32,191 | |||||||||
5.50% due 12/01/2029 | 1,104 | 1,179 | |||||||||
5.50% due 05/01/2034 | 2,544 | 2,784 | |||||||||
5.50% due 08/01/2037 | 6,094 | 6,698 | |||||||||
5.50% due 06/01/2038 | 551 | 602 | |||||||||
5.50% due April TBA | 200,000 | 213,532 | |||||||||
6.00% due 06/01/2026 | 10,143 | 10,924 | |||||||||
6.00% due 03/01/2027 | 12,968 | 13,967 | |||||||||
6.00% due 12/01/2033 | 1,511 | 1,666 | |||||||||
6.00% due 05/01/2034 | 5,945 | 6,553 | |||||||||
6.00% due 08/01/2034 | 482 | 532 | |||||||||
6.00% due 06/01/2040 | 3,091 | 3,410 | |||||||||
6.00% due April TBA | 300,000 | 323,279 | |||||||||
6.50% due 11/01/2035 | 2,842 | 3,195 | |||||||||
6.50% due 10/01/2037 | 935 | 1,041 | |||||||||
7.00% due 06/01/2037 | 11,122 | 12,747 | |||||||||
Federal National Mtg. Assoc. FRS 4.34% (12 ML+1.57%) due 05/01/2037 | 1,725 | 1,797 | |||||||||
4.57% (12 ML+1.82%) due 10/01/2040 | 1,778 | 1,861 |
104
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 6.04% (1 ML+3.55%) due 07/25/2029(4) | $ | 35,000 | $ | 37,597 | |||||||
Series 2016-C07, Class 2M2 6.84% (1 ML+4.35%) due 05/25/2029(4) | 70,142 | 76,799 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | 5,031 | 4,952 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 18,779 | 18,266 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 37,993 | 37,201 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 41,538 | 41,174 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(4) | 14,101 | 14,169 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 34,976 | 34,696 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 52,378 | 52,502 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(4) | 31,457 | 31,543 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 49,551 | 49,452 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 49,396 | 49,297 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 58,643 | 58,769 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 21,953 | 22,664 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(4) | 55,648 | 56,881 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 55,041 | 56,215 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 58,461 | 59,574 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 45,077 | 47,143 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(4) | 51,435 | 52,722 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(4) | 50,079 | 50,717 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(4) | 49,706 | 50,774 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(4) | 72,318 | 73,635 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(4) | 25,148 | 25,748 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 55,048 | 56,440 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(4) | 50,556 | 51,552 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(4) | 52,000 | 52,977 | |||||||||
6,379,962 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. — 7.9% | |||||||||||
3.00% due April TBA | $ | 700,000 | $ | 703,008 | |||||||
3.50% due April TBA | 1,085,000 | 1,108,459 | |||||||||
4.00% due 10/15/2040 | 17,769 | 18,612 | |||||||||
4.00% due 02/15/2041 | 8,898 | 9,207 | |||||||||
4.00% due 09/15/2041 | 12,257 | 12,736 | |||||||||
4.00% due 10/15/2041 | 6,341 | 6,553 | |||||||||
4.00% due April TBA | 900,000 | 929,232 | |||||||||
4.50% due 06/15/2041 | 132,892 | 139,752 | |||||||||
5.00% due 01/15/2033 | 1,389 | 1,485 | |||||||||
5.00% due 01/15/2040 | 46,875 | 50,044 | |||||||||
5.00% due April TBA | 300,000 | 312,954 | |||||||||
5.50% due 04/15/2036 | 80,170 | 86,193 | |||||||||
6.00% due 02/15/2033 | 14,878 | 16,025 | |||||||||
6.50% due 07/15/2028 | 58,429 | 64,144 | |||||||||
6.50% due 08/15/2028 | 3,848 | 4,225 | |||||||||
6.50% due 09/15/2028 | 6,982 | 7,793 | |||||||||
6.50% due 11/15/2028 | 9,909 | 10,879 | |||||||||
7.00% due 01/15/2033 | 4,993 | 5,713 | |||||||||
7.00% due 05/15/2033 | 6,859 | 7,815 | |||||||||
7.00% due 11/15/2033 | 3,129 | 3,568 | |||||||||
8.00% due 02/15/2030 | 1,204 | 1,247 | |||||||||
9.00% due 11/15/2021 | 71 | 74 | |||||||||
Government National Mtg. Assoc. REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(4) | 164 | 177 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 56,277 | 54,478 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 2,056 | 2,284 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(4) | 1,536 | 1,751 | |||||||||
3,558,408 | |||||||||||
Total U.S. Government Agencies (cost $13,506,250) | 13,638,652 | ||||||||||
U.S. GOVERNMENT TREASURIES — 12.4% | |||||||||||
United States Treasury Bonds — 7.4% | |||||||||||
2.25% due 08/15/2046 | 225,000 | 200,637 | |||||||||
2.50% due 02/15/2045(13) | 150,000 | 141,527 | |||||||||
3.00% due 05/15/2045(14) | 370,000 | 383,890 | |||||||||
3.00% due 11/15/2045 | 202,000 | 209,638 | |||||||||
3.00% due 02/15/2048 | 365,000 | 377,647 | |||||||||
3.13% due 05/15/2048 | 300,000 | 318,106 | |||||||||
3.38% due 05/15/2044 | 95,000 | 105,008 | |||||||||
3.63% due 08/15/2043 | 105,000 | 120,635 | |||||||||
3.63% due 02/15/2044 | 105,000 | 120,787 | |||||||||
3.75% due 11/15/2043 | 105,000 | 123,092 | |||||||||
5.00% due 05/15/2037 | 256,000 | 346,050 | |||||||||
8.13% due 08/15/2021 | 590,000 | 668,797 | |||||||||
3,115,814 |
105
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes — 5.0% | |||||||||||
0.38% due 07/15/2027 TIPS(12) | $ | 1,172,992 | $ | 1,164,001 | |||||||
0.88% due 01/15/2029 TIPS(12) | 199,362 | 205,698 | |||||||||
1.88% due 01/31/2022 | 260,000 | 257,369 | |||||||||
2.00% due 02/15/2025 | 230,000 | 226,235 | |||||||||
2.25% due 08/15/2027 | 130,000 | 128,756 | |||||||||
2.88% due 05/15/2028 | 245,000 | 254,484 | |||||||||
3.13% due 11/15/2028 | 215,000 | 228,060 | |||||||||
2,464,603 | |||||||||||
Total U.S. Government Treasuries (cost $5,478,916) | 5,580,417 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.7% | |||||||||||
Sovereign — 0.7% | |||||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 70,000 | 80,005 | |||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 16,000 | 17,039 | |||||||||
State of Qatar Senior Notes 4.00% due 03/14/2029* | 200,000 | 206,122 | |||||||||
Total Foreign Government Obligations (cost $297,827) | 303,166 | ||||||||||
OPTIONS — PURCHASED†(11) — 0.0% | |||||||||||
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $29,449) | 2,281,000 | 7,521 | |||||||||
Total Long-Term Investment Securities (cost $50,271,268) | 52,122,099 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.1% | |||||||||||
Foreign Government Obligations — 2.1% | |||||||||||
Government of Egypt Bills 17.26% due 11/19/2019 | EGP | 150,000 | 7,815 | ||||||||
Government of Egypt Bills 19.43% due 10/15/2019 | EGP | 850,000 | 44,944 | ||||||||
Government of Japan Bills (0.21)% due 05/27/2019 | JPY | 100,000,000 | 902,540 | ||||||||
Total Short-Term Investment Securities (cost $957,062) | 955,299 | ||||||||||
REPURCHASE AGREEMENTS — 0.7% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | 85,000 | 85,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 35,000 | 35,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 70,000 | 70,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 75,000 | 75,000 |
Security Description | Principal Amount(17) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | $ | 75,000 | $ | 75,000 | |||||||
Total Repurchase Agreements (cost $340,000) | 340,000 | ||||||||||
TOTAL INVESTMENTS (cost $51,568,330)(16) | 118.4 | % | 53,417,398 | ||||||||
Liabilities in excess of other assets | (18.4 | ) | (8,309,514 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 45,107,884 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $12,296,629 representing 27.3% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | $ | 3,589 | $ | 897.18 | 0.01 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Collateralized Mortgage Obligation
(5) Collateralized Loan Obligation
(6) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(7) Commercial Mortgage Backed Security
(8) Interest Only
(9) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2019.
(10) Security in default of interest.
(11) Purchased Options
106
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Over the Counter Purchased Put Options on Interest Rate Swap Contracts
Issue | Counterparty | Expiration Month | Strike Rate | Notional Amount(000's) | Premiums Paid | Value at March 31, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 3 Month USD LIBOR-BBA maturing on 12/09/2019 | Goldman Sachs International | December 2019 | 3.20 | % | $ | 1,080 | $ | 14,256 | $ | 1,616 | $ | (12,640 | ) | ||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.00% versus 3 Month USD LIBOR-BBA maturing on 03/18/2020 | Goldman Sachs International | March 2020 | 3.00 | 1,201 | 15,193 | 5,905 | (9,288 | ) | |||||||||||||||||||||||
$ | 29,449 | $ | 7,521 | $ | (21,928 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(12) Principal amount of security is adjusted for inflation.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(14) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(15) See Note 2 for details of Joint Repurchase Agreements.
(16) See Note 4 for cost of investments on a tax basis.
(17) Denominated in United States dollars unless otherwise indicated.
ARS — Argentine Peso
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Currency
JPY — Japanese Yen
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2019 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 | Short | Australian 10 Year Bonds | June 2019 | $ | 193,880 | $ | 196,764 | $ | (2,884 | ) | |||||||||||||||||
1 | Short | Euro Bund | June 2019 | 184,169 | 186,592 | (2,423 | ) | ||||||||||||||||||||
7 | Long | U.S. Treasury 2 Year Notes | June 2019 | 1,486,047 | 1,491,656 | 5,609 | |||||||||||||||||||||
16 | Long | U.S. Treasury 5 Year Notes | June 2019 | 1,838,469 | 1,853,250 | 14,781 | |||||||||||||||||||||
8 | Short | U.S. Treasury 10 Year Notes | June 2019 | 981,514 | 993,750 | (12,236 | ) | ||||||||||||||||||||
11 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2019 | 1,431,892 | 1,460,594 | (28,702 | ) | ||||||||||||||||||||
7 | Long | U.S. Treasury Ultra Bonds | June 2019 | 1,133,070 | 1,176,000 | 42,930 | |||||||||||||||||||||
$ | 17,075 |
* 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 — March 31, 2019 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | USD | 2,263 | EUR | 2,000 | 04/30/2019 | $ | — | $ | (14 | ) | |||||||||||||
JPMorgan Chase Bank | EUR | 384,000 | USD | 434,836 | 04/30/2019 | 3,062 | — | ||||||||||||||||
JPY | 100,000,000 | USD | 913,755 | 05/28/2019 | 7,521 | — | |||||||||||||||||
10,583 | — | ||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 10,583 | $ | (14 | ) |
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 | $ | 8,071 | $ | 21,075 | |||||||||||||||
USD | 295 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (6,341 | ) | (3,771 | ) | |||||||||||||||
USD | 175 | 02/05/2049 | USD-LIBOR-BBA/Quarterly | 2.84%/Semi-annually | (677 | ) | (8,871 | ) | |||||||||||||||
$ | 1,053 | $ | 8,433 |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | — | $ | — | $ | 3,589 | $ | 3,589 | |||||||||||
Other Industries | 7,431,810 | — | — | 7,431,810 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 995,594 | — | 995,594 | |||||||||||||||
Asset Backed Securities | — | 13,438,699 | — | 13,438,699 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 190 | 2 | 192 | |||||||||||||||
Other Industries | — | 9,150,490 | — | 9,150,490 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,299,491 | — | 1,299,491 | |||||||||||||||
Municipal Bond & Notes | — | 272,477 | — | 272,477 | |||||||||||||||
U.S. Government Agencies | — | 13,638,652 | — | 13,638,652 | |||||||||||||||
U.S. Government Treasuries | — | 5,580,417 | — | 5,580,417 | |||||||||||||||
Foreign Government Obligations | — | 303,166 | — | 303,166 | |||||||||||||||
Options — Purchased | — | 7,521 | — | 7,521 | |||||||||||||||
Short-Term Investment Securities | — | 955,299 | — | 955,299 | |||||||||||||||
Repurchase Agreements | — | 340,000 | — | 340,000 | |||||||||||||||
Total Investments at Value | $ | 7,431,810 | $ | 45,981,996 | $ | 3,592 | $ | 53,417,398 |
108
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 63,320 | $ | — | $ | — | $ | 63,320 | |||||||||||
Forward Foreign Currency Contracts | — | 10,583 | — | 10,583 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 21,075 | — | 21,075 | |||||||||||||||
Total Other Financial Instruments | $ | 63,320 | $ | 31,658 | $ | — | $ | 94,978 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 46,245 | $ | — | $ | — | $ | 46,245 | |||||||||||
Forward Foreign Currency Contracts | — | 14 | — | 14 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 12,642 | — | 12,642 | |||||||||||||||
Total Other Financial Instruments | $ | 46,245 | $ | 12,656 | $ | — | $ | 58,901 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no material Level 3 transfers during the reporting period.
See Notes to Financial Statements
109
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Repurchase Agreements | 6.5 | % | |||||
Medical-Drugs | 4.4 | ||||||
Diversified Banking Institutions | 4.3 | ||||||
United States Treasury Notes | 3.6 | ||||||
Commercial Paper | 2.8 | ||||||
Oil Companies-Integrated | 2.4 | ||||||
Real Estate Investment Trusts | 2.4 | ||||||
Web Portals/ISP | 2.2 | ||||||
Exchange-Traded Funds | 2.1 | ||||||
Telephone-Integrated | 2.1 | ||||||
Diversified Financial Services | 2.0 | ||||||
Aerospace/Defense | 1.9 | ||||||
Retail-Building Products | 1.9 | ||||||
Beverages-Non-alcoholic | 1.8 | ||||||
Electric-Integrated | 1.8 | ||||||
Applications Software | 1.8 | ||||||
Banks-Commercial | 1.7 | ||||||
E-Commerce/Products | 1.5 | ||||||
Computers | 1.5 | ||||||
Retail-Restaurants | 1.5 | ||||||
Insurance-Life/Health | 1.5 | ||||||
Electronic Components-Semiconductors | 1.4 | ||||||
Computer Services | 1.4 | ||||||
Medical-Biomedical/Gene | 1.4 | ||||||
Networking Products | 1.4 | ||||||
Enterprise Software/Service | 1.3 | ||||||
Insurance-Multi-line | 1.2 | ||||||
United States Treasury Bonds | 1.2 | ||||||
Oil Companies-Exploration & Production | 1.2 | ||||||
Medical Products | 1.2 | ||||||
Oil Refining & Marketing | 1.1 | ||||||
Airlines | 1.1 | ||||||
Chemicals-Diversified | 1.0 | ||||||
Electronic Forms | 0.9 | ||||||
Food-Misc./Diversified | 0.8 | ||||||
Medical Instruments | 0.7 | ||||||
Federal National Mtg. Assoc. | 0.7 | ||||||
Semiconductor Components-Integrated Circuits | 0.7 | ||||||
Retail-Apparel/Shoe | 0.7 | ||||||
Internet Content-Entertainment | 0.7 | ||||||
Cosmetics & Toiletries | 0.7 | ||||||
Government National Mtg. Assoc. | 0.6 | ||||||
Medical-HMO | 0.6 | ||||||
Commercial Services-Finance | 0.6 | ||||||
Non-Hazardous Waste Disposal | 0.6 | ||||||
E-Commerce/Services | 0.6 | ||||||
Instruments-Controls | 0.6 | ||||||
Medical-Wholesale Drug Distribution | 0.6 | ||||||
Finance-Credit Card | 0.5 | ||||||
Retail-Drug Store | 0.5 | ||||||
Transport-Rail | 0.5 | ||||||
Real Estate Operations & Development | 0.5 | ||||||
Electronic Measurement Instruments | 0.5 | ||||||
Retail-Discount | 0.5 | ||||||
Auto-Cars/Light Trucks | 0.5 | ||||||
Banks-Super Regional | 0.5 | ||||||
Investment Management/Advisor Services | 0.4 | ||||||
Metal-Diversified | 0.4 | ||||||
Cellular Telecom | 0.4 | ||||||
Pipelines | 0.4 |
Food-Retail | 0.4 | % | |||||
Hotels/Motels | 0.4 | ||||||
Independent Power Producers | 0.4 | ||||||
Containers-Paper/Plastic | 0.4 | ||||||
Advertising Agencies | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Engines-Internal Combustion | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Food-Wholesale/Distribution | 0.3 | ||||||
Casino Hotels | 0.3 | ||||||
Import/Export | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Diversified Manufacturing Operations | 0.3 | ||||||
Semiconductor Equipment | 0.3 | ||||||
Medical-Hospitals | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Data Processing/Management | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Internet Application Software | 0.3 | ||||||
Apparel Manufacturers | 0.3 | ||||||
Brewery | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Finance-Leasing Companies | 0.3 | ||||||
Auto-Heavy Duty Trucks | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Steel-Producers | 0.2 | ||||||
Office Automation & Equipment | 0.2 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Tobacco | 0.2 | ||||||
Metal-Copper | 0.2 | ||||||
Telecommunication Equipment | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
Broadcast Services/Program | 0.2 | ||||||
Industrial Automated/Robotic | 0.2 | ||||||
Entertainment Software | 0.2 | ||||||
Food-Confectionery | 0.2 | ||||||
Building-Heavy Construction | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Internet Infrastructure Software | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Audio/Video Products | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Television | 0.2 | ||||||
Insurance-Reinsurance | 0.2 | ||||||
Pharmacy Services | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Multimedia | 0.2 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Diversified Minerals | 0.1 | ||||||
Machinery-Material Handling | 0.1 | ||||||
Toys | 0.1 | ||||||
E-Services/Consulting | 0.1 |
110
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Publishing-Periodicals | 0.1 | % | |||||
Finance-Other Services | 0.1 | ||||||
Water Treatment Systems | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Private Equity | 0.1 | ||||||
Radio | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Internet Content-Information/News | 0.1 | ||||||
Diversified Operations | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Patient Monitoring Equipment | 0.1 | ||||||
Soap & Cleaning Preparation | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Retail-Hypermarkets | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Municipal Bonds & Notes | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Food-Baking | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Physical Therapy/Rehabilitation Centers | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Theaters | 0.1 | ||||||
Federal Home Loan Mtg. Corp. | 0.1 | ||||||
100.5 | % |
* Calculated as a percentage of net assets
111
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 73.3% | |||||||||||
Advertising Agencies — 0.3% | |||||||||||
Omnicom Group, Inc. | 5,849 | $ | 426,919 | ||||||||
Aerospace/Defense — 1.9% | |||||||||||
Boeing Co. | 5,602 | 2,136,715 | |||||||||
Lockheed Martin Corp. | 2,936 | 881,270 | |||||||||
Raytheon Co. | 398 | 72,468 | |||||||||
Teledyne Technologies, Inc.† | 324 | 76,791 | |||||||||
3,167,244 | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
Safran SA | 83 | 11,389 | |||||||||
Agricultural Chemicals — 0.2% | |||||||||||
CF Industries Holdings, Inc. | 6,943 | 283,830 | |||||||||
Airlines — 1.1% | |||||||||||
Azul SA ADR† | 1,786 | 52,169 | |||||||||
Delta Air Lines, Inc. | 13,486 | 696,552 | |||||||||
Deutsche Lufthansa AG | 1,203 | 26,400 | |||||||||
International Consolidated Airlines Group SA | 27,942 | 186,045 | |||||||||
Japan Airlines Co., Ltd. | 4,100 | 144,420 | |||||||||
United Continental Holdings, Inc.† | 8,534 | 680,843 | |||||||||
1,786,429 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
Aena SME SA* | 1,096 | 197,413 | |||||||||
Apparel Manufacturers — 0.3% | |||||||||||
Capri Holdings, Ltd.† | 1,554 | 71,095 | |||||||||
Hermes International | 408 | 269,637 | |||||||||
Kering SA | 116 | 66,712 | |||||||||
Moncler SpA | 897 | 36,256 | |||||||||
443,700 | |||||||||||
Applications Software — 1.7% | |||||||||||
Intuit, Inc. | 3,823 | 999,370 | |||||||||
Microsoft Corp. | 14,939 | 1,761,906 | |||||||||
2,761,276 | |||||||||||
Audio/Video Products — 0.2% | |||||||||||
Dolby Laboratories, Inc., Class A | 710 | 44,709 | |||||||||
Sony Corp. | 5,600 | 235,701 | |||||||||
280,410 | |||||||||||
Auto-Cars/Light Trucks — 0.4% | |||||||||||
Fiat Chrysler Automobiles NV† | 6,309 | 94,336 | |||||||||
Mitsubishi Motors Corp. | 4,000 | 21,331 | |||||||||
Peugeot SA | 10,772 | 263,333 | |||||||||
Suzuki Motor Corp. | 800 | 35,480 | |||||||||
Toyota Motor Corp. | 3,100 | 181,832 | |||||||||
Volkswagen AG (Preference Shares) | 382 | 60,124 | |||||||||
656,436 | |||||||||||
Auto-Heavy Duty Trucks — 0.2% | |||||||||||
Volvo AB, Class B | 18,466 | 285,459 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Allison Transmission Holdings, Inc. | 3,831 | 172,089 | |||||||||
Faurecia SA | 3,534 | 149,368 | |||||||||
Lear Corp. | 1,488 | 201,936 | |||||||||
523,393 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial — 1.5% | |||||||||||
ABN AMRO Group NV CVA* | 8,524 | $ | 192,453 | ||||||||
Absa Group, Ltd. | 6,866 | 72,429 | |||||||||
Abu Dhabi Commercial Bank PJSC | 39,189 | 101,179 | |||||||||
Bank Leumi Le-Israel B.M. | 9,144 | 59,969 | |||||||||
Bank Tabungan Pensiunan Nasional Syariah Tbk PT† | 667,000 | 103,510 | |||||||||
China Construction Bank Corp. | 114,000 | 97,726 | |||||||||
Citizens Financial Group, Inc. | 11,948 | 388,310 | |||||||||
Commercial International Bank Egypt SAE GDR | 19,617 | 76,210 | |||||||||
Credicorp, Ltd. | 634 | 152,128 | |||||||||
DNB ASA | 1,502 | 27,670 | |||||||||
East West Bancorp, Inc. | 1,888 | 90,567 | |||||||||
Grupo Financiero Galicia SA ADR | 2,003 | 51,117 | |||||||||
Hang Seng Bank, Ltd. | 8,500 | 209,724 | |||||||||
HDFC Bank, Ltd. | 5,674 | 189,541 | |||||||||
Itau Unibanco Holding SA ADR | 7,115 | 62,683 | |||||||||
KBC Group NV | 685 | 47,902 | |||||||||
National Bank of Kuwait SAKP | 1,681 | 4,975 | |||||||||
Popular, Inc. | 1,635 | 85,233 | |||||||||
Resona Holdings, Inc. | 43,200 | 187,543 | |||||||||
Sberbank of Russia PJSC ADR | 4,422 | 58,670 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 2,000 | 71,975 | |||||||||
Swedbank AB, Class A | 9,789 | 138,342 | |||||||||
Wintrust Financial Corp. | 1,052 | 70,831 | |||||||||
2,540,687 | |||||||||||
Banks-Super Regional — 0.4% | |||||||||||
Comerica, Inc. | 4,359 | 319,602 | |||||||||
Moneta Money Bank AS* | 25,485 | 87,935 | |||||||||
Wells Fargo & Co. | 4,093 | 197,774 | |||||||||
605,311 | |||||||||||
Beverages-Non-alcoholic — 1.7% | |||||||||||
Coca-Cola Amatil, Ltd. | 4,823 | 29,647 | |||||||||
Coca-Cola Co. | 30,915 | 1,448,677 | |||||||||
Coca-Cola European Partners PLC | 4,718 | 244,109 | |||||||||
Grape King Bio, Ltd. | 9,000 | 58,176 | |||||||||
PepsiCo, Inc. | 8,869 | 1,086,896 | |||||||||
2,867,505 | |||||||||||
Brewery — 0.3% | |||||||||||
Carlsberg A/S, Class B | 1,114 | 139,202 | |||||||||
Molson Coors Brewing Co., Class B | 4,646 | 277,134 | |||||||||
416,336 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class A† | 9,103 | 245,963 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Sika AG | 167 | 23,356 | |||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
CIMIC Group, Ltd. | 1,899 | 65,189 | |||||||||
CTCI Corp. | 50,000 | 77,857 | |||||||||
HOCHTIEF AG | 487 | 70,486 | |||||||||
Kajima Corp. | 4,100 | 60,614 | |||||||||
Shimizu Corp. | 4,800 | 41,836 | |||||||||
Taisei Corp. | 4,800 | 223,324 | |||||||||
539,306 |
112
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
Loma Negra Cia Industrial Argentina SA ADR† | 4,703 | $ | 51,498 | ||||||||
Building-Heavy Construction — 0.2% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 4,671 | 205,339 | |||||||||
Dilip Buildcon, Ltd.* | 5,459 | 50,226 | |||||||||
Mota-Engil SGPS SA† | 17,048 | 39,071 | |||||||||
294,636 | |||||||||||
Building-Residential/Commercial — 0.3% | |||||||||||
Berkeley Group Holdings PLC | 1,014 | 48,754 | |||||||||
Persimmon PLC | 7,656 | 216,957 | |||||||||
PulteGroup, Inc. | 2,106 | 58,884 | |||||||||
Taylor Wimpey PLC | 60,500 | 138,596 | |||||||||
463,191 | |||||||||||
Casino Hotels — 0.2% | |||||||||||
Crown Resorts, Ltd. | 8,408 | 68,859 | |||||||||
Galaxy Entertainment Group, Ltd. | 11,000 | 74,883 | |||||||||
Las Vegas Sands Corp. | 4,240 | 258,470 | |||||||||
402,212 | |||||||||||
Casino Services — 0.0% | |||||||||||
Aristocrat Leisure, Ltd. | 2,852 | 49,854 | |||||||||
Cellular Telecom — 0.3% | |||||||||||
China Mobile, Ltd. | 13,000 | 132,935 | |||||||||
Hikari Tsushin, Inc. | 200 | 37,933 | |||||||||
NTT DOCOMO, Inc. | 4,800 | 106,450 | |||||||||
Safaricom, Ltd. | 183,416 | 50,228 | |||||||||
Telstra Corp., Ltd. | 45,384 | 107,227 | |||||||||
Tim Participacoes SA ADR | 4,338 | 65,417 | |||||||||
500,190 | |||||||||||
Chemicals-Diversified — 0.9% | |||||||||||
Arkema SA | 1,197 | 114,299 | |||||||||
BASF SE | 2,893 | 212,466 | |||||||||
Celanese Corp. | 947 | 93,384 | |||||||||
Covestro AG* | 2,116 | 116,405 | |||||||||
Evonik Industries AG | 1,466 | 39,915 | |||||||||
Huntsman Corp. | 9,545 | 214,667 | |||||||||
LyondellBasell Industries NV, Class A | 7,232 | 608,066 | |||||||||
Mitsubishi Chemical Holdings Corp. | 6,200 | 43,781 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 2,500 | 35,785 | |||||||||
Sumitomo Chemical Co., Ltd. | 17,700 | 82,626 | |||||||||
1,561,394 | |||||||||||
Commercial Services — 0.2% | |||||||||||
CoStar Group, Inc.† | 168 | 78,358 | |||||||||
Nielsen Holdings PLC | 6,749 | 159,749 | |||||||||
ServiceMaster Global Holdings, Inc.† | 1,233 | 57,581 | |||||||||
295,688 | |||||||||||
Commercial Services-Finance — 0.5% | |||||||||||
Automatic Data Processing, Inc. | 5,222 | 834,162 | |||||||||
Communications Software — 0.0% | |||||||||||
Avaya Holdings Corp.† | 595 | 10,014 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Aided Design — 0.3% | |||||||||||
Aspen Technology, Inc.† | 1,552 | $ | 161,812 | ||||||||
Cadence Design Systems, Inc.† | 4,728 | 300,275 | |||||||||
462,087 | |||||||||||
Computer Data Security — 0.3% | |||||||||||
Fortinet, Inc.† | 6,187 | 519,522 | |||||||||
Computer Services — 1.4% | |||||||||||
Capgemini SE | 1,097 | 133,419 | |||||||||
Fujitsu, Ltd. | 900 | 65,176 | |||||||||
Infosys, Ltd. | 10,253 | 109,704 | |||||||||
International Business Machines Corp. | 12,971 | 1,830,208 | |||||||||
NTT Data Corp. | 13,500 | 149,154 | |||||||||
2,287,661 | |||||||||||
Computers — 1.4% | |||||||||||
Apple, Inc. | 10,748 | 2,041,582 | |||||||||
Dell Technologies, Inc., Class C† | 4,904 | 287,816 | |||||||||
2,329,398 | |||||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Bemis Co., Inc. | 1,076 | 59,696 | |||||||||
Berry Global Group, Inc.† | 3,798 | 204,598 | |||||||||
Packaging Corp. of America | 2,565 | 254,910 | |||||||||
519,204 | |||||||||||
Cosmetics & Toiletries — 0.7% | |||||||||||
L'Oreal SA | 961 | 258,641 | |||||||||
LG Household & Health Care, Ltd. | 55 | 68,816 | |||||||||
Pigeon Corp. | 300 | 12,303 | |||||||||
Pola Orbis Holdings, Inc. | 1,400 | 44,755 | |||||||||
Procter & Gamble Co. | 6,309 | 656,451 | |||||||||
Unilever PLC | 705 | 40,435 | |||||||||
1,081,401 | |||||||||||
Data Processing/Management — 0.2% | |||||||||||
Broadridge Financial Solutions, Inc. | 2,655 | 275,297 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. | 177 | 48,448 | |||||||||
Distribution/Wholesale — 0.2% | |||||||||||
HD Supply Holdings, Inc.† | 4,113 | 178,299 | |||||||||
KAR Auction Services, Inc. | 2,940 | 150,851 | |||||||||
WESCO International, Inc.† | 1,115 | 59,106 | |||||||||
388,256 | |||||||||||
Diversified Banking Institutions — 4.0% | |||||||||||
Citigroup, Inc. | 30,814 | 1,917,247 | |||||||||
Goldman Sachs Group, Inc. | 1,852 | 355,565 | |||||||||
HSBC Holdings PLC | 5,702 | 46,438 | |||||||||
JPMorgan Chase & Co. | 25,405 | 2,571,748 | |||||||||
Lloyds Banking Group PLC | 254,619 | 206,542 | |||||||||
Macquarie Group, Ltd. | 3,134 | 288,035 | |||||||||
Mizuho Financial Group, Inc. | 162,500 | 251,855 | |||||||||
Morgan Stanley | 17,487 | 737,951 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 7,600 | 265,949 | |||||||||
6,641,330 |
113
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
CTBC Financial Holding Co., Ltd. | 81,000 | $ | 53,761 | ||||||||
Edelweiss Financial Services, Ltd. | 26,272 | 74,590 | |||||||||
Hana Financial Group, Inc. | 2,314 | 74,198 | |||||||||
202,549 | |||||||||||
Diversified Manufacturing Operations — 0.3% | |||||||||||
Ingersoll-Rand PLC | 4,726 | 510,172 | |||||||||
Diversified Minerals — 0.1% | |||||||||||
Anglo American PLC | 8,072 | 216,729 | |||||||||
Diversified Operations — 0.1% | |||||||||||
Alliance Global Group, Inc. | 296,500 | 91,300 | |||||||||
CK Hutchison Holdings, Ltd. | 8,000 | 84,018 | |||||||||
175,318 | |||||||||||
E-Commerce/Products — 1.5% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 2,353 | 429,305 | |||||||||
Amazon.com, Inc.† | 1,077 | 1,917,868 | |||||||||
eBay, Inc. | 2,905 | 107,891 | |||||||||
2,455,064 | |||||||||||
E-Commerce/Services — 0.6% | |||||||||||
AfreecaTV Co., Ltd. | 1,147 | 55,407 | |||||||||
Booking Holdings, Inc.† | 382 | 666,556 | |||||||||
TripAdvisor, Inc.† | 4,271 | 219,743 | |||||||||
941,706 | |||||||||||
E-Services/Consulting — 0.1% | |||||||||||
CDW Corp. | 2,093 | 201,702 | |||||||||
Electric Products-Misc. — 0.2% | |||||||||||
AMETEK, Inc. | 2,811 | 233,229 | |||||||||
Brother Industries, Ltd. | 1,700 | 31,541 | |||||||||
264,770 | |||||||||||
Electric-Distribution — 0.2% | |||||||||||
CenterPoint Energy, Inc. | 9,821 | 301,505 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Vistra Energy Corp. CVR†(1) | 1,362 | 978 | |||||||||
Electric-Integrated — 1.5% | |||||||||||
AES Corp. | 14,015 | 253,391 | |||||||||
AGL Energy, Ltd. | 709 | 10,963 | |||||||||
CLP Holdings, Ltd. | 8,500 | 98,628 | |||||||||
Endesa SA | 7,619 | 194,400 | |||||||||
Enel SpA | 29,344 | 187,819 | |||||||||
Evergy, Inc. | 3,634 | 210,954 | |||||||||
Exelon Corp. | 13,281 | 665,777 | |||||||||
Kansai Electric Power Co., Inc. | 700 | 10,328 | |||||||||
Pampa Energia SA ADR† | 1,421 | 39,177 | |||||||||
Pinnacle West Capital Corp. | 2,481 | 237,134 | |||||||||
Public Service Enterprise Group, Inc. | 7,899 | 469,280 | |||||||||
RWE AG | 1,378 | 36,924 | |||||||||
2,414,775 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Power Grid Corp. of India, Ltd. | 19,921 | 56,798 | |||||||||
Electronic Components-Misc. — 0.2% | |||||||||||
Hoya Corp. | 4,000 | 264,679 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Semiconductors — 1.3% | |||||||||||
Broadcom, Inc. | 1,909 | $ | 574,055 | ||||||||
Intel Corp. | 4,657 | 250,081 | |||||||||
MediaTek, Inc. | 13,000 | 118,966 | |||||||||
Samsung Electronics Co., Ltd. | 6,570 | 258,362 | |||||||||
Sino-American Silicon Products, Inc. | 24,000 | 52,416 | |||||||||
Xilinx, Inc. | 7,521 | 953,588 | |||||||||
2,207,468 | |||||||||||
Electronic Forms — 0.9% | |||||||||||
Adobe, Inc.† | 5,674 | 1,512,064 | |||||||||
Electronic Measurement Instruments — 0.5% | |||||||||||
Agilent Technologies, Inc. | 6,357 | 510,976 | |||||||||
Keysight Technologies, Inc.† | 3,040 | 265,088 | |||||||||
776,064 | |||||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Canvest Environmental Protection Group Co., Ltd. | 112,000 | 56,070 | |||||||||
Engines-Internal Combustion — 0.3% | |||||||||||
Cummins, Inc. | 3,508 | 553,808 | |||||||||
Enterprise Software/Service — 1.2% | |||||||||||
Black Knight, Inc.† | 1,943 | 105,893 | |||||||||
Oracle Corp. | 34,739 | 1,865,832 | |||||||||
1,971,725 | |||||||||||
Entertainment Software — 0.2% | |||||||||||
Electronic Arts, Inc.† | 2,808 | 285,377 | |||||||||
NetEase, Inc. ADR | 288 | 69,538 | |||||||||
354,915 | |||||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Synchrony Financial | 13,964 | 445,452 | |||||||||
Finance-Credit Card — 0.5% | |||||||||||
Capital One Financial Corp. | 5,831 | 476,335 | |||||||||
Discover Financial Services | 5,370 | 382,129 | |||||||||
858,464 | |||||||||||
Finance-Investment Banker/Broker — 0.3% | |||||||||||
Daiwa Securities Group, Inc. | 2,800 | 13,672 | |||||||||
E*TRADE Financial Corp. | 9,677 | 449,303 | |||||||||
462,975 | |||||||||||
Finance-Leasing Companies — 0.2% | |||||||||||
Chailease Holding Co., Ltd. | 14,660 | 59,866 | |||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 6,500 | 33,170 | |||||||||
ORIX Corp. | 15,100 | 217,361 | |||||||||
310,397 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
Deutsche Boerse AG | 472 | 60,517 | |||||||||
London Stock Exchange Group PLC | 1,031 | 63,833 | |||||||||
124,350 | |||||||||||
Fisheries — 0.0% | |||||||||||
Mowi ASA | 2,199 | 49,130 | |||||||||
Food-Baking — 0.1% | |||||||||||
Grupo Bimbo SAB de CV, Class A | 44,123 | 92,041 |
114
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Confectionery — 0.2% | |||||||||||
Hershey Co. | 3,052 | $ | 350,461 | ||||||||
Food-Dairy Products — 0.0% | |||||||||||
Nestle India, Ltd. | 424 | 67,021 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
WH Group, Ltd.* | 27,000 | 28,886 | |||||||||
Food-Misc./Diversified — 0.7% | |||||||||||
Associated British Foods PLC | 4,394 | 139,790 | |||||||||
Mondelez International, Inc., Class A | 15,545 | 776,007 | |||||||||
Nestle SA | 2,514 | 239,928 | |||||||||
1,155,725 | |||||||||||
Food-Retail — 0.4% | |||||||||||
Coles Group, Ltd.† | 1,268 | 10,673 | |||||||||
Colruyt SA | 894 | 66,108 | |||||||||
Dino Polska SA†* | 2,740 | 86,383 | |||||||||
J Sainsbury PLC | 19,615 | 60,289 | |||||||||
Jeronimo Martins SGPS SA | 4,229 | 62,408 | |||||||||
Koninklijke Ahold Delhaize NV | 10,172 | 270,841 | |||||||||
Wesfarmers, Ltd. | 1,268 | 31,232 | |||||||||
X5 Retail Group NV GDR | 1,551 | 38,665 | |||||||||
626,599 | |||||||||||
Food-Wholesale/Distribution — 0.3% | |||||||||||
Sysco Corp. | 8,503 | 567,660 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Fu Shou Yuan International Group, Ltd. | 65,000 | 59,611 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Genting Singapore, Ltd. | 111,700 | 85,887 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
UGI Corp. | 3,550 | 196,741 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Tervita Corp.† | 10 | 45 | |||||||||
Hotels/Motels — 0.3% | |||||||||||
Extended Stay America, Inc. | 5,208 | 93,483 | |||||||||
Hilton Worldwide Holdings, Inc. | 5,017 | 416,963 | |||||||||
510,446 | |||||||||||
Human Resources — 0.0% | |||||||||||
Randstad NV | 1,099 | 53,690 | |||||||||
Import/Export — 0.3% | |||||||||||
Marubeni Corp. | 27,000 | 187,556 | |||||||||
Mitsubishi Corp. | 5,200 | 144,897 | |||||||||
Mitsui & Co., Ltd. | 13,000 | 202,182 | |||||||||
534,635 | |||||||||||
Independent Power Producers — 0.3% | |||||||||||
GenOn Holdings, Inc. Class A†(1)(2) | 54 | 7,654 | |||||||||
NRG Energy, Inc. | 7,109 | 301,990 | |||||||||
Vistra Energy Corp. | 6,920 | 180,128 | |||||||||
489,772 | |||||||||||
Industrial Automated/Robotic — 0.2% | |||||||||||
Rockwell Automation, Inc. | 2,041 | 358,114 | |||||||||
Instruments-Controls — 0.6% | |||||||||||
Honeywell International, Inc. | 5,966 | 948,117 |
Security Description | Shares | Value (Note 2) | |||||||||
Instruments-Scientific — 0.0% | |||||||||||
Waters Corp.† | 279 | $ | 70,227 | ||||||||
Insurance-Life/Health — 1.3% | |||||||||||
Aflac, Inc. | 7,682 | 384,100 | |||||||||
AIA Group, Ltd. | 21,000 | 209,034 | |||||||||
Athene Holding, Ltd., Class A† | 3,678 | 150,062 | |||||||||
Aviva PLC | 39,920 | 215,117 | |||||||||
Legal & General Group PLC | 76,805 | 275,615 | |||||||||
Lincoln National Corp. | 4,453 | 261,391 | |||||||||
Prudential Financial, Inc. | 5,470 | 502,584 | |||||||||
Unum Group | 5,187 | 175,476 | |||||||||
2,173,379 | |||||||||||
Insurance-Multi-line — 1.2% | |||||||||||
Aegon NV | 3,920 | 18,873 | |||||||||
Allianz SE | 1,719 | 382,338 | |||||||||
Allstate Corp. | 2,795 | 263,233 | |||||||||
American Financial Group, Inc. | 850 | 81,779 | |||||||||
Hartford Financial Services Group, Inc. | 6,952 | 345,654 | |||||||||
MetLife, Inc. | 17,806 | 758,001 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 19,500 | 218,330 | |||||||||
2,068,208 | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
DB Insurance Co., Ltd. | 1,123 | 67,965 | |||||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 1,695 | 56,590 | |||||||||
124,555 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Reinsurance Group of America, Inc. | 719 | 102,084 | |||||||||
Internet Application Software — 0.3% | |||||||||||
Tencent Holdings, Ltd. | 8,600 | 395,441 | |||||||||
Tencent Holdings, Ltd. ADR | 1,406 | 64,648 | |||||||||
460,089 | |||||||||||
Internet Content-Entertainment — 0.7% | |||||||||||
Facebook, Inc., Class A† | 6,583 | 1,097,320 | |||||||||
Internet Content-Information/News — 0.1% | |||||||||||
Naspers, Ltd. ADR, Class N | 940 | 43,644 | |||||||||
Naspers, Ltd., Class N | 616 | 142,532 | |||||||||
186,176 | |||||||||||
Internet Infrastructure Software — 0.2% | |||||||||||
F5 Networks, Inc.† | 1,980 | 310,721 | |||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 825 | 100,180 | |||||||||
Investment Management/Advisor Services — 0.4% | |||||||||||
Ameriprise Financial, Inc. | 3,118 | 399,416 | |||||||||
Partners Group Holding AG | 357 | 259,866 | |||||||||
Schroders PLC | 1,955 | 68,828 | |||||||||
728,110 | |||||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Sandvik AB | 15,085 | 245,173 | |||||||||
Machinery-Electrical — 0.2% | |||||||||||
Hitachi, Ltd. | 8,800 | 285,914 |
115
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Material Handling — 0.1% | |||||||||||
Dover Corp. | 2,192 | $ | 205,610 | ||||||||
Machinery-Pumps — 0.0% | |||||||||||
Curtiss-Wright Corp. | 407 | 46,129 | |||||||||
Medical Instruments — 0.7% | |||||||||||
Medtronic PLC | 13,139 | 1,196,700 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Charles River Laboratories International, Inc.† | 686 | 99,642 | |||||||||
Medical Products — 1.1% | |||||||||||
Abbott Laboratories | 15,093 | 1,206,534 | |||||||||
Baxter International, Inc. | 543 | 44,151 | |||||||||
Hill-Rom Holdings, Inc. | 1,124 | 118,987 | |||||||||
Hologic, Inc.† | 3,255 | 157,542 | |||||||||
i-SENS, Inc. | 1,903 | 43,647 | |||||||||
Koninklijke Philips NV | 1,402 | 57,195 | |||||||||
Sartorius Stedim Biotech | 542 | 68,680 | |||||||||
Siemens Healthineers AG* | 1,112 | 46,347 | |||||||||
Straumann Holding AG | 86 | 70,322 | |||||||||
1,813,405 | |||||||||||
Medical-Biomedical/Gene — 1.4% | |||||||||||
Advanz Pharma Corp.† | 52 | 904 | |||||||||
Amgen, Inc. | 5,851 | 1,111,573 | |||||||||
Biogen, Inc.† | 2,326 | 549,820 | |||||||||
Gilead Sciences, Inc. | 6,051 | 393,376 | |||||||||
Illumina, Inc.† | 312 | 96,935 | |||||||||
Vertex Pharmaceuticals, Inc.† | 595 | 109,450 | |||||||||
2,262,058 | |||||||||||
Medical-Drugs — 4.2% | |||||||||||
AbbVie, Inc. | 7,680 | 618,931 | |||||||||
Allergan PLC | 2,359 | 345,381 | |||||||||
Astellas Pharma, Inc. | 15,900 | 238,553 | |||||||||
Aurobindo Pharma, Ltd. | 8,343 | 94,757 | |||||||||
Bristol-Myers Squibb Co. | 4,966 | 236,928 | |||||||||
China Traditional Chinese Medicine Holdings Co., Ltd. | 62,000 | 36,879 | |||||||||
Eli Lilly & Co. | 2,519 | 326,866 | |||||||||
GlaxoSmithKline PLC | 19,192 | 398,160 | |||||||||
Ipsen SA | 119 | 16,340 | |||||||||
Jazz Pharmaceuticals PLC† | 444 | 63,470 | |||||||||
Johnson & Johnson | 9,334 | 1,304,800 | |||||||||
Merck & Co., Inc. | 12,671 | 1,053,847 | |||||||||
Novartis AG | 3,529 | 339,644 | |||||||||
Novo Nordisk A/S, Class B | 2,378 | 124,500 | |||||||||
Pfizer, Inc. | 13,082 | 555,593 | |||||||||
Roche Holding AG | 1,947 | 536,709 | |||||||||
Sanofi | 2,096 | 185,347 | |||||||||
Shionogi & Co., Ltd. | 3,800 | 235,618 | |||||||||
Takeda Pharmaceutical Co., Ltd. ADR | 760 | 15,481 | |||||||||
UCB SA | 1,426 | 122,520 | |||||||||
Zoetis, Inc. | 1,866 | 187,850 | |||||||||
7,038,174 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-HMO — 0.5% | |||||||||||
Centene Corp.† | 6,174 | $ | 327,839 | ||||||||
Humana, Inc. | 357 | 94,962 | |||||||||
UnitedHealth Group, Inc. | 1,707 | 422,073 | |||||||||
844,874 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
HCA Healthcare, Inc. | 2,174 | 283,446 | |||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Chemed Corp. | 322 | 103,063 | |||||||||
Medical-Wholesale Drug Distribution — 0.6% | |||||||||||
Alfresa Holdings Corp. | 3,400 | 96,887 | |||||||||
Cardinal Health, Inc. | 6,786 | 326,746 | |||||||||
McKesson Corp. | 3,831 | 448,457 | |||||||||
Medipal Holdings Corp. | 2,900 | 68,972 | |||||||||
941,062 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
AMG Advanced Metallurgical Group NV | 1,101 | 34,368 | |||||||||
Skipper, Ltd. | 4,844 | 4,789 | |||||||||
39,157 | |||||||||||
Metal-Copper — 0.2% | |||||||||||
Freeport-McMoRan, Inc. | 26,782 | 345,220 | |||||||||
Metal-Diversified — 0.4% | |||||||||||
Boliden AB | 1,410 | 40,037 | |||||||||
Cobalt 27 Capital Corp.† | 18,566 | 58,768 | |||||||||
Glencore PLC | 8,298 | 34,512 | |||||||||
Ivanhoe Mines, Ltd., Class A† | 19,372 | 46,388 | |||||||||
Rio Tinto PLC | 6,376 | 370,964 | |||||||||
South32, Ltd. | 33,135 | 87,941 | |||||||||
638,610 | |||||||||||
Multimedia — 0.1% | |||||||||||
Pearson PLC | 9,828 | 107,097 | |||||||||
Networking Products — 1.4% | |||||||||||
Cisco Systems, Inc. | 41,700 | 2,251,383 | |||||||||
Non-Hazardous Waste Disposal — 0.6% | |||||||||||
China Water Affairs Group, Ltd. | 136,000 | 142,336 | |||||||||
Republic Services, Inc. | 2,424 | 194,841 | |||||||||
Sunny Friend Environmental Technology Co., Ltd. | 10,000 | 78,283 | |||||||||
Waste Management, Inc. | 5,014 | 521,005 | |||||||||
936,465 | |||||||||||
Office Automation & Equipment — 0.2% | |||||||||||
Xerox Corp. | 6,387 | 204,257 | |||||||||
Zebra Technologies Corp., Class A† | 1,008 | 211,206 | |||||||||
415,463 | |||||||||||
Oil Companies-Exploration & Production — 0.9% | |||||||||||
CNOOC, Ltd. | 71,000 | 132,662 | |||||||||
ConocoPhillips | 16,344 | 1,090,799 | |||||||||
Devon Energy Corp. | 5,424 | 171,181 | |||||||||
Geopark, Ltd.† | 3,808 | 65,840 | |||||||||
MWO Holdings LLC†(1)(2) | 10 | 338 | |||||||||
1,460,820 |
116
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Integrated — 2.3% | |||||||||||
BP PLC | 19,662 | $ | 143,532 | ||||||||
Chevron Corp. | 16,039 | 1,975,684 | |||||||||
Eni SpA | 16,100 | 284,416 | |||||||||
Equinor ASA | 10,661 | 233,642 | |||||||||
Exxon Mobil Corp. | 1,856 | 149,965 | |||||||||
Lukoil PJSC ADR | 1,822 | 163,331 | |||||||||
MOL Hungarian Oil & Gas PLC | 7,527 | 86,176 | |||||||||
OMV AG | 1,843 | 99,964 | |||||||||
Petroleo Brasileiro SA ADR | 9,002 | 143,312 | |||||||||
Royal Dutch Shell PLC, Class B | 6,631 | 209,602 | |||||||||
TOTAL SA | 7,403 | 411,109 | |||||||||
3,900,733 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Hilong Holding, Ltd. | 319,000 | 43,073 | |||||||||
Oil Refining & Marketing — 1.1% | |||||||||||
JXTG Holdings, Inc. | 2,600 | 11,837 | |||||||||
Marathon Petroleum Corp. | 6,520 | 390,222 | |||||||||
PBF Energy, Inc., Class A | 3,556 | 110,734 | |||||||||
Phillips 66 | 6,496 | 618,224 | |||||||||
Tupras Turkiye Petrol Rafinerileri AS | 1,738 | 38,932 | |||||||||
Valero Energy Corp. | 7,734 | 656,075 | |||||||||
1,826,024 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Suzano Papel e Celulose SA | 5,200 | 61,823 | |||||||||
UPM-Kymmene Oyj | 6,033 | 176,182 | |||||||||
238,005 | |||||||||||
Patient Monitoring Equipment — 0.1% | |||||||||||
Masimo Corp.† | 1,191 | 164,691 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.1% | |||||||||||
Encompass Health Corp. | 1,483 | 86,607 | |||||||||
Private Equity — 0.1% | |||||||||||
3i Group PLC | 12,067 | 154,890 | |||||||||
Publishing-Periodicals — 0.1% | |||||||||||
Wolters Kluwer NV | 2,645 | 180,261 | |||||||||
Radio — 0.0% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 1,820 | 69,488 | |||||||||
Real Estate Investment Trusts — 2.1% | |||||||||||
AGNC Investment Corp. | 14,088 | 253,584 | |||||||||
Annaly Capital Management, Inc. | 3,723 | 37,193 | |||||||||
Apartment Investment & Management Co., Class A | 70 | 3,520 | |||||||||
Apple Hospitality REIT, Inc. | 3,925 | 63,978 | |||||||||
AvalonBay Communities, Inc. | 1,225 | 245,894 | |||||||||
Brixmor Property Group, Inc. | 8,532 | 156,733 | |||||||||
Brookfield Property REIT, Inc., Class A | 3,377 | 69,195 | |||||||||
Camden Property Trust | 1,276 | 129,514 | |||||||||
Douglas Emmett, Inc. | 1,725 | 69,724 | |||||||||
Duke Realty Corp. | 5,282 | 161,524 | |||||||||
Equinix, Inc. | 214 | 96,976 | |||||||||
Equity LifeStyle Properties, Inc. | 892 | 101,956 | |||||||||
Gaming and Leisure Properties, Inc. | 3,154 | 121,650 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Healthcare Trust of America, Inc., Class A | 4,145 | $ | 118,506 | ||||||||
Highwoods Properties, Inc. | 1,817 | 84,999 | |||||||||
Hudson Pacific Properties, Inc. | 2,034 | 70,010 | |||||||||
Liberty Property Trust | 2,007 | 97,179 | |||||||||
Medical Properties Trust, Inc. | 8,476 | 156,891 | |||||||||
Mirvac Group | 29,046 | 56,600 | |||||||||
New Residential Investment Corp. | 10,969 | 185,486 | |||||||||
Outfront Media, Inc. | 3,313 | 77,524 | |||||||||
Prologis, Inc. | 2,797 | 201,244 | |||||||||
Scentre Group | 36,962 | 108,119 | |||||||||
SL Green Realty Corp. | 1,772 | 159,338 | |||||||||
Spirit Realty Capital, Inc. | 3,032 | 120,461 | |||||||||
Stockland | 30,137 | 82,479 | |||||||||
STORE Capital Corp. | 4,476 | 149,946 | |||||||||
VICI Properties, Inc. | 8,496 | 185,892 | |||||||||
Weingarten Realty Investors | 2,202 | 64,673 | |||||||||
3,430,788 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 4,100 | 202,745 | |||||||||
Jones Lang LaSalle, Inc. | 815 | 125,657 | |||||||||
328,402 | |||||||||||
Real Estate Operations & Development — 0.5% | |||||||||||
Ayala Land, Inc. | 86,700 | 74,164 | |||||||||
China Overseas Land & Investment, Ltd. | 18,000 | 68,461 | |||||||||
CK Asset Holdings, Ltd. | 32,000 | 284,500 | |||||||||
Henderson Land Development Co., Ltd. | 16,000 | 101,698 | |||||||||
Kerry Properties, Ltd. | 4,500 | 20,091 | |||||||||
Logan Property Holdings Co., Ltd. | 42,000 | 69,544 | |||||||||
Sun Hung Kai Properties, Ltd. | 6,000 | 102,946 | |||||||||
Swire Properties, Ltd. | 6,200 | 26,674 | |||||||||
748,078 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Ashtead Group PLC | 7,396 | 178,676 | |||||||||
Cia de Locacao das Americas | 5,224 | 52,022 | |||||||||
230,698 | |||||||||||
Retail-Apparel/Shoe — 0.7% | |||||||||||
ABC-Mart, Inc. | 800 | 47,671 | |||||||||
Fast Retailing Co., Ltd. | 200 | 94,153 | |||||||||
Foot Locker, Inc. | 5,282 | 320,089 | |||||||||
Industria de Diseno Textil SA | 1,958 | 57,582 | |||||||||
Next PLC | 978 | 71,221 | |||||||||
Ross Stores, Inc. | 5,351 | 498,178 | |||||||||
Tapestry, Inc. | 1,430 | 46,461 | |||||||||
1,135,355 | |||||||||||
Retail-Building Products — 1.9% | |||||||||||
Home Depot, Inc. | 9,193 | 1,764,045 | |||||||||
Lowe's Cos., Inc. | 12,270 | 1,343,197 | |||||||||
Wilcon Depot, Inc. | 114,900 | 33,897 | |||||||||
3,141,139 | |||||||||||
Retail-Convenience Store — 0.0% | |||||||||||
GS Retail Co., Ltd. | 1,274 | 43,937 |
117
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Discount — 0.5% | |||||||||||
Walmart, Inc. | 7,766 | $ | 757,418 | ||||||||
Retail-Drug Store — 0.5% | |||||||||||
Walgreens Boots Alliance, Inc. | 13,333 | 843,579 | |||||||||
Retail-Hypermarkets — 0.1% | |||||||||||
Atacadao Distribuicao Comercio e Industria, Ltd. | 16,716 | 85,771 | |||||||||
Puregold Price Club, Inc. | 71,000 | 65,154 | |||||||||
150,925 | |||||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Matahari Department Store Tbk PT | 134,100 | 38,624 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Poya International Co., Ltd. | 8,040 | 95,155 | |||||||||
Retail-Restaurants — 1.4% | |||||||||||
Darden Restaurants, Inc. | 3,376 | 410,083 | |||||||||
Jubilant Foodworks, Ltd. | 4,097 | 85,529 | |||||||||
Starbucks Corp. | 23,067 | 1,714,801 | |||||||||
Yum China Holdings, Inc. | 1,359 | 61,032 | |||||||||
2,271,445 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Eutelsat Communications SA | 1,429 | 25,052 | |||||||||
Semiconductor Components-Integrated Circuits — 0.7% | |||||||||||
NXP Semiconductors NV | 9,776 | 864,100 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 35,039 | 280,310 | |||||||||
1,144,410 | |||||||||||
Semiconductor Equipment — 0.3% | |||||||||||
KLA-Tencor Corp. | 4,272 | 510,120 | |||||||||
Shipbuilding — 0.0% | |||||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 73,000 | 81,108 | |||||||||
Soap & Cleaning Preparation — 0.1% | |||||||||||
Reckitt Benckiser Group PLC | 1,941 | 161,739 | |||||||||
Steel-Producers — 0.2% | |||||||||||
ArcelorMittal | 4,957 | 100,661 | |||||||||
BlueScope Steel, Ltd. | 14,188 | 141,016 | |||||||||
Steel Dynamics, Inc. | 4,788 | 168,873 | |||||||||
410,550 | |||||||||||
Telecom Services — 0.1% | |||||||||||
HKT Trust & HKT, Ltd. | 23,000 | 36,976 | |||||||||
Telenor ASA | 9,855 | 197,378 | |||||||||
234,354 | |||||||||||
Telecommunication Equipment — 0.2% | |||||||||||
ARRIS International PLC† | 3,929 | 124,196 | |||||||||
Juniper Networks, Inc. | 6,366 | 168,508 | |||||||||
292,704 | |||||||||||
Telephone-Integrated — 1.9% | |||||||||||
AT&T, Inc. | 3,066 | 96,150 | |||||||||
BT Group PLC | 60,520 | 176,015 | |||||||||
Deutsche Telekom AG | 11,557 | 191,822 | |||||||||
KDDI Corp. | 6,400 | 138,052 | |||||||||
Nippon Telegraph & Telephone Corp. | 2,200 | 93,512 |
Security Description | Shares | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
SoftBank Group Corp. | 1,300 | $ | 126,705 | ||||||||
Swisscom AG | 126 | 61,650 | |||||||||
Telephone & Data Systems, Inc. | 2,788 | 85,675 | |||||||||
Verizon Communications, Inc. | 36,600 | 2,164,158 | |||||||||
3,133,739 | |||||||||||
Television — 0.1% | |||||||||||
ProSiebenSat.1 Media SE | 3,799 | 54,143 | |||||||||
RTL Group SA | 615 | 33,601 | |||||||||
87,744 | |||||||||||
Textile-Apparel — 0.0% | |||||||||||
Shenzhou International Group Holdings, Ltd. | 5,000 | 66,999 | |||||||||
Tobacco — 0.2% | |||||||||||
Imperial Brands PLC | 8,497 | 291,148 | |||||||||
Swedish Match AB | 1,892 | 96,351 | |||||||||
387,499 | |||||||||||
Toys — 0.1% | |||||||||||
Bandai Namco Holdings, Inc. | 1,300 | 61,017 | |||||||||
Nintendo Co., Ltd. | 500 | 143,184 | |||||||||
204,201 | |||||||||||
Transactional Software — 0.1% | |||||||||||
Amadeus IT Group SA | 2,818 | 225,846 | |||||||||
Transport-Rail — 0.5% | |||||||||||
Central Japan Railway Co. | 1,200 | 278,864 | |||||||||
Norfolk Southern Corp. | 2,702 | 504,977 | |||||||||
783,841 | |||||||||||
Transport-Services — 0.1% | |||||||||||
Deutsche Post AG | 1,689 | 54,948 | |||||||||
SG Holdings Co., Ltd. | 1,900 | 55,464 | |||||||||
110,412 | |||||||||||
Travel Services — 0.1% | |||||||||||
TUI AG | 10,067 | 96,791 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
TCI Co, Ltd. | 5,000 | 68,358 | |||||||||
Water Treatment Systems — 0.1% | |||||||||||
Clean TeQ Holdings, Ltd.† | 178,577 | 39,363 | |||||||||
Pentair PLC | 3,563 | 158,589 | |||||||||
197,952 | |||||||||||
Web Portals/ISP — 2.2% | |||||||||||
Alphabet, Inc., Class A† | 3,154 | 3,711,911 | |||||||||
Wire & Cable Products — 0.0% | |||||||||||
KEI Industries, Ltd. | 10,042 | 61,827 | |||||||||
Total Common Stocks (cost $111,699,691) | 121,749,869 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.0% | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
EPR Properties Series C 5.75% (cost $9,209) | 505 | 15,877 |
118
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
GMAC Capital Trust I FRS Series 2 8.47% (3 ML+5.79%) (cost $14,579) | 580 | $ | 15,103 | ||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.3% | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
Fifth Third Bancorp 5.10% due 06/30/2023(3) | $ | 9,000 | 8,618 | ||||||||
Wells Fargo & Co. Series U 5.88% due 06/15/2025(3) | 85,000 | 90,822 | |||||||||
99,440 | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
Bank of America Corp. Series AA 6.10% due 03/17/2025(3) | 61,000 | 64,545 | |||||||||
Bank of America Corp. Series Z 6.50% due 10/23/2024(3) | 5,000 | 5,425 | |||||||||
JPMorgan Chase & Co. Series Z 5.30% due 05/01/2020(3) | 52,000 | 52,546 | |||||||||
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(3) | 11,000 | 11,550 | |||||||||
134,066 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
NextEra Energy Capital Holdings, Inc. 4.80% due 12/01/2077 | 25,000 | 22,367 | |||||||||
WEC Energy Group, Inc. FRS 4.80% (3 ML+2.11%) due 05/15/2067 | 50,000 | 44,250 | |||||||||
66,617 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.20% due 03/15/2044 | 37,000 | 37,401 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 45,000 | 48,262 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Liberty Mutual Group, Inc. FRS 5.52% (3 ML+2.91%) due 03/07/2067* | 10,000 | 9,475 | |||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer Partners LP 6.63% due 02/15/2028(3) | 70,000 | 66,545 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 40,000 | 37,400 | |||||||||
103,945 | |||||||||||
Total Preferred Securities/Capital Securities (cost $490,359) | 499,206 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 1.9% | |||||||||||
Diversified Financial Services — 1.9% | |||||||||||
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 3.34% (12 MTA+0.94%) due 06/25/2046(4) | $ | 11,376 | $ | 10,294 | |||||||
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 0.00% due 11/10/2042*(5)(6)(7) | 243,345 | 3 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2004-5, Class XC 0.45% due 11/10/2041*(5)(6)(7) | 25,630 | 37 | |||||||||
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2006-T22, Class E 5.74% due 04/12/2038*(6)(7) | 126,000 | 130,125 | |||||||||
CD Commercial Mtg. Trust VRS Series 2016-CD1, Class XA 1.42% due 08/10/2049(5)(6)(7) | 286,030 | 22,362 | |||||||||
CFCRE Commercial Mtg. Trust VRS Series 2011-C1, Class D 6.07% due 04/15/2044*(6)(7) | 101,000 | 105,136 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.79% due 09/10/2045*(5)(6)(7) | 240,286 | 11,149 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(7) | 50,000 | 51,295 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(6)(7) | 68,000 | 69,799 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 4.91% due 05/25/2035(4)(6) | 22,462 | 23,018 | |||||||||
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.45% due 12/10/2046*(5)(6)(7) | 129,624 | 5 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 0.94% due 12/10/2047(5)(6)(7) | 410,093 | 15,811 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 0.95% due 08/10/2050(5)(6)(7) | 458,695 | 16,739 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.05% due 05/10/2047(5)(6)(7) | 320,148 | 12,273 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 1.12% due 11/10/2047(5)(6)(7) | 293,648 | 12,676 | |||||||||
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 1.16% due 08/10/2046(5)(6)(7) | 288,978 | 11,022 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 1.17% due 08/10/2047(5)(6)(7) | 946,681 | 36,365 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.17% due 08/10/2047(5)(6)(7) | 332,549 | 14,024 |
119
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series LC6, Class AM 3.28% due 01/10/2046(7) | $ | 59,000 | $ | 59,537 | |||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.46% due 12/10/2047(6)(7) | 39,000 | 38,891 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(6)(7) | 12,000 | 12,767 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class C 4.76% due 05/10/2047(6)(7) | 104,000 | 107,462 | |||||||||
Commercial Mtg. Trust VRS Series 2010-C1, Class D 6.13% due 07/10/2046*(6)(7) | 78,000 | 79,943 | |||||||||
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 1.59% due 05/15/2038*(5)(6)(7) | 10,258 | 124 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.46% due 02/15/2040*(5)(6)(7) | 57,480 | 334 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.52% due 09/15/2039*(5)(6)(7) | 2,876 | 0 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class XA 0.91% due 04/15/2050(5)(6)(7) | 1,050,042 | 40,965 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.30% due 04/15/2050(6)(7) | 81,000 | 82,022 | |||||||||
CSMC Trust VRS Series 2016-NXSR, Class C 4.36% due 12/15/2049(6)(7) | 37,000 | 37,103 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.34% due 08/10/2044*(6)(7) | 132,000 | 136,602 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC2A, Class D 5.53% due 07/10/2044*(7) | 102,000 | 105,711 | |||||||||
GS Mtg. Securities Corp. VRS Series 2015-GC30, Class XA 0.85% due 05/10/2050(5)(6)(7) | 398,548 | 13,946 | |||||||||
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.52% due 02/10/2046(5)(6)(7) | 788,311 | 38,213 | |||||||||
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(7) | 33,000 | 33,149 | |||||||||
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.69% due 06/10/2047(6)(7) | 68,000 | 69,844 | |||||||||
GS Mtg. Securities Trust VRS Series 2013-GC16, Class D 5.31% due 11/10/2046*(6)(7) | 32,000 | 33,729 | |||||||||
GS Mtg. Securities Trust VRS Series 2011-GC5, Class C 5.39% due 08/10/2044*(6)(7) | 100,000 | 101,800 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.50% due 09/12/2037*(5)(6)(7) | $ | 48,750 | $ | 186 | |||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(7) | 22,000 | 22,041 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(6)(7) | 69,000 | 69,013 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(7) | 19,000 | 19,542 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.16% due 05/15/2045(6)(7) | 57,000 | 57,038 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.77% due 01/15/2047(5)(6)(7) | 679,635 | 20,318 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.56% due 09/15/2047(6)(7) | 19,000 | 18,934 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series C14, Class C 4.56% due 08/15/2046(6)(7) | 79,000 | 81,735 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series C15, Class B 4.93% due 11/15/2045(6)(7) | 38,000 | 40,413 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, ClassC 5.21% due 11/15/2045(6)(7) | 55,000 | 58,487 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.32% due 11/15/2040*(5)(6)(7) | 67,653 | 75 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.32% due 04/15/2041(6)(7) | 15,188 | 15,498 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(6) | 9,372 | 9,668 | |||||||||
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.00% due 06/12/2043*(5)(6)(7) | 38,368 | 1 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 5.42% due 07/15/2045*(5)(6)(7) | 2,614 | 65 |
120
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 5.89% due 05/15/2044*(5)(6)(7) | $ | 751 | $ | 83 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.19% due 08/15/2047(5)(6)(7) | 152,936 | 5,297 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C8, Class B 3.56% due 12/15/2048(6)(7) | 19,000 | 19,023 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6, Class B 3.93% due 11/15/2045(7) | 69,000 | 70,259 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class C 4.46% due 08/15/2047(6)(7) | 85,000 | 86,050 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C18, Class C 4.49% due 10/15/2047(6)(7) | 63,000 | 63,802 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C12, Class C 4.77% due 10/15/2046(6)(7) | 55,000 | 58,264 | |||||||||
Morgan Stanley Capital I Trust VRS Series C3, Class D 5.15% due 07/15/2049*(6)(7) | 43,000 | 43,035 | |||||||||
Towd Point Asset Trust FRS Series SL1, Class A 3.09% (1 ML+0.60%) due 01/25/2046* | 80,113 | 79,315 | |||||||||
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.03% due 08/10/2049*(6)(7) | 25,000 | 25,812 | |||||||||
UBS-Citigroup Commercial Mtg. Trust Series 2011-C1, Class AS 5.15% due 01/10/2045*(7) | 23,000 | 24,187 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2005, Class AR19 2.84% (1 ML+0.35%) due 12/25/2045(4) | 10,851 | 10,774 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 3.41% (1 ML+0.92%) due 10/25/2044(4) | 33,380 | 33,464 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2016-BNK1, Class AS 2.81% due 08/15/2049(7) | 29,000 | 28,089 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2016-BNK1, Class C 3.07% due 08/15/2049(6)(7) | $ | 113,000 | $ | 105,673 | |||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.21% due 03/15/2045*(5)(6)(7) | 241,170 | 9,135 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.56% due 12/15/2045*(5)(6)(7) | 178,207 | 8,517 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 1.88% due 11/15/2045*(5)(6)(7) | 117,389 | 6,494 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class AS 3.24% due 12/15/2045(7) | 23,000 | 22,885 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(7) | 47,000 | 47,262 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class AS 3.66% due 08/15/2045(7) | 18,000 | 18,328 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(6)(7) | 24,000 | 25,347 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.38% due 12/15/2045(6)(7) | 18,000 | 17,607 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS 4.39% due 12/15/2046(6)(7) | 67,000 | 70,458 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C16, Class AS 4.67% due 09/15/2046(6)(7) | 20,000 | 21,179 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.78% due 11/15/2045*(6)(7) | 51,000 | 50,363 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.82% due 06/15/2045*(6)(7) | 55,000 | 52,133 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C5, Class C 5.67% due 11/15/2044*(6)(7) | 101,000 | 105,852 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.68% due 03/15/2044*(6)(7) | 34,000 | 31,510 | |||||||||
Total Asset Backed Securities (cost $3,509,065) | 3,087,486 | ||||||||||
CONVERTIBLE BONDS & NOTES — 0.0% | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
DISH Network Corp. Senior Notes 3.38% due 08/15/2026 (cost $4,663) | 5,000 | 4,247 |
121
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES — 6.0% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028 | $ | 71,000 | $ | 73,916 | |||||||
Omnicom Group, Inc. Senior Notes 3.60% due 04/15/2026 | 15,000 | 14,877 | |||||||||
88,793 | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024 | 2,000 | 2,052 | |||||||||
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025 | 10,000 | 10,250 | |||||||||
12,302 | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Northrop Grumman Corp. Senior Notes 3.25% due 01/15/2028 | 55,000 | 54,082 | |||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
L3 Technologies, Inc. Company Guar. Notes 3.85% due 12/15/2026 | 38,000 | 38,672 | |||||||||
L3 Technologies, Inc. Company Guar. Notes 4.40% due 06/15/2028 | 25,000 | 26,233 | |||||||||
TransDigm, Inc. Senior Sec. Notes 6.25% due 03/15/2026* | 10,000 | 10,415 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026 | 25,000 | 24,746 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024 | 28,000 | 28,770 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025 | 5,000 | 5,076 | |||||||||
133,912 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries, Inc. Senior Sec. Notes 4.50% due 12/01/2026* | 65,000 | 65,805 | |||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 20,000 | 17,150 | |||||||||
82,955 | |||||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021 | 1,150 | 1,182 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Airlines (continued) | |||||||||||
United Airline Pass-Through Trust Pass-Through Certs. Series 2007-1, Class A 6.64% due 01/02/2024 | $ | 6,621 | $ | 6,963 | |||||||
8,145 | |||||||||||
Apparel Manufacturers — 0.0% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024* | 10,000 | 10,027 | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 2.40% due 08/08/2026 | 20,000 | 19,390 | |||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 38,000 | 38,776 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 75,000 | 78,505 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 5,000 | 5,050 | |||||||||
141,721 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
BMW US Capital LLC Company Guar. Notes 2.80% due 04/11/2026* | 31,000 | 29,734 | |||||||||
BMW US Capital LLC Company Guar. Notes 3.40% due 08/13/2021* | 15,000 | 15,192 | |||||||||
BMW US Capital LLC Company Guar. Notes 3.95% due 08/14/2028* | 35,000 | 35,955 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026 | 8,000 | 7,663 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025 | 9,000 | 8,950 | |||||||||
97,494 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027* | 20,000 | 19,075 | |||||||||
Navistar International Corp. Company Guar. Notes 6.63% due 11/01/2025* | 25,000 | 25,406 | |||||||||
44,481 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
American Axle & Manufacturing, Inc. Company Guar. Notes 7.75% due 11/15/2019 | 8,000 | 8,190 | |||||||||
Lear Corp. Senior Notes 3.80% due 09/15/2027 | 53,000 | 50,784 | |||||||||
58,974 |
122
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022 | $ | 2,000 | $ | 2,082 | |||||||
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023 | 16,000 | 16,780 | |||||||||
18,862 | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024* | 10,000 | 8,875 | |||||||||
Freedom Mtg. Corp. Senior Notes 8.25% due 04/15/2025* | 15,000 | 13,312 | |||||||||
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025* | 15,000 | 13,650 | |||||||||
35,837 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026* | 5,000 | 5,125 | |||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025* | 9,000 | 9,327 | |||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028* | 62,000 | 64,621 | |||||||||
73,948 | |||||||||||
Brewery — 0.0% | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.65% due 02/01/2026* | 18,000 | 18,053 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes Class B 6.50% due 11/15/2022 | 18,000 | 18,382 | |||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 9.25% due 02/15/2024* | 10,000 | 10,600 | |||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 25,000 | 25,917 | |||||||||
iHeartCommunications, Inc. Senior Sec. Notes 9.00% due 12/15/2019†(8)(9) | 21,000 | 14,910 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Broadcast Services/Program (continued) | |||||||||||
Nexstar Broadcasting, Inc. Company Guar. Notes 5.63% due 08/01/2024* | $ | 30,000 | $ | 30,450 | |||||||
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025* | 15,000 | 13,969 | |||||||||
114,228 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024* | 20,000 | 19,650 | |||||||||
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024* | 20,000 | 19,700 | |||||||||
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021* | 5,000 | 4,975 | |||||||||
Louisiana-Pacific Corp. Senior Notes 4.88% due 09/15/2024 | 15,000 | 14,963 | |||||||||
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027* | 55,000 | 53,229 | |||||||||
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024* | 20,000 | 20,500 | |||||||||
USG Corp. Company Guar. Notes 4.88% due 06/01/2027* | 15,000 | 15,159 | |||||||||
USG Corp. Company Guar. Notes 5.50% due 03/01/2025* | 10,000 | 10,155 | |||||||||
158,331 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
NCI Building Systems, Inc. Company Guar. Notes 8.00% due 04/15/2026* | 15,000 | 13,470 | |||||||||
TopBuild Corp. Company Guar. Notes 5.63% due 05/01/2026* | 15,000 | 14,775 | |||||||||
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 11,000 | 10,588 | |||||||||
38,833 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024 | 18,000 | 18,225 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.63% due 12/15/2025* | 5,000 | 4,750 | |||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.88% due 12/15/2027* | 5,000 | 4,713 | |||||||||
9,463 |
123
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024* | $ | 25,000 | $ | 24,625 | |||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025* | 20,000 | 17,950 | |||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | 20,000 | 20,950 | |||||||||
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023 | 10,000 | 10,050 | |||||||||
48,950 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023 | 25,000 | 27,007 | |||||||||
Lennar Corp. Company Guar. Notes 5.88% due 11/15/2024 | 15,000 | 15,919 | |||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 10,000 | 10,300 | |||||||||
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032 | 20,000 | 22,500 | |||||||||
TRI Pointe Group Inc./TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024 | 10,000 | 10,050 | |||||||||
85,776 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020 | 6,000 | 6,270 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023* | 15,000 | 15,352 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 20,000 | 20,650 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | 20,000 | 20,925 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024* | 35,000 | 36,579 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 12,000 | 12,662 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | $ | 22,000 | $ | 21,921 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 28,000 | 31,388 | |||||||||
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022 | 10,000 | 12,283 | |||||||||
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026 | 55,000 | 54,721 | |||||||||
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049 | 27,000 | 26,268 | |||||||||
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035 | 10,000 | 12,658 | |||||||||
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027* | 25,000 | 24,460 | |||||||||
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024 | 76,000 | 77,140 | |||||||||
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021 | 29,000 | 30,994 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 40,000 | 33,600 | |||||||||
437,871 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. Company Guar. Notes 6.00% due 08/15/2026 | 5,000 | 5,125 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026 | 5,000 | 5,175 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023 | 10,000 | 10,388 | |||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Senior Sec. Notes 6.75% due 11/15/2021* | 20,000 | 20,600 | |||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Sec. Notes 10.25% due 11/15/2022* | 25,000 | 26,812 | |||||||||
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021 | 15,000 | 16,031 |
124
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Casino Hotels (continued) | |||||||||||
MGM Resorts International Company Guar. Notes 6.75% due 10/01/2020 | $ | 20,000 | $ | 20,950 | |||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025* | 10,000 | 9,881 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027* | 30,000 | 28,350 | |||||||||
143,312 | |||||||||||
Casino Services — 0.0% | |||||||||||
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023 | 5,000 | 5,232 | |||||||||
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. Senior Sec. Notes 6.13% due 08/15/2021* | 20,000 | 20,000 | |||||||||
25,232 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020 | 6,000 | 6,195 | |||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | 15,000 | 15,225 | |||||||||
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021 | 16,000 | 16,800 | |||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 43,000 | 45,042 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022 | 5,000 | 5,056 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.50% due 02/01/2026 | 5,000 | 4,997 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028 | 10,000 | 9,913 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027 | 15,000 | 15,506 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023 | 5,000 | 5,138 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025 | 30,000 | 31,239 | |||||||||
155,111 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Chemicals-Diversified — 0.1% | |||||||||||
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022 | $ | 19,000 | $ | 19,662 | |||||||
Westlake Chemical Corp. Company Guar. Notes 3.60% due 08/15/2026 | 31,000 | 29,998 | |||||||||
Westlake Chemical Corp. Company Guar. Notes 4.38% due 11/15/2047 | 14,000 | 12,401 | |||||||||
62,061 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Chemours Co. Company Guar. Notes 5.38% due 05/15/2027 | 10,000 | 9,934 | |||||||||
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023 | 5,000 | 5,169 | |||||||||
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025 | 10,000 | 10,525 | |||||||||
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026* | 35,000 | 35,612 | |||||||||
Ingevity Corp. Senior Notes 4.50% due 02/01/2026* | 20,000 | 19,557 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 40,000 | 42,003 | |||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025* | 10,000 | 10,100 | |||||||||
PQ Corp. Company Guar. Notes 5.75% due 12/15/2025* | 15,000 | 14,606 | |||||||||
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024* | 15,000 | 15,938 | |||||||||
163,444 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025* | 30,000 | 28,837 | |||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 35,000 | 34,384 | |||||||||
Commercial Services — 0.1% | |||||||||||
Ecolab, Inc. Senior Notes 3.25% due 12/01/2027 | 65,000 | 65,332 | |||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022* | 25,000 | 24,687 |
125
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Commercial Services (continued) | |||||||||||
Star Merger Sub, Inc. Senior Sec. Notes 6.88% due 08/15/2026* | $ | 5,000 | $ | 5,113 | |||||||
TMS International Corp. Senior Notes 7.25% due 08/15/2025* | 15,000 | 14,528 | |||||||||
109,660 | |||||||||||
Commercial Services-Finance — 0.0% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.75% due 08/01/2028 | 20,000 | 20,926 | |||||||||
S&P Global, Inc. Company Guar. Notes 4.40% due 02/15/2026 | 15,000 | 16,129 | |||||||||
37,055 | |||||||||||
Computer Services — 0.0% | |||||||||||
Banff Merger Sub, Inc. Senior Notes 9.75% due 09/01/2026* | 25,000 | 24,250 | |||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | 4,000 | 3,564 | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 28,000 | 30,480 | |||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026* | 90,000 | 96,799 | |||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. Company Guar. Notes 7.13% due 06/15/2024* | 20,000 | 21,207 | |||||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. Senior Sec. Notes 8.35% due 07/15/2046* | 8,000 | 9,656 | |||||||||
158,142 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 50,000 | 47,750 | |||||||||
Consulting Services — 0.0% | |||||||||||
Gartner, Inc. Company Guar. Notes 5.13% due 04/01/2025* | 5,000 | 5,054 | |||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 5.75% due 07/15/2025 | 10,000 | 10,075 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Consumer Products-Misc. (continued) | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024 | $ | 30,000 | $ | 30,300 | |||||||
40,375 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024* | 35,000 | 34,748 | |||||||||
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025* | 35,000 | 33,753 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 10,000 | 11,100 | |||||||||
Greif, Inc. Company Guar. Notes 6.50% due 03/01/2027* | 10,000 | 10,225 | |||||||||
89,826 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026* | 5,000 | 4,751 | |||||||||
Berry Global, Inc. Sec. Notes 5.13% due 07/15/2023 | 15,000 | 15,248 | |||||||||
Berry Global, Inc. Sec. Notes 5.50% due 05/15/2022 | 6,000 | 6,090 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. Company Guar. Notes 4.75% due 02/01/2026 | 10,000 | 10,048 | |||||||||
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031 | 1,000 | 1,304 | |||||||||
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030 | 20,000 | 26,136 | |||||||||
63,577 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 3.00% due 08/15/2026 | 3,000 | 2,874 | |||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 72,000 | 74,027 | |||||||||
First Data Corp. Senior Sec. Notes 5.38% due 08/15/2023* | 10,000 | 10,213 | |||||||||
First Data Corp. Sec. Notes 5.75% due 01/15/2024* | 25,000 | 25,706 |
126
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Data Processing/Management (continued) | |||||||||||
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028 | $ | 80,000 | $ | 82,405 | |||||||
195,225 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022* | 17,000 | 16,133 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Sotera Health Holdings LLC Senior Notes 6.50% due 05/15/2023* | 10,000 | 10,075 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023* | 10,000 | 10,262 | |||||||||
American Builders & Contractors Supply Co., Inc. Company Guar. Notes 5.88% due 05/15/2026* | 5,000 | 5,069 | |||||||||
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023* | 10,000 | 10,220 | |||||||||
25,551 | |||||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 105,000 | 107,881 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027 | 60,000 | 60,234 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 75,000 | 76,650 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 9,000 | 10,972 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 50,000 | 51,339 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048 | 85,000 | 82,869 | |||||||||
389,945 | |||||||||||
Diversified Financial Services — 0.0% | |||||||||||
CNG Holdings, Inc. Senior Sec. Notes 9.38% due 05/15/2020* | 15,000 | 14,775 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027 | 30,000 | 30,202 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
E-Commerce/Products (continued) | |||||||||||
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047 | $ | 30,000 | $ | 31,767 | |||||||
61,969 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Match Group, Inc. Senior Notes 5.00% due 12/15/2027* | 20,000 | 20,150 | |||||||||
Educational Software — 0.0% | |||||||||||
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025* | 25,000 | 24,825 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033 | 25,000 | 30,618 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Vistra Operations Co LLC Company Guar. Notes 5.50% due 09/01/2026* | 25,000 | 26,000 | |||||||||
Vistra Operations Co. LLC Senior Notes 5.63% due 02/15/2027* | 10,000 | 10,400 | |||||||||
36,400 | |||||||||||
Electric-Integrated — 0.3% | |||||||||||
AES Corp. Senior Notes 4.50% due 03/15/2023 | 5,000 | 5,050 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 6,000 | 6,083 | |||||||||
AES Corp. Senior Notes 5.13% due 09/01/2027 | 20,000 | 20,804 | |||||||||
AES Corp. Senior Notes 5.50% due 04/15/2025 | 30,000 | 31,125 | |||||||||
American Electric Power Co., Inc. Senior Notes 4.30% due 12/01/2028 | 40,000 | 42,445 | |||||||||
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035 | 20,000 | 23,066 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 25,000 | 31,400 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037 | 5,000 | 6,463 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042 | 10,000 | 10,253 | |||||||||
Duke Energy Ohio, Inc. 1st Mtg. Notes 3.65% due 02/01/2029 | 55,000 | 57,097 |
127
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | $ | 54,000 | $ | 54,786 | |||||||
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047 | 6,000 | 6,434 | |||||||||
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044* | 35,000 | 39,536 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 10,051 | |||||||||
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037 | 15,000 | 19,157 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 25,000 | 24,842 | |||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020† | 11,000 | 44 | |||||||||
Texas-New Mexico Power Co. 1st Mtg. Notes 9.50% due 04/01/2019* | 25,000 | 25,000 | |||||||||
413,636 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 4.10% due 06/01/2022 | 20,000 | 20,791 | |||||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 46,000 | 43,945 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 50,000 | 51,014 | |||||||||
Qorvo, Inc. Company Guar. Notes 5.50% due 07/15/2026* | 10,000 | 10,326 | |||||||||
105,285 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Itron, Inc. Company Guar. Notes 5.00% due 01/15/2026* | 20,000 | 19,675 | |||||||||
Electronic Security Devices — 0.0% | |||||||||||
Resideo Funding, Inc. Company Guar. Notes 6.13% due 11/01/2026* | 10,000 | 10,300 | |||||||||
Engines-Internal Combustion — 0.0% | |||||||||||
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020 | 30,000 | 31,050 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Infor Software Parent LLC/Infor Software Parent, Inc. Senior Notes 7.13% due 05/01/2021*(10) | $ | 25,000 | $ | 24,976 | |||||||
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022 | 15,000 | 15,206 | |||||||||
Oracle Corp. Senior Notes 2.65% due 07/15/2026 | 30,000 | 29,021 | |||||||||
69,203 | |||||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025 | 45,000 | 47,930 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020 | 14,000 | 14,630 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031 | 36,000 | 44,685 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026* | 5,000 | 5,083 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023 | 5,000 | 5,194 | |||||||||
117,522 | |||||||||||
Finance-Commercial — 0.0% | |||||||||||
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025* | 15,000 | 6,750 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 11.13% due 04/01/2023* | 10,000 | 9,400 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Alliance Data Systems Corp. Company Guar. Notes 5.38% due 08/01/2022* | 15,000 | 15,169 | |||||||||
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025 | 15,000 | 15,253 | |||||||||
30,422 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022* | 39,000 | 41,790 | |||||||||
Lions Gate Capital Holdings LLC Company Guar. Notes 5.88% due 11/01/2024* | 15,000 | 15,431 | |||||||||
Lions Gate Capital Holdings LLC Company Guar. Notes 6.38% due 02/01/2024* | 15,000 | 15,712 |
128
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Investment Banker/Broker (continued) | |||||||||||
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025* | $ | 20,000 | $ | 20,256 | |||||||
93,189 | |||||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Air Lease Corp. Senior Notes 3.63% due 04/01/2027 | 15,000 | 14,114 | |||||||||
Air Lease Corp. Senior Notes 4.63% due 10/01/2028 | 60,000 | 60,399 | |||||||||
74,513 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 8.13% due 07/15/2023* | 10,000 | 10,300 | |||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 9.13% due 07/15/2026* | 5,000 | 5,075 | |||||||||
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021 | 25,000 | 25,000 | |||||||||
40,375 | |||||||||||
Finance-Other Services — 0.0% | |||||||||||
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021 | 5,000 | 5,103 | |||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025* | 35,000 | 35,262 | |||||||||
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025* | 20,000 | 17,232 | |||||||||
57,597 | |||||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026* | 63,000 | 63,866 | |||||||||
Food-Retail — 0.0% | |||||||||||
Albertsons Cos. LLC/Safeway, Inc./ New Albertsons LP/Albertson's LLC Company Guar. Notes 7.50% due 03/15/2026* | 10,000 | 10,287 | |||||||||
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023* | 10,000 | 7,500 | |||||||||
17,787 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026* | 10,000 | 9,700 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
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 | 14,906 | |||||||||
Service Corp. International Senior Notes 5.38% due 01/15/2022 | 14,000 | 14,133 | |||||||||
Service Corp. International Senior Notes 5.38% due 05/15/2024 | 24,000 | 24,630 | |||||||||
63,894 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025* | 20,000 | 19,262 | |||||||||
Jacobs Entertainment, Inc. Sec. Notes 7.88% due 02/01/2024* | 5,000 | 5,238 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 8.25% due 03/15/2026* | 20,000 | 20,413 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022 | 40,000 | 42,034 | |||||||||
86,947 | |||||||||||
Golf — 0.0% | |||||||||||
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025* | 30,000 | 27,405 | |||||||||
Hospital Beds/Equipment — 0.0% | |||||||||||
Kinetic Concepts, Inc./KCI USA, Inc. Sec. Notes 12.50% due 11/01/2021* | 5,000 | 5,413 | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024 | 5,000 | 4,991 | |||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027 | 60,000 | 60,675 | |||||||||
Wyndham Hotels & Resorts, Inc. Company Guar. Notes 5.38% due 04/15/2026* | 10,000 | 10,150 | |||||||||
75,816 | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026* | 10,000 | 9,950 | |||||||||
Calpine Corp. Senior Notes 5.75% due 01/15/2025 | 20,000 | 19,900 |
129
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Independent Power Producers (continued) | |||||||||||
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024* | $ | 3,000 | $ | 3,075 | |||||||
GenOn Energy, Inc. Escrow Notes 9.88% due 10/15/2020†(2) | 20,000 | 0 | |||||||||
GenOn Energy, Inc./NRG Americas, Inc. FRS Sec. Notes 9.39% (6 ML+6.50%) due 12/01/2023 | 4,335 | 4,302 | |||||||||
NRG Energy, Inc. Company Guar. Notes 5.75% due 01/15/2028 | 10,000 | 10,600 | |||||||||
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027 | 15,000 | 16,144 | |||||||||
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026 | 10,000 | 11,002 | |||||||||
Vistra Energy Corp. Company Guar. Notes 8.13% due 01/30/2026* | 10,000 | 10,913 | |||||||||
85,886 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Alliant Holdings Intermediated LLC Senior Notes 8.25% due 08/01/2023* | 10,000 | 10,250 | |||||||||
HUB International, Ltd. Senior Notes 7.00% due 05/01/2026* | 20,000 | 19,800 | |||||||||
USI, Inc. Senior Notes 6.88% due 05/01/2025* | 10,000 | 9,712 | |||||||||
39,762 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 30,000 | 31,050 | |||||||||
OneAmerica Financial Partners, Inc. Senior Notes 7.00% due 10/15/2033* | 20,000 | 25,009 | |||||||||
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039* | 15,000 | 20,618 | |||||||||
76,677 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040 | 25,000 | 31,251 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | $ | 45,000 | $ | 70,742 | |||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043 | 25,000 | 26,457 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 4.88% due 04/15/2028 | 15,000 | 14,850 | |||||||||
Netflix, Inc. Senior Notes 5.88% due 11/15/2028* | 10,000 | 10,563 | |||||||||
Netflix, Inc. Senior Notes 6.38% due 05/15/2029* | 5,000 | 5,406 | |||||||||
30,819 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
Neuberger Berman Group LLC/ Neuberger Berman Finance Corp. Senior Notes 4.88% due 04/15/2045* | 15,000 | 13,594 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Senior Notes 4.60% due 05/15/2028 | 35,000 | 35,553 | |||||||||
Oshkosh Corp. Company Guar. Notes 5.38% due 03/01/2025 | 15,000 | 15,394 | |||||||||
50,947 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Vertiv Group Corp. Senior Notes 9.25% due 10/15/2024* | 10,000 | 9,950 | |||||||||
Vertiv Intermediate Holding Corp. Senior Notes 12.00% due 02/15/2022*(10) | 5,000 | 4,825 | |||||||||
14,775 | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
RBS Global, Inc./Rexnord LLC Company Guar. Notes 4.88% due 12/15/2025* | 25,000 | 24,687 | |||||||||
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026* | 20,000 | 20,600 | |||||||||
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025 | 10,000 | 10,075 | |||||||||
55,362 | |||||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 41,000 | 40,842 |
130
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Products (continued) | |||||||||||
Becton Dickinson and Co. Senior Notes 4.67% due 06/06/2047 | $ | 36,000 | $ | 37,702 | |||||||
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025* | 5,000 | 4,974 | |||||||||
83,518 | |||||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.60% due 08/19/2026 | 12,000 | 11,352 | |||||||||
Amgen, Inc. Senior Notes 4.66% due 06/15/2051 | 23,000 | 23,132 | |||||||||
34,484 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
AbbVie, Inc. Senior Notes 3.60% due 05/14/2025 | 4,000 | 4,009 | |||||||||
Bausch Health Americas, Inc. Company Guar. Notes 8.50% due 01/31/2027* | 15,000 | 15,900 | |||||||||
Bausch Health Cos, Inc. Company Guar. Notes 9.25% due 04/01/2026* | 10,000 | 10,943 | |||||||||
Zoetis, Inc. Senior Notes 3.90% due 08/20/2028 | 75,000 | 76,525 | |||||||||
107,377 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Par Pharmaceutical, Inc. Senior Sec. Notes 7.50% due 04/01/2027* | 15,000 | 15,210 | |||||||||
Medical-HMO — 0.1% | |||||||||||
Centene Corp. Senior Notes 4.75% due 05/15/2022 | 15,000 | 15,263 | |||||||||
Centene Corp. Senior Notes 5.38% due 06/01/2026* | 5,000 | 5,219 | |||||||||
Centene Corp. Senior Notes 6.13% due 02/15/2024 | 15,000 | 15,717 | |||||||||
Molina Healthcare, Inc. Company Guar. Notes 4.88% due 06/15/2025* | 5,000 | 4,944 | |||||||||
Molina Healthcare, Inc. Company Guar. Notes 5.38% due 11/15/2022 | 10,000 | 10,381 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.85% due 06/15/2028 | 80,000 | 83,723 | |||||||||
WellCare Health Plans, Inc. Senior Notes 5.25% due 04/01/2025 | 5,000 | 5,175 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
WellCare Health Plans, Inc. Senior Notes 5.38% due 08/15/2026* | $ | 5,000 | $ | 5,231 | |||||||
145,653 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 55,000 | 51,750 | |||||||||
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022 | 25,000 | 16,625 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 8.00% due 03/15/2026* | 5,000 | 4,800 | |||||||||
CHS/Community Health Systems, Inc. Sec. Notes 8.13% due 06/30/2024* | 17,000 | 12,670 | |||||||||
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024 | 20,000 | 21,204 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 35,000 | 37,501 | |||||||||
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047 | 10,000 | 10,632 | |||||||||
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022 | 3,000 | 3,308 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024 | 5,000 | 5,008 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 6.00% due 10/01/2020 | 24,000 | 24,870 | |||||||||
Tenet Healthcare Corp. Sec. Notes 6.25% due 02/01/2027* | 5,000 | 5,190 | |||||||||
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022 | 5,000 | 5,379 | |||||||||
198,937 | |||||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
Air Medical Group Holdings, Inc. Senior Notes 6.38% due 05/15/2023* | 35,000 | 29,400 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 20,000 | 19,925 | |||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | 15,000 | 15,338 | |||||||||
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027 | 10,000 | 9,950 |
131
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal Processors & Fabrication (continued) | |||||||||||
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023* | $ | 15,000 | $ | 15,937 | |||||||
61,150 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043 | 5,000 | 4,375 | |||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 6.88% due 02/15/2023 | 15,000 | 15,900 | |||||||||
20,275 | |||||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025* | 16,000 | 16,053 | |||||||||
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024* | 34,000 | 35,073 | |||||||||
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022* | 10,000 | 10,550 | |||||||||
61,676 | |||||||||||
Multimedia — 0.1% | |||||||||||
Walt Disney Co. Company Guar. Notes 4.75% due 09/15/2044* | 20,000 | 22,923 | |||||||||
Walt Disney Co. Company Guar. Notes 7.75% due 01/20/2024* | 20,000 | 24,244 | |||||||||
Walt Disney Co. Company Guar. Notes 7.75% due 12/01/2045* | 10,000 | 15,943 | |||||||||
63,110 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023* | �� | 10,000 | 10,175 | ||||||||
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026* | 5,000 | 5,131 | |||||||||
15,306 | |||||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Republic Services, Inc. Senior Notes 3.95% due 05/15/2028 | 45,000 | 47,172 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025 | 25,000 | 22,406 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Alta Mesa Holdings LP/Alta Mesa Finance Services Corp. Company Guar. Notes 7.88% due 12/15/2024 | $ | 10,000 | $ | 3,700 | |||||||
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022 | 6,000 | 6,032 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021 | 11,000 | 11,041 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023 | 5,000 | 5,069 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 7.00% due 11/01/2026* | 5,000 | 4,806 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 10.00% due 04/01/2022* | 11,000 | 12,048 | |||||||||
California Resources Corp. Company Guar. Notes 5.00% due 01/15/2020 | 10,000 | 9,400 | |||||||||
California Resources Corp. Sec. Notes 8.00% due 12/15/2022* | 9,000 | 7,068 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025 | 40,000 | 40,800 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 06/15/2027 | 5,000 | 4,925 | |||||||||
Comstock Escrow Corp. Company Guar. Notes 9.75% due 08/15/2026* | 20,000 | 18,400 | |||||||||
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027 | 43,000 | 42,649 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044 | 10,000 | 10,164 | |||||||||
Covey Park Energy LLC/Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025* | 20,000 | 18,500 | |||||||||
Denbury Resources, Inc. Sec. Notes 7.50% due 02/15/2024* | 5,000 | 4,269 | |||||||||
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021* | 12,000 | 11,670 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025 | 25,000 | 26,094 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.50% due 01/30/2026* | 5,000 | 5,125 |
132
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.75% due 01/30/2028* | $ | 20,000 | $ | 20,950 | |||||||
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026 | 65,000 | 68,814 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 7.75% due 05/15/2026* | 10,000 | 8,125 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Sec. Notes 9.38% due 05/01/2024* | 13,000 | 4,615 | |||||||||
EQT Corp. Senior Notes 3.90% due 10/01/2027 | 30,000 | 28,060 | |||||||||
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. Senior Notes 5.63% due 02/15/2026* | 25,000 | 25,437 | |||||||||
Indigo Natural Resources LLC Senior Notes 6.88% due 02/15/2026* | 15,000 | 13,275 | |||||||||
Jagged Peak Energy LLC Company Guar. Notes 5.88% due 05/01/2026 | 5,000 | 4,958 | |||||||||
Newfield Exploration Co. Company Guar. Notes 5.75% due 01/30/2022 | 15,000 | 16,007 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.25% due 05/01/2026* | 25,000 | 23,812 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022 | 15,000 | 15,150 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023 | 5,000 | 5,000 | |||||||||
Range Resources Corp. Company Guar. Notes 5.75% due 06/01/2021 | 15,000 | 15,225 | |||||||||
SM Energy Co. Senior Notes 5.00% due 01/15/2024 | 10,000 | 9,250 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 4,000 | 4,000 | |||||||||
SM Energy Co. Senior Notes 6.63% due 01/15/2027 | 5,000 | 4,750 | |||||||||
SM Energy Co. Senior Notes 6.75% due 09/15/2026 | 5,000 | 4,794 | |||||||||
Whiting Petroleum Corp. Company Guar. Notes 6.63% due 01/15/2026 | 15,000 | 14,700 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
WPX Energy, Inc. Senior Notes 5.75% due 06/01/2026 | $ | 10,000 | $ | 10,150 | |||||||
WPX Energy, Inc. Senior Notes 6.00% due 01/15/2022 | 4,000 | 4,150 | |||||||||
WPX Energy, Inc. Senior Notes 8.25% due 08/01/2023 | 10,000 | 11,250 | |||||||||
554,232 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.12% due 05/04/2026 | 20,000 | 19,955 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.94% due 09/21/2028 | 58,000 | 60,765 | |||||||||
80,720 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026 | 15,000 | 15,187 | |||||||||
Chesapeake Oilfield Escrow Notes 6.63% due 11/15/2019†(2) | 20,000 | 2 | |||||||||
Nine Energy Service, Inc. Senior Notes 8.75% due 11/01/2023* | 5,000 | 5,163 | |||||||||
SESI LLC Company Guar. Notes 7.13% due 12/15/2021 | 5,000 | 4,481 | |||||||||
SESI LLC Company Guar. Notes 7.75% due 09/15/2024 | 10,000 | 8,275 | |||||||||
Seventy Seven Energy, Inc. Escrow Notes 6.50% due 07/15/2022†(2) | 5,000 | 1 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026 | 10,000 | 10,262 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Senior Notes 6.88% due 09/01/2027* | 5,000 | 5,081 | |||||||||
48,452 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
International Paper Co. Senior Notes 8.70% due 06/15/2038 | 5,000 | 7,008 | |||||||||
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 | 10,225 |
133
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Paper & Related Products (continued) | |||||||||||
Mercer International, Inc. Senior Notes 7.75% due 12/01/2022 | $ | 4,000 | $ | 4,160 | |||||||
26,293 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
CVS Health Corp. Senior Notes 4.75% due 12/01/2022 | 2,000 | 2,104 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 6,000 | 6,044 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032* | 60,883 | 72,374 | |||||||||
80,522 | |||||||||||
Pipelines — 0.3% | |||||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | 40,000 | 41,950 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025 | 35,000 | 38,063 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 5.38% due 07/15/2025 | 5,000 | 5,213 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037* | 20,000 | 20,600 | |||||||||
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032 | 30,000 | 39,475 | |||||||||
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023 | 9,000 | 9,376 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.50% due 06/01/2027 | 5,000 | 5,417 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.88% due 01/15/2024 | 67,000 | 73,134 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | 2,000 | 2,240 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.20% due 02/01/2022 | 15,000 | 15,754 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 15,000 | 14,619 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 25,000 | 25,800 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044 | 4,000 | 4,232 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032 | $ | 24,000 | $ | 31,325 | |||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 35,000 | 35,246 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027 | 17,000 | 18,027 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022 | 10,000 | 9,888 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028* | 10,000 | 10,028 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028 | 40,000 | 39,450 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 6.50% due 07/15/2027* | 10,000 | 10,788 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 6.88% due 01/15/2029* | 5,000 | 5,431 | |||||||||
Williams Cos., Inc. Senior Notes 3.60% due 03/15/2022 | 5,000 | 5,073 | |||||||||
Williams Cos., Inc. Senior Notes 4.30% due 03/04/2024 | 51,000 | 53,020 | |||||||||
Williams Cos., Inc. Senior Notes 7.75% due 06/15/2031 | 10,000 | 12,733 | |||||||||
526,882 | |||||||||||
Private Equity — 0.0% | |||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.88% due 02/01/2022 | 14,000 | 14,175 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.00% due 08/01/2020 | 11,000 | 11,105 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 02/01/2022 | 5,000 | 5,129 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024 | 10,000 | 10,425 | |||||||||
40,834 |
134
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Publishing-Periodicals — 0.0% | |||||||||||
Meredith Corp. Company Guar. Notes 6.88% due 02/01/2026 | $ | 20,000 | $ | 21,000 | |||||||
Quarrying — 0.0% | |||||||||||
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024* | 20,000 | 18,700 | |||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027* | 10,000 | 9,725 | |||||||||
Radio — 0.1% | |||||||||||
CBS Radio, Inc. Company Guar. Notes 7.25% due 11/01/2024* | 35,000 | 34,825 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027* | 75,000 | 75,045 | |||||||||
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 | 4,788 | |||||||||
123,984 | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
American Tower Corp. Senior Notes 3.38% due 10/15/2026 | 25,000 | 24,366 | |||||||||
American Tower Corp. Senior Notes 3.55% due 07/15/2027 | 20,000 | 19,680 | |||||||||
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027 | 26,000 | 25,566 | |||||||||
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028 | 55,000 | 54,669 | |||||||||
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047 | 5,000 | 4,939 | |||||||||
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022 | 11,000 | 11,594 | |||||||||
Digital Realty Trust LP Company Guar. Notes 4.45% due 07/15/2028 | 100,000 | 104,403 | |||||||||
Equinix, Inc. Senior Notes 5.38% due 05/15/2027 | 51,000 | 53,565 | |||||||||
Equinix, Inc. Senior Notes 5.88% due 01/15/2026 | 5,000 | 5,267 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | 20,000 | 19,867 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.25% due 06/01/2025 | $ | 10,000 | $ | 10,475 | |||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 10,000 | 10,449 | |||||||||
Hospitality Properties Trust Senior Notes 4.38% due 02/15/2030 | 18,000 | 16,666 | |||||||||
Hospitality Properties Trust Senior Notes 4.50% due 03/15/2025 | 10,000 | 9,931 | |||||||||
Iron Mountain US Holdings, Inc. Company Guar. Notes 5.38% due 06/01/2026* | 10,000 | 9,825 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 10,000 | 9,600 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 5.25% due 03/15/2028* | 5,000 | 4,831 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 5,000 | 4,906 | |||||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 5,000 | 5,019 | |||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 4.50% due 01/15/2028 | 5,000 | 4,700 | |||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024 | 5,000 | 5,200 | |||||||||
Omega Healthcare Investors, Inc. Company Guar. Notes 4.50% due 04/01/2027 | 10,000 | 10,030 | |||||||||
Omega Healthcare Investors, Inc. Company Guar. Notes 4.95% due 04/01/2024 | 25,000 | 25,960 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 15,000 | 14,925 | |||||||||
VEREIT Operating Partnership LP Company Guar. Notes 4.60% due 02/06/2024 | 25,000 | 25,726 | |||||||||
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032 | 20,000 | 26,405 | |||||||||
WP Carey, Inc. Senior Notes 4.60% due 04/01/2024 | 35,000 | 36,386 | |||||||||
554,950 |
135
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026 | $ | 17,000 | $ | 17,878 | |||||||
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025 | 13,000 | 13,941 | |||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 9.38% due 04/01/2027* | 5,000 | 5,119 | |||||||||
36,938 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025* | 25,000 | 24,967 | |||||||||
WeWork Cos., Inc. Company Guar. Notes 7.88% due 05/01/2025* | 25,000 | 23,000 | |||||||||
47,967 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024* | 15,000 | 15,233 | |||||||||
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042* | 39,000 | 44,150 | |||||||||
59,383 | |||||||||||
Research & Development — 0.0% | |||||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023* | 10,000 | 10,188 | |||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024* | 20,000 | 19,762 | |||||||||
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027* | 25,000 | 24,720 | |||||||||
44,482 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020 | 3,000 | 3,059 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024 | 10,000 | 9,950 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026 | 15,000 | 14,775 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022 | 14,000 | 14,228 | |||||||||
42,012 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Retail-Building Products — 0.0% | |||||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 4.88% due 11/01/2025* | $ | 10,000 | $ | 9,450 | |||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023 | 10,000 | 10,400 | |||||||||
19,850 | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Dollar General Corp. Senior Notes 3.25% due 04/15/2023 | 10,000 | 10,056 | |||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023* | 20,000 | 16,500 | |||||||||
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026 | 20,000 | 19,573 | |||||||||
36,073 | |||||||||||
Retail-Mail Order — 0.0% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 15,000 | 15,337 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
CEC Entertainment, Inc. Company Guar. Notes 8.00% due 02/15/2022 | 20,000 | 18,400 | |||||||||
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024* | 25,000 | 25,125 | |||||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | 15,000 | 15,750 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027* | 10,000 | 9,825 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024* | 20,000 | 20,400 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026* | 10,000 | 10,094 | |||||||||
99,594 | |||||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022* | 14,000 | 14,055 |
136
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Software Tools — 0.0% | |||||||||||
VMware, Inc. Senior Notes 3.90% due 08/21/2027 | $ | 15,000 | $ | 14,420 | |||||||
Steel-Producers — 0.0% | |||||||||||
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 7.25% due 09/01/2025* | 15,000 | 15,679 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 4.13% due 09/15/2025 | 5,000 | 4,888 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 5.00% due 12/15/2026 | 5,000 | 5,106 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024 | 15,000 | 15,488 | |||||||||
41,161 | |||||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021 | 10,000 | 10,250 | |||||||||
Allegheny Technologies, Inc. Senior Notes 7.88% due 08/15/2023 | 5,000 | 5,419 | |||||||||
15,669 | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Aveta, Inc. Escrow Notes 7.00% due 04/01/2019†(2) | 31,000 | 0 | |||||||||
CommScope Finance LLC Senior Sec. Notes 5.50% due 03/01/2024* | 5,000 | 5,114 | |||||||||
CommScope Finance LLC Senior Sec. Notes 6.00% due 03/01/2026* | 5,000 | 5,172 | |||||||||
CommScope Technologies LLC Company Guar. Notes 6.00% due 06/15/2025* | 25,000 | 24,305 | |||||||||
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023* | 20,000 | 20,100 | |||||||||
54,691 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 75,000 | 76,618 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 5,000 | 4,886 | |||||||||
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026* | 15,000 | 13,950 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025 | $ | 40,000 | $ | 26,325 | |||||||
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028 | 60,000 | 57,675 | |||||||||
Verizon Communications, Inc. Senior Notes 4.33% due 09/21/2028 | 15,000 | 15,863 | |||||||||
195,317 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 2.90% due 01/15/2027 | 18,000 | 16,809 | |||||||||
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026 | 6,000 | 6,096 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 30,000 | 30,158 | |||||||||
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045 | 21,000 | 20,030 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026* | 10,000 | 10,177 | |||||||||
Gray Television, Inc. Senior Notes 7.00% due 05/15/2027* | 25,000 | 26,562 | |||||||||
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 10,000 | 10,088 | |||||||||
Tribune Media Co. Company Guar. Notes 5.88% due 07/15/2022 | 10,000 | 10,206 | |||||||||
130,126 | |||||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.75% due 06/15/2025 | 10,000 | 9,348 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 11/15/2026 | 15,000 | 13,538 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 6.13% due 05/15/2027 | 5,000 | 4,519 | |||||||||
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023 | 18,000 | 18,302 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024* | 5,000 | 5,031 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026* | 20,000 | 20,650 | |||||||||
71,388 |
137
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Transactional Software — 0.0% | |||||||||||
Solera LLC Senior Notes 10.50% due 03/01/2024* | $ | 30,000 | $ | 32,518 | |||||||
Transport-Rail — 0.0% | |||||||||||
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023* | 19,000 | 19,095 | |||||||||
Travel Services — 0.0% | |||||||||||
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023* | 15,000 | 15,374 | |||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 16,000 | 15,313 | |||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 4.90% due 08/28/2028* | 68,000 | 72,191 | |||||||||
Web Portals/ISP — 0.0% | |||||||||||
Alphabet Inc Senior Notes 2.00% due 08/15/2026 | 35,000 | 33,022 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $9,735,296) | 9,923,309 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.9% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Bombardier, Inc. Senior Notes 7.50% due 12/01/2024* | 25,000 | 25,969 | |||||||||
Bombardier, Inc. Senior Notes 7.88% due 04/15/2027* | 10,000 | 10,315 | |||||||||
Bombardier, Inc. Senior Notes 8.75% due 12/01/2021* | 5,000 | 5,525 | |||||||||
41,809 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 45,000 | 46,338 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Panther BF Aggregator 2 LP/Panther Finance Co, Inc. Senior Sec. Notes 6.25% due 05/15/2026* | 5,000 | 5,100 | |||||||||
Panther BF Aggregator 2 LP/Panther Finance Co, Inc. Company Guar. Notes 8.50% due 05/15/2027* | 15,000 | 15,037 | |||||||||
20,137 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Banks-Commercial — 0.1% | |||||||||||
Bank of Montreal Sub. Notes 3.80% due 12/15/2032 | $ | 10,000 | $ | 9,670 | |||||||
CIT Group, Inc. Senior Notes 5.25% due 03/07/2025 | 96,000 | 102,149 | |||||||||
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019* | 10,000 | 10,122 | |||||||||
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026 | 50,000 | 53,008 | |||||||||
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031 | 19,000 | 18,753 | |||||||||
193,702 | |||||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047 | 35,000 | 33,556 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022* | 6,000 | 6,030 | |||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | 5,000 | 4,908 | |||||||||
Mattamy Group Corp. Senior Notes 6.88% due 12/15/2023* | 10,000 | 10,200 | |||||||||
21,138 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023 | 1,000 | 1,042 | |||||||||
Videotron, Ltd. Company Guar. Notes 5.13% due 04/15/2027* | 30,000 | 30,600 | |||||||||
31,642 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 35,000 | 35,575 | |||||||||
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 | 9,613 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
IHS Markit, Ltd. Company Guar. Notes 4.00% due 03/01/2026* | 15,000 | 14,985 |
138
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Commercial Services-Finance (continued) | |||||||||||
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025* | $ | 60,000 | $ | 62,460 | |||||||
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026* | 35,000 | 35,481 | |||||||||
112,926 | |||||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | 40,000 | 39,897 | |||||||||
Diversified Minerals — 0.0% | |||||||||||
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041* | 5,000 | 5,147 | |||||||||
Teck Resources, Ltd. Company Guar. Notes 3.75% due 02/01/2023 | 5,000 | 4,994 | |||||||||
10,141 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
PPL WEM Holdings, Ltd. Senior Notes 5.38% due 05/01/2021* | 15,000 | 15,486 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Iberdrola International BV Company Guar. Notes 6.75% due 07/15/2036 | 10,000 | 12,481 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Legrand France SA Senior Notes 8.50% due 02/15/2025 | 41,000 | 51,015 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 7.88% due 11/01/2022* | 5,000 | 5,250 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
Travelport Corporate Finance PLC Senior Sec. Notes 6.00% due 03/15/2026* | 15,000 | 16,200 | |||||||||
Gold Mining — 0.0% | |||||||||||
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022* | 5,000 | 4,400 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
GFL Environmental, Inc. Senior Notes 5.38% due 03/01/2023* | 5,000 | 4,725 | |||||||||
Hulk Finance Corp. Senior Notes 7.00% due 06/01/2026* | 20,000 | 18,950 | |||||||||
23,675 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Independent Power Producers — 0.0% | |||||||||||
Vistra Energy Corp. Company Guar. Notes 7.63% due 11/01/2024 | $ | 10,000 | $ | 10,575 | |||||||
Insurance Brokers — 0.0% | |||||||||||
Aon PLC Company Guar. Notes 4.25% due 12/12/2042 | 20,000 | 18,891 | |||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Fairfax Financial Holdings, Ltd. Senior Notes 4.85% due 04/17/2028 | 55,000 | 54,807 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
ATS Automation Tooling Systems, Inc. Company Guar. Notes 6.50% due 06/15/2023* | 5,000 | 5,169 | |||||||||
Medical Products — 0.0% | |||||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025* | 10,000 | 7,800 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.50% due 11/01/2025* | 5,000 | 5,106 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027* | 5,000 | 5,127 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023* | 9,000 | 9,113 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025* | 50,000 | 49,500 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 5,000 | 5,175 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 7.00% due 03/15/2024* | 15,000 | 15,870 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 9.00% due 12/15/2025* | 10,000 | 10,863 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023 | 23,000 | 22,698 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026 | 28,000 | 27,076 | |||||||||
150,528 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025* | 10,000 | 10,262 |
139
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Ensco PLC Senior Notes 7.75% due 02/01/2026 | $ | 10,000 | $ | 8,438 | |||||||
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024 | 5,000 | 4,502 | |||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | 10,000 | 9,275 | |||||||||
Precision Drilling Corp. Company Guar. Notes 7.13% due 01/15/2026* | 20,000 | 19,831 | |||||||||
Transocean Pontus, Ltd. Senior Sec. Notes 6.13% due 08/01/2025* | 9,450 | 9,568 | |||||||||
Transocean Poseidon, Ltd. Senior Sec. Notes 6.88% due 02/01/2027* | 5,000 | 5,200 | |||||||||
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031 | 5,000 | 4,275 | |||||||||
61,089 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024* | 5,000 | 4,644 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 4.75% due 11/01/2024 | 5,000 | 5,111 | |||||||||
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023* | 10,000 | 9,250 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 10,000 | 9,852 | |||||||||
Vermilion Energy, Inc. Company Guar. Notes 5.63% due 03/15/2025* | 5,000 | 4,850 | |||||||||
33,707 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039 | 10,000 | 11,145 | |||||||||
Equinor ASA Company Guar. Notes 5.10% due 08/17/2040 | 30,000 | 35,376 | |||||||||
46,521 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Weatherford International, Ltd. Company Guar. Notes 8.25% due 06/15/2023 | 5,000 | 3,537 | |||||||||
Weatherford International, Ltd. Company Guar. Notes 9.88% due 02/15/2024 | 10,000 | 7,200 | |||||||||
10,737 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Paper & Related Products — 0.0% | |||||||||||
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025 | $ | 15,000 | $ | 17,100 | |||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Company Guar. Notes 3.75% due 07/15/2023* | 98,000 | 100,480 | |||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Company Guar. Notes 4.25% due 12/01/2026 | 15,000 | 15,639 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027* | 50,000 | 48,783 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 4.25% due 05/15/2024* | 15,000 | 14,850 | |||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022* | 5,000 | 5,024 | |||||||||
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025* | 20,000 | 19,756 | |||||||||
39,630 | |||||||||||
Satellite Telecom — 0.1% | |||||||||||
Intelsat Connect Finance SA Company Guar. Notes 9.50% due 02/15/2023* | 35,000 | 30,986 | |||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025* | 35,000 | 35,535 | |||||||||
66,521 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 5,000 | 5,533 | |||||||||
ArcelorMittal Senior Notes 7.50% due 10/15/2039 | 12,000 | 13,662 | |||||||||
19,195 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028 | 65,000 | 65,717 | |||||||||
Level 3 Financing, Inc. Company Guar. Notes 5.63% due 02/01/2023 | 40,000 | 40,450 | |||||||||
106,167 |
140
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022 | $ | 25,000 | $ | 25,781 | |||||||
Total Foreign Corporate Bonds & Notes (cost $1,553,148) | 1,578,988 | ||||||||||
LOANS(11)(12)(13) — 0.1% | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Navistar, Inc. FRS BTL-B 6.00% (1 ML+3.50%) due 11/06/2024 | 34,687 | 34,500 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
AZEK Co. LLC FRS BTL-B 6.63% (3 ML +3.75%) due 05/05/2024 | 4,664 | 4,617 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. FRS BTL 6.85 - 7.01% (3 ML+4.25%) due 06/21/2024 | 4,950 | 4,739 | |||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. FRS 1st Lien 5.74% (3 ML+3.00%) due 11/03/2023 | 4,962 | 4,633 | |||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Revlon Consumer Products Corp. FRS BTL-B 6.10 - 6.13% (3 ML+3.50%) due 09/07/2023 | 9,600 | 6,922 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Ortho-Clinical Diagnostics SA FRS BTL 5.75% (1 ML+3.25%) due 06/01/2025 | 9,800 | 9,428 | |||||||||
Environmental Consulting & Engineering — 0.0% | |||||||||||
Robertshaw US Holding Corp. FRS 1st Lien 6.00% (1 ML+3.50) due 02/28/2025 | 9,900 | 9,281 | |||||||||
Robertshaw US Holding Corp. FRS 2nd Lien 10.50% (1 ML +8.00%) due 02/28/2026 | 10,000 | 8,650 | |||||||||
17,931 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Titan Acquisition, Ltd. FRS BTL 5.50% (1 ML+3.00%) due 03/28/2025 | 24,750 | 22,931 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
KCA Deutag US Finance LLC FRS BTL-B 9.35% (3 ML+6.75%) due 03/21/2023 | $ | 4,950 | $ | 4,214 | |||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
California Resources Corp. FRS BTL 7.25% (1 ML +4.75%) due 11/17/2022 | 10,000 | 9,800 | |||||||||
Oil-Field Services — 0.0% | |||||||||||
FTS International, Inc. FRS BTL 7.25% (1 ML +4.75%) due 04/16/2021 | 2,298 | 2,290 | |||||||||
Retail-Fabric Store — 0.0% | |||||||||||
Jo-Ann Stores LLC FRS 2nd Lien 12.01% (3 ML +9.25%) due 05/21/2024 | 15,000 | 14,287 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B 5.25% (1 ML +2.75%) due 03/31/2024 | 6,884 | 6,801 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Avaya, Inc. FRS BTL-B 6.73% (1 ML +4.25%) due 12/15/2024 | 12,300 | 12,229 | |||||||||
Avaya, Inc. FRS BTL-B 6.85% (2 ML +4.25%) due 12/15/2024 | 7,438 | 7,395 | |||||||||
19,624 | |||||||||||
Total Loans (cost $170,434) | 162,717 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.1% | |||||||||||
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049 | 25,000 | 37,203 | |||||||||
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040 | 15,000 | 18,091 | |||||||||
State of California General Obligation Bonds 7.50% due 04/01/2034 | 30,000 | 43,310 | |||||||||
Total Municipal Bonds & Notes (cost $70,175) | 98,604 | ||||||||||
U.S. GOVERNMENT AGENCIES — 1.4% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.1% | |||||||||||
5.50% due 06/01/2035 | 3,035 | 3,335 | |||||||||
7.50% due 10/01/2029 | 3,190 | 3,555 |
141
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 10.60% (-2.56* 1 ML+16.95) due 06/15/2034(4)(14) | $ | 9,371 | $ | 10,705 | |||||||
Series 3065, Class DC 12.41% (-3* 1 ML+19.86) due 03/15/2035(4)(14) | 20,752 | 27,856 | |||||||||
Series 3072, Class SM 14.69% (-3.67* 1 ML+23.80) due 11/15/2035(4)(14) | 12,694 | 18,186 | |||||||||
63,637 | |||||||||||
Federal National Mtg. Assoc. — 0.7% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2016-C05, Class 2M1 3.84% (1 ML+1.35%) due 01/25/2029(4) | 768 | 768 | |||||||||
Series 2014-C02, Class 2M2 5.09% (1 ML + 2.60%) due 05/25/2024(4) | 63,678 | 66,098 | |||||||||
Series 2017-C01, Class 1M2 6.04% (1 ML+3.55%) due 07/25/2029(4) | 15,000 | 16,113 | |||||||||
Series 2015-C01, Class 1M2 6.79% (1 ML+4.30%) due 02/25/2025(4) | 12,143 | 13,239 | |||||||||
Series 2016-C03, Class 1M2 7.79% (1 ML+5.30%) due 10/25/2028(4) | 10,000 | 11,466 | |||||||||
Series 2016-C02, Class 1M2 8.49% (1 ML+6.00%) due 09/25/2028(4) | 29,762 | 33,914 | |||||||||
Federal National Mtg. Assoc. 3.00% due 09/01/2046 | 650,214 | 648,233 | |||||||||
3.00% due 10/01/2046 | 250,959 | 250,169 | |||||||||
3.50% due 01/01/2047 | 24,027 | 24,360 | |||||||||
4.00% due 05/01/2019 | 799 | 823 | |||||||||
4.00% due 09/01/2020 | 1,390 | 1,432 | |||||||||
4.50% due 03/01/2020 | 532 | 541 | |||||||||
4.50% due 04/01/2020 | 289 | 294 | |||||||||
4.50% due 09/01/2020 | 1,050 | 1,068 | |||||||||
4.50% due 11/01/2020 | 625 | 637 | |||||||||
5.00% due 03/01/2021 | 679 | 694 | |||||||||
6.00% due 06/01/2036 | 1,074 | 1,174 | |||||||||
6.50% due 01/01/2036 | 8 | 9 | |||||||||
6.50% due 06/01/2036 | 6,544 | 7,227 | |||||||||
6.50% due 07/01/2036 | 3,160 | 3,661 | |||||||||
6.50% due 09/01/2036 | 8,846 | 9,940 | |||||||||
6.50% due 11/01/2036 | 20,174 | 22,281 | |||||||||
7.00% due 06/01/2033 | 3,188 | 3,560 | |||||||||
7.00% due 04/01/2035 | 4,993 | 5,713 | |||||||||
7.50% due 04/01/2024 | 3,646 | 3,838 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.38% due 10/25/2041(4)(5)(6) | 67,321 | 1,082 |
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 12.79% (-3* 1 ML+20.25) due 08/25/2035(4)(14) | $ | 5,833 | $ | 7,260 | |||||||
Series 2005-122, Class SE 14.40% (-3.5* 1 ML+23.10) due 11/25/2035(4)(14) | 6,607 | 8,458 | |||||||||
Series 2006-8, Class HP 15.45% (-3.67* 1 ML+24.57) due 03/25/2036(4)(14) | 12,875 | 18,840 | |||||||||
1,162,892 | |||||||||||
Government National Mtg. Assoc. — 0.6% | |||||||||||
3.50% due 09/20/2048 | 999,999 | 1,012,187 | |||||||||
6.50% due 08/20/2037 | 12,863 | 14,845 | |||||||||
6.50% due 09/20/2037 | 3,120 | 3,602 | |||||||||
1,030,634 | |||||||||||
Total U.S. Government Agencies (cost $2,247,549) | 2,257,163 | ||||||||||
U.S. GOVERNMENT TREASURIES — 4.8% | |||||||||||
United States Treasury Bonds — 1.2% | |||||||||||
2.75% due 08/15/2042(15) | 1,740,000 | 1,732,659 | |||||||||
3.00% due 02/15/2047 | 330,000 | 342,440 | |||||||||
2,075,099 | |||||||||||
United States Treasury Notes — 3.6% | |||||||||||
1.50% due 05/31/2020 | 1,370,000 | 1,355,765 | |||||||||
1.63% due 10/31/2023 | 490,000 | 476,889 | |||||||||
1.63% due 02/15/2026 | 110,000 | 105,106 | |||||||||
1.88% due 11/30/2021 | 430,000 | 425,784 | |||||||||
2.00% due 11/30/2020 | 1,050,000 | 1,044,135 | |||||||||
2.00% due 02/15/2022 | 510,000 | 506,772 | |||||||||
2.13% due 12/31/2022 | 700,000 | 697,129 | |||||||||
2.25% due 11/15/2027 | 170,000 | 168,194 | |||||||||
2.38% due 08/15/2024 | 120,000 | 120,605 | |||||||||
2.63% due 06/15/2021 | 1,000,000 | 1,007,851 | |||||||||
5,908,230 | |||||||||||
Total U.S. Government Treasuries (cost $7,853,463) | 7,983,329 | ||||||||||
EXCHANGE-TRADED FUNDS — 2.1% | |||||||||||
SPDR S&P 500 ETF Trust | 11,046 | 3,120,274 | |||||||||
SPDR S&P MidCap 400 ETF Trust | 1,237 | 427,260 | |||||||||
Total Exchange-Traded Funds (cost $3,317,044) | 3,547,534 | ||||||||||
EQUITY CERTIFICATES — 0.3% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
UBS AG - Focus Media Information Technology Co., Ltd. | 65,400 | 61,019 | |||||||||
Banks-Commercial — 0.1% | |||||||||||
Merrill Lynch - Al Rajhi Bank | 2,986 | 84,874 | |||||||||
Merrill Lynch - National Bank of Kuwait SAKP | 33,631 | 99,533 | |||||||||
Merrill Lynch - Samba Financial Group | 5,083 | 52,045 | |||||||||
236,452 |
142
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
EQUITY CERTIFICATES (continued) | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
UBS AG - Wuliangye Yibin Co., Ltd. | 10,910 | $ | 154,229 | ||||||||
Insurance-Life/Health — 0.1% | |||||||||||
Merrill Lynch - Bupa Arabia for Cooperative Insurance Co. | 3,828 | 84,820 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Merrill Lynch - Jarir Marketing Co. | 1,130 | 47,606 | |||||||||
Total Equity Certificates (cost $524,466) | 584,126 | ||||||||||
Total Long-Term Investment Securities (cost $141,199,141) | 151,507,558 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.8% | |||||||||||
Commercial Paper — 2.8% | |||||||||||
Atlantic Asset Securitization LLC 2.49% due 04/08/2019* | $ | 1,000,000 | 999,319 | ||||||||
Matchpoint Finance PLC 2.56% due 05/13/2019* | 500,000 | 498,391 | |||||||||
Mitsubishi UFJ Trust & Banking Corp. 2.58% due 04/29/19* | 1,000,000 | 997,905 | |||||||||
NRW Bank 2.55% due 05/16/2019* | 750,000 | 747,516 | |||||||||
Regency Markets No. 1 LLC 2.54% due 04/04/2019* | 1,000,000 | 999,592 | |||||||||
Thunder Bay Funding LLC 2.54% due 04/23/2019* | 490,000 | 489,162 | |||||||||
Total Short-Term Investment Securities (cost $4,732,776) | 4,731,885 | ||||||||||
REPURCHASE AGREEMENTS — 6.5% | |||||||||||
Agreement with Bank of America Securities LLC, bearing interest at 2.54%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $10,761,277 collateralized by $11,086,000 of United States Treasury Notes, bearing interest at 2.13% due 05/15/2025 and having an approximate value of $11,053,851. (cost $10,759,000) | 10,759,000 | 10,759,000 | |||||||||
TOTAL INVESTMENTS (cost $156,690,917)(17) | 100.5 | % | 166,998,443 | ||||||||
Liabilities in excess of other assets | (0.5 | ) | (867,837 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 166,130,606 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $11,209,264 representing 6.7% of net assets.
(1) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
MWO Holdings LLC | 08/24/2016 | 10 | $ | 6,153 | $ | 338 | $ | 33.83 | 0.00 | % | |||||||||||||||||
GenOn Holdings, Inc. Class A | 01/17/2019 | 54 | 8,389 | 7,654 | 141.75 | 0.00 | |||||||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 1,362 | 0 | 978 | 0.72 | 0.00 | |||||||||||||||||||||
$ | 8,970 | 0.00 | % |
(2) Securities classified as Level 3 (see Note 2).
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Collateralized Mortgage Obligation
(5) Interest Only
(6) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(7) Commercial Mortgage Backed Security
(8) Company has filed for bankruptcy protection.
(9) Security in default of interest.
(10) PIK ("Payment-in-Kind") security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.
(11) 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 Offered 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.
(12) 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.
143
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
(13) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(14) Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at March 31, 2019.
(15) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(16) Denominated in United States Dollars unless otherwise indicated.
(17) See Note 4 for cost of investments on a tax basis
ADR — American Depositary Receipt
BTL — Bank Term Loan
CVA — Certification Van Aandelen (Dutch Cert.)
CVR — Contingent Value Rights
DAC — Designated Activity Company
ETF — Exchange-Traded Fund
GDR — Global Depositary Receipt
REMIC — Real Estate Mortgage Investment Conduit
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2019 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend
1 ML — 1 Month USD LIBOR
2 ML — 2 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ML — 6 Month USD LIBOR
12 MTA — 12 Month USD Treasury Average Index
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
104 | Long | E-Mini Russell 2000 Index | June 2019 | $ | 8,019,960 | $ | 8,027,760 | $ | 7,800 | ||||||||||||||||||
24 | Long | S&P 500 E-Mini Index | June 2019 | 3,396,165 | 3,405,360 | 9,195 | |||||||||||||||||||||
17 | Short | S&P 500 E-Mini Index | June 2019 | 2,360,238 | 2,412,130 | (51,892 | ) | ||||||||||||||||||||
66 | Long | U.S. Treasury 10 Year Notes | June 2019 | 8,060,844 | 8,198,438 | 137,594 | |||||||||||||||||||||
104 | Short | U.S. Treasury 10 Year Notes | June 2019 | 12,700,727 | 12,918,750 | (218,023 | ) | ||||||||||||||||||||
7 | Long | U.S. Treasury 2 Year Notes | June 2019 | 1,484,961 | 1,491,656 | 6,695 | |||||||||||||||||||||
43 | Short | U.S. Treasury 2 Year Notes | June 2019 | 9,124,062 | 9,163,031 | (38,969 | ) | ||||||||||||||||||||
53 | Short | U.S. Treasury 5 Year Notes | June 2019 | 6,073,883 | 6,138,891 | (65,008 | ) | ||||||||||||||||||||
$ | (212,608 | ) |
* 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. | $ | 8,219 | 11/26/2019 | (3 Month USD LIBOR-BBA | Citibank U.S. Equity Custom | ||||||||||||||||||||||
plus 34 bps)/Quarterly | Basket(1)/Quarterly | $ | — | $ | 13,471 | ||||||||||||||||||||||
Citibank N.A. | 7,221 | 11/26/2019 | 3 Month USD LIBOR-BBA | Russell 1000 Index Total Return/ | |||||||||||||||||||||||
plus 25 bps/Quarterly | Quarterly | — | (12,547 | ) | |||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | 924 |
BBA — British Banker's Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(1) The following are the 50 largest components in the Citibank U.S. Equity Custom Basket:
144
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Common Stocks | Percentage* | Shares | Value | ||||||||||||
JPMorgan Chase & Co. | 2.5 | % | 52 | $ | 208,353 | ||||||||||
Alphabet, Inc., Class A | 2.5 | 4 | 205,517 | ||||||||||||
Walt Disney Co. | 2.2 | 41 | 183,991 | ||||||||||||
Honeywell International, Inc. | 1.9 | 25 | 159,510 | ||||||||||||
Apple, Inc. | 1.9 | 21 | 158,192 | ||||||||||||
Microsoft Corp. | 1.9 | 33 | 155,037 | ||||||||||||
Starbucks Corp. | 1.8 | 51 | 151,323 | ||||||||||||
Mondelez International, Inc., Class A | 1.8 | 73 | 145,412 | ||||||||||||
Automatic Data Processing, Inc. | 1.8 | 23 | 144,933 | ||||||||||||
TJX Cos., Inc. | 1.8 | 68 | 143,894 | ||||||||||||
Texas Instruments, Inc. | 1.7 | 34 | 143,495 | ||||||||||||
Intuit, Inc. | 1.7 | 14 | 143,375 | ||||||||||||
Raytheon Co. | 1.7 | 19 | 139,621 | ||||||||||||
Exelon Corp. | 1.7 | 69 | 138,343 | ||||||||||||
American Electric Power Co., Inc. | 1.7 | 41 | 136,266 | ||||||||||||
Intercontinental Exchange, Inc. | 1.6 | 43 | 131,154 | ||||||||||||
Coca-Cola Co. | 1.6 | 70 | 130,076 | ||||||||||||
Exxon Mobil Corp. | 1.6 | 40 | 129,716 | ||||||||||||
US Bancorp | 1.6 | 67 | 127,999 | ||||||||||||
Cognizant Technology Solutions Corp., Class A | 1.5 | 43 | 125,763 | ||||||||||||
Fidelity National Information Services, Inc. | 1.5 | 27 | 121,489 | ||||||||||||
AutoZone, Inc. | 1.5 | 3 | 119,812 | ||||||||||||
Occidental Petroleum Corp. | 1.4 | 45 | 117,855 | ||||||||||||
Northrop Grumman Corp. | 1.4 | 11 | 117,615 | ||||||||||||
Sysco Corp. | 1.4 | 42 | 112,903 | ||||||||||||
Johnson & Johnson | 1.4 | 20 | 112,823 | ||||||||||||
Allstate Corp. | 1.3 | 29 | 110,067 | ||||||||||||
Humana, Inc. | 1.3 | 10 | 109,868 | ||||||||||||
Waste Management, Inc. | 1.3 | 26 | 109,548 | ||||||||||||
T-Mobile US, Inc. | 1.3 | 39 | 107,551 | ||||||||||||
Annaly Capital Management, Inc. | 1.3 | 266 | 105,994 | ||||||||||||
Amazon.com, Inc. | 1.3 | 1 | 105,914 | ||||||||||||
Cisco Systems, Inc. | 1.3 | 48 | 103,717 | ||||||||||||
Omnicom Group, Inc. | 1.2 | 35 | 102,120 | ||||||||||||
Comerica, Inc. | 1.2 | 33 | 96,129 | ||||||||||||
Verizon Communications, Inc. | 1.2 | 41 | 95,690 | ||||||||||||
Norfolk Southern Corp. | 1.1 | 12 | 92,615 | ||||||||||||
Centene Corp. | 1.1 | 43 | 90,418 | ||||||||||||
Baxter International, Inc. | 1.1 | 28 | 90,338 | ||||||||||||
Pfizer, Inc. | 1.1 | 53 | 89,180 | ||||||||||||
Merck & Co., Inc. | 1.0 | 26 | 84,867 | ||||||||||||
VICI Properties, Inc. | 1.0 | 96 | 84,108 | ||||||||||||
Kinder Morgan, Inc. | 1.0 | 99 | 79,236 | ||||||||||||
F5 Networks, Inc. | 1.0 | 13 | 78,836 | ||||||||||||
Ross Stores, Inc. | 0.9 | 21 | 77,239 | ||||||||||||
Garmin, Ltd. | 0.9 | 22 | 75,921 | ||||||||||||
AGNC Investment Corp. | 0.9 | 101 | 72,646 | ||||||||||||
NXP Semiconductors NV | 0.9 | 20 | 70,929 | ||||||||||||
Cadence Design Systems, Inc. | 0.8 | 27 | 69,251 | ||||||||||||
Procter & Gamble Co. | 0.8 | 17 | 68,812 | ||||||||||||
Total of the 50 largest components in the Citibank U.S. Equity Custom Basket | 71.4 | 5,875,461 | |||||||||||||
Other components in the Citibank U.S. Equity Custom Basket | 28.6 | 2,343,600 | |||||||||||||
Total components in the Citibank U.S. Equity Custom Basket | 100.0 | % | $ | 8,219,061 |
* Represents the weighting of the component in the custom basket.
145
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Bank of America, N.A. | GBP | 420,400 | USD | 558,018 | 06/19/2019 | $ | 8,344 | $ | — | ||||||||||||||||||||||
USD | 638,177 | EUR | 555,800 | 06/19/2019 | — | (10,599 | ) | ||||||||||||||||||||||||
USD | 550,258 | GBP | 413,600 | 06/19/2019 | — | (9,475 | ) | ||||||||||||||||||||||||
8,344 | (20,074 | ) | |||||||||||||||||||||||||||||
Barclays Bank PLC | HKD | 3,082,000 | USD | 394,121 | 05/15/2019 | 966 | — | ||||||||||||||||||||||||
Citibank N.A. | USD | 169,465 | DKK | 1,100,000 | 06/19/2019 | — | (3,017 | ) | |||||||||||||||||||||||
USD | 96,059 | GBP | 72,200 | 06/19/2019 | — | (1,657 | ) | ||||||||||||||||||||||||
— | (4,674 | ) | |||||||||||||||||||||||||||||
HSBC Bank USA | USD | 488,256 | CNH | 3,307,400 | 05/15/2019 | 3,657 | — | ||||||||||||||||||||||||
USD | 435,419 | EUR | 379,200 | 06/19/2019 | — | (7,248 | ) | ||||||||||||||||||||||||
3,657 | (7,248 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase Bank | NOK | 450,600 | USD | 52,869 | 06/19/2019 | 469 | — | ||||||||||||||||||||||||
SEK | 2,372,900 | USD | 258,819 | 06/19/2019 | 2,100 | — | |||||||||||||||||||||||||
USD | 265,878 | AUD | 379,000 | 04/17/2019 | 3,313 | — | |||||||||||||||||||||||||
USD | 550,937 | JPY | 60,414,100 | 05/15/2019 | — | (3,898 | ) | ||||||||||||||||||||||||
USD | 409,094 | KRW | 456,835,800 | 05/15/2019 | — | (7,028 | ) | ||||||||||||||||||||||||
USD | 162,250 | SGD | 218,600 | 05/15/2019 | — | (821 | ) | ||||||||||||||||||||||||
USD | 696,253 | CHF | 688,100 | 06/19/2019 | — | (115 | ) | ||||||||||||||||||||||||
5,882 | (11,862 | ) | |||||||||||||||||||||||||||||
State Street Bank and Trust Co. | USD | 11,822 | ILS | 43,900 | 04/17/2019 | 275 | — | ||||||||||||||||||||||||
UBS AG | USD | 357,017 | AUD | 508,300 | 04/17/2019 | 4,012 | — | ||||||||||||||||||||||||
USD | 24,962 | CAD | 33,600 | 04/17/2019 | 191 | — | |||||||||||||||||||||||||
4,203 | — | ||||||||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 23,327 | $ | (43,858 | ) |
AUD — Australian Dollar
CAD — Canadian Dollar
CHF — Swiss Franc
CNH — Yuan Renminbi
DKK — Danish Krone
EUR — Euro Currency
GBP — Pound Sterling
HKD — Hong Kong Dollar
ILS — New Israeli Sheqel
JPY — Japanese Yen
KRW — South Korean Won
NOK — Norwegian Krone
SEK — Swedish Krona
SGD — Singpore Dollar
USD — United States Dollar
146
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | — | $ | 978 | $ | — | $ | 978 | |||||||||||
Independent Power Producers | 482,118 | — | 7,654 | 489,772 | |||||||||||||||
Oil Companies-Exploration & Production | 1,327,820 | 132,662 | ** | 338 | 1,460,820 | ||||||||||||||
Other Industries | 92,733,577 | 27,064,722 | ** | — | 119,798,299 | ||||||||||||||
Convertible Preferred Securities | 15,877 | — | — | 15,877 | |||||||||||||||
Preferred Securities | 15,103 | — | — | 15,103 | |||||||||||||||
Preferred Securities/Capital Securities | — | 499,206 | — | 499,206 | |||||||||||||||
Asset Backed Securities | — | 3,087,486 | — | 3,087,486 | |||||||||||||||
Convertible Bonds & Notes | — | 4,247 | — | 4,247 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Independent Power Producers | — | 85,886 | 0 | 85,886 | |||||||||||||||
Oil-Field Services | — | 48,449 | 3 | 48,452 | |||||||||||||||
Telecommunication Equipment | — | 54,691 | 0 | 54,691 | |||||||||||||||
Other Industries | — | 9,734,280 | — | 9,734,280 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,578,988 | — | 1,578,988 | |||||||||||||||
Loans | — | 162,717 | — | 162,717 | |||||||||||||||
Municipal Bonds & Notes | — | 98,604 | — | 98,604 | |||||||||||||||
U.S. Government Agencies | — | 2,257,163 | — | 2,257,163 | |||||||||||||||
U.S. Government Treasuries | — | 7,983,329 | — | 7,983,329 | |||||||||||||||
Exchange-Traded Funds | 3,547,534 | — | — | 3,547,534 | |||||||||||||||
Equity Certificates | — | 584,126 | — | 584,126 | |||||||||||||||
Short-Term Investment Securities | — | 4,731,885 | — | 4,731,885 | |||||||||||||||
Repurchase Agreements | — | 10,759,000 | — | 10,759,000 | |||||||||||||||
Total Investments at Value | $ | 98,122,029 | $ | 68,868,419 | $ | 7,995 | $ | 166,998,443 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 161,284 | $ | — | $ | — | $ | 161,284 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 13,471 | — | 13,471 | |||||||||||||||
Forward Foreign Currency Contracts | — | 23,327 | — | 23,327 | |||||||||||||||
Total Other Financial Instruments | $ | 161,284 | $ | 36,798 | $ | — | $ | 198,082 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 373,892 | $ | — | $ | — | $ | 373,892 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 12,547 | — | 12,547 | |||||||||||||||
Forward Foreign Currency Contracts | — | 43,858 | — | 43,858 | |||||||||||||||
Total Other Financial Instruments | $ | 373,892 | $ | 56,405 | $ | — | $ | 430,297 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no Level 3 transfers during the reporting period.
See Notes to Financial Statements
147
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
E-Commerce/Products | 10.7 | % | |||||
Applications Software | 8.9 | ||||||
Internet Content-Entertainment | 6.8 | ||||||
Finance-Credit Card | 6.5 | ||||||
Web Portals/ISP | 6.0 | ||||||
Medical-HMO | 5.4 | ||||||
Aerospace/Defense | 4.7 | ||||||
Commercial Services-Finance | 4.3 | ||||||
Medical Products | 3.8 | ||||||
E-Commerce/Services | 3.3 | ||||||
Finance-Investment Banker/Broker | 2.2 | ||||||
Internet Application Software | 2.2 | ||||||
Medical-Biomedical/Gene | 2.1 | ||||||
Casino Hotels | 2.1 | ||||||
Machinery-General Industrial | 1.8 | ||||||
Computer Software | 1.8 | ||||||
Data Processing/Management | 1.7 | ||||||
Retail-Discount | 1.7 | ||||||
Medical Instruments | 1.6 | ||||||
Internet Security | 1.3 | ||||||
Registered Investment Companies | 1.3 | ||||||
Tobacco | 1.2 | ||||||
Multimedia | 1.2 | ||||||
Athletic Footwear | 1.1 | ||||||
Pharmacy Services | 1.1 | ||||||
Software Tools | 1.0 | ||||||
Electronic Components-Semiconductors | 1.0 | ||||||
Enterprise Software/Service | 1.0 | ||||||
Electronic Measurement Instruments | 1.0 | ||||||
Auto/Truck Parts & Equipment-Original | 1.0 | ||||||
Auto-Cars/Light Trucks | 0.9 | ||||||
Electric-Distribution | 0.9 | ||||||
Entertainment Software | 0.8 | ||||||
Semiconductor Equipment | 0.8 | ||||||
Computers | 0.8 | ||||||
Insurance-Multi-line | 0.7 | ||||||
Electric-Integrated | 0.7 | ||||||
Retail-Restaurants | 0.6 | ||||||
Finance-Other Services | 0.6 | ||||||
Chemicals-Diversified | 0.6 | ||||||
Diversified Banking Institutions | 0.5 | ||||||
Real Estate Investment Trusts | 0.5 | ||||||
Instruments-Controls | 0.5 | ||||||
Medical-Hospitals | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Diversified Financial Services | 0.3 | ||||||
Medical-Drugs | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
100.2 | % |
* Calculated as a percentage of net assets
148
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.2% | |||||||||||
Aerospace/Defense — 4.7% | |||||||||||
Boeing Co | 40,743 | $ | 15,540,195 | ||||||||
Northrop Grumman Corp. | 11,900 | 3,208,240 | |||||||||
18,748,435 | |||||||||||
Applications Software — 8.6% | |||||||||||
Intuit, Inc. | 23,341 | 6,101,571 | |||||||||
Microsoft Corp. | 177,657 | 20,952,867 | |||||||||
salesforce.com, Inc.† | 32,795 | 5,193,744 | |||||||||
ServiceNow, Inc.† | 9,786 | 2,412,151 | |||||||||
34,660,333 | |||||||||||
Athletic Footwear — 1.1% | |||||||||||
NIKE, Inc., Class B | 52,291 | 4,403,425 | |||||||||
Auto-Cars/Light Trucks — 0.8% | |||||||||||
Ferrari NV | 24,405 | 3,265,389 | |||||||||
Auto/Truck Parts & Equipment-Original — 1.0% | |||||||||||
Aptiv PLC | 48,718 | 3,872,594 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
NVR, Inc.† | 580 | 1,604,860 | |||||||||
Casino Hotels — 2.1% | |||||||||||
Las Vegas Sands Corp. | 46,849 | 2,855,915 | |||||||||
MGM Resorts International | 73,980 | 1,898,327 | |||||||||
Wynn Resorts, Ltd. | 29,301 | 3,496,195 | |||||||||
8,250,437 | |||||||||||
Chemicals-Diversified — 0.6% | |||||||||||
DowDuPont, Inc. | 45,825 | 2,442,931 | |||||||||
Commercial Services-Finance — 4.3% | |||||||||||
Equifax, Inc. | 16,052 | 1,902,162 | |||||||||
PayPal Holdings, Inc.† | 41,952 | 4,356,296 | |||||||||
S&P Global, Inc. | 3,100 | 652,705 | |||||||||
TransUnion | 54,087 | 3,615,175 | |||||||||
Worldpay, Inc., Class A† | 58,558 | 6,646,333 | |||||||||
17,172,671 | |||||||||||
Computer Software — 1.8% | |||||||||||
Red Hat, Inc.† | 22,726 | 4,152,040 | |||||||||
Splunk, Inc.† | 24,059 | 2,997,752 | |||||||||
7,149,792 | |||||||||||
Computers — 0.8% | |||||||||||
Apple, Inc. | 16,053 | 3,049,267 | |||||||||
Data Processing/Management — 1.7% | |||||||||||
Fidelity National Information Services, Inc. | 28,000 | 3,166,800 | |||||||||
Fiserv, Inc.† | 40,904 | 3,611,005 | |||||||||
6,777,805 | |||||||||||
Diversified Banking Institutions — 0.5% | |||||||||||
Morgan Stanley | 49,382 | 2,083,920 | |||||||||
Diversified Financial Services — 0.3% | |||||||||||
ANT International Co., Ltd., Class C†(1)(2) | 249,140 | 1,397,675 | |||||||||
E-Commerce/Products — 10.7% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 45,048 | 8,219,007 | |||||||||
Amazon.com, Inc.† | 19,565 | 34,840,374 | |||||||||
43,059,381 |
Security Description | Shares | Value (Note 2) | |||||||||
E-Commerce/Services — 2.2% | |||||||||||
Booking Holdings, Inc.† | 2,885 | $ | 5,034,065 | ||||||||
IAC/InterActiveCorp† | 12,407 | 2,606,835 | |||||||||
MercadoLibre, Inc.† | 2,035 | 1,033,231 | |||||||||
Uber Technologies, Inc.† Class A(1)(2) | 834 | 43,698 | |||||||||
8,717,829 | |||||||||||
Electric-Distribution — 0.9% | |||||||||||
Sempra Energy | 27,540 | 3,466,184 | |||||||||
Electric-Integrated — 0.7% | |||||||||||
NextEra Energy, Inc. | 13,703 | 2,649,064 | |||||||||
Electronic Components-Semiconductors — 1.0% | |||||||||||
NVIDIA Corp. | 23,090 | 4,146,040 | |||||||||
Electronic Measurement Instruments — 1.0% | |||||||||||
Fortive Corp. | 47,974 | 4,024,539 | |||||||||
Enterprise Software/Service — 1.0% | |||||||||||
Workday, Inc., Class A† | 20,985 | 4,046,957 | |||||||||
Entertainment Software — 0.8% | |||||||||||
Electronic Arts, Inc.† | 33,172 | 3,371,270 | |||||||||
Finance-Credit Card — 6.5% | |||||||||||
Mastercard, Inc., Class A | 50,756 | 11,950,500 | |||||||||
Visa, Inc., Class A | 89,820 | 14,028,986 | |||||||||
25,979,486 | |||||||||||
Finance-Investment Banker/Broker — 2.2% | |||||||||||
Charles Schwab Corp. | 99,485 | 4,253,978 | |||||||||
TD Ameritrade Holding Corp. | 90,722 | 4,535,193 | |||||||||
8,789,171 | |||||||||||
Finance-Other Services — 0.6% | |||||||||||
Intercontinental Exchange, Inc. | 32,837 | 2,500,209 | |||||||||
Instruments-Controls — 0.5% | |||||||||||
Honeywell International, Inc. | 11,468 | 1,822,495 | |||||||||
Insurance-Multi-line — 0.7% | |||||||||||
Chubb, Ltd. | 19,825 | 2,777,086 | |||||||||
Internet Application Software — 2.2% | |||||||||||
Tencent Holdings, Ltd. | 190,400 | 8,754,892 | |||||||||
Internet Content-Entertainment — 6.8% | |||||||||||
Facebook, Inc., Class A† | 124,392 | 20,734,903 | |||||||||
Netflix, Inc.† | 18,615 | 6,637,364 | |||||||||
27,372,267 | |||||||||||
Internet Security — 1.3% | |||||||||||
Symantec Corp. | 227,853 | 5,238,341 | |||||||||
Machinery-General Industrial — 1.8% | |||||||||||
Roper Technologies, Inc. | 14,764 | 5,048,845 | |||||||||
Wabtec Corp. | 32,096 | 2,366,117 | |||||||||
7,414,962 | |||||||||||
Medical Instruments — 1.6% | |||||||||||
Intuitive Surgical, Inc.† | 11,303 | 6,449,266 | |||||||||
Medical Products — 3.8% | |||||||||||
Becton Dickinson and Co. | 29,607 | 7,393,756 | |||||||||
Stryker Corp. | 40,753 | 8,049,533 | |||||||||
15,443,289 |
149
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene — 2.1% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 15,757 | $ | 2,130,031 | ||||||||
Vertex Pharmaceuticals, Inc.† | 33,688 | 6,196,908 | |||||||||
8,326,939 | |||||||||||
Medical-Drugs — 0.2% | |||||||||||
Eli Lilly & Co. | 7,517 | 975,406 | |||||||||
Medical-HMO — 5.4% | |||||||||||
Anthem, Inc. | 19,012 | 5,456,064 | |||||||||
Centene Corp.† | 50,290 | 2,670,399 | |||||||||
Humana, Inc. | 4,400 | 1,170,400 | |||||||||
UnitedHealth Group, Inc. | 38,746 | 9,580,336 | |||||||||
WellCare Health Plans, Inc.† | 9,828 | 2,651,103 | |||||||||
21,528,302 | |||||||||||
Medical-Hospitals — 0.4% | |||||||||||
HCA Healthcare, Inc. | 13,974 | 1,821,930 | |||||||||
Multimedia — 1.2% | |||||||||||
Walt Disney Co. | 43,865 | 4,870,331 | |||||||||
Pharmacy Services — 1.1% | |||||||||||
Cigna Corp. | 26,595 | 4,277,008 | |||||||||
Real Estate Investment Trusts — 0.5% | |||||||||||
Crown Castle International Corp. | 14,507 | 1,856,896 | |||||||||
Real Estate Management/Services — 0.0% | |||||||||||
WeWork Cos., Inc., Class A†(1)(2) | 532 | 27,292 | |||||||||
Retail-Discount — 1.7% | |||||||||||
Dollar General Corp. | 10,895 | 1,299,773 | |||||||||
Dollar Tree, Inc.† | 31,320 | 3,289,853 | |||||||||
Dollarama, Inc. | 80,085 | 2,136,439 | |||||||||
6,726,065 | |||||||||||
Retail-Restaurants — 0.6% | |||||||||||
McDonald's Corp. | 13,820 | 2,624,418 | |||||||||
Semiconductor Equipment — 0.8% | |||||||||||
ASML Holding NV | 17,392 | 3,270,566 | |||||||||
Software Tools — 1.0% | |||||||||||
VMware, Inc., Class A | 23,347 | 4,214,367 | |||||||||
Tobacco — 1.2% | |||||||||||
Philip Morris International, Inc. | 55,670 | 4,920,671 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 5,337 | 171,158 | |||||||||
Web Portals/ISP — 6.0% | |||||||||||
Alphabet, Inc., Class A† | 10,355 | 12,186,696 | |||||||||
Alphabet, Inc., Class C† | 10,111 | 11,863,337 | |||||||||
24,050,033 | |||||||||||
Total Common Stocks (cost $280,526,065) | 390,563,644 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.7% | |||||||||||
Applications Software — 0.3% | |||||||||||
Magic Leap, Inc., Series C†(1)(2) | 26,666 | 719,982 | |||||||||
Magic Leap, Inc., Series D†(1)(2) | 16,678 | 450,306 | |||||||||
1,170,288 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Aurora Innovation, Inc., Series B†(1)(2) | 3,512 | 324,519 |
Security Description | Shares | Value (Note 2) | |||||||||
E-Commerce/Services — 1.1% | |||||||||||
Airbnb, Inc., Series D†(1)(2) | 13,329 | $ | 1,544,520 | ||||||||
Airbnb, Inc., Series E†(1)(2) | 8,841 | 1,024,466 | |||||||||
Uber Technologies, Inc., Series A†(1)(2) | 119 | 6,235 | |||||||||
Uber Technologies, Inc., Series B†(1)(2) | 319 | 16,714 | |||||||||
Uber Technologies, Inc., Series C-1†(1)(2) | 84 | 4,401 | |||||||||
Uber Technologies, Inc., Series C-2†(1)(2) | 68 | 3,563 | |||||||||
Uber Technologies, Inc., Series C-3†(1)(2) | 1 | 52 | |||||||||
Uber Technologies, Inc., Series D†(1)(2) | 76 | 3,982 | |||||||||
Uber Technologies, Inc., Series E†(1)(2) | 36 | 1,886 | |||||||||
Uber Technologies, Inc., Series G†(1)(2) | 20,747 | 1,087,062 | |||||||||
Uber Technologies, Inc., Series G-1†(1)(2) | 183 | 9,589 | |||||||||
Uber Technologies, Inc., Series Seed†(1)(2) | 304 | 15,929 | |||||||||
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2) | 19,048 | 914,114 | |||||||||
4,632,513 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
WeWork Cos., Inc., Series E†(1)(2) | 13,398 | 687,318 | |||||||||
Total Convertible Preferred Securities (cost $4,771,806) | 6,814,638 | ||||||||||
Total Long-Term Investment Securities (cost $285,397,871) | 397,378,282 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.3% | |||||||||||
Registered Investment Companies — 1.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.39%(3) | 496,512 | 496,512 | |||||||||
T. Rowe Price Government Reserve Fund 2.49%(3) | 4,559,130 | 4,559,130 | |||||||||
Total Short-Term Investment Securities (cost $5,055,642) | 5,055,642 | ||||||||||
TOTAL INVESTMENTS (cost $290,353,513)(4) | 100.2 | % | 402,433,924 | ||||||||
Liabilities in excess of other assets | (0.2 | ) | (689,492 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 401,744,432 |
† 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
150
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | 0.35 | % | |||||||||||||||||
Uber Technologies, Inc., Class A | 01/16/2018 | 834 | 27,496 | 43,698 | 52.39 | 0.01 | |||||||||||||||||||||
WeWork Cos., Inc., Class A | 06/23/2015 | 532 | 17,497 | 27,292 | 51.30 | 0.01 | |||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 13,329 | 542,664 | 1,544,520 | 115.88 | 0.38 | |||||||||||||||||||||
Airbnb, Inc., Series E | 07/14/2015 | 8,841 | 823,048 | 1,024,466 | 115.88 | 0.26 | |||||||||||||||||||||
Aurora Innovation, Inc., Series B | 03/01/2019 | 3,512 | 324,519 | 324,519 | 92.40 | 0.08 | |||||||||||||||||||||
Magic Leap, Inc., Series C | 01/20/2016 | 26,666 | 614,198 | 719,982 | 27.00 | 0.18 | |||||||||||||||||||||
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 | 6,235 | 52.39 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series B | 01/16/2018 | 319 | 10,517 | 16,714 | 52.39 | 0.00 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Convertible Preferred Securities (continued) | |||||||||||||||||||||||||||
Uber Technologies, Inc., Series C-1 | 01/16/2018 | 84 | $ | 2,769 | $ | 4,401 | $ | 52.39 | 0.00 | % | |||||||||||||||||
Uber Technologies, Inc., Series C-2 | 01/16/2018 | 68 | 2,242 | 3,563 | 52.39 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series C-3 | 01/16/2018 | 1 | 33 | 52 | 52.39 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series D | 01/16/2018 | 76 | 2,506 | 3,982 | 52.39 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series E | 01/16/2018 | 36 | 1,187 | 1,886 | 52.39 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series G | 12/03/2015 | 20,747 | 1,011,877 | 1,087,062 | 52.39 | 0.27 | |||||||||||||||||||||
Uber Technologies, Inc., Series G-1 | 01/16/2018 | 183 | 8,925 | 9,589 | 52.39 | 0.00 | |||||||||||||||||||||
Uber Technologies, Inc., Series Seed | 01/16/2018 | 304 | 10,023 | 15,929 | 52.39 | 0.00 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 13,398 | 440,655 | 687,318 | 51.30 | 0.17 | |||||||||||||||||||||
Xiaoju Kuaizhi, Inc., Series A-17 | 10/19/2015 | 19,048 | 522,414 | 914,114 | 47.99 | 0.23 | |||||||||||||||||||||
$ | 8,283,303 | 2.05 | % |
(3) The rate shown is the 7-day yield as of March 31, 2019.
(4) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | 8,674,131 | — | 43,698 | 8,717,829 | |||||||||||||||
Real Estate Management/Services | — | — | 27,292 | 27,292 | |||||||||||||||
Other Industries | 371,665,956 | 8,754,892 | ** | — | 380,420,848 | ||||||||||||||
Convertible Preferred Securities | — | — | 6,814,638 | 6,814,638 | |||||||||||||||
Short-Term Investment Securities | 5,055,642 | — | — | 5,055,642 | |||||||||||||||
Total Investment at Value | $ | 385,395,729 | $ | 8,754,892 | $ | 8,283,303 | $ | 402,433,924 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
151
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
Common Stocks | Convertible Preferred Securities | ||||||||||
Balance as of March 31, 2018 | $ | 121,002 | $ | 7,008,900 | |||||||
Accrued Discounts | — | — | |||||||||
Accrued Premiums | — | — | |||||||||
Realized Gain | 13,445 | 502,058 | |||||||||
Realized Loss | — | — | |||||||||
Change in unrealized appreciation(1) | 37,995 | 665,493 | |||||||||
Change in unrealized depreciation(1) | — | (37,078 | ) | ||||||||
Net purchases | 1,397,675 | 324,519 | |||||||||
Net sales | (101,452 | ) | (1,649,254 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of March 31, 2019 | $ | 1,468,665 | $ | 6,814,638 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2019 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | 17,617 | $ | 575,161 |
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 March 31, 2019.
The following is quantitative information about Level 3 fair value measurements:
Description | Fair Value at | Valuation | Unobservable | Range | |||||||||||||||
Common Stocks | $ | 1,397,675 | Market Approach | Market Transaction Price* | $5.61 | ||||||||||||||
$ | 43,698 | Market Approach | Market Transaction Price* | $48.772228 | |||||||||||||||
Next Twelve Months EBITDA Multiple* | 20.0x | ||||||||||||||||||
Discount for Lack of Marketability | 10.0% | ||||||||||||||||||
$ | 27,292 | Market Approach | Potential Tender Offer* | $54.0000 | |||||||||||||||
Discount for Uncertainty | 5.0% | ||||||||||||||||||
Convertible Preferred Securities | $ | 1,494,807 | Market Approach | Market Transaction Price* | $27.00 - $92.403 ($48.801) | ||||||||||||||
$ | 914,114 | Market Approach | Pending Secondary Market Transaction* | $47.9900 | |||||||||||||||
$ | 1,149,413 | Market Approach | Market Transaction Price* | $48.772228 | |||||||||||||||
Next Twelve Months EBITDA Multiple* | 20.0x | ||||||||||||||||||
Discount for Lack of Marketability | 10.0% | ||||||||||||||||||
$ | 687,318 | Market Approach | Potential Tender Offer* | $54.0000 | |||||||||||||||
Discount for Uncertainty | 5.0% | ||||||||||||||||||
$ | 2,568,986 | Market Approach | 2018 Estimated Revenue Multiple* | 8.81x | |||||||||||||||
2021 Estimated Revenue Multiple* | 4.2x - 6.9x (5.55x) | ||||||||||||||||||
2021 Estimated Gross Profit Multiple* | 5.0x | ||||||||||||||||||
2022 Estimated Revenue Multiple* | 3.9x | ||||||||||||||||||
2022 Estimated Gross Profit Multiple* | 4.6x | ||||||||||||||||||
2023 Estimated Revenue Multiple* | 3.9x | ||||||||||||||||||
2023 Estimated Gross Profit Multiple* | 4.2x | ||||||||||||||||||
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 comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.
See Notes to Financial Statements
152
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Applications Software | 8.9 | % | |||||
Web Portals/ISP | 6.0 | ||||||
E-Commerce/Products | 6.0 | ||||||
Finance-Credit Card | 5.1 | ||||||
Medical-Drugs | 4.6 | ||||||
Internet Content-Entertainment | 4.3 | ||||||
Electronic Components-Semiconductors | 3.6 | ||||||
Computers | 3.2 | ||||||
Medical-Biomedical/Gene | 2.6 | ||||||
Aerospace/Defense | 2.4 | ||||||
Real Estate Investment Trusts | 2.4 | ||||||
Retail-Restaurants | 2.3 | ||||||
Transport-Rail | 1.9 | ||||||
Medical-HMO | 1.9 | ||||||
Medical Instruments | 1.8 | ||||||
Electronic Forms | 1.7 | ||||||
Medical Products | 1.4 | ||||||
Athletic Footwear | 1.2 | ||||||
Beverages-Non-alcoholic | 1.1 | ||||||
Commercial Services-Finance | 1.1 | ||||||
Cosmetics & Toiletries | 1.1 | ||||||
Insurance-Property/Casualty | 1.1 | ||||||
Tobacco | 1.1 | ||||||
Diagnostic Equipment | 1.0 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Exchange-Traded Funds | 1.0 | ||||||
Diversified Manufacturing Operations | 1.0 | ||||||
Commercial Services | 1.0 | ||||||
Finance-Other Services | 1.0 | ||||||
Networking Products | 1.0 | ||||||
Cable/Satellite TV | 0.9 | ||||||
Consulting Services | 0.9 | ||||||
Semiconductor Components-Integrated Circuits | 0.8 | ||||||
Multimedia | 0.7 | ||||||
Computer Aided Design | 0.7 | ||||||
Instruments-Controls | 0.7 | ||||||
Computer Services | 0.7 | ||||||
Industrial Gases | 0.6 | ||||||
Telephone-Integrated | 0.6 | ||||||
Aerospace/Defense-Equipment | 0.6 | ||||||
Retail-Building Products | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Beverages-Wine/Spirits | 0.6 | ||||||
Machinery-Farming | 0.6 | ||||||
Coatings/Paint | 0.6 | ||||||
Therapeutics | 0.6 | ||||||
Electronic Measurement Instruments | 0.6 | ||||||
Food-Misc./Diversified | 0.5 | ||||||
Electric-Integrated | 0.5 | ||||||
Oil Companies-Integrated | 0.5 | ||||||
Retail-Apparel/Shoe | 0.5 | ||||||
Broadcast Services/Program | 0.5 | ||||||
Enterprise Software/Service | 0.4 | ||||||
Semiconductor Equipment | 0.4 | ||||||
Registered Investment Companies | 0.4 | ||||||
Banks-Commercial | 0.4 | ||||||
Building Products-Cement | 0.4 | ||||||
Web Hosting/Design | 0.4 | ||||||
Computer Software | 0.4 | ||||||
Entertainment Software | 0.4 |
Electronic Components-Misc. | 0.4 | % | |||||
Electronic Connectors | 0.4 | ||||||
Retail-Discount | 0.4 | ||||||
Hotels/Motels | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Apparel Manufacturers | 0.3 | ||||||
Dental Supplies & Equipment | 0.3 | ||||||
Machinery-General Industrial | 0.3 | ||||||
Banks-Fiduciary | 0.3 | ||||||
Cruise Lines | 0.3 | ||||||
Veterinary Diagnostics | 0.3 | ||||||
Data Processing/Management | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Industrial Automated/Robotic | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
E-Commerce/Services | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Banks-Super Regional | 0.2 | ||||||
Firearms & Ammunition | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 | ||||||
Retail-Major Department Stores | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
U.S. Government Treasuries | 0.2 | ||||||
Retail-Auto Parts | 0.2 | ||||||
Tools-Hand Held | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Commercial Paper | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Pharmacy Services | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Investment Management/Advisor Services | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Retail-Perfume & Cosmetics | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
100.3 | % |
* Calculated as a percentage of net assets
153
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.4% | |||||||||||
Aerospace/Defense — 2.4% | |||||||||||
Boeing Co. | 22,654 | $ | 8,640,689 | ||||||||
Lockheed Martin Corp. | 1,874 | 562,500 | |||||||||
Northrop Grumman Corp. | 7,690 | 2,073,224 | |||||||||
Raytheon Co. | 1,542 | 280,767 | |||||||||
TransDigm Group, Inc.† | 618 | 280,566 | |||||||||
11,837,746 | |||||||||||
Aerospace/Defense-Equipment — 0.6% | |||||||||||
Harris Corp. | 779 | 124,414 | |||||||||
L3 Technologies, Inc. | 11,333 | 2,338,791 | |||||||||
United Technologies Corp. | 4,943 | 637,104 | |||||||||
3,100,309 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries Holdings, Inc. | 1,218 | 49,792 | |||||||||
Mosaic Co. | 2,118 | 57,842 | |||||||||
107,634 | |||||||||||
Apparel Manufacturers — 0.3% | |||||||||||
Hanesbrands, Inc. | 2,020 | 36,118 | |||||||||
PVH Corp. | 9,989 | 1,218,159 | |||||||||
Under Armour, Inc., Class A† | 1,551 | 32,788 | |||||||||
Under Armour, Inc., Class C† | 1,590 | 30,003 | |||||||||
VF Corp. | 4,121 | 358,156 | |||||||||
1,675,224 | |||||||||||
Applications Software — 8.9% | |||||||||||
Intuit, Inc. | 12,869 | 3,364,085 | |||||||||
Microsoft Corp. | 281,584 | 33,210,017 | |||||||||
salesforce.com, Inc.† | 47,931 | 7,590,833 | |||||||||
44,164,935 | |||||||||||
Athletic Footwear — 1.2% | |||||||||||
NIKE, Inc., Class B | 70,256 | 5,916,258 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Aptiv PLC | 37,288 | 2,964,023 | |||||||||
Banks-Commercial — 0.4% | |||||||||||
First Republic Bank | 19,148 | 1,923,608 | |||||||||
SVB Financial Group† | 669 | 148,759 | |||||||||
2,072,367 | |||||||||||
Banks-Fiduciary — 0.3% | |||||||||||
Northern Trust Corp. | 16,330 | 1,476,395 | |||||||||
Banks-Super Regional — 0.2% | |||||||||||
Comerica, Inc. | 929 | 68,114 | |||||||||
US Bancorp | 19,115 | 921,152 | |||||||||
989,266 | |||||||||||
Beverages-Non-alcoholic — 1.1% | |||||||||||
Coca-Cola Co. | 47,892 | 2,244,219 | |||||||||
Monster Beverage Corp.† | 36,961 | 2,017,332 | |||||||||
PepsiCo, Inc. | 10,886 | 1,334,079 | |||||||||
5,595,630 | |||||||||||
Beverages-Wine/Spirits — 0.6% | |||||||||||
Brown-Forman Corp., Class B | 18,710 | 987,514 | |||||||||
Constellation Brands, Inc., Class A | 11,092 | 1,944,760 | |||||||||
2,932,274 |
Security Description | Shares | Value (Note 2) | |||||||||
Broadcast Services/Program — 0.5% | |||||||||||
Discovery, Inc., Class C† | 39,139 | $ | 994,913 | ||||||||
Fox Corp., Class A† | 2,060 | 75,623 | |||||||||
Fox Corp., Class B† | 948 | 34,014 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 32,102 | 1,125,175 | |||||||||
2,229,725 | |||||||||||
Building Products-Cement — 0.4% | |||||||||||
Martin Marietta Materials, Inc. | 3,547 | 713,585 | |||||||||
Vulcan Materials Co. | 11,280 | 1,335,552 | |||||||||
2,049,137 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 1,758 | 69,107 | |||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
Rollins, Inc. | 1,873 | 77,954 | |||||||||
Cable/Satellite TV — 0.9% | |||||||||||
Charter Communications, Inc., Class A† | 948 | 328,871 | |||||||||
Comcast Corp., Class A | 68,969 | 2,757,380 | |||||||||
Liberty Broadband Corp., Class C† | 14,605 | 1,339,863 | |||||||||
4,426,114 | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
Celanese Corp. | 863 | 85,100 | |||||||||
DowDuPont, Inc. | 17,167 | 915,173 | |||||||||
Eastman Chemical Co. | 959 | 72,769 | |||||||||
FMC Corp. | 753 | 57,845 | |||||||||
PPG Industries, Inc. | 1,379 | 155,648 | |||||||||
1,286,535 | |||||||||||
Coatings/Paint — 0.6% | |||||||||||
Sherwin-Williams Co. | 6,656 | 2,866,806 | |||||||||
Commercial Services — 1.0% | |||||||||||
Cintas Corp. | 1,076 | 217,470 | |||||||||
CoStar Group, Inc.† | 3,151 | 1,469,689 | |||||||||
Ecolab, Inc. | 13,773 | 2,431,486 | |||||||||
ServiceMaster Global Holdings, Inc.† | 15,255 | 712,409 | |||||||||
4,831,054 | |||||||||||
Commercial Services-Finance — 1.1% | |||||||||||
Automatic Data Processing, Inc. | 5,535 | 884,161 | |||||||||
Equifax, Inc. | 935 | 110,797 | |||||||||
FleetCor Technologies, Inc.† | 654 | 161,270 | |||||||||
Global Payments, Inc. | 2,002 | 273,313 | |||||||||
H&R Block, Inc. | 1,619 | 38,759 | |||||||||
IHS Markit, Ltd.† | 4,618 | 251,127 | |||||||||
Moody's Corp. | 1,034 | 187,247 | |||||||||
PayPal Holdings, Inc.† | 14,905 | 1,547,735 | |||||||||
S&P Global, Inc. | 3,158 | 664,917 | |||||||||
Total System Services, Inc. | 1,406 | 133,584 | |||||||||
Worldpay, Inc., Class A† | 10,830 | 1,229,205 | |||||||||
5,482,115 | |||||||||||
Computer Aided Design — 0.7% | |||||||||||
ANSYS, Inc.† | 1,064 | 194,403 | |||||||||
Autodesk, Inc.† | 20,359 | 3,172,339 | |||||||||
Cadence Design Systems, Inc.† | 2,102 | 133,498 | |||||||||
Synopsys, Inc.† | 1,084 | 124,823 | |||||||||
3,625,063 |
154
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computer Data Security — 0.0% | |||||||||||
Fortinet, Inc.† | 1,843 | $ | 154,757 | ||||||||
Computer Services — 0.7% | |||||||||||
Accenture PLC, Class A | 18,868 | 3,321,145 | |||||||||
Computer Software — 0.4% | |||||||||||
Akamai Technologies, Inc.† | 2,074 | 148,727 | |||||||||
Citrix Systems, Inc. | 1,590 | 158,459 | |||||||||
Red Hat, Inc.† | 2,246 | 410,344 | |||||||||
SS&C Technologies Holdings, Inc. | 19,186 | 1,221,956 | |||||||||
1,939,486 | |||||||||||
Computers — 3.2% | |||||||||||
Apple, Inc. | 83,843 | 15,925,978 | |||||||||
Computers-Memory Devices — 0.1% | |||||||||||
NetApp, Inc. | 3,138 | 217,589 | |||||||||
Seagate Technology PLC | 2,085 | 99,851 | |||||||||
317,440 | |||||||||||
Consulting Services — 0.9% | |||||||||||
Gartner, Inc.† | 20,229 | 3,068,335 | |||||||||
Verisk Analytics, Inc. | 10,009 | 1,331,197 | |||||||||
4,399,532 | |||||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Clorox Co. | 1,628 | 261,229 | |||||||||
Kimberly-Clark Corp. | 2,363 | 292,776 | |||||||||
554,005 | |||||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Ball Corp. | 20,845 | 1,206,092 | |||||||||
Cosmetics & Toiletries — 1.1% | |||||||||||
Colgate-Palmolive Co. | 21,389 | 1,466,002 | |||||||||
Estee Lauder Cos., Inc., Class A | 12,140 | 2,009,777 | |||||||||
Procter & Gamble Co. | 17,798 | 1,851,882 | |||||||||
5,327,661 | |||||||||||
Cruise Lines — 0.3% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 26,729 | 1,469,026 | |||||||||
Data Processing/Management — 0.3% | |||||||||||
Broadridge Financial Solutions, Inc. | 1,470 | 152,424 | |||||||||
Fidelity National Information Services, Inc. | 4,103 | 464,049 | |||||||||
Fiserv, Inc.† | 4,975 | 439,193 | |||||||||
Jack Henry & Associates, Inc. | 471 | 65,347 | |||||||||
Paychex, Inc. | 2,517 | 201,863 | |||||||||
1,322,876 | |||||||||||
Decision Support Software — 0.0% | |||||||||||
MSCI, Inc. | 1,071 | 212,958 | |||||||||
Dental Supplies & Equipment — 0.3% | |||||||||||
Align Technology, Inc.† | 5,504 | 1,564,952 | |||||||||
Diagnostic Equipment — 1.0% | |||||||||||
Danaher Corp. | 17,213 | 2,272,460 | |||||||||
Thermo Fisher Scientific, Inc. | 10,366 | 2,837,382 | |||||||||
5,109,842 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
IDEXX Laboratories, Inc.† | 1,093 | 244,395 |
Security Description | Shares | Value (Note 2) | |||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 1,607 | $ | 87,244 | ||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Copart, Inc.† | 1,735 | 105,124 | |||||||||
Fastenal Co. | 3,636 | 233,831 | |||||||||
WW Grainger, Inc. | 573 | 172,433 | |||||||||
511,388 | |||||||||||
Diversified Manufacturing Operations — 1.0% | |||||||||||
3M Co. | 3,731 | 775,227 | |||||||||
Eaton Corp. PLC | 2,583 | 208,087 | |||||||||
Illinois Tool Works, Inc. | 13,046 | 1,872,492 | |||||||||
Ingersoll-Rand PLC | 3,077 | 332,162 | |||||||||
Parker-Hannifin Corp. | 10,205 | 1,751,382 | |||||||||
4,939,350 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Livent Corp.† | 700 | 8,596 | |||||||||
E-Commerce/Products — 6.0% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 4,871 | 888,714 | |||||||||
Amazon.com, Inc.† | 15,427 | 27,471,630 | |||||||||
eBay, Inc. | 4,152 | 154,206 | |||||||||
Wayfair, Inc., Class A† | 6,665 | 989,419 | |||||||||
29,503,969 | |||||||||||
E-Commerce/Services — 0.2% | |||||||||||
Booking Holdings, Inc.† | 275 | 479,850 | |||||||||
Expedia Group, Inc. | 921 | 109,599 | |||||||||
Lyft, Inc., Class A† | 6,545 | 512,408 | |||||||||
TripAdvisor, Inc.† | 875 | 45,019 | |||||||||
1,146,876 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 2,886 | 239,451 | |||||||||
Electric-Integrated — 0.5% | |||||||||||
Alliant Energy Corp. | 1,710 | 80,592 | |||||||||
Ameren Corp. | 3,108 | 228,594 | |||||||||
CMS Energy Corp. | 2,016 | 111,969 | |||||||||
Dominion Energy, Inc. | 4,773 | 365,898 | |||||||||
Eversource Energy | 2,215 | 157,154 | |||||||||
NextEra Energy, Inc. | 6,075 | 1,174,419 | |||||||||
Pinnacle West Capital Corp. | 1,425 | 136,202 | |||||||||
WEC Energy Group, Inc. | 1,924 | 152,150 | |||||||||
Xcel Energy, Inc. | 2,940 | 165,257 | |||||||||
2,572,235 | |||||||||||
Electronic Components-Misc. — 0.4% | |||||||||||
Garmin, Ltd. | 955 | 82,464 | |||||||||
Sensata Technologies Holding PLC† | 39,661 | 1,785,538 | |||||||||
1,868,002 | |||||||||||
Electronic Components-Semiconductors — 3.6% | |||||||||||
Advanced Micro Devices, Inc.† | 11,193 | 285,645 | |||||||||
Broadcom, Inc. | 5,032 | 1,513,173 | |||||||||
Intel Corp. | 38,279 | 2,055,582 | |||||||||
Microchip Technology, Inc. | 20,292 | 1,683,424 | |||||||||
NVIDIA Corp. | 29,563 | 5,308,332 | |||||||||
Skyworks Solutions, Inc. | 1,349 | 111,266 | |||||||||
Texas Instruments, Inc. | 62,125 | 6,589,599 | |||||||||
Xilinx, Inc. | 3,216 | 407,757 | |||||||||
17,954,778 |
155
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Connectors — 0.4% | |||||||||||
Amphenol Corp., Class A | 19,327 | $ | 1,825,242 | ||||||||
Electronic Forms — 1.7% | |||||||||||
Adobe, Inc.† | 31,321 | 8,346,733 | |||||||||
Electronic Measurement Instruments — 0.6% | |||||||||||
Agilent Technologies, Inc. | 16,386 | 1,317,107 | |||||||||
Fortive Corp. | 14,614 | 1,225,968 | |||||||||
Keysight Technologies, Inc.† | 2,385 | 207,972 | |||||||||
2,751,047 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 612 | 55,514 | |||||||||
Enterprise Software/Service — 0.4% | |||||||||||
Oracle Corp. | 16,187 | 869,404 | |||||||||
Tyler Technologies, Inc.† | 6,447 | 1,317,767 | |||||||||
2,187,171 | |||||||||||
Entertainment Software — 0.4% | |||||||||||
Electronic Arts, Inc.† | 17,604 | 1,789,095 | |||||||||
Take-Two Interactive Software, Inc.† | 1,438 | 135,704 | |||||||||
1,924,799 | |||||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
Synchrony Financial | 31,244 | 996,684 | |||||||||
Finance-Credit Card — 5.1% | |||||||||||
Alliance Data Systems Corp. | 579 | 101,313 | |||||||||
American Express Co. | 4,393 | 480,155 | |||||||||
Discover Financial Services | 2,712 | 192,986 | |||||||||
Mastercard, Inc., Class A | 45,681 | 10,755,592 | |||||||||
Visa, Inc., Class A | 86,976 | 13,584,781 | |||||||||
Western Union Co. | 2,326 | 42,961 | |||||||||
25,157,788 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Charles Schwab Corp. | 7,837 | 335,110 | |||||||||
E*TRADE Financial Corp. | 1,846 | 85,710 | |||||||||
TD Ameritrade Holding Corp. | 25,976 | 1,298,540 | |||||||||
1,719,360 | |||||||||||
Finance-Other Services — 1.0% | |||||||||||
Cboe Global Markets, Inc. | 10,044 | 958,599 | |||||||||
CME Group, Inc. | 5,748 | 946,006 | |||||||||
Intercontinental Exchange, Inc. | 36,929 | 2,811,774 | |||||||||
Nasdaq, Inc. | 1,030 | 90,115 | |||||||||
4,806,494 | |||||||||||
Firearms & Ammunition — 0.2% | |||||||||||
Axon Enterprise, Inc.† | 17,880 | 972,851 | |||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 34,699 | 1,025,355 | |||||||||
Food-Confectionery — 0.0% | |||||||||||
Hershey Co. | 1,077 | 123,672 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
Hormel Foods Corp. | 3,464 | 155,049 | |||||||||
Food-Misc./Diversified — 0.5% | |||||||||||
Kellogg Co. | 3,189 | 182,985 | |||||||||
Lamb Weston Holdings, Inc. | 1,861 | 139,463 | |||||||||
McCormick & Co., Inc. | 7,486 | 1,127,616 | |||||||||
Mondelez International, Inc., Class A | 24,377 | 1,216,900 | |||||||||
2,666,964 |
Security Description | Shares | Value (Note 2) | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. | 3,781 | $ | 252,420 | ||||||||
Gas-Distribution — 0.0% | |||||||||||
Atmos Energy Corp. | 876 | 90,167 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 2,570 | 39,424 | |||||||||
Hotels/Motels — 0.4% | |||||||||||
Hilton Worldwide Holdings, Inc. | 19,047 | 1,582,996 | |||||||||
Marriott International, Inc., Class A | 1,433 | 179,254 | |||||||||
1,762,250 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 696 | 45,351 | |||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 18,341 | 779,126 | |||||||||
Industrial Automated/Robotic — 0.2% | |||||||||||
Cognex Corp. | 21,368 | 1,086,777 | |||||||||
Rockwell Automation, Inc. | 759 | 133,174 | |||||||||
1,219,951 | |||||||||||
Industrial Gases — 0.6% | |||||||||||
Air Products & Chemicals, Inc. | 12,248 | 2,338,878 | |||||||||
Linde PLC | 4,691 | 825,288 | |||||||||
3,164,166 | |||||||||||
Instruments-Controls — 0.7% | |||||||||||
Honeywell International, Inc. | 20,723 | 3,293,299 | |||||||||
Mettler-Toledo International, Inc.† | 202 | 146,046 | |||||||||
3,439,345 | |||||||||||
Instruments-Scientific — 0.0% | |||||||||||
PerkinElmer, Inc. | 732 | 70,535 | |||||||||
Waters Corp.† | 545 | 137,182 | |||||||||
207,717 | |||||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon PLC | 1,921 | 327,915 | |||||||||
Arthur J. Gallagher & Co. | 1,567 | 122,383 | |||||||||
Marsh & McLennan Cos., Inc. | 4,043 | 379,637 | |||||||||
829,935 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Torchmark Corp. | 580 | 47,531 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Cincinnati Financial Corp. | 924 | 79,372 | |||||||||
Insurance-Property/Casualty — 1.1% | |||||||||||
Berkshire Hathaway, Inc., Class B† | 11,858 | 2,382,154 | |||||||||
Markel Corp.† | 418 | 416,428 | |||||||||
Progressive Corp. | 34,458 | 2,484,077 | |||||||||
5,282,659 | |||||||||||
Internet Content-Entertainment — 4.3% | |||||||||||
Facebook, Inc., Class A† | 83,763 | 13,962,454 | |||||||||
Netflix, Inc.† | 20,028 | 7,141,184 | |||||||||
Twitter, Inc.† | 9,255 | 304,304 | |||||||||
21,407,942 | |||||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 755 | 118,482 |
156
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Investment Management/Advisor Services — 0.1% | |||||||||||
Ameriprise Financial, Inc. | 930 | $ | 119,133 | ||||||||
T. Rowe Price Group, Inc. | 1,501 | 150,280 | |||||||||
269,413 | |||||||||||
Machinery-Farming — 0.6% | |||||||||||
Deere & Co. | 18,324 | 2,928,908 | |||||||||
Machinery-General Industrial — 0.3% | |||||||||||
Roper Technologies, Inc. | 1,316 | 450,033 | |||||||||
Wabtec Corp. | 14,942 | 1,101,524 | |||||||||
1,551,557 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Flowserve Corp. | 882 | 39,814 | |||||||||
Xylem, Inc. | 2,281 | 180,290 | |||||||||
220,104 | |||||||||||
Medical Information Systems — 0.1% | |||||||||||
Cerner Corp.† | 4,121 | 235,762 | |||||||||
Medical Instruments — 1.8% | |||||||||||
Boston Scientific Corp.† | 106,012 | 4,068,741 | |||||||||
Edwards Lifesciences Corp.† | 2,640 | 505,111 | |||||||||
Intuitive Surgical, Inc.† | 4,459 | 2,544,216 | |||||||||
Medtronic PLC | 17,039 | 1,551,912 | |||||||||
Teleflex, Inc. | 585 | 176,764 | |||||||||
8,846,744 | |||||||||||
Medical Labs & Testing Services — 0.2% | |||||||||||
IQVIA Holdings, Inc.† | 1,468 | 211,172 | |||||||||
Teladoc Health, Inc.† | 12,455 | 692,498 | |||||||||
903,670 | |||||||||||
Medical Products — 1.4% | |||||||||||
Abbott Laboratories | 39,531 | 3,160,108 | |||||||||
ABIOMED, Inc.† | 573 | 163,643 | |||||||||
Baxter International, Inc. | 2,604 | 211,731 | |||||||||
Becton Dickinson and Co. | 2,154 | 537,919 | |||||||||
Cooper Cos., Inc. | 270 | 79,966 | |||||||||
Henry Schein, Inc.† | 866 | 52,055 | |||||||||
Hologic, Inc.† | 1,871 | 90,556 | |||||||||
ICU Medical, Inc.† | 3,058 | 731,871 | |||||||||
Stryker Corp. | 2,319 | 458,049 | |||||||||
Varian Medical Systems, Inc.† | 1,153 | 163,403 | |||||||||
West Pharmaceutical Services, Inc. | 9,074 | 999,955 | |||||||||
Zimmer Biomet Holdings, Inc. | 2,597 | 331,637 | |||||||||
6,980,893 | |||||||||||
Medical-Biomedical/Gene — 2.6% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 11,201 | 1,514,151 | |||||||||
Amgen, Inc. | 5,218 | 991,316 | |||||||||
AnaptysBio, Inc.† | 8,860 | 647,223 | |||||||||
Biogen, Inc.† | 1,350 | 319,113 | |||||||||
BioMarin Pharmaceutical, Inc.† | 15,541 | 1,380,507 | |||||||||
Celgene Corp.† | 4,194 | 395,662 | |||||||||
Gilead Sciences, Inc. | 10,857 | 705,814 | |||||||||
Illumina, Inc.† | 8,159 | 2,534,920 | |||||||||
Incyte Corp.† | 13,657 | 1,174,638 | |||||||||
Insmed, Inc.† | 23,009 | 668,872 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 587 | 241,034 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Sage Therapeutics, Inc.† | 2,768 | $ | 440,250 | ||||||||
Vertex Pharmaceuticals, Inc.† | 11,192 | 2,058,768 | |||||||||
13,072,268 | |||||||||||
Medical-Drugs — 4.6% | |||||||||||
AbbVie, Inc. | 42,335 | 3,411,778 | |||||||||
AstraZeneca PLC ADR | 30,106 | 1,217,185 | |||||||||
Bristol-Myers Squibb Co. | 31,487 | 1,502,245 | |||||||||
Eli Lilly & Co. | 38,718 | 5,024,048 | |||||||||
Johnson & Johnson | 19,962 | 2,790,488 | |||||||||
Merck & Co., Inc. | 49,829 | 4,144,278 | |||||||||
Pfizer, Inc. | 70,534 | 2,995,579 | |||||||||
Zoetis, Inc. | 17,586 | 1,770,382 | |||||||||
22,855,983 | |||||||||||
Medical-HMO — 1.9% | |||||||||||
Humana, Inc. | 14,872 | 3,955,952 | |||||||||
UnitedHealth Group, Inc. | 20,875 | 5,161,553 | |||||||||
WellCare Health Plans, Inc.† | 635 | 171,291 | |||||||||
9,288,796 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA Healthcare, Inc. | 3,393 | 442,379 | |||||||||
Universal Health Services, Inc., Class B | 605 | 80,931 | |||||||||
523,310 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. | 8,284 | 106,781 | |||||||||
Multimedia — 0.7% | |||||||||||
Walt Disney Co. | 33,100 | 3,675,039 | |||||||||
Networking Products — 1.0% | |||||||||||
Arista Networks, Inc.† | 664 | 208,801 | |||||||||
Cisco Systems, Inc. | 84,794 | 4,578,028 | |||||||||
4,786,829 | |||||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 1,177 | 94,607 | |||||||||
Waste Management, Inc. | 4,953 | 514,666 | |||||||||
609,273 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 480 | 54,240 | |||||||||
Oil Companies-Exploration & Production — 1.0% | |||||||||||
Anadarko Petroleum Corp. | 6,347 | 288,662 | |||||||||
Apache Corp. | 4,769 | 165,293 | |||||||||
Cabot Oil & Gas Corp. | 3,711 | 96,857 | |||||||||
Cimarex Energy Co. | 722 | 50,468 | |||||||||
Concho Resources, Inc. | 1,402 | 155,566 | |||||||||
ConocoPhillips | 14,412 | 961,857 | |||||||||
Devon Energy Corp. | 5,568 | 175,726 | |||||||||
Diamondback Energy, Inc. | 9,417 | 956,108 | |||||||||
EOG Resources, Inc. | 13,420 | 1,277,316 | |||||||||
Hess Corp. | 1,779 | 107,149 | |||||||||
Marathon Oil Corp. | 10,399 | 173,767 | |||||||||
Occidental Petroleum Corp. | 9,523 | 630,423 | |||||||||
5,039,192 | |||||||||||
Oil Companies-Integrated — 0.5% | |||||||||||
Exxon Mobil Corp. | 30,145 | 2,435,716 |
157
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
HollyFrontier Corp. | 1,996 | $ | 98,343 | ||||||||
Marathon Petroleum Corp. | 18,495 | 1,106,926 | |||||||||
1,205,269 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. | 2,752 | 442,577 | |||||||||
Pipelines — 0.2% | |||||||||||
Cheniere Energy, Inc.† | 8,550 | 584,478 | |||||||||
ONEOK, Inc. | 2,981 | 208,193 | |||||||||
792,671 | |||||||||||
Real Estate Investment Trusts — 2.4% | |||||||||||
American Tower Corp. | 16,357 | 3,223,310 | |||||||||
Apartment Investment & Management Co., Class A | 1,981 | 99,625 | |||||||||
AvalonBay Communities, Inc. | 1,197 | 240,274 | |||||||||
Boston Properties, Inc. | 1,040 | 139,235 | |||||||||
Crown Castle International Corp. | 23,539 | 3,012,992 | |||||||||
Digital Realty Trust, Inc. | 1,479 | 176,001 | |||||||||
Duke Realty Corp. | 3,058 | 93,514 | |||||||||
Equinix, Inc. | 3,441 | 1,559,324 | |||||||||
Equity Residential | 3,196 | 240,723 | |||||||||
Essex Property Trust, Inc. | 618 | 178,750 | |||||||||
Extra Space Storage, Inc. | 1,067 | 108,738 | |||||||||
Federal Realty Investment Trust | 454 | 62,584 | |||||||||
HCP, Inc. | 6,070 | 189,991 | |||||||||
Host Hotels & Resorts, Inc. | 4,422 | 83,576 | |||||||||
Invitation Homes, Inc. | 17,357 | 422,296 | |||||||||
Mid-America Apartment Communities, Inc. | 810 | 88,557 | |||||||||
Public Storage | 1,907 | 415,306 | |||||||||
Realty Income Corp. | 2,817 | 207,219 | |||||||||
Regency Centers Corp. | 958 | 64,655 | |||||||||
SBA Communications Corp.† | 830 | 165,718 | |||||||||
Simon Property Group, Inc. | 2,630 | 479,212 | |||||||||
UDR, Inc. | 1,926 | 87,556 | |||||||||
Vornado Realty Trust | 1,123 | 75,735 | |||||||||
Welltower, Inc. | 4,909 | 380,938 | |||||||||
11,795,829 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 536 | 61,238 | |||||||||
Respiratory Products — 0.0% | |||||||||||
ResMed, Inc. | 1,821 | 189,329 | |||||||||
Retail-Apparel/Shoe — 0.5% | |||||||||||
Foot Locker, Inc. | 703 | 42,602 | |||||||||
Ross Stores, Inc. | 24,343 | 2,266,333 | |||||||||
Tapestry, Inc. | 2,468 | 80,185 | |||||||||
2,389,120 | |||||||||||
Retail-Auto Parts — 0.2% | |||||||||||
Advance Auto Parts, Inc. | 592 | 100,954 | |||||||||
AutoZone, Inc.† | 317 | 324,646 | |||||||||
O'Reilly Automotive, Inc.† | 996 | 386,747 | |||||||||
812,347 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 972 | 67,846 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Building Products — 0.6% | |||||||||||
Home Depot, Inc. | 12,847 | $ | 2,465,211 | ||||||||
Lowe's Cos., Inc. | 4,681 | 512,429 | |||||||||
2,977,640 | |||||||||||
Retail-Discount — 0.4% | |||||||||||
Dollar General Corp. | 3,340 | 398,462 | |||||||||
Walmart, Inc. | 14,508 | 1,414,965 | |||||||||
1,813,427 | |||||||||||
Retail-Gardening Products — 0.0% | |||||||||||
Tractor Supply Co. | 1,541 | 150,648 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 620 | 65,441 | |||||||||
Retail-Major Department Stores — 0.2% | |||||||||||
Nordstrom, Inc. | 667 | 29,601 | |||||||||
TJX Cos., Inc. | 15,722 | 836,568 | |||||||||
866,169 | |||||||||||
Retail-Perfume & Cosmetics — 0.1% | |||||||||||
Ulta Beauty, Inc.† | 716 | 249,691 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Macy's, Inc. | 1,641 | 39,433 | |||||||||
Retail-Restaurants — 2.3% | |||||||||||
Chipotle Mexican Grill, Inc.† | 1,638 | 1,163,488 | |||||||||
Darden Restaurants, Inc. | 1,098 | 133,374 | |||||||||
Dunkin' Brands Group, Inc. | 25,276 | 1,898,228 | |||||||||
McDonald's Corp. | 27,599 | 5,241,050 | |||||||||
Starbucks Corp. | 35,608 | 2,647,099 | |||||||||
Yum! Brands, Inc. | 3,893 | 388,560 | |||||||||
11,471,799 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.8% | |||||||||||
Analog Devices, Inc. | 9,962 | 1,048,700 | |||||||||
Marvell Technology Group, Ltd. | 56,507 | 1,123,924 | |||||||||
Maxim Integrated Products, Inc. | 2,084 | 110,806 | |||||||||
NXP Semiconductors NV | 14,843 | 1,311,973 | |||||||||
QUALCOMM, Inc. | 7,996 | 456,012 | |||||||||
4,051,415 | |||||||||||
Semiconductor Equipment — 0.4% | |||||||||||
KLA-Tencor Corp. | 1,154 | 137,799 | |||||||||
Lam Research Corp. | 11,302 | 2,023,171 | |||||||||
2,160,970 | |||||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 3,124 | 222,522 | |||||||||
Telephone-Integrated — 0.6% | |||||||||||
Verizon Communications, Inc. | 52,496 | 3,104,088 | |||||||||
Therapeutics — 0.6% | |||||||||||
Agios Pharmaceuticals, Inc.† | 7,704 | 519,558 | |||||||||
Mirati Therapeutics, Inc.† | 4,737 | 347,222 | |||||||||
Neurocrine Biosciences, Inc.† | 15,254 | 1,343,877 | |||||||||
Sarepta Therapeutics, Inc.† | 4,809 | 573,185 | |||||||||
2,783,842 | |||||||||||
Tobacco — 1.1% | |||||||||||
Altria Group, Inc. | 61,319 | 3,521,550 | |||||||||
Philip Morris International, Inc. | 19,920 | 1,760,729 | |||||||||
5,282,279 |
158
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Tools-Hand Held — 0.2% | |||||||||||
Stanley Black & Decker, Inc. | 5,845 | $ | 795,914 | ||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 838 | 71,247 | |||||||||
Mattel, Inc.† | 2,150 | 27,950 | |||||||||
99,197 | |||||||||||
Transport-Rail — 1.9% | |||||||||||
CSX Corp. | 69,338 | 5,187,869 | |||||||||
Kansas City Southern | 564 | 65,413 | |||||||||
Norfolk Southern Corp. | 2,345 | 438,257 | |||||||||
Union Pacific Corp. | 22,564 | 3,772,701 | |||||||||
9,464,240 | |||||||||||
Transport-Services — 0.2% | |||||||||||
Expeditors International of Washington, Inc. | 2,181 | 165,538 | |||||||||
FedEx Corp. | 1,373 | 249,076 | |||||||||
United Parcel Service, Inc., Class B | 4,421 | 494,002 | |||||||||
908,616 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. | 740 | 74,955 | |||||||||
Veterinary Diagnostics — 0.3% | |||||||||||
Elanco Animal Health, Inc.† | 41,991 | 1,346,651 | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,447 | 150,864 | |||||||||
Web Hosting/Design — 0.4% | |||||||||||
GoDaddy, Inc., Class A† | 23,828 | 1,791,628 | |||||||||
VeriSign, Inc.† | 1,338 | 242,927 | |||||||||
2,034,555 | |||||||||||
Web Portals/ISP — 6.0% | |||||||||||
Alphabet, Inc., Class A† | 8,194 | 9,643,437 | |||||||||
Alphabet, Inc., Class C† | 17,213 | 20,196,185 | |||||||||
29,839,622 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Motorola Solutions, Inc. | 2,082 | 292,354 | |||||||||
Total Common Stocks (cost $369,157,406) | 487,545,302 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.0% | |||||||||||
iShares S&P 500 Growth Index Fund | 26,090 | 4,496,873 | |||||||||
SPDR Portfolio S&P 500 Growth ETF | 13,800 | 513,498 | |||||||||
Total Exchange-Traded Funds (cost $4,917,038) | 5,010,371 | ||||||||||
Total Long-Term Investment Securities (cost $374,074,444) | 492,555,673 |
Security Description | Principal Amount/ Shares | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.7% | |||||||||||
Commercial Paper — 0.1% | |||||||||||
Societe Generale SA 2.42% due 04/01/2019 | $ | 600,000 | $ | 599,879 | |||||||
Registered Investment Companies — 0.4% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Administration Class 2.14%(1) | 2,094,108 | 2,094,108 | |||||||||
U.S. Government Treasuries — 0.2% | |||||||||||
United States Treasury Bills 2.37% due 04/04/2019(2) | 800,000 | 799,843 | |||||||||
2.40% due 04/23/2019(2) | 15,000 | 14,978 | |||||||||
814,821 | |||||||||||
Total Short-Term Investment Securities (cost $3,508,929) | 3,508,808 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50% dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $694,029 and collateralized by $700,000 of United States Treasury Notes, bearing interest at 2.63% due 02/28/2023 and having an approximate value of $712,681. (cost $694,000) | 694,000 | 694,000 | |||||||||
TOTAL INVESTMENTS (cost $378,277,373)(3) | 100.3 | % | 496,758,481 | ||||||||
Liabilities in excess of other assets | (0.3 | ) | (1,247,178 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 495,511,303 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $599,879 representing 0.1% of net assets.
(1) The rate shown is the 7-day yield as of March 31, 2019.
(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
ETF — Exchange-Traded Fund
159
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 500 Citigroup Growth Index | June 2019 | $ | 1,698,620 | $ | 1,725,900 | $ | 27,280 |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 487,545,302 | $ | — | $ | — | $ | 487,545,302 | |||||||||||
Exchange-Traded Funds | 5,010,371 | — | — | 5,010,371 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 2,094,108 | — | — | 2,094,108 | |||||||||||||||
Other Industries | — | 1,414,700 | — | 1,414,700 | |||||||||||||||
Repurchase Agreements | — | 694,000 | — | 694,000 | |||||||||||||||
Total Investments at Value | $ | 494,649,781 | $ | 2,108,700 | $ | — | $ | 496,758,481 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 27,280 | $ | — | $ | — | $ | 27,280 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation (depreciation) as of the end of the reporting period.
See Notes to Financial Statements
160
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 7.1 | % | |||||
Medical-Drugs | 6.1 | ||||||
Oil Companies-Integrated | 4.5 | ||||||
Banks-Super Regional | 4.5 | ||||||
Electric-Integrated | 4.2 | ||||||
Food-Misc./Diversified | 3.1 | ||||||
Electronic Components-Semiconductors | 3.0 | ||||||
Computers | 2.9 | ||||||
Cosmetics & Toiletries | 2.5 | ||||||
Diversified Manufacturing Operations | 2.4 | ||||||
Real Estate Investment Trusts | 2.4 | ||||||
Telephone-Integrated | 2.3 | ||||||
Oil Companies-Exploration & Production | 2.1 | ||||||
Banks-Commercial | 1.9 | ||||||
Insurance-Multi-line | 1.8 | ||||||
Chemicals-Diversified | 1.7 | ||||||
Oil-Field Services | 1.7 | ||||||
Medical Instruments | 1.6 | ||||||
Medical-HMO | 1.5 | ||||||
Investment Management/Advisor Services | 1.5 | ||||||
Tobacco | 1.4 | ||||||
Retail-Discount | 1.3 | ||||||
Medical Products | 1.3 | ||||||
Networking Products | 1.2 | ||||||
Machinery-Construction & Mining | 1.2 | ||||||
Insurance-Life/Health | 1.1 | ||||||
Exchange-Traded Funds | 1.1 | ||||||
Cable/Satellite TV | 1.0 | ||||||
Semiconductor Equipment | 1.0 | ||||||
Computers-Memory Devices | 0.9 | ||||||
Banks-Fiduciary | 0.9 | ||||||
Beverages-Non-alcoholic | 0.9 | ||||||
Semiconductor Components-Integrated Circuits | 0.8 | ||||||
Pipelines | 0.8 | ||||||
Multimedia | 0.8 | ||||||
Aerospace/Defense | 0.8 | ||||||
Food-Wholesale/Distribution | 0.8 | ||||||
Insurance-Property/Casualty | 0.8 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Computer Services | 0.7 | ||||||
Containers-Paper/Plastic | 0.7 | ||||||
Repurchase Agreements | 0.7 | ||||||
Enterprise Software/Service | 0.7 | ||||||
Airlines | 0.7 | ||||||
Retail-Apparel/Shoe | 0.7 | ||||||
Electric-Distribution | 0.6 | ||||||
Building & Construction Products-Misc. | 0.6 | ||||||
Medical-Biomedical/Gene | 0.6 | ||||||
Auto-Cars/Light Trucks | 0.6 | ||||||
Electronic Connectors | 0.6 | ||||||
Transport-Services | 0.6 | ||||||
Medical Labs & Testing Services | 0.5 | ||||||
Building Products-Air & Heating | 0.5 | ||||||
Insurance Brokers | 0.5 | ||||||
Hotels/Motels | 0.5 | ||||||
Retail-Building Products | 0.5 | ||||||
Engines-Internal Combustion | 0.5 | ||||||
Finance-Consumer Loans | 0.5 | ||||||
Paper & Related Products | 0.5 | ||||||
Medical-Wholesale Drug Distribution | 0.4 |
Finance-Investment Banker/Broker | 0.4 | % | |||||
Electric Products-Misc. | 0.4 | ||||||
Medical Information Systems | 0.4 | ||||||
Retail-Auto Parts | 0.4 | ||||||
Cruise Lines | 0.4 | ||||||
Oil Refining & Marketing | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Footwear & Related Apparel | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Finance-Credit Card | 0.3 | ||||||
Home Decoration Products | 0.3 | ||||||
Transport-Rail | 0.2 | ||||||
Instruments-Controls | 0.2 | ||||||
Finance-Other Services | 0.2 | ||||||
Athletic Footwear | 0.2 | ||||||
Machinery-Farming | 0.2 | ||||||
Retail-Drug Store | 0.2 | ||||||
Entertainment Software | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
E-Commerce/Services | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Industrial Gases | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Retail-Catalog Shopping | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Agricultural Operations | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Food-Meat Products | 0.1 | ||||||
E-Commerce/Products | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Television | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Real Estate Management/Services | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
99.1 | % |
* Calculated as a percentage of net assets
161
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.3% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 8,647 | $ | 181,673 | ||||||||
Omnicom Group, Inc. | 5,025 | 366,775 | |||||||||
548,448 | |||||||||||
Aerospace/Defense — 0.8% | |||||||||||
General Dynamics Corp. | 6,087 | 1,030,407 | |||||||||
Lockheed Martin Corp. | 10,509 | 3,154,382 | |||||||||
Northrop Grumman Corp. | 3,813 | 1,027,985 | |||||||||
Raytheon Co. | 3,614 | 658,037 | |||||||||
5,870,811 | |||||||||||
Aerospace/Defense-Equipment — 0.8% | |||||||||||
Arconic, Inc. | 9,696 | 185,291 | |||||||||
Harris Corp. | 1,272 | 203,151 | |||||||||
L3 Technologies, Inc. | 731 | 150,856 | |||||||||
United Technologies Corp. | 39,750 | 5,123,378 | |||||||||
5,662,676 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries Holdings, Inc. | 2,854 | 116,671 | |||||||||
Mosaic Co. | 4,222 | 115,303 | |||||||||
231,974 | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Archer-Daniels-Midland Co. | 12,582 | 542,662 | |||||||||
Airlines — 0.7% | |||||||||||
Alaska Air Group, Inc. | 2,766 | 155,228 | |||||||||
American Airlines Group, Inc. | 8,978 | 285,141 | |||||||||
Delta Air Lines, Inc. | 13,880 | 716,902 | |||||||||
Southwest Airlines Co. | 65,854 | 3,418,481 | |||||||||
United Continental Holdings, Inc.† | 5,033 | 401,533 | |||||||||
4,977,285 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Capri Holdings, Ltd.† | 3,429 | 156,877 | |||||||||
Hanesbrands, Inc. | 4,547 | 81,300 | |||||||||
PVH Corp. | 1,701 | 207,437 | |||||||||
Ralph Lauren Corp. | 1,185 | 153,671 | |||||||||
Under Armour, Inc., Class A† | 1,477 | 31,224 | |||||||||
Under Armour, Inc., Class C† | 1,514 | 28,569 | |||||||||
659,078 | |||||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 1,429 | 189,900 | |||||||||
Athletic Footwear — 0.2% | |||||||||||
NIKE, Inc., Class B | 13,856 | 1,166,814 | |||||||||
Auto-Cars/Light Trucks — 0.6% | |||||||||||
Ford Motor Co. | 87,786 | 770,761 | |||||||||
General Motors Co. | 29,447 | 1,092,484 | |||||||||
Honda Motor Co., Ltd ADR | 86,490 | 2,349,933 | |||||||||
4,213,178 | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 7,789 | 530,742 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Aptiv PLC | 2,278 | 181,078 | |||||||||
BorgWarner, Inc. | 51,746 | 1,987,564 | |||||||||
2,168,642 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial — 1.9% | |||||||||||
BB&T Corp. | 146,465 | $ | 6,815,017 | ||||||||
Citizens Financial Group, Inc. | 10,343 | 336,148 | |||||||||
ING Groep NV ADR | 189,887 | 2,305,228 | |||||||||
M&T Bank Corp. | 23,966 | 3,763,141 | |||||||||
Regions Financial Corp. | 22,863 | 323,511 | |||||||||
Zions Bancorp NA | 4,182 | 189,905 | |||||||||
13,732,950 | |||||||||||
Banks-Fiduciary — 0.9% | |||||||||||
Bank of New York Mellon Corp. | 120,994 | 6,101,727 | |||||||||
Northern Trust Corp. | 2,306 | 208,486 | |||||||||
State Street Corp. | 8,507 | 559,846 | |||||||||
6,870,059 | |||||||||||
Banks-Super Regional — 4.5% | |||||||||||
Comerica, Inc. | 1,929 | 141,434 | |||||||||
Fifth Third Bancorp | 17,291 | 436,079 | |||||||||
Huntington Bancshares, Inc. | 23,517 | 298,196 | |||||||||
KeyCorp | 22,662 | 356,927 | |||||||||
PNC Financial Services Group, Inc. | 87,407 | 10,721,343 | |||||||||
SunTrust Banks, Inc. | 9,958 | 590,011 | |||||||||
US Bancorp | 159,720 | 7,696,907 | |||||||||
Wells Fargo & Co. | 262,617 | 12,689,653 | |||||||||
32,930,550 | |||||||||||
Beverages-Non-alcoholic — 0.9% | |||||||||||
Coca-Cola Co. | 41,491 | 1,944,268 | |||||||||
PepsiCo, Inc. | 38,777 | 4,752,122 | |||||||||
6,696,390 | |||||||||||
Brewery — 0.0% | |||||||||||
Molson Coors Brewing Co., Class B | 4,216 | 251,484 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class A† | 3,528 | 95,326 | |||||||||
Discovery, Inc., Class C† | 8,097 | 205,826 | |||||||||
Fox Corp., Class A† | 4,279 | 157,082 | |||||||||
Fox Corp., Class B† | 1,969 | 70,648 | |||||||||
528,882 | |||||||||||
Building & Construction Products-Misc. — 0.6% | |||||||||||
Fortune Brands Home & Security, Inc. | 95,764 | 4,559,324 | |||||||||
Building Products-Air & Heating — 0.5% | |||||||||||
Johnson Controls International PLC | 108,914 | 4,023,283 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Martin Marietta Materials, Inc. | 603 | 121,312 | |||||||||
Vulcan Materials Co. | 1,540 | 182,336 | |||||||||
303,648 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 3,506 | 137,821 | |||||||||
Building-Residential/Commercial — 0.3% | |||||||||||
D.R. Horton, Inc. | 7,634 | 315,895 | |||||||||
Lennar Corp., Class A | 6,424 | 315,354 | |||||||||
PulteGroup, Inc. | 50,028 | 1,398,783 | |||||||||
2,030,032 |
162
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cable/Satellite TV — 1.0% | |||||||||||
Charter Communications, Inc., Class A† | 2,222 | $ | 770,834 | ||||||||
Comcast Corp., Class A | 166,520 | 6,657,470 | |||||||||
DISH Network Corp., Class A† | 5,155 | 163,362 | |||||||||
7,591,666 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
MGM Resorts International | 11,459 | 294,038 | |||||||||
Wynn Resorts, Ltd. | 2,176 | 259,640 | |||||||||
553,678 | |||||||||||
Chemicals-Diversified — 1.7% | |||||||||||
Celanese Corp. | 1,353 | 133,419 | |||||||||
Dow NewCo.†. | 2,200 | 113,586 | |||||||||
DowDuPont, Inc. When-Issued† | 51,140 | 1,836,949 | |||||||||
DowDuPont, Inc. | 123,064 | 6,560,542 | |||||||||
Eastman Chemical Co. | 1,444 | 109,571 | |||||||||
FMC Corp. | 37,194 | 2,857,243 | |||||||||
LyondellBasell Industries NV, Class A | 6,837 | 574,855 | |||||||||
PPG Industries, Inc. | 2,862 | 323,034 | |||||||||
12,509,199 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Albemarle Corp. | 2,376 | 194,785 | |||||||||
International Flavors & Fragrances, Inc. | 2,276 | 293,126 | |||||||||
487,911 | |||||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. | 697 | 300,205 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Holdings PLC | 7,985 | 189,005 | |||||||||
Quanta Services, Inc. | 3,176 | 119,862 | |||||||||
308,867 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Equifax, Inc. | 1,057 | 125,255 | |||||||||
FleetCor Technologies, Inc.† | 772 | 190,367 | |||||||||
H&R Block, Inc. | 1,755 | 42,015 | |||||||||
Moody's Corp. | 1,904 | 344,795 | |||||||||
Total System Services, Inc. | 1,170 | 111,162 | |||||||||
813,594 | |||||||||||
Computer Aided Design — 0.0% | |||||||||||
Cadence Design Systems, Inc.† | 2,583 | 164,046 | |||||||||
Synopsys, Inc.† | 1,446 | 166,507 | |||||||||
330,553 | |||||||||||
Computer Services — 0.7% | |||||||||||
Accenture PLC, Class A | 7,733 | 1,361,163 | |||||||||
Cognizant Technology Solutions Corp., Class A | 12,920 | 936,054 | |||||||||
DXC Technology Co. | 6,027 | 387,596 | |||||||||
International Business Machines Corp. | 19,991 | 2,820,730 | |||||||||
5,505,543 | |||||||||||
Computers — 2.9% | |||||||||||
Apple, Inc. | 106,312 | 20,193,964 | |||||||||
Hewlett Packard Enterprise Co. | 30,933 | 477,296 | |||||||||
HP, Inc. | 34,450 | 669,364 | |||||||||
21,340,624 |
Security Description | Shares | Value (Note 2) | |||||||||
Computers-Memory Devices — 0.9% | |||||||||||
NetApp, Inc. | 57,798 | $ | 4,007,713 | ||||||||
Seagate Technology PLC | 2,073 | 99,276 | |||||||||
Western Digital Corp. | 58,434 | 2,808,338 | |||||||||
6,915,327 | |||||||||||
Consulting Services — 0.0% | |||||||||||
Verisk Analytics, Inc. | 1,139 | 151,487 | |||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Kimberly-Clark Corp. | 3,559 | 440,960 | |||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Ball Corp. | 2,479 | 143,435 | |||||||||
Containers-Paper/Plastic — 0.7% | |||||||||||
Packaging Corp. of America | 2,123 | 210,983 | |||||||||
Sealed Air Corp. | 66,696 | 3,072,018 | |||||||||
WestRock Co. | 51,857 | 1,988,716 | |||||||||
5,271,717 | |||||||||||
Cosmetics & Toiletries — 2.5% | |||||||||||
Colgate-Palmolive Co. | 47,294 | 3,241,531 | |||||||||
Coty, Inc., Class A | 10,126 | 116,449 | |||||||||
Estee Lauder Cos., Inc., Class A | 1,569 | 259,748 | |||||||||
Procter & Gamble Co. | 85,317 | 8,877,234 | |||||||||
Unilever NV | 71,426 | 4,163,421 | |||||||||
Unilever NV CVA | 28,150 | 1,636,160 | |||||||||
18,294,543 | |||||||||||
Cruise Lines — 0.4% | |||||||||||
Carnival Corp. | 37,755 | 1,914,934 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 4,890 | 268,754 | |||||||||
Royal Caribbean Cruises, Ltd. | 3,853 | 441,631 | |||||||||
2,625,319 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Jack Henry & Associates, Inc. | 902 | 125,143 | |||||||||
Paychex, Inc. | 2,728 | 218,786 | |||||||||
343,929 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Align Technology, Inc.† | 801 | 227,748 | |||||||||
DENTSPLY SIRONA, Inc. | 5,000 | 247,950 | |||||||||
475,698 | |||||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Danaher Corp. | 6,210 | 819,844 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
Copart, Inc.† | 1,444 | 87,492 | |||||||||
LKQ Corp.† | 7,071 | 200,675 | |||||||||
288,167 | |||||||||||
Diversified Banking Institutions — 7.1% | |||||||||||
Bank of America Corp. | 521,803 | 14,396,545 | |||||||||
Citigroup, Inc. | 163,715 | 10,186,347 | |||||||||
Goldman Sachs Group, Inc. | 7,694 | 1,477,171 | |||||||||
JPMorgan Chase & Co. | 249,667 | 25,273,791 | |||||||||
Morgan Stanley | 29,175 | 1,231,185 | |||||||||
52,565,039 |
163
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diversified Manufacturing Operations — 2.4% | |||||||||||
3M Co. | 6,338 | $ | 1,316,910 | ||||||||
A.O. Smith Corp. | 3,186 | 169,877 | |||||||||
Eaton Corp. PLC | 86,464 | 6,965,540 | |||||||||
General Electric Co. | 195,559 | 1,953,634 | |||||||||
Illinois Tool Works, Inc. | 4,069 | 584,024 | |||||||||
Ingersoll-Rand PLC | 33,721 | 3,640,182 | |||||||||
Parker-Hannifin Corp. | 2,906 | 498,728 | |||||||||
Siemens AG | 24,800 | 2,668,959 | |||||||||
Textron, Inc. | 5,272 | 267,079 | |||||||||
18,064,933 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Livent Corp.† | 1,572 | 19,304 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
eBay, Inc. | 11,978 | 444,863 | |||||||||
E-Commerce/Services — 0.1% | |||||||||||
Booking Holdings, Inc.† | 526 | 917,823 | |||||||||
Expedia Group, Inc. | 998 | 118,762 | |||||||||
TripAdvisor, Inc.† | 762 | 39,205 | |||||||||
1,075,790 | |||||||||||
Electric Products-Misc. — 0.4% | |||||||||||
Emerson Electric Co. | 45,737 | 3,131,612 | |||||||||
Electric-Distribution — 0.6% | |||||||||||
CenterPoint Energy, Inc. | 11,259 | 345,651 | |||||||||
Sempra Energy | 33,674 | 4,238,210 | |||||||||
4,583,861 | |||||||||||
Electric-Integrated — 4.2% | |||||||||||
AES Corp. | 14,878 | 268,994 | |||||||||
Alliant Energy Corp. | 2,280 | 107,456 | |||||||||
American Electric Power Co., Inc. | 11,082 | 928,118 | |||||||||
CMS Energy Corp. | 2,801 | 155,568 | |||||||||
Consolidated Edison, Inc. | 7,213 | 611,735 | |||||||||
Dominion Energy, Inc. | 62,717 | 4,807,885 | |||||||||
DTE Energy Co. | 4,087 | 509,812 | |||||||||
Duke Energy Corp. | 16,332 | 1,469,880 | |||||||||
Edison International | 80,758 | 5,000,535 | |||||||||
Entergy Corp. | 4,259 | 407,288 | |||||||||
Evergy, Inc. | 5,720 | 332,046 | |||||||||
Eversource Energy | 48,104 | 3,412,979 | |||||||||
Exelon Corp. | 21,785 | 1,092,082 | |||||||||
FirstEnergy Corp. | 11,314 | 470,776 | |||||||||
Pinnacle West Capital Corp. | 26,690 | 2,551,030 | |||||||||
PPL Corp. | 16,196 | 514,061 | |||||||||
Public Service Enterprise Group, Inc. | 11,355 | 674,601 | |||||||||
Southern Co. | 23,241 | 1,201,095 | |||||||||
WEC Energy Group, Inc. | 3,685 | 291,410 | |||||||||
Xcel Energy, Inc. | 109,069 | 6,130,768 | |||||||||
30,938,119 | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Garmin, Ltd. | 1,035 | 89,372 | |||||||||
Electronic Components-Semiconductors — 3.0% | |||||||||||
Intel Corp. | 304,390 | 16,345,743 | |||||||||
IPG Photonics Corp.† | 797 | 120,969 | |||||||||
Microchip Technology, Inc. | 2,609 | 216,442 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Micron Technology, Inc.† | 74,784 | $ | 3,090,823 | ||||||||
NVIDIA Corp. | 6,398 | 1,148,825 | |||||||||
Qorvo, Inc.† | 2,758 | 197,831 | |||||||||
Skyworks Solutions, Inc. | 1,525 | 125,782 | |||||||||
Texas Instruments, Inc. | 7,168 | 760,310 | |||||||||
22,006,725 | |||||||||||
Electronic Connectors — 0.6% | |||||||||||
Amphenol Corp., Class A | 4,152 | 392,115 | |||||||||
TE Connectivity, Ltd. | 46,562 | 3,759,881 | |||||||||
4,151,996 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Agilent Technologies, Inc. | 3,354 | 269,595 | |||||||||
FLIR Systems, Inc. | 3,043 | 144,786 | |||||||||
Fortive Corp. | 6,615 | 554,932 | |||||||||
969,313 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 1,040 | 94,338 | |||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Fluor Corp. | 3,136 | 115,405 | |||||||||
Jacobs Engineering Group, Inc. | 2,633 | 197,975 | |||||||||
313,380 | |||||||||||
Engines-Internal Combustion — 0.5% | |||||||||||
Cummins, Inc. | 22,782 | 3,596,594 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
Oracle Corp. | 95,912 | 5,151,434 | |||||||||
Entertainment Software — 0.2% | |||||||||||
Activision Blizzard, Inc. | 17,159 | 781,249 | |||||||||
Electronic Arts, Inc.† | 3,500 | 355,705 | |||||||||
1,136,954 | |||||||||||
Finance-Consumer Loans — 0.5% | |||||||||||
Synchrony Financial | 111,680 | 3,562,592 | |||||||||
Finance-Credit Card — 0.3% | |||||||||||
American Express Co. | 7,768 | 849,042 | |||||||||
Capital One Financial Corp. | 10,511 | 858,644 | |||||||||
Discover Financial Services | 2,582 | 183,735 | |||||||||
Western Union Co. | 5,679 | 104,891 | |||||||||
1,996,312 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Charles Schwab Corp. | 12,792 | 546,986 | |||||||||
E*TRADE Financial Corp. | 2,269 | 105,350 | |||||||||
Jefferies Financial Group, Inc. | 5,908 | 111,011 | |||||||||
TD Ameritrade Holding Corp. | 48,092 | 2,404,119 | |||||||||
3,167,466 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
CME Group, Inc. | 8,037 | 1,322,730 | |||||||||
Nasdaq, Inc. | 780 | 68,242 | |||||||||
1,390,972 | |||||||||||
Food-Confectionery — 0.1% | |||||||||||
Hershey Co. | 1,218 | 139,863 | |||||||||
J.M. Smucker Co. | 2,556 | 297,774 | |||||||||
437,637 |
164
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
Tyson Foods, Inc., Class A | 6,633 | $ | 460,529 | ||||||||
Food-Misc./Diversified — 3.1% | |||||||||||
Campbell Soup Co. | 4,328 | 165,027 | |||||||||
Conagra Brands, Inc. | 77,119 | 2,139,281 | |||||||||
General Mills, Inc. | 13,406 | 693,761 | |||||||||
Kellogg Co. | 20,130 | 1,155,059 | |||||||||
Kraft Heinz Co. | 74,371 | 2,428,213 | |||||||||
Mondelez International, Inc., Class A | 244,371 | 12,199,000 | |||||||||
Nestle SA ADR | 41,184 | 3,925,659 | |||||||||
22,706,000 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Kroger Co. | 17,921 | 440,857 | |||||||||
Food-Wholesale/Distribution — 0.8% | |||||||||||
Sysco Corp. | 31,576 | 2,108,014 | |||||||||
US Foods Holding Corp.† | 107,213 | 3,742,806 | |||||||||
5,850,820 | |||||||||||
Footwear & Related Apparel — 0.3% | |||||||||||
Skechers U.S.A., Inc., Class A† | 74,300 | 2,497,223 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Atmos Energy Corp. | 1,077 | 110,856 | |||||||||
NiSource, Inc. | 8,368 | 239,827 | |||||||||
350,683 | |||||||||||
Gold Mining — 0.1% | |||||||||||
Newmont Mining Corp. | 11,966 | 428,024 | |||||||||
Home Decoration Products — 0.3% | |||||||||||
Newell Brands, Inc. | 129,978 | 1,993,863 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 2,945 | 124,338 | |||||||||
Hotels/Motels — 0.5% | |||||||||||
Hilton Worldwide Holdings, Inc. | 39,756 | 3,304,121 | |||||||||
Marriott International, Inc., Class A | 3,800 | 475,342 | |||||||||
3,779,463 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 1,445 | 94,156 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 1,343 | 235,643 | |||||||||
Industrial Gases — 0.1% | |||||||||||
Linde PLC | 4,085 | 718,674 | |||||||||
Instruments-Controls — 0.2% | |||||||||||
Honeywell International, Inc. | 8,189 | 1,301,396 | |||||||||
Mettler-Toledo International, Inc.† | 201 | 145,323 | |||||||||
1,446,719 | |||||||||||
Instruments-Scientific — 0.0% | |||||||||||
PerkinElmer, Inc. | 1,195 | 115,150 | |||||||||
Waters Corp.† | 643 | 161,850 | |||||||||
277,000 | |||||||||||
Insurance Brokers — 0.5% | |||||||||||
Aon PLC | 1,995 | 340,546 | |||||||||
Arthur J. Gallagher & Co. | 1,365 | 106,607 | |||||||||
Marsh & McLennan Cos., Inc. | 30,770 | 2,889,303 | |||||||||
Willis Towers Watson PLC | 2,900 | 509,385 | |||||||||
3,845,841 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Life/Health — 1.1% | |||||||||||
Aflac, Inc. | 68,996 | $ | 3,449,800 | ||||||||
Brighthouse Financial, Inc.† | 2,621 | 95,116 | |||||||||
Lincoln National Corp. | 4,589 | 269,374 | |||||||||
Principal Financial Group, Inc. | 67,339 | 3,379,745 | |||||||||
Prudential Financial, Inc. | 9,188 | 844,194 | |||||||||
Torchmark Corp. | 1,253 | 102,683 | |||||||||
Unum Group | 4,822 | 163,128 | |||||||||
8,304,040 | |||||||||||
Insurance-Multi-line — 1.8% | |||||||||||
Allstate Corp. | 7,458 | 702,394 | |||||||||
American International Group, Inc.(1) | 19,533 | 841,091 | |||||||||
Assurant, Inc. | 1,164 | 110,475 | |||||||||
Chubb, Ltd. | 72,645 | 10,176,112 | |||||||||
Cincinnati Financial Corp. | 1,770 | 152,043 | |||||||||
Hartford Financial Services Group, Inc. | 8,075 | 401,489 | |||||||||
Loews Corp. | 6,154 | 294,961 | |||||||||
MetLife, Inc. | 21,505 | 915,468 | |||||||||
13,594,033 | |||||||||||
Insurance-Property/Casualty — 0.8% | |||||||||||
Berkshire Hathaway, Inc., Class B† | 22,716 | 4,563,417 | |||||||||
Progressive Corp. | 6,165 | 444,435 | |||||||||
Travelers Cos., Inc. | 5,917 | 811,576 | |||||||||
5,819,428 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Everest Re Group, Ltd. | 914 | 197,387 | |||||||||
Internet Security — 0.0% | |||||||||||
Symantec Corp. | 14,360 | 330,136 | |||||||||
Investment Management/Advisor Services — 1.5% | |||||||||||
Affiliated Managers Group, Inc. | 1,169 | 125,212 | |||||||||
Ameriprise Financial, Inc. | 29,620 | 3,794,322 | |||||||||
BlackRock, Inc. | 2,734 | 1,168,430 | |||||||||
Franklin Resources, Inc. | 6,639 | 220,016 | |||||||||
Invesco, Ltd. | 272,745 | 5,266,706 | |||||||||
Raymond James Financial, Inc. | 2,852 | 229,329 | |||||||||
T. Rowe Price Group, Inc. | 2,654 | 265,718 | |||||||||
11,069,733 | |||||||||||
Machinery-Construction & Mining — 1.2% | |||||||||||
Atlas Copco AB, Class B | 137,470 | 3,405,633 | |||||||||
Caterpillar, Inc. | 40,229 | 5,450,627 | |||||||||
8,856,260 | |||||||||||
Machinery-Farming — 0.2% | |||||||||||
Deere & Co. | 7,155 | 1,143,655 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Wabtec Corp. | 1,694 | 124,882 | |||||||||
Machinery-Material Handling — 0.0% | |||||||||||
Dover Corp. | 3,256 | 305,413 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Flowserve Corp. | 1,383 | 62,429 | |||||||||
Medical Information Systems — 0.4% | |||||||||||
Cerner Corp.† | 46,720 | 2,672,851 | |||||||||
Medical Instruments — 1.6% | |||||||||||
Medtronic PLC | 131,135 | 11,943,776 |
165
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Labs & Testing Services — 0.5% | |||||||||||
IQVIA Holdings, Inc.† | 960 | $ | 138,096 | ||||||||
Laboratory Corp. of America Holdings† | 2,215 | 338,850 | |||||||||
Quest Diagnostics, Inc. | 39,516 | 3,553,279 | |||||||||
4,030,225 | |||||||||||
Medical Products — 1.3% | |||||||||||
Baxter International, Inc. | 6,104 | 496,316 | |||||||||
Becton Dickinson and Co. | 2,236 | 558,396 | |||||||||
Cooper Cos., Inc. | 632 | 187,179 | |||||||||
Henry Schein, Inc.† | 1,871 | 112,466 | |||||||||
Hologic, Inc.† | 44,027 | 2,130,907 | |||||||||
Stryker Corp. | 2,849 | 562,735 | |||||||||
Zimmer Biomet Holdings, Inc. | 45,180 | 5,769,486 | |||||||||
9,817,485 | |||||||||||
Medical-Biomedical/Gene — 0.6% | |||||||||||
Amgen, Inc. | 4,753 | 902,975 | |||||||||
Biogen, Inc.† | 2,033 | 480,561 | |||||||||
Celgene Corp.† | 8,363 | 788,965 | |||||||||
Gilead Sciences, Inc. | 28,654 | 1,862,796 | |||||||||
Incyte Corp.† | 2,075 | 178,471 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 722 | 296,468 | |||||||||
4,510,236 | |||||||||||
Medical-Drugs — 6.1% | |||||||||||
AbbVie, Inc. | 15,906 | 1,281,864 | |||||||||
Allergan PLC | 45,027 | 6,592,403 | |||||||||
AstraZeneca PLC ADR | 76,016 | 3,073,327 | |||||||||
Bristol-Myers Squibb Co. | 91,236 | 4,352,870 | |||||||||
Eli Lilly & Co. | 23,933 | 3,105,546 | |||||||||
Johnson & Johnson | 89,309 | 12,484,505 | |||||||||
Merck & Co., Inc. | 43,870 | 3,648,668 | |||||||||
Nektar Therapeutics† | 3,911 | 131,410 | |||||||||
Pfizer, Inc. | 149,230 | 6,337,798 | |||||||||
Roche Holding AG ADR | 112,216 | 3,859,108 | |||||||||
Zoetis, Inc. | 4,840 | 487,243 | |||||||||
45,354,742 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 11,584 | 328,291 | |||||||||
Perrigo Co. PLC | 2,808 | 135,233 | |||||||||
463,524 | |||||||||||
Medical-HMO — 1.5% | |||||||||||
Anthem, Inc. | 18,674 | 5,359,064 | |||||||||
Centene Corp.† | 9,282 | 492,874 | |||||||||
UnitedHealth Group, Inc. | 21,556 | 5,329,937 | |||||||||
11,181,875 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
Universal Health Services, Inc., Class B | 807 | 107,952 | |||||||||
Medical-Wholesale Drug Distribution — 0.4% | |||||||||||
AmerisourceBergen Corp. | 3,509 | 279,036 | |||||||||
Cardinal Health, Inc. | 6,695 | 322,364 | |||||||||
McKesson Corp. | 22,569 | 2,641,927 | |||||||||
3,243,327 |
Security Description | Shares | Value (Note 2) | |||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. | 17,904 | $ | 230,783 | ||||||||
Motorcycle/Motor Scooter — 0.0% | |||||||||||
Harley-Davidson, Inc. | 3,584 | 127,805 | |||||||||
Multimedia — 0.8% | |||||||||||
Viacom, Inc., Class B | 145,053 | 4,071,638 | |||||||||
Walt Disney Co. | 17,260 | 1,916,404 | |||||||||
5,988,042 | |||||||||||
Networking Products — 1.2% | |||||||||||
Cisco Systems, Inc. | 165,759 | 8,949,328 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Republic Services, Inc. | 2,759 | 221,768 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Xerox Corp. | 4,490 | 143,590 | |||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 1,038 | 117,294 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Helmerich & Payne, Inc. | 2,458 | 136,567 | |||||||||
Oil Companies-Exploration & Production — 2.1% | |||||||||||
Anadarko Petroleum Corp. | 31,650 | 1,439,442 | |||||||||
Cabot Oil & Gas Corp. | 2,948 | 76,943 | |||||||||
Cimarex Energy Co. | 1,003 | 70,110 | |||||||||
Concho Resources, Inc. | 2,028 | 225,027 | |||||||||
EOG Resources, Inc. | 53,858 | 5,126,204 | |||||||||
EQT Corp. | 47,700 | 989,298 | |||||||||
Hess Corp. | 2,573 | 154,972 | |||||||||
Noble Energy, Inc. | 58,414 | 1,444,578 | |||||||||
Occidental Petroleum Corp. | 39,200 | 2,595,040 | |||||||||
Pioneer Natural Resources Co. | 24,127 | 3,674,059 | |||||||||
15,795,673 | |||||||||||
Oil Companies-Integrated — 4.5% | |||||||||||
Chevron Corp. | 169,587 | 20,889,726 | |||||||||
Exxon Mobil Corp. | 41,881 | 3,383,985 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 25,200 | 1,611,540 | |||||||||
TOTAL SA ADR | 130,020 | 7,235,613 | |||||||||
33,120,864 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
National Oilwell Varco, Inc. | 8,614 | 229,477 | |||||||||
Oil Refining & Marketing — 0.4% | |||||||||||
Marathon Petroleum Corp. | 15,133 | 905,710 | |||||||||
Phillips 66 | 9,424 | 896,882 | |||||||||
Valero Energy Corp. | 9,382 | 795,875 | |||||||||
2,598,467 | |||||||||||
Oil-Field Services — 1.7% | |||||||||||
Baker Hughes a GE Co., LLC | 98,853 | 2,740,205 | |||||||||
Halliburton Co. | 112,003 | 3,281,688 | |||||||||
Schlumberger, Ltd. | 140,446 | 6,119,232 | |||||||||
TechnipFMC PLC | 9,558 | 224,804 | |||||||||
12,365,929 | |||||||||||
Paper & Related Products — 0.5% | |||||||||||
International Paper Co. | 73,520 | 3,401,770 |
166
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
Cigna Corp. | 3,671 | $ | 590,370 | ||||||||
CVS Health Corp. | 29,139 | 1,571,467 | |||||||||
2,161,837 | |||||||||||
Pipelines — 0.8% | |||||||||||
Equitrans Midstream Corp. | 38,160 | 831,125 | |||||||||
Kinder Morgan, Inc. | 210,195 | 4,206,002 | |||||||||
ONEOK, Inc. | 3,976 | 277,684 | |||||||||
Williams Cos., Inc. | 27,205 | 781,327 | |||||||||
6,096,138 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp., Class A | 8,656 | 107,681 | |||||||||
News Corp., Class B | 2,780 | 34,722 | |||||||||
142,403 | |||||||||||
Real Estate Investment Trusts — 2.4% | |||||||||||
Alexandria Real Estate Equities, Inc. | 2,532 | 360,962 | |||||||||
AvalonBay Communities, Inc. | 996 | 199,927 | |||||||||
Boston Properties, Inc. | 1,631 | 218,358 | |||||||||
Brixmor Property Group, Inc. | 181,047 | 3,325,833 | |||||||||
Crown Castle International Corp. | 5,508 | 705,024 | |||||||||
Digital Realty Trust, Inc. | 2,054 | 244,426 | |||||||||
Duke Realty Corp. | 2,663 | 81,435 | |||||||||
Equinix, Inc. | 749 | 339,417 | |||||||||
Equity Residential | 2,659 | 200,276 | |||||||||
Essex Property Trust, Inc. | 384 | 111,068 | |||||||||
Extra Space Storage, Inc. | 972 | 99,056 | |||||||||
Federal Realty Investment Trust | 869 | 119,792 | |||||||||
Host Hotels & Resorts, Inc. | 8,816 | 166,622 | |||||||||
Iron Mountain, Inc. | 6,433 | 228,114 | |||||||||
Kimco Realty Corp. | 9,466 | 175,121 | |||||||||
Macerich Co. | 2,378 | 103,086 | |||||||||
Mid-America Apartment Communities, Inc. | 1,126 | 123,106 | |||||||||
Park Hotels & Resorts, Inc. | 125,928 | 3,913,842 | |||||||||
Prologis, Inc. | 14,161 | 1,018,884 | |||||||||
Realty Income Corp. | 1,843 | 135,571 | |||||||||
Regency Centers Corp. | 2,070 | 139,704 | |||||||||
SBA Communications Corp.† | 1,062 | 212,039 | |||||||||
Simon Property Group, Inc. | 2,290 | 417,261 | |||||||||
SL Green Realty Corp. | 1,880 | 169,050 | |||||||||
UDR, Inc. | 2,786 | 126,652 | |||||||||
Ventas, Inc. | 8,002 | 510,608 | |||||||||
Vornado Realty Trust | 1,909 | 128,743 | |||||||||
Weyerhaeuser Co. | 150,821 | 3,972,625 | |||||||||
17,546,602 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
CBRE Group, Inc., Class A† | 7,016 | 346,941 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 840 | 95,970 | |||||||||
Retail-Apparel/Shoe — 0.7% | |||||||||||
Foot Locker, Inc. | 1,293 | 78,356 | |||||||||
Gap, Inc. | 4,799 | 125,638 | |||||||||
L Brands, Inc. | 40,245 | 1,109,957 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Apparel/Shoe (continued) | |||||||||||
Ross Stores, Inc. | 3,580 | $ | 333,298 | ||||||||
Tapestry, Inc. | 101,950 | 3,312,355 | |||||||||
4,959,604 | |||||||||||
Retail-Auto Parts — 0.4% | |||||||||||
Advance Auto Parts, Inc. | 13,464 | 2,296,016 | |||||||||
Genuine Parts Co. | 3,279 | 367,346 | |||||||||
2,663,362 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 2,102 | 146,720 | |||||||||
Retail-Building Products — 0.5% | |||||||||||
Home Depot, Inc. | 13,702 | 2,629,277 | |||||||||
Lowe's Cos., Inc. | 9,717 | 1,063,720 | |||||||||
3,692,997 | |||||||||||
Retail-Catalog Shopping — 0.1% | |||||||||||
Qurate Retail, Inc.† | 35,878 | 573,330 | |||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 5,259 | 373,705 | |||||||||
Retail-Discount — 1.3% | |||||||||||
Costco Wholesale Corp. | 9,896 | 2,396,217 | |||||||||
Dollar Tree, Inc.† | 5,346 | 561,544 | |||||||||
Target Corp. | 27,203 | 2,183,313 | |||||||||
Walmart, Inc. | 49,240 | 4,802,377 | |||||||||
9,943,451 | |||||||||||
Retail-Drug Store — 0.2% | |||||||||||
Walgreens Boots Alliance, Inc. | 18,015 | 1,139,809 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 1,340 | 141,437 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Nordstrom, Inc. | 1,228 | 54,499 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Kohl's Corp. | 3,710 | 255,137 | |||||||||
Macy's, Inc. | 4,007 | 96,288 | |||||||||
351,425 | |||||||||||
Retail-Restaurants — 0.2% | |||||||||||
Darden Restaurants, Inc. | 832 | 101,063 | |||||||||
Starbucks Corp. | 13,689 | 1,017,640 | |||||||||
1,118,703 | |||||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
People's United Financial, Inc. | 8,483 | 139,461 | |||||||||
Semiconductor Components-Integrated Circuits — 0.8% | |||||||||||
Analog Devices, Inc. | 3,806 | 400,658 | |||||||||
Maxim Integrated Products, Inc. | 2,457 | 130,639 | |||||||||
QUALCOMM, Inc. | 98,979 | 5,644,772 | |||||||||
6,176,069 | |||||||||||
Semiconductor Equipment — 1.0% | |||||||||||
Applied Materials, Inc. | 81,148 | 3,218,330 | |||||||||
KLA-Tencor Corp. | 31,470 | 3,757,833 | |||||||||
Lam Research Corp. | 3,428 | 613,646 | |||||||||
7,589,809 |
167
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 933 | $ | 193,318 | ||||||||
Steel-Producers — 0.1% | |||||||||||
Nucor Corp. | 6,860 | 400,281 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Corning, Inc. | 17,674 | 585,009 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Juniper Networks, Inc. | 7,816 | 206,890 | |||||||||
Telephone-Integrated — 2.3% | |||||||||||
AT&T, Inc. | 163,647 | 5,131,970 | |||||||||
CenturyLink, Inc. | 21,364 | 256,154 | |||||||||
Verizon Communications, Inc. | 195,185 | 11,541,289 | |||||||||
16,929,413 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp., Class B | 7,810 | 371,209 | |||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 1,381 | 174,213 | |||||||||
Tobacco — 1.4% | |||||||||||
Altria Group, Inc. | 42,109 | 2,418,320 | |||||||||
British American Tobacco PLC ADR | 78,353 | 3,268,887 | |||||||||
Philip Morris International, Inc. | 55,551 | 4,910,153 | |||||||||
10,597,360 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,249 | 195,494 | |||||||||
Stanley Black & Decker, Inc. | 3,400 | 462,978 | |||||||||
658,472 | |||||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 1,118 | 95,052 | |||||||||
Mattel, Inc.† | 3,957 | 51,441 | |||||||||
146,493 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
Kansas City Southern | 1,270 | 147,295 | |||||||||
Norfolk Southern Corp. | 1,863 | 348,176 | |||||||||
Union Pacific Corp. | 7,700 | 1,287,440 | |||||||||
1,782,911 | |||||||||||
Transport-Services — 0.6% | |||||||||||
C.H. Robinson Worldwide, Inc. | 3,074 | 267,407 | |||||||||
FedEx Corp. | 2,967 | 538,244 | |||||||||
United Parcel Service, Inc., Class B | 29,538 | 3,300,576 | |||||||||
4,106,227 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. | 645 | 65,332 | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,502 | 156,599 | |||||||||
Water Treatment Systems — 0.0% | |||||||||||
Pentair PLC | 3,542 | 157,654 | |||||||||
Wireless Equipment — 0.4% | |||||||||||
Nokia OYJ ADR | 453,399 | 2,593,442 | |||||||||
Total Common Stocks (cost $662,433,890) | 719,617,179 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EXCHANGE-TRADED FUNDS — 1.1% | |||||||||||
iShares Russell 1000 Value ETF | 54,980 | $ | 6,789,480 | ||||||||
iShares S&P 500 Value ETF | 12,900 | 1,454,346 | |||||||||
Total Exchange-Traded Funds (cost $8,133,294) | 8,243,826 | ||||||||||
Total Long-Term Investment Securities (cost $670,567,184) | 727,861,005 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.0% | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 2.48% due 09/05/2019(2) | $ | 70,000 | 69,279 | ||||||||
2.49% due 06/13/2019(2) | 100,000 | 99,520 | |||||||||
Total Short-Term Investment Securities (cost $168,753) | 168,799 | ||||||||||
REPURCHASE AGREEMENTS — 0.7% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $512,021 collateralized by $515,000 of United States Treasury Notes, bearing interest at 2.63% due 02/28/2023 and having an approximate value of $524,330 | 512,000 | 512,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 1,090,000 | 1,090,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 540,000 | 540,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 975,000 | 975,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 1,045,000 | 1,045,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 1,080,000 | 1,080,000 | |||||||||
Total Repurchase Agreements (cost $5,242,000) | 5,242,000 | ||||||||||
TOTAL INVESTMENTS (cost $675,977,937)(4) | 99.1 | % | 733,271,804 | ||||||||
Other assets less liabilities | 0.9 | 6,301,601 | |||||||||
NET ASSETS | 100.0 | % | $ | 739,573,405 |
† 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 Funds
168
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (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 | June 2019 | $ | 1,108,870 | $ | 1,106,200 | $ | (2,670 | ) |
* 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 | 232,571,017 | USD | 2,127,793 | 06/28/2019 | $ | 15,038 | $ | — | ||||||||||||||
USD | 108,199 | JPY | 11,884,850 | 06/28/2019 | — | (233 | ) | ||||||||||||||||
15,038 | (233 | ) | |||||||||||||||||||||
Credit Suisse AG | EUR | 8,940,592 | USD | 10,198,330 | 06/28/2019 | 95,343 | — | ||||||||||||||||
USD | 254,966 | EUR | 224,198 | 06/28/2019 | — | (1,620 | ) | ||||||||||||||||
95,343 | (1,620 | ) | |||||||||||||||||||||
Goldman Sachs International | SEK | 25,877,747 | USD | 2,822,062 | 06/28/2019 | 20,496 | — | ||||||||||||||||
USD | 84,671 | SEK | 781,224 | 06/28/2019 | — | (94 | ) | ||||||||||||||||
20,496 | (94 | ) | |||||||||||||||||||||
JPMorgan Chase Bank | GBP | 1,039,839 | USD | 1,378,358 | 06/28/2019 | 18,148 | — | ||||||||||||||||
18,148 | — | ||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 149,025 | $ | (1,947 | ) |
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
SEK — Swedish Krona
USD — United States Dollar
169
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 711,906,426 | $ | 7,710,753 | ** | $ | — | $ | 719,617,179 | ||||||||||
Exchange-Traded Funds | 8,243,826 | — | — | 8,243,826 | |||||||||||||||
Short-Term Investment Securities | — | 168,799 | — | 168,799 | |||||||||||||||
Repurchase Agreements | — | 5,242,000 | — | 5,242,000 | |||||||||||||||
Total Investments at Value | $ | 720,150,252 | $ | 13,121,552 | $ | — | $ | 733,271,804 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 149,025 | $ | — | $ | 149,025 | |||||||||||
Total Other Financial Instruments | $ | — | $ | 149,025 | $ | — | $ | 149,025 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 2,670 | $ | — | $ | — | $ | 2,670 | |||||||||||
Forward Foreign Currency Contracts | — | 1,947 | — | 1,947 | |||||||||||||||
Total Other Financial Instruments | $ | 2,670 | $ | 1,947 | $ | — | $ | 4,617 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Amounts presented represent unrealized appreciation/depreciation as of the end of the reporting period.
See Notes to Financial Statements
170
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Enterprise Software/Service | 5.2 | % | |||||
Medical-Biomedical/Gene | 4.3 | ||||||
Commercial Services-Finance | 4.1 | ||||||
Applications Software | 2.9 | ||||||
Electronic Components-Semiconductors | 2.9 | ||||||
Computer Software | 2.8 | ||||||
Medical Products | 2.6 | ||||||
E-Commerce/Services | 2.4 | ||||||
Data Processing/Management | 2.4 | ||||||
Repurchase Agreements | 2.3 | ||||||
Commercial Services | 2.1 | ||||||
Retail-Restaurants | 2.0 | ||||||
Retail-Apparel/Shoe | 1.7 | ||||||
Dental Supplies & Equipment | 1.7 | ||||||
Machinery-General Industrial | 1.7 | ||||||
Web Hosting/Design | 1.6 | ||||||
Medical Instruments | 1.5 | ||||||
Aerospace/Defense-Equipment | 1.4 | ||||||
Schools | 1.4 | ||||||
Computer Aided Design | 1.3 | ||||||
Real Estate Investment Trusts | 1.2 | ||||||
Distribution/Wholesale | 1.2 | ||||||
Resorts/Theme Parks | 1.2 | ||||||
Oil Companies-Exploration & Production | 1.1 | ||||||
Consulting Services | 1.1 | ||||||
Semiconductor Equipment | 1.1 | ||||||
Hotels/Motels | 1.1 | ||||||
Beverages-Non-alcoholic | 1.0 | ||||||
Food-Misc./Diversified | 1.0 | ||||||
Patient Monitoring Equipment | 1.0 | ||||||
Retail-Discount | 0.9 | ||||||
Apparel Manufacturers | 0.9 | ||||||
Retail-Auto Parts | 0.9 | ||||||
Medical-Drugs | 0.9 | ||||||
Internet Content-Information/News | 0.9 | ||||||
Medical-HMO | 0.9 | ||||||
Building-Residential/Commercial | 0.9 | ||||||
Office Automation & Equipment | 0.9 | ||||||
Internet Application Software | 0.8 | ||||||
Electronic Measurement Instruments | 0.8 | ||||||
Finance-Investment Banker/Broker | 0.8 | ||||||
Entertainment Software | 0.8 | ||||||
Banks-Commercial | 0.8 | ||||||
E-Commerce/Products | 0.8 | ||||||
Cruise Lines | 0.7 | ||||||
Semiconductor Components-Integrated Circuits | 0.7 | ||||||
Internet Security | 0.7 | ||||||
Retail-Floor Coverings | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Building Products-Cement | 0.6 | ||||||
Transport-Truck | 0.6 | ||||||
Aerospace/Defense | 0.5 | ||||||
Electronic Connectors | 0.5 | ||||||
Security Services | 0.5 | ||||||
Industrial Automated/Robotic | 0.5 | ||||||
Recreational Centers | 0.5 | ||||||
Diagnostic Kits | 0.5 | ||||||
Diversified Manufacturing Operations | 0.5 | ||||||
Finance-Other Services | 0.4 | ||||||
Therapeutics | 0.4 |
Retail-Perfume & Cosmetics | 0.4 | % | |||||
Drug Delivery Systems | 0.4 | ||||||
Investment Management/Advisor Services | 0.4 | ||||||
Machinery-Pumps | 0.4 | ||||||
Recreational Vehicles | 0.4 | ||||||
Real Estate Management/Services | 0.4 | ||||||
Transport-Services | 0.4 | ||||||
Computer Services | 0.4 | ||||||
Lighting Products & Systems | 0.4 | ||||||
Instruments-Controls | 0.4 | ||||||
E-Services/Consulting | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Healthcare Safety Devices | 0.3 | ||||||
Airlines | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Computers-Memory Devices | 0.3 | ||||||
Casino Hotels | 0.3 | ||||||
Chemicals-Specialty | 0.3 | ||||||
Finance-Credit Card | 0.3 | ||||||
Soap & Cleaning Preparation | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
Decision Support Software | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Exchange-Traded Funds | 0.3 | ||||||
Containers-Paper/Plastic | 0.3 | ||||||
Internet Telephone | 0.3 | ||||||
Electronic Security Devices | 0.2 | ||||||
Internet Content-Entertainment | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Retail-Automobile | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Transport-Rail | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Television | 0.2 | ||||||
Electronic Components-Misc. | 0.2 | ||||||
Advertising Agencies | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Instruments-Scientific | 0.2 | ||||||
Shipbuilding | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Garden Products | 0.2 | ||||||
Multimedia | 0.2 | ||||||
Building-Maintenance & Services | 0.2 | ||||||
Non-Hazardous Waste Disposal | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Theaters | 0.2 | ||||||
Respiratory Products | 0.2 |
171
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Medical-Wholesale Drug Distribution | 0.1 | % | |||||
Machinery-Electrical | 0.1 | ||||||
Insurance-Multi-line | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Telephone-Integrated | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Water | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Lasers-System/Components | 0.1 | ||||||
Internet Infrastructure Software | 0.1 | ||||||
Radio | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Toys | 0.1 | ||||||
Textile-Home Furnishings | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Engines-Internal Combustion | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Building Products-Wood | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
Auction Houses/Art Dealers | 0.1 | ||||||
Industrial Gases | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Retail-Convenience Store | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Steel Pipe & Tube | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Computers | 0.1 | ||||||
Physical Therapy/Rehabilitation Centers | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
100.3 | % |
* Calculated as a percentage of net assets
172
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.4% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 440 | $ | 30,430 | ||||||||
Advertising Agencies — 0.2% | |||||||||||
Interpublic Group of Cos., Inc. | �� | 3,516 | 73,871 | ||||||||
Omnicom Group, Inc. | 4,638 | 338,528 | |||||||||
412,399 | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Spirit AeroSystems Holdings, Inc., Class A | 2,475 | 226,537 | |||||||||
TransDigm Group, Inc.† | 2,232 | 1,013,305 | |||||||||
1,239,842 | |||||||||||
Aerospace/Defense-Equipment — 1.4% | |||||||||||
Harris Corp. | 16,676 | 2,663,324 | |||||||||
HEICO Corp. | 898 | 85,194 | |||||||||
HEICO Corp., Class A | 1,769 | 148,702 | |||||||||
L3 Technologies, Inc. | 1,514 | 312,444 | |||||||||
3,209,664 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 2,900 | 118,552 | |||||||||
Airlines — 0.3% | |||||||||||
Alaska Air Group, Inc. | 5,100 | 286,212 | |||||||||
American Airlines Group, Inc. | 5,200 | 165,152 | |||||||||
Copa Holdings SA, Class A | 1,000 | 80,610 | |||||||||
United Continental Holdings, Inc.† | 3,000 | 239,340 | |||||||||
771,314 | |||||||||||
Apparel Manufacturers — 0.9% | |||||||||||
Capri Holdings, Ltd.† | 1,764 | 80,703 | |||||||||
Carter's, Inc. | 1,056 | 106,434 | |||||||||
Columbia Sportswear Co. | 89 | 9,272 | |||||||||
Hanesbrands, Inc. | 8,378 | 149,799 | |||||||||
PVH Corp. | 1,100 | 134,145 | |||||||||
Under Armour, Inc., Class A† | 12,621 | 266,808 | |||||||||
Under Armour, Inc., Class C† | 42,536 | 802,654 | |||||||||
VF Corp. | 5,823 | 506,077 | |||||||||
2,055,892 | |||||||||||
Applications Software — 2.7% | |||||||||||
CDK Global, Inc. | 8,026 | 472,089 | |||||||||
Covetrus, Inc.† | 1,090 | 34,717 | |||||||||
PTC, Inc.† | 2,728 | 251,467 | |||||||||
RealPage, Inc.† | 5,597 | 339,682 | |||||||||
ServiceNow, Inc.† | 17,903 | 4,412,910 | |||||||||
Tableau Software, Inc., Class A† | 4,520 | 575,306 | |||||||||
6,086,171 | |||||||||||
Auction Houses/Art Dealers — 0.1% | |||||||||||
Ritchie Bros. Auctioneers, Inc. | 3,100 | 105,400 | |||||||||
Sotheby's† | 2,000 | 75,500 | |||||||||
180,900 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ferrari NV | 1,240 | 165,912 | |||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 2,300 | 156,722 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Allison Transmission Holdings, Inc. | 2,678 | $ | 120,296 | ||||||||
Aptiv PLC | 11,667 | 927,410 | |||||||||
Lear Corp. | 162 | 21,985 | |||||||||
Visteon Corp.† | 436 | 29,364 | |||||||||
WABCO Holdings, Inc.† | 2,117 | 279,084 | |||||||||
1,378,139 | |||||||||||
Banks-Commercial — 0.8% | |||||||||||
BankUnited, Inc. | 2,500 | 83,500 | |||||||||
BOK Financial Corp. | 145 | 11,825 | |||||||||
East West Bancorp, Inc. | 253 | 12,136 | |||||||||
First Republic Bank | 4,800 | 482,208 | |||||||||
Pinnacle Financial Partners, Inc. | 2,356 | 128,873 | |||||||||
Signature Bank | 1,892 | 242,309 | |||||||||
SVB Financial Group† | 1,777 | 395,134 | |||||||||
Synovus Financial Corp. | 1,105 | 37,968 | |||||||||
Texas Capital Bancshares, Inc.† | 736 | 40,178 | |||||||||
Webster Financial Corp. | 4,000 | 202,680 | |||||||||
Western Alliance Bancorp† | 1,383 | 56,758 | |||||||||
1,693,569 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Northern Trust Corp. | 2,641 | 238,773 | |||||||||
State Street Corp. | 600 | 39,486 | |||||||||
278,259 | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
Comerica, Inc. | 232 | 17,010 | |||||||||
Fifth Third Bancorp | 4,100 | 103,402 | |||||||||
120,412 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. | 792 | 35,585 | |||||||||
Beverages-Non-alcoholic — 1.0% | |||||||||||
Keurig Dr Pepper, Inc. | 7,488 | 209,439 | |||||||||
Monster Beverage Corp.† | 36,748 | 2,005,706 | |||||||||
2,215,145 | |||||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Brown-Forman Corp., Class A | 1,199 | 61,353 | |||||||||
Brown-Forman Corp., Class B | 11,889 | 627,501 | |||||||||
688,854 | |||||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Armstrong World Industries, Inc. | 1,005 | 79,817 | |||||||||
Fortune Brands Home & Security, Inc. | 6,970 | 331,842 | |||||||||
411,659 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Frontdoor, Inc.† | 1,585 | 54,556 | |||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
Lennox International, Inc. | 784 | 207,290 | |||||||||
Building Products-Cement — 0.6% | |||||||||||
Eagle Materials, Inc. | 2,569 | 216,567 | |||||||||
Martin Marietta Materials, Inc. | 1,346 | 270,788 | |||||||||
Vulcan Materials Co. | 6,887 | 815,421 | |||||||||
1,302,776 | |||||||||||
Building Products-Wood — 0.1% | |||||||||||
Masco Corp. | 4,861 | 191,086 |
173
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Maintenance & Services — 0.2% | |||||||||||
Rollins, Inc. | 9,085 | $ | 378,118 | ||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Thor Industries, Inc. | 968 | 60,374 | |||||||||
Building-Residential/Commercial — 0.9% | |||||||||||
D.R. Horton, Inc. | 4,728 | 195,645 | |||||||||
Lennar Corp., Class A | 20,889 | 1,025,441 | |||||||||
Lennar Corp., Class B | 195 | 7,628 | |||||||||
NVR, Inc.† | 177 | 489,759 | |||||||||
PulteGroup, Inc. | 1,927 | 53,879 | |||||||||
Toll Brothers, Inc. | 4,323 | 156,493 | |||||||||
1,928,845 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice USA, Inc., Class A | 2,887 | 62,013 | |||||||||
Cable One, Inc. | 99 | 97,156 | |||||||||
159,169 | |||||||||||
Casino Hotels — 0.3% | |||||||||||
MGM Resorts International | 9,123 | 234,096 | |||||||||
Wynn Resorts, Ltd. | 4,303 | 513,434 | |||||||||
747,530 | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
Celanese Corp. | 3,880 | 382,607 | |||||||||
FMC Corp. | 1,275 | 97,946 | |||||||||
PPG Industries, Inc. | 2,000 | 225,740 | |||||||||
Westlake Chemical Corp. | 784 | 53,202 | |||||||||
759,495 | |||||||||||
Chemicals-Specialty — 0.3% | |||||||||||
Chemours Co. | 4,000 | 148,640 | |||||||||
Element Solutions, Inc.† | 2,591 | 26,169 | |||||||||
International Flavors & Fragrances, Inc. | 1,122 | 144,502 | |||||||||
NewMarket Corp. | 170 | 73,705 | |||||||||
Univar, Inc.† | 404 | 8,953 | |||||||||
Valvoline, Inc. | 6,214 | 115,332 | |||||||||
Versum Materials, Inc. | 2,538 | 127,687 | |||||||||
W.R. Grace & Co. | 1,154 | 90,058 | |||||||||
735,046 | |||||||||||
Coatings/Paint — 0.2% | |||||||||||
Axalta Coating Systems, Ltd.† | 6,008 | 151,462 | |||||||||
RPM International, Inc. | 4,823 | 279,927 | |||||||||
431,389 | |||||||||||
Commercial Services — 2.1% | |||||||||||
Cintas Corp. | 4,040 | 816,525 | |||||||||
CoreLogic, Inc.† | 6,690 | 249,269 | |||||||||
CoStar Group, Inc.† | 7,039 | 3,283,130 | |||||||||
Morningstar, Inc. | 424 | 53,420 | |||||||||
Nielsen Holdings PLC | 7,900 | 186,993 | |||||||||
Quanta Services, Inc. | 1,012 | 38,193 | |||||||||
ServiceMaster Global Holdings, Inc.† | 3,170 | 148,039 | |||||||||
4,775,569 | |||||||||||
Commercial Services-Finance — 4.1% | |||||||||||
Equifax, Inc. | 4,057 | 480,755 | |||||||||
Euronet Worldwide, Inc.† | 2,179 | 310,704 | |||||||||
FleetCor Technologies, Inc.† | 4,245 | 1,046,775 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance (continued) | |||||||||||
Global Payments, Inc. | 8,612 | $ | 1,175,710 | ||||||||
Green Dot Corp., Class A† | 1,400 | 84,910 | |||||||||
H&R Block, Inc. | 885 | 21,187 | |||||||||
IHS Markit, Ltd.† | 5,491 | 298,601 | |||||||||
MarketAxess Holdings, Inc. | 1,616 | 397,665 | |||||||||
Moody's Corp. | 7,095 | 1,284,834 | |||||||||
Sabre Corp. | 13,296 | 284,401 | |||||||||
Square, Inc., Class A† | 18,799 | 1,408,421 | |||||||||
StoneCo, Ltd., Class A† | 2,487 | 102,241 | |||||||||
Total System Services, Inc. | 4,205 | 399,517 | |||||||||
TransUnion | 11,498 | 768,526 | |||||||||
WEX, Inc.† | 2,363 | 453,672 | |||||||||
Worldpay, Inc., Class A† | 6,923 | 785,760 | |||||||||
9,303,679 | |||||||||||
Computer Aided Design — 1.3% | |||||||||||
ANSYS, Inc.† | 2,746 | 501,722 | |||||||||
Aspen Technology, Inc.† | 1,578 | 164,522 | |||||||||
Autodesk, Inc.† | 7,506 | 1,169,585 | |||||||||
Cadence Design Systems, Inc.† | 12,224 | 776,346 | |||||||||
Synopsys, Inc.† | 3,425 | 394,389 | |||||||||
3,006,564 | |||||||||||
Computer Data Security — 0.2% | |||||||||||
Fortinet, Inc.† | 5,694 | 478,125 | |||||||||
Computer Services — 0.4% | |||||||||||
Elastic NV† | 153 | 12,220 | |||||||||
EPAM Systems, Inc.† | 2,099 | 355,004 | |||||||||
Genpact, Ltd. | 5,116 | 179,981 | |||||||||
Leidos Holdings, Inc. | 4,600 | 294,814 | |||||||||
842,019 | |||||||||||
Computer Software — 2.8% | |||||||||||
Akamai Technologies, Inc.† | 3,467 | 248,618 | |||||||||
Citrix Systems, Inc. | 3,161 | 315,025 | |||||||||
Dropbox, Inc., Class A† | 3,769 | 82,164 | |||||||||
Pivotal Software, Inc., Class A† | 64,955 | 1,354,312 | |||||||||
Red Hat, Inc.† | 4,138 | 756,013 | |||||||||
Splunk, Inc.† | 20,988 | 2,615,105 | |||||||||
SS&C Technologies Holdings, Inc. | 11,742 | 747,848 | |||||||||
Teradata Corp.† | 1,965 | 85,772 | |||||||||
6,204,857 | |||||||||||
Computers — 0.1% | |||||||||||
Dell Technologies, Inc., Class C† | 217 | 12,736 | |||||||||
Nutanix, Inc., Class A† | 3,270 | 123,410 | |||||||||
136,146 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NCR Corp.† | 2,265 | 61,812 | |||||||||
Computers-Memory Devices — 0.3% | |||||||||||
NetApp, Inc. | 6,126 | 424,777 | |||||||||
Pure Storage, Inc., Class A† | 15,205 | 331,317 | |||||||||
756,094 | |||||||||||
Consulting Services — 1.1% | |||||||||||
Booz Allen Hamilton Holding Corp. | 11,388 | 662,098 | |||||||||
Gartner, Inc.† | 5,769 | 875,042 |
174
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Consulting Services (continued) | |||||||||||
Verisk Analytics, Inc. | 7,148 | $ | 950,684 | ||||||||
2,487,824 | |||||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 4,711 | 755,927 | |||||||||
Spectrum Brands Holdings, Inc. | 441 | 24,158 | |||||||||
780,085 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 8,100 | 468,666 | |||||||||
Crown Holdings, Inc.† | 3,019 | 164,747 | |||||||||
Silgan Holdings, Inc. | 608 | 18,015 | |||||||||
651,428 | |||||||||||
Containers-Paper/Plastic — 0.3% | |||||||||||
Berry Global Group, Inc.† | 1,540 | 82,960 | |||||||||
Graphic Packaging Holding Co. | 1,228 | 15,510 | |||||||||
Packaging Corp. of America | 2,184 | 217,046 | |||||||||
Sealed Air Corp. | 6,710 | 309,062 | |||||||||
624,578 | |||||||||||
Cruise Lines — 0.7% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 26,036 | 1,430,939 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,800 | 206,316 | |||||||||
1,637,255 | |||||||||||
Data Processing/Management — 2.4% | |||||||||||
Broadridge Financial Solutions, Inc. | 2,706 | 280,585 | |||||||||
DocuSign, Inc.† | 3,138 | 162,674 | |||||||||
Fair Isaac Corp.† | 5,028 | 1,365,756 | |||||||||
Fidelity National Information Services, Inc. | 5,655 | 639,580 | |||||||||
First Data Corp., Class A† | 12,706 | 333,787 | |||||||||
Fiserv, Inc.† | 17,320 | 1,529,009 | |||||||||
Jack Henry & Associates, Inc. | 1,797 | 249,316 | |||||||||
Paychex, Inc. | 10,051 | 806,090 | |||||||||
5,366,797 | |||||||||||
Decision Support Software — 0.3% | |||||||||||
MSCI, Inc. | 3,434 | 682,817 | |||||||||
Dental Supplies & Equipment — 1.7% | |||||||||||
Align Technology, Inc.† | 13,393 | 3,808,032 | |||||||||
Diagnostic Kits — 0.5% | |||||||||||
IDEXX Laboratories, Inc.† | 3,887 | 869,133 | |||||||||
QIAGEN NV† | 4,900 | 199,332 | |||||||||
1,068,465 | |||||||||||
Dialysis Centers — 0.1% | |||||||||||
DaVita, Inc.† | 3,375 | 183,229 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
STERIS PLC | 1,100 | 140,833 | |||||||||
Distribution/Wholesale — 1.2% | |||||||||||
Copart, Inc.† | 9,934 | 601,901 | |||||||||
Fastenal Co. | 7,914 | 508,949 | |||||||||
HD Supply Holdings, Inc.† | 9,995 | 433,283 | |||||||||
KAR Auction Services, Inc. | 8,942 | 458,814 | |||||||||
LKQ Corp.† | 1,204 | 34,170 | |||||||||
Pool Corp. | 918 | 151,442 |
Security Description | Shares | Value (Note 2) | |||||||||
Distribution/Wholesale (continued) | |||||||||||
Watsco, Inc. | 1,398 | $ | 200,208 | ||||||||
WW Grainger, Inc. | 1,061 | 319,287 | |||||||||
2,708,054 | |||||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
A.O. Smith Corp. | 7,419 | 395,581 | |||||||||
Ingersoll-Rand PLC | 3,098 | 334,429 | |||||||||
Parker-Hannifin Corp. | 558 | 95,764 | |||||||||
Textron, Inc. | 4,049 | 205,122 | |||||||||
1,030,896 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Livent Corp.† | 1,192 | 14,638 | |||||||||
Drug Delivery Systems — 0.4% | |||||||||||
DexCom, Inc.† | 7,633 | 909,090 | |||||||||
E-Commerce/Products — 0.7% | |||||||||||
Farfetch, Ltd., Class A† | 3,006 | 80,891 | |||||||||
Wayfair, Inc., Class A† | 9,391 | 1,394,094 | |||||||||
1,474,985 | |||||||||||
E-Commerce/Services — 1.6% | |||||||||||
Ctrip.com International, Ltd. ADR† | 3,700 | 161,653 | |||||||||
Expedia Group, Inc. | 2,815 | 334,985 | |||||||||
GrubHub, Inc.† | 2,708 | 188,125 | |||||||||
IAC/InterActiveCorp† | 3,240 | 680,756 | |||||||||
Match Group, Inc. | 5,706 | 323,017 | |||||||||
MercadoLibre, Inc.† | 400 | 203,092 | |||||||||
TripAdvisor, Inc.† | 16,512 | 849,543 | |||||||||
Zillow Group, Inc., Class A† | 2,941 | 100,582 | |||||||||
Zillow Group, Inc., Class C† | 24,122 | 837,998 | |||||||||
3,679,751 | |||||||||||
E-Services/Consulting — 0.3% | |||||||||||
CDW Corp. | 8,122 | 782,717 | |||||||||
Electric Products-Misc. — 0.2% | |||||||||||
AMETEK, Inc. | 3,125 | 259,281 | |||||||||
Littelfuse, Inc. | 1,267 | 231,202 | |||||||||
490,483 | |||||||||||
Electronic Components-Misc. — 0.2% | |||||||||||
Gentex Corp. | 4,274 | 88,387 | |||||||||
Sensata Technologies Holding PLC† | 7,362 | 331,437 | |||||||||
419,824 | |||||||||||
Electronic Components-Semiconductors — 2.9% | |||||||||||
Advanced Micro Devices, Inc.† | 98,729 | 2,519,564 | |||||||||
IPG Photonics Corp.† | 1,542 | 234,045 | |||||||||
Microchip Technology, Inc. | 12,825 | 1,063,962 | |||||||||
Monolithic Power Systems, Inc. | 2,250 | 304,852 | |||||||||
ON Semiconductor Corp.† | 9,743 | 200,414 | |||||||||
Skyworks Solutions, Inc. | 9,756 | 804,675 | |||||||||
Xilinx, Inc. | 10,552 | 1,337,888 | |||||||||
6,465,400 | |||||||||||
Electronic Connectors — 0.5% | |||||||||||
Amphenol Corp., Class A | 13,097 | 1,236,881 | |||||||||
Electronic Measurement Instruments — 0.8% | |||||||||||
Agilent Technologies, Inc. | 4,400 | 353,672 | |||||||||
FLIR Systems, Inc. | 1,483 | 70,561 |
175
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Measurement Instruments (continued) | |||||||||||
Fortive Corp. | 10,191 | $ | 854,923 | ||||||||
Keysight Technologies, Inc.† | 5,500 | 479,600 | |||||||||
National Instruments Corp. | 2,094 | 92,890 | |||||||||
1,851,646 | |||||||||||
Electronic Security Devices — 0.2% | |||||||||||
ADT, Inc. | 10,600 | 67,734 | |||||||||
Allegion PLC | 5,436 | 493,100 | |||||||||
560,834 | |||||||||||
Engines-Internal Combustion — 0.1% | |||||||||||
Cummins, Inc. | 1,256 | 198,285 | |||||||||
Enterprise Software/Service — 5.2% | |||||||||||
Atlassian Corp. PLC, Class A† | 7,381 | 829,550 | |||||||||
Black Knight, Inc.† | 10,870 | 592,415 | |||||||||
Ceridian HCM Holding, Inc.† | 3,990 | 204,687 | |||||||||
Coupa Software, Inc.† | 1,100 | 100,078 | |||||||||
Guidewire Software, Inc.† | 30,002 | 2,914,994 | |||||||||
Manhattan Associates, Inc.† | 1,550 | 85,420 | |||||||||
Paycom Software, Inc.† | 1,859 | 351,593 | |||||||||
Pegasystems, Inc. | 879 | 57,135 | |||||||||
Pluralsight, Inc., Class A† | 2,931 | 93,030 | |||||||||
SolarWinds Corp.† | 473 | 9,233 | |||||||||
Tyler Technologies, Inc.† | 2,192 | 448,045 | |||||||||
Ultimate Software Group, Inc.† | 710 | 234,392 | |||||||||
Veeva Systems, Inc., Class A† | 13,217 | 1,676,709 | |||||||||
Workday, Inc., Class A† | 20,796 | 4,010,509 | |||||||||
11,607,790 | |||||||||||
Entertainment Software — 0.8% | |||||||||||
DraftKings, Inc.†(1)(2) | 74,969 | 212,912 | |||||||||
Electronic Arts, Inc.† | 5,188 | 527,256 | |||||||||
Take-Two Interactive Software, Inc.† | 8,754 | 826,115 | |||||||||
Zynga, Inc., Class A† | 36,000 | 191,880 | |||||||||
1,758,163 | |||||||||||
Filtration/Separation Products — 0.1% | |||||||||||
Donaldson Co., Inc. | 4,895 | 245,044 | |||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Credit Acceptance Corp.† | 241 | 108,915 | |||||||||
Santander Consumer USA Holdings, Inc. | 348 | 7,353 | |||||||||
116,268 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
OneMain Holdings, Inc. | 127 | 4,032 | |||||||||
Synchrony Financial | 6,036 | 192,549 | |||||||||
196,581 | |||||||||||
Finance-Credit Card — 0.3% | |||||||||||
Alliance Data Systems Corp. | 1,108 | 193,878 | |||||||||
Discover Financial Services | 6,691 | 476,132 | |||||||||
Western Union Co. | 2,886 | 53,304 | |||||||||
723,314 | |||||||||||
Finance-Investment Banker/Broker — 0.8% | |||||||||||
E*TRADE Financial Corp. | 4,769 | 221,424 | |||||||||
Evercore, Inc., Class A | 938 | 85,358 | |||||||||
Interactive Brokers Group, Inc., Class A | 1,569 | 81,400 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Investment Banker/Broker (continued) | |||||||||||
Lazard, Ltd., Class A | 7,778 | $ | 281,097 | ||||||||
TD Ameritrade Holding Corp. | 21,387 | 1,069,136 | |||||||||
Virtu Financial, Inc., Class A | 912 | 21,660 | |||||||||
1,760,075 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 170 | 5,839 | |||||||||
Finance-Other Services — 0.4% | |||||||||||
Cboe Global Markets, Inc. | 7,021 | 670,084 | |||||||||
Nasdaq, Inc. | 2,000 | 174,980 | |||||||||
SEI Investments Co. | 3,066 | 160,199 | |||||||||
1,005,263 | |||||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 4,700 | 138,885 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 5,769 | 662,454 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
Hormel Foods Corp. | 2,300 | 102,948 | |||||||||
Tyson Foods, Inc., Class A | 3,700 | 256,891 | |||||||||
359,839 | |||||||||||
Food-Misc./Diversified — 1.0% | |||||||||||
Campbell Soup Co. | 2,857 | 108,937 | |||||||||
Conagra Brands, Inc. | 3,900 | 108,186 | |||||||||
Kellogg Co. | 2,901 | 166,459 | |||||||||
Lamb Weston Holdings, Inc. | 17,689 | 1,325,614 | |||||||||
McCormick & Co., Inc. | 2,565 | 386,366 | |||||||||
Post Holdings, Inc.† | 884 | 96,710 | |||||||||
2,192,272 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Sprouts Farmers Market, Inc.† | 5,924 | 127,603 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
US Foods Holding Corp.† | 297 | 10,368 | |||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 1,464 | 49,205 | |||||||||
Funeral Services & Related Items — 0.2% | |||||||||||
Service Corp. International | 9,609 | 385,801 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
International Game Technology PLC | 128 | 1,663 | |||||||||
Garden Products — 0.2% | |||||||||||
Scotts Miracle-Gro Co. | 462 | 36,304 | |||||||||
Toro Co. | 5,009 | 344,819 | |||||||||
381,123 | |||||||||||
Gas-Distribution — 0.2% | |||||||||||
Atmos Energy Corp. | 2,100 | 216,153 | |||||||||
NiSource, Inc. | 5,100 | 146,166 | |||||||||
362,319 | |||||||||||
Gold Mining — 0.1% | |||||||||||
Kirkland Lake Gold, Ltd. | 3,200 | 97,312 | |||||||||
Royal Gold, Inc. | 627 | 57,013 | |||||||||
154,325 | |||||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Stericycle, Inc.† | 1,200 | 65,304 |
176
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Healthcare Safety Devices — 0.3% | |||||||||||
Tandem Diabetes Care, Inc.† | 12,184 | $ | 773,684 | ||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 4,000 | 61,360 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Tempur Sealy International, Inc.† | 1,082 | 62,399 | |||||||||
Hotels/Motels — 1.1% | |||||||||||
Choice Hotels International, Inc. | 2,609 | 202,824 | |||||||||
Extended Stay America, Inc. | 8,051 | 144,516 | |||||||||
Hilton Grand Vacations, Inc.† | 23,084 | 712,141 | |||||||||
Hilton Worldwide Holdings, Inc. | 13,657 | 1,135,033 | |||||||||
Wyndham Destinations, Inc. | 2,234 | 90,455 | |||||||||
Wyndham Hotels & Resorts, Inc. | 2,286 | 114,277 | |||||||||
2,399,246 | |||||||||||
Human Resources — 0.2% | |||||||||||
ManpowerGroup, Inc. | 700 | 57,883 | |||||||||
Robert Half International, Inc. | 5,063 | 329,905 | |||||||||
387,788 | |||||||||||
Industrial Automated/Robotic — 0.5% | |||||||||||
Cognex Corp. | 6,862 | 349,001 | |||||||||
Rockwell Automation, Inc. | 4,512 | 791,676 | |||||||||
1,140,677 | |||||||||||
Industrial Gases — 0.1% | |||||||||||
Air Products & Chemicals, Inc. | 900 | 171,864 | |||||||||
Instruments-Controls — 0.4% | |||||||||||
Mettler-Toledo International, Inc.† | 1,105 | 798,915 | |||||||||
Instruments-Scientific — 0.2% | |||||||||||
Waters Corp.† | 1,631 | 410,539 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Brown & Brown, Inc. | 306 | 9,030 | |||||||||
Willis Towers Watson PLC | 2,700 | 474,255 | |||||||||
483,285 | |||||||||||
Insurance-Multi-line — 0.1% | |||||||||||
Assurant, Inc. | 2,900 | 275,239 | |||||||||
Voya Financial, Inc. | 280 | 13,989 | |||||||||
289,228 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Alleghany Corp.† | 40 | 24,496 | |||||||||
Arch Capital Group, Ltd.† | 1,438 | 46,476 | |||||||||
Erie Indemnity Co., Class A | 438 | 78,192 | |||||||||
Fidelity National Financial, Inc. | 7,900 | 288,745 | |||||||||
Markel Corp.† | 29 | 28,891 | |||||||||
466,800 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Axis Capital Holdings, Ltd. | 3,507 | 192,113 | |||||||||
Everest Re Group, Ltd. | 374 | 80,769 | |||||||||
RenaissanceRe Holdings, Ltd. | 81 | 11,624 | |||||||||
284,506 |
Security Description | Shares | Value (Note 2) | |||||||||
Internet Application Software — 0.8% | |||||||||||
Okta, Inc.† | 4,001 | $ | 331,003 | ||||||||
Zendesk, Inc.† | 17,932 | 1,524,220 | |||||||||
1,855,223 | |||||||||||
Internet Content-Entertainment — 0.2% | |||||||||||
Twitter, Inc.† | 16,735 | 550,247 | |||||||||
Internet Content-Information/News — 0.9% | |||||||||||
Spotify Technology SA† | 14,518 | 2,015,098 | |||||||||
Internet Infrastructure Software — 0.1% | |||||||||||
F5 Networks, Inc.† | 1,427 | 223,939 | |||||||||
Internet Security — 0.7% | |||||||||||
FireEye, Inc.† | 3,000 | 50,370 | |||||||||
Palo Alto Networks, Inc.† | 3,927 | 953,790 | |||||||||
Proofpoint, Inc.† | 2,874 | 348,990 | |||||||||
Symantec Corp. | 9,300 | 213,807 | |||||||||
1,566,957 | |||||||||||
Internet Telephone — 0.3% | |||||||||||
RingCentral, Inc., Class A† | 1,595 | 171,941 | |||||||||
Twilio, Inc., Class A† | 3,355 | 433,399 | |||||||||
605,340 | |||||||||||
Investment Management/Advisor Services — 0.4% | |||||||||||
Ameriprise Financial, Inc. | 527 | 67,509 | |||||||||
Eaton Vance Corp. | 2,657 | 107,103 | |||||||||
LPL Financial Holdings, Inc. | 2,008 | 139,857 | |||||||||
Raymond James Financial, Inc. | 905 | 72,771 | |||||||||
T. Rowe Price Group, Inc. | 5,131 | 513,716 | |||||||||
900,956 | |||||||||||
Lasers-System/Components — 0.1% | |||||||||||
Coherent, Inc.† | 1,594 | 225,902 | |||||||||
Lighting Products & Systems — 0.4% | |||||||||||
Universal Display Corp. | 5,345 | 816,983 | |||||||||
Machine Tools & Related Products — 0.1% | |||||||||||
Lincoln Electric Holdings, Inc. | 1,470 | 123,289 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
BWX Technologies, Inc. | 6,024 | 298,670 | |||||||||
Machinery-General Industrial — 1.7% | |||||||||||
IDEX Corp. | 9,837 | 1,492,666 | |||||||||
Middleby Corp.† | 1,850 | 240,556 | |||||||||
Nordson Corp. | 2,463 | 326,397 | |||||||||
Roper Technologies, Inc. | 4,189 | 1,432,512 | |||||||||
Wabtec Corp. | 2,922 | 215,410 | |||||||||
Welbilt, Inc.† | 3,037 | 49,746 | |||||||||
3,757,287 | |||||||||||
Machinery-Pumps — 0.4% | |||||||||||
Curtiss-Wright Corp. | 80 | 9,067 | |||||||||
Flowserve Corp. | 2,300 | 103,822 | |||||||||
Gardner Denver Holdings, Inc.† | 972 | 27,031 | |||||||||
Graco, Inc. | 8,263 | 409,184 | |||||||||
Xylem, Inc. | 4,340 | 343,034 | |||||||||
892,138 |
177
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Information Systems — 0.2% | |||||||||||
Cerner Corp.† | 5,911 | $ | 338,168 | ||||||||
Medidata Solutions, Inc.† | 2,100 | 153,804 | |||||||||
491,972 | |||||||||||
Medical Instruments — 1.5% | |||||||||||
Bio-Techne Corp. | 868 | 172,341 | |||||||||
Bruker Corp. | 4,547 | 174,787 | |||||||||
Cantel Medical Corp. | 860 | 57,525 | |||||||||
Edwards Lifesciences Corp.† | 12,667 | 2,423,577 | |||||||||
Integra LifeSciences Holdings Corp.† | 1,281 | 71,377 | |||||||||
Teleflex, Inc. | 1,503 | 454,147 | |||||||||
3,353,754 | |||||||||||
Medical Labs & Testing Services — 0.2% | |||||||||||
Catalent, Inc.† | 4,577 | 185,781 | |||||||||
Charles River Laboratories International, Inc.† | 792 | 115,038 | |||||||||
IQVIA Holdings, Inc.† | 1,500 | 215,775 | |||||||||
Laboratory Corp. of America Holdings† | 141 | 21,570 | |||||||||
538,164 | |||||||||||
Medical Products — 2.6% | |||||||||||
ABIOMED, Inc.† | 1,498 | 427,814 | |||||||||
Cooper Cos., Inc. | 2,156 | 638,542 | |||||||||
Haemonetics Corp.† | 21,556 | 1,885,719 | |||||||||
Henry Schein, Inc.† | 2,726 | 163,860 | |||||||||
Hill-Rom Holdings, Inc. | 1,003 | 106,178 | |||||||||
Hologic, Inc.† | 8,400 | 406,560 | |||||||||
ICU Medical, Inc.† | 934 | 223,534 | |||||||||
Novocure, Ltd.† | 1,500 | 72,255 | |||||||||
Penumbra, Inc.† | 9,813 | 1,442,609 | |||||||||
Varian Medical Systems, Inc.† | 2,136 | 302,714 | |||||||||
West Pharmaceutical Services, Inc. | 1,794 | 197,699 | |||||||||
5,867,484 | |||||||||||
Medical-Biomedical/Gene — 4.3% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 1,200 | 162,216 | |||||||||
Alnylam Pharmaceuticals, Inc.† | 4,446 | 415,479 | |||||||||
Argenx SE ADR† | 613 | 76,527 | |||||||||
BioMarin Pharmaceutical, Inc.† | 8,724 | 774,953 | |||||||||
Bluebird Bio, Inc.† | 2,669 | 419,914 | |||||||||
Blueprint Medicines Corp.† | 800 | 64,040 | |||||||||
Exact Sciences Corp.† | 35,797 | 3,100,736 | |||||||||
Exelixis, Inc.† | 13,150 | 312,970 | |||||||||
FibroGen, Inc.† | 1,100 | 59,785 | |||||||||
Immunomedics, Inc.† | 3,300 | 63,393 | |||||||||
Incyte Corp.† | 7,999 | 687,994 | |||||||||
Ionis Pharmaceuticals, Inc.† | 18,054 | 1,465,443 | |||||||||
Sage Therapeutics, Inc.† | 7,788 | 1,238,681 | |||||||||
Seattle Genetics, Inc.† | 11,506 | 842,699 | |||||||||
Ultragenyx Pharmaceutical, Inc.† | 1,083 | 75,117 | |||||||||
9,759,947 | |||||||||||
Medical-Drugs — 0.9% | |||||||||||
Alkermes PLC† | 7,993 | 291,664 | |||||||||
Array BioPharma, Inc.† | 3,800 | 92,644 | |||||||||
Galapagos NV† | 6,421 | 748,367 | |||||||||
Galapagos NV ADR† | 800 | 94,224 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Jazz Pharmaceuticals PLC† | 2,961 | $ | 423,275 | ||||||||
Madrigal Pharmaceuticals, Inc.† | 236 | 29,561 | |||||||||
Nektar Therapeutics† | 5,548 | 186,413 | |||||||||
PRA Health Sciences, Inc.† | 1,351 | 149,002 | |||||||||
2,015,150 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Perrigo Co. PLC | 2,100 | 101,136 | |||||||||
Medical-HMO — 0.9% | |||||||||||
Centene Corp.† | 17,654 | 937,427 | |||||||||
Molina Healthcare, Inc.† | 3,228 | 458,247 | |||||||||
WellCare Health Plans, Inc.† | 2,052 | 553,527 | |||||||||
1,949,201 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
Acadia Healthcare Co., Inc.† | 3,846 | 112,726 | |||||||||
Universal Health Services, Inc., Class B | 1,300 | 173,901 | |||||||||
286,627 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Chemed Corp. | 362 | 115,865 | |||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
AmerisourceBergen Corp. | 3,684 | 292,952 | |||||||||
Premier, Inc., Class A† | 398 | 13,727 | |||||||||
306,679 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Entertainment Corp., Class A | 84 | 1,314 | |||||||||
Lions Gate Entertainment Corp., Class B | 164 | 2,476 | |||||||||
3,790 | |||||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 395 | 18,905 | |||||||||
Multimedia — 0.2% | |||||||||||
FactSet Research Systems, Inc. | 1,524 | 378,363 | |||||||||
Networking Products — 0.2% | |||||||||||
Arista Networks, Inc.† | 1,348 | 423,892 | |||||||||
LogMeIn, Inc. | 777 | 62,238 | |||||||||
486,130 | |||||||||||
Non-Hazardous Waste Disposal — 0.2% | |||||||||||
Republic Services, Inc. | 334 | 26,847 | |||||||||
Waste Connections, Inc. | 3,923 | 347,538 | |||||||||
374,385 | |||||||||||
Office Automation & Equipment — 0.9% | |||||||||||
Zebra Technologies Corp., Class A† | 9,157 | 1,918,666 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
Avery Dennison Corp. | 4,519 | 510,647 | |||||||||
Oil Companies-Exploration & Production — 1.1% | |||||||||||
Antero Resources Corp.† | 3,005 | 26,534 | |||||||||
Apache Corp. | 562 | 19,479 | |||||||||
Cabot Oil & Gas Corp. | 16,893 | 440,907 | |||||||||
Centennial Resource Development, Inc., Class A† | 14,274 | 125,469 | |||||||||
Cimarex Energy Co. | 874 | 61,093 | |||||||||
Concho Resources, Inc. | 2,010 | 223,030 |
178
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Continental Resources, Inc.† | 2,984 | $ | 133,594 | ||||||||
Diamondback Energy, Inc. | 4,723 | 479,526 | |||||||||
Jagged Peak Energy, Inc.† | 12,000 | 125,640 | |||||||||
Kosmos Energy, Ltd. | 1,070 | 6,666 | |||||||||
Parsley Energy, Inc., Class A† | 4,281 | 82,623 | |||||||||
Venture Global LNG, Inc., Series B†(1)(2) | 3 | 15,600 | |||||||||
Venture Global LNG, Inc., Series C†(1)(2) | 42 | 218,400 | |||||||||
WPX Energy, Inc.† | 46,885 | 614,662 | |||||||||
2,573,223 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
HollyFrontier Corp. | 1,600 | 78,832 | |||||||||
Oil-Field Services — 0.0% | |||||||||||
Oceaneering International, Inc.† | 3,300 | 52,041 | |||||||||
RPC, Inc. | 489 | 5,579 | |||||||||
57,620 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
International Paper Co. | 4,293 | 198,637 | |||||||||
Patient Monitoring Equipment — 1.0% | |||||||||||
CareDx, Inc.† | 11,020 | 347,350 | |||||||||
Insulet Corp.† | 17,432 | 1,657,609 | |||||||||
Masimo Corp.† | 1,078 | 149,066 | |||||||||
2,154,025 | |||||||||||
Physical Therapy/Rehabilitation Centers — 0.1% | |||||||||||
Encompass Health Corp. | 2,287 | 133,561 | |||||||||
Pipelines — 0.2% | |||||||||||
Cheniere Energy, Inc.† | 3,749 | 256,282 | |||||||||
ONEOK, Inc. | 3,966 | 276,985 | |||||||||
533,267 | |||||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 2,200 | 112,706 | |||||||||
Hubbell, Inc. | 3,063 | 361,373 | |||||||||
474,079 | |||||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 43 | 12,605 | |||||||||
Radio — 0.1% | |||||||||||
Sirius XM Holdings, Inc. | 38,723 | 219,559 | |||||||||
Real Estate Investment Trusts — 1.2% | |||||||||||
Alexandria Real Estate Equities, Inc. | 188 | 26,801 | |||||||||
American Campus Communities, Inc. | 2,073 | 98,633 | |||||||||
Colony Capital, Inc. | 614 | 3,266 | |||||||||
CoreSite Realty Corp. | 850 | 90,967 | |||||||||
CubeSmart | 3,000 | 96,120 | |||||||||
Equinix, Inc. | 241 | 109,212 | |||||||||
Equity LifeStyle Properties, Inc. | 2,000 | 228,600 | |||||||||
Extra Space Storage, Inc. | 2,471 | 251,820 | |||||||||
Federal Realty Investment Trust | 500 | 68,925 | |||||||||
Gaming and Leisure Properties, Inc. | 1,695 | 65,376 | |||||||||
Hudson Pacific Properties, Inc. | 442 | 15,214 | |||||||||
Iron Mountain, Inc. | 3,500 | 124,110 | |||||||||
Lamar Advertising Co., Class A | 1,788 | 141,717 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Life Storage, Inc. | 60 | $ | 5,836 | ||||||||
MGM Growth Properties LLC, Class A | 5,200 | 167,700 | |||||||||
Omega Healthcare Investors, Inc. | 380 | 14,497 | |||||||||
SBA Communications Corp.† | 5,319 | 1,061,992 | |||||||||
SL Green Realty Corp. | 1,000 | 89,920 | |||||||||
Taubman Centers, Inc. | 1,383 | 73,133 | |||||||||
VEREIT, Inc. | 7,501 | 62,783 | |||||||||
2,796,622 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 3,571 | 176,586 | |||||||||
Jones Lang LaSalle, Inc. | 1,100 | 169,598 | |||||||||
WeWork Cos., Inc., Class A†(1)(2) | 1,550 | 79,515 | |||||||||
425,699 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp.† | 367 | 40,370 | |||||||||
Recreational Centers — 0.5% | |||||||||||
Planet Fitness, Inc., Class A† | 16,572 | 1,138,828 | |||||||||
Recreational Vehicles — 0.4% | |||||||||||
Brunswick Corp. | 196 | 9,865 | |||||||||
Polaris Industries, Inc. | 10,136 | 855,782 | |||||||||
865,647 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals, Inc.† | 1,893 | 216,275 | |||||||||
Resorts/Theme Parks — 1.2% | |||||||||||
Marriott Vacations Worldwide Corp. | 10,943 | 1,023,171 | |||||||||
Six Flags Entertainment Corp. | 1,667 | 82,266 | |||||||||
Vail Resorts, Inc. | 6,914 | 1,502,412 | |||||||||
2,607,849 | |||||||||||
Respiratory Products — 0.2% | |||||||||||
ResMed, Inc. | 3,285 | 341,541 | |||||||||
Retail-Apparel/Shoe — 1.7% | |||||||||||
Burlington Stores, Inc.† | 9,258 | 1,450,544 | |||||||||
Gap, Inc. | 317 | 8,299 | |||||||||
L Brands, Inc. | 1,019 | 28,104 | |||||||||
Lululemon Athletica, Inc.† | 3,832 | 627,950 | |||||||||
Ross Stores, Inc. | 14,943 | 1,391,193 | |||||||||
Tapestry, Inc. | 10,126 | 328,994 | |||||||||
Urban Outfitters, Inc.† | 1,724 | 51,099 | |||||||||
3,886,183 | |||||||||||
Retail-Arts & Crafts — 0.0% | |||||||||||
Michaels Cos., Inc.† | 4,699 | 53,663 | |||||||||
Retail-Auto Parts — 0.9% | |||||||||||
Advance Auto Parts, Inc. | 496 | 84,583 | |||||||||
AutoZone, Inc.† | 724 | 741,463 | |||||||||
O'Reilly Automotive, Inc.† | 3,087 | 1,198,682 | |||||||||
2,024,728 | |||||||||||
Retail-Automobile — 0.2% | |||||||||||
CarMax, Inc.† | 6,563 | 458,097 | |||||||||
Retail-Catalog Shopping — 0.0% | |||||||||||
MSC Industrial Direct Co., Inc., Class A | 471 | 38,956 | |||||||||
Retail-Consumer Electronics — 0.0% | |||||||||||
Best Buy Co., Inc. | 1,404 | 99,768 |
179
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Convenience Store — 0.1% | |||||||||||
Casey's General Stores, Inc. | 1,200 | $ | 154,524 | ||||||||
Retail-Discount — 0.9% | |||||||||||
Dollar General Corp. | 11,718 | 1,397,958 | |||||||||
Dollar Tree, Inc.† | 5,232 | 549,569 | |||||||||
Ollie's Bargain Outlet Holdings, Inc.† | 1,400 | 119,462 | |||||||||
2,066,989 | |||||||||||
Retail-Floor Coverings — 0.6% | |||||||||||
Floor & Decor Holdings, Inc., Class A† | 34,088 | 1,405,107 | |||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 4,450 | 435,032 | |||||||||
Retail-Jewelry — 0.1% | |||||||||||
Tiffany & Co. | 2,506 | 264,508 | |||||||||
Retail-Mail Order — 0.0% | |||||||||||
Williams-Sonoma, Inc. | 1,940 | 109,164 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
Nordstrom, Inc. | 2,749 | 122,001 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Five Below, Inc.† | 1,200 | 149,100 | |||||||||
PriceSmart, Inc. | 800 | 47,104 | |||||||||
196,204 | |||||||||||
Retail-Perfume & Cosmetics — 0.4% | |||||||||||
Ulta Beauty, Inc.† | 2,729 | 951,684 | |||||||||
Retail-Restaurants — 2.0% | |||||||||||
Chipotle Mexican Grill, Inc.† | 3,199 | 2,272,282 | |||||||||
Darden Restaurants, Inc. | 1,459 | 177,225 | |||||||||
Domino's Pizza, Inc. | 2,066 | 533,234 | |||||||||
Dunkin' Brands Group, Inc. | 7,334 | 550,783 | |||||||||
Papa John's International, Inc. | 2,100 | 111,195 | |||||||||
Restaurant Brands International LP | 20 | 1,300 | |||||||||
Restaurant Brands International, Inc. | 3,400 | 221,374 | |||||||||
Wendy's Co. | 4,393 | 78,591 | |||||||||
Yum China Holdings, Inc. | 5,126 | 230,209 | |||||||||
Yum! Brands, Inc. | 2,800 | 279,468 | |||||||||
4,455,661 | |||||||||||
Schools — 1.4% | |||||||||||
2U, Inc.† | 19,623 | 1,390,289 | |||||||||
Bright Horizons Family Solutions, Inc.† | 2,728 | 346,756 | |||||||||
Grand Canyon Education, Inc.† | 12,739 | 1,458,743 | |||||||||
3,195,788 | |||||||||||
Security Services — 0.5% | |||||||||||
Brink's Co. | 15,461 | 1,165,914 | |||||||||
Semiconductor Components-Integrated Circuits — 0.7% | |||||||||||
Analog Devices, Inc. | 1,364 | 143,588 | |||||||||
Cypress Semiconductor Corp. | 5,774 | 86,148 | |||||||||
Marvell Technology Group, Ltd. | 23,418 | 465,784 | |||||||||
Maxim Integrated Products, Inc. | 16,603 | 882,782 | |||||||||
1,578,302 | |||||||||||
Semiconductor Equipment — 1.1% | |||||||||||
Entegris, Inc. | 7,200 | 256,968 | |||||||||
KLA-Tencor Corp. | 8,436 | 1,007,343 | |||||||||
Lam Research Corp. | 5,878 | 1,052,221 |
Security Description | Shares | Value (Note 2) | |||||||||
Semiconductor Equipment (continued) | |||||||||||
MKS Instruments, Inc. | 1,263 | $ | 117,522 | ||||||||
Teradyne, Inc. | 669 | 26,653 | |||||||||
2,460,707 | |||||||||||
Shipbuilding — 0.2% | |||||||||||
Huntington Ingalls Industries, Inc. | 1,980 | 410,256 | |||||||||
Soap & Cleaning Preparation — 0.3% | |||||||||||
Church & Dwight Co., Inc. | 9,943 | 708,240 | |||||||||
Steel Pipe & Tube — 0.1% | |||||||||||
Valmont Industries, Inc. | 1,100 | 143,110 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Steel Dynamics, Inc. | 808 | 28,498 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Corning, Inc. | 8,400 | 278,040 | |||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 834 | 8,599 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Zayo Group Holdings, Inc.† | 9,397 | 267,063 | |||||||||
Television — 0.2% | |||||||||||
AMC Networks, Inc., Class A† | 1,034 | 58,690 | |||||||||
CBS Corp., Class B | 7,599 | 361,180 | |||||||||
419,870 | |||||||||||
Textile-Home Furnishings — 0.1% | |||||||||||
Mohawk Industries, Inc.† | 1,579 | 199,191 | |||||||||
Theaters — 0.2% | |||||||||||
Live Nation Entertainment, Inc.† | 5,422 | 344,514 | |||||||||
Therapeutics — 0.4% | |||||||||||
Agios Pharmaceuticals, Inc.† | 1,904 | 128,406 | |||||||||
GW Pharmaceuticals PLC ADR† | 500 | 84,285 | |||||||||
Neurocrine Biosciences, Inc.† | 4,663 | 410,810 | |||||||||
Sarepta Therapeutics, Inc.† | 2,950 | 351,611 | |||||||||
975,112 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,200 | 187,824 | |||||||||
Toys — 0.1% | |||||||||||
Hasbro, Inc. | 2,128 | 180,923 | |||||||||
Mattel, Inc.† | 1,776 | 23,088 | |||||||||
204,011 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp.† | 900 | 67,599 | |||||||||
Transport-Rail — 0.2% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 1,794 | 156,329 | |||||||||
Kansas City Southern | 2,400 | 278,352 | |||||||||
434,681 | |||||||||||
Transport-Services — 0.4% | |||||||||||
C.H. Robinson Worldwide, Inc. | 4,991 | 434,167 | |||||||||
Expeditors International of Washington, Inc. | 5,621 | 426,634 | |||||||||
860,801 | |||||||||||
Transport-Truck — 0.6% | |||||||||||
JB Hunt Transport Services, Inc. | 4,135 | 418,834 | |||||||||
Landstar System, Inc. | 1,755 | 191,979 |
180
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transport-Truck (continued) | |||||||||||
Old Dominion Freight Line, Inc. | 2,639 | $ | 381,045 | ||||||||
Schneider National, Inc., Class B | 4,718 | 99,314 | |||||||||
XPO Logistics, Inc.† | 2,924 | 157,136 | |||||||||
1,248,308 | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc.† | 4,039 | 129,531 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 456 | 24,163 | |||||||||
Water — 0.1% | |||||||||||
American Water Works Co., Inc. | 2,436 | 253,977 | |||||||||
Web Hosting/Design — 1.6% | |||||||||||
GoDaddy, Inc., Class A† | 21,605 | 1,624,480 | |||||||||
Shopify, Inc., Class A† | 5,711 | 1,180,007 | |||||||||
VeriSign, Inc.† | 4,560 | 827,913 | |||||||||
3,632,400 | |||||||||||
Wireless Equipment — 0.2% | |||||||||||
Motorola Solutions, Inc. | 3,128 | 439,234 | |||||||||
Ubiquiti Networks, Inc. | 351 | 52,548 | |||||||||
491,782 | |||||||||||
Total Common Stocks (cost $158,756,911) | 216,682,258 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.3% | |||||||||||
Advertising Services — 0.0% | |||||||||||
Nanigans, Inc. Series B†(1)(2) | 6,300 | 28,224 | |||||||||
Applications Software — 0.2% | |||||||||||
Magic Leap, Inc. Series C†(1)(2) | 4,974 | 134,298 | |||||||||
Slack Technologies, Inc. Series H†(1)(2) | 4,189 | 49,871 | |||||||||
Tanium, Inc. Series G†(1)(2) | 32,619 | 283,577 | |||||||||
467,746 | |||||||||||
E-Commerce/Products — 0.1% | |||||||||||
One Kings Lane Inc. Series E†(1) | 11,800 | 1,888 | |||||||||
The Honest Co., Inc. Series C†(1)(2) | 4,317 | 136,503 | |||||||||
138,391 | |||||||||||
E-Commerce/Services — 0.8% | |||||||||||
Airbnb, Inc. Series D†(1)(2) | 2,091 | 242,298 | |||||||||
Airbnb, Inc. Series E†(1)(2) | 2,711 | 314,142 | |||||||||
Uber Technologies, Inc. Series D†(1)(2) | 22,395 | 1,173,411 | |||||||||
1,729,851 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
WeWork Cos., Inc. Series D-1†(1)(2) | 3,588 | 184,064 | |||||||||
WeWork Cos., Inc. Series D-2†(1)(2) | 2,819 | 144,615 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Real Estate Management/Services (continued) | |||||||||||
WeWork Cos., Inc. Series E†(1)(2) | 2,120 | $ | 108,756 | ||||||||
437,435 | |||||||||||
Web Portals/ISP — 0.0% | |||||||||||
Pinterest, Inc. Series G†(1)(2) | 19,490 | 111,873 | |||||||||
Total Convertible Preferred Securities (cost $1,516,166) | 2,913,520 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||||||
iShares Russell Midcap Growth Index Fund (cost $3,668,106) | 4,794 | 650,402 | |||||||||
Total Long-Term Investment Securities (cost $163,941,183) | 220,246,180 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.0% | |||||||||||
Registered Investment Companies — 0.0% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.39%(4) | 83,328 | 83,328 | |||||||||
T. Rowe Price Reserve Investment Fund 2.49%(4) | 1,029 | 1,029 | |||||||||
84,357 | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 2.37% due 04/04/2019(5) | $ | 25,000 | 24,995 | ||||||||
Total Short-Term Investment Securities (cost $109,352) | 109,352 | ||||||||||
REPURCHASE AGREEMENTS — 2.3% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50% dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $277,012 and collateralized by $280,000 of United States Treasury Notes, bearing interest at 2.63% due 02/28/2023 and having an approximate value of $285,072. | 277,000 | 277,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 1,110,000 | 1,110,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 545,000 | 545,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 985,000 | 985,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 1,055,000 | 1,055,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 1,095,000 | 1,095,000 | |||||||||
Total Repurchase Agreements (cost $5,067,000) | 5,067,000 | ||||||||||
TOTAL INVESTMENTS (cost $169,117,535)(6) | 100.3 | % | 225,422,532 | ||||||||
Liabilities in excess of other assets | (0.3 | ) | (605,522 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 224,817,010 |
181
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | $ | 212,912 | $ | 2.84 | 0.09 | % | ||||||||||||||||||||
Venture Global LNG, Inc. Series B | 03/09/2018 | 3 | 9,060 | 15,600 | 5,200.00 | 0.01 | |||||||||||||||||||||
Venture Global LNG, Inc. | |||||||||||||||||||||||||||
Series C | 10/16/2017 | 39 | 147,069 | ||||||||||||||||||||||||
03/09/2018 | 3 | 9,060 | |||||||||||||||||||||||||
42 | 156,129 | 218,400 | 5,200.00 | 0.10 | |||||||||||||||||||||||
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 | 79,515 | 51.30 | 0.04 | |||||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 2,091 | 85,131 | 242,298 | 115.88 | 0.11 | |||||||||||||||||||||
Airbnb, Inc., Series E | 06/24/2015 | 2,392 | 222,682 | ||||||||||||||||||||||||
07/14/2015 | 319 | 29,697 | |||||||||||||||||||||||||
2,711 | 252,379 | 314,142 | 115.88 | 0.14 | |||||||||||||||||||||||
The Honest Co., Inc., | |||||||||||||||||||||||||||
Series C | 08/20/2014 | 4,317 | 116,806 | 136,503 | 31.62 | 0.06 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Convertible Preferred Securities (continued) | |||||||||||||||||||||||||||
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 | 28,224 | 4.48 | 0.01 | |||||||||||||||||||||
Pinterest, Inc., Series G | 03/19/2015 | 19,490 | 139,921 | 111,873 | 5.74 | 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 | 0.13 | |||||||||||||||||||||
Uber Technologies, Inc., | |||||||||||||||||||||||||||
Series D | 06/05/2014 | 22,395 | 347,415 | 1,173,411 | 52.40 | 0.52 | |||||||||||||||||||||
WeWork Cos., Inc., | |||||||||||||||||||||||||||
Series D-1 | 12/09/2014 | 3,588 | 59,744 | 184,064 | 51.30 | 0.08 | |||||||||||||||||||||
WeWork Cos., Inc., | |||||||||||||||||||||||||||
Series D-2 | 12/09/2014 | 2,819 | 46,940 | 144,615 | 51.30 | 0.06 | |||||||||||||||||||||
WeWork Cos., Inc., | |||||||||||||||||||||||||||
Series E | 06/23/2015 | 2,120 | 69,726 | 108,756 | 51.30 | 0.05 | |||||||||||||||||||||
$ | 3,438,059 | 1.53 | % |
(3) See Note 2 for details of Joint Repurchase Agreements.
(4) The rate shown is the 7-day yield as of March 31, 2019.
(5) The security of a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(6) 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) | |||||||||||||||||||||
2 | Long | S&P 400 E-Mini Index | June 2019 | $ | 378,504 | $ | 380,200 | $ | 1,696 |
* 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.
182
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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: | |||||||||||||||||||
Entertainment Software | $ | 1,545,251 | $ | — | $ | 212,912 | $ | 1,758,163 | |||||||||||
Oil Companies-Exploration & Production | 2,339,223 | — | 234,000 | 2,573,223 | |||||||||||||||
Real Estate Management/Services | 346,184 | — | 79,515 | 425,699 | |||||||||||||||
Other Industries | 211,925,173 | — | — | 211,925,173 | |||||||||||||||
Convertible Preferred Securities | — | — | 2,913,520 | 2,913,520 | |||||||||||||||
Exchange-Traded Funds | 650,402 | — | — | 650,402 | |||||||||||||||
Short-Term Investment Securities | |||||||||||||||||||
Registered Investment Companies | 84,357 | — | — | 84,357 | |||||||||||||||
U.S. Government Treasuries | — | 24,995 | — | 24,995 | |||||||||||||||
Repurchase Agreements | — | 5,067,000 | — | 5,067,000 | |||||||||||||||
Total Investments at Value | $ | 216,890,590 | $ | 5,091,995 | $ | 3,439,947 | $ | 225,422,532 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 1,696 | $ | — | $ | — | $ | 1,696 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation (depreciation) as of the end of 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 | 6,453 | 35,425 | |||||||||
Realized Loss | (29,494 | ) | — | ||||||||
Change in unrealized appreciation(1) | 237,099 | 593,849 | |||||||||
Change in unrealized depreciation(1) | — | (115,056 | ) | ||||||||
Net purchases | — | 49,871 | |||||||||
Net sales | (27,015 | ) | (243,285 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of March 31, 2019 | $ | 526,427 | $ | 2,913,520 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2019 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | 219,751 | $ | 572,502 |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at March 31, 2019.
183
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is quantitative information about Level 3 fair value measurements:
Description | Fair Value at March 31, 2019 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
Common Stocks | $ | 234,000 | Market Approach | Market Transaction Price* | $5,200.00000 | ||||||||||||||
| $ | 79,515 | Market Approach | Potential Tender Offer* | $54.0000 | ||||||||||||||
|
|
| Discount for Uncertainty | 5.0% | |||||||||||||||
| $ | 212,912 | Market Approach | 2020 Estimated Revenue Multiple* | 2.6x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.0% | |||||||||||||||
Convertible Preferred Securities | $ | 467,746 | Market Approach | Market Transaction Price* | $8.6936 - $27.00 ($15.86630) | ||||||||||||||
| $ | 1,173,411 | Market Approach | Market Transaction Price* | $48.772228 | ||||||||||||||
|
|
| Next Twelve Months EBITDA Multiple* | 20.0x | |||||||||||||||
|
|
| Discount for Lack of Marketability | 10.0% | |||||||||||||||
| $ | 437,435 | Market Approach | Potential Tender Offer* | $54.0000 | ||||||||||||||
|
|
| Discount for Uncertainty | 5.0% | |||||||||||||||
| $ | 556,440 | Market Approach | 2018 Estimated Revenue Multiple* | 8.81x | ||||||||||||||
|
|
| 2021 Estimated Revenue Multiple* | 4.2x - 6.9x (5.55x) | |||||||||||||||
|
|
| 2021 Estimated Gross Profit Multiple* | 5.0x | |||||||||||||||
|
|
| 2022 Estimated Revenue Multiple* | 3.9x | |||||||||||||||
|
|
| 2022 Estimated Gross Profit Multiple* | 4.6x | |||||||||||||||
|
|
| 2023 Estimated Revenue Multiple* | 3.9x | |||||||||||||||
|
|
| 2023 Estimated Gross Profit Multiple* | 4.2x | |||||||||||||||
|
|
| Discount for Lack of Marketability | 10% - 15% (11.7%) | |||||||||||||||
| $ | 136,503 | Market Approach with | 2019 Estimated Revenue Multiple* | 2.52x | ||||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00% | |||||||||||||||
|
|
| OPM assumptions: | ||||||||||||||||
|
|
| Volatility* | 16.5% | |||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 2.18% | |||||||||||||||
| $ | 28,224 | Market Approach with | Last Twelve Months Revenue Multiple* | 1.4x | ||||||||||||||
|
| Option Pricing Method ("OPM") | Discount for Lack of Marketability | 10.00% | |||||||||||||||
|
| and Cost Approach | OPM assumptions: | ||||||||||||||||
|
|
| Volatility* | 62.4% | |||||||||||||||
|
|
| Term to liquidity event in years | 3.00 | |||||||||||||||
|
|
| Risk-free rate | 2.18% | |||||||||||||||
|
|
| Abandonment Value* | $0.000000 | |||||||||||||||
| $ | 111,873 | Market Approach | Next Twelve Months Revenue Multiple* | 5.8x | ||||||||||||||
|
|
| Discount for Lack of Marketability | 10.00% | |||||||||||||||
| $ | 1,888 | Income Approach | Future Cash Flows* | $0.16 | ||||||||||||||
|
|
| Discount for Potential Claims | 50.0% |
(1) The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.
See Notes to Financial Statements
184
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Real Estate Investment Trusts | 9.5 | % | |||||
Electric-Integrated | 6.6 | ||||||
Oil Companies-Exploration & Production | 4.2 | ||||||
Banks-Commercial | 2.6 | ||||||
Insurance-Multi-line | 2.6 | ||||||
Banks-Super Regional | 2.5 | ||||||
Registered Investment Companies | 2.3 | ||||||
Medical Products | 2.3 | ||||||
Gold Mining | 1.9 | ||||||
Diversified Manufacturing Operations | 1.6 | ||||||
Agricultural Operations | 1.6 | ||||||
Chemicals-Diversified | 1.5 | ||||||
Insurance Brokers | 1.5 | ||||||
Pipelines | 1.4 | ||||||
Food-Misc./Diversified | 1.3 | ||||||
Investment Management/Advisor Services | 1.2 | ||||||
Semiconductor Components-Integrated Circuits | 1.2 | ||||||
Insurance-Life/Health | 1.2 | ||||||
Medical-Generic Drugs | 1.1 | ||||||
Containers-Paper/Plastic | 1.1 | ||||||
Banks-Fiduciary | 1.0 | ||||||
Computer Services | 1.0 | ||||||
Dental Supplies & Equipment | 1.0 | ||||||
Electronic Measurement Instruments | 0.9 | ||||||
Electric-Distribution | 0.9 | ||||||
Exchange-Traded Funds | 0.9 | ||||||
Apparel Manufacturers | 0.9 | ||||||
Commercial Services-Finance | 0.9 | ||||||
Medical Labs & Testing Services | 0.9 | ||||||
Medical-Hospitals | 0.9 | ||||||
Oil Companies-Integrated | 0.9 | ||||||
Medical-Wholesale Drug Distribution | 0.9 | ||||||
Finance-Investment Banker/Broker | 0.8 | ||||||
Data Processing/Management | 0.8 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Airlines | 0.8 | ||||||
Brewery | 0.8 | ||||||
Insurance-Property/Casualty | 0.7 | ||||||
Coatings/Paint | 0.7 | ||||||
Distribution/Wholesale | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Transport-Services | 0.6 | ||||||
Food-Baking | 0.6 | ||||||
Tools-Hand Held | 0.6 | ||||||
Gas-Distribution | 0.6 | ||||||
Food-Retail | 0.6 | ||||||
Oil-Field Services | 0.6 | ||||||
Building Products-Cement | 0.6 | ||||||
Finance-Other Services | 0.5 | ||||||
Finance-Consumer Loans | 0.5 | ||||||
Machinery-Pumps | 0.5 | ||||||
Veterinary Diagnostics | 0.5 | ||||||
Machinery-Farming | 0.5 | ||||||
Retail-Apparel/Shoe | 0.5 | ||||||
Multimedia | 0.5 | ||||||
Retail-Discount | 0.5 | ||||||
Independent Power Producers | 0.5 | ||||||
Insurance-Reinsurance | 0.5 | ||||||
Medical-Biomedical/Gene | 0.5 | ||||||
Finance-Credit Card | 0.5 |
Cruise Lines | 0.5 | % | |||||
Retail-Jewelry | 0.5 | ||||||
Steel-Producers | 0.5 | ||||||
Chemicals-Specialty | 0.4 | ||||||
Publishing-Newspapers | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Telecommunication Equipment | 0.4 | ||||||
Machinery-General Industrial | 0.4 | ||||||
Engineering/R&D Services | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Cosmetics & Toiletries | 0.4 | ||||||
Semiconductor Equipment | 0.4 | ||||||
Hotels/Motels | 0.4 | ||||||
Electronic Components-Misc. | 0.4 | ||||||
Electronic Components-Semiconductors | 0.4 | ||||||
Oil Refining & Marketing | 0.4 | ||||||
Real Estate Management/Services | 0.4 | ||||||
Savings & Loans/Thrifts | 0.4 | ||||||
Non-Ferrous Metals | 0.4 | ||||||
Finance-Auto Loans | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Medical-Drugs | 0.3 | ||||||
Instruments-Scientific | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Retail-Restaurants | 0.3 | ||||||
Computers-Memory Devices | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Repurchase Agreements | 0.3 | ||||||
Appliances | 0.3 | ||||||
U.S. Government Agencies | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Metal-Copper | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
Schools | 0.3 | ||||||
Advertising Agencies | 0.3 | ||||||
Beverages-Non-alcoholic | 0.3 | ||||||
Poultry | 0.3 | ||||||
Recreational Vehicles | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Food-Catering | 0.2 | ||||||
Entertainment Software | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Office Automation & Equipment | 0.2 | ||||||
Auto-Heavy Duty Trucks | 0.2 | ||||||
Retail-Auto Parts | 0.2 | ||||||
Food-Wholesale/Distribution | 0.2 | ||||||
Engines-Internal Combustion | 0.2 | ||||||
Transport-Marine | 0.2 | ||||||
Telecom Equipment-Fiber Optics | 0.2 | ||||||
Textile-Home Furnishings | 0.2 | ||||||
Motorcycle/Motor Scooter | 0.2 | ||||||
Water | 0.2 | ||||||
Electronic Connectors | 0.2 | ||||||
Disposable Medical Products | 0.2 | ||||||
Home Decoration Products | 0.2 | ||||||
Agricultural Chemicals | 0.2 | ||||||
Containers-Metal/Glass | 0.2 |
185
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Computers-Integrated Systems | 0.2 | % | |||||
Television | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Computer Aided Design | 0.2 | ||||||
Transport-Truck | 0.2 | ||||||
Broadcast Services/Program | 0.2 | ||||||
Telephone-Integrated | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Enterprise Software/Service | 0.2 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Applications Software | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Medical Instruments | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Machinery-Material Handling | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Retail-Arts & Crafts | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Radio | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Retail-Catalog Shopping | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Marine Services | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Computers | 0.1 | ||||||
Water Treatment Systems | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
186
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.1% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 1,196 | $ | 82,715 | ||||||||
Advertising Agencies — 0.3% | |||||||||||
Interpublic Group of Cos., Inc. | 23,716 | 498,273 | |||||||||
Omnicom Group, Inc. | 1,339 | 97,734 | |||||||||
596,007 | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Teledyne Technologies, Inc.† | 619 | 146,709 | |||||||||
Aerospace/Defense-Equipment — 0.8% | |||||||||||
Arconic, Inc. | 7,582 | 144,892 | |||||||||
Cobham PLC† | 207,755 | 299,046 | |||||||||
Harris Corp. | 3,298 | 526,723 | |||||||||
L3 Technologies, Inc. | 4,407 | 909,473 | |||||||||
1,880,134 | |||||||||||
Agricultural Chemicals — 0.2% | |||||||||||
CF Industries Holdings, Inc. | 6,239 | 255,050 | |||||||||
Mosaic Co. | 6,153 | 168,039 | |||||||||
423,089 | |||||||||||
Agricultural Operations — 1.5% | |||||||||||
Archer-Daniels-Midland Co. | 40,648 | 1,753,148 | |||||||||
Bunge, Ltd. | 31,376 | 1,665,125 | |||||||||
3,418,273 | |||||||||||
Airlines — 0.8% | |||||||||||
Alaska Air Group, Inc. | 6,979 | 391,662 | |||||||||
American Airlines Group, Inc. | 7,294 | 231,657 | |||||||||
Copa Holdings SA, Class A | 548 | 44,174 | |||||||||
Delta Air Lines, Inc. | 13,314 | 687,668 | |||||||||
JetBlue Airways Corp.† | 5,372 | 87,886 | |||||||||
United Continental Holdings, Inc.† | 4,316 | 344,331 | |||||||||
1,787,378 | |||||||||||
Apparel Manufacturers — 0.9% | |||||||||||
Capri Holdings, Ltd.† | 1,158 | 52,978 | |||||||||
Columbia Sportswear Co. | 470 | 48,965 | |||||||||
Hanesbrands, Inc. | 15,420 | 275,710 | |||||||||
Levi Strauss & Co., Class A† | 5,451 | 128,371 | |||||||||
PVH Corp. | 5,306 | 647,067 | |||||||||
Ralph Lauren Corp. | 6,297 | 816,595 | |||||||||
Under Armour, Inc., Class A† | 785 | 16,595 | |||||||||
Under Armour, Inc., Class C† | 802 | 15,134 | |||||||||
VF Corp. | 1,305 | 113,417 | |||||||||
2,114,832 | |||||||||||
Appliances — 0.3% | |||||||||||
Whirlpool Corp. | 5,144 | 683,586 | |||||||||
Applications Software — 0.1% | |||||||||||
Covetrus, Inc.† | 7,172 | 228,428 | |||||||||
Nuance Communications, Inc.† | 5,033 | 85,209 | |||||||||
313,637 | |||||||||||
Audio/Video Products — 0.0% | |||||||||||
Dolby Laboratories, Inc., Class A | 1,098 | 69,141 | |||||||||
Auto-Heavy Duty Trucks — 0.2% | |||||||||||
PACCAR, Inc. | 7,457 | 508,120 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Adient PLC | 1,639 | $ | 21,242 | ||||||||
Aptiv PLC | 613 | 48,727 | |||||||||
BorgWarner, Inc. | 3,664 | 140,734 | |||||||||
Lear Corp. | 3,907 | 530,219 | |||||||||
Visteon Corp.† | 190 | 12,797 | |||||||||
753,719 | |||||||||||
Banks-Commercial — 2.6% | |||||||||||
Associated Banc-Corp. | 2,894 | 61,787 | |||||||||
Bank of Hawaii Corp. | 731 | 57,654 | |||||||||
Bank OZK | 2,125 | 61,583 | |||||||||
BankUnited, Inc. | 1,821 | 60,821 | |||||||||
BOK Financial Corp. | 454 | 37,024 | |||||||||
CIT Group, Inc. | 1,862 | 89,320 | |||||||||
Citizens Financial Group, Inc. | 8,256 | 268,320 | |||||||||
Commerce Bancshares, Inc. | 1,745 | 101,315 | |||||||||
Cullen/Frost Bankers, Inc. | 1,001 | 97,167 | |||||||||
East West Bancorp, Inc. | 2,339 | 112,202 | |||||||||
First Citizens BancShares, Inc., Class A | 138 | 56,194 | |||||||||
First Hawaiian, Inc. | 2,309 | 60,149 | |||||||||
First Horizon National Corp. | 5,675 | 79,336 | |||||||||
First Republic Bank | 2,883 | 289,626 | |||||||||
FNB Corp. | 5,656 | 59,954 | |||||||||
M&T Bank Corp. | 6,459 | 1,014,192 | |||||||||
PacWest Bancorp | 2,194 | 82,516 | |||||||||
Pinnacle Financial Partners, Inc. | 746 | 40,806 | |||||||||
Popular, Inc. | 6,665 | 347,446 | |||||||||
Prosperity Bancshares, Inc. | 1,165 | 80,455 | |||||||||
Regions Financial Corp. | 18,233 | 257,997 | |||||||||
Signature Bank | 6,967 | 892,264 | |||||||||
SVB Financial Group† | 214 | 47,585 | |||||||||
Synovus Financial Corp. | 1,993 | 68,479 | |||||||||
TCF Financial Corp. | 2,887 | 59,732 | |||||||||
Texas Capital Bancshares, Inc.† | 317 | 17,305 | |||||||||
Umpqua Holdings Corp. | 3,839 | 63,344 | |||||||||
Webster Financial Corp. | 1,600 | 81,072 | |||||||||
Westamerica Bancorporation | 10,627 | 656,749 | |||||||||
Western Alliance Bancorp† | 683 | 28,030 | |||||||||
Wintrust Financial Corp. | 8,893 | 598,766 | |||||||||
Zions Bancorp NA | 3,344 | 151,851 | |||||||||
5,981,041 | |||||||||||
Banks-Fiduciary — 1.0% | |||||||||||
Northern Trust Corp. | 26,695 | 2,413,495 | |||||||||
Banks-Super Regional — 2.5% | |||||||||||
Comerica, Inc. | 12,171 | 892,378 | |||||||||
Fifth Third Bancorp | 55,345 | 1,395,801 | |||||||||
Huntington Bancshares, Inc. | 81,579 | 1,034,422 | |||||||||
KeyCorp | 70,123 | 1,104,437 | |||||||||
SunTrust Banks, Inc. | 21,862 | 1,295,323 | |||||||||
5,722,361 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. | 440 | 19,769 | |||||||||
Beverages-Non-alcoholic — 0.3% | |||||||||||
Coca-Cola European Partners PLC | 11,288 | 584,041 |
187
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Brewery — 0.8% | |||||||||||
Carlsberg A/S, Class B | 9,851 | $ | 1,230,949 | ||||||||
Molson Coors Brewing Co., Class B | 8,705 | 519,253 | |||||||||
1,750,202 | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery, Inc., Class A† | 2,695 | 72,819 | |||||||||
Discovery, Inc., Class C† | 6,048 | 153,740 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series A† | 435 | 14,807 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 3,457 | 121,168 | |||||||||
362,534 | |||||||||||
Building & Construction Products-Misc. — 0.4% | |||||||||||
Fortune Brands Home & Security, Inc. | 1,490 | 70,939 | |||||||||
Owens Corning | 12,789 | 602,618 | |||||||||
Summit Materials, Inc., Class A† | 16,900 | 268,203 | |||||||||
USG Corp. | 1,428 | 61,832 | |||||||||
1,003,592 | |||||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Lennox International, Inc. | 41 | 10,840 | |||||||||
Building Products-Cement — 0.6% | |||||||||||
Eagle Materials, Inc. | 100 | 8,430 | |||||||||
Martin Marietta Materials, Inc. | 91 | 18,307 | |||||||||
MDU Resources Group, Inc. | 3,398 | 87,770 | |||||||||
Vulcan Materials Co. | 9,909 | 1,173,226 | |||||||||
1,287,733 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 1,720 | 67,613 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Arcosa, Inc. | 859 | 26,242 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Thor Industries, Inc. | 154 | 9,605 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
D.R. Horton, Inc. | 2,495 | 103,243 | |||||||||
Lennar Corp., Class A | 2,347 | 115,214 | |||||||||
Lennar Corp., Class B | 127 | 4,969 | |||||||||
PulteGroup, Inc. | 3,099 | 86,648 | |||||||||
Toll Brothers, Inc. | 17,590 | 636,758 | |||||||||
946,832 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Altice USA, Inc., Class A | 16,887 | 362,733 | |||||||||
DISH Network Corp., Class A† | 6,490 | 205,668 | |||||||||
Liberty Broadband Corp., Class A† | 446 | 40,871 | |||||||||
Liberty Broadband Corp., Class C† | 1,823 | 167,242 | |||||||||
776,514 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Caesars Entertainment Corp.† | 10,045 | 87,291 | |||||||||
MGM Resorts International | 7,902 | 202,765 | |||||||||
290,056 |
Security Description | Shares | Value (Note 2) | |||||||||
Cellular Telecom — 0.0% | |||||||||||
Sprint Corp.† | 11,544 | $ | 65,224 | ||||||||
United States Cellular Corp.† | 227 | 10,421 | |||||||||
75,645 | |||||||||||
Chemicals-Diversified — 1.5% | |||||||||||
Celanese Corp. | 5,900 | 581,799 | |||||||||
Eastman Chemical Co. | 11,828 | 897,509 | |||||||||
FMC Corp. | 11,666 | 896,182 | |||||||||
Huntsman Corp. | 3,822 | 85,957 | |||||||||
Olin Corp. | 2,923 | 67,638 | |||||||||
PPG Industries, Inc. | 8,694 | 981,292 | |||||||||
Westlake Chemical Corp. | 49 | 3,325 | |||||||||
3,513,702 | |||||||||||
Chemicals-Specialty — 0.4% | |||||||||||
Albemarle Corp. | 1,863 | 152,729 | |||||||||
Ashland Global Holdings, Inc. | 1,091 | 85,240 | |||||||||
Cabot Corp. | 1,062 | 44,211 | |||||||||
Element Solutions, Inc.† | 1,944 | 19,634 | |||||||||
International Flavors & Fragrances, Inc. | 932 | 120,032 | |||||||||
NewMarket Corp. | 9 | 3,902 | |||||||||
Univar, Inc.† | 23,541 | 521,669 | |||||||||
Valvoline, Inc. | 3,428 | 63,624 | |||||||||
W.R. Grace & Co. | 299 | 23,334 | |||||||||
1,034,375 | |||||||||||
Coatings/Paint — 0.7% | |||||||||||
Axalta Coating Systems, Ltd.† | 25,579 | 644,846 | |||||||||
RPM International, Inc. | 15,391 | 893,294 | |||||||||
1,538,140 | |||||||||||
Commercial Services — 0.3% | |||||||||||
Cintas Corp. | 1,790 | 361,777 | |||||||||
CoreLogic, Inc.† | 533 | 19,859 | |||||||||
Macquarie Infrastructure Corp. | 1,392 | 57,378 | |||||||||
Nielsen Holdings PLC | 6,249 | 147,914 | |||||||||
Quanta Services, Inc. | 1,859 | 70,159 | |||||||||
657,087 | |||||||||||
Commercial Services-Finance — 0.9% | |||||||||||
Equifax, Inc. | 1,527 | 180,950 | |||||||||
Euronet Worldwide, Inc.† | 429 | 61,171 | |||||||||
Global Payments, Inc. | 6,315 | 862,124 | |||||||||
H&R Block, Inc. | 3,004 | 71,916 | |||||||||
IHS Markit, Ltd.† | 6,742 | 366,630 | |||||||||
Sabre Corp. | 937 | 20,042 | |||||||||
Worldpay, Inc., Class A† | 4,811 | 546,048 | |||||||||
2,108,881 | |||||||||||
Computer Aided Design — 0.2% | |||||||||||
Aspen Technology, Inc.† | 68 | 7,090 | |||||||||
Autodesk, Inc.† | 616 | 95,985 | |||||||||
Synopsys, Inc.† | 2,365 | 272,330 | |||||||||
375,405 |
188
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computer Services — 1.0% | |||||||||||
Amdocs, Ltd. | 15,363 | $ | 831,292 | ||||||||
Conduent, Inc.† | 3,337 | 46,151 | |||||||||
DXC Technology Co. | 9,865 | 634,418 | |||||||||
Elastic NV† | 28 | 2,236 | |||||||||
Genpact, Ltd. | 1,664 | 58,540 | |||||||||
Leidos Holdings, Inc. | 10,869 | 696,594 | |||||||||
2,269,231 | |||||||||||
Computer Software — 0.0% | |||||||||||
Akamai Technologies, Inc.† | 184 | 13,195 | |||||||||
SS&C Technologies Holdings, Inc. | 249 | 15,859 | |||||||||
Teradata Corp.† | 617 | 26,932 | |||||||||
55,986 | |||||||||||
Computers — 0.1% | |||||||||||
Dell Technologies, Inc., Class C† | 2,105 | 123,542 | |||||||||
Computers-Integrated Systems — 0.2% | |||||||||||
NCR Corp.† | 14,938 | 407,658 | |||||||||
Computers-Memory Devices — 0.3% | |||||||||||
Western Digital Corp. | 15,314 | 735,991 | |||||||||
Consulting Services — 0.0% | |||||||||||
Booz Allen Hamilton Holding Corp. | 127 | 7,384 | |||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 296 | 47,496 | |||||||||
Kimberly-Clark Corp. | 5,186 | 642,546 | |||||||||
Spectrum Brands Holdings, Inc. | 385 | 21,090 | |||||||||
711,132 | |||||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Ball Corp. | 5,891 | 340,853 | |||||||||
Owens-Illinois, Inc. | 2,833 | 53,770 | |||||||||
Silgan Holdings, Inc. | 899 | 26,638 | |||||||||
421,261 | |||||||||||
Containers-Paper/Plastic — 1.1% | |||||||||||
Ardagh Group SA | 324 | 4,212 | |||||||||
Bemis Co., Inc. | 1,587 | 88,047 | |||||||||
Berry Global Group, Inc.† | 11,662 | 628,232 | |||||||||
Graphic Packaging Holding Co. | 46,986 | 593,433 | |||||||||
Sealed Air Corp. | 11,728 | 540,192 | |||||||||
Sonoco Products Co. | 1,723 | 106,016 | |||||||||
WestRock Co. | 15,331 | 587,944 | |||||||||
2,548,076 | |||||||||||
Cosmetics & Toiletries — 0.4% | |||||||||||
Coty, Inc., Class A | 8,161 | 93,851 | |||||||||
Edgewell Personal Care Co.† | 19,222 | 843,654 | |||||||||
937,505 | |||||||||||
Cruise Lines — 0.5% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 3,871 | 212,750 | |||||||||
Royal Caribbean Cruises, Ltd. | 7,429 | 851,512 | |||||||||
1,064,262 |
Security Description | Shares | Value (Note 2) | |||||||||
Data Processing/Management — 0.8% | |||||||||||
Fidelity National Information Services, Inc. | 9,024 | $ | 1,020,614 | ||||||||
First Data Corp., Class A† | 32,783 | 861,210 | |||||||||
1,881,824 | |||||||||||
Dental Supplies & Equipment — 1.0% | |||||||||||
DENTSPLY SIRONA, Inc. | 24,069 | 1,193,582 | |||||||||
Patterson Cos., Inc. | 48,600 | 1,061,910 | |||||||||
2,255,492 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
QIAGEN NV† | 3,884 | 158,001 | |||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 1,097 | 59,556 | |||||||||
Disposable Medical Products — 0.2% | |||||||||||
STERIS PLC | 3,359 | 430,053 | |||||||||
Distribution/Wholesale — 0.7% | |||||||||||
HD Supply Holdings, Inc.† | 21,589 | 935,883 | |||||||||
KAR Auction Services, Inc. | 151 | 7,748 | |||||||||
LKQ Corp.† | 18,643 | 529,089 | |||||||||
Watsco, Inc. | 110 | 15,753 | |||||||||
WESCO International, Inc.† | 822 | 43,574 | |||||||||
1,532,047 | |||||||||||
Diversified Manufacturing Operations — 1.6% | |||||||||||
Carlisle Cos., Inc. | 1,029 | 126,176 | |||||||||
Crane Co. | 875 | 74,043 | |||||||||
Eaton Corp. PLC | 9,271 | 746,872 | |||||||||
Ingersoll-Rand PLC | 1,993 | 215,144 | |||||||||
ITT, Inc. | 11,428 | 662,824 | |||||||||
Parker-Hannifin Corp. | 1,918 | 329,167 | |||||||||
Textron, Inc. | 30,164 | 1,528,108 | |||||||||
Trinity Industries, Inc. | 2,577 | 55,998 | |||||||||
3,738,332 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Livent Corp.† | 1,303 | 16,001 | |||||||||
E-Commerce/Services — 0.0% | |||||||||||
Zillow Group, Inc., Class A† | 269 | 9,200 | |||||||||
Zillow Group, Inc., Class C† | 552 | 19,176 | |||||||||
28,376 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 3,255 | 270,067 | |||||||||
Littelfuse, Inc. | 72 | 13,139 | |||||||||
283,206 | |||||||||||
Electric-Distribution — 0.9% | |||||||||||
CenterPoint Energy, Inc. | 30,065 | 922,996 | |||||||||
Sempra Energy | 9,914 | 1,247,776 | |||||||||
2,170,772 | |||||||||||
Electric-Integrated — 6.6% | |||||||||||
AES Corp. | 44,183 | 798,829 | |||||||||
Alliant Energy Corp. | 4,162 | 196,155 | |||||||||
Ameren Corp. | 4,289 | 315,456 | |||||||||
Avangrid, Inc. | 983 | 49,494 | |||||||||
CMS Energy Corp. | 19,819 | 1,100,747 | |||||||||
Consolidated Edison, Inc. | 5,494 | 465,946 |
189
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Dominion Energy, Inc. | 5,003 | $ | 383,530 | ||||||||
DTE Energy Co. | 3,191 | 398,045 | |||||||||
Edison International | 5,607 | 347,185 | |||||||||
Entergy Corp. | 7,203 | 688,823 | |||||||||
Evergy, Inc. | 4,633 | 268,946 | |||||||||
Eversource Energy | 16,550 | 1,174,223 | |||||||||
FirstEnergy Corp. | 62,862 | 2,615,688 | |||||||||
Hawaiian Electric Industries, Inc. | 1,896 | 77,300 | |||||||||
OGE Energy Corp. | 3,494 | 150,661 | |||||||||
PG&E Corp.† | 54,206 | 964,867 | |||||||||
Pinnacle West Capital Corp. | 10,905 | 1,042,300 | |||||||||
PPL Corp. | 12,733 | 404,145 | |||||||||
Public Service Enterprise Group, Inc. | 24,744 | 1,470,041 | |||||||||
Southern Co. | 13,873 | 716,957 | |||||||||
WEC Energy Group, Inc. | 13,700 | 1,083,396 | |||||||||
Xcel Energy, Inc. | 8,976 | 504,541 | |||||||||
15,217,275 | |||||||||||
Electronic Components-Misc. — 0.4% | |||||||||||
Garmin, Ltd. | 1,995 | 172,268 | |||||||||
Gentex Corp. | 1,543 | 31,909 | |||||||||
Jabil, Inc. | 2,790 | 74,186 | |||||||||
nVent Electric PLC | 2,819 | 76,057 | |||||||||
Sensata Technologies Holding PLC† | 12,059 | 542,896 | |||||||||
897,316 | |||||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
AVX Corp. | 22,082 | 382,902 | |||||||||
IPG Photonics Corp.† | 1,737 | 263,642 | |||||||||
Qorvo, Inc.† | 2,214 | 158,810 | |||||||||
Skyworks Solutions, Inc. | 931 | 76,789 | |||||||||
882,143 | |||||||||||
Electronic Connectors — 0.2% | |||||||||||
TE Connectivity, Ltd. | 5,368 | 433,466 | |||||||||
Electronic Measurement Instruments — 0.9% | |||||||||||
Agilent Technologies, Inc. | 5,623 | 451,977 | |||||||||
FLIR Systems, Inc. | 2,143 | 101,964 | |||||||||
Fortive Corp. | 443 | 37,163 | |||||||||
Keysight Technologies, Inc.† | 12,638 | 1,102,034 | |||||||||
National Instruments Corp. | 6,915 | 306,749 | |||||||||
Trimble, Inc.† | 4,371 | 176,588 | |||||||||
2,176,475 | |||||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Arrow Electronics, Inc.† | 1,524 | 117,440 | |||||||||
Avnet, Inc. | 1,947 | 84,441 | |||||||||
201,881 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
ADT, Inc. | 1,849 | 11,815 | |||||||||
Allegion PLC | 286 | 25,943 | |||||||||
37,758 | |||||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
First Solar, Inc.† | 1,436 | 75,878 |
Security Description | Shares | Value (Note 2) | |||||||||
Engineering/R&D Services — 0.4% | |||||||||||
AECOM† | 2,744 | $ | 81,414 | ||||||||
Fluor Corp. | 2,457 | 90,418 | |||||||||
Jacobs Engineering Group, Inc. | 2,234 | 167,974 | |||||||||
KBR, Inc. | 34,264 | 654,100 | |||||||||
993,906 | |||||||||||
Engines-Internal Combustion — 0.2% | |||||||||||
Cummins, Inc. | 1,678 | 264,906 | |||||||||
Gates Industrial Corp. PLC† | 15,306 | 219,488 | |||||||||
484,394 | |||||||||||
Enterprise Software/Service — 0.2% | |||||||||||
Pluralsight, Inc., Class A† | 81 | 2,571 | |||||||||
Verint Systems, Inc.† | 5,794 | 346,829 | |||||||||
349,400 | |||||||||||
Entertainment Software — 0.2% | |||||||||||
Electronic Arts, Inc.† | 3,970 | 403,471 | |||||||||
Take-Two Interactive Software, Inc.† | 805 | 75,968 | |||||||||
Zynga, Inc., Class A† | 13,401 | 71,427 | |||||||||
550,866 | |||||||||||
Filtration/Separation Products — 0.0% | |||||||||||
Donaldson Co., Inc. | 153 | 7,659 | |||||||||
Finance-Auto Loans — 0.3% | |||||||||||
Ally Financial, Inc. | 27,527 | 756,717 | |||||||||
Credit Acceptance Corp.† | 17 | 7,683 | |||||||||
Santander Consumer USA Holdings, Inc. | 1,764 | 37,273 | |||||||||
801,673 | |||||||||||
Finance-Consumer Loans — 0.5% | |||||||||||
Navient Corp. | 4,579 | 52,979 | |||||||||
OneMain Holdings, Inc. | 1,243 | 39,465 | |||||||||
SLM Corp. | 7,622 | 75,534 | |||||||||
Synchrony Financial | 33,191 | 1,058,793 | |||||||||
1,226,771 | |||||||||||
Finance-Credit Card — 0.5% | |||||||||||
Discover Financial Services | 13,625 | 969,555 | |||||||||
Western Union Co. | 5,711 | 105,482 | |||||||||
1,075,037 | |||||||||||
Finance-Investment Banker/Broker — 0.8% | |||||||||||
E*TRADE Financial Corp. | 3,476 | 161,390 | |||||||||
Interactive Brokers Group, Inc., Class A | 111 | 5,759 | |||||||||
Jefferies Financial Group, Inc. | 13,114 | 246,412 | |||||||||
Lazard, Ltd., Class A | 22,906 | 827,823 | |||||||||
TD Ameritrade Holding Corp. | 13,228 | 661,268 | |||||||||
1,902,652 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 1,573 | 54,033 | |||||||||
Finance-Other Services — 0.5% | |||||||||||
BGC Partners, Inc., Class A | 4,587 | 24,357 | |||||||||
Cboe Global Markets, Inc. | 143 | 13,648 | |||||||||
Nasdaq, Inc. | 13,965 | 1,221,798 | |||||||||
1,259,803 |
190
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Financial Guarantee Insurance — 0.0% | |||||||||||
Assured Guaranty, Ltd. | 1,830 | $ | 81,307 | ||||||||
Food-Baking — 0.6% | |||||||||||
Flowers Foods, Inc. | 65,584 | 1,398,251 | |||||||||
Hostess Brands, Inc.† | 5,479 | 68,487 | |||||||||
1,466,738 | |||||||||||
Food-Catering — 0.2% | |||||||||||
Aramark | 19,042 | 562,691 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 221 | 25,377 | |||||||||
J.M. Smucker Co. | 6,438 | 750,027 | |||||||||
775,404 | |||||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Seaboard Corp. | 5 | 21,424 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
Hormel Foods Corp. | 4,761 | 213,103 | |||||||||
Tyson Foods, Inc., Class A | 5,131 | 356,245 | |||||||||
569,348 | |||||||||||
Food-Misc./Diversified — 1.3% | |||||||||||
Campbell Soup Co. | 14,985 | 571,378 | |||||||||
Conagra Brands, Inc. | 8,507 | 235,984 | |||||||||
Hain Celestial Group, Inc.† | 1,669 | 38,587 | |||||||||
Ingredion, Inc. | 6,155 | 582,817 | |||||||||
Kellogg Co. | 8,046 | 461,680 | |||||||||
Lamb Weston Holdings, Inc. | 2,567 | 192,371 | |||||||||
McCormick & Co., Inc. | 2,020 | 304,273 | |||||||||
Post Holdings, Inc.† | 3,241 | 354,565 | |||||||||
TreeHouse Foods, Inc.† | 4,686 | 302,481 | |||||||||
3,044,136 | |||||||||||
Food-Retail — 0.6% | |||||||||||
Kroger Co. | 56,186 | 1,382,176 | |||||||||
Food-Wholesale/Distribution — 0.2% | |||||||||||
Sysco Corp. | 5,430 | 362,507 | |||||||||
US Foods Holding Corp.† | 3,551 | 123,965 | |||||||||
486,472 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 1,229 | 41,307 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Service Corp. International | 1,642 | 65,926 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
International Game Technology PLC | 1,629 | 21,161 | |||||||||
Garden Products — 0.0% | |||||||||||
Scotts Miracle-Gro Co. | 358 | 28,132 | |||||||||
Gas-Distribution — 0.6% | |||||||||||
Atmos Energy Corp. | 1,907 | 196,287 | |||||||||
National Fuel Gas Co. | 1,422 | 86,685 | |||||||||
NiSource, Inc. | 24,116 | 691,165 | |||||||||
South Jersey Industries, Inc. | 8,174 | 262,140 | |||||||||
UGI Corp. | 3,026 | 167,701 | |||||||||
1,403,978 |
Security Description | Shares | Value (Note 2) | |||||||||
Gold Mining — 1.9% | |||||||||||
Barrick Gold Corp. | 79,276 | $ | 1,086,874 | ||||||||
Cia de Minas Buenaventura SAA ADR | 26,292 | 454,326 | |||||||||
Franco-Nevada Corp. | 12,772 | 957,554 | |||||||||
Newmont Mining Corp. | 48,411 | 1,731,661 | |||||||||
Royal Gold, Inc. | 671 | 61,014 | |||||||||
4,291,429 | |||||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Clean Harbors, Inc.† | 902 | 64,520 | |||||||||
Stericycle, Inc.† | 1,451 | 78,963 | |||||||||
143,483 | |||||||||||
Home Decoration Products — 0.2% | |||||||||||
Newell Brands, Inc. | 27,840 | 427,066 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 2,296 | 96,937 | |||||||||
Hotels/Motels — 0.4% | |||||||||||
Extended Stay America, Inc. | 1,326 | 23,802 | |||||||||
Hyatt Hotels Corp., Class A | 740 | 53,702 | |||||||||
Marriott International, Inc., Class A | 4,494 | 562,154 | |||||||||
St. Joe Co.† | 16,601 | 273,750 | |||||||||
913,408 | |||||||||||
Human Resources — 0.0% | |||||||||||
ManpowerGroup, Inc. | 1,087 | 89,884 | |||||||||
Independent Power Producers — 0.5% | |||||||||||
NRG Energy, Inc. | 5,108 | 216,988 | |||||||||
Vistra Energy Corp. | 33,846 | 881,011 | |||||||||
1,097,999 | |||||||||||
Instruments-Scientific — 0.3% | |||||||||||
PerkinElmer, Inc. | 7,583 | 730,698 | |||||||||
Waters Corp.† | 98 | 24,667 | |||||||||
755,365 | |||||||||||
Insurance Brokers — 1.5% | |||||||||||
Aon PLC | 4,299 | 733,839 | |||||||||
Arthur J. Gallagher & Co. | 12,491 | 975,547 | |||||||||
Brown & Brown, Inc. | 27,612 | 814,830 | |||||||||
Marsh & McLennan Cos., Inc. | 6,106 | 573,354 | |||||||||
Willis Towers Watson PLC | 2,289 | 402,063 | |||||||||
3,499,633 | |||||||||||
Insurance-Life/Health — 1.2% | |||||||||||
Athene Holding, Ltd., Class A† | 14,932 | 609,226 | |||||||||
AXA Equitable Holdings, Inc. | 3,488 | 70,248 | |||||||||
Brighthouse Financial, Inc.† | 8,355 | 303,203 | |||||||||
Lincoln National Corp. | 13,919 | 817,045 | |||||||||
Principal Financial Group, Inc. | 4,957 | 248,792 | |||||||||
Torchmark Corp. | 1,825 | 149,559 | |||||||||
Unum Group | 14,644 | 495,406 | |||||||||
2,693,479 | |||||||||||
Insurance-Multi-line — 2.6% | |||||||||||
American Financial Group, Inc. | 1,258 | 121,032 | |||||||||
Assurant, Inc. | 7,340 | 696,639 | |||||||||
Cincinnati Financial Corp. | 2,692 | 231,243 | |||||||||
CNA Financial Corp. | 19,751 | 856,206 |
191
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Multi-line (continued) | |||||||||||
Hartford Financial Services Group, Inc. | 29,118 | $ | 1,447,747 | ||||||||
Kemper Corp. | 7,389 | 562,598 | |||||||||
Loews Corp. | 33,335 | 1,597,747 | |||||||||
Old Republic International Corp. | 4,962 | 103,805 | |||||||||
Voya Financial, Inc. | 6,709 | 335,182 | |||||||||
5,952,199 | |||||||||||
Insurance-Property/Casualty — 0.7% | |||||||||||
Alleghany Corp.† | 224 | 137,178 | |||||||||
American National Insurance Co. | 129 | 15,586 | |||||||||
Arch Capital Group, Ltd.† | 5,707 | 184,450 | |||||||||
Erie Indemnity Co., Class A | 102 | 18,209 | |||||||||
Fidelity National Financial, Inc. | 4,628 | 169,153 | |||||||||
First American Financial Corp. | 1,901 | 97,902 | |||||||||
Hanover Insurance Group, Inc. | 5,450 | 622,226 | |||||||||
Markel Corp.† | 226 | 225,150 | |||||||||
Mercury General Corp. | 479 | 23,984 | |||||||||
White Mountains Insurance Group, Ltd. | 53 | 49,050 | |||||||||
WR Berkley Corp. | 1,664 | 140,974 | |||||||||
1,683,862 | |||||||||||
Insurance-Reinsurance — 0.5% | |||||||||||
Axis Capital Holdings, Ltd. | 1,282 | 70,228 | |||||||||
Everest Re Group, Ltd. | 3,575 | 772,057 | |||||||||
Reinsurance Group of America, Inc. | 1,106 | 157,030 | |||||||||
RenaissanceRe Holdings, Ltd. | 636 | 91,266 | |||||||||
1,090,581 | |||||||||||
Internet Security — 0.1% | |||||||||||
FireEye, Inc.† | 1,108 | 18,603 | |||||||||
Symantec Corp. | 11,220 | 257,948 | |||||||||
276,551 | |||||||||||
Investment Companies — 0.3% | |||||||||||
Groupe Bruxelles Lambert SA | 1,819 | 176,938 | |||||||||
Pargesa Holding SA | 5,711 | 447,790 | |||||||||
624,728 | |||||||||||
Investment Management/Advisor Services — 1.2% | |||||||||||
Affiliated Managers Group, Inc. | 926 | 99,184 | |||||||||
Ameriprise Financial, Inc. | 2,059 | 263,758 | |||||||||
Franklin Resources, Inc. | 33,024 | 1,094,415 | |||||||||
Invesco, Ltd. | 30,689 | 592,605 | |||||||||
Legg Mason, Inc. | 1,467 | 40,152 | |||||||||
Raymond James Financial, Inc. | 9,372 | 753,602 | |||||||||
T. Rowe Price Group, Inc. | 290 | 29,035 | |||||||||
2,872,751 | |||||||||||
Lasers-System/Components — 0.0% | |||||||||||
Coherent, Inc.† | 123 | 17,432 | |||||||||
Lighting Products & Systems — 0.0% | |||||||||||
Acuity Brands, Inc. | 713 | 85,567 | |||||||||
Machine Tools & Related Products — 0.0% | |||||||||||
Colfax Corp.† | 1,491 | 44,253 |
Security Description | Shares | Value (Note 2) | |||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Oshkosh Corp. | 1,289 | $ | 96,842 | ||||||||
Terex Corp. | 1,191 | 38,267 | |||||||||
135,109 | |||||||||||
Machinery-Electrical — 0.2% | |||||||||||
Regal Beloit Corp. | 6,488 | 531,173 | |||||||||
Machinery-Farming — 0.5% | |||||||||||
AGCO Corp. | 16,544 | 1,150,635 | |||||||||
Machinery-General Industrial — 0.4% | |||||||||||
IDEX Corp. | 81 | 12,291 | |||||||||
Middleby Corp.† | 396 | 51,492 | |||||||||
Nordson Corp. | 67 | 8,879 | |||||||||
Roper Technologies, Inc. | 1,455 | 497,566 | |||||||||
Wabtec Corp. | 5,787 | 426,618 | |||||||||
996,846 | |||||||||||
Machinery-Material Handling — 0.1% | |||||||||||
Dover Corp. | 2,554 | 239,565 | |||||||||
Machinery-Pumps — 0.5% | |||||||||||
Curtiss-Wright Corp. | 710 | 80,471 | |||||||||
Flowserve Corp. | 2,292 | 103,461 | |||||||||
Gardner Denver Holdings, Inc.† | 1,495 | 41,576 | |||||||||
Xylem, Inc. | 12,396 | 979,780 | |||||||||
1,205,288 | |||||||||||
Machinery-Thermal Process — 0.0% | |||||||||||
GrafTech International, Ltd. | 1,074 | 13,736 | |||||||||
Marine Services — 0.1% | |||||||||||
SEACOR Marine Holdings, Inc.† | 10,789 | 143,602 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Cerner Corp.† | 3,073 | 175,806 | |||||||||
Medical Instruments — 0.1% | |||||||||||
Bruker Corp. | 1,048 | 40,285 | |||||||||
Integra LifeSciences Holdings Corp.† | 287 | 15,992 | |||||||||
Teleflex, Inc. | 646 | 195,195 | |||||||||
251,472 | |||||||||||
Medical Labs & Testing Services — 0.9% | |||||||||||
Catalent, Inc.† | 1,919 | 77,892 | |||||||||
Charles River Laboratories International, Inc.† | 234 | 33,988 | |||||||||
IQVIA Holdings, Inc.† | 2,874 | 413,425 | |||||||||
Laboratory Corp. of America Holdings† | 1,670 | 255,477 | |||||||||
MEDNAX, Inc.† | 11,351 | 308,407 | |||||||||
Quest Diagnostics, Inc. | 10,775 | 968,888 | |||||||||
2,058,077 | |||||||||||
Medical Products — 2.3% | |||||||||||
Baxter International, Inc. | 14,156 | 1,151,024 | |||||||||
Cooper Cos., Inc. | 713 | 211,169 | |||||||||
Henry Schein, Inc.† | 3,632 | 218,320 | |||||||||
Hill-Rom Holdings, Inc. | 407 | 43,085 | |||||||||
Hologic, Inc.† | 27,222 | 1,317,545 | |||||||||
West Pharmaceutical Services, Inc. | 985 | 108,547 | |||||||||
Zimmer Biomet Holdings, Inc. | 17,607 | 2,248,414 | |||||||||
5,298,104 |
192
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene — 0.5% | |||||||||||
Alnylam Pharmaceuticals, Inc.† | 180 | $ | 16,821 | ||||||||
Bio-Rad Laboratories, Inc., Class A† | 371 | 113,407 | |||||||||
Bluebird Bio, Inc.† | 292 | 45,940 | |||||||||
Incyte Corp.† | 4,949 | 425,664 | |||||||||
Seattle Genetics, Inc.† | 5,370 | 393,299 | |||||||||
United Therapeutics Corp.† | 752 | 88,262 | |||||||||
1,083,393 | |||||||||||
Medical-Drugs — 0.3% | |||||||||||
Alkermes PLC† | 20,823 | 759,831 | |||||||||
Jazz Pharmaceuticals PLC† | 84 | 12,008 | |||||||||
771,839 | |||||||||||
Medical-Generic Drugs — 1.1% | |||||||||||
Amneal Pharmaceuticals, Inc.† | 5,710 | 80,911 | |||||||||
Mylan NV† | 22,705 | 643,460 | |||||||||
Perrigo Co. PLC | 27,792 | 1,338,463 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR† | 32,464 | 509,035 | |||||||||
2,571,869 | |||||||||||
Medical-HMO — 0.0% | |||||||||||
Centene Corp.† | 825 | 43,808 | |||||||||
Molina Healthcare, Inc.† | 166 | 23,565 | |||||||||
WellCare Health Plans, Inc.† | 59 | 15,915 | |||||||||
83,288 | |||||||||||
Medical-Hospitals — 0.9% | |||||||||||
Acadia Healthcare Co., Inc.† | 1,516 | 44,434 | |||||||||
Select Medical Holdings Corp.† | 73,029 | 1,028,979 | |||||||||
Universal Health Services, Inc., Class B | 7,267 | 972,106 | |||||||||
2,045,519 | |||||||||||
Medical-Wholesale Drug Distribution — 0.9% | |||||||||||
AmerisourceBergen Corp. | 6,843 | 544,155 | |||||||||
Cardinal Health, Inc. | 19,208 | 924,865 | |||||||||
Premier, Inc., Class A† | 15,016 | 517,902 | |||||||||
1,986,922 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Timken Co. | 1,201 | 52,388 | |||||||||
Metal-Aluminum — 0.0% | |||||||||||
Alcoa Corp.† | 3,274 | 92,196 | |||||||||
Metal-Copper — 0.3% | |||||||||||
Freeport-McMoRan, Inc. | 50,432 | 650,068 | |||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
AptarGroup, Inc. | 1,089 | 115,859 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Entertainment Corp., Class A | 800 | 12,512 | |||||||||
Lions Gate Entertainment Corp., Class B | 1,561 | 23,571 | |||||||||
36,083 | |||||||||||
Motorcycle/Motor Scooter — 0.2% | |||||||||||
Harley-Davidson, Inc. | 12,632 | 450,457 |
Security Description | Shares | Value (Note 2) | |||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 666 | $ | 31,875 | ||||||||
Multimedia — 0.5% | |||||||||||
Viacom, Inc., Class A | 176 | 5,711 | |||||||||
Viacom, Inc., Class B | 40,074 | 1,124,877 | |||||||||
1,130,588 | |||||||||||
Networking Products — 0.0% | |||||||||||
LogMeIn, Inc. | 304 | 24,350 | |||||||||
Non-Ferrous Metals — 0.4% | |||||||||||
Cameco Corp. | 61,438 | 724,354 | |||||||||
NAC Kazatomprom JSC GDR† | 16,797 | 235,158 | |||||||||
959,512 | |||||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 3,602 | 289,529 | |||||||||
Office Automation & Equipment — 0.2% | |||||||||||
Xerox Corp. | 3,682 | 117,750 | |||||||||
Zebra Technologies Corp., Class A† | 1,875 | 392,869 | |||||||||
510,619 | |||||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Helmerich & Payne, Inc. | 1,860 | 103,342 | |||||||||
Nabors Industries, Ltd. | 5,977 | 20,561 | |||||||||
Transocean, Ltd.† | 9,105 | 79,304 | |||||||||
203,207 | |||||||||||
Oil Companies-Exploration & Production — 4.2% | |||||||||||
Antero Resources Corp.† | 1,975 | 17,439 | |||||||||
Apache Corp. | 20,718 | 718,086 | |||||||||
ARC Resources, Ltd. | 41,705 | 284,618 | |||||||||
Cabot Oil & Gas Corp. | 26,160 | 682,776 | |||||||||
Canadian Natural Resources, Ltd. | 27,005 | 742,637 | |||||||||
Centennial Resource Development, Inc., Class A† | 3,206 | 28,181 | |||||||||
Chesapeake Energy Corp.† | 15,753 | 48,834 | |||||||||
Cimarex Energy Co. | 1,442 | 100,796 | |||||||||
CNX Resources Corp.† | 3,532 | 38,040 | |||||||||
Concho Resources, Inc. | 5,331 | 591,528 | |||||||||
Continental Resources, Inc.† | 793 | 35,503 | |||||||||
Devon Energy Corp. | 8,245 | 260,212 | |||||||||
Diamondback Energy, Inc. | 2,311 | 234,636 | |||||||||
EQT Corp. | 93,084 | 1,930,562 | |||||||||
Extraction Oil & Gas, Inc.† | 1,937 | 8,193 | |||||||||
Hess Corp. | 32,057 | 1,930,793 | |||||||||
Kosmos Energy, Ltd. | 3,357 | 20,914 | |||||||||
Marathon Oil Corp. | 14,628 | 244,434 | |||||||||
Noble Energy, Inc. | 8,412 | 208,029 | |||||||||
Parsley Energy, Inc., Class A† | 1,392 | 26,865 | |||||||||
Pioneer Natural Resources Co. | 5,613 | 854,748 | |||||||||
QEP Resources, Inc.† | 4,139 | 32,243 | |||||||||
Range Resources Corp. | 3,693 | 41,509 | |||||||||
SM Energy Co. | 1,945 | 34,018 | |||||||||
Whiting Petroleum Corp.† | 1,571 | 41,066 | |||||||||
WPX Energy, Inc.† | 45,580 | 597,554 | |||||||||
9,754,214 |
193
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Integrated — 0.9% | |||||||||||
Imperial Oil, Ltd. | 43,861 | $ | 1,200,476 | ||||||||
Murphy Oil Corp. | 27,230 | 797,839 | |||||||||
1,998,315 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Forum Energy Technologies, Inc.† | 2,741 | 14,007 | |||||||||
National Oilwell Varco, Inc. | 6,697 | 178,408 | |||||||||
192,415 | |||||||||||
Oil Refining & Marketing — 0.4% | |||||||||||
HollyFrontier Corp. | 2,803 | 138,104 | |||||||||
Marathon Petroleum Corp. | 10,202 | 610,590 | |||||||||
PBF Energy, Inc., Class A | 2,100 | 65,394 | |||||||||
814,088 | |||||||||||
Oil-Field Services — 0.6% | |||||||||||
Apergy Corp.† | 1,360 | 55,842 | |||||||||
Frank's International NV† | 74,301 | 461,409 | |||||||||
NOW, Inc.† | 20,370 | 284,365 | |||||||||
Oil States International, Inc.† | 11,669 | 197,906 | |||||||||
Patterson-UTI Energy, Inc. | 23,393 | 327,970 | |||||||||
RPC, Inc. | 630 | 7,188 | |||||||||
Weatherford International PLC† | 17,446 | 12,178 | |||||||||
1,346,858 | |||||||||||
Paper & Related Products — 0.2% | |||||||||||
Domtar Corp. | 1,093 | 54,267 | |||||||||
International Paper Co. | 6,398 | 296,036 | |||||||||
350,303 | |||||||||||
Pipelines — 1.4% | |||||||||||
Cheniere Energy, Inc.† | 1,242 | 84,903 | |||||||||
Equitrans Midstream Corp. | 57,157 | 1,244,880 | |||||||||
ONEOK, Inc. | 4,237 | 295,912 | |||||||||
Plains GP Holdings LP, Class A | 28,882 | 719,739 | |||||||||
Targa Resources Corp. | 3,984 | 165,535 | |||||||||
Williams Cos., Inc. | 21,453 | 616,130 | |||||||||
3,127,099 | |||||||||||
Poultry — 0.3% | |||||||||||
Pilgrim's Pride Corp.† | 927 | 20,663 | |||||||||
Sanderson Farms, Inc. | 4,235 | 558,342 | |||||||||
579,005 | |||||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Hubbell, Inc. | 309 | 36,456 | |||||||||
Private Equity — 0.2% | |||||||||||
Apollo Global Management LLC, Class A | 18,521 | 523,218 | |||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 291 | 85,301 | |||||||||
Publishing-Books — 0.1% | |||||||||||
John Wiley & Sons, Inc., Class A | 776 | 34,315 | |||||||||
Scholastic Corp. | 5,291 | 210,370 | |||||||||
244,685 |
Security Description | Shares | Value (Note 2) | |||||||||
Publishing-Newspapers — 0.4% | |||||||||||
News Corp., Class A | 80,758 | $ | 1,004,629 | ||||||||
News Corp., Class B | 2,124 | 26,529 | |||||||||
1,031,158 | |||||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 1,477 | 56,392 | |||||||||
Liberty Media Corp. - Liberty SiriusXM, Series C† | 2,913 | 111,393 | |||||||||
167,785 | |||||||||||
Real Estate Investment Trusts — 9.5% | |||||||||||
AGNC Investment Corp. | 9,121 | 164,178 | |||||||||
Alexandria Real Estate Equities, Inc. | 1,727 | 246,201 | |||||||||
American Campus Communities, Inc. | 2,386 | 113,526 | |||||||||
American Homes 4 Rent, Class A | 4,529 | 102,899 | |||||||||
Annaly Capital Management, Inc. | 53,164 | 531,108 | |||||||||
Apartment Investment & Management Co., Class A | 2,739 | 137,744 | |||||||||
Apple Hospitality REIT, Inc. | 3,795 | 61,859 | |||||||||
AvalonBay Communities, Inc. | 2,436 | 488,978 | |||||||||
Boston Properties, Inc. | 2,725 | 364,823 | |||||||||
Brandywine Realty Trust | 3,077 | 48,801 | |||||||||
Brixmor Property Group, Inc. | 37,184 | 683,070 | |||||||||
Brookfield Property REIT, Inc., Class A | 2,212 | 45,324 | |||||||||
Camden Property Trust | 1,555 | 157,833 | |||||||||
Chimera Investment Corp. | 3,263 | 61,149 | |||||||||
Colony Capital, Inc. | 8,071 | 42,938 | |||||||||
Columbia Property Trust, Inc. | 2,073 | 46,663 | |||||||||
Corporate Office Properties Trust | 1,789 | 48,840 | |||||||||
CubeSmart | 3,268 | 104,707 | |||||||||
CyrusOne, Inc. | 1,846 | 96,804 | |||||||||
Digital Realty Trust, Inc. | 3,627 | 431,613 | |||||||||
Douglas Emmett, Inc. | 2,813 | 113,701 | |||||||||
Duke Realty Corp. | 6,251 | 191,156 | |||||||||
Empire State Realty Trust, Inc., Class A | 2,499 | 39,484 | |||||||||
EPR Properties | 9,939 | 764,309 | |||||||||
Equity Commonwealth | 28,744 | 939,641 | |||||||||
Equity Residential | 18,632 | 1,403,362 | |||||||||
Essex Property Trust, Inc. | 1,160 | 335,518 | |||||||||
Extra Space Storage, Inc. | 284 | 28,942 | |||||||||
Federal Realty Investment Trust | 1,276 | 175,897 | |||||||||
Gaming and Leisure Properties, Inc. | 2,260 | 87,168 | |||||||||
HCP, Inc. | 8,296 | 259,665 | |||||||||
Healthcare Trust of America, Inc., Class A | 3,636 | 103,953 | |||||||||
Highwoods Properties, Inc. | 1,781 | 83,315 | |||||||||
Hospitality Properties Trust | 2,851 | 75,010 | |||||||||
Host Hotels & Resorts, Inc. | 12,918 | 244,150 | |||||||||
Hudson Pacific Properties, Inc. | 2,368 | 81,507 | |||||||||
Invitation Homes, Inc. | 5,233 | 127,319 | |||||||||
Iron Mountain, Inc. | 4,976 | 176,449 | |||||||||
JBG SMITH Properties | 1,844 | 76,249 | |||||||||
Kilroy Realty Corp. | 1,741 | 132,246 | |||||||||
Kimco Realty Corp. | 7,124 | 131,794 | |||||||||
Lamar Advertising Co., Class A | 135 | 10,700 |
194
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Liberty Property Trust | 2,584 | $ | 125,117 | ||||||||
Life Storage, Inc. | 10,200 | 992,154 | |||||||||
Macerich Co. | 2,383 | 103,303 | |||||||||
Medical Properties Trust, Inc. | 49,721 | 920,336 | |||||||||
MFA Financial, Inc. | 7,827 | 56,902 | |||||||||
Mid-America Apartment Communities, Inc. | 8,475 | 926,572 | |||||||||
National Retail Properties, Inc. | 2,793 | 154,704 | |||||||||
New Residential Investment Corp. | 6,393 | 108,106 | |||||||||
Omega Healthcare Investors, Inc. | 3,201 | 122,118 | |||||||||
Outfront Media, Inc. | 2,427 | 56,792 | |||||||||
Paramount Group, Inc. | 3,631 | 51,524 | |||||||||
Park Hotels & Resorts, Inc. | 3,520 | 109,402 | |||||||||
Rayonier, Inc. | 42,660 | 1,344,643 | |||||||||
Realty Income Corp. | 5,206 | 382,953 | |||||||||
Regency Centers Corp. | 8,801 | 593,979 | |||||||||
Retail Properties of America, Inc., Class A | 3,838 | 46,785 | |||||||||
Retail Value, Inc. | 274 | 8,541 | |||||||||
Senior Housing Properties Trust | 4,120 | 48,534 | |||||||||
SITE Centers Corp. | 2,673 | 36,406 | |||||||||
SL Green Realty Corp. | 1,453 | 130,654 | |||||||||
Spirit Realty Capital, Inc. | 11,196 | 444,817 | |||||||||
Starwood Property Trust, Inc. | 4,730 | 105,716 | |||||||||
STORE Capital Corp. | 3,378 | 113,163 | |||||||||
Sun Communities, Inc. | 7,286 | 863,537 | |||||||||
Two Harbors Investment Corp. | 4,303 | 58,220 | |||||||||
UDR, Inc. | 4,651 | 211,434 | |||||||||
Uniti Group, Inc. | 2,888 | 32,317 | |||||||||
Ventas, Inc. | 6,280 | 400,727 | |||||||||
VEREIT, Inc. | 16,991 | 142,215 | |||||||||
VICI Properties, Inc. | 27,806 | 608,395 | |||||||||
Vornado Realty Trust | 3,021 | 203,736 | |||||||||
Weingarten Realty Investors | 2,092 | 61,442 | |||||||||
Welltower, Inc. | 6,568 | 509,677 | |||||||||
Weyerhaeuser Co. | 57,680 | 1,519,291 | |||||||||
WP Carey, Inc. | 12,676 | 992,911 | |||||||||
22,147,716 | |||||||||||
Real Estate Management/Services — 0.4% | |||||||||||
CBRE Group, Inc., Class A† | 2,890 | 142,911 | |||||||||
Jones Lang LaSalle, Inc. | 794 | 122,419 | |||||||||
Realogy Holdings Corp. | 47,228 | 538,399 | |||||||||
803,729 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp.† | 405 | 44,550 | |||||||||
Recreational Vehicles — 0.2% | |||||||||||
Brunswick Corp. | 11,315 | 569,484 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
AMERCO | 123 | 45,696 | |||||||||
Element Fleet Management Corp. | 39,883 | 252,188 | |||||||||
297,884 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Apparel/Shoe — 0.5% | |||||||||||
Foot Locker, Inc. | 2,015 | $ | 122,109 | ||||||||
Gap, Inc. | 10,193 | 266,853 | |||||||||
L Brands, Inc. | 15,328 | 422,746 | |||||||||
Tapestry, Inc. | 4,056 | 131,780 | |||||||||
Urban Outfitters, Inc.† | 6,597 | 195,535 | |||||||||
1,139,023 | |||||||||||
Retail-Arts & Crafts — 0.1% | |||||||||||
Michaels Cos., Inc.† | 16,727 | 191,022 | |||||||||
Retail-Auto Parts — 0.2% | |||||||||||
Advance Auto Parts, Inc. | 857 | 146,144 | |||||||||
AutoZone, Inc.† | 57 | 58,375 | |||||||||
Genuine Parts Co. | 2,522 | 282,540 | |||||||||
487,059 | |||||||||||
Retail-Automobile — 0.1% | |||||||||||
AutoNation, Inc.† | 972 | 34,720 | |||||||||
CarMax, Inc.† | 1,230 | 85,854 | |||||||||
Penske Automotive Group, Inc. | 621 | 27,727 | |||||||||
148,301 | |||||||||||
Retail-Catalog Shopping — 0.1% | |||||||||||
MSC Industrial Direct Co., Inc., Class A | 430 | 35,565 | |||||||||
Qurate Retail, Inc.† | 7,318 | 116,942 | |||||||||
152,507 | |||||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 3,096 | 220,002 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Casey's General Stores, Inc. | 641 | 82,542 | |||||||||
Retail-Discount — 0.5% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 8,042 | 220,351 | |||||||||
Dollar Tree, Inc.† | 8,416 | 884,016 | |||||||||
1,104,367 | |||||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 3,854 | 376,767 | |||||||||
Retail-Jewelry — 0.5% | |||||||||||
Tiffany & Co. | 10,055 | 1,061,305 | |||||||||
Retail-Mail Order — 0.0% | |||||||||||
Williams-Sonoma, Inc. | 1,091 | 61,391 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Kohl's Corp. | 2,929 | 201,427 | |||||||||
Macy's, Inc. | 5,362 | 128,849 | |||||||||
330,276 | |||||||||||
Retail-Restaurants — 0.3% | |||||||||||
Darden Restaurants, Inc. | 1,077 | 130,823 | |||||||||
Wendy's Co. | 19,473 | 348,372 | |||||||||
Yum China Holdings, Inc. | 5,873 | 263,757 | |||||||||
742,952 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Dick's Sporting Goods, Inc. | 1,308 | 48,147 | |||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co. | 4,107 | 74,542 |
195
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
EchoStar Corp., Class A† | 838 | $ | 30,545 | ||||||||
Savings & Loans/Thrifts — 0.4% | |||||||||||
Capitol Federal Financial, Inc. | 38,363 | 512,146 | |||||||||
New York Community Bancorp, Inc. | 8,344 | 96,540 | |||||||||
People's United Financial, Inc. | 6,528 | 107,321 | |||||||||
Sterling Bancorp | 3,905 | 72,750 | |||||||||
TFS Financial Corp. | 868 | 14,296 | |||||||||
803,053 | |||||||||||
Schools — 0.3% | |||||||||||
Bright Horizons Family Solutions, Inc.† | 156 | 19,829 | |||||||||
Graham Holdings Co., Class B | 73 | 49,872 | |||||||||
Strategic Education, Inc. | 4,222 | 554,391 | |||||||||
624,092 | |||||||||||
Semiconductor Components-Integrated Circuits — 1.2% | |||||||||||
Analog Devices, Inc. | 13,359 | 1,406,302 | |||||||||
Cypress Semiconductor Corp. | 1,945 | 29,019 | |||||||||
Marvell Technology Group, Ltd. | 33,660 | 669,498 | |||||||||
Maxim Integrated Products, Inc. | 11,242 | 597,737 | |||||||||
2,702,556 | |||||||||||
Semiconductor Equipment — 0.4% | |||||||||||
Applied Materials, Inc. | 20,700 | 820,962 | |||||||||
Teradyne, Inc. | 2,653 | 105,696 | |||||||||
926,658 | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 110 | 22,792 | |||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Church & Dwight Co., Inc. | 651 | 46,371 | |||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
Valmont Industries, Inc. | 387 | 50,349 | |||||||||
Steel-Producers — 0.5% | |||||||||||
Nucor Corp. | 13,266 | 774,071 | |||||||||
Reliance Steel & Aluminum Co. | 1,204 | 108,673 | |||||||||
Steel Dynamics, Inc. | 3,287 | 115,933 | |||||||||
United States Steel Corp. | 3,088 | 60,185 | |||||||||
1,058,862 | |||||||||||
Telecom Equipment-Fiber Optics — 0.2% | |||||||||||
Corning, Inc. | 13,906 | 460,289 | |||||||||
Telecommunication Equipment — 0.4% | |||||||||||
ARRIS International PLC† | 2,879 | 91,005 | |||||||||
CommScope Holding Co., Inc.† | 3,326 | 72,274 | |||||||||
Juniper Networks, Inc. | 6,055 | 160,276 | |||||||||
NICE, Ltd., ADR† | 5,519 | 676,133 | |||||||||
999,688 | |||||||||||
Telephone-Integrated — 0.2% | |||||||||||
CenturyLink, Inc. | 16,871 | 202,283 | |||||||||
GCI Liberty, Inc., Class A† | 1,766 | 98,207 | |||||||||
Telephone & Data Systems, Inc. | 1,710 | 52,549 | |||||||||
353,039 |
Security Description | Shares | Value (Note 2) | |||||||||
Television — 0.2% | |||||||||||
CBS Corp., Class B | 7,010 | $ | 333,185 | ||||||||
Tribune Media Co., Class A | 1,534 | 70,779 | |||||||||
403,964 | |||||||||||
Textile-Home Furnishings — 0.2% | |||||||||||
Mohawk Industries, Inc.† | 3,589 | 452,752 | |||||||||
Theaters — 0.0% | |||||||||||
Cinemark Holdings, Inc. | 1,876 | 75,021 | |||||||||
Therapeutics — 0.0% | |||||||||||
Agios Pharmaceuticals, Inc.† | 57 | 3,844 | |||||||||
Tools-Hand Held — 0.6% | |||||||||||
Snap-on, Inc. | 983 | 153,859 | |||||||||
Stanley Black & Decker, Inc. | 9,418 | 1,282,449 | |||||||||
1,436,308 | |||||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 433 | 36,814 | |||||||||
Mattel, Inc.† | 4,697 | 61,061 | |||||||||
97,875 | |||||||||||
Transport-Marine — 0.2% | |||||||||||
Kirby Corp.† | 1,033 | 77,589 | |||||||||
SEACOR Holdings, Inc.† | 3,409 | 144,132 | |||||||||
Tidewater, Inc.† | 10,800 | 250,452 | |||||||||
472,173 | |||||||||||
Transport-Rail — 0.7% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 822 | 71,629 | |||||||||
Kansas City Southern | 12,360 | 1,433,513 | |||||||||
1,505,142 | |||||||||||
Transport-Services — 0.6% | |||||||||||
C.H. Robinson Worldwide, Inc. | 10,067 | 875,728 | |||||||||
Expeditors International of Washington, Inc. | 7,092 | 538,283 | |||||||||
Ryder System, Inc. | 911 | 56,473 | |||||||||
1,470,484 | |||||||||||
Transport-Truck — 0.2% | |||||||||||
JB Hunt Transport Services, Inc. | 2,800 | 283,612 | |||||||||
Knight-Swift Transportation Holdings, Inc. | 2,258 | 73,791 | |||||||||
Schneider National, Inc., Class B | 696 | 14,651 | |||||||||
372,054 | |||||||||||
Veterinary Diagnostics — 0.5% | |||||||||||
Elanco Animal Health, Inc.† | 36,028 | 1,155,418 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 1,568 | 83,088 | |||||||||
Water — 0.2% | |||||||||||
American Water Works Co., Inc. | 3,187 | 332,277 | |||||||||
Aqua America, Inc. | 3,119 | 113,656 | |||||||||
445,933 | |||||||||||
Water Treatment Systems — 0.1% | |||||||||||
Pentair PLC | 2,761 | 122,892 |
196
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Wireless Equipment — 0.4% | |||||||||||
Motorola Solutions, Inc. | 7,177 | $ | 1,007,794 | ||||||||
Total Common Stocks (cost $204,321,134) | 223,210,402 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.1% | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Bunge, Ltd. (cost $220,716) | 1,948 | 192,852 | |||||||||
EXCHANGE-TRADED FUNDS — 0.9% | |||||||||||
iShares Russell Midcap Value Index Fund (cost $2,153,261) | 24,725 | 2,147,613 | |||||||||
Total Long-Term Investment Securities (cost $206,695,111) | 225,550,867 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.7% | |||||||||||
Registered Investment Companies — 2.3% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.39%(1) | 1,816,225 | 1,816,225 | |||||||||
T. Rowe Price Government Reserve Fund 2.49%(1) | 3,692,997 | 3,692,997 | |||||||||
5,509,222 | |||||||||||
U.S. Government Agencies — 0.3% | |||||||||||
Federal Home Loan Bank 2.23% due 04/01/2019 | $ | 683,000 | 683,000 | ||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 2.39% due 04/23/2019(2) | 200,000 | 199,708 | |||||||||
Total Short-Term Investment Securities (cost $6,391,929) | 6,391,930 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.3% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $413,017 and collateralized by $415,000 of United States Treasury Bonds, bearing interest at 2.63%, due 02/28/2023 and having an approximate value of $422,518 | $ | 413,000 | 413,000 | ||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $292,012 and collateralized by $300,000 of United States Treasury Bonds, bearing interest at 2.13%, due 12/31/2022 and having an approximate value of $300,798 | 292,000 | $ | 292,000 | ||||||||
Total Repurchase Agreements (cost $705,000) | 705,000 | ||||||||||
TOTAL INVESTMENTS (cost $213,792,040)(3) | 100.1 | % | 232,647,797 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (283,766 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 232,364,031 |
† Non-income producing security
(1) The rate shown is the 7-day yield as of March 31, 2019.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(3) See Note 2 for cost of investments on a tax basis.
ADR — American Depositary Receipt
GDR — Global 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 | June 2019 | $ | 757,008 | $ | 760,400 | $ | 3,392 |
* 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.
197
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 221,055,679 | $ | 2,154,723 | ** | $ | — | $ | 223,210,402 | ||||||||||
Convertible Preferred Securities | 192,852 | — | — | 192,852 | |||||||||||||||
Exchange-Traded Funds | 2,147,613 | — | — | 2,147,613 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 5,509,222 | — | — | 5,509,222 | |||||||||||||||
Other Short-Term Investment Securities | — | 882,708 | — | 882,708 | |||||||||||||||
Repurchase Agreements | — | 705,000 | — | 705,000 | |||||||||||||||
Total Investments at Value | $ | 228,905,366 | $ | 3,742,431 | $ | — | $ | 232,647,797 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 3,392 | $ | — | $ | — | $ | 3,392 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no Level 3 transfers during the period.
See Notes to Financial Statements
198
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 7.1 | % | |||||
Real Estate Investment Trusts | 5.3 | ||||||
Human Resources | 4.3 | ||||||
Insurance-Property/Casualty | 3.3 | ||||||
Distribution/Wholesale | 2.2 | ||||||
Medical-Biomedical/Gene | 2.1 | ||||||
Enterprise Software/Service | 2.1 | ||||||
Real Estate Management/Services | 1.9 | ||||||
Aerospace/Defense-Equipment | 1.9 | ||||||
Medical-Drugs | 1.8 | ||||||
Building-Residential/Commercial | 1.5 | ||||||
Chemicals-Specialty | 1.5 | ||||||
Finance-Auto Loans | 1.4 | ||||||
Electronic Components-Semiconductors | 1.4 | ||||||
Savings & Loans/Thrifts | 1.4 | ||||||
B2B/E-Commerce | 1.3 | ||||||
Computer Software | 1.2 | ||||||
Building-Mobile Home/Manufactured Housing | 1.2 | ||||||
Engineering/R&D Services | 1.1 | ||||||
Athletic Equipment | 1.1 | ||||||
Retail-Restaurants | 1.1 | ||||||
Commercial Services-Finance | 1.0 | ||||||
Professional Sports | 1.0 | ||||||
Miscellaneous Manufacturing | 1.0 | ||||||
Oil-Field Services | 1.0 | ||||||
Medical Products | 1.0 | ||||||
Consumer Products-Misc. | 1.0 | ||||||
Machinery-Farming | 0.9 | ||||||
Computers-Integrated Systems | 0.9 | ||||||
Retail-Apparel/Shoe | 0.9 | ||||||
Building & Construction Products-Misc. | 0.9 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
Retail-Automobile | 0.8 | ||||||
Building Products-Wood | 0.8 | ||||||
Building & Construction-Misc. | 0.8 | ||||||
Retail-Pet Food & Supplies | 0.8 | ||||||
Paper & Related Products | 0.8 | ||||||
Electronic Components-Misc. | 0.8 | ||||||
Finance-Consumer Loans | 0.8 | ||||||
Medical Labs & Testing Services | 0.8 | ||||||
Diversified Operations/Commercial Services | 0.7 | ||||||
Applications Software | 0.7 | ||||||
Investment Management/Advisor Services | 0.7 | ||||||
Diversified Manufacturing Operations | 0.7 | ||||||
Veterinary Diagnostics | 0.7 | ||||||
Consulting Services | 0.7 | ||||||
Registered Investment Companies | 0.7 | ||||||
Semiconductor Equipment | 0.6 | ||||||
E-Commerce/Services | 0.6 | ||||||
Machinery-General Industrial | 0.6 | ||||||
Computer Services | 0.6 | ||||||
Batteries/Battery Systems | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Appliances | 0.6 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Energy-Alternate Sources | 0.5 | ||||||
Coal | 0.5 | ||||||
Home Furnishings | 0.5 | ||||||
Electric-Integrated | 0.5 | ||||||
Footwear & Related Apparel | 0.5 |
Pastoral & Agricultural | 0.5 | % | |||||
Water | 0.5 | ||||||
Rubber/Plastic Products | 0.4 | ||||||
Transport-Truck | 0.4 | ||||||
Insurance-Life/Health | 0.4 | ||||||
Electronic Parts Distribution | 0.4 | ||||||
Medical Instruments | 0.4 | ||||||
Semiconductor Components-Integrated Circuits | 0.4 | ||||||
Electronic Measurement Instruments | 0.4 | ||||||
Power Converter/Supply Equipment | 0.4 | ||||||
Oil Field Machinery & Equipment | 0.4 | ||||||
Apparel Manufacturers | 0.4 | ||||||
Transactional Software | 0.4 | ||||||
Medical-Outpatient/Home Medical | 0.3 | ||||||
Internet Content-Information/News | 0.3 | ||||||
Transport-Services | 0.3 | ||||||
Gas-Distribution | 0.3 | ||||||
Medical-HMO | 0.3 | ||||||
Schools | 0.3 | ||||||
Financial Guarantee Insurance | 0.3 | ||||||
Therapeutics | 0.3 | ||||||
Telecom Equipment-Fiber Optics | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Internet Connectivity Services | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Disposable Medical Products | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Retail-Sporting Goods | 0.3 | ||||||
Telecom Services | 0.3 | ||||||
Airlines | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Repurchase Agreements | 0.3 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Building-Heavy Construction | 0.2 | ||||||
Retail-Pawn Shops | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Publishing-Newspapers | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Exchange-Traded Funds | 0.2 | ||||||
Audio/Video Products | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Finance-Other Services | 0.2 | ||||||
Publishing-Books | 0.2 | ||||||
Medical-Generic Drugs | 0.2 | ||||||
Diagnostic Equipment | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Firearms & Ammunition | 0.2 | ||||||
Machinery-Pumps | 0.2 | ||||||
Television | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Retail-Home Furnishings | 0.2 | ||||||
Building Products-Doors & Windows | 0.2 | ||||||
Retail-Office Supplies | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Hotels/Motels | 0.2 |
199
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Metal Processors & Fabrication | 0.2 | % | |||||
Web Hosting/Design | 0.2 | ||||||
Cosmetics & Toiletries | 0.2 | ||||||
Racetracks | 0.2 | ||||||
Insurance-Multi-line | 0.2 | ||||||
Building Products-Air & Heating | 0.2 | ||||||
Environmental Consulting & Engineering | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Auto Repair Centers | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Instruments-Controls | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Office Furnishings-Original | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Medical-Nursing Homes | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Retail-Drug Store | 0.1 | ||||||
Linen Supply & Related Items | 0.1 | ||||||
Banks-Mortgage | 0.1 | ||||||
Transport-Marine | 0.1 | ||||||
Electronic Security Devices | 0.1 | ||||||
Identification Systems | 0.1 | ||||||
Poultry | 0.1 | ||||||
Lasers-System/Components | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Theaters | 0.1 | ||||||
Medical Imaging Systems | 0.1 | ||||||
Diversified Minerals | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Retail-Bookstores | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Vitamins & Nutrition Products | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Wire & Cable Products | 0.1 | ||||||
Computers-Periphery Equipment | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Storage/Warehousing | 0.1 | ||||||
Rubber-Tires | 0.1 | ||||||
Tobacco | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Golf | 0.1 | ||||||
Circuit Boards | 0.1 | ||||||
Multimedia | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Beverages-Non-alcoholic | 0.1 | ||||||
Physical Therapy/Rehabilitation Centers | 0.1 |
Transport-Air Freight | 0.1 | % | |||||
X-Ray Equipment | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Computers-Other | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Non-Ferrous Metals | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
99.4 | % |
* Calculated as a percentage of net assets
200
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.2% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Haynes International, Inc. | 1,475 | $ | 48,424 | ||||||||
Aerospace/Defense — 0.1% | |||||||||||
AeroVironment, Inc.† | 2,510 | 171,709 | |||||||||
National Presto Industries, Inc. | 592 | 64,262 | |||||||||
235,971 | |||||||||||
Aerospace/Defense-Equipment — 1.9% | |||||||||||
AAR Corp. | 3,846 | 125,033 | |||||||||
Aerojet Rocketdyne Holdings, Inc.† | 8,499 | 301,969 | |||||||||
Barnes Group, Inc. | 5,568 | 286,251 | |||||||||
HEICO Corp. | 35,749 | 3,391,508 | |||||||||
Kaman Corp. | 3,284 | 191,917 | |||||||||
Moog, Inc., Class A | 5,423 | 471,530 | |||||||||
Triumph Group, Inc. | 5,877 | 112,016 | |||||||||
4,880,224 | |||||||||||
Agricultural Operations — 0.0% | |||||||||||
Andersons, Inc. | 3,102 | 99,977 | |||||||||
Airlines — 0.3% | |||||||||||
Allegiant Travel Co. | 1,516 | 196,277 | |||||||||
Hawaiian Holdings, Inc. | 5,706 | 149,782 | |||||||||
SkyWest, Inc. | 6,085 | 330,355 | |||||||||
676,414 | |||||||||||
Apparel Manufacturers — 0.4% | |||||||||||
Deckers Outdoor Corp.† | 5,400 | 793,746 | |||||||||
Oxford Industries, Inc. | 1,998 | 150,369 | |||||||||
944,115 | |||||||||||
Appliances — 0.6% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 2,200 | 47,212 | |||||||||
iRobot Corp.† | 12,170 | 1,432,287 | |||||||||
1,479,499 | |||||||||||
Applications Software — 0.7% | |||||||||||
Brightcove, Inc.† | 18,900 | 158,949 | |||||||||
Ebix, Inc. | 2,592 | 127,967 | |||||||||
PDF Solutions, Inc.† | 3,271 | 40,397 | |||||||||
RealPage, Inc.† | 22,603 | 1,371,776 | |||||||||
Telenav, Inc.† | 28,600 | 173,602 | |||||||||
1,872,691 | |||||||||||
Athletic Equipment — 1.1% | |||||||||||
Fox Factory Holding Corp.† | 40,887 | 2,857,592 | |||||||||
Nautilus, Inc.† | 3,487 | 19,388 | |||||||||
Vista Outdoor, Inc.† | 6,787 | 54,364 | |||||||||
2,931,344 | |||||||||||
Audio/Video Products — 0.2% | |||||||||||
Daktronics, Inc. | 4,668 | 34,777 | |||||||||
Sonos, Inc.† | 47,500 | 488,775 | |||||||||
Universal Electronics, Inc.† | 1,627 | 60,443 | |||||||||
583,995 | |||||||||||
Auto Repair Centers — 0.1% | |||||||||||
Monro, Inc. | 3,901 | 337,515 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 45,899 | 621,931 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
American Axle & Manufacturing Holdings, Inc.† | 13,167 | $ | 188,420 | ||||||||
Cooper-Standard Holdings, Inc.† | 1,911 | 89,740 | |||||||||
Garrett Motion, Inc.† | 8,723 | 128,490 | |||||||||
Gentherm, Inc.† | 3,966 | 146,187 | |||||||||
Meritor, Inc.† | 9,100 | 185,185 | |||||||||
Methode Electronics, Inc. | 4,359 | 125,452 | |||||||||
Superior Industries International, Inc. | 2,713 | 12,914 | |||||||||
Tenneco, Inc., Class A | 26,600 | 589,456 | |||||||||
Titan International, Inc. | 5,931 | 35,408 | |||||||||
1,501,252 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.2% | |||||||||||
Douglas Dynamics, Inc. | 12,800 | 487,296 | |||||||||
Motorcar Parts of America, Inc.† | 2,217 | 41,835 | |||||||||
Standard Motor Products, Inc. | 2,379 | 116,809 | |||||||||
645,940 | |||||||||||
B2B/E-Commerce — 1.3% | |||||||||||
ePlus, Inc.† | 38,149 | 3,377,712 | |||||||||
Banks-Commercial — 7.1% | |||||||||||
1st Source Corp. | 2,740 | 123,053 | |||||||||
Allegiance Bancshares, Inc.† | 21,160 | 713,515 | |||||||||
Ameris Bancorp | 4,702 | 161,514 | |||||||||
BancFirst Corp. | 8,400 | 438,060 | |||||||||
BancorpSouth Bank | 11,300 | 318,886 | |||||||||
Banner Corp. | 21,882 | 1,185,348 | |||||||||
Cadence BanCorp | 700 | 12,985 | |||||||||
Cathay General Bancorp | 4,400 | 149,204 | |||||||||
Central Pacific Financial Corp. | 17,101 | 493,193 | |||||||||
Central Valley Community Bancorp | 1,000 | 19,550 | |||||||||
Citizens & Northern Corp. | 1,100 | 27,544 | |||||||||
City Holding Co. | 4,757 | 362,436 | |||||||||
Columbia Banking System, Inc. | 19,534 | 638,567 | |||||||||
Community Bank System, Inc. | 6,048 | 361,489 | |||||||||
Customers Bancorp, Inc.† | 3,370 | 61,705 | |||||||||
CVB Financial Corp. | 30,341 | 638,678 | |||||||||
Eagle Bancorp, Inc.† | 3,731 | 187,296 | |||||||||
East West Bancorp, Inc. | 155 | 7,435 | |||||||||
Enterprise Financial Services Corp. | 2,600 | 106,002 | |||||||||
Fidelity Southern Corp. | 2,604 | 71,324 | |||||||||
First BanCorp./Puerto Rico | 25,601 | 293,387 | |||||||||
First Commonwealth Financial Corp. | 30,124 | 379,562 | |||||||||
First Community Bankshares, Inc. | 1,200 | 39,768 | |||||||||
First Financial Bancorp | 11,595 | 278,976 | |||||||||
First Hawaiian, Inc. | 4,000 | 104,200 | |||||||||
First Interstate BancSystem, Inc., Class A | 2,800 | 111,496 | |||||||||
First Midwest Bancorp, Inc. | 12,592 | 257,632 | |||||||||
Franklin Financial Network, Inc. | 1,439 | 41,745 | |||||||||
Glacier Bancorp, Inc. | 9,961 | 399,137 | |||||||||
Great Western Bancorp, Inc. | 8,110 | 256,195 | |||||||||
Hanmi Financial Corp. | 3,644 | 77,508 | |||||||||
Heritage Financial Corp. | 3,912 | 117,908 | |||||||||
Home BancShares, Inc. | 69,790 | 1,226,210 | |||||||||
HomeStreet, Inc.† | 3,181 | 83,819 | |||||||||
Hope Bancorp, Inc. | 23,237 | 303,940 |
201
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Independent Bank Corp./ Massachusetts | 4,646 | $ | 376,373 | ||||||||
Independent Bank Corp./Michigan | 5,300 | 113,950 | |||||||||
LegacyTexas Financial Group, Inc. | 49,106 | 1,836,073 | |||||||||
NBT Bancorp, Inc. | 5,153 | 185,560 | |||||||||
OFG Bancorp | 6,738 | 133,345 | |||||||||
Old National Bancorp | 17,752 | 291,133 | |||||||||
Opus Bank | 2,546 | 50,411 | |||||||||
PacWest Bancorp | 3,000 | 112,830 | |||||||||
Preferred Bank | 1,643 | 73,886 | |||||||||
S&T Bancorp, Inc. | 4,079 | 161,243 | |||||||||
Seacoast Banking Corp. of Florida† | 6,048 | 159,365 | |||||||||
ServisFirst Bancshares, Inc. | 5,420 | 182,979 | |||||||||
Simmons First National Corp., Class A | 16,155 | 395,474 | |||||||||
South State Corp. | 700 | 47,838 | |||||||||
Southside Bancshares, Inc. | 3,732 | 124,014 | |||||||||
TCF Financial Corp. | 11,400 | 235,866 | |||||||||
Tompkins Financial Corp. | 1,462 | 111,214 | |||||||||
Triumph Bancorp, Inc.† | 2,895 | 85,084 | |||||||||
TrustCo Bank Corp. | 11,401 | 88,472 | |||||||||
Trustmark Corp. | 27,700 | 931,551 | |||||||||
UMB Financial Corp. | 2,700 | 172,908 | |||||||||
Union Bankshares Corp. | 2,263 | 73,163 | |||||||||
United Bankshares, Inc. | 8,100 | 293,544 | |||||||||
United Community Banks, Inc. | 9,340 | 232,846 | |||||||||
Veritex Holdings, Inc. | 40,862 | 989,678 | |||||||||
Webster Financial Corp. | 2,600 | 131,742 | |||||||||
West Bancorporation, Inc. | 1,850 | 38,258 | |||||||||
Westamerica Bancorporation | 13,769 | 850,924 | |||||||||
18,528,991 | |||||||||||
Banks-Mortgage — 0.1% | |||||||||||
Flagstar Bancorp, Inc. | 3,392 | 111,664 | |||||||||
Walker & Dunlop, Inc. | 3,281 | 167,036 | |||||||||
278,700 | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
National Bank Holdings Corp., Class A | 4,055 | 134,869 | |||||||||
Batteries/Battery Systems — 0.6% | |||||||||||
EnerSys | 23,422 | 1,526,178 | |||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Coca-Cola Consolidated, Inc. | 547 | 157,443 | |||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
MGP Ingredients, Inc. | 1,499 | 115,648 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Hemisphere Media Group, Inc.† | 12,000 | 169,200 | |||||||||
Building & Construction Products-Misc. — 0.9% | |||||||||||
American Woodmark Corp.† | 1,769 | 146,173 | |||||||||
Gibraltar Industries, Inc.† | 3,782 | 153,587 | |||||||||
Louisiana-Pacific Corp. | 8,000 | 195,040 | |||||||||
Patrick Industries, Inc.† | 32,119 | 1,455,633 | |||||||||
PGT Innovations, Inc.† | 6,845 | 94,803 | |||||||||
Simpson Manufacturing Co., Inc. | 4,756 | 281,888 | |||||||||
2,327,124 |
Security Description | Shares | Value (Note 2) | |||||||||
Building & Construction-Misc. — 0.8% | |||||||||||
Comfort Systems USA, Inc. | 8,745 | $ | 458,151 | ||||||||
EMCOR Group, Inc. | 16,400 | 1,198,512 | |||||||||
MYR Group, Inc.† | 7,452 | 258,063 | |||||||||
TopBuild Corp.† | 4,097 | 265,567 | |||||||||
2,180,293 | |||||||||||
Building Products-Air & Heating — 0.2% | |||||||||||
AAON, Inc. | 4,778 | 220,648 | |||||||||
SPX Corp.† | 5,126 | 178,334 | |||||||||
398,982 | |||||||||||
Building Products-Cement — 0.2% | |||||||||||
Continental Building Products, Inc.† | 14,900 | 369,371 | |||||||||
US Concrete, Inc.† | 1,864 | 77,207 | |||||||||
446,578 | |||||||||||
Building Products-Doors & Windows — 0.2% | |||||||||||
Apogee Enterprises, Inc. | 3,203 | 120,081 | |||||||||
Griffon Corp. | 4,078 | 75,361 | |||||||||
Masonite International Corp.† | 5,200 | 259,428 | |||||||||
454,870 | |||||||||||
Building Products-Wood — 0.8% | |||||||||||
Boise Cascade Co. | 9,462 | 253,203 | |||||||||
Universal Forest Products, Inc. | 64,756 | 1,935,557 | |||||||||
2,188,760 | |||||||||||
Building-Heavy Construction — 0.2% | |||||||||||
Aegion Corp.† | 3,745 | 65,800 | |||||||||
Arcosa, Inc. | 5,731 | 175,082 | |||||||||
MasTec, Inc.† | 5,900 | 283,790 | |||||||||
Orion Group Holdings, Inc.† | 3,414 | 9,969 | |||||||||
Sterling Construction Co., Inc.† | 8,200 | 102,664 | |||||||||
637,305 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ABM Industries, Inc. | 10,603 | 385,419 | |||||||||
Building-Mobile Home/Manufactured Housing — 1.2% | |||||||||||
Cavco Industries, Inc.† | 7,395 | 869,135 | |||||||||
LCI Industries | 28,732 | 2,207,192 | |||||||||
Winnebago Industries, Inc. | 3,434 | 106,969 | |||||||||
3,183,296 | |||||||||||
Building-Residential/Commercial — 1.5% | |||||||||||
Installed Building Products, Inc.† | 34,982 | 1,696,627 | |||||||||
KB Home | 46,800 | 1,131,156 | |||||||||
LGI Homes, Inc.† | 2,194 | 132,166 | |||||||||
M/I Homes, Inc.† | 3,243 | 86,329 | |||||||||
MDC Holdings, Inc. | 5,783 | 168,054 | |||||||||
Meritage Homes Corp.† | 4,224 | 188,855 | |||||||||
Taylor Morrison Home Corp., Class A† | 23,100 | 410,025 | |||||||||
TRI Pointe Group, Inc.† | 6,400 | 80,896 | |||||||||
William Lyon Homes, Class A† | 3,852 | 59,205 | |||||||||
3,953,313 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
WideOpenWest, Inc.† | 23,200 | 211,120 | |||||||||
Capacitors — 0.0% | |||||||||||
KEMET Corp. | 6,810 | 115,566 |
202
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 7,400 | $ | 202,464 | ||||||||
Cellular Telecom — 0.1% | |||||||||||
8x8, Inc.† | 11,273 | 227,715 | |||||||||
ATN International, Inc. | 1,282 | 72,292 | |||||||||
300,007 | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
AdvanSix, Inc.† | 3,421 | 97,738 | |||||||||
Innophos Holdings, Inc. | 2,311 | 69,653 | |||||||||
Innospec, Inc. | 2,879 | 239,965 | |||||||||
Koppers Holdings, Inc.† | 2,422 | 62,923 | |||||||||
Quaker Chemical Corp. | 1,572 | 314,919 | |||||||||
785,198 | |||||||||||
Chemicals-Fibers — 0.0% | |||||||||||
Rayonier Advanced Materials, Inc. | 5,807 | 78,743 | |||||||||
Chemicals-Other — 0.0% | |||||||||||
American Vanguard Corp. | 3,144 | 54,140 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
A. Schulman, Inc. CVR†(1) | 3,640 | 1,086 | |||||||||
PolyOne Corp. | 2,100 | 61,551 | |||||||||
62,637 | |||||||||||
Chemicals-Specialty — 1.5% | |||||||||||
Balchem Corp. | 25,406 | 2,357,677 | |||||||||
Ferro Corp.† | 9,812 | 185,741 | |||||||||
H.B. Fuller Co. | 5,993 | 291,500 | |||||||||
Hawkins, Inc. | 1,133 | 41,728 | |||||||||
Kraton Corp.† | 3,762 | 121,061 | |||||||||
Minerals Technologies, Inc. | 3,700 | 217,523 | |||||||||
OMNOVA Solutions, Inc.† | 15,900 | 111,618 | |||||||||
Rogers Corp.† | 2,173 | 345,246 | |||||||||
Stepan Co. | 2,388 | 208,998 | |||||||||
3,881,092 | |||||||||||
Circuit Boards — 0.1% | |||||||||||
Park Electrochemical Corp. | 2,270 | 35,639 | |||||||||
TTM Technologies, Inc.† | 10,948 | 128,420 | |||||||||
164,059 | |||||||||||
Coal — 0.5% | |||||||||||
Arch Coal, Inc., Class A | 4,300 | 392,461 | |||||||||
CONSOL Energy, Inc.† | 3,233 | 110,633 | |||||||||
NACCO Industries, Inc., Class A | 2,885 | 110,265 | |||||||||
Peabody Energy Corp. | 8,500 | 240,805 | |||||||||
SunCoke Energy, Inc.† | 7,822 | 66,409 | |||||||||
Warrior Met Coal, Inc. | 14,500 | 440,800 | |||||||||
1,361,373 | |||||||||||
Commercial Services — 0.3% | |||||||||||
Care.com, Inc.† | 3,073 | 60,723 | |||||||||
Forrester Research, Inc. | 1,205 | 58,262 | |||||||||
HMS Holdings Corp.† | 10,049 | 297,551 | |||||||||
Medifast, Inc. | 2,099 | 267,727 | |||||||||
Team, Inc.† | 3,544 | 62,020 | |||||||||
746,283 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 1.0% | |||||||||||
Cardtronics PLC, Class A† | 4,416 | $ | 157,121 | ||||||||
Euronet Worldwide, Inc.† | 1,000 | 142,590 | |||||||||
EVERTEC, Inc. | 7,080 | 196,895 | |||||||||
Green Dot Corp., Class A† | 2,400 | 145,560 | |||||||||
Travelport Worldwide, Ltd. | 15,463 | 243,233 | |||||||||
WEX, Inc.† | 9,578 | 1,838,880 | |||||||||
2,724,279 | |||||||||||
Computer Aided Design — 0.3% | |||||||||||
Altair Engineering, Inc., Class A† | 3,800 | 139,878 | |||||||||
Aspen Technology, Inc.† | 5,050 | 526,513 | |||||||||
666,391 | |||||||||||
Computer Data Security — 0.3% | |||||||||||
OneSpan, Inc.† | 3,697 | 71,056 | |||||||||
Qualys, Inc.† | 7,791 | 644,628 | |||||||||
715,684 | |||||||||||
Computer Graphics — 0.0% | |||||||||||
Monotype Imaging Holdings, Inc. | 4,841 | 96,287 | |||||||||
Computer Services — 0.6% | |||||||||||
CACI International, Inc., Class A† | 1,000 | 182,020 | |||||||||
ExlService Holdings, Inc.† | 4,045 | 242,781 | |||||||||
Insight Enterprises, Inc.† | 4,184 | 230,371 | |||||||||
Science Applications International Corp. | 6,050 | 465,547 | |||||||||
Sykes Enterprises, Inc.† | 4,689 | 132,605 | |||||||||
TTEC Holdings, Inc. | 1,633 | 59,163 | |||||||||
Unisys Corp.† | 8,013 | 93,512 | |||||||||
Virtusa Corp.† | 3,244 | 173,392 | |||||||||
1,579,391 | |||||||||||
Computer Software — 1.2% | |||||||||||
Box, Inc., Class A† | 3,900 | 75,309 | |||||||||
Cloudera, Inc.† | 23,800 | 260,372 | |||||||||
Envestnet, Inc.† | 37,669 | 2,463,176 | |||||||||
j2 Global, Inc. | 2,300 | 199,180 | |||||||||
TiVo Corp. | 23,607 | 220,017 | |||||||||
3,218,054 | |||||||||||
Computers-Integrated Systems — 0.9% | |||||||||||
Agilysys, Inc.† | 2,080 | 44,034 | |||||||||
Cray, Inc.† | 4,819 | 125,535 | |||||||||
Cubic Corp. | 18,164 | 1,021,543 | |||||||||
Diebold Nixdorf, Inc.† | 9,023 | 99,885 | |||||||||
Mercury Systems, Inc.† | 5,711 | 365,961 | |||||||||
MTS Systems Corp. | 2,110 | 114,910 | |||||||||
NetScout Systems, Inc.† | 24,000 | 673,680 | |||||||||
2,445,548 | |||||||||||
Computers-Other — 0.1% | |||||||||||
3D Systems Corp.† | 13,474 | 144,980 | |||||||||
Computers-Periphery Equipment — 0.1% | |||||||||||
Electronics For Imaging, Inc.† | 6,725 | 180,903 | |||||||||
Consulting Services — 0.7% | |||||||||||
FTI Consulting, Inc.† | 4,462 | 342,771 | |||||||||
Huron Consulting Group, Inc.† | 11,000 | 519,420 | |||||||||
Kelly Services, Inc., Class A | 3,675 | 81,071 | |||||||||
Navigant Consulting, Inc. | 44,675 | 869,822 | |||||||||
1,813,084 |
203
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Consumer Products-Misc. — 1.0% | |||||||||||
Central Garden & Pet Co.† | 1,217 | $ | 31,107 | ||||||||
Central Garden & Pet Co., Class A† | 4,835 | 112,414 | |||||||||
Helen of Troy, Ltd.† | 17,364 | 2,013,529 | |||||||||
Quanex Building Products Corp. | 3,924 | 62,352 | |||||||||
WD-40 Co. | 1,629 | 276,018 | |||||||||
2,495,420 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging Holding Co. | 9,700 | 122,511 | |||||||||
Multi-Color Corp. | 1,644 | 82,019 | |||||||||
204,530 | |||||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
Avon Products, Inc.† | 52,138 | 153,286 | |||||||||
Edgewell Personal Care Co.† | 2,400 | 105,336 | |||||||||
Inter Parfums, Inc. | 2,038 | 154,623 | |||||||||
413,245 | |||||||||||
Data Processing/Management — 0.2% | |||||||||||
Bottomline Technologies, Inc.† | 4,415 | 221,147 | |||||||||
CommVault Systems, Inc.† | 3,500 | 226,590 | |||||||||
CSG Systems International, Inc. | 3,887 | 164,420 | |||||||||
612,157 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Patterson Cos., Inc. | 7,400 | 161,690 | |||||||||
Diagnostic Equipment — 0.2% | |||||||||||
BioTelemetry, Inc.† | 3,961 | 248,038 | |||||||||
Repligen Corp.† | 4,607 | 272,181 | |||||||||
520,219 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
Meridian Bioscience, Inc. | 16,507 | 290,688 | |||||||||
OraSure Technologies, Inc.† | 7,267 | 81,027 | |||||||||
371,715 | |||||||||||
Disposable Medical Products — 0.3% | |||||||||||
CONMED Corp. | 3,052 | 253,865 | |||||||||
Merit Medical Systems, Inc.† | 6,470 | 400,040 | |||||||||
Utah Medical Products, Inc. | 1,000 | 88,250 | |||||||||
742,155 | |||||||||||
Distribution/Wholesale — 2.2% | |||||||||||
Anixter International, Inc.† | 3,393 | 190,381 | |||||||||
Core-Mark Holding Co., Inc. | 10,206 | 378,949 | |||||||||
Dorman Products, Inc.† | 34,664 | 3,053,552 | |||||||||
Fossil Group, Inc.† | 27,378 | 375,626 | |||||||||
G-III Apparel Group, Ltd.† | 4,944 | 197,562 | |||||||||
H&E Equipment Services, Inc. | 43,112 | 1,082,542 | |||||||||
ScanSource, Inc.† | 3,029 | 108,499 | |||||||||
Titan Machinery, Inc.† | 8,900 | 138,484 | |||||||||
Veritiv Corp.† | 5,199 | 136,838 | |||||||||
5,662,433 | |||||||||||
Diversified Manufacturing Operations — 0.7% | |||||||||||
Actuant Corp., Class A | 18,203 | 443,607 | |||||||||
EnPro Industries, Inc. | 2,449 | 157,838 | |||||||||
Fabrinet† | 9,442 | 494,383 | |||||||||
Federal Signal Corp. | 7,088 | 184,217 | |||||||||
Harsco Corp.† | 17,274 | 348,244 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Manufacturing Operations (continued) | |||||||||||
LSB Industries, Inc.† | 2,410 | $ | 15,038 | ||||||||
Lydall, Inc.† | 2,068 | 48,515 | |||||||||
Standex International Corp. | 1,491 | 109,440 | |||||||||
Tredegar Corp. | 3,010 | 48,582 | |||||||||
1,849,864 | |||||||||||
Diversified Minerals — 0.1% | |||||||||||
Livent Corp.† | 17,205 | 211,277 | |||||||||
Diversified Operations/Commercial Services — 0.7% | |||||||||||
Colliers International Group, Inc. | 27,023 | 1,804,055 | |||||||||
Viad Corp. | 2,381 | 134,027 | |||||||||
1,938,082 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Assertio Therapeutics, Inc.† | 7,535 | 38,202 | |||||||||
E-Commerce/Services — 0.6% | |||||||||||
Groupon, Inc.† | 27,000 | 95,850 | |||||||||
Liberty Expedia Holdings, Inc., Class A† | 23,400 | 1,001,520 | |||||||||
Shutterfly, Inc.† | 4,015 | 163,170 | |||||||||
Shutterstock, Inc. | 2,191 | 102,166 | |||||||||
Stamps.com, Inc.† | 1,942 | 158,098 | |||||||||
Upwork, Inc.† | 6,300 | 120,582 | |||||||||
1,641,386 | |||||||||||
E-Marketing/Info — 0.1% | |||||||||||
Liquidity Services, Inc.† | 3,140 | 24,209 | |||||||||
New Media Investment Group, Inc. | 13,018 | 136,689 | |||||||||
QuinStreet, Inc.† | 4,578 | 61,300 | |||||||||
222,198 | |||||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 21,310 | 583,681 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 1,900 | 37,297 | |||||||||
Electric-Distribution — 0.2% | |||||||||||
Portland General Electric Co. | 9,300 | 482,112 | |||||||||
Spark Energy, Inc., Class A | 13,900 | 123,849 | |||||||||
605,961 | |||||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 119,258 | 300,530 | |||||||||
Electric-Integrated — 0.5% | |||||||||||
Avista Corp. | 7,744 | 314,561 | |||||||||
Black Hills Corp. | 2,500 | 185,175 | |||||||||
El Paso Electric Co. | 10,101 | 594,141 | |||||||||
PNM Resources, Inc. | 3,900 | 184,626 | |||||||||
1,278,503 | |||||||||||
Electronic Components-Misc. — 0.8% | |||||||||||
Advanced Energy Industries, Inc.† | 4,502 | 223,659 | |||||||||
Applied Optoelectronics, Inc.† | 2,226 | 27,157 | |||||||||
Bel Fuse, Inc., Class B | 2,287 | 57,815 | |||||||||
Benchmark Electronics, Inc. | 12,891 | 338,389 | |||||||||
Comtech Telecommunications Corp. | 2,817 | 65,411 | |||||||||
Knowles Corp.† | 10,632 | 187,442 | |||||||||
OSI Systems, Inc.† | 7,681 | 672,856 | |||||||||
Plexus Corp.† | 3,643 | 222,041 | |||||||||
Sanmina Corp.† | 8,064 | 232,647 | |||||||||
SMART Global Holdings, Inc.† | 1,481 | 28,435 | |||||||||
2,055,852 |
204
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Semiconductors — 1.4% | |||||||||||
Amkor Technology, Inc.† | 35,500 | $ | 303,170 | ||||||||
CEVA, Inc.† | 2,581 | 69,584 | |||||||||
CTS Corp. | 3,858 | 113,309 | |||||||||
Diodes, Inc.† | 4,817 | 167,150 | |||||||||
DSP Group, Inc.† | 2,276 | 32,023 | |||||||||
Kopin Corp.† | 7,908 | 10,597 | |||||||||
Photronics, Inc.† | 7,901 | 74,664 | |||||||||
Rambus, Inc.† | 103,550 | 1,082,098 | |||||||||
Rudolph Technologies, Inc.† | 3,642 | 83,038 | |||||||||
Semtech Corp.† | 7,755 | 394,807 | |||||||||
Synaptics, Inc.† | 12,200 | 484,950 | |||||||||
Xperi Corp. | 38,533 | 901,672 | |||||||||
3,717,062 | |||||||||||
Electronic Measurement Instruments — 0.4% | |||||||||||
Badger Meter, Inc. | 3,431 | 190,901 | |||||||||
FARO Technologies, Inc.† | 2,033 | 89,269 | |||||||||
Itron, Inc.† | 3,960 | 184,734 | |||||||||
Stoneridge, Inc.† | 17,200 | 496,392 | |||||||||
961,296 | |||||||||||
Electronic Parts Distribution — 0.4% | |||||||||||
Tech Data Corp.† | 9,850 | 1,008,738 | |||||||||
Electronic Security Devices — 0.1% | |||||||||||
Alarm.com Holdings, Inc.† | 4,145 | 269,011 | |||||||||
Energy-Alternate Sources — 0.5% | |||||||||||
FutureFuel Corp. | 13,141 | 176,090 | |||||||||
Green Plains, Inc. | 4,546 | 75,827 | |||||||||
Renewable Energy Group, Inc.† | 19,596 | 430,328 | |||||||||
REX American Resources Corp.† | 6,446 | 519,612 | |||||||||
SolarEdge Technologies, Inc.† | 5,234 | 197,217 | |||||||||
1,399,074 | |||||||||||
Engineering/R&D Services — 1.1% | |||||||||||
Exponent, Inc. | 49,574 | 2,861,411 | |||||||||
VSE Corp. | 3,100 | 97,898 | |||||||||
2,959,309 | |||||||||||
Engines-Internal Combustion — 0.0% | |||||||||||
Briggs & Stratton Corp. | 4,962 | 58,700 | |||||||||
Enterprise Software/Service — 2.1% | |||||||||||
Blackline, Inc.† | 2,900 | 134,328 | |||||||||
Domo, Inc., Class B† | 4,600 | 185,518 | |||||||||
Donnelley Financial Solutions, Inc.† | 10,121 | 150,600 | |||||||||
LivePerson, Inc.† | 6,932 | 201,167 | |||||||||
Manhattan Associates, Inc.† | 2,300 | 126,753 | |||||||||
ManTech International Corp., Class A | 3,133 | 169,245 | |||||||||
MicroStrategy, Inc., Class A† | 1,871 | 269,892 | |||||||||
Omnicell, Inc.† | 17,806 | 1,439,437 | |||||||||
Progress Software Corp. | 20,621 | 914,954 | |||||||||
SPS Commerce, Inc.† | 4,493 | 476,527 | |||||||||
Tyler Technologies, Inc.† | 7,091 | 1,449,400 | |||||||||
5,517,821 | |||||||||||
Environmental Consulting & Engineering — 0.1% | |||||||||||
Tetra Tech, Inc. | 6,507 | 387,752 |
Security Description | Shares | Value (Note 2) | |||||||||
Filtration/Separation Products — 0.1% | |||||||||||
ESCO Technologies, Inc. | 3,054 | $ | 204,710 | ||||||||
Finance-Auto Loans — 1.4% | |||||||||||
Credit Acceptance Corp.† | 8,253 | 3,729,778 | |||||||||
Finance-Consumer Loans — 0.8% | |||||||||||
Encore Capital Group, Inc.† | 3,021 | 82,262 | |||||||||
Enova International, Inc.† | 3,947 | 90,071 | |||||||||
Nelnet, Inc., Class A | 650 | 35,795 | |||||||||
PRA Group, Inc.† | 63,815 | 1,710,880 | |||||||||
World Acceptance Corp.† | 771 | 90,307 | |||||||||
2,009,315 | |||||||||||
Finance-Credit Card — 0.0% | |||||||||||
Meta Financial Group, Inc. | 3,252 | 63,999 | |||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Cowen, Inc.† | 3,700 | 53,613 | |||||||||
Diamond Hill Investment Group, Inc. | 5,722 | 801,080 | |||||||||
Greenhill & Co., Inc. | 2,073 | 44,590 | |||||||||
Houlihan Lokey, Inc. | 7,400 | 339,290 | |||||||||
INTL. FCStone, Inc.† | 1,889 | 73,218 | |||||||||
Piper Jaffray Cos. | 1,725 | 125,632 | |||||||||
1,437,423 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
Deluxe Corp. | 5,500 | 240,460 | |||||||||
WageWorks, Inc.† | 8,551 | 322,886 | |||||||||
563,346 | |||||||||||
Financial Guarantee Insurance — 0.3% | |||||||||||
MBIA, Inc.† | 26,800 | 255,136 | |||||||||
MGIC Investment Corp.† | 11,600 | 153,004 | |||||||||
NMI Holdings, Inc., Class A† | 13,228 | 342,208 | |||||||||
Radian Group, Inc. | 3,000 | 62,220 | |||||||||
812,568 | |||||||||||
Firearms & Ammunition — 0.2% | |||||||||||
Axon Enterprise, Inc.† | 6,933 | 377,225 | |||||||||
Sturm Ruger & Co., Inc. | 2,057 | 109,062 | |||||||||
486,287 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 1,780 | 43,788 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 24,177 | 73,256 | |||||||||
Food-Misc./Diversified — 0.3% | |||||||||||
B&G Foods, Inc. | 7,735 | 188,889 | |||||||||
Cal-Maine Foods, Inc. | 3,564 | 159,061 | |||||||||
J&J Snack Foods Corp. | 1,771 | 281,306 | |||||||||
John B. Sanfilippo & Son, Inc. | 1,036 | 74,457 | |||||||||
703,713 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Calavo Growers, Inc. | 1,843 | 154,536 | |||||||||
Chefs' Warehouse, Inc.† | 2,720 | 84,456 | |||||||||
SpartanNash Co. | 4,237 | 67,241 | |||||||||
United Natural Foods, Inc.† | 6,047 | 79,941 | |||||||||
386,174 |
205
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Footwear & Related Apparel — 0.5% | |||||||||||
Crocs, Inc.† | 21,265 | $ | 547,574 | ||||||||
Steven Madden, Ltd. | 9,213 | 311,768 | |||||||||
Weyco Group, Inc. | 600 | 18,576 | |||||||||
Wolverine World Wide, Inc. | 10,785 | 385,348 | |||||||||
1,263,266 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Matthews International Corp., Class A | 3,756 | 138,784 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Monarch Casino & Resort, Inc.† | 1,394 | 61,224 | |||||||||
Gas-Distribution — 0.3% | |||||||||||
Northwest Natural Holding Co. | 4,705 | 308,789 | |||||||||
South Jersey Industries, Inc. | 10,879 | 348,890 | |||||||||
Southwest Gas Holdings, Inc. | 2,700 | 222,102 | |||||||||
879,781 | |||||||||||
Golf — 0.1% | |||||||||||
Callaway Golf Co. | 10,468 | 166,755 | |||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
US Ecology, Inc. | 2,601 | 145,604 | |||||||||
Health Care Cost Containment — 0.0% | |||||||||||
CorVel Corp.† | 1,076 | 70,198 | |||||||||
Home Furnishings — 0.5% | |||||||||||
Ethan Allen Interiors, Inc. | 2,913 | 55,726 | |||||||||
Hooker Furniture Corp. | 18,344 | 528,857 | |||||||||
Sleep Number Corp.† | 14,797 | 695,459 | |||||||||
1,280,042 | |||||||||||
Hotels/Motels — 0.2% | |||||||||||
Belmond, Ltd., Class A† | 10,569 | 263,485 | |||||||||
Marcus Corp. | 2,538 | 101,647 | |||||||||
Red Lion Hotels Corp.† | 9,700 | 78,376 | |||||||||
443,508 | |||||||||||
Human Resources — 4.3% | |||||||||||
AMN Healthcare Services, Inc.† | 51,028 | 2,402,908 | |||||||||
ASGN, Inc.† | 41,474 | 2,633,184 | |||||||||
Barrett Business Services, Inc. | 8,996 | 695,661 | |||||||||
Cross Country Healthcare, Inc.† | 25,159 | 176,868 | |||||||||
Heidrick & Struggles International, Inc. | 3,437 | 131,740 | |||||||||
Insperity, Inc. | 29,050 | 3,592,323 | |||||||||
Kforce, Inc. | 7,200 | 252,864 | |||||||||
Korn Ferry | 6,679 | 299,086 | |||||||||
Resources Connection, Inc. | 3,514 | 58,121 | |||||||||
TrueBlue, Inc.† | 13,023 | 307,864 | |||||||||
Willdan Group, Inc.† | 19,902 | 737,767 | |||||||||
11,288,386 | |||||||||||
Identification Systems — 0.1% | |||||||||||
Brady Corp., Class A | 5,789 | 268,667 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
Clearway Energy, Inc., Class A | 4,900 | 71,246 | |||||||||
Clearway Energy, Inc., Class C | 10,700 | 161,677 | |||||||||
232,923 |
Security Description | Shares | Value (Note 2) | |||||||||
Industrial Audio & Video Products — 0.0% | |||||||||||
Turtle Beach Corp.† | 4,300 | $ | 48,848 | ||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Ichor Holdings, Ltd.† | 2,620 | 59,160 | |||||||||
Instruments-Controls — 0.1% | |||||||||||
Control4 Corp.† | 3,125 | 52,906 | |||||||||
Watts Water Technologies, Inc., Class A | 3,255 | 263,069 | |||||||||
315,975 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
eHealth, Inc.† | 2,162 | 134,779 | |||||||||
Insurance-Life/Health — 0.4% | |||||||||||
American Equity Investment Life Holding Co. | 11,565 | 312,486 | |||||||||
CNO Financial Group, Inc. | 13,200 | 213,576 | |||||||||
Primerica, Inc. | 4,200 | 513,030 | |||||||||
1,039,092 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Horace Mann Educators Corp. | 4,830 | 170,064 | |||||||||
Kemper Corp. | 1,600 | 121,824 | |||||||||
United Fire Group, Inc. | 2,515 | 109,931 | |||||||||
401,819 | |||||||||||
Insurance-Property/Casualty — 3.3% | |||||||||||
Ambac Financial Group, Inc.† | 6,143 | 111,311 | |||||||||
AMERISAFE, Inc. | 23,356 | 1,387,346 | |||||||||
Employers Holdings, Inc. | 3,869 | 155,186 | |||||||||
First American Financial Corp. | 1,800 | 92,700 | |||||||||
HCI Group, Inc. | 799 | 34,141 | |||||||||
James River Group Holdings, Ltd. | 3,543 | 142,003 | |||||||||
Kinsale Capital Group, Inc. | 4,300 | 294,851 | |||||||||
National General Holdings Corp. | 80,871 | 1,919,069 | |||||||||
Navigators Group, Inc. | 4,241 | 296,319 | |||||||||
ProAssurance Corp. | 9,621 | 332,983 | |||||||||
RLI Corp. | 39,952 | 2,866,556 | |||||||||
Safety Insurance Group, Inc. | 1,711 | 149,096 | |||||||||
Selective Insurance Group, Inc. | 6,949 | 439,733 | |||||||||
Stewart Information Services Corp. | 2,796 | 119,361 | |||||||||
United Insurance Holdings Corp. | 2,533 | 40,275 | |||||||||
Universal Insurance Holdings, Inc. | 6,984 | 216,504 | |||||||||
8,597,434 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Global Indemnity, Ltd. | 1,000 | 30,380 | |||||||||
Third Point Reinsurance, Ltd.† | 14,318 | 148,621 | |||||||||
179,001 | |||||||||||
Internet Connectivity Services — 0.3% | |||||||||||
Cogent Communications Holdings, Inc. | 14,272 | 774,256 | |||||||||
Internet Content-Information/News — 0.3% | |||||||||||
HealthStream, Inc.† | 7,744 | 217,297 | |||||||||
TechTarget, Inc.† | 2,587 | 42,090 | |||||||||
Yelp, Inc.† | 18,400 | 634,800 | |||||||||
894,187 |
206
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 1,975 | $ | 239,824 | ||||||||
Zix Corp.† | 20,600 | 141,728 | |||||||||
381,552 | |||||||||||
Investment Companies — 0.0% | |||||||||||
BrightSphere Investment Group PLC | 2,000 | 27,120 | |||||||||
Investment Management/Advisor Services — 0.7% | |||||||||||
Artisan Partners Asset Management, Inc., Class A | 37,534 | 944,731 | |||||||||
Blucora, Inc.† | 5,681 | 189,632 | |||||||||
Boston Private Financial Holdings, Inc. | 9,872 | 108,197 | |||||||||
Stifel Financial Corp. | 5,550 | 292,818 | |||||||||
Virtus Investment Partners, Inc. | 826 | 80,576 | |||||||||
Waddell & Reed Financial, Inc., Class A | 8,995 | 155,523 | |||||||||
WisdomTree Investments, Inc. | 13,895 | 98,099 | |||||||||
1,869,576 | |||||||||||
Lasers-System/Components — 0.1% | |||||||||||
II-VI, Inc.† | 7,022 | 261,499 | |||||||||
Linen Supply & Related Items — 0.1% | |||||||||||
UniFirst Corp. | 1,819 | 279,217 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Astec Industries, Inc. | 2,687 | 101,461 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
Bloom Energy Corp. Class A† | 600 | 7,752 | |||||||||
Franklin Electric Co., Inc. | 4,526 | 231,233 | |||||||||
238,985 | |||||||||||
Machinery-Farming — 0.9% | |||||||||||
Alamo Group, Inc. | 23,408 | 2,339,396 | |||||||||
Lindsay Corp. | 1,271 | 123,020 | |||||||||
2,462,416 | |||||||||||
Machinery-General Industrial — 0.6% | |||||||||||
Albany International Corp., Class A | 3,418 | 244,695 | |||||||||
Applied Industrial Technologies, Inc. | 4,568 | 271,659 | |||||||||
Chart Industries, Inc.† | 3,724 | 337,096 | |||||||||
DXP Enterprises, Inc.† | 7,984 | 310,737 | |||||||||
Kadant, Inc. | 3,700 | 325,452 | |||||||||
Tennant Co. | 2,135 | 132,562 | |||||||||
1,622,201 | |||||||||||
Machinery-Pumps — 0.2% | |||||||||||
CSW Industrials, Inc.† | 5,500 | 315,095 | |||||||||
SPX FLOW, Inc.† | 5,015 | 159,979 | |||||||||
475,074 | |||||||||||
Medical Imaging Systems — 0.1% | |||||||||||
Lantheus Holdings, Inc.† | 8,643 | 211,581 | |||||||||
Medical Information Systems — 0.2% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 26,000 | 248,040 | |||||||||
Computer Programs & Systems, Inc. | 1,411 | 41,893 | |||||||||
NextGen Healthcare, Inc.† | 5,639 | 94,904 | |||||||||
Tabula Rasa HealthCare, Inc.† | 2,067 | 116,620 | |||||||||
501,457 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Instruments — 0.4% | |||||||||||
AngioDynamics, Inc.† | 20,076 | $ | 458,937 | ||||||||
Natus Medical, Inc.† | 3,980 | 101,013 | |||||||||
NuVasive, Inc.† | 7,200 | 408,888 | |||||||||
968,838 | |||||||||||
Medical Labs & Testing Services — 0.8% | |||||||||||
Medpace Holdings, Inc.† | 33,565 | 1,979,328 | |||||||||
SI-BONE, Inc.† | 900 | 16,956 | |||||||||
1,996,284 | |||||||||||
Medical Laser Systems — 0.0% | |||||||||||
Cutera, Inc.† | 1,639 | 28,945 | |||||||||
Medical Products — 1.0% | |||||||||||
Axonics Modulation Technologies, Inc.† | 700 | 16,765 | |||||||||
Cardiovascular Systems, Inc.† | 4,104 | 158,661 | |||||||||
CryoLife, Inc.† | 4,014 | 117,088 | |||||||||
Integer Holdings Corp.† | 16,350 | 1,233,117 | |||||||||
Invacare Corp. | 3,912 | 32,744 | |||||||||
LeMaitre Vascular, Inc. | 1,869 | 57,939 | |||||||||
Luminex Corp. | 9,196 | 211,600 | |||||||||
Nevro Corp.† | 3,800 | 237,538 | |||||||||
Orthofix Medical, Inc.† | 4,796 | 270,542 | |||||||||
Surmodics, Inc.† | 1,589 | 69,090 | |||||||||
Tactile Systems Technology, Inc.† | 2,010 | 105,967 | |||||||||
2,511,051 | |||||||||||
Medical-Biomedical/Gene — 2.1% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 10,300 | 276,555 | |||||||||
Achillion Pharmaceuticals, Inc.† | 27,268 | 80,713 | |||||||||
Acorda Therapeutics, Inc.† | 4,659 | 61,918 | |||||||||
Alder Biopharmaceuticals, Inc.† | 11,800 | 161,070 | |||||||||
AMAG Pharmaceuticals, Inc.† | 5,391 | 69,436 | |||||||||
Amicus Therapeutics, Inc.† | 18,900 | 257,040 | |||||||||
ANI Pharmaceuticals, Inc.† | 978 | 68,988 | |||||||||
Aptinyx, Inc.† | 7,500 | 30,375 | |||||||||
Arena Pharmaceuticals, Inc.† | 5,730 | 256,876 | |||||||||
Atara Biotherapeutics, Inc.† | 6,200 | 246,450 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 7,000 | 360,290 | |||||||||
Bluebird Bio, Inc.† | 1,000 | 157,330 | |||||||||
Cambrex Corp.† | 3,961 | 153,885 | |||||||||
Cymabay Therapeutics, Inc.† | 14,700 | 195,216 | |||||||||
CytomX Therapeutics, Inc.† | 6,400 | 68,800 | |||||||||
Emergent BioSolutions, Inc.† | 5,310 | 268,261 | |||||||||
Forty Seven, Inc.† | 12,000 | 193,920 | |||||||||
Homology Medicines, Inc.† | 3,900 | 108,147 | |||||||||
Innoviva, Inc.† | 7,984 | 112,016 | |||||||||
Intercept Pharmaceuticals, Inc.† | 2,300 | 257,278 | |||||||||
Medicines Co.† | 7,747 | 216,529 | |||||||||
Menlo Therapeutics, Inc.† | 5,100 | 40,035 | |||||||||
Myriad Genetics, Inc.† | 16,335 | 542,322 | |||||||||
NeoGenomics, Inc.† | 11,144 | 228,006 | |||||||||
NewLink Genetics Corp.† | 6,486 | 12,518 | |||||||||
Puma Biotechnology, Inc.† | 4,400 | 170,676 | |||||||||
REGENXBIO, Inc.† | 7,530 | 431,544 | |||||||||
resTORbio, Inc.† | 3,800 | 25,916 | |||||||||
Sangamo Therapeutics, Inc.† | 3,700 | 35,298 |
207
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Selecta Biosciences, Inc.† | 5,800 | $ | 13,746 | ||||||||
Solid Biosciences, Inc.† | 6,000 | 55,200 | |||||||||
Spectrum Pharmaceuticals, Inc.† | 12,432 | 132,898 | |||||||||
Synlogic, Inc.† | 12,300 | 93,357 | |||||||||
TCR2 Therapeutics, Inc.† | 4,800 | 83,664 | |||||||||
Twist Bioscience Corp.† | 4,000 | 92,720 | |||||||||
Y-mAbs Therapeutics, Inc.† | 700 | 18,347 | |||||||||
5,577,340 | |||||||||||
Medical-Drugs — 1.8% | |||||||||||
Aimmune Therapeutics, Inc.† | 6,200 | 138,570 | |||||||||
Akorn, Inc.† | 11,099 | 39,069 | |||||||||
Alector, Inc.† | 2,500 | 46,800 | |||||||||
Amphastar Pharmaceuticals, Inc.† | 4,074 | 83,232 | |||||||||
Athenex, Inc.† | 15,000 | 183,750 | |||||||||
Clovis Oncology, Inc.† | 8,600 | 213,452 | |||||||||
Corcept Therapeutics, Inc.† | 12,303 | 144,437 | |||||||||
Cytokinetics, Inc.† | 6,447 | 52,156 | |||||||||
Eagle Pharmaceuticals, Inc.† | 2,714 | 137,030 | |||||||||
Enanta Pharmaceuticals, Inc.† | 1,856 | 177,285 | |||||||||
Global Blood Therapeutics, Inc.† | 6,200 | 328,166 | |||||||||
Gritstone Oncology, Inc.† | 2,800 | 37,240 | |||||||||
Horizon Pharma PLC† | 11,900 | 314,517 | |||||||||
Lannett Co., Inc.† | 27,028 | 212,710 | |||||||||
Mallinckrodt PLC† | 5,600 | 121,744 | |||||||||
MyoKardia, Inc.† | 6,600 | 343,134 | |||||||||
Paratek Pharmaceuticals, Inc.† | 15,100 | 80,936 | |||||||||
Phibro Animal Health Corp., Class A | 2,390 | 78,870 | |||||||||
Prestige Consumer Healthcare, Inc.† | 9,900 | 296,109 | |||||||||
Principia Biopharma, Inc.† | 6,900 | 234,600 | |||||||||
Progenics Pharmaceuticals, Inc.† | 9,963 | 46,228 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 2,768 | 236,581 | |||||||||
Seres Therapeutics, Inc.† | 32,600 | 223,962 | |||||||||
Supernus Pharmaceuticals, Inc.† | 6,166 | 216,057 | |||||||||
Sutro Biopharma, Inc.† | 2,200 | 25,058 | |||||||||
TG Therapeutics, Inc.† | 13,300 | 106,932 | |||||||||
Vanda Pharmaceuticals, Inc.† | 15,804 | 290,794 | |||||||||
Voyager Therapeutics, Inc.† | 10,200 | 195,228 | |||||||||
4,604,647 | |||||||||||
Medical-Generic Drugs — 0.2% | |||||||||||
Arvinas, Inc.† | 200 | 2,952 | |||||||||
Endo International PLC† | 45,336 | 364,048 | |||||||||
Momenta Pharmaceuticals, Inc.† | 11,609 | 168,679 | |||||||||
535,679 | |||||||||||
Medical-HMO — 0.3% | |||||||||||
Magellan Health, Inc.† | 2,819 | 185,829 | |||||||||
Tivity Health, Inc.† | 14,468 | 254,058 | |||||||||
Triple-S Management Corp., Class B† | 18,000 | 410,760 | |||||||||
850,647 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
Community Health Systems, Inc.† | 29,897 | 111,516 | |||||||||
Quorum Health Corp.† | 16,656 | 23,318 | |||||||||
Select Medical Holdings Corp.† | 12,752 | 179,676 | |||||||||
Surgery Partners, Inc.† | 7,400 | 83,472 | |||||||||
Tenet Healthcare Corp.† | 8,400 | 242,256 | |||||||||
640,238 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Nursing Homes — 0.1% | |||||||||||
Ensign Group, Inc. | 5,837 | $ | 298,796 | ||||||||
Medical-Outpatient/Home Medical — 0.3% | |||||||||||
Addus HomeCare Corp.† | 1,189 | 75,608 | |||||||||
Amedisys, Inc.† | 3,050 | 375,943 | |||||||||
LHC Group, Inc.† | 3,442 | 381,580 | |||||||||
Providence Service Corp.† | 1,301 | 86,673 | |||||||||
919,804 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Diplomat Pharmacy, Inc.† | 6,670 | 38,753 | |||||||||
Owens & Minor, Inc. | 38,138 | 156,366 | |||||||||
195,119 | |||||||||||
Metal Processors & Fabrication — 0.2% | |||||||||||
AZZ, Inc. | 3,074 | 125,819 | |||||||||
CIRCOR International, Inc.† | 2,340 | 76,284 | |||||||||
LB Foster Co., Class A† | 1,200 | 22,584 | |||||||||
Mueller Industries, Inc. | 6,673 | 209,132 | |||||||||
433,819 | |||||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Olympic Steel, Inc. | 1,077 | 17,092 | |||||||||
Worthington Industries, Inc. | 8,900 | 332,148 | |||||||||
349,240 | |||||||||||
Metal-Aluminum — 0.1% | |||||||||||
Century Aluminum Co.† | 5,814 | 51,628 | |||||||||
Kaiser Aluminum Corp. | 2,597 | 271,984 | |||||||||
323,612 | |||||||||||
Miscellaneous Manufacturing — 1.0% | |||||||||||
FreightCar America, Inc.† | 148 | 912 | |||||||||
Hillenbrand, Inc. | 17,519 | 727,564 | |||||||||
John Bean Technologies Corp. | 21,297 | 1,956,981 | |||||||||
2,685,457 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Eros International PLC† | 644 | 5,886 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 7,000 | 86,730 | |||||||||
Multimedia — 0.1% | |||||||||||
E.W. Scripps Co., Class A | 6,642 | 139,482 | |||||||||
Entravision Communications Corp., Class A | 7,500 | 24,300 | |||||||||
163,782 | |||||||||||
Networking Products — 0.2% | |||||||||||
Extreme Networks, Inc.† | 13,760 | 103,062 | |||||||||
Infinera Corp.† | 37,300 | 161,882 | |||||||||
NeoPhotonics Corp.† | 13,300 | 83,657 | |||||||||
NETGEAR, Inc.† | 3,713 | 122,975 | |||||||||
471,576 | |||||||||||
Non-Ferrous Metals — 0.1% | |||||||||||
Materion Corp. | 2,385 | 136,088 | |||||||||
Office Furnishings-Original — 0.1% | |||||||||||
HNI Corp. | 5,400 | 195,966 | |||||||||
Interface, Inc. | 7,006 | 107,332 | |||||||||
303,298 |
208
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Office Supplies & Forms — 0.2% | |||||||||||
ACCO Brands Corp. | 59,300 | $ | 507,608 | ||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Diamond Offshore Drilling, Inc.† | 7,612 | 79,850 | |||||||||
Nabors Industries, Ltd. | 38,477 | 132,361 | |||||||||
Noble Corp. PLC† | 29,309 | 84,117 | |||||||||
296,328 | |||||||||||
Oil Companies-Exploration & Production — 0.9% | |||||||||||
Bonanza Creek Energy, Inc.† | 2,205 | 50,031 | |||||||||
Carrizo Oil & Gas, Inc.† | 10,042 | 125,224 | |||||||||
Denbury Resources, Inc.† | 108,561 | 222,550 | |||||||||
Gulfport Energy Corp.† | 44,979 | 360,732 | |||||||||
HighPoint Resources Corp.† | 13,024 | 28,783 | |||||||||
Laredo Petroleum, Inc.† | 17,918 | 55,367 | |||||||||
PDC Energy, Inc.† | 7,795 | 317,101 | |||||||||
Penn Virginia Corp.† | 1,584 | 69,854 | |||||||||
Ring Energy, Inc.† | 7,004 | 41,113 | |||||||||
SRC Energy, Inc.† | 28,667 | 146,775 | |||||||||
Unit Corp.† | 8,575 | 122,108 | |||||||||
W&T Offshore, Inc.† | 67,300 | 464,370 | |||||||||
Whiting Petroleum Corp.† | 10,723 | 280,299 | |||||||||
2,284,307 | |||||||||||
Oil Field Machinery & Equipment — 0.4% | |||||||||||
Dril-Quip, Inc.† | 15,988 | 733,050 | |||||||||
Exterran Corp.† | 3,705 | 62,429 | |||||||||
Natural Gas Services Group, Inc.† | 150 | 2,596 | |||||||||
US Silica Holdings, Inc. | 8,621 | 149,661 | |||||||||
947,736 | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Adams Resources & Energy, Inc. | 800 | 31,248 | |||||||||
CVR Energy, Inc. | 5,700 | 234,840 | |||||||||
Murphy USA, Inc.† | 3,400 | 291,108 | |||||||||
Par Pacific Holdings, Inc.† | 3,530 | 62,869 | |||||||||
620,065 | |||||||||||
Oil-Field Services — 1.0% | |||||||||||
Archrock, Inc. | 15,369 | 150,309 | |||||||||
C&J Energy Services, Inc.† | 7,240 | 112,365 | |||||||||
CARBO Ceramics, Inc.† | 2,549 | 8,921 | |||||||||
Era Group, Inc.† | 2,411 | 27,823 | |||||||||
FTS International, Inc.† | 7,000 | 70,000 | |||||||||
Gulf Island Fabrication, Inc.† | 1,634 | 14,984 | |||||||||
Helix Energy Solutions Group, Inc.† | 16,482 | 130,373 | |||||||||
KLX Energy Services Holdings, Inc.† | 11,938 | 300,121 | |||||||||
Matrix Service Co.† | 23,656 | 463,184 | |||||||||
MRC Global, Inc.† | 23,000 | 402,040 | |||||||||
Newpark Resources, Inc.† | 10,638 | 97,444 | |||||||||
Nine Energy Service, Inc.† | 123 | 2,786 | |||||||||
NOW, Inc.† | 24,400 | 340,624 | |||||||||
Oil States International, Inc.† | 7,129 | 120,908 | |||||||||
Pioneer Energy Services Corp.† | 9,246 | 16,365 | |||||||||
ProPetro Holding Corp.† | 8,743 | 197,067 | |||||||||
Superior Energy Services, Inc.† | 18,376 | 85,816 | |||||||||
TETRA Technologies, Inc.† | 14,814 | 34,665 | |||||||||
2,575,795 |
Security Description | Shares | Value (Note 2) | |||||||||
Paper & Related Products — 0.8% | |||||||||||
Clearwater Paper Corp.† | 1,940 | $ | 37,791 | ||||||||
Domtar Corp. | 2,100 | 104,265 | |||||||||
Mercer International, Inc. | 5,071 | 68,509 | |||||||||
Neenah, Inc. | 19,680 | 1,266,605 | |||||||||
P.H. Glatfelter Co. | 5,187 | 73,240 | |||||||||
Schweitzer-Mauduit International, Inc. | 3,641 | 140,980 | |||||||||
Verso Corp., Class A† | 19,000 | 406,980 | |||||||||
2,098,370 | |||||||||||
Pastoral & Agricultural — 0.5% | |||||||||||
Darling Ingredients, Inc.† | 55,904 | 1,210,322 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.1% | |||||||||||
U.S. Physical Therapy, Inc. | 1,495 | 157,020 | |||||||||
Poultry — 0.1% | |||||||||||
Sanderson Farms, Inc. | 2,000 | 263,680 | |||||||||
Power Converter/Supply Equipment — 0.4% | |||||||||||
Generac Holdings, Inc.† | 14,400 | 737,712 | |||||||||
Powell Industries, Inc. | 5,733 | 152,211 | |||||||||
Vicor Corp.† | 1,911 | 59,279 | |||||||||
949,202 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Ennis, Inc. | 15,500 | 321,780 | |||||||||
LSC Communications, Inc. | 3,926 | 25,637 | |||||||||
RR Donnelley & Sons Co. | 8,302 | 39,185 | |||||||||
386,602 | |||||||||||
Professional Sports — 1.0% | |||||||||||
Madison Square Garden Co., Class A† | 9,209 | 2,699,434 | |||||||||
Publishing-Books — 0.2% | |||||||||||
Houghton Mifflin Harcourt Co.† | 43,500 | 316,245 | |||||||||
Scholastic Corp. | 3,284 | 130,572 | |||||||||
Tribune Publishing Co.† | 9,700 | 114,363 | |||||||||
561,180 | |||||||||||
Publishing-Newspapers — 0.2% | |||||||||||
Gannett Co., Inc. | 58,789 | 619,636 | |||||||||
Racetracks — 0.2% | |||||||||||
Penn National Gaming, Inc.† | 20,442 | 410,884 | |||||||||
Real Estate Investment Trusts — 5.3% | |||||||||||
Acadia Realty Trust | 9,611 | 262,092 | |||||||||
Agree Realty Corp. | 4,428 | 307,038 | |||||||||
Alexander & Baldwin, Inc. | 2,256 | 57,393 | |||||||||
American Assets Trust, Inc. | 16,262 | 745,775 | |||||||||
Americold Realty Trust | 18,200 | 555,282 | |||||||||
Apollo Commercial Real Estate Finance, Inc. | 13,293 | 241,933 | |||||||||
Armada Hoffler Properties, Inc. | 5,932 | 92,480 | |||||||||
ARMOUR Residential REIT, Inc. | 6,916 | 135,070 | |||||||||
Ashford Hospitality Trust, Inc. | 32,800 | 155,800 | |||||||||
Capstead Mtg. Corp. | 13,981 | 120,097 | |||||||||
CareTrust REIT, Inc. | 10,470 | 245,626 | |||||||||
CBL & Associates Properties, Inc. | 20,442 | 31,685 | |||||||||
Cedar Realty Trust, Inc. | 10,151 | 34,513 | |||||||||
Chatham Lodging Trust | 5,487 | 105,570 | |||||||||
Cherry Hill Mtg. Investment Corp. | 5,700 | 98,154 | |||||||||
Chesapeake Lodging Trust | 7,161 | 199,147 | |||||||||
Community Healthcare Trust, Inc. | 2,096 | 75,225 |
209
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
CorEnergy Infrastructure Trust, Inc. | 467 | $ | 17,162 | ||||||||
CoreSite Realty Corp. | 7,100 | 759,842 | |||||||||
Cousins Properties, Inc. | 13,300 | 128,478 | |||||||||
CubeSmart | 3,500 | 112,140 | |||||||||
DiamondRock Hospitality Co. | 53,733 | 581,928 | |||||||||
Dynex Capital, Inc. | 2,200 | 13,398 | |||||||||
Easterly Government Properties, Inc. | 7,177 | 129,258 | |||||||||
EastGroup Properties, Inc. | 6,599 | 736,712 | |||||||||
Equity LifeStyle Properties, Inc. | 1,300 | 148,590 | |||||||||
First Industrial Realty Trust, Inc. | 2,600 | 91,936 | |||||||||
Four Corners Property Trust, Inc. | 8,055 | 238,428 | |||||||||
Franklin Street Properties Corp. | 12,637 | 90,860 | |||||||||
GEO Group, Inc. | 23,300 | 447,360 | |||||||||
Getty Realty Corp. | 3,997 | 128,024 | |||||||||
Gladstone Commercial Corp. | 1,000 | 20,770 | |||||||||
Global Net Lease, Inc. | 9,880 | 186,732 | |||||||||
Granite Point Mtg. Trust, Inc. | 6,027 | 111,921 | |||||||||
Hersha Hospitality Trust | 8,548 | 146,513 | |||||||||
Highwoods Properties, Inc. | 2,000 | 93,560 | |||||||||
Hospitality Properties Trust | 5,300 | 139,443 | |||||||||
Independence Realty Trust, Inc. | 10,518 | 113,489 | |||||||||
Innovative Industrial Properties, Inc. | 1,152 | 94,107 | |||||||||
Invesco Mtg. Capital, Inc. | 25,147 | 397,323 | |||||||||
iStar, Inc. | 8,032 | 67,629 | |||||||||
Kite Realty Group Trust | 9,878 | 157,949 | |||||||||
Lexington Realty Trust | 24,648 | 223,311 | |||||||||
LTC Properties, Inc. | 4,680 | 214,344 | |||||||||
Mack-Cali Realty Corp. | 4,700 | 104,340 | |||||||||
National Retail Properties, Inc. | 700 | 38,773 | |||||||||
National Storage Affiliates Trust | 6,682 | 190,504 | |||||||||
New York Mortgage Trust, Inc. | 21,871 | 133,194 | |||||||||
NorthStar Realty Europe Corp. | 5,870 | 101,903 | |||||||||
Office Properties Income Trust | 5,667 | 156,636 | |||||||||
Pebblebrook Hotel Trust | 23,200 | 720,592 | |||||||||
Pennsylvania Real Estate Investment Trust | 7,624 | 47,955 | |||||||||
PennyMac Mtg. Investment Trust | 8,008 | 165,846 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 9,800 | 204,330 | |||||||||
PotlatchDeltic Corp. | 2,900 | 109,591 | |||||||||
PS Business Parks, Inc. | 3,154 | 494,642 | |||||||||
Redwood Trust, Inc. | 11,385 | 183,868 | |||||||||
Retail Opportunity Investments Corp. | 13,433 | 232,928 | |||||||||
RLJ Lodging Trust | 2,900 | 50,953 | |||||||||
RPT Realty | 9,446 | 113,446 | |||||||||
Saul Centers, Inc. | 3,964 | 203,631 | |||||||||
Summit Hotel Properties, Inc. | 12,348 | 140,891 | |||||||||
Taubman Centers, Inc. | 1,700 | 89,896 | |||||||||
Two Harbors Investment Corp. | 27,018 | 365,554 | |||||||||
Universal Health Realty Income Trust | 1,490 | 112,808 | |||||||||
Urstadt Biddle Properties, Inc., Class A | 3,525 | 72,756 | |||||||||
Washington Prime Group, Inc. | 21,928 | 123,893 | |||||||||
Washington Real Estate Investment Trust | 9,420 | 267,340 | |||||||||
Xenia Hotels & Resorts, Inc. | 15,465 | 338,838 | |||||||||
13,819,195 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Management/Services — 1.9% | |||||||||||
FirstService Corp. | 35,900 | $ | 3,207,306 | ||||||||
HFF, Inc., Class A | 4,628 | 220,987 | |||||||||
Marcus & Millichap, Inc.† | 2,526 | 102,884 | |||||||||
RE/MAX Holdings, Inc., Class A | 36,465 | 1,405,361 | |||||||||
4,936,538 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Whitestone REIT | 4,688 | 56,350 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Rent-A-Center, Inc.† | 5,280 | 110,194 | |||||||||
Retail-Apparel/Shoe — 0.9% | |||||||||||
Abercrombie & Fitch Co., Class A | 45,659 | 1,251,513 | |||||||||
Ascena Retail Group, Inc.† | 20,475 | 22,113 | |||||||||
Buckle, Inc. | 3,350 | 62,712 | |||||||||
Caleres, Inc. | 5,053 | 124,759 | |||||||||
Cato Corp., Class A | 2,692 | 40,326 | |||||||||
Chico's FAS, Inc. | 13,729 | 58,623 | |||||||||
Children's Place, Inc. | 1,908 | 185,610 | |||||||||
Designer Brands, Inc. | 8,044 | 178,738 | |||||||||
Express, Inc.† | 8,076 | 34,565 | |||||||||
Genesco, Inc.† | 2,380 | 108,409 | |||||||||
Guess?, Inc. | 6,685 | 131,026 | |||||||||
Shoe Carnival, Inc. | 1,182 | 40,224 | |||||||||
Tailored Brands, Inc. | 17,104 | 134,095 | |||||||||
Vera Bradley, Inc.† | 2,492 | 33,019 | |||||||||
2,405,732 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 5,279 | 120,678 | |||||||||
Retail-Automobile — 0.8% | |||||||||||
Asbury Automotive Group, Inc.† | 2,298 | 159,390 | |||||||||
Group 1 Automotive, Inc. | 2,053 | 132,829 | |||||||||
Lithia Motors, Inc., Class A | 20,371 | 1,889,410 | |||||||||
Sonic Automotive, Inc., Class A | 2,805 | 41,542 | |||||||||
2,223,171 | |||||||||||
Retail-Bookstores — 0.1% | |||||||||||
Barnes & Noble Education, Inc.† | 40,616 | 170,587 | |||||||||
Barnes & Noble, Inc. | 6,726 | 36,522 | |||||||||
207,109 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Tile Shop Holdings, Inc. | 4,615 | 26,121 | |||||||||
Retail-Discount — 0.1% | |||||||||||
Big Lots, Inc. | 4,720 | 179,454 | |||||||||
Retail-Drug Store — 0.1% | |||||||||||
Rite Aid Corp.† | 455,500 | 289,243 | |||||||||
Retail-Floor Coverings — 0.0% | |||||||||||
Lumber Liquidators Holdings, Inc.† | 3,373 | 34,067 | |||||||||
Retail-Hair Salons — 0.0% | |||||||||||
Regis Corp.† | 3,556 | 69,947 | |||||||||
Retail-Home Furnishings — 0.2% | |||||||||||
Haverty Furniture Cos., Inc. | 2,236 | 48,924 | |||||||||
Kirkland's, Inc.† | 1,751 | 12,309 | |||||||||
La-Z-Boy, Inc. | 5,499 | 181,412 | |||||||||
RH† | 2,200 | 226,490 | |||||||||
469,135 |
210
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Jewelry — 0.0% | |||||||||||
Movado Group, Inc. | 1,944 | $ | 70,723 | ||||||||
Retail-Leisure Products — 0.0% | |||||||||||
MarineMax, Inc.† | 2,691 | 51,560 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
J.C. Penney Co., Inc.† | 37,251 | 55,504 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
GameStop Corp., Class A | 23,851 | 242,326 | |||||||||
Retail-Office Supplies — 0.2% | |||||||||||
Office Depot, Inc. | 123,752 | 449,220 | |||||||||
Retail-Pawn Shops — 0.2% | |||||||||||
EZCORP, Inc., Class A† | 6,184 | 57,635 | |||||||||
FirstCash, Inc. | 6,634 | 573,841 | |||||||||
631,476 | |||||||||||
Retail-Pet Food & Supplies — 0.8% | |||||||||||
PetIQ, Inc.† | 65,141 | 2,046,079 | |||||||||
PetMed Express, Inc. | 2,436 | 55,492 | |||||||||
2,101,571 | |||||||||||
Retail-Restaurants — 1.1% | |||||||||||
BJ's Restaurants, Inc. | 2,484 | 117,444 | |||||||||
Bloomin' Brands, Inc. | 27,500 | 562,375 | |||||||||
Brinker International, Inc. | 25,600 | 1,136,128 | |||||||||
Chuy's Holdings, Inc.† | 1,997 | 45,472 | |||||||||
Dave & Buster's Entertainment, Inc. | 4,554 | 227,108 | |||||||||
Dine Brands Global, Inc. | 2,066 | 188,605 | |||||||||
El Pollo Loco Holdings, Inc.† | 2,624 | 34,138 | |||||||||
Fiesta Restaurant Group, Inc.† | 2,749 | 36,039 | |||||||||
Red Robin Gourmet Burgers, Inc.† | 1,528 | 44,022 | |||||||||
Ruth's Hospitality Group, Inc. | 3,325 | 85,087 | |||||||||
Shake Shack, Inc., Class A† | 3,063 | 181,176 | |||||||||
Wingstop, Inc. | 3,457 | 262,836 | |||||||||
2,920,430 | |||||||||||
Retail-Sporting Goods — 0.3% | |||||||||||
Hibbett Sports, Inc.† | 14,755 | 336,562 | |||||||||
Zumiez, Inc.† | 14,526 | 361,552 | |||||||||
698,114 | |||||||||||
Retail-Vitamins & Nutrition Supplements — 0.0% | |||||||||||
Vitamin Shoppe, Inc.† | 1,842 | 12,968 | |||||||||
Rubber-Tires — 0.1% | |||||||||||
Cooper Tire & Rubber Co. | 5,901 | 176,381 | |||||||||
Rubber/Plastic Products — 0.4% | |||||||||||
Myers Industries, Inc. | 5,766 | 98,656 | |||||||||
Proto Labs, Inc.† | 3,180 | 334,345 | |||||||||
Raven Industries, Inc. | 4,237 | 162,574 | |||||||||
Trinseo SA | 11,950 | 541,335 | |||||||||
1,136,910 | |||||||||||
Satellite Telecom — 0.1% | |||||||||||
Iridium Communications, Inc.† | 11,507 | 304,245 | |||||||||
Savings & Loans/Thrifts — 1.4% | |||||||||||
Axos Financial, Inc.† | 6,348 | 183,838 | |||||||||
Banc of California, Inc. | 5,026 | 69,560 | |||||||||
BankFinancial Corp. | 4,500 | 66,915 | |||||||||
Berkshire Hills Bancorp, Inc. | 4,776 | 130,098 |
Security Description | Shares | Value (Note 2) | |||||||||
Savings & Loans/Thrifts (continued) | |||||||||||
Brookline Bancorp, Inc. | 9,400 | $ | 135,360 | ||||||||
Capitol Federal Financial, Inc. | 1,000 | 13,350 | |||||||||
Dime Community Bancshares, Inc. | 3,615 | 67,709 | |||||||||
First Defiance Financial Corp. | 2,000 | 57,480 | |||||||||
Flushing Financial Corp. | 3,700 | 81,141 | |||||||||
Investors Bancorp, Inc. | 12,400 | 146,940 | |||||||||
Meridian Bancorp, Inc. | 27,100 | 425,199 | |||||||||
Northfield Bancorp, Inc. | 33,072 | 459,701 | |||||||||
Northwest Bancshares, Inc. | 12,219 | 207,356 | |||||||||
Oritani Financial Corp. | 4,506 | 74,935 | |||||||||
Pacific Premier Bancorp, Inc. | 25,725 | 682,484 | |||||||||
People's United Financial, Inc. | 6,206 | 102,027 | |||||||||
Provident Financial Services, Inc. | 7,218 | 186,874 | |||||||||
Washington Federal, Inc. | 17,900 | 517,131 | |||||||||
3,608,098 | |||||||||||
Schools — 0.3% | |||||||||||
American Public Education, Inc.† | 1,935 | 58,282 | |||||||||
Career Education Corp.† | 8,222 | 135,827 | |||||||||
K12, Inc.† | 8,600 | 293,518 | |||||||||
Strategic Education, Inc. | 2,563 | 336,548 | |||||||||
824,175 | |||||||||||
Seismic Data Collection — 0.0% | |||||||||||
Dawson Geophysical Co.† | 4,900 | 14,357 | |||||||||
Geospace Technologies Corp.† | 1,607 | 20,795 | |||||||||
35,152 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.4% | |||||||||||
Cirrus Logic, Inc.† | 12,800 | 538,496 | |||||||||
MaxLinear, Inc.† | 7,459 | 190,428 | |||||||||
Power Integrations, Inc. | 3,406 | 238,216 | |||||||||
967,140 | |||||||||||
Semiconductor Equipment — 0.6% | |||||||||||
Axcelis Technologies, Inc.† | 3,837 | 77,200 | |||||||||
Brooks Automation, Inc. | 8,362 | 245,258 | |||||||||
Cabot Microelectronics Corp. | 3,412 | 382,008 | |||||||||
Cohu, Inc. | 20,396 | 300,841 | |||||||||
FormFactor, Inc.† | 8,777 | 141,222 | |||||||||
Kulicke & Soffa Industries, Inc. | 7,794 | 172,325 | |||||||||
Nanometrics, Inc.† | 2,883 | 89,027 | |||||||||
Ultra Clean Holdings, Inc.† | 4,598 | 47,589 | |||||||||
Veeco Instruments, Inc.† | 22,261 | 241,309 | |||||||||
1,696,779 | |||||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
TimkenSteel Corp.† | 4,628 | 50,260 | |||||||||
Steel-Producers — 0.0% | |||||||||||
AK Steel Holding Corp.† | 37,276 | 102,509 | |||||||||
Storage/Warehousing — 0.1% | |||||||||||
Mobile Mini, Inc. | 5,266 | 178,728 | |||||||||
Telecom Equipment-Fiber Optics — 0.3% | |||||||||||
Ciena Corp.† | 2,500 | 93,350 | |||||||||
Finisar Corp.† | 13,894 | 321,924 | |||||||||
Harmonic, Inc.† | 10,450 | 56,639 | |||||||||
Viavi Solutions, Inc.† | 26,868 | 332,626 | |||||||||
804,539 |
211
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Telecom Services — 0.3% | |||||||||||
Consolidated Communications Holdings, Inc. | 8,389 | $ | 91,524 | ||||||||
HC2 Holdings, Inc.† | 30,100 | 73,745 | |||||||||
Spok Holdings, Inc. | 2,120 | 28,875 | |||||||||
Vonage Holdings Corp.† | 49,206 | 494,028 | |||||||||
688,172 | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
ADTRAN, Inc. | 5,630 | 77,131 | |||||||||
Digi International, Inc.† | 3,261 | 41,317 | |||||||||
118,448 | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
Cincinnati Bell, Inc.† | 5,932 | 56,591 | |||||||||
Frontier Communications Corp.† | 12,409 | 24,694 | |||||||||
81,285 | |||||||||||
Television — 0.2% | |||||||||||
Sinclair Broadcast Group, Inc., Class A | 12,300 | 473,304 | |||||||||
Textile-Apparel — 0.0% | |||||||||||
Unifi, Inc.† | 1,712 | 33,127 | |||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc., Class A | 14,300 | 212,355 | |||||||||
Therapeutics — 0.3% | |||||||||||
Anika Therapeutics, Inc.† | 1,675 | 50,652 | |||||||||
Flexion Therapeutics, Inc.† | 6,600 | 82,368 | |||||||||
La Jolla Pharmaceutical Co.† | 6,100 | 39,223 | |||||||||
Mersana Therapeutics, Inc.† | 40,487 | 212,962 | |||||||||
Sarepta Therapeutics, Inc.† | 1,650 | 196,663 | |||||||||
Xencor, Inc.† | 7,300 | 226,738 | |||||||||
808,606 | |||||||||||
Tobacco — 0.1% | |||||||||||
Universal Corp. | 2,942 | 169,547 | |||||||||
Traffic Management Sys — 0.0% | |||||||||||
Arlo Technologies, Inc.† | 8,751 | 36,142 | |||||||||
Transactional Software — 0.4% | |||||||||||
ACI Worldwide, Inc.† | 25,700 | 844,759 | |||||||||
Synchronoss Technologies, Inc.† | 14,300 | 86,944 | |||||||||
931,703 | |||||||||||
Transport-Air Freight — 0.1% | |||||||||||
Atlas Air Worldwide Holdings, Inc.† | 3,034 | 153,399 | |||||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
Greenbrier Cos., Inc. | 3,812 | 122,861 | |||||||||
Transport-Marine — 0.1% | |||||||||||
Dorian LPG, Ltd.† | 276 | 1,772 | |||||||||
SEACOR Holdings, Inc.† | 6,532 | 276,173 | |||||||||
277,945 | |||||||||||
Transport-Services — 0.3% | |||||||||||
Echo Global Logistics, Inc.† | 12,778 | 316,639 | |||||||||
Forward Air Corp. | 3,393 | 219,629 | |||||||||
Hub Group, Inc., Class A† | 4,020 | 164,217 | |||||||||
Matson, Inc. | 5,047 | 182,146 | |||||||||
882,631 |
Security Description | Shares | Value (Note 2) | |||||||||
Transport-Truck — 0.4% | |||||||||||
ArcBest Corp. | 16,213 | $ | 499,198 | ||||||||
Covenant Transportation Group, Inc., Class A† | 1,500 | 28,470 | |||||||||
Heartland Express, Inc. | 5,600 | 107,968 | |||||||||
Marten Transport, Ltd. | 4,558 | 81,269 | |||||||||
Saia, Inc.† | 3,046 | 186,111 | |||||||||
Schneider National, Inc., Class B | 2,700 | 56,835 | |||||||||
YRC Worldwide, Inc.† | 18,700 | 125,103 | |||||||||
1,084,954 | |||||||||||
Travel Services — 0.1% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 13,200 | 187,308 | |||||||||
Veterinary Diagnostics — 0.7% | |||||||||||
Heska Corp.† | 805 | 68,521 | |||||||||
Neogen Corp.† | 30,617 | 1,757,110 | |||||||||
1,825,631 | |||||||||||
Vitamins & Nutrition Products — 0.1% | |||||||||||
Herbalife Nutrition, Ltd.† | 1,800 | 95,382 | |||||||||
USANA Health Sciences, Inc.† | 1,100 | 92,257 | |||||||||
187,639 | |||||||||||
Water — 0.5% | |||||||||||
American States Water Co. | 12,534 | 893,674 | |||||||||
California Water Service Group | 5,665 | 307,496 | |||||||||
1,201,170 | |||||||||||
Web Hosting/Design — 0.2% | |||||||||||
Endurance International Group Holdings, Inc.† | 11,700 | 84,825 | |||||||||
NIC, Inc. | 19,852 | 339,271 | |||||||||
424,096 | |||||||||||
Wire & Cable Products — 0.1% | |||||||||||
Encore Wire Corp. | 2,460 | 140,761 | |||||||||
Insteel Industries, Inc. | 2,152 | 45,020 | |||||||||
185,781 | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
CalAmp Corp.† | 4,037 | 50,785 | |||||||||
X-Ray Equipment — 0.1% | |||||||||||
Varex Imaging Corp.† | 4,492 | 152,189 | |||||||||
Total Common Stocks (cost $218,221,416) | 257,736,466 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.2% | |||||||||||
iShares Core S&P Small-Cap ETF (cost $628,376) | 7,831 | 604,162 | |||||||||
Total Long-Term Investment Securities (cost $218,849,792) | 258,340,628 |
212
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.7% | |||||||||||
Registered Investment Companies — 0.7% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Investor Class 2.31%(2) | 1,740,027 | $ | 1,740,027 | ||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 2.37% due 04/04/2019(3) | $ | 100,000 | 99,980 | ||||||||
Total Short-Term Investment Securities (cost $1,840,007) | 1,840,007 | ||||||||||
REPURCHASE AGREEMENTS — 0.3% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $634,026 and collateralized by $640,000 of United States Treasury Notes, bearing interest at 2.63% due 02/28/2023 and having an approximate value of $651,594 (cost $634,000) | 634,000 | 634,000 | |||||||||
TOTAL INVESTMENTS (cost $221,323,799)(4) | 99.4 | % | 260,814,635 | ||||||||
Other assets less liabilities | 0.6 | 1,589,290 | |||||||||
NET ASSETS | 100.0 | % | $ | 262,403,925 |
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) The rate shown is the 7-day yield as of March 31, 2019.
(3) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(4) See Note 4 for cost of investments on a tax basis.
CVR — Contingent Value Rights
ETF — Exchange-Traded Fund
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
34 | Long | E-Mini Russell 2000 Index | June 2019 | $ | 2,620,053 | $ | 2,624,460 | $ | 4,407 |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 61,551 | $ | — | $ | 1,086 | $ | 62,637 | |||||||||||
Other Industries | 257,673,829 | — | — | 257,673,829 | |||||||||||||||
Exchange-Traded Funds | 604,162 | — | — | 604,162 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 1,740,027 | — | — | 1,740,027 | |||||||||||||||
U.S. Government Treasuries | — | 99,980 | — | 99,980 | |||||||||||||||
Repurchase Agreements | — | 634,000 | — | 634,000 | |||||||||||||||
Total Investments at Value | $ | 260,079,569 | $ | 733,980 | $ | 1,086 | $ | 260,814,635 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 4,407 | $ | — | $ | — | $ | 4,407 |
213
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation (depreciation) as of the end of the reporting period.
At the end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 transfers during the reporting period.
See Notes to Financial Statements
214
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Medical-Drugs | 9.1 | % | |||||
Banks-Commercial | 7.5 | ||||||
Diversified Banking Institutions | 4.1 | ||||||
Insurance-Life/Health | 3.7 | ||||||
Oil Companies-Integrated | 3.6 | ||||||
Food-Misc./Diversified | 3.2 | ||||||
Cosmetics & Toiletries | 2.8 | ||||||
Auto-Cars/Light Trucks | 2.7 | ||||||
Telephone-Integrated | 2.3 | ||||||
Insurance-Multi-line | 2.1 | ||||||
Medical Products | 1.7 | ||||||
Electronic Components-Semiconductors | 1.6 | ||||||
Chemicals-Diversified | 1.6 | ||||||
Apparel Manufacturers | 1.6 | ||||||
Beverages-Wine/Spirits | 1.4 | ||||||
Diversified Minerals | 1.4 | ||||||
Industrial Automated/Robotic | 1.4 | ||||||
Diversified Manufacturing Operations | 1.3 | ||||||
Machinery-Electrical | 1.2 | ||||||
Semiconductor Components-Integrated Circuits | 1.2 | ||||||
Semiconductor Equipment | 1.1 | ||||||
Food-Retail | 1.0 | ||||||
Electronic Components-Misc. | 1.0 | ||||||
Enterprise Software/Service | 0.9 | ||||||
Import/Export | 0.9 | ||||||
Rubber-Tires | 0.9 | ||||||
Electric-Generation | 0.9 | ||||||
Diversified Operations | 0.8 | ||||||
Tobacco | 0.8 | ||||||
Real Estate Investment Trusts | 0.7 | ||||||
E-Commerce/Products | 0.7 | ||||||
Human Resources | 0.7 | ||||||
Retail-Apparel/Shoe | 0.7 | ||||||
Building-Residential/Commercial | 0.7 | ||||||
Dialysis Centers | 0.7 | ||||||
Soap & Cleaning Preparation | 0.7 | ||||||
Cellular Telecom | 0.7 | ||||||
Metal-Diversified | 0.7 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Machinery-General Industrial | 0.6 | ||||||
Chemicals-Specialty | 0.6 | ||||||
Insurance-Property/Casualty | 0.6 | ||||||
Retail-Jewelry | 0.6 | ||||||
Power Converter/Supply Equipment | 0.6 | ||||||
Commercial Services | 0.6 | ||||||
Insurance-Reinsurance | 0.6 | ||||||
Brewery | 0.6 | ||||||
Electric-Integrated | 0.5 | ||||||
Real Estate Operations & Development | 0.5 | ||||||
Gas-Distribution | 0.5 | ||||||
Medical-Biomedical/Gene | 0.5 | ||||||
Toys | 0.5 | ||||||
Internet Application Software | 0.5 | ||||||
Athletic Footwear | 0.5 | ||||||
Audio/Video Products | 0.5 | ||||||
Metal-Copper | 0.5 | ||||||
Real Estate Management/Services | 0.5 | ||||||
Energy-Alternate Sources | 0.5 | ||||||
Aerospace/Defense | 0.5 | ||||||
Transport-Rail | 0.4 |
Multimedia | 0.4 | % | |||||
Hotels/Motels | 0.4 | ||||||
Miscellaneous Manufacturing | 0.4 | ||||||
Electronic Security Devices | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Finance-Other Services | 0.4 | ||||||
Distribution/Wholesale | 0.4 | ||||||
Diagnostic Equipment | 0.4 | ||||||
Finance-Leasing Companies | 0.4 | ||||||
Optical Supplies | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Metal-Aluminum | 0.4 | ||||||
Steel Pipe & Tube | 0.4 | ||||||
E-Commerce/Services | 0.3 | ||||||
Food-Dairy Products | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Repurchase Agreements | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Wire & Cable Products | 0.3 | ||||||
Aerospace/Defense-Equipment | 0.3 | ||||||
Entertainment Software | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
Computer Services | 0.3 | ||||||
Wireless Equipment | 0.3 | ||||||
Web Portals/ISP | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Diversified Operations/Commercial Services | 0.3 | ||||||
Machinery-Farming | 0.3 | ||||||
Textile-Apparel | 0.3 | ||||||
Machinery-Construction & Mining | 0.3 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Investment Management/Advisor Services | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Advertising Agencies | 0.2 | ||||||
Metal Processors & Fabrication | 0.2 | ||||||
Tools-Hand Held | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Medical Instruments | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Photo Equipment & Supplies | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Internet Content-Entertainment | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Satellite Telecom | 0.2 | ||||||
Exchange-Traded Funds | 0.2 | ||||||
Non-Ferrous Metals | 0.2 | ||||||
Public Thoroughfares | 0.2 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Oil Companies-Exploration & Production | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Advertising Sales | 0.1 | ||||||
Telecom Services | 0.1 |
215
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Office Automation & Equipment | 0.1 | % | |||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Security Services | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Publishing-Periodicals | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
99.2 | % | ||||||
Country Allocation* | |||||||
Japan | 20.6 | % | |||||
United Kingdom | 16.7 | ||||||
Switzerland | 10.7 | ||||||
Germany | 8.5 | ||||||
France | 8.4 | ||||||
Australia | 4.4 | ||||||
Netherlands | 3.9 | ||||||
Hong Kong | 2.4 | ||||||
Cayman Islands | 2.4 | ||||||
Sweden | 1.9 | ||||||
United States | 1.9 | ||||||
Spain | 1.8 | ||||||
Norway | 1.7 | ||||||
Singapore | 1.4 | ||||||
Denmark | 1.4 | ||||||
Italy | 1.4 | ||||||
Canada | 1.3 | ||||||
South Korea | 1.0 | ||||||
Taiwan | 0.9 | ||||||
Finland | 0.9 | ||||||
Luxembourg | 0.8 | ||||||
Belgium | 0.7 | ||||||
Austria | 0.6 | ||||||
Jersey | 0.4 | ||||||
Bermuda | 0.4 | ||||||
Ireland | 0.4 | ||||||
Israel | 0.4 | ||||||
India | 0.4 | ||||||
China | 0.4 | ||||||
New Zealand | 0.3 | ||||||
Brazil | 0.2 | ||||||
SupraNational | 0.2 |
Indonesia | 0.2 | % | |||||
Turkey | 0.1 | ||||||
Portugal | 0.1 | ||||||
99.2 | % |
* Calculated as a percentage of net assets
216
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.5% | |||||||||||
Australia — 4.4% | |||||||||||
AGL Energy, Ltd. | 6,783 | $ | 104,887 | ||||||||
Alumina, Ltd. | 26,535 | 45,909 | |||||||||
Amcor, Ltd. | 77,021 | 842,580 | |||||||||
AMP, Ltd. | 30,292 | 45,389 | |||||||||
APA Group | 11,877 | 84,411 | |||||||||
Aristocrat Leisure, Ltd. | 5,966 | 104,287 | |||||||||
ASX, Ltd. | 2,024 | 100,677 | |||||||||
Aurizon Holdings, Ltd. | 21,408 | 69,345 | |||||||||
AusNet Services | 17,123 | 21,621 | |||||||||
Australia & New Zealand Banking Group, Ltd. | 91,347 | 1,696,489 | |||||||||
Bank of Queensland, Ltd. | 3,909 | 25,344 | |||||||||
Bendigo & Adelaide Bank, Ltd. | 4,834 | 33,193 | |||||||||
BGP Holdings PLC†(1) | 98,723 | 21 | |||||||||
BHP Group, Ltd. | 40,149 | 1,097,054 | |||||||||
BlueScope Steel, Ltd. | 5,864 | 58,283 | |||||||||
Boral, Ltd. | 11,771 | 38,511 | |||||||||
Brambles, Ltd. | 142,355 | 1,192,227 | |||||||||
Caltex Australia, Ltd. | 2,829 | 52,724 | |||||||||
Challenger, Ltd. | 135,593 | 801,411 | |||||||||
CIMIC Group, Ltd. | 1,092 | 37,486 | |||||||||
Coca-Cola Amatil, Ltd. | 5,239 | 32,204 | |||||||||
Cochlear, Ltd. | 614 | 75,839 | |||||||||
Coles Group, Ltd.† | 11,756 | 98,948 | |||||||||
Commonwealth Bank of Australia | 18,136 | 913,265 | |||||||||
Computershare, Ltd. | 4,923 | 59,817 | |||||||||
Crown Resorts, Ltd. | 3,781 | 30,965 | |||||||||
CSL, Ltd. | 16,413 | 2,280,114 | |||||||||
Dexus | 10,547 | 95,377 | |||||||||
Domino's Pizza Enterprises, Ltd. | 627 | 19,349 | |||||||||
Flight Centre Travel Group, Ltd. | 558 | 16,708 | |||||||||
Fortescue Metals Group, Ltd. | 16,536 | 83,674 | |||||||||
Goodman Group | 16,865 | 159,758 | |||||||||
GPT Group | 18,657 | 82,206 | |||||||||
Harvey Norman Holdings, Ltd. | 5,932 | 16,951 | |||||||||
Incitec Pivot, Ltd. | 17,706 | 39,363 | |||||||||
Independence Group NL | 181,128 | 628,662 | |||||||||
Insurance Australia Group, Ltd. | 24,351 | 133,244 | |||||||||
LendLease Group | 5,835 | 51,404 | |||||||||
Macquarie Group, Ltd. | 15,412 | 1,416,461 | |||||||||
Medibank Private, Ltd. | 29,015 | 56,978 | |||||||||
Mirvac Group | 38,760 | 75,529 | |||||||||
National Australia Bank, Ltd. | 28,070 | 505,391 | |||||||||
Newcrest Mining, Ltd. | 7,846 | 141,768 | |||||||||
Orica, Ltd. | 3,932 | 49,389 | |||||||||
Origin Energy, Ltd. | 18,013 | 92,553 | |||||||||
QBE Insurance Group, Ltd. | 13,907 | 121,395 | |||||||||
Ramsay Health Care, Ltd. | 1,391 | 63,613 | |||||||||
REA Group, Ltd. | 561 | 29,873 | |||||||||
Rio Tinto, Ltd. | 10,465 | 729,964 | |||||||||
Santos, Ltd. | 19,215 | 93,629 | |||||||||
Scentre Group | 281,474 | 823,351 | |||||||||
SEEK, Ltd. | 3,474 | 43,393 | |||||||||
Sonic Healthcare, Ltd. | 4,481 | 78,255 | |||||||||
South32, Ltd. | 243,811 | 647,083 | |||||||||
Stockland | 24,654 | 67,473 |
Security Description | Shares | Value (Note 2) | |||||||||
Australia (continued) | |||||||||||
Suncorp Group, Ltd. | 13,608 | $ | 133,044 | ||||||||
Sydney Airport | 11,288 | 59,629 | |||||||||
Tabcorp Holdings, Ltd. | 20,565 | 67,566 | |||||||||
Telstra Corp., Ltd. | 114,213 | 269,848 | |||||||||
TPG Telecom, Ltd. | 3,455 | 17,107 | |||||||||
Transurban Group | 27,114 | 254,363 | |||||||||
Treasury Wine Estates, Ltd. | 7,506 | 79,887 | |||||||||
Vicinity Centres | 35,555 | 65,596 | |||||||||
Washington H. Soul Pattinson & Co., Ltd. | 1,114 | 20,833 | |||||||||
Wesfarmers, Ltd. | 11,756 | 289,561 | |||||||||
Westpac Banking Corp. | 35,496 | 652,777 | |||||||||
Woodside Petroleum, Ltd. | 9,707 | 239,409 | |||||||||
Woolworths Group, Ltd. | 13,503 | 292,086 | |||||||||
WorleyParsons, Ltd. | 68,621 | 691,856 | |||||||||
19,439,357 | |||||||||||
Austria — 0.6% | |||||||||||
ANDRITZ AG | 763 | 32,760 | |||||||||
Erste Group Bank AG | 60,145 | 2,210,656 | |||||||||
OMV AG | 1,554 | 84,288 | |||||||||
Raiffeisen Bank International AG | 1,502 | 33,747 | |||||||||
Verbund AG | 704 | 33,765 | |||||||||
voestalpine AG | 1,187 | 36,215 | |||||||||
2,431,431 | |||||||||||
Belgium — 0.7% | |||||||||||
Ageas | 1,940 | 93,593 | |||||||||
Anheuser-Busch InBev SA | 7,867 | 660,277 | |||||||||
Colruyt SA | 623 | 46,069 | |||||||||
Groupe Bruxelles Lambert SA | 854 | 83,071 | |||||||||
KBC Group NV | 2,568 | 179,581 | |||||||||
Proximus SADP | 1,599 | 46,153 | |||||||||
Solvay SA | 761 | 82,423 | |||||||||
Telenet Group Holding NV | 555 | 26,708 | |||||||||
UCB SA | 1,336 | 114,787 | |||||||||
Umicore SA | 41,632 | 1,857,016 | |||||||||
3,189,678 | |||||||||||
Bermuda — 0.4% | |||||||||||
CK Infrastructure Holdings, Ltd. | 7,000 | 57,466 | |||||||||
Dairy Farm International Holdings, Ltd. | 3,574 | 29,991 | |||||||||
Hongkong Land Holdings, Ltd. | 12,000 | 85,414 | |||||||||
Jardine Matheson Holdings, Ltd. | 2,303 | 143,758 | |||||||||
Jardine Strategic Holdings, Ltd. | 38,507 | 1,444,093 | |||||||||
Kerry Properties, Ltd. | 7,500 | 33,486 | |||||||||
NWS Holdings, Ltd. | 16,000 | 34,974 | |||||||||
Shangri-La Asia, Ltd. | 14,000 | 19,902 | |||||||||
Yue Yuen Industrial Holdings, Ltd. | 8,000 | 27,514 | |||||||||
1,876,598 | |||||||||||
Brazil — 0.2% | |||||||||||
B3 SA - Brasil Bolsa Balcao | 83,772 | 687,233 | |||||||||
Lojas Renner SA | 35,230 | 394,109 | |||||||||
1,081,342 |
217
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Canada — 1.3% | |||||||||||
Element Fleet Management Corp. | 134,434 | $ | 850,052 | ||||||||
Magna International, Inc. | 21,027 | 1,023,805 | |||||||||
National Bank of Canada | 23,100 | 1,042,512 | |||||||||
Nutrien, Ltd. | 24,067 | 1,269,310 | |||||||||
Sun Life Financial, Inc. | 35,300 | 1,356,158 | |||||||||
5,541,837 | |||||||||||
Cayman Islands — 2.4% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 13,555 | 2,473,110 | |||||||||
ASM Pacific Technology, Ltd. | 2,900 | 32,398 | |||||||||
Baidu, Inc. ADR† | 3,250 | 535,762 | |||||||||
BeiGene, Ltd. ADR† | 337 | 44,484 | |||||||||
China Mengniu Dairy Co., Ltd. | 238,000 | 885,201 | |||||||||
CK Asset Holdings, Ltd. | 26,860 | 238,802 | |||||||||
CK Hutchison Holdings, Ltd. | 140,024 | 1,470,566 | |||||||||
iQIYI, Inc. ADR† | 39,817 | 952,423 | |||||||||
Meituan Dianping, Class B† | 77,967 | 526,343 | |||||||||
Melco Resorts & Entertainment, Ltd. ADR | 2,522 | 56,972 | |||||||||
MGM China Holdings, Ltd. | 10,000 | 20,974 | |||||||||
Minth Group, Ltd. | 6,853 | 21,603 | |||||||||
Sands China, Ltd. | 25,200 | 126,620 | |||||||||
Tencent Holdings, Ltd. | 47,800 | 2,197,919 | |||||||||
WH Group, Ltd.* | 89,000 | 95,216 | |||||||||
Wharf Real Estate Investment Co., Ltd. | 13,000 | 96,786 | |||||||||
Wynn Macau, Ltd. | 16,000 | 37,832 | |||||||||
YY, Inc. ADR† | 8,955 | 752,310 | |||||||||
10,565,321 | |||||||||||
China — 0.4% | |||||||||||
China Pacific Insurance Group Co., Ltd. Class H | 155,000 | 608,082 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 99,000 | 1,108,446 | |||||||||
1,716,528 | |||||||||||
Denmark — 1.4% | |||||||||||
AP Moller - Maersk A/S, Series A | 40 | 48,413 | |||||||||
AP Moller - Maersk A/S, Series B | 67 | 85,082 | |||||||||
Carlsberg A/S, Class B | 1,089 | 136,078 | |||||||||
Chr. Hansen Holding A/S | 1,017 | 103,347 | |||||||||
Coloplast A/S, Class B | 1,237 | 135,756 | |||||||||
Danske Bank A/S | 38,539 | 676,882 | |||||||||
DSV A/S | 1,967 | 162,778 | |||||||||
Genmab A/S† | 637 | 110,559 | |||||||||
GN Store Nord A/S | 12,691 | 589,535 | |||||||||
H. Lundbeck A/S | 710 | 30,742 | |||||||||
ISS A/S | 1,700 | 51,746 | |||||||||
Novo Nordisk A/S, Class B | 30,945 | 1,620,118 | |||||||||
Novozymes A/S, Class B | 2,270 | 104,422 | |||||||||
Orsted A/S* | 1,930 | 146,330 | |||||||||
Pandora A/S | 1,128 | 52,863 |
Security Description | Shares | Value (Note 2) | |||||||||
Denmark (continued) | |||||||||||
Tryg A/S | 1,105 | $ | 30,329 | ||||||||
Vestas Wind Systems A/S | 23,129 | 1,948,054 | |||||||||
William Demant Holding A/S† | 1,135 | 33,611 | |||||||||
6,066,645 | |||||||||||
Finland — 0.9% | |||||||||||
Elisa Oyj | 1,527 | 68,918 | |||||||||
Fortum Oyj | 4,713 | 96,418 | |||||||||
Kone Oyj, Class B | 3,526 | 178,003 | |||||||||
Metso Oyj | 1,183 | 40,750 | |||||||||
Neste Oyj | 1,347 | 143,511 | |||||||||
Nokia Oyj | 58,214 | 331,173 | |||||||||
Nokian Renkaat Oyj | 1,205 | 40,371 | |||||||||
Nordea Bank Abp | 108,001 | 822,253 | |||||||||
Orion Oyj, Class B | 1,086 | 40,725 | |||||||||
Sampo Oyj, Class A | 4,653 | 211,026 | |||||||||
Stora Enso Oyj, Class R | 63,160 | 774,834 | |||||||||
UPM-Kymmene Oyj | 5,406 | 157,872 | |||||||||
Wartsila Oyj Abp | 66,430 | 1,072,911 | |||||||||
3,978,765 | |||||||||||
France — 8.4% | |||||||||||
Accor SA | 1,948 | 78,949 | |||||||||
Aeroports de Paris | 308 | 59,590 | |||||||||
Air Liquide SA | 12,060 | 1,535,565 | |||||||||
Alstom SA | 1,576 | 68,387 | |||||||||
Amundi SA* | 15,343 | 968,057 | |||||||||
Arkema SA | 696 | 66,460 | |||||||||
Atos SE | 960 | 92,932 | |||||||||
AXA SA | 85,947 | 2,165,746 | |||||||||
BioMerieux | 413 | 34,226 | |||||||||
BNP Paribas SA | 40,645 | 1,948,013 | |||||||||
Bollore SA | 9,113 | 41,256 | |||||||||
Bouygues SA | 2,257 | 80,696 | |||||||||
Bureau Veritas SA | 2,781 | 65,352 | |||||||||
Capgemini SE | 1,636 | 198,973 | |||||||||
Carrefour SA | 6,119 | 114,458 | |||||||||
Casino Guichard Perrachon SA | 591 | 25,666 | |||||||||
Cie de Saint-Gobain | 5,076 | 184,136 | |||||||||
Cie Generale des Etablissements Michelin SCA | 1,754 | 207,915 | |||||||||
CNP Assurances | 1,782 | 39,242 | |||||||||
Covivio | 471 | 50,017 | |||||||||
Credit Agricole SA | 11,831 | 143,339 | |||||||||
Danone SA | 6,385 | 492,500 | |||||||||
Dassault Aviation SA | 26 | 38,361 | |||||||||
Dassault Systemes SE | 1,344 | 200,405 | |||||||||
Edenred | 2,437 | 110,991 | |||||||||
Eiffage SA | 807 | 77,589 | |||||||||
Electricite de France SA | 6,068 | 83,042 | |||||||||
Engie SA | 103,097 | 1,538,007 | |||||||||
EssilorLuxottica SA | 15,022 | 1,641,666 | |||||||||
Eurazeo SE | 496 | 37,335 | |||||||||
Eutelsat Communications SA | 35,119 | 615,686 | |||||||||
Faurecia SA | 780 | 32,967 | |||||||||
Gecina SA | 473 | 70,011 | |||||||||
Getlink SE | 4,945 | 75,034 | |||||||||
Hermes International | 326 | 215,445 |
218
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
France (continued) | |||||||||||
ICADE | 347 | $ | 29,361 | ||||||||
Iliad SA | 279 | 28,074 | |||||||||
Imerys SA | 374 | 18,698 | |||||||||
Ingenico Group SA | 573 | 41,006 | |||||||||
Ipsen SA | 381 | 52,315 | |||||||||
JCDecaux SA | 704 | 21,464 | |||||||||
Kering SA | 2,572 | 1,479,157 | |||||||||
Klepierre SA | 2,112 | 73,974 | |||||||||
L'Oreal SA | 8,186 | 2,203,162 | |||||||||
Legrand SA | 11,792 | 790,502 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,881 | 1,062,455 | |||||||||
Natixis SA | 9,887 | 52,942 | |||||||||
Orange SA | 20,623 | 335,726 | |||||||||
Pernod Ricard SA | 2,185 | 392,448 | |||||||||
Peugeot SA | 6,014 | 147,019 | |||||||||
Publicis Groupe SA | 2,189 | 117,426 | |||||||||
Remy Cointreau SA | 266 | 35,495 | |||||||||
Renault SA | 1,962 | 129,962 | |||||||||
Rexel SA | 2,934 | 33,122 | |||||||||
Safran SA | 3,459 | 474,620 | |||||||||
Sanofi | 30,213 | 2,671,708 | |||||||||
Sartorius Stedim Biotech | 286 | 36,241 | |||||||||
Schneider Electric SE | 34,552 | 2,717,304 | |||||||||
SCOR SE | 1,740 | 74,133 | |||||||||
SEB SA | 229 | 38,554 | |||||||||
Societe BIC SA | 300 | 26,761 | |||||||||
Societe Generale SA | 7,848 | 227,516 | |||||||||
Sodexo SA | 948 | 104,415 | |||||||||
Suez | 3,780 | 50,089 | |||||||||
Teleperformance | 587 | 105,557 | |||||||||
Thales SA | 1,091 | 130,886 | |||||||||
TOTAL SA | 130,410 | 7,242,025 | |||||||||
Ubisoft Entertainment SA† | 811 | 72,370 | |||||||||
Valeo SA | 2,395 | 69,728 | |||||||||
Veolia Environnement SA | 5,573 | 124,651 | |||||||||
Vinci SA | 5,255 | 511,522 | |||||||||
Vivendi SA | 64,867 | 1,880,511 | |||||||||
Wendel SA | 290 | 36,597 | |||||||||
37,037,510 | |||||||||||
Germany — 8.5% | |||||||||||
1&1 Drillisch AG | 542 | 19,265 | |||||||||
adidas AG | 8,167 | 1,984,117 | |||||||||
Allianz SE | 4,444 | 988,430 | |||||||||
Axel Springer SE | 503 | 25,960 | |||||||||
BASF SE | 23,447 | 1,721,982 | |||||||||
Bayer AG | 35,594 | 2,300,385 | |||||||||
Bayerische Motoren Werke AG | 31,893 | 2,459,456 | |||||||||
Bayerische Motoren Werke AG (Preference Shares) | 574 | 37,730 | |||||||||
Beiersdorf AG | 13,127 | 1,365,681 | |||||||||
Brenntag AG | 1,649 | 84,879 | |||||||||
Commerzbank AG† | 41,775 | 323,329 | |||||||||
Continental AG | 6,518 | 981,172 | |||||||||
Covestro AG* | 11,703 | 643,803 |
Security Description | Shares | Value (Note 2) | |||||||||
Germany (continued) | |||||||||||
Daimler AG | 9,429 | $ | 552,558 | ||||||||
Delivery Hero SE†* | 950 | 34,327 | |||||||||
Deutsche Bank AG | 20,290 | 165,232 | |||||||||
Deutsche Boerse AG | 2,000 | 256,430 | |||||||||
Deutsche Lufthansa AG | 2,440 | 53,546 | |||||||||
Deutsche Post AG | 10,130 | 329,557 | |||||||||
Deutsche Telekom AG | 34,470 | 572,130 | |||||||||
Deutsche Wohnen SE | 27,191 | 1,319,066 | |||||||||
E.ON SE | 57,852 | 643,375 | |||||||||
Evonik Industries AG | 1,645 | 44,788 | |||||||||
Fraport AG Frankfurt Airport Services Worldwide | 430 | 32,922 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 18,517 | 1,489,453 | |||||||||
Fresenius SE & Co. KGaA | 26,483 | 1,475,164 | |||||||||
Fuchs Petrolub SE (Preference Shares) | 724 | 29,799 | |||||||||
GEA Group AG | 48,930 | 1,281,649 | |||||||||
Hannover Rueck SE | 632 | 90,742 | |||||||||
HeidelbergCement AG | 1,508 | 108,408 | |||||||||
Henkel AG & Co. KGaA | 1,047 | 99,493 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 1,823 | 186,043 | |||||||||
HOCHTIEF AG | 210 | 30,394 | |||||||||
HUGO BOSS AG | 701 | 47,856 | |||||||||
Infineon Technologies AG | 98,040 | 1,945,026 | |||||||||
Innogy SE* | 1,401 | 64,782 | |||||||||
KION Group AG | 727 | 38,008 | |||||||||
Knorr-Bremse AG† | 17,726 | 1,760,569 | |||||||||
LANXESS AG | 971 | 51,789 | |||||||||
Merck KGaA | 1,324 | 150,965 | |||||||||
METRO AG | 1,827 | 30,292 | |||||||||
MTU Aero Engines AG | 524 | 118,639 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 8,463 | 2,003,086 | |||||||||
OSRAM Licht AG | 1,017 | 34,988 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 1,619 | 101,602 | |||||||||
ProSiebenSat.1 Media SE | 2,374 | 33,834 | |||||||||
Puma SE | 88 | 51,043 | |||||||||
RWE AG | 5,356 | 143,515 | |||||||||
SAP SE | 24,085 | 2,782,885 | |||||||||
Sartorius AG (Preference Shares) | 369 | 63,289 | |||||||||
Siemens AG | 29,705 | 3,196,832 | |||||||||
Siemens Healthineers AG* | 14,012 | 584,010 | |||||||||
Stroeer SE & Co. KGaA | 8,749 | 512,480 | |||||||||
Symrise AG | 1,317 | 118,607 | |||||||||
Telefonica Deutschland Holding AG | 247,392 | 776,852 | |||||||||
thyssenkrupp AG | 4,573 | 62,823 | |||||||||
TUI AG | 4,515 | 43,410 | |||||||||
Uniper SE | 2,064 | 62,273 | |||||||||
United Internet AG | 1,298 | 47,380 | |||||||||
Volkswagen AG | 332 | 54,034 |
219
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Germany (continued) | |||||||||||
Volkswagen AG (Preference Shares) | 1,918 | $ | 301,877 | ||||||||
Vonovia SE | 5,088 | 263,741 | |||||||||
Wirecard AG | 1,195 | 149,812 | |||||||||
Zalando SE†* | 10,048 | 391,741 | |||||||||
37,719,305 | |||||||||||
Hong Kong — 2.4% | |||||||||||
AIA Group, Ltd. | 590,000 | 5,872,862 | |||||||||
Bank of East Asia, Ltd. | 12,600 | 40,928 | |||||||||
Beijing Enterprises Holdings, Ltd . | 83,000 | 470,984 | |||||||||
BOC Hong Kong Holdings, Ltd. | 389,500 | 1,612,430 | |||||||||
CLP Holdings, Ltd. | 17,000 | 197,257 | |||||||||
Galaxy Entertainment Group, Ltd. | 25,000 | 170,190 | |||||||||
Hang Lung Group, Ltd. | 9,000 | 28,890 | |||||||||
Hang Lung Properties, Ltd. | 20,000 | 48,811 | |||||||||
Hang Seng Bank, Ltd. | 7,900 | 194,920 | |||||||||
Henderson Land Development Co., Ltd. | 13,966 | 88,770 | |||||||||
Hong Kong & China Gas Co., Ltd. | 94,517 | 226,594 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 12,200 | 425,162 | |||||||||
Hysan Development Co., Ltd. | 6,000 | 32,138 | |||||||||
Link REIT | 22,000 | 257,258 | |||||||||
MTR Corp., Ltd. | 16,000 | 99,184 | |||||||||
New World Development Co., Ltd. | 62,000 | 102,821 | |||||||||
PCCW, Ltd. | 40,000 | 24,867 | |||||||||
Power Assets Holdings, Ltd. | 14,500 | 100,573 | |||||||||
Sino Land Co., Ltd. | 32,000 | 61,873 | |||||||||
SJM Holdings, Ltd. | 24,000 | 27,389 | |||||||||
Sun Hung Kai Properties, Ltd. | 16,500 | 283,100 | |||||||||
Swire Pacific, Ltd., Class A | 5,000 | 64,400 | |||||||||
Swire Properties, Ltd. | 12,600 | 54,208 | |||||||||
Techtronic Industries Co., Ltd. | 14,500 | 97,752 | |||||||||
Wharf Holdings, Ltd. | 14,000 | 42,263 | |||||||||
Wheelock & Co., Ltd. | 8,000 | 58,707 | |||||||||
10,684,331 | |||||||||||
India — 0.4% | |||||||||||
HDFC Bank, Ltd. ADR | 11,504 | 1,333,429 | |||||||||
Infosys, Ltd. ADR | 40,300 | 440,479 | |||||||||
1,773,908 | |||||||||||
Indonesia — 0.2% | |||||||||||
Bank Central Asia Tbk PT | 381,200 | 743,447 | |||||||||
Ireland — 0.4% | |||||||||||
AIB Group PLC | 8,316 | 37,359 | |||||||||
Bank of Ireland Group PLC | 9,701 | 57,809 | |||||||||
CRH PLC | 8,673 | 268,984 | |||||||||
DCC PLC | 11,759 | 1,019,915 | |||||||||
James Hardie Industries PLC CDI | 4,748 | 61,259 | |||||||||
Kerry Group PLC, Class A | 1,620 | 180,882 | |||||||||
Kingspan Group PLC | 1,583 | 73,328 | |||||||||
Paddy Power Betfair PLC | 876 | 67,571 | |||||||||
Smurfit Kappa Group PLC | 2,335 | 65,213 | |||||||||
1,832,320 | |||||||||||
Isle of Man — 0.0% | |||||||||||
GVC Holdings PLC | 5,616 | 40,929 |
Security Description | Shares | Value (Note 2) | |||||||||
Israel — 0.4% | |||||||||||
Azrieli Group, Ltd. | 393 | $ | 23,292 | ||||||||
Bank Hapoalim B.M. | 11,156 | 74,154 | |||||||||
Bank Leumi Le-Israel B.M. | 15,004 | 98,400 | |||||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 20,857 | 14,998 | |||||||||
Check Point Software Technologies, Ltd.† | 9,575 | 1,211,142 | |||||||||
Elbit Systems, Ltd. | 233 | 30,140 | |||||||||
Israel Chemicals, Ltd. | 7,465 | 39,096 | |||||||||
Mizrahi Tefahot Bank, Ltd. | 1,559 | 32,148 | |||||||||
NICE, Ltd.† | 634 | 77,289 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR† | 9,988 | 156,612 | |||||||||
Wix.com, Ltd.† | 450 | 54,374 | |||||||||
1,811,645 | |||||||||||
Italy — 1.4% | |||||||||||
Assicurazioni Generali SpA | 12,152 | 225,002 | |||||||||
Atlantia SpA | 5,090 | 132,073 | |||||||||
Davide Campari-Milano SpA | 5,818 | 57,175 | |||||||||
Enel SpA | 84,332 | 539,775 | |||||||||
Eni SpA | 26,377 | 465,965 | |||||||||
Intesa Sanpaolo SpA | 424,315 | 1,034,045 | |||||||||
Leonardo SpA | 4,269 | 49,777 | |||||||||
Mediobanca Banca di Credito Finanziario SpA | 6,432 | 66,865 | |||||||||
Moncler SpA | 23,723 | 958,876 | |||||||||
Pirelli & C SpA†* | 4,067 | 26,257 | |||||||||
Poste Italiane SpA* | 5,317 | 51,747 | |||||||||
Prysmian SpA | 72,927 | 1,380,513 | |||||||||
Recordati SpA | 1,080 | 42,098 | |||||||||
Snam SpA | 23,393 | 120,337 | |||||||||
Telecom Italia SpA† | 115,914 | 72,109 | |||||||||
Telecom Italia SpA (RSP) | 800,803 | 456,097 | |||||||||
Terna Rete Elettrica Nazionale SpA | 14,591 | 92,555 | |||||||||
UniCredit SpA | 20,455 | 262,433 | |||||||||
6,033,699 | |||||||||||
Japan — 20.6% | |||||||||||
ABC-Mart, Inc. | 300 | 17,877 | |||||||||
Acom Co., Ltd. | 4,200 | 15,010 | |||||||||
Aeon Co., Ltd. | 6,300 | 131,974 | |||||||||
AEON Financial Service Co., Ltd. | 1,300 | 26,485 | |||||||||
Aeon Mall Co., Ltd. | 1,300 | 21,409 | |||||||||
AGC, Inc. | 1,900 | 66,759 | |||||||||
Air Water, Inc. | 1,700 | 24,715 | |||||||||
Aisin Seiki Co., Ltd. | 11,300 | 405,314 | |||||||||
Ajinomoto Co., Inc. | 4,700 | 75,203 | |||||||||
Alfresa Holdings Corp. | 1,900 | 54,143 | |||||||||
Alps Apine Co., Ltd. | 2,025 | 42,448 | |||||||||
Amada Holdings Co., Ltd. | 3,200 | 31,711 | |||||||||
ANA Holdings, Inc. | 1,300 | 47,701 | |||||||||
Aozora Bank, Ltd. | 1,300 | 32,194 | |||||||||
Asahi Group Holdings, Ltd. | 3,700 | 165,250 | |||||||||
Asahi Intecc Co., Ltd. | 1,000 | 47,078 | |||||||||
Asahi Kasei Corp. | 101,600 | 1,053,141 |
220
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Asics Corp. | 1,700 | $ | 22,857 | ||||||||
Astellas Pharma, Inc. | 132,600 | 1,989,441 | |||||||||
Bandai Namco Holdings, Inc. | 2,100 | 98,566 | |||||||||
Bank of Kyoto, Ltd. | 500 | 20,978 | |||||||||
Benesse Holdings, Inc. | 800 | 20,827 | |||||||||
Bridgestone Corp. | 53,000 | 2,046,437 | |||||||||
Brother Industries, Ltd. | 2,400 | 44,528 | |||||||||
Calbee, Inc. | 900 | 24,271 | |||||||||
Canon, Inc. | 10,300 | 299,295 | |||||||||
Casio Computer Co., Ltd. | 1,900 | 24,854 | |||||||||
Central Japan Railway Co. | 5,900 | 1,371,084 | |||||||||
Chiba Bank, Ltd. | 6,200 | 33,760 | |||||||||
Chubu Electric Power Co., Inc. | 6,300 | 98,378 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 2,300 | 158,398 | |||||||||
Chugoku Electric Power Co., Inc. | 3,100 | 38,685 | |||||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 1,438 | 36,549 | |||||||||
Concordia Financial Group, Ltd. | 11,300 | 43,608 | |||||||||
Credit Saison Co., Ltd. | 1,600 | 21,139 | |||||||||
CyberAgent, Inc. | 13,951 | 570,577 | |||||||||
Dai Nippon Printing Co., Ltd. | 2,600 | 62,299 | |||||||||
Dai-ichi Life Holdings, Inc. | 11,000 | 153,280 | |||||||||
Daicel Corp. | 3,000 | 32,646 | |||||||||
Daifuku Co., Ltd. | 1,048 | 54,835 | |||||||||
Daiichi Sankyo Co., Ltd. | 5,800 | 268,296 | |||||||||
Daikin Industries, Ltd. | 2,600 | 305,436 | |||||||||
Daito Trust Construction Co., Ltd. | 700 | 97,583 | |||||||||
Daiwa House Industry Co., Ltd. | 5,900 | 187,703 | |||||||||
Daiwa House REIT Investment Corp. | 18 | 39,957 | |||||||||
Daiwa Securities Group, Inc. | 16,800 | 82,031 | |||||||||
DeNA Co., Ltd. | 1,300 | 19,596 | |||||||||
Denso Corp. | 4,500 | 175,846 | |||||||||
Dentsu, Inc. | 2,200 | 93,216 | |||||||||
Disco Corp. | 300 | 42,905 | |||||||||
East Japan Railway Co. | 3,200 | 309,474 | |||||||||
Eisai Co., Ltd. | 2,600 | 146,236 | |||||||||
Electric Power Development Co., Ltd. | 30,400 | 741,191 | |||||||||
FamilyMart UNY Holdings Co., Ltd. | 2,800 | 71,387 | |||||||||
FANUC Corp. | 2,000 | 342,305 | |||||||||
Fast Retailing Co., Ltd. | 600 | 282,457 | |||||||||
Fuji Electric Co., Ltd. | 1,200 | 34,219 | |||||||||
FUJIFILM Holdings Corp. | 4,000 | 182,250 | |||||||||
Fujitsu, Ltd. | 2,000 | 144,835 | |||||||||
Fukuoka Financial Group, Inc. | 1,600 | 35,596 | |||||||||
Hakuhodo DY Holdings, Inc. | 2,300 | 37,031 | |||||||||
Hamamatsu Photonics KK | 11,500 | 446,541 | |||||||||
Hankyu Hanshin Holdings, Inc. | 2,500 | 93,948 | |||||||||
Hikari Tsushin, Inc. | 200 | 37,933 | |||||||||
Hino Motors, Ltd. | 2,700 | 22,806 | |||||||||
Hirose Electric Co., Ltd. | 325 | 34,297 | |||||||||
Hisamitsu Pharmaceutical Co., Inc. | 600 | 27,700 | |||||||||
Hitachi Chemical Co., Ltd. | 1,200 | 26,688 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Hitachi Construction Machinery Co., Ltd. | 1,200 | $ | 31,998 | ||||||||
Hitachi High-Technologies Corp. | 800 | 32,887 | |||||||||
Hitachi Metals, Ltd. | 2,400 | 27,970 | |||||||||
Hitachi, Ltd. | 10,000 | 324,903 | |||||||||
Honda Motor Co., Ltd. | 32,600 | 883,562 | |||||||||
Hoshizaki Corp. | 600 | 37,263 | |||||||||
Hoya Corp. | 3,900 | 258,062 | |||||||||
Hulic Co., Ltd. | 3,000 | 29,479 | |||||||||
Idemitsu Kosan Co., Ltd. | 1,500 | 50,103 | |||||||||
IHI Corp. | 1,500 | 36,159 | |||||||||
Iida Group Holdings Co., Ltd. | 1,700 | 30,868 | |||||||||
Inpex Corp. | 10,500 | 99,667 | |||||||||
Isetan Mitsukoshi Holdings, Ltd. | 3,400 | 34,399 | |||||||||
Isuzu Motors, Ltd. | 5,600 | 73,878 | |||||||||
ITOCHU Corp. | 14,500 | 263,133 | |||||||||
J. Front Retailing Co., Ltd. | 2,400 | 28,631 | |||||||||
Japan Airlines Co., Ltd. | 1,200 | 42,269 | |||||||||
Japan Airport Terminal Co., Ltd. | 500 | 21,209 | |||||||||
Japan Exchange Group, Inc. | 5,400 | 96,116 | |||||||||
Japan Post Bank Co., Ltd. | 4,100 | 44,827 | |||||||||
Japan Post Holdings Co., Ltd. | 16,200 | 189,676 | |||||||||
Japan Prime Realty Investment Corp . | 10 | 41,192 | |||||||||
Japan Real Estate Investment Corp. | 14 | 82,531 | |||||||||
Japan Retail Fund Investment Corp. | 27 | 54,279 | |||||||||
Japan Tobacco, Inc. | 11,400 | 283,168 | |||||||||
JFE Holdings, Inc. | 5,200 | 88,425 | |||||||||
JGC Corp. | 2,100 | 28,040 | |||||||||
JSR Corp. | 2,000 | 31,108 | |||||||||
JTEKT Corp. | 2,200 | 27,182 | |||||||||
JXTG Holdings, Inc. | 33,550 | 152,742 | |||||||||
Kajima Corp. | 4,500 | 66,528 | |||||||||
Kakaku.com, Inc. | 1,500 | 28,898 | |||||||||
Kamigumi Co., Ltd. | 1,200 | 27,831 | |||||||||
Kaneka Corp. | 600 | 22,565 | |||||||||
Kansai Electric Power Co., Inc. | 7,400 | 109,183 | |||||||||
Kansai Paint Co., Ltd. | 1,700 | 32,468 | |||||||||
Kao Corp. | 5,100 | 402,631 | |||||||||
Kawasaki Heavy Industries, Ltd. | 1,500 | 37,074 | |||||||||
KDDI Corp. | 67,500 | 1,456,015 | |||||||||
Keihan Holdings Co., Ltd. | 1,000 | 42,100 | |||||||||
Keikyu Corp. | 2,500 | 42,530 | |||||||||
Keio Corp. | 1,100 | 71,183 | |||||||||
Keisei Electric Railway Co., Ltd. | 1,300 | 47,296 | |||||||||
Keyence Corp. | 3,300 | 2,061,723 | |||||||||
Kikkoman Corp. | 1,500 | 73,691 | |||||||||
Kintetsu Group Holdings Co., Ltd. | 1,800 | 83,962 | |||||||||
Kirin Holdings Co., Ltd. | 31,700 | 758,904 | |||||||||
Kobayashi Pharmaceutical Co., Ltd. | 499 | 42,181 | |||||||||
Kobe Steel, Ltd. | 3,200 | 24,107 | |||||||||
Koito Manufacturing Co., Ltd. | 1,100 | 62,605 | |||||||||
Komatsu, Ltd. | 9,400 | 219,830 | |||||||||
Konami Holdings Corp. | 1,000 | 43,481 | |||||||||
Konica Minolta, Inc. | 4,800 | 47,342 | |||||||||
Kose Corp. | 340 | 62,702 | |||||||||
Kubota Corp. | 71,100 | 1,031,886 | |||||||||
Kuraray Co., Ltd. | 3,500 | 44,616 |
221
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Kurita Water Industries, Ltd. | 1,100 | $ | 28,128 | ||||||||
Kyocera Corp. | 3,300 | 194,378 | |||||||||
Kyowa Hakko Kirin Co., Ltd. | 2,600 | 56,661 | |||||||||
Kyushu Electric Power Co., Inc. | 3,900 | 46,074 | |||||||||
Kyushu Railway Co. | 1,700 | 55,927 | |||||||||
Lawson, Inc. | 500 | 27,733 | |||||||||
LINE Corp.† | 700 | 24,616 | |||||||||
Lion Corp. | 2,300 | 48,467 | |||||||||
LIXIL Group Corp. | 2,800 | 37,430 | |||||||||
M3, Inc. | 4,400 | 74,071 | |||||||||
Makita Corp. | 29,000 | 1,011,835 | |||||||||
Marubeni Corp. | 16,200 | 112,534 | |||||||||
Marui Group Co., Ltd. | 2,000 | 40,457 | |||||||||
Maruichi Steel Tube, Ltd. | 700 | 20,426 | |||||||||
Mazda Motor Corp. | 5,900 | 66,168 | |||||||||
McDonald's Holdings Co. Japan, Ltd. | 700 | 32,402 | |||||||||
Mebuki Financial Group, Inc. | 9,600 | 24,606 | |||||||||
Medipal Holdings Corp. | 1,700 | 40,432 | |||||||||
MEIJI Holdings Co., Ltd. | 1,300 | 105,614 | |||||||||
Minebea Mitsumi, Inc. | 4,000 | 60,447 | |||||||||
Miraca Holdings, Inc. | 10,600 | 264,245 | |||||||||
MISUMI Group, Inc. | 2,900 | 72,489 | |||||||||
Mitsubishi Chemical Holdings Corp. | 13,200 | 93,211 | |||||||||
Mitsubishi Corp. | 48,500 | 1,351,447 | |||||||||
Mitsubishi Electric Corp. | 140,600 | 1,814,226 | |||||||||
Mitsubishi Estate Co., Ltd. | 12,200 | 221,576 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 1,700 | 24,334 | |||||||||
Mitsubishi Heavy Industries, Ltd. | 3,200 | 133,097 | |||||||||
Mitsubishi Materials Corp. | 1,100 | 29,103 | |||||||||
Mitsubishi Motors Corp. | 6,800 | 36,262 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 2,400 | 32,099 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 725,500 | 3,600,834 | |||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 91,500 | 466,928 | |||||||||
Mitsui & Co., Ltd. | 17,200 | 267,502 | |||||||||
Mitsui Chemicals, Inc. | 1,900 | 46,000 | |||||||||
Mitsui Fudosan Co., Ltd. | 40,600 | 1,022,935 | |||||||||
Mitsui OSK Lines, Ltd. | 1,300 | 28,082 | |||||||||
Mizuho Financial Group, Inc. | 250,100 | 387,624 | |||||||||
MonotaRO Co., Ltd. | 1,300 | 29,005 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 4,900 | 149,361 | |||||||||
Murata Manufacturing Co., Ltd . | 44,100 | 2,204,994 | |||||||||
Nabtesco Corp. | 43,000 | 1,261,376 | |||||||||
Nagoya Railroad Co., Ltd. | 1,900 | 52,721 | |||||||||
NEC Corp. | 2,700 | 91,782 | |||||||||
Nexon Co., Ltd.† | 76,100 | 1,195,886 | |||||||||
NGK Insulators, Ltd. | 2,800 | 40,793 | |||||||||
NGK Spark Plug Co., Ltd. | 1,700 | 31,678 | |||||||||
NH Foods, Ltd. | 900 | 32,409 | |||||||||
Nidec Corp. | 2,300 | 293,603 | |||||||||
Nikon Corp. | 3,500 | 49,477 | |||||||||
Nintendo Co., Ltd. | 7,700 | 2,205,040 | |||||||||
Nippon Building Fund, Inc. | 14 | 94,783 | |||||||||
Nippon Electric Glass Co., Ltd. | 1,000 | 26,628 | |||||||||
Nippon Express Co., Ltd. | 800 | 44,576 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Nippon Paint Holdings Co., Ltd. | 1,500 | $ | 59,096 | ||||||||
Nippon Prologis REIT, Inc. | 17 | 36,184 | |||||||||
Nippon Steel & Sumitomo Metal Corp. | 8,300 | 146,831 | |||||||||
Nippon Telegraph & Telephone Corp. | 64,300 | 2,733,097 | |||||||||
Nippon Yusen KK | 1,700 | 25,004 | |||||||||
Nissan Chemical Corp. | 1,300 | 59,681 | |||||||||
Nissan Motor Co., Ltd. | 23,800 | 195,676 | |||||||||
Nisshin Seifun Group, Inc. | 2,000 | 45,934 | |||||||||
Nissin Foods Holdings Co., Ltd. | 700 | 48,207 | |||||||||
Nitori Holdings Co., Ltd. | 800 | 103,522 | |||||||||
Nitto Denko Corp. | 1,700 | 89,624 | |||||||||
Nomura Holdings, Inc. | 35,600 | 127,681 | |||||||||
Nomura Real Estate Holdings, Inc. | 1,500 | 28,854 | |||||||||
Nomura Real Estate Master Fund, Inc. | 40 | 58,951 | |||||||||
Nomura Research Institute, Ltd. | 1,200 | 54,715 | |||||||||
NSK, Ltd. | 4,000 | 37,597 | |||||||||
NTT Data Corp. | 6,300 | 69,605 | |||||||||
NTT DOCOMO, Inc. | 13,700 | 303,827 | |||||||||
Obayashi Corp. | 6,400 | 64,599 | |||||||||
OBIC Co., Ltd. | 700 | 70,855 | |||||||||
Odakyu Electric Railway Co., Ltd. | 2,900 | 70,421 | |||||||||
Oji Holdings Corp. | 9,000 | 55,983 | |||||||||
Olympus Corp. | 11,600 | 126,136 | |||||||||
Omron Corp. | 15,500 | 729,172 | |||||||||
Ono Pharmaceutical Co., Ltd. | 4,000 | 78,655 | |||||||||
Oracle Corp. Japan | 400 | 26,905 | |||||||||
Oriental Land Co., Ltd. | 2,100 | 238,778 | |||||||||
ORIX Corp. | 83,300 | 1,199,085 | |||||||||
Osaka Gas Co., Ltd. | 3,900 | 77,075 | |||||||||
Otsuka Corp. | 1,100 | 41,241 | |||||||||
Otsuka Holdings Co., Ltd. | 4,000 | 158,109 | |||||||||
Pan Pacific International Holdings Corp | 1,200 | 79,555 | |||||||||
Panasonic Corp. | 108,500 | 938,865 | |||||||||
Park24 Co., Ltd. | 1,200 | 26,089 | |||||||||
Persol Holdings Co., Ltd. | 1,701 | 27,727 | |||||||||
Pigeon Corp. | 1,200 | 49,213 | |||||||||
Pola Orbis Holdings, Inc. | 12,144 | 388,215 | |||||||||
Rakuten, Inc. | 8,800 | 83,573 | |||||||||
Recruit Holdings Co., Ltd. | 102,200 | 2,929,183 | |||||||||
Renesas Electronics Corp.† | 62,421 | 290,697 | |||||||||
Resona Holdings, Inc. | 21,700 | 94,206 | |||||||||
Ricoh Co., Ltd. | 7,000 | 73,387 | |||||||||
Rinnai Corp. | 300 | 21,263 | |||||||||
Rohm Co., Ltd. | 1,000 | 62,698 | |||||||||
Ryohin Keikaku Co., Ltd. | 220 | 55,937 | |||||||||
Sankyo Co., Ltd. | 500 | 19,091 | |||||||||
Santen Pharmaceutical Co., Ltd. | 84,300 | 1,262,185 | |||||||||
SBI Holdings, Inc. | 2,400 | 53,744 | |||||||||
Secom Co., Ltd. | 2,200 | 188,718 | |||||||||
Sega Sammy Holdings, Inc. | 1,900 | 22,470 | |||||||||
Seibu Holdings, Inc. | 2,300 | 40,302 | |||||||||
Seiko Epson Corp. | 2,900 | 44,491 | |||||||||
Sekisui Chemical Co., Ltd. | 97,400 | 1,567,994 | |||||||||
Sekisui House, Ltd. | 6,300 | 104,404 |
222
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Seven & i Holdings Co., Ltd. | 33,000 | $ | 1,245,271 | ||||||||
Seven Bank, Ltd. | 6,300 | 18,638 | |||||||||
SG Holdings Co., Ltd. | 1,072 | 31,294 | |||||||||
Sharp Corp. | 2,200 | 24,361 | |||||||||
Shimadzu Corp. | 2,300 | 66,818 | |||||||||
Shimamura Co., Ltd. | 200 | 16,940 | |||||||||
Shimano, Inc. | 800 | 130,444 | |||||||||
Shimizu Corp. | 5,600 | 48,809 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 3,800 | 319,640 | |||||||||
Shinsei Bank, Ltd.† | 1,800 | 25,601 | |||||||||
Shionogi & Co., Ltd. | 2,800 | 173,613 | |||||||||
Shiseido Co., Ltd. | 3,900 | 282,252 | |||||||||
Shizuoka Bank, Ltd. | 4,500 | 34,325 | |||||||||
Showa Denko KK | 1,400 | 49,538 | |||||||||
Showa Shell Sekiyu KK | 1,900 | 26,042 | |||||||||
SMC Corp. | 6,400 | 2,415,769 | |||||||||
Softbank Corp. | 17,300 | 195,133 | |||||||||
SoftBank Group Corp. | 15,700 | 1,530,214 | |||||||||
Sohgo Security Services Co., Ltd. | 700 | 30,547 | |||||||||
Sompo Holdings, Inc. | 3,400 | 125,621 | |||||||||
Sony Corp. | 25,900 | 1,090,117 | |||||||||
Sony Financial Holdings, Inc. | 1,700 | 32,038 | |||||||||
Stanley Electric Co., Ltd. | 19,100 | 515,342 | |||||||||
Subaru Corp. | 6,300 | 144,006 | |||||||||
SUMCO Corp. | 2,512 | 28,140 | |||||||||
Sumitomo Chemical Co., Ltd. | 15,000 | 70,022 | |||||||||
Sumitomo Corp. | 111,200 | 1,542,486 | |||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 1,700 | 42,138 | |||||||||
Sumitomo Electric Industries, Ltd . | 7,600 | 101,157 | |||||||||
Sumitomo Heavy Industries, Ltd. | 1,200 | 39,041 | |||||||||
Sumitomo Metal Mining Co., Ltd . | 19,600 | 583,475 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 13,700 | 479,409 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 23,800 | 856,502 | |||||||||
Sumitomo Realty & Development Co., Ltd. | 4,000 | 165,979 | |||||||||
Sumitomo Rubber Industries, Ltd. | 21,500 | 258,577 | |||||||||
Sundrug Co., Ltd. | 696 | 19,227 | |||||||||
Suntory Beverage & Food, Ltd. | 1,400 | 65,769 | |||||||||
Suzuken Co., Ltd. | 700 | 40,568 | |||||||||
Suzuki Motor Corp. | 41,800 | 1,853,863 | |||||||||
Sysmex Corp. | 1,700 | 103,127 | |||||||||
T&D Holdings, Inc. | 5,500 | 57,984 | |||||||||
Taiheiyo Cement Corp. | 1,300 | 43,412 | |||||||||
Taisei Corp. | 2,200 | 102,357 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 400 | 38,205 | |||||||||
Taiyo Nippon Sanso Corp. | 1,300 | 19,841 | |||||||||
Takashimaya Co., Ltd. | 1,500 | 20,008 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 57,000 | 2,332,822 | |||||||||
Takeda Pharmaceutical Co., Ltd. ADR. | 36,088 | 735,105 | |||||||||
TDK Corp. | 1,300 | 102,235 | |||||||||
TechnoPro Holdings, Inc. | 4,200 | 251,639 | |||||||||
Teijin, Ltd. | 1,700 | 28,101 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Terumo Corp. | 49,600 | $ | 1,517,908 | ||||||||
THK Co., Ltd. | 36,900 | 916,620 | |||||||||
Tobu Railway Co., Ltd. | 2,100 | 60,726 | |||||||||
Toho Co., Ltd. | 1,300 | 52,243 | |||||||||
Toho Gas Co., Ltd. | 800 | 35,938 | |||||||||
Tohoku Electric Power Co., Inc. | 4,400 | 56,170 | |||||||||
Tokio Marine Holdings, Inc. | 33,800 | 1,638,989 | |||||||||
Tokyo Century Corp. | 400 | 17,464 | |||||||||
Tokyo Electric Power Co. Holdings, Inc.† | 15,400 | 97,392 | |||||||||
Tokyo Electron, Ltd. | 7,400 | 1,073,001 | |||||||||
Tokyo Gas Co., Ltd. | 4,000 | 108,225 | |||||||||
Tokyu Corp. | 5,200 | 90,982 | |||||||||
Tokyu Fudosan Holdings Corp. | 6,300 | 37,769 | |||||||||
Toppan Printing Co., Ltd. | 2,500 | 37,811 | |||||||||
Toray Industries, Inc. | 14,800 | 94,786 | |||||||||
Toshiba Corp. | 7,000 | 223,093 | |||||||||
Tosoh Corp. | 13,900 | 216,824 | |||||||||
TOTO, Ltd. | 1,500 | 63,789 | |||||||||
Toyo Seikan Group Holdings, Ltd. | 1,700 | 34,975 | |||||||||
Toyo Suisan Kaisha, Ltd. | 900 | 34,316 | |||||||||
Toyoda Gosei Co., Ltd. | 800 | 17,011 | |||||||||
Toyota Industries Corp. | 1,500 | 75,427 | |||||||||
Toyota Motor Corp. | 83,800 | 4,915,328 | |||||||||
Toyota Tsusho Corp. | 2,100 | 68,530 | |||||||||
Trend Micro, Inc. | 1,200 | 58,563 | |||||||||
Tsuruha Holdings, Inc. | 387 | 31,555 | |||||||||
Unicharm Corp. | 4,200 | 139,207 | |||||||||
United Urban Investment Corp. | 29 | 45,801 | |||||||||
USS Co., Ltd. | 2,400 | 44,656 | |||||||||
Welcia Holdings Co., Ltd. | 500 | 16,984 | |||||||||
West Japan Railway Co. | 1,700 | 128,318 | |||||||||
Yahoo Japan Corp. | 143,000 | 350,722 | |||||||||
Yakult Honsha Co., Ltd. | 1,200 | 84,168 | |||||||||
Yamada Denki Co., Ltd. | 7,100 | 35,036 | |||||||||
Yamaguchi Financial Group, Inc. | 2,000 | 16,994 | |||||||||
Yamaha Corp. | 1,400 | 70,210 | |||||||||
Yamaha Motor Co., Ltd. | 2,900 | 57,111 | |||||||||
Yamato Holdings Co., Ltd. | 3,100 | 80,206 | |||||||||
Yamazaki Baking Co., Ltd. | 1,300 | 21,123 | |||||||||
Yaskawa Electric Corp. | 2,500 | 79,044 | |||||||||
Yokogawa Electric Corp. | 2,300 | 47,818 | |||||||||
Yokohama Rubber Co., Ltd. | 1,300 | 24,240 | |||||||||
ZOZO, Inc. | 2,130 | 40,427 | |||||||||
91,024,906 | |||||||||||
Jersey — 0.4% | |||||||||||
Experian PLC | 9,446 | 255,945 | |||||||||
Ferguson PLC | 2,396 | 152,911 | |||||||||
Glencore PLC | 117,950 | 490,565 | |||||||||
WPP PLC | 98,058 | 1,039,066 | |||||||||
1,938,487 | |||||||||||
Luxembourg — 0.8% | |||||||||||
ArcelorMittal | 6,788 | 137,843 | |||||||||
Aroundtown SA | 7,992 | 65,909 | |||||||||
Eurofins Scientific SE | 112 | 46,405 |
223
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Luxembourg (continued) | |||||||||||
Millicom International Cellular SA SDR | 694 | $ | 42,091 | ||||||||
RTL Group SA | 398 | 21,745 | |||||||||
Samsonite International SA* | 513,900 | 1,646,282 | |||||||||
SES SA FDR | 3,704 | 57,660 | |||||||||
Tenaris SA | 104,154 | 1,468,425 | |||||||||
3,486,360 | |||||||||||
Mauritius — 0.0% | |||||||||||
Golden Agri-Resources, Ltd. | 73,400 | 15,228 | |||||||||
Netherlands — 3.9% | |||||||||||
Aalberts Industries NV | 24,276 | 840,179 | |||||||||
ABN AMRO Group NV CVA* | 50,100 | 1,131,149 | |||||||||
Aegon NV | 17,841 | 85,894 | |||||||||
AerCap Holdings NV† | 1,297 | 60,362 | |||||||||
Airbus SE | 6,004 | 796,159 | |||||||||
Akzo Nobel NV | 19,440 | 1,724,307 | |||||||||
ASML Holding NV | 19,391 | 3,644,028 | |||||||||
CNH Industrial NV | 10,375 | 105,802 | |||||||||
EXOR NV | 1,121 | 72,821 | |||||||||
Ferrari NV | 1,255 | 168,667 | |||||||||
Fiat Chrysler Automobiles NV† | 11,220 | 167,768 | |||||||||
Heineken Holding NV | 1,227 | 123,046 | |||||||||
Heineken NV | 2,660 | 281,006 | |||||||||
ING Groep NV | 154,865 | 1,877,172 | |||||||||
Koninklijke Ahold Delhaize NV | 13,010 | 346,406 | |||||||||
Koninklijke DSM NV | 1,875 | 204,671 | |||||||||
Koninklijke KPN NV | 35,040 | 111,161 | |||||||||
Koninklijke Philips NV | 68,864 | 2,809,320 | |||||||||
Koninklijke Vopak NV | 742 | 35,544 | |||||||||
NN Group NV | 3,218 | 133,835 | |||||||||
NXP Semiconductors NV | 13,459 | 1,189,641 | |||||||||
QIAGEN NV† | 2,363 | 95,854 | |||||||||
Randstad NV | 1,219 | 59,552 | |||||||||
STMicroelectronics NV | 7,051 | 104,352 | |||||||||
Unilever NV CVA | 15,978 | 928,688 | |||||||||
Wolters Kluwer NV | 3,001 | 204,523 | |||||||||
17,301,907 | |||||||||||
New Zealand — 0.3% | |||||||||||
a2 Milk Co., Ltd.† | 7,564 | 73,863 | |||||||||
Auckland International Airport, Ltd . | 9,678 | 53,713 | |||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 5,749 | 61,592 | |||||||||
Fletcher Building, Ltd. | 9,035 | 30,452 | |||||||||
Meridian Energy, Ltd. | 13,371 | 38,151 | |||||||||
Ryman Healthcare, Ltd. | 4,073 | 33,990 | |||||||||
Spark New Zealand, Ltd. | 19,705 | 51,028 | |||||||||
Xero, Ltd.† | 29,459 | 1,020,600 | |||||||||
1,363,389 | |||||||||||
Norway — 1.7% | |||||||||||
Aker BP ASA | 1,122 | 39,990 | |||||||||
DNB ASA | 187,555 | 3,455,220 | |||||||||
Equinor ASA | 52,402 | 1,148,422 | |||||||||
Gjensidige Forsikring ASA | 2,089 | 36,095 | |||||||||
Mowi ASA | 4,244 | 94,819 |
Security Description | Shares | Value (Note 2) | |||||||||
Norway (continued) | |||||||||||
Norsk Hydro ASA | 369,562 | $ | 1,502,899 | ||||||||
Orkla ASA | 8,663 | 66,502 | |||||||||
Schibsted ASA, Class B | 920 | 32,966 | |||||||||
Storebrand ASA | 110,317 | 859,560 | |||||||||
Telenor ASA | 7,661 | 153,436 | |||||||||
Yara International ASA | 1,904 | 77,959 | |||||||||
7,467,868 | |||||||||||
Papua New Guinea — 0.0% | |||||||||||
Oil Search, Ltd. | 14,183 | 78,773 | |||||||||
Portugal — 0.1% | |||||||||||
Banco Espirito Santo SA†(1) | 59,101 | 0 | |||||||||
EDP - Energias de Portugal SA | 26,698 | 105,023 | |||||||||
Galp Energia SGPS SA | 5,107 | 81,765 | |||||||||
Jeronimo Martins SGPS SA | 2,657 | 39,210 | |||||||||
225,998 | |||||||||||
Singapore — 1.4% | |||||||||||
Ascendas Real Estate Investment Trust | 27,300 | 58,682 | |||||||||
CapitaLand Commercial Trust | 27,200 | 38,989 | |||||||||
CapitaLand Mall Trust | 25,000 | 43,933 | |||||||||
CapitaLand, Ltd. | 26,700 | 72,117 | |||||||||
City Developments, Ltd. | 4,000 | 26,751 | |||||||||
ComfortDelGro Corp., Ltd. | 20,700 | 39,344 | |||||||||
DBS Group Holdings, Ltd. | 83,300 | 1,552,267 | |||||||||
Genting Singapore, Ltd. | 64,300 | 49,441 | |||||||||
Jardine Cycle & Carriage, Ltd. | 1,000 | 24,022 | |||||||||
Keppel Corp., Ltd. | 15,500 | 71,439 | |||||||||
Oversea-Chinese Banking Corp., Ltd. | 227,300 | 1,856,653 | |||||||||
SATS, Ltd. | 6,600 | 24,936 | |||||||||
Sembcorp Industries, Ltd. | 110,800 | 209,570 | |||||||||
Singapore Airlines, Ltd. | 5,300 | 37,850 | |||||||||
Singapore Exchange, Ltd. | 8,600 | 46,465 | |||||||||
Singapore Press Holdings, Ltd. | 15,300 | 27,283 | |||||||||
Singapore Technologies Engineering, Ltd. | 15,300 | 42,301 | |||||||||
Singapore Telecommunications, Ltd. | 84,410 | 188,337 | |||||||||
Suntec Real Estate Investment Trust | 22,100 | 31,831 | |||||||||
United Overseas Bank, Ltd. | 49,000 | 910,671 | |||||||||
UOL Group, Ltd. | 5,100 | 26,253 | |||||||||
Venture Corp., Ltd. | 2,848 | 37,880 | |||||||||
Wilmar International, Ltd. | 294,000 | 719,344 | |||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 21,200 | 23,555 | |||||||||
6,159,914 | |||||||||||
South Korea — 1.0% | |||||||||||
KT Corp. | 16,892 | 407,652 | |||||||||
NAVER Corp. | 2,605 | 284,992 | |||||||||
Samsung Electronics Co., Ltd. | 75,891 | 2,984,381 | |||||||||
Samsung SD Co., Ltd. | 4,863 | 921,031 | |||||||||
4,598,056 | |||||||||||
Spain — 1.8% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 2,618 | 115,089 | |||||||||
Aena SME SA* | 712 | 128,246 | |||||||||
Amadeus IT Group SA | 4,542 | 364,015 |
224
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Spain (continued) | |||||||||||
Banco Bilbao Vizcaya Argentaria SA | 378,192 | $ | 2,162,696 | ||||||||
Banco de Sabadell SA | 58,018 | 57,839 | |||||||||
Banco Santander SA | 168,157 | 782,549 | |||||||||
Bankia SA | 12,774 | 33,133 | |||||||||
Bankinter SA | 7,110 | 54,168 | |||||||||
CaixaBank SA | 36,480 | 114,030 | |||||||||
Enagas SA | 2,292 | 66,718 | |||||||||
Endesa SA | 3,313 | 84,532 | |||||||||
Ferrovial SA | 4,924 | 115,388 | |||||||||
Grifols SA | 3,164 | 88,631 | |||||||||
Iberdrola SA | 64,222 | 564,031 | |||||||||
Industria de Diseno Textil SA | 57,544 | 1,692,299 | |||||||||
International Consolidated Airlines Group SA | 6,492 | 43,226 | |||||||||
Mapfre SA | 9,841 | 27,124 | |||||||||
Naturgy Energy Group SA | 3,692 | 103,291 | |||||||||
Red Electrica Corp. SA | 4,562 | 97,247 | |||||||||
Repsol SA | 14,829 | 253,786 | |||||||||
Siemens Gamesa Renewable Energy SA | 2,442 | 38,918 | |||||||||
Telefonica SA | 126,690 | 1,062,185 | |||||||||
8,049,141 | |||||||||||
SupraNational — 0.2% | |||||||||||
HK Electric Investments & HK Electric Investments, Ltd. | 26,500 | 27,091 | |||||||||
HKT Trust & HKT, Ltd. | 40,000 | 64,307 | |||||||||
Unibail-Rodamco-Westfield | 4,418 | 724,254 | |||||||||
815,652 | |||||||||||
Sweden — 1.9% | |||||||||||
Alfa Laval AB | 3,003 | 68,979 | |||||||||
Assa Abloy AB, Class B | 84,450 | 1,820,800 | |||||||||
Atlas Copco AB, Class A | 6,878 | 184,883 | |||||||||
Atlas Copco AB, Class B | 3,967 | 98,277 | |||||||||
Boliden AB | 2,891 | 82,091 | |||||||||
Electrolux AB, Series B | 2,556 | 65,565 | |||||||||
Elekta AB, Series B | 55,358 | 688,521 | |||||||||
Epiroc AB, Class A† | 6,878 | 69,501 | |||||||||
Epiroc AB, Class B† | 3,967 | 38,000 | |||||||||
Essity AB, Class B | 6,244 | 180,229 | |||||||||
Hennes & Mauritz AB, Class B | 9,066 | 151,179 | |||||||||
Hexagon AB, Class B | 2,712 | 141,642 | |||||||||
Husqvarna AB, Class B | 4,326 | 35,351 | |||||||||
ICA Gruppen AB | 819 | 32,848 | |||||||||
Industrivarden AB, Class C | 1,738 | 36,426 | |||||||||
Investor AB, Class B | 4,674 | 210,619 | |||||||||
Kinnevik AB, Class B | 2,493 | 64,587 | |||||||||
L E Lundbergforetagen AB, Class B | 735 | 23,254 | |||||||||
Lundin Petroleum AB | 1,915 | 64,810 | |||||||||
Sandvik AB | 11,512 | 187,102 | |||||||||
Securitas AB, Class B | 3,278 | 52,915 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 28,269 | 244,828 | |||||||||
Skanska AB, Class B | 3,483 | 63,328 | |||||||||
SKF AB, Class B | 59,949 | 996,393 | |||||||||
Svenska Handelsbanken AB, Class A | 118,035 | 1,246,018 |
Security Description | Shares | Value (Note 2) | |||||||||
Sweden (continued) | |||||||||||
Swedbank AB, Class A | 9,355 | $ | 132,209 | ||||||||
Swedish Match AB | 1,824 | 92,888 | |||||||||
Tele2 AB, Class B | 5,161 | 68,654 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 92,684 | 850,350 | |||||||||
Telia Co AB | 28,975 | 130,903 | |||||||||
Volvo AB, Class B | 16,154 | 249,719 | |||||||||
8,372,869 | |||||||||||
Switzerland — 10.7% | |||||||||||
ABB, Ltd. | 71,621 | 1,347,418 | |||||||||
Adecco Group AG | 1,713 | 91,488 | |||||||||
Baloise Holding AG | 504 | 83,350 | |||||||||
Barry Callebaut AG | 24 | 43,358 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 78,259 | |||||||||
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate) | 11 | 74,817 | |||||||||
Cie Financiere Richemont SA | 35,582 | 2,595,712 | |||||||||
Clariant AG | 2,065 | 43,468 | |||||||||
Coca-Cola HBC AG | 2,095 | 71,403 | |||||||||
Credit Suisse Group AG | 26,419 | 308,408 | |||||||||
Dufry AG | 352 | 37,029 | |||||||||
EMS-Chemie Holding AG | 86 | 46,697 | |||||||||
GAM Holding AG | 27,157 | 84,868 | |||||||||
Geberit AG | 388 | 158,745 | |||||||||
Givaudan SA | 95 | 243,659 | |||||||||
Julius Baer Group, Ltd. | 2,282 | 92,351 | |||||||||
Kuehne & Nagel International AG | 571 | 78,412 | |||||||||
LafargeHolcim, Ltd. | 5,018 | 248,289 | |||||||||
Lonza Group AG | 5,370 | 1,668,120 | |||||||||
Nestle SA | 133,461 | 12,737,098 | |||||||||
Novartis AG | 100,670 | 9,688,856 | |||||||||
Pargesa Holding SA | 399 | 31,285 | |||||||||
Partners Group Holding AG | 177 | 128,841 | |||||||||
Roche Holding AG | 34,079 | 9,394,202 | |||||||||
Schindler Holding AG | |||||||||||
(Participation Certificate) (SIX) | 7,042 | 1,461,332 | |||||||||
Schindler Holding AG (RSP) | 210 | 43,496 | |||||||||
SGS SA | 559 | 1,392,450 | |||||||||
Sika AG | 1,343 | 187,824 | |||||||||
Sonova Holding AG | 573 | 113,416 | |||||||||
Straumann Holding AG | 109 | 89,128 | |||||||||
Swatch Group AG (TRQX) | 532 | 29,484 | |||||||||
Swatch Group AG (XEGT) | 316 | 90,579 | |||||||||
Swiss Life Holding AG | 355 | 156,490 | |||||||||
Swiss Prime Site AG | 741 | 64,952 | |||||||||
Swiss Re AG | 3,150 | 307,927 | |||||||||
Swisscom AG | 270 | 132,106 | |||||||||
Temenos AG | 626 | 92,435 | |||||||||
UBS Group AG | 145,769 | 1,769,574 | |||||||||
Vifor Pharma AG | 497 | 67,264 | |||||||||
Zurich Insurance Group AG | 5,203 | 1,723,861 | |||||||||
47,098,451 |
225
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Taiwan — 0.9% | |||||||||||
Largan Precision Co., Ltd. | 4,000 | $ | 600,076 | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 272,000 | 2,175,982 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 32,482 | 1,330,463 | |||||||||
4,106,521 | |||||||||||
Turkey — 0.1% | |||||||||||
Turkiye Garanti Bankasi AS | 397,129 | 594,465 | |||||||||
United Kingdom — 16.7% | |||||||||||
3i Group PLC | 10,333 | 132,632 | |||||||||
Admiral Group PLC | 2,071 | 58,655 | |||||||||
Anglo American PLC | 10,888 | 292,337 | |||||||||
Antofagasta PLC | 162,107 | 2,050,889 | |||||||||
Ashtead Group PLC | 5,083 | 122,798 | |||||||||
Associated British Foods PLC | 3,638 | 115,739 | |||||||||
AstraZeneca PLC | 13,087 | 1,045,235 | |||||||||
Auto Trader Group PLC* | 10,298 | 69,998 | |||||||||
Aviva PLC | 341,791 | 1,841,807 | |||||||||
Babcock International Group PLC | 2,609 | 16,828 | |||||||||
BAE Systems PLC | 32,438 | 204,355 | |||||||||
Barclays PLC | 176,347 | 356,309 | |||||||||
Barclays PLC ADR | 22,300 | 178,400 | |||||||||
Barratt Developments PLC | 10,411 | 81,433 | |||||||||
Berkeley Group Holdings PLC | 1,332 | 64,044 | |||||||||
BHP Group PLC | 165,163 | 3,990,363 | |||||||||
BP PLC | 206,853 | 1,510,019 | |||||||||
British American Tobacco PLC | 23,698 | 988,695 | |||||||||
British Land Co. PLC | 9,606 | 73,724 | |||||||||
BT Group PLC | 86,714 | 252,197 | |||||||||
Bunzl PLC | 48,641 | 1,604,843 | |||||||||
Burberry Group PLC | 84,124 | 2,148,574 | |||||||||
Carnival PLC | 1,794 | 88,071 | |||||||||
Centrica PLC | 58,326 | 86,804 | |||||||||
Close Brothers Group PLC | 9,951 | 189,020 | |||||||||
Coca-Cola European Partners PLC | 2,181 | 112,845 | |||||||||
Compass Group PLC | 54,291 | 1,276,173 | |||||||||
ConvaTec Group PLC* | 13,993 | 25,818 | |||||||||
Croda International PLC | 1,393 | 91,690 | |||||||||
Diageo PLC | 137,364 | 5,618,453 | |||||||||
Direct Line Insurance Group PLC | 251,273 | 1,155,827 | |||||||||
easyJet PLC | 1,683 | 24,549 | |||||||||
Fresnillo PLC | 2,364 | 26,845 | |||||||||
G4S PLC | 16,470 | 39,483 | |||||||||
GlaxoSmithKline PLC | 149,104 | 3,093,333 | |||||||||
GlaxoSmithKline PLC ADR | 36,900 | 1,542,051 | |||||||||
Great Portland Estates PLC | 43,936 | 427,478 | |||||||||
Hammerson PLC | 8,408 | 36,835 | |||||||||
Hargreaves Lansdown PLC | 2,950 | 71,812 | |||||||||
HSBC Holdings PLC | 205,778 | 1,675,881 | |||||||||
Imperial Brands PLC | 9,809 | 336,103 | |||||||||
Informa PLC | 12,969 | 125,755 | |||||||||
InterContinental Hotels Group PLC | 1,738 | 104,785 | |||||||||
Intertek Group PLC | 1,719 | 108,873 | |||||||||
Investec PLC | 6,677 | 38,594 | |||||||||
ITV PLC | 37,051 | 61,376 |
Security Description | Shares | Value (Note 2) | |||||||||
United Kingdom (continued) | |||||||||||
J Sainsbury PLC | 18,093 | $ | 55,611 | ||||||||
John Wood Group PLC | 6,909 | 45,700 | |||||||||
Johnson Matthey PLC | 52,992 | 2,170,663 | |||||||||
Kingfisher PLC | 304,347 | 931,541 | |||||||||
Land Securities Group PLC | 7,805 | 92,973 | |||||||||
Legal & General Group PLC | 61,547 | 220,862 | |||||||||
Lloyds Banking Group PLC | 4,228,383 | 3,429,980 | |||||||||
London Stock Exchange Group PLC | 3,280 | 203,075 | |||||||||
Marks & Spencer Group PLC | 17,213 | 62,581 | |||||||||
Meggitt PLC | 165,714 | 1,086,522 | |||||||||
Melrose Industries PLC | 312,471 | 746,706 | |||||||||
Merlin Entertainments PLC* | 6,923 | 30,979 | |||||||||
Micro Focus International PLC | 4,486 | 116,163 | |||||||||
Mondi PLC | 3,851 | 85,506 | |||||||||
National Grid PLC | 116,560 | 1,296,136 | |||||||||
Next PLC | 1,470 | 107,050 | |||||||||
NMC Health PLC | 1,082 | 32,229 | |||||||||
Ocado Group PLC† | 72,633 | 1,297,383 | |||||||||
Pearson PLC | 8,050 | 87,722 | |||||||||
Persimmon PLC | 31,501 | 892,680 | |||||||||
Prudential PLC | 217,351 | 4,356,454 | |||||||||
Reckitt Benckiser Group PLC | 30,301 | 2,524,911 | |||||||||
RELX PLC | 10,774 | 230,388 | |||||||||
RELX PLC (LSE) | 9,662 | 206,928 | |||||||||
Rio Tinto PLC | 12,131 | 705,797 | |||||||||
Rolls-Royce Holdings PLC | 17,394 | 205,449 | |||||||||
Royal Bank of Scotland Group PLC | 49,883 | 160,912 | |||||||||
Royal Dutch Shell PLC, Class A | 47,502 | 1,492,621 | |||||||||
Royal Dutch Shell PLC, Class B | 38,680 | 1,222,655 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 26,319 | 1,683,100 | |||||||||
Royal Mail PLC | 9,287 | 28,840 | |||||||||
RSA Insurance Group PLC | 72,515 | 479,989 | |||||||||
Sage Group PLC | 11,316 | 103,437 | |||||||||
Schroders PLC | 1,333 | 46,930 | |||||||||
Segro PLC | 10,068 | 88,335 | |||||||||
Severn Trent PLC | 2,519 | 64,920 | |||||||||
Smith & Nephew PLC | 95,131 | 1,887,204 | |||||||||
Smiths Group PLC | 4,211 | 78,801 | |||||||||
SSE PLC | 14,784 | 229,078 | |||||||||
St James's Place PLC | 5,459 | 73,339 | |||||||||
Standard Chartered PLC | 115,699 | 894,399 | |||||||||
Standard Life Aberdeen PLC | 24,588 | 84,577 | |||||||||
Taylor Wimpey PLC | 34,127 | 78,180 | |||||||||
Tesco PLC | 100,539 | 304,141 | |||||||||
Unilever PLC | 111,147 | 6,374,712 | |||||||||
United Utilities Group PLC | 7,182 | 76,316 | |||||||||
Vodafone Group PLC | 275,230 | 501,473 | |||||||||
Vodafone Group PLC ADR | 67,900 | 1,234,422 | |||||||||
Weir Group PLC | 2,490 | 50,765 | |||||||||
Whitbread PLC | 26,967 | 1,787,442 | |||||||||
WM Morrison Supermarkets PLC | 22,007 | 65,261 | |||||||||
73,872,166 |
226
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
United States — 1.2% | |||||||||||
Autoliv, Inc. SDR | 7,334 | $ | 535,285 | ||||||||
Booking Holdings, Inc.† | 827 | 1,443,041 | |||||||||
Broadcom, Inc. | 5,150 | 1,548,656 | |||||||||
International Flavors & Fragrances, Inc. | 0 | 14 | |||||||||
Philip Morris International, Inc. | 18,011 | 1,591,992 | |||||||||
Veoneer, Inc. SDR† | 7,410 | 172,740 | |||||||||
5,291,728 | |||||||||||
Total Common Stocks (cost $408,344,069) | 435,426,475 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.2% | |||||||||||
iShares MSCI EAFE ETF Index Fund (cost 620,472) | 10,300 | 668,058 | |||||||||
Total Long-Term Investment Securities (cost $408,964,541) | 436,094,533 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.2% | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.39%(2) | 270,745 | 270,745 | |||||||||
T. Rowe Price Government Reserve Fund 2.49%(2) | 1,123 | 1,123 | |||||||||
271,868 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 2.39% due 04/23/2019(3) | $ | 50,000 | 49,927 | ||||||||
2.48% due 09/05/2019(3) | 130,000 | 128,661 | |||||||||
2.54% due 07/18/2019(3) | 390,000 | 387,237 | |||||||||
565,825 | |||||||||||
Total Short-Term Investment Securities (cost $837,479) | 837,693 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.3% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $1,384,058 collateralized by $1,390,000 of United States Treasury Notes, bearing interest at 2.63% due 02/28/2023 and having an approximate value of $1,415,181 (cost $ 1,384,000) . | $ | 1,384,000 | $ | 1,384,000 | |||||||
TOTAL INVESTMENTS (cost $411,186,020)(4) | 99.2 | % | 438,316,226 | ||||||||
Other assets less liabilities | 0.8 | 3,651,802 | |||||||||
NET ASSETS | 100.0 | % | $ | 441,968,028 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $6,038,742 representing 1.4% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) The rate shown is the 7-day yield as of March 31, 2019.
(3) The Security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(4) See note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
CDI — Chess Depositary Interest
CVA — Certification Van Aandelen (Dutch Cert.)
FDR — Fiduciary Depositary Receipt
ETF — Exchange Traded Funds
LSE — London Stock Exchange
RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange
SDR — Swedish Depositary Receipt
SIX — Swiss Stock Exchange
TRQX — Turquoise Stock Exchange
XEGT — Equivalent Stock Exchange
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
34 | Long | MSCI EAFE Index | June 2019 | $ | 3,158,536 | $ | 3,172,880 | $ | 14,344 |
* 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.
227
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | — | $ | 19,439,336 | ** | $ | 21 | $ | 19,439,357 | ||||||||||
Portugal | — | 225,998 | ** | 0 | 225,998 | ||||||||||||||
Other countries | 28,034,650 | 387,726,470 | ** | — | 415,761,120 | ||||||||||||||
Exchange-Traded Funds | 668,058 | — | — | 668,058 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 271,868 | — | — | 271,868 | |||||||||||||||
U.S Government Treasuries | — | 565,825 | — | 565,825 | |||||||||||||||
Repurchase Agreements | — | 1,384,000 | — | 1,384,000 | |||||||||||||||
Total Investments at Value | $ | 28,974,576 | $ | 409,341,629 | $ | 21 | $ | 438,316,226 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 14,344 | $ | — | $ | — | $ | 14,344 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see note 2).
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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. There were no Level 3 transfers during the reporting period.
See Notes to Financial Statements
228
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 27.9 | % | |||||
Diversified Financial Services | 15.3 | ||||||
Federal National Mtg. Assoc. | 11.6 | ||||||
United States Treasury Bonds | 8.1 | ||||||
Diversified Banking Institutions | 6.9 | ||||||
Federal Home Loan Mtg. Corp. | 6.0 | ||||||
Government National Mtg. Assoc. | 4.5 | ||||||
Electric-Integrated | 1.7 | ||||||
Telephone-Integrated | 1.7 | ||||||
Pipelines | 1.7 | ||||||
Cable/Satellite TV | 1.5 | ||||||
Tobacco | 1.4 | ||||||
Oil Companies-Exploration & Production | 1.2 | ||||||
Banks-Commercial | 1.2 | ||||||
Brewery | 1.0 | ||||||
Pharmacy Services | 0.9 | ||||||
Electronic Components-Semiconductors | 0.9 | ||||||
Banks-Super Regional | 0.9 | ||||||
Repurchase Agreements | 0.7 | ||||||
Auto-Cars/Light Trucks | 0.7 | ||||||
Cellular Telecom | 0.6 | ||||||
Medical-Drugs | 0.6 | ||||||
Food-Misc./Diversified | 0.6 | ||||||
Sovereign | 0.6 | ||||||
Medical-HMO | 0.6 | ||||||
Chemicals-Diversified | 0.5 | ||||||
Aerospace/Defense-Equipment | 0.4 | ||||||
Broadcast Services/Program | 0.4 | ||||||
Registered Investment Companies | 0.4 | ||||||
Multimedia | 0.4 | ||||||
Containers-Paper/Plastic | 0.4 | ||||||
E-Commerce/Products | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Transport-Rail | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Real Estate Investment Trusts | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Medical Products | 0.3 | ||||||
Municipal Bonds & Notes | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
Metal-Iron | 0.2 | ||||||
Medical-Generic Drugs | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Applications Software | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Medical-Biomedical/Gene | 0.2 | ||||||
Diversified Minerals | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Oil Companies-Integrated | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Internet Application Software | 0.2 | ||||||
Electric-Generation | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Computers | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Data Processing/Management | 0.2 |
Diversified Manufacturing Operations | 0.1 | % | |||||
Medical Instruments | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Airlines | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Federal Home Loan Bank | 0.1 | ||||||
Enterprise Software/Service | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Foreign Government Obligations | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Tennessee Valley Authority | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Television | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Savings & Loans/Thrifts | 0.1 | ||||||
Oil-Field Services | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Beverages-Non-alcoholic | 0.1 | ||||||
Retail-Mail Order | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
111.4 | % | ||||||
Credit Quality†# | |||||||
Aaa | 60.1 | % | |||||
Aa | 1.0 | ||||||
A | 8.7 | ||||||
Baa | 16.0 | ||||||
Ba | 4.3 | ||||||
B | 1.3 | ||||||
Caa | 0.7 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 7.7 | ||||||
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.
229
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 15.3% | |||||||||||
Diversified Financial Services — 15.3% | |||||||||||
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 2.99% (1 ML+0.50%) due 01/25/2036(1) | $ | 112,867 | $ | 106,976 | |||||||
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 3.03% (1 ML+0.54%) due 11/25/2035(1) | 125,050 | 123,925 | |||||||||
Alternative Loan Trust Series 2005-64CB, Class A1 5.50% due 12/25/2035(1) | 169,045 | 146,106 | |||||||||
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 3.34% (12 MTA+0.94%) due 10/25/2046(1) | 55,112 | 48,653 | |||||||||
Americredit Automobile Receivables Trust Series 2019-1, Class A3 2.97% due 11/20/2023 | 200,000 | 201,112 | |||||||||
AMMC CLO XIV, Ltd. FRS Series 2014-14A, Class A1LR 4.02% (3 ML+1.25%) due 07/25/2029*(2) | 1,190,000 | 1,187,566 | |||||||||
Anchorage Capital CLO, Ltd. FRS Series 2016-9A, Class A 4.30% (3 ML+1.51%) due 01/15/2029*(2) | 841,716 | 841,415 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63due 03/25/2049*(1)(3) | 450,000 | 451,639 | |||||||||
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 4.25% (3 ML+1.47%) due 04/24/2029*(2) | 1,080,000 | 1,079,674 | |||||||||
Apidos CLO FRS Series 2015-21A, Class A1R 3.71% (3 ML+0.93%) due 07/18/2027*(2) | 1,385,000 | 1,373,054 | |||||||||
Apidos CLO FRS Series 2013-16A, Class A1R 3.74% (3 ML+0.98%) due 01/19/2025*(2) | 214,360 | 214,218 | |||||||||
Atlas Senior Loan Fund IV, Ltd. FRS Series 2013-2A, Class A1RR 3.36% (3 ML + 0.68%) due 02/17/2026*(2) | 374,244 | 372,154 | |||||||||
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 3.87% (3 ML+1.10%) due 04/25/2026*(2) | 830,582 | 829,634 | |||||||||
Avis Budget Rental Car Funding AESOP LLC Series 2015-1A, Class A 2.50% due 07/20/2021* | 100,000 | 99,531 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023 | $ | 129,000 | $ | 130,204 | |||||||
Babson CLO, Ltd. FRS Series 2016-2A, Class AR 3.84% (3 ML+1.08%) due 07/20/2028*(2) | 1,834,000 | 1,826,409 | |||||||||
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 3.91% (3 ML+1.15%) due 07/20/2025*(2) | 200,516 | 200,177 | |||||||||
Bain Capital Credit CLO FRS Series 2017-1A, Class A1 4.01% (3 ML+1.25%) due 07/20/2030*(2) | 995,000 | 988,939 | |||||||||
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 2.55% (1 ML+0.06%) due 01/25/2037(1) | 12,398 | 10,445 | |||||||||
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 2.71% (1 ML+0.23%) due 02/20/2047(1) | 302,550 | 290,121 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.53% due 09/15/2060(3)(4)(5) | 9,703,122 | 365,579 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.75% due 11/15/2050(3)(4)(5) | 8,613,018 | 451,347 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(4) | 470,000 | 479,947 | |||||||||
BANK Series 2019-BN16, Class A2 3.93% due 02/15/2052(4) | 239,000 | 248,949 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(3) | 1,434,657 | 1,441,193 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(3) | 1,010,609 | 1,013,535 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(3) | 807,275 | 809,708 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(3) | 1,297,432 | 1,304,445 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(3) | 1,163,024 | 1,181,110 |
230
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
BCAP LLC Trust FRS Series 2006-AA2, Class A1 2.66% (1 ML+0.17%) due 01/25/2037(1) | $ | 17,788 | $ | 16,637 | |||||||
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 2.97% (1 ML+0.48%) due 02/25/2036(1) | 56,051 | 53,233 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 2.99% (1 ML+0.50%) due 01/25/2036(1) | 160,280 | 163,845 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 2.67% (1 ML+0.18%) due 10/25/2036(1) | 82,939 | 76,629 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 2.69% (1 ML+0.20%) due 02/25/2037(1) | 179,503 | 185,683 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.44% (1 ML+0.95%) due 08/25/2028*(1) | 1,271,341 | 1,271,994 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.69% (1 ML + 1.20%) due 10/25/2027*(1) | 1,338,000 | 1,337,171 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 3.78% (1 ML+ 1.30%) due 03/25/2029*(1) | 1,190,000 | 1,190,000 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.53% due 01/15/2051(3)(4)(5) | 2,641,435 | 96,776 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.54% due 07/15/2051(3)(4)(5) | 4,596,601 | 169,867 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(4) | 432,000 | 443,248 | |||||||||
Benchmark Mtg. Trust Series 2019-B9, Class AAB 3.93% due 03/15/2052(4) | 300,000 | 316,508 | |||||||||
Benefit Street Partners CLO, Ltd. FRS Series 2016-10A, Class A1 4.28% (3 ML+1.49%) due 01/15/2029*(2) | 680,000 | 680,299 | |||||||||
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 5.03% (1 ML + 2.55%) due 12/15/2037*(4) | 675,000 | 678,792 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.54% (3 ML+0.78%) due 04/27/2027*(2) | $ | 1,355,000 | $ | 1,348,142 | |||||||
CarMax Auto Owner Trust Series 2016-4, Class A4 1.60% due 06/15/2022 | 160,000 | 157,164 | |||||||||
CarMax Auto Owner Trust Series 2018-4, Class A3 3.36% due 09/15/2023 | 250,000 | 254,207 | |||||||||
CBAM CLO Management LLC FRS Series 2017-3A, Class A 4.00% (3 ML+1.23%) due 10/17/2029*(2) | 1,180,000 | 1,178,006 | |||||||||
CD Commercial Mtg. Trust VRS Series 2016-CD2, Class A4 3.53% due 11/10/2049(3)(4) | 1,300,000 | 1,334,363 | |||||||||
Cent CLO, Ltd. FRS Series 2014-21A, Class A1RA 3.91% (3 ML+1.15%) due 07/27/2030*(2) | 810,000 | 802,497 | |||||||||
Chase Mtg. Finance Trust VRS Series 2016-2, Class M2 3.75% due 12/25/2045*(1)(3) | 248,289 | 252,223 | |||||||||
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 4.28% due 12/25/2035(1)(3) | 133,884 | 129,052 | |||||||||
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1) | 223,784 | 216,946 | |||||||||
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 4.02% due 09/25/2047(1)(3) | 154,038 | 143,520 | |||||||||
CIFC Funding, Ltd. FRS Series 2012-2RA, Class A1 3.56% (3 ML+0.80%) due 01/20/2028*(2) | 1,601,000 | 1,583,506 | |||||||||
CIFC Funding, Ltd. FRS Series 2014-2RA, Class A1 3.83% (3 ML+1.05%) due 04/24/2030*(2) | 1,495,000 | 1,481,088 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(1)(3) | 1,363,950 | 1,356,073 | |||||||||
Cirrus Funding, Ltd. Series 2018-1A, Class A 4.80% due 01/25/2037*(2) | 975,000 | 1,014,946 | |||||||||
Citibank Credit Card Issuance Trust Series 2017-A3, Class A3 1.92% due 04/07/2022 | 80,000 | 79,451 | |||||||||
Citibank Credit Card Issuance Trust Series 2018-A1, Class A1 2.49% due 01/20/2023 | 100,000 | 99,855 |
231
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 0.98% due 07/10/2047(3)(4)(5) | $ | 3,811,390 | $ | 158,321 | |||||||
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29,Class XA 1.11% due 04/10/2048(3)(4)(5) | 3,543,881 | 164,913 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4) | 1,029,000 | 1,067,423 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-GC35, Class A4 3.82% due 11/10/2048(4) | 1,235,000 | 1,288,885 | |||||||||
Citigroup Mtg. Loan Trust VRS Series 2018-RP3, Class A1 3.25% due 03/25/2061*(1)(3) | 1,219,488 | 1,225,286 | |||||||||
Civic Mortgage LLC Series 2018-1, Class A1 3.89% due 06/25/2022*(1)(7) | 228,775 | 228,306 | |||||||||
Colombia Cent, Ltd. FRS Series 2018-27A, Class A1 3.64% (3 ML+1.15%) due 10/25/2028*(2) | 720,000 | 716,464 | |||||||||
COLT Mtg. Loan Trust VRS Series 2017-1, Class A1 2.61% due 05/27/2047*(1)(3) | 1 | 1 | |||||||||
COLT Mtg. Loan Trust VRS Series 2016-3, Class A1 2.80% due 12/26/2046*(1)(3) | 919 | 914 | |||||||||
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(1)(3) | 890,000 | 889,999 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-3, Class A1 3.69% due 10/26/2048*(1)(3) | 487,558 | 488,480 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4) | 845,000 | 891,622 | |||||||||
CORE Mtg. Trust FRS Series 2019-CORE, Class A 3.38% (1 ML+0.88%) due 12/15/2031*(4) | 320,000 | 320,100 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 2.81% (1 ML+0.32%) due 11/25/2035(1) | 45,009 | 41,218 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 3.03% (1 ML+0.54%) due 01/25/2036(1) | 115,414 | 110,245 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 3.29% (1 ML+0.80%) due 12/25/2035(1) | $ | 101,047 | $ | 87,240 | |||||||
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1) | 168,523 | 121,561 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 3.17% (1 ML+0.68%) due 03/25/2035(1) | 52,418 | 48,518 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.85% due 11/20/2035(1)(3) | 31,244 | 28,466 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 3.89% due 06/20/2035(1)(3) | 91,078 | 91,743 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.79% due 06/15/2057(3)(4)(5) | 9,813,639 | 360,752 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.79% due 01/15/2049(3)(4)(5) | 2,778,096 | 240,159 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(4) | 740,022 | 754,409 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(4) | 1,448,000 | 1,485,746 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4) | 703,000 | 727,525 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(1)(3) | 631,328 | 616,324 | |||||||||
CSMC Trust VRS Series 2016-NXSR, Class A4 3.79% due 12/15/2049(3)(4) | 1,536,000 | 1,589,772 | |||||||||
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(4) | 358,947 | 375,690 | |||||||||
DBCG Mtg. Trust FRS Series 2017-BBG, Class A 3.18% (1 ML+0.70%) due 06/15/2034*(4) | 300,000 | 298,685 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(1)(3) | 317,357 | 313,653 |
232
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Deephaven Residential Mtg. Trust VRS Series 2018-4A, Class A1 4.08% due 10/25/2058*(1)(3) | $ | 1,126,938 | $ | 1,140,890 | |||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 2.64% (1 ML+0.15%) due 12/25/2036(1) | 179,525 | 160,348 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 2.64% (1 ML+0.15%) due 03/25/2037(1) | 15,604 | 14,287 | |||||||||
Discover Card Execution Note Trust Series 2015-A4, Class A4 2.19% due 04/17/2023 | 140,000 | 139,258 | |||||||||
Discover Card Execution Note Trust Series 2019-A1, Class A1 3.04% due 07/15/2024 | 100,000 | 101,343 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 754,300 | 765,667 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-50A, Class X 3.59% (3 ML+0.80%) due 07/15/2030*(2) | 459,000 | 458,770 | |||||||||
Dryden Senior Loan Fund FRS Series 2013-26A, Class AR 3.69% (3 ML+0.90%) due 04/15/2029*(2) | 1,525,000 | 1,509,997 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-49A, Class A 3.99% (3 ML+1.21%) due 07/18/2030*(2) | 1,535,000 | 1,531,506 | |||||||||
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 3.32% (12 MTA+0.92%) due 03/19/2046(1) | 351,211 | 320,756 | |||||||||
Eagle RE, Ltd. FRS Series 2018-1, Class M1 4.19% (1 ML+1.70%) due 11/25/2028*(1) | 677,000 | 679,484 | |||||||||
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 2.80% (1 ML+0.31%) due 09/25/2036 | 495,000 | 445,718 | |||||||||
Flatiron CLO, Ltd. FRS Series 2017-1A, Class A 3.93% (3 ML+1.25%) due 05/15/2030*(2) | 975,000 | 973,248 | |||||||||
Ford Credit Auto Owner Trust Series 2018-2, Class A 3.47% due 01/15/2030* | 100,000 | 101,747 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Ford Credit Floorplan Master Owner Trust Series 2017-1, Class A1 2.07% due 05/15/2022 | $ | 168,000 | $ | 166,766 | |||||||
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023* | 100,000 | 98,939 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 4.10% due 09/19/2035(1)(3) | 31,116 | 30,493 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 4.25% due 04/19/2036(1)(3) | 208,334 | 187,982 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 2.65% (1 ML+0.16%) due 02/25/2037(1) | 41,503 | 40,962 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 3.80% (12 MTA+1.40%) due 10/25/2045(1) | 170,603 | 146,402 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4) | 1,285,000 | 1,286,668 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4) | 155,000 | 174,316 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4) | 1,225,000 | 1,247,706 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4) | 1,307,000 | 1,354,652 | |||||||||
GSAA Home Equity Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(7) | 365,000 | 374,528 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 2.54% (1 ML+0.05%) due 12/25/2046 | 37,591 | 24,867 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 2.56% (1 ML+0.07%) due 12/25/2046 | 74,984 | 37,573 | |||||||||
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 2.57% (1 ML+0.08%) due 02/25/2037 | 386,016 | 194,117 | |||||||||
GSAA Home Equity Trust FRS Series 2006-19, Class A1 2.58% (1 ML+0.09%) due 12/25/2036 | 13,389 | 5,859 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.59% (1 ML+0.10%) due 03/25/2037 | 426,819 | 202,129 |
233
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 2.73% (1 ML+0.24%) due 11/25/2036 | $ | 96,555 | $ | 53,884 | |||||||
GSAA Home Equity Trust FRS Series 2006-3, Class A3 2.79% (1 ML+0.30%) due 03/25/2036 | 19,606 | 14,022 | |||||||||
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 2.81% (1 ML+0.32%) due 04/25/2047 | 158,812 | 106,195 | |||||||||
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(7) | 102,683 | 48,002 | |||||||||
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(3) | 332,065 | 151,401 | |||||||||
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 2.79% (1 ML+0.30%) due 01/25/2037(1) | 499,270 | 266,997 | |||||||||
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 4.30% due 10/25/2035(1)(3) | 82,693 | 68,632 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 4.41% due 01/25/2036(1)(3) | 8,839 | 8,874 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 4.41% due 01/25/2036(1)(3) | 114,404 | 114,472 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 2.67% (1 ML+0.19%) due 01/19/2038(1) | 10,991 | 10,470 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 2.72% (1 ML+0.24%) due 12/19/2036(1) | 250,567 | 230,501 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 4.09% (1 ML + 1.60%) due 10/25/2028*(1) | 710,000 | 711,340 | |||||||||
Honda Auto Receivables Owner Trust Series 2019 -1, Class A3 2.83% due 03/20/2023 | 47,000 | 47,290 | |||||||||
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 2.76% (1 ML+0.27%) due 02/25/2036 | 200,000 | 197,421 | |||||||||
ILPT Trust Series 2019-SURF, Class A 4.15% due 02/11/2041*(4) | 475,000 | 502,750 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 2.77% (1 ML+0.28%) due 07/25/2035(1) | $ | 5,381 | $ | 4,804 | |||||||
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.82% due 04/25/2037(1)(3) | 147,376 | 112,137 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 4.35% due 12/25/2036(1)(3) | 205,510 | 193,878 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(4) | 961,007 | 969,673 | |||||||||
JP Morgan Mtg. Trust VRS Series 2017-6, Class A6 3.00% due 12/25/2048*(1)(3) | 860,325 | 846,748 | |||||||||
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 4.01% due 05/25/2036(1)(3) | 110,055 | 107,289 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(4) | 290,000 | 301,338 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4) | 1,355,000 | 1,407,931 | |||||||||
Legacy Mtg. Asset Trust Series GS1, Class A1 4.00% due 03/25/2058*(7) | 1,681,772 | 1,680,898 | |||||||||
Lehman XS Trust FRS Series 2006-16N, Class A4A 2.68% (1 ML+0.19%) due 11/25/2046(1) | 353,880 | 331,096 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 4.19% (1 ML+1.70%) due 03/01/2024*(1) | 800,000 | 800,526 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2017-6, Class A 4.26% (1 ML+1.75%) due 09/01/2022*(1) | 306,666 | 306,762 | |||||||||
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 4.02% (3 ML+1.26%) due 07/20/2026*(2) | 1,013,016 | 1,013,094 | |||||||||
Madison Park Funding, Ltd. FRS Series 2013-11A, Class AR 3.93% (3 ML+1.16%) due 07/23/2029*(2) | 1,235,000 | 1,234,812 |
234
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A1R 3.77% (3 ML+1.00%) due 07/25/2026*(2) | $ | 2,058,239 | $ | 2,056,887 | |||||||
Magnetite IX, Ltd. FRS Series 2014-9A, Class A2R 4.27% (3 ML+1.50%) due 07/25/2026*(2) | 880,000 | 879,679 | |||||||||
Magnetite VII, Ltd. FRS Series 2012-7A, Class A1R2 3.59% (3 ML+0.80%) due 01/15/2028*(2) | 1,545,000 | 1,518,922 | |||||||||
Magnetite VIII, Ltd. FRS Series 2014-8A, Class AR2 3.77% (3 ML+0.98%) due 04/15/2031*(2) | 680,000 | 675,087 | |||||||||
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 4.47% due 11/21/2034(1)(3) | 70,620 | 72,561 | |||||||||
Mercedes-Benz Auto Lease Trust Series 2019-A, Class A4 3.25% due 10/15/2024 | 16,000 | 16,128 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 4.51% due 07/25/2035(1)(3) | 189,384 | 152,128 | |||||||||
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(1)(3) | 443,836 | 439,565 | |||||||||
MFA Trust VRS Series 2017-RPL1, Class A1 2.59% due 02/25/2057*(1)(3) | 348,295 | 344,647 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(7) | 1,020,973 | 1,019,709 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 2.64% (1 ML+0.15%) due 06/25/2036 | 5,709 | 4,632 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.09% due 12/15/2047(3)(4)(5) | 2,693,738 | 93,968 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(4) | 500,000 | 498,923 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(4) | 791,000 | 800,786 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4) | 1,857,000 | 1,883,425 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(4) | $ | 52,000 | $ | 51,276 | |||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.45% due 06/15/2050(3)(4)(5) | 1,752,626 | 139,650 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4) | 755,000 | 765,994 | |||||||||
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 2.66% (1 ML+0.17%) due 11/25/2036 | 258,016 | 107,602 | |||||||||
MTRO Commercial Mtg. Trust-TECH FRS Series 2019 -TECH, Class A 3.38% (1 ML+0.90%) due 12/15/2033*(4) | 300,000 | 300,376 | |||||||||
MTRO Commercial Mtg. Trust-TECH FRS Series 2019 -TECH, Class D 4.28% (1 ML+1.80%) due 12/15/2033*(4) | 575,000 | 575,539 | |||||||||
Nationstar HECM Loan Trust VRS Series 2017-2A, Class A1 2.04% due 09/25/2027*(3) | 142,638 | 141,255 | |||||||||
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.59% (3 ML+0.80%) due 01/15/2028*(2) | 1,535,000 | 1,522,003 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 3.24% (1 ML + 0.75%) due 01/25/2048*(1) | 1,507,413 | 1,496,711 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(1)(3) | 1,042,120 | 1,053,607 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(1)(3) | 929,487 | 939,045 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.99% (1 ML+1.50%) due 06/25/2057*(1) | 1,335,150 | 1,355,309 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-NQM1, Class A1 3.99% due 11/25/2048*(1)(3) | 1,614,725 | 1,647,651 |
235
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(1)(3) | $ | 1,770,086 | $ | 1,801,455 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(1)(3) | 1,809,872 | 1,849,553 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(1)(3) | 1,506,255 | 1,538,792 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(1)(3) | 1,210,978 | 1,237,159 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3) | 1,450,313 | 1,473,002 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-5A, Class A1 4.75% due 12/25/2057*(1)(3) | 1,144,969 | 1,187,026 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.45% due 06/25/2036(1)(3) | 147,722 | 129,090 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 952,077 | 947,942 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 592,760 | 592,465 | |||||||||
Oak Hill Advisors Residential Loan Trust Series 2017-NPL1, Class A1 3.00% due 06/25/2057*(7) | 314,995 | 314,557 | |||||||||
OBX Trust VRS Series 2018-EXP2, Class 1A1 4.00% due 11/25/2048*(1)(3) | 1,609,598 | 1,623,125 | |||||||||
OCP, Ltd. FRS Series 2015-8A, Class A1R 3.62% (3 ML+0.85%) due 04/17/2027*(2) | 1,160,000 | 1,154,502 | |||||||||
Octagon Investment Partners 30, Ltd. FRS Series 1A, Class A1 4.08% (3 ML+1.32%) due 03/17/2030*(2) | 865,000 | 863,816 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 1,910,000 | 1,895,063 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
OneMain Financial Issuance Trust Series 2A, Class A 4.10% due 03/20/2028* | $ | 229,955 | $ | 230,304 | |||||||
OZLM, Ltd. FRS Series 2014-7RA, Class A1R 3.78% (3 ML+1.01%) due 07/17/2029*(2) | 330,000 | 326,367 | |||||||||
OZLM, Ltd. FRS Series 2015-12A, Class A1R 3.80% (3 ML+1.05%) due 04/30/2027*(2) | 2,095,000 | 2,081,801 | |||||||||
PMT Credit Risk Transfer Trust FRS Series 2019-1R, Class A 4.48% (1 ML+2.00%) due 03/27/2024*(1) | 800,000 | 801,915 | |||||||||
Pretium Mtg. Credit Partners Series 2018-NPL1, Class A1 3.38% due 01/27/2033*(7) | 236,908 | 235,638 | |||||||||
Pretium Mtg. Credit Partners Series 2018-NPL2, Class A1 3.70% due 03/27/2033*(7) | 852,823 | 850,866 | |||||||||
RALI Series Trust FRS Series 2006-QA3, Class A2 2.79% (1 ML+0.30%) due 04/25/2036(1) | 344,379 | 318,314 | |||||||||
RALI Series Trust VRS Series 2007-QH9, Class A1 3.67% due 11/25/2037(1)(3) | 62,056 | 55,439 | |||||||||
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1) | 75,869 | 72,995 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(7) | 339,096 | 155,753 | |||||||||
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(7) | 156,104 | 90,802 | |||||||||
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 4.88% due 04/25/2037(1)(3) | 23,001 | 21,940 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 2.58% (1 ML+0.09%) due 07/25/2036 | 182,576 | 83,272 | |||||||||
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.89% (3 ML+1.12%) due 07/17/2026*(2) | 761,810 | 761,947 | |||||||||
Shackleton CLO, Ltd. FRS Series 2014-6RA, Class A 3.79% (3 ML+1.02%) due 07/17/2028*(2) | 1,580,000 | 1,571,244 |
236
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Shellpoint Co-Originator Trust VRS Series 2017-2, Class A1 3.50% due 10/25/2047*(1)(3) | $ | 361,212 | $ | 359,572 | |||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 408,601 | 408,607 | |||||||||
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026* | 150,956 | 150,461 | |||||||||
Sound Point CLO, Ltd. FRS Series 2017-1A, Class A 4.16% (3 ML+1.39%) due 01/23/2029*(2) | 600,000 | 599,731 | |||||||||
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 2.67% (1 ML+0.18%) due 07/25/2037 | 43,964 | 39,426 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.74% (1 ML+0.25%) due 11/25/2036 | 290,000 | 268,570 | |||||||||
SPS Servicer Advance Receivables Trust Series 2016-T2, Class AT2 2.75% due 11/15/2049* | 1,225,000 | 1,222,518 | |||||||||
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.49% (1 ML+0.30%) due 09/25/2034(1)(3) | 22,052 | 20,539 | |||||||||
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 2.72% (1 ML+0.23%) due 02/25/2036(1) | 117,767 | 104,451 | |||||||||
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2R 4.08% (3 ML+1.28%) due 07/14/2026*(2) | 1,058,630 | 1,058,817 | |||||||||
Synchrony Credit Card Master Note Trust Series 2016-2, Class A 2.21% due 05/15/2024 | 100,000 | 99,145 | |||||||||
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.92% (3 ML+1.16%) due 10/20/2026*(2) | 798,752 | 799,301 | |||||||||
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(3) | 259,819 | 257,506 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(3) | 696,702 | 688,760 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3) | $ | 1,798,813 | $ | 1,778,713 | |||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3) | 496,072 | 490,956 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(3) | 1,379,641 | 1,357,094 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 3.09% (1 ML+0.60%) due 02/25/2057* | 1,133,627 | 1,124,274 | |||||||||
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024 | 150,000 | 152,327 | |||||||||
Treman Park CLO, Ltd. FRS Series 2015-1A, Class ARR 3.83% (3 ML+1.07%) due 10/20/2028*(2) | 1,280,000 | 1,280,616 | |||||||||
Venture XXVII CLO, Ltd. FRS Series 2017-27A, Class A 4.06% (3 ML+1.30%) due 07/20/2030*(2) | 665,000 | 663,189 | |||||||||
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1 3.97% due 03/25/2049*(7) | 535,000 | 535,584 | |||||||||
Vibrant CLO, Ltd. FRS Series 2017-6A, Class A 3.87% (3 ML+1.24%) due 06/20/2029*(2) | 1,785,000 | 1,780,047 | |||||||||
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(4) | 1,195,000 | 1,203,013 | |||||||||
VOLT LLC Series 2018-NPL6, Class A1A 4.11% due 09/25/2048*(7) | 780,952 | 784,016 | |||||||||
VOLT LXII LLC Series 2017-NPL9, Class A1 3.13% due 09/25/2047*(7) | 257,774 | 256,807 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(7) | 1,078,181 | 1,076,649 | |||||||||
VOLT LXVI Series 2018-NPL2 Class A1 4.34% due 05/25/2048*(7) | 672,641 | 674,147 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048*(7) | 516,190 | 518,437 | |||||||||
Voya CLO, Ltd. FRS Series 2014-2A, Class A1R 4.02% (3 ML+1.25%) due 04/17/2030*(2) | 250,000 | 249,024 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.63% (COFI 11+1.50%) due 11/25/2046(1) | 67,815 | 66,754 |
237
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 3.15% (12 MTA+0.82%) due 12/25/2046(1) | $ | 441,543 | $ | 399,876 | |||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 3.28% (12 MTA+0.88%) due 10/25/2046(1) | 175,832 | 164,965 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.59% due 06/25/2037(1)(3) | 155,907 | 145,553 | |||||||||
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-5, Class 1A1 3.09% (1 ML+0.60%) due 07/25/2036(1) | 81,391 | 55,215 | |||||||||
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-AR9, Class 1A 3.23% (12 MTA+0.83%) due 11/25/2046(1) | 134,395 | 122,102 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.14% due 09/15/2057(3)(4)(5) | 9,455,838 | 410,305 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.15% due 05/15/2048(3)(4)(5) | 3,639,744 | 164,282 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.10% due 05/15/2048(3)(4) | 75,000 | 70,782 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR16, Class 4A8 4.54% due 10/25/2035(1)(3) | 575,000 | 583,911 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 4.70% due 10/25/2036(1)(3) | 91,692 | 90,472 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 444,375 | 438,096 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 1,215,000 | 1,215,113 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.78% due 02/15/2044*(3)(4)(5) | 458,839 | 5,474 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wingstop Funding LLC Series 2018-1, Class A2 4.97% due 12/05/2048* | $ | 415,000 | $ | 429,766 | |||||||
World Financial Network Credit Card Master Trust Series 2017-C, Class A 2.31% due 08/15/2024 | 150,000 | 148,896 | |||||||||
York, Ltd. FRS Series 2016-2A, Class A 4.39% (3 ML+1.63%) due 01/20/2030*(2) | 1,240,000 | 1,245,321 | |||||||||
Total Asset Backed Securities (cost $146,644,355) | 147,000,510 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 27.0% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024 | 83,000 | 85,373 | |||||||||
Interpublic Group of Cos., Inc. Senior Notes 5.40% due 10/01/2048 | 78,000 | 78,912 | |||||||||
164,285 | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
General Dynamics Corp. Company Guar. Notes 2.88% due 05/11/2020 | 189,000 | 189,626 | |||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 703,000 | 714,232 | |||||||||
903,858 | |||||||||||
Aerospace/Defense-Equipment — 0.4% | |||||||||||
Harris Corp. Senior Notes 4.40% due 06/15/2028 | 266,000 | 279,747 | |||||||||
L3 Technologies, Inc. Company Guar. Notes 4.40% due 06/15/2028 | 98,000 | 102,832 | |||||||||
United Technologies Corp. Senior Notes 2.80% due 05/04/2024 | 60,000 | 59,245 | |||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 2,105,000 | 2,160,704 | |||||||||
United Technologies Corp. Senior Notes 3.75% due 11/01/2046 | 160,000 | 146,950 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 1,072,000 | 1,113,360 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 195,000 | 206,871 | |||||||||
4,069,709 |
238
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Mosaic Co. Senior Notes 5.63% due 11/15/2043 | $ | 72,000 | $ | 76,383 | |||||||
Airlines — 0.1% | |||||||||||
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2020(8) | 12,115 | 12,185 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.63% due 03/15/2022 | 450,000 | 452,543 | |||||||||
Delta Air Lines, Inc. Senior Notes 3.80% due 04/19/2023 | 650,000 | 656,830 | |||||||||
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024 | 60,528 | 61,448 | |||||||||
1,183,006 | |||||||||||
Applications Software — 0.2% | |||||||||||
CDK Global, Inc. Senior Notes 5.88% due 06/15/2026 | 79,000 | 82,776 | |||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 1,045,000 | 1,066,335 | |||||||||
Microsoft Corp. Senior Notes 4.45% due 11/03/2045 | 365,000 | 413,737 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 84,000 | 84,840 | |||||||||
1,647,688 | |||||||||||
Auto-Cars/Light Trucks — 0.7% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.10% due 04/12/2021* | 306,000 | 307,908 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021* | 150,000 | 146,755 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020* | 287,000 | 285,506 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 3.75% due 11/05/2021* | 154,000 | 156,698 | |||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 120,000 | 111,380 | |||||||||
Ford Motor Co. Senior Notes 4.75% due 01/15/2043 | 265,000 | 207,669 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Auto-Cars/Light Trucks (continued) | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | $ | 415,000 | $ | 347,715 | |||||||
Ford Motor Credit Co. LLC Senior Notes 3.34% due 03/18/2021 | 252,000 | 248,161 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 3.82% due 11/02/2027 | 245,000 | 213,911 | |||||||||
General Motors Co. Senior Notes 4.00% due 04/01/2025 | 500,000 | 493,420 | |||||||||
General Motors Co. Senior Notes 4.88% due 10/02/2023 | 940,000 | 977,556 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 265,000 | 256,908 | |||||||||
General Motors Co. Senior Notes 6.25% due 10/02/2043 | 240,000 | 238,814 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 515,000 | 537,138 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023 | 420,000 | 417,769 | |||||||||
Hyundai Capital America Senior Notes 3.95% due 02/01/2022* | 187,000 | 189,677 | |||||||||
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022* | 228,000 | 222,583 | |||||||||
Toyota Motor Credit Corp. Senior Notes 3.45% due 09/20/2023 | 197,000 | 203,082 | |||||||||
Volkswagen Group of America Finance LLC Company Guar. Notes 3.88% due 11/13/2020* | 1,075,000 | 1,088,805 | |||||||||
6,651,455 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024* | 76,000 | 75,810 | |||||||||
JB Poindexter & Co., Inc. Senior Notes 7.13% due 04/15/2026* | 85,000 | 85,241 | |||||||||
161,051 | |||||||||||
Banks-Commercial — 0.3% | |||||||||||
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025 | 657,000 | 684,207 | |||||||||
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037 | 388,000 | 517,282 |
239
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | $ | 660,000 | $ | 667,846 | |||||||
SunTrust Bank Senior Notes 3.20% due 04/01/2024 | 392,000 | 395,250 | |||||||||
SunTrust Bank Senior Notes 3.50% due 08/02/2022 | 137,000 | 138,925 | |||||||||
Webster Financial Corp. Senior Notes 4.10% due 03/25/2029 | 282,000 | 281,955 | |||||||||
2,685,465 | |||||||||||
Banks-Super Regional — 0.9% | |||||||||||
Bank of America NA Senior Notes 3.34% due 01/25/2023 | 250,000 | 253,125 | |||||||||
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035 | 600,000 | 684,369 | |||||||||
Wells Fargo & Co. Senior Notes 2.63% due 07/22/2022 | 1,395,000 | 1,384,735 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 655,000 | 639,993 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 935,000 | 911,698 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 1,000,000 | 1,001,325 | |||||||||
Wells Fargo & Co. Senior Notes 3.55% due 09/29/2025 | 938,000 | 953,437 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 985,000 | 988,795 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 720,000 | 740,936 | |||||||||
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043 | 275,000 | 309,202 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 290,000 | 334,790 | |||||||||
8,202,405 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026* | 150,000 | 153,750 | |||||||||
EnerSys Company Guar. Notes 5.00% due 04/30/2023* | 111,000 | 110,445 | |||||||||
264,195 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025* | $ | 224,000 | $ | 232,120 | |||||||
PepsiCo., Inc. Senior Notes 2.75% due 04/30/2025 | 146,000 | 146,204 | |||||||||
378,324 | |||||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 1,285,000 | 1,268,620 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 770,000 | 752,603 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 385,000 | 404,197 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 5.25% due 11/15/2048 | 141,000 | 149,531 | |||||||||
2,574,951 | |||||||||||
Brewery — 1.0% | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.70% due 02/01/2036* | 803,000 | 802,186 | |||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046* | 102,000 | 102,447 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.15% due 01/23/2025 | 1,430,000 | 1,490,152 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 875,000 | 840,600 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 1,280,000 | 1,363,709 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 1,114,000 | 1,061,672 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 2,950,000 | 3,193,415 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049 | 353,000 | 387,434 |
240
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 8.20% due 01/15/2039 | $ | 54,000 | $ | 74,943 | |||||||
9,316,558 | |||||||||||
Broadcast Services/Program — 0.4% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 833,000 | 839,765 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025* | 509,000 | 512,978 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.90% due 03/11/2026 | 550,000 | 578,969 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 475,000 | 461,823 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 600,000 | 658,435 | |||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 720,000 | 746,413 | |||||||||
Fox Corp. Senior Notes 5.48% due 01/25/2039* | 105,000 | 116,110 | |||||||||
Fox Corp. Senior Notes 5.58% due 01/25/2049* | 129,000 | 145,187 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 5.13% due 05/15/2023* | 32,000 | 30,300 | |||||||||
4,089,980 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Owens Corning Senior Notes 4.30% due 07/15/2047 | 268,000 | 216,844 | |||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 94,000 | 98,426 | |||||||||
315,270 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Frontdoor, Inc. Senior Notes 6.75% due 08/15/2026* | 63,000 | 64,417 | |||||||||
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 74,000 | 71,225 | |||||||||
135,642 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | $ | 71,000 | $ | 74,372 | |||||||
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025* | 120,000 | 119,566 | |||||||||
193,938 | |||||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028 | 117,000 | 109,395 | |||||||||
Cable/Satellite TV — 1.3% | |||||||||||
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025* | 101,000 | 104,661 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028* | 36,000 | 35,501 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 05/01/2025* | 85,000 | 87,763 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 28,000 | 28,910 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital FRS Senior Sec. Notes 4.39% (3 ML+1.65%) due 02/01/2024 | 32,000 | 32,000 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 880,000 | 928,556 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.05% due 03/30/2029 | 185,000 | 194,934 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038 | 23,000 | 23,124 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 270,000 | 269,025 |
241
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | $ | 685,000 | $ | 715,541 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035 | 78,000 | 86,971 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 1,610,000 | 1,804,815 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 895,000 | 813,796 | |||||||||
Comcast Corp. Company Guar. Notes 3.60% due 03/01/2024 | 243,000 | 250,133 | |||||||||
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038 | 58,000 | 56,991 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 395,000 | 413,099 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 264,000 | 257,220 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 785,000 | 833,969 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 541,000 | 579,128 | |||||||||
Comcast Corp. Company Guar. Notes 4.70% due 10/15/2048 | 134,000 | 145,270 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 290,000 | 319,870 | |||||||||
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038 | 57,000 | 73,033 | |||||||||
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033 | 179,000 | 237,779 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 1,192,000 | 1,186,589 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 480,000 | 453,942 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027* | $ | 270,000 | $ | 275,711 | |||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 300,000 | 270,000 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 310,000 | 270,948 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 125,000 | 128,112 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037 | 1,100,000 | 1,215,204 | |||||||||
12,092,595 | |||||||||||
Casino Services — 0.0% | |||||||||||
Eldorado Resorts, Inc. Company Guar. Notes 6.00% due 09/15/2026 | 110,000 | 111,650 | |||||||||
Cellular Telecom — 0.2% | |||||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 521,000 | 545,748 | |||||||||
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 | 421,691 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 5.15% due 09/20/2029* | 1,195,000 | 1,215,912 | |||||||||
2,183,351 | |||||||||||
Chemicals-Diversified — 0.4% | |||||||||||
Dow Chemical Co. Senior Notes 5.55% due 11/30/2048* | 127,000 | 141,595 | |||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | 1,560,000 | 1,631,341 | |||||||||
DowDuPont, Inc. Senior Notes 4.73% due 11/15/2028 | 1,994,000 | 2,154,302 | |||||||||
DowDuPont, Inc. Senior Notes 5.42% due 11/15/2048 | 186,000 | 212,169 | |||||||||
4,139,407 | |||||||||||
Chemicals-Fibers — 0.0% | |||||||||||
Rayonier AM Products, Inc. Company Guar. Notes 5.50% due 06/01/2024* | 105,000 | 98,700 |
242
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
Neon Holdings, Inc. Senior Sec. Notes 10.13% due 04/01/2026* | $ | 24,000 | $ | 24,480 | |||||||
Chemicals-Specialty — 0.0% | |||||||||||
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034 | 96,000 | 126,322 | |||||||||
Coal — 0.0% | |||||||||||
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025* | 129,000 | 130,612 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
RPM International, Inc. Senior Notes 4.25% due 01/15/2048 | 16,000 | 13,931 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 530,000 | 520,675 | |||||||||
534,606 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022 | 197,000 | 194,439 | |||||||||
Commercial Services-Finance — 0.3% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 2,465,000 | 2,513,905 | |||||||||
Refinitiv US Holdings, Inc. Company Guar. Notes 8.25% due 11/15/2026* | 115,000 | 112,844 | |||||||||
2,626,749 | |||||||||||
Computer Services — 0.1% | |||||||||||
Harland Clarke Holdings Corp. Senior Sec. Notes 8.38% due 08/15/2022* | 14,000 | 12,624 | |||||||||
IBM Credit LLC Senior Notes 3.00% due 02/06/2023 | 580,000 | 584,354 | |||||||||
International Business Machines Corp. Senior Notes 2.50% due 01/27/2022 | 135,000 | 133,827 | |||||||||
730,805 | |||||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | 85,000 | 75,725 | |||||||||
Computers — 0.2% | |||||||||||
Apple, Inc. Senior Notes 2.85% due 05/06/2021 | 153,000 | 154,008 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Computers (continued) | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | $ | 160,000 | $ | 152,226 | |||||||
Apple, Inc. Senior Notes 4.45% due 05/06/2044 | 475,000 | 522,932 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 6.02% due 06/15/2026* | 195,000 | 209,732 | |||||||||
Diamond 1 Finance Corp./ Diamond 2 Finance Corp. Senior Sec. Notes 8.10% due 07/15/2036* | 132,000 | 155,080 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035 | 65,000 | 68,762 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 115,000 | 120,513 | |||||||||
1,383,253 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024 | 106,000 | 94,340 | |||||||||
Everi Payments, Inc. Company Guar. Notes 7.50% due 12/15/2025* | 58,000 | 60,320 | |||||||||
154,660 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 1,026,000 | 979,830 | |||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Central Garden & Pet Co. Company Guar. Notes 5.13% due 02/01/2028 | 75,000 | 68,813 | |||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV Company Guar. Notes 4.50% due 01/15/2023 | 25,000 | 25,250 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 44,000 | 48,840 | |||||||||
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025* | 105,000 | 106,837 | |||||||||
180,927 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024* | 13,000 | 13,467 | |||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 1,175,000 | 1,245,053 | |||||||||
1,258,520 |
243
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. Company Guar. Notes 6.50% due 04/15/2026* | $ | 75,000 | $ | 73,313 | |||||||
First Quality Finance Co., Inc. Company Guar. Notes 5.00% due 07/01/2025* | 76,000 | 73,912 | |||||||||
147,225 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 455,000 | 467,808 | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022* | 99,000 | 93,951 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 2.95% due 09/19/2026 | 255,000 | 246,003 | |||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 260,000 | 260,049 | |||||||||
600,003 | |||||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024 | 125,000 | 123,438 | |||||||||
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 — 4.8% | |||||||||||
Bank of America Corp. Senior Notes 2.50% due 10/21/2022 | 1,090,000 | 1,076,195 | |||||||||
Bank of America Corp. Senior Notes 3.00% due 12/20/2023 | 1,525,000 | 1,518,927 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 2,210,000 | 2,211,550 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 950,000 | 928,957 | |||||||||
Bank of America Corp. Senior Notes 3.55% due 03/05/2024 | 254,000 | 257,941 | |||||||||
Bank of America Corp. Senior Notes 3.86% due 07/23/2024 | 194,000 | 199,512 | |||||||||
Bank of America Corp. Senior Bonds 3.95% due 01/23/2049 | 1,000,000 | 976,949 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 865,000 | 881,641 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | $ | 715,000 | $ | 747,579 | |||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 216,000 | 219,346 | |||||||||
Bank of America Corp. Senior Notes 4.27% due 07/23/2029 | 98,000 | 102,040 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 440,000 | 458,848 | |||||||||
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037 | 694,000 | 823,491 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 329,000 | 322,234 | |||||||||
Citigroup, Inc. Senior Notes 3.30% due 04/27/2025 | 71,000 | 70,827 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 530,000 | 520,738 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 1,220,000 | 1,239,302 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.78% (3 ML+1.10%) due 05/17/2024 | 1,940,000 | 1,948,447 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 2,530,000 | 2,572,022 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 1,270,000 | 1,303,019 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 770,000 | 782,571 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 135,000 | 138,704 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 93,000 | 98,910 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/23/2048 | 190,000 | 203,695 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 335,000 | 367,190 | |||||||||
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033 | 94,000 | 107,531 | |||||||||
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033 | 88,000 | 102,841 |
244
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | $ | 1,405,000 | $ | 1,383,323 | |||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 2,875,000 | 2,849,421 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 06/05/2023 | 269,000 | 265,892 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 1,610,000 | 1,592,027 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.63% due 02/20/2024 | 180,000 | 181,841 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 970,000 | 960,740 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024 | 375,000 | 386,767 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 321,000 | 306,509 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 840,000 | 858,480 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025 | 182,000 | 186,298 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045 | 370,000 | 393,513 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 5.15% due 05/22/2045 | 575,000 | 608,103 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 610,000 | 752,392 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 654,000 | 797,276 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.21% due 04/01/2023 | 437,000 | 439,630 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 1,105,000 | 1,104,653 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 1,230,000 | 1,221,624 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 990,000 | 1,016,522 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038 | 129,000 | 126,443 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | $ | 375,000 | $ | 385,170 | |||||||
JPMorgan Chase & Co. FRS Senior Notes 4.01% (3 ML+1.23%) due 10/24/2023 | 460,000 | 466,918 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021 | 450,000 | 465,784 | |||||||||
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038 | 650,000 | 902,503 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 275,000 | 273,211 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 1,445,000 | 1,406,657 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 2,420,000 | 2,401,707 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 510,000 | 518,954 | |||||||||
Morgan Stanley Senior Notes 3.75% due 02/25/2023 | 400,000 | 410,275 | |||||||||
Morgan Stanley Senior Notes 3.88% due 01/27/2026 | 810,000 | 828,186 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 550,000 | 549,834 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 980,000 | 1,008,635 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 170,000 | 174,410 | |||||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | 150,000 | 157,984 | |||||||||
Morgan Stanley Sub. Notes 5.00% due 11/24/2025 | 861,000 | 922,880 | |||||||||
46,485,569 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
3M Co. Senior Notes 3.25% due 02/14/2024 | 115,000 | 118,489 | |||||||||
General Electric Capital Corp. Sub. Notes 5.30% due 02/11/2021 | 388,000 | 401,571 | |||||||||
Illinois Tool Works, Inc. Senior Notes 3.50% due 03/01/2024 | 127,000 | 131,233 |
245
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Manufacturing Operations (continued) | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | $ | 485,000 | $ | 485,782 | |||||||
1,137,075 | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 1,200,000 | 1,247,266 | |||||||||
Amazon.com, Inc. Senior Notes 4.80% due 12/05/2034 | 84,000 | 97,793 | |||||||||
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044 | 185,000 | 220,635 | |||||||||
1,565,694 | |||||||||||
Electric-Distribution — 0.2% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 465,000 | 453,312 | |||||||||
Metropolitan Edison Co. Senior Notes 4.30% due 01/15/2029* | 152,000 | 159,085 | |||||||||
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048* | 319,000 | 351,584 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 750,000 | 746,620 | |||||||||
1,710,601 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Basin Electric Power Cooperative 1st Mtg. Notes 4.75% due 04/26/2047* | 31,000 | 32,992 | |||||||||
Electric-Integrated — 1.6% | |||||||||||
AES Corp. Senior Notes 4.00% due 03/15/2021 | 85,000 | 86,140 | |||||||||
Appalachian Power Co. Senior Notes 4.50% due 03/01/2049 | 70,000 | 72,834 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 345,000 | 342,635 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 197,000 | 247,429 | |||||||||
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033 | 265,000 | 297,382 | |||||||||
DTE Electric Co. General Refunding Mtg. 3.95% due 03/01/2049 | 265,000 | 271,010 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | $ | 750,000 | $ | 744,689 | |||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042 | 80,000 | 82,279 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038 | 40,000 | 51,044 | |||||||||
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037 | 50,000 | 63,247 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024 | 1,110,000 | 1,144,633 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 785,000 | 730,536 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043 | 195,000 | 221,538 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022 | 143,000 | 143,804 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044 | 900,000 | 937,203 | |||||||||
Entergy Arkansas LLC 1st Mtg. Notes 4.20% due 04/01/2049 | 101,000 | 104,278 | |||||||||
Entergy Texas, Inc. 1st Mtg. Notes 4.50% due 03/30/2039 | 386,000 | 406,379 | |||||||||
Evergy, Inc. Senior Notes 4.85% due 06/01/2021 | 91,000 | 93,760 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 240,000 | 237,215 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 565,000 | 564,385 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 340,000 | 351,939 | |||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | 82,000 | 83,194 | |||||||||
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031 | 421,000 | 556,967 | |||||||||
FirstEnergy Transmission LLC Senior Notes 4.55% due 04/01/2049* | 98,000 | 99,912 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 869,000 | 860,967 |
246
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Georgia Power Co. Senior Notes 4.75% due 09/01/2040 | $ | 350,000 | $ | 362,417 | |||||||
Interstate Power & Light Co. Senior Notes 3.60% due 04/01/2029 | 112,000 | 112,289 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 740,000 | 743,775 | |||||||||
Jersey Central Power & Light Co. Senior Notes 4.30% due 01/15/2026* | 77,000 | 80,159 | |||||||||
Kansas City Power & Light Co. General Refunding Mtg. Notes 4.13% due 04/01/2049 | 73,000 | 75,470 | |||||||||
Louisville Gas & Electric Co. 1st Mtg. Bonds 4.25% due 04/01/2049 | 216,000 | 227,340 | |||||||||
Massachusetts Electric Co. Notes 4.00% due 08/15/2046* | 83,000 | 81,033 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 630,000 | 632,276 | |||||||||
Pacific Gas & Electric Co. Senior Notes 2.95% due 03/01/2026(11) | 185,000 | 161,875 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.30% due 12/01/2027(11) | 1,085,000 | 946,662 | |||||||||
Pacific Gas & Electric Co. Senior Notes 3.50% due 06/15/2025(11) | 230,000 | 204,700 | |||||||||
Pacific Gas & Electric Co. Senior Notes 4.45% due 04/15/2042(11) | 33,000 | 28,297 | |||||||||
Pacific Gas & Electric Co. Senior Notes 6.05% due 03/01/2034(11) | 580,000 | 575,650 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 3.70% due 06/15/2028 | 170,000 | 177,000 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048 | 117,000 | 123,148 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.25% due 08/15/2028 | 420,000 | 453,442 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Notes 4.35% due 02/01/2042 | 37,000 | 39,236 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065 | $ | 274,000 | $ | 314,565 | |||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 655,000 | 652,137 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 595,000 | 582,781 | |||||||||
15,369,651 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 160,000 | 191,131 | |||||||||
Electronic Components-Semiconductors — 0.9% | |||||||||||
Amkor Technology, Inc. Senior Notes 6.63% due 09/15/2027* | 73,000 | 74,095 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 920,000 | 881,781 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.63% due 01/15/2024 | 1,985,000 | 1,979,896 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 2,375,000 | 2,268,896 | |||||||||
Broadcom, Inc. Company Guar. Notes 3.13% due 04/15/2021* | 1,105,000 | 1,103,696 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 160,000 | 169,079 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023* | 865,000 | 882,543 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 1,230,000 | 1,254,763 | |||||||||
Micron Technology, Inc. Senior Notes 5.33% due 02/06/2029 | 157,000 | 161,125 | |||||||||
8,775,874 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Trimble, Inc. Senior Notes 4.75% due 12/01/2024 | 18,000 | 18,491 | |||||||||
Trimble, Inc. Senior Notes 4.90% due 06/15/2028 | 334,000 | 341,233 | |||||||||
359,724 |
247
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Arrow Electronics, Inc. Senior Notes 4.00% due 04/01/2025 | $ | 96,000 | $ | 95,989 | |||||||
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024 | 125,000 | 123,933 | |||||||||
219,922 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
ADT Corp. Senior Sec. Notes 4.13% due 06/15/2023 | 85,000 | 81,983 | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024* | 110,000 | 111,925 | |||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 1,235,000 | 1,234,999 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024 | 119,000 | 119,892 | |||||||||
Oracle Corp. Senior Notes 2.95% due 11/15/2024 | 130,000 | 130,236 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 450,000 | 452,666 | |||||||||
702,794 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026* | 70,000 | 71,162 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024* | 117,000 | 109,980 | |||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 62,000 | 57,738 | |||||||||
SLM Corp. Senior Notes 5.63% due 08/01/2033 | 150,000 | 114,750 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025 | 125,000 | 128,906 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 7.13% due 03/15/2026 | 37,000 | 37,670 | |||||||||
Synchrony Financial Senior Notes 4.25% due 08/15/2024 | 128,000 | 128,772 | |||||||||
Synchrony Financial Senior Notes 4.38% due 03/19/2024 | 96,000 | 97,238 | |||||||||
675,054 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Finance-Credit Card — 0.2% | |||||||||||
Alliance Data Systems Corp. Company Guar. Notes 5.88% due 11/01/2021* | $ | 100,000 | $ | 102,250 | |||||||
American Express Co. Senior Notes 3.40% due 02/27/2023 | 435,000 | 441,628 | |||||||||
American Express Co. Senior Notes 3.40% due 02/22/2024 | 278,000 | 282,474 | |||||||||
American Express Co. Senior Notes 4.20% due 11/06/2025 | 96,000 | 101,519 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 755,000 | 771,841 | |||||||||
1,699,712 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc. Senior Notes 4.15% due 01/23/2030 | 112,000 | 102,539 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(8) | 131,000 | 13 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(8) | 99,000 | 10 | |||||||||
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025* | 90,000 | 91,152 | |||||||||
193,714 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025* | 125,000 | 125,438 | |||||||||
Finance-Other Services — 0.1% | |||||||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.30% due 11/01/2020 | 242,000 | 240,923 | |||||||||
National Rural Utilities Cooperative Finance Corp. Senior Notes 2.30% due 09/15/2022 | 128,000 | 126,062 | |||||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Notes 2.40% due 04/25/2022 | 104,000 | 103,277 | |||||||||
470,262 | |||||||||||
Food-Meat Products — 0.0% | |||||||||||
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021* | 73,000 | 70,184 | |||||||||
Smithfield Foods, Inc. Senior Notes 5.20% due 04/01/2029* | 57,000 | 57,290 |
248
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Food-Meat Products (continued) | |||||||||||
Tyson Foods, Inc. Senior Notes 5.10% due 09/28/2048 | $ | 157,000 | $ | 159,789 | |||||||
287,263 | |||||||||||
Food-Misc./Diversified — 0.6% | |||||||||||
Conagra Brands, Inc. Senior Notes 3.80% due 10/22/2021 | 230,000 | 234,310 | |||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 1,105,000 | 1,146,627 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 125,000 | 131,195 | |||||||||
Conagra Brands, Inc. Senior Notes 5.30% due 11/01/2038 | 190,000 | 192,327 | |||||||||
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048 | 174,000 | 174,948 | |||||||||
Conagra Brands, Inc. Senior Notes 7.00% due 10/01/2028 | 158,000 | 184,727 | |||||||||
General Mills, Inc. Senior Notes 4.70% due 04/17/2048 | 216,000 | 215,670 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026 | 1,165,000 | 1,085,902 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 130,000 | 112,455 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 01/30/2029 | 1,205,000 | 1,239,515 | |||||||||
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025* | 196,000 | 200,404 | |||||||||
Mars, Inc. Company Guar. Notes 4.20% due 04/01/2059* | 100,000 | 102,511 | |||||||||
Mondelez International, Inc. Senior Notes 3.63% due 02/13/2026 | 180,000 | 182,443 | |||||||||
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025* | 184,000 | 190,784 | |||||||||
Post Holdings, Inc. Company Guar. Notes 5.50% due 03/01/2025* | 65,000 | 65,731 | |||||||||
5,459,549 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Food-Retail — 0.0% | |||||||||||
Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/ Albertson's LLC Company Guar. Notes 5.75% due 03/15/2025 | $ | 87,000 | $ | 82,541 | |||||||
Kroger Co. Senior Notes 5.40% due 01/15/2049 | 110,000 | 113,982 | |||||||||
196,523 | |||||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Scientific Games International, Inc. Company Guar. Notes 8.25% due 03/15/2026* | 80,000 | 81,652 | |||||||||
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(8) | 1,320 | 73 | |||||||||
81,725 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
NiSource, Inc. Senior Notes 5.65% due 02/01/2045 | 97,000 | 112,709 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower, Inc. Company Guar. Notes 6.13% due 12/01/2024 | 49,000 | 50,838 | |||||||||
Wyndham Worldwide Corp. Senior Sec. Notes 5.40% due 04/01/2024 | 39,000 | 39,585 | |||||||||
Wyndham Worldwide Corp. Senior Sec. Notes 5.75% due 04/01/2027 | 75,000 | 74,392 | |||||||||
164,815 | |||||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. Senior Notes 4.20% due 03/01/2049 | 69,000 | 72,843 | |||||||||
Insurance Brokers — 0.3% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 12/29/2020 | 89,000 | 90,183 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 290,000 | 297,313 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 615,000 | 637,882 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023 | 295,000 | 306,755 |
249
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance Brokers (continued) | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | $ | 390,000 | $ | 412,696 | |||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 435,000 | 470,737 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 610,000 | 613,890 | |||||||||
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048 | 102,000 | 106,134 | |||||||||
2,935,590 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047 | 151,000 | 120,369 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Assurant, Inc. Senior Notes 6.75% due 02/15/2034 | 117,000 | 134,756 | |||||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 114,000 | 179,212 | |||||||||
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024* | 200,000 | 197,822 | |||||||||
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020* | 324,000 | 321,132 | |||||||||
698,166 | |||||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
ACE INA Holdings, Inc. Company Guar. Notes 2.88% due 11/03/2022 | 166,000 | 167,327 | |||||||||
AmWINS Group, Inc. Company Guar. Notes 7.75% due 07/01/2026* | 85,000 | 84,787 | |||||||||
252,114 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.20% due 08/15/2048 | 515,000 | 533,578 | |||||||||
Internet Connectivity Services — 0.0% | |||||||||||
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022* | 135,000 | 138,037 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 4.38% due 11/15/2026 | 18,000 | 17,662 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Internet Content-Entertainment (continued) | |||||||||||
Netflix, Inc. Senior Notes 5.88% due 02/15/2025 | $ | 100,000 | $ | 108,065 | |||||||
125,727 | |||||||||||
Investment Companies — 0.0% | |||||||||||
FS Energy & Power Fund Senior Sec. Notes 7.50% due 08/15/2023* | 85,000 | 87,178 | |||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
Ameriprise Financial, Inc. Senior Notes 3.00% due 03/22/2022 | 146,000 | 146,839 | |||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022 | 123,000 | 122,392 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 3.15% due 09/07/2021 | 83,000 | 83,956 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 3.45% due 05/15/2023 | 174,000 | 178,860 | |||||||||
Terex Corp. Company Guar. Notes 5.63% due 02/01/2025* | 82,000 | 81,590 | |||||||||
466,798 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023 | 214,000 | 217,443 | |||||||||
Machinery-Farming — 0.1% | |||||||||||
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024 | 261,000 | 267,869 | |||||||||
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021 | 128,000 | 127,444 | |||||||||
John Deere Capital Corp. Senior Notes 2.95% due 04/01/2022 | 271,000 | 273,458 | |||||||||
John Deere Capital Corp. Senior Notes 3.45% due 01/10/2024 | 177,000 | 181,903 | |||||||||
John Deere Capital Corp. Senior Notes 3.65% due 10/12/2023 | 89,000 | 92,311 | |||||||||
942,985 | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Roper Technologies, Inc. Senior Notes 4.20% due 09/15/2028 | 294,000 | 304,744 |
250
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | $ | 1,230,000 | $ | 1,264,466 | |||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024 | 207,000 | 204,796 | |||||||||
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045 | 136,000 | 132,551 | |||||||||
MEDNAX, Inc. Company Guar. Notes 5.25% due 12/01/2023* | 155,000 | 156,938 | |||||||||
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022* | 204,000 | 199,085 | |||||||||
693,370 | |||||||||||
Medical Products — 0.3% | |||||||||||
Baxter International, Inc. Senior Notes 3.50% due 08/15/2046 | 143,000 | 123,578 | |||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 1,825,000 | 1,824,992 | |||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 940,000 | 936,384 | |||||||||
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025* | 50,000 | 49,740 | |||||||||
2,934,694 | |||||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 700,000 | 697,557 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 24,000 | 24,124 | |||||||||
Celgene Corp. Senior Notes 3.63% due 05/15/2024 | 194,000 | 196,967 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 119,000 | 119,822 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.25% due 09/01/2022 | 190,000 | 193,542 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024 | 515,000 | 531,784 | |||||||||
1,763,796 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Medical-Drugs — 0.3% | |||||||||||
AbbVie, Inc. Senior Notes 4.45% due 05/14/2046 | $ | 96,000 | $ | 89,013 | |||||||
AbbVie, Inc. Senior Notes 4.88% due 11/14/2048 | 108,000 | 106,222 | |||||||||
Bayer US Finance II LLC Company Guar. Notes 4.25% due 12/15/2025* | 1,060,000 | 1,071,361 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023 | 131,000 | 133,992 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 1,475,000 | 1,526,958 | |||||||||
2,927,546 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 702,000 | 682,486 | |||||||||
Mylan, Inc. Company Guar. Notes 5.20% due 04/15/2048 | 290,000 | 261,550 | |||||||||
Par Pharmaceutical, Inc. Senior Sec. Notes 7.50% due 04/01/2027* | 77,000 | 78,078 | |||||||||
1,022,114 | |||||||||||
Medical-HMO — 0.5% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 375,000 | 368,254 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 785,000 | 794,811 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 400,000 | 412,822 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 555,000 | 606,186 | |||||||||
Centene Corp. Senior Notes 4.75% due 01/15/2025 | 25,000 | 25,500 | |||||||||
UnitedHealth Group, Inc. Senior Bonds 2.38% due 10/15/2022 | 596,000 | 589,816 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 06/15/2023 | 600,000 | 618,117 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 65,000 | 67,631 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 505,000 | 527,133 | |||||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 545,000 | 615,810 | |||||||||
4,626,080 |
251
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | $ | 182,000 | $ | 195,007 | |||||||
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025 | 150,000 | 159,000 | |||||||||
354,007 | |||||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021* | 75,000 | 77,161 | |||||||||
Cardinal Health, Inc. Senior Notes 2.62% due 06/15/2022 | 930,000 | 917,539 | |||||||||
Cardinal Health, Inc. Senior Notes 4.60% due 03/15/2043 | 271,000 | 249,755 | |||||||||
1,244,455 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 40,000 | 39,850 | |||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | 84,000 | 85,890 | |||||||||
125,740 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023 | 99,000 | 97,575 | |||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.13% due 03/12/2024* | 200,000 | 201,935 | |||||||||
Metal-Iron — 0.0% | |||||||||||
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025 | 103,000 | 98,623 | |||||||||
Multimedia — 0.4% | |||||||||||
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025* | 74,000 | 70,485 | |||||||||
Time Warner, Inc. Company Guar. Notes 2.95% due 07/15/2026 | 545,000 | 515,819 | |||||||||
Time Warner, Inc. Company Guar. Notes 4.85% due 07/15/2045 | 132,000 | 133,235 | |||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 1,740,000 | 1,808,884 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 450,000 | 404,562 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Multimedia (continued) | |||||||||||
Warner Media LLC Company Guar. Notes 3.80% due 02/15/2027 | $ | 1,155,000 | $ | 1,150,302 | |||||||
4,083,287 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. Senior Notes 4.88% due 12/06/2028 | 152,000 | 162,703 | |||||||||
Oil Companies-Exploration & Production — 0.9% | |||||||||||
Anadarko Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 115,000 | 108,217 | |||||||||
Anadarko Petroleum Corp. Senior Notes 5.55% due 03/15/2026 | 415,000 | 451,992 | |||||||||
Anadarko Petroleum Corp. Senior Notes 6.45% due 09/15/2036 | 248,000 | 285,340 | |||||||||
Brazos Valley Longhorn LLC Company Guar. Notes 6.88% due 02/01/2025 | 95,000 | 95,475 | |||||||||
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026 | 85,000 | 85,212 | |||||||||
Centennial Resource Production LLC Company Guar. Notes 6.88% due 04/01/2027* | 44,000 | 44,431 | |||||||||
Chaparral Energy, Inc. Senior Notes 8.75% due 07/15/2023* | 136,000 | 93,160 | |||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 789,000 | 811,982 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 179,000 | 185,297 | |||||||||
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026* | 100,000 | 76,750 | |||||||||
Hess Corp. Senior Notes 4.30% due 04/01/2027 | 1,385,000 | 1,371,691 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 604,000 | 699,704 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 910,000 | 1,061,338 | |||||||||
Hess Corp. Senior Notes 7.88% due 10/01/2029 | 230,000 | 277,142 | |||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024* | 119,000 | 115,763 |
252
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Kerr-McGee Corp. Company Guar. Notes 6.95% due 07/01/2024 | $ | 375,000 | $ | 430,997 | |||||||
Lonestar Resources America, Inc. Company Guar. Notes 11.25% due 01/01/2023* | 1,019,000 | 988,430 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 350,000 | 354,315 | |||||||||
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037 | 83,000 | 97,758 | |||||||||
Noble Energy, Inc. Senior Notes 4.95% due 08/15/2047 | 236,000 | 233,080 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 1,045,000 | 1,037,348 | |||||||||
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026 | 75,000 | 76,500 | |||||||||
8,981,922 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Chevron Corp. Senior Notes 2.90% due 03/03/2024 | 488,000 | 493,582 | |||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Forum Energy Technologies, Inc. Company Guar. Notes 6.25% due 10/01/2021 | 94,000 | 83,190 | |||||||||
Hi-Crush Partners LP Senior Notes 9.50% due 08/01/2026* | 147,000 | 113,190 | |||||||||
196,380 | |||||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028* | 445,000 | 440,576 | |||||||||
Valero Energy Corp. Senior Notes 3.40% due 09/15/2026 | 705,000 | 689,752 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 417,000 | 420,805 | |||||||||
1,551,133 | |||||||||||
Oil-Field Services — 0.1% | |||||||||||
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026 | 59,000 | 59,737 | |||||||||
Calfrac Holdings LP Senior Notes 8.50% due 06/15/2026* | 85,000 | 65,875 | |||||||||
Nine Energy Service, Inc. Senior Notes 8.75% due 11/01/2023* | 48,000 | 49,560 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Oil-Field Services (continued) | |||||||||||
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022 | $ | 83,000 | $ | 51,460 | |||||||
Schlumberger Holdings Corp. Senior Notes 3.75% due 05/01/2024* | 143,000 | 146,126 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026 | 64,000 | 65,680 | |||||||||
438,438 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044 | 255,000 | 263,572 | |||||||||
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023* | 351,000 | 360,144 | |||||||||
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020* | 112,000 | 116,425 | |||||||||
International Paper Co. Senior Notes 7.30% due 11/15/2039 | 115,000 | 145,471 | |||||||||
885,612 | |||||||||||
Petrochemicals — 0.0% | |||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023* | 128,000 | 129,390 | |||||||||
Pharmacy Services — 0.8% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028* | 3,910,000 | 4,055,726 | |||||||||
Cigna Corp. Company Guar. Notes 4.80% due 08/15/2038* | 148,000 | 152,113 | |||||||||
Cigna Corp. Company Guar. Notes 4.90% due 12/15/2048* | 146,000 | 150,657 | |||||||||
CVS Health Corp. Senior Notes 4.10% due 03/25/2025 | 765,000 | 785,383 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 576,000 | 570,409 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 1,110,000 | 1,118,219 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 1,140,000 | 1,158,569 | |||||||||
7,991,076 |
253
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines — 1.5% | |||||||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. Company Guar. Notes 4.25% due 12/01/2027 | $ | 885,000 | $ | 889,267 | |||||||
Buckeye Partners LP Senior Notes 3.95% due 12/01/2026 | 188,000 | 178,743 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025 | 130,000 | 141,375 | |||||||||
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025 | 47,000 | 48,057 | |||||||||
Colorado Interstate Gas Co. LLC/Colorado Interstate Issuing Corp. Company Guar. Notes 4.15% due 08/15/2026* | 146,000 | 148,460 | |||||||||
Enable Midstream Partners LP Senior Notes 4.95% due 05/15/2028 | 129,000 | 130,613 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.25% due 03/15/2023 | 85,000 | 87,207 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 639,000 | 666,251 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 1,785,000 | 1,914,120 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | 320,000 | 358,427 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 390,000 | 402,991 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.90% due 03/15/2035 | 43,000 | 40,861 | |||||||||
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026 | 54,000 | 53,606 | |||||||||
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045 | 46,000 | 39,675 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.80% due 02/01/2049 | 140,000 | 148,921 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 287,000 | 266,276 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 610,000 | 616,183 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024 | $ | 74,000 | $ | 71,040 | |||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023 | 70,000 | 70,525 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 80,000 | 82,560 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042 | 130,000 | 130,191 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 6.95% due 01/15/2038 | 53,000 | 64,714 | |||||||||
Magellan Midstream Partners LP Senior Notes 4.85% due 02/01/2049 | 108,000 | 114,625 | |||||||||
MPLX LP Senior Notes 4.00% due 03/15/2028 | 544,000 | 540,617 | |||||||||
MPLX LP Senior Notes 4.13% due 03/01/2027 | 577,000 | 580,635 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 250,000 | 238,829 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 310,000 | 314,553 | |||||||||
MPLX LP Senior Notes 5.50% due 02/15/2049 | 230,000 | 245,332 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 320,000 | 322,248 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022 | 112,000 | 110,740 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023 | 37,000 | 34,747 | |||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022 | 93,000 | 92,070 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 490,000 | 485,757 |
254
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | $ | 980,000 | $ | 965,664 | |||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 275,000 | 268,640 | |||||||||
Transcontinental Gas Pipe Line Co. LLC Senior Notes 4.00% due 03/15/2028 | 300,000 | 306,126 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 1,065,000 | 1,101,570 | |||||||||
Western Gas Partners LP Senior Notes 4.50% due 03/01/2028 | 1,125,000 | 1,115,610 | |||||||||
Western Gas Partners LP Senior Notes 4.75% due 08/15/2028 | 660,000 | 669,951 | |||||||||
Western Gas Partners LP Senior Notes 5.50% due 08/15/2048 | 55,000 | 53,614 | |||||||||
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044 | 125,000 | 137,490 | |||||||||
14,248,881 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp. Company Guar. Notes 5.88% due 09/30/2027* | 115,000 | 115,863 | |||||||||
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 | 76,000 | |||||||||
Radio — 0.0% | |||||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 87,000 | 88,875 | |||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
American Tower Corp. Senior Notes 4.00% due 06/01/2025 | 126,000 | 129,702 | |||||||||
Columbia Property Trust Operating Partnership LP Company Guar. Notes 4.15% due 04/01/2025 | 173,000 | 173,056 | |||||||||
Crown Castle International Corp. Senior Notes 3.15% due 07/15/2023 | 500,000 | 499,458 | |||||||||
Crown Castle International Corp. Senior Notes 3.20% due 09/01/2024 | 265,000 | 262,974 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Crown Castle International Corp. Senior Notes 5.20% due 02/15/2049 | $ | 135,000 | $ | 142,055 | |||||||
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025 | 88,000 | 88,334 | |||||||||
ERP Operating LP Senior Notes 4.15% due 12/01/2028 | 104,000 | 110,893 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | 125,000 | 124,166 | |||||||||
GEO Group, Inc. Company Guar. Notes 5.13% due 04/01/2023 | 85,000 | 75,438 | |||||||||
GEO Group, Inc. Company Guar. Notes 5.88% due 10/15/2024 | 50,000 | 43,750 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 635,000 | 662,686 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 120,000 | 125,388 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 90,000 | 86,400 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 106,000 | 104,013 | |||||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 48,000 | 48,180 | |||||||||
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.75% due 02/01/2027* | 34,000 | 35,190 | |||||||||
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027 | 105,000 | 106,838 | |||||||||
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026 | 100,000 | 97,891 | |||||||||
Simon Property Group LP Senior Notes 4.13% due 12/01/2021 | 183,000 | 189,293 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 100,000 | 99,500 | |||||||||
3,205,205 |
255
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
Newmark Group, Inc. Senior Notes 6.13% due 11/15/2023 | $ | 80,000 | $ | 82,444 | |||||||
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 4.88% due 06/01/2023* | 94,000 | 87,655 | |||||||||
170,099 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Greystar Real Estate Partners LLC Senior Sec. Notes 5.75% due 12/01/2025* | 85,000 | 85,213 | |||||||||
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024 | 135,000 | 134,156 | |||||||||
219,369 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023* | 85,000 | 78,306 | |||||||||
Jurassic Holdings III, Inc. Sec. Notes 6.88% due 02/15/2021* | 86,000 | 81,270 | |||||||||
159,576 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022 | 109,000 | 106,820 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
AutoNation, Inc. Company Guar. Notes 3.50% due 11/15/2024 | 157,000 | 152,264 | |||||||||
Lithia Motors, Inc. Company Guar. Notes 5.25% due 08/01/2025* | 75,000 | 75,375 | |||||||||
227,639 | |||||||||||
Retail-Building Products — 0.2% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 1,495,000 | 1,501,443 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 215,000 | 190,326 | |||||||||
1,691,769 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.70% due 06/26/2028 | 355,000 | 373,927 | |||||||||
Walmart, Inc. Senior Notes 3.95% due 06/28/2038 | 490,000 | 514,405 | |||||||||
888,332 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Retail-Drug Store — 0.0% | |||||||||||
Walgreens Boots Alliance, Inc. Senior Notes 4.80% due 11/18/2044 | $ | 78,000 | $ | 74,754 | |||||||
Retail-Mail Order — 0.1% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 363,000 | 371,152 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 59,000 | 64,384 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. Company Guar. Notes 5.38% due 06/01/2024* | 62,000 | 63,396 | |||||||||
Retail-Restaurants — 0.2% | |||||||||||
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024* | 83,000 | 81,342 | |||||||||
Darden Restaurants, Inc. Senior Notes 4.55% due 02/15/2048 | 183,000 | 175,615 | |||||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | 81,000 | 85,050 | |||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 710,000 | 724,586 | |||||||||
McDonald's Corp. Senior Notes 4.45% due 09/01/2048 | 280,000 | 287,382 | |||||||||
McDonald's Corp. Senior Notes 4.88% due 12/09/2045 | 95,000 | 102,759 | |||||||||
1,456,734 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026 | 83,000 | 81,340 | |||||||||
Savings & Loans/Thrifts — 0.1% | |||||||||||
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021 | 294,000 | 324,752 | |||||||||
New York Community Bancorp, Inc. Sub. Notes 5.90% due 11/06/2028 | 297,000 | 297,663 | |||||||||
622,415 | |||||||||||
Security Services — 0.0% | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.25% due 04/15/2024* | 19,000 | 19,000 |
256
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Security Services (continued) | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.75% due 04/15/2026* | $ | 66,000 | $ | 66,014 | |||||||
85,014 | |||||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Entegris, Inc. Company Guar. Notes 4.63% due 02/10/2026* | 45,000 | 44,550 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026 | 57,000 | 56,858 | |||||||||
United States Steel Corp. Senior Notes 6.88% due 08/15/2025 | 68,000 | 66,130 | |||||||||
122,988 | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Anixter, Inc. Company Guar. Notes 6.00% due 12/01/2025* | 59,000 | 61,950 | |||||||||
Telephone-Integrated — 1.1% | |||||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 1,773,000 | 1,793,351 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 675,000 | 689,560 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 352,000 | 346,795 | |||||||||
AT&T, Inc. Senior Notes 4.55% due 03/09/2049 | 999,000 | 943,410 | |||||||||
AT&T, Inc. Senior Notes 4.90% due 08/15/2037 | 391,000 | 395,253 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 03/15/2042 | 220,000 | 225,044 | |||||||||
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024 | 175,000 | 185,062 | |||||||||
Frontier Communications Corp. Senior Notes 7.13% due 01/15/2023 | 120,000 | 72,600 | |||||||||
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024 | 152,000 | 83,220 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 115,000 | 117,752 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 105,000 | 106,202 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | $ | 70,000 | $ | 72,821 | |||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 2,125,000 | 2,246,112 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 1,115,000 | 1,194,396 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 1,372,000 | 1,543,410 | |||||||||
10,014,988 | |||||||||||
Television — 0.1% | |||||||||||
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027 | 102,000 | 111,435 | |||||||||
CBS Corp. Company Guar. Notes 3.70% due 08/15/2024 | 166,000 | 168,736 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.13% due 10/15/2024* | 62,000 | 62,251 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026* | 16,000 | 16,283 | |||||||||
358,705 | |||||||||||
Tobacco — 1.3% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026 | 990,000 | 913,758 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.80% due 02/14/2024 | 435,000 | 442,737 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 985,000 | 808,736 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 475,000 | 488,223 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 945,000 | 974,205 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044 | 200,000 | 199,570 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 2,025,000 | 2,141,686 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.95% due 02/14/2049 | 1,095,000 | 1,174,995 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.30% due 08/14/2020 | 600,000 | 593,852 |
257
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Tobacco (continued) | |||||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024 | $ | 900,000 | $ | 879,984 | |||||||
BAT Capital Corp. Company Guar. Notes 3.56% due 08/15/2027 | 1,200,000 | 1,136,153 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 1,650,000 | 1,476,321 | |||||||||
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043 | 825,000 | 779,846 | |||||||||
12,010,066 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. Senior Notes 3.40% due 03/01/2026 | 180,000 | 182,198 | |||||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
GATX Corp. Senior Notes 4.35% due 02/15/2024 | 228,000 | 236,345 | |||||||||
GATX Corp. Senior Notes 4.70% due 04/01/2029 | 69,000 | 71,883 | |||||||||
308,228 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp. Senior Notes 4.20% due 03/01/2028 | 135,000 | 136,166 | |||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 1,960,000 | 1,934,695 | |||||||||
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048 | 76,000 | 79,475 | |||||||||
Norfolk Southern Corp. Senior Notes 5.10% due 08/01/2118 | 170,000 | 177,649 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 1,000,000 | 1,038,244 | |||||||||
3,230,063 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. Company Guar. Notes 3.88% due 03/01/2026 | 181,000 | 183,775 | |||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 142,000 | 135,899 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Trucking/Leasing (continued) | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.95% due 03/10/2025* | $ | 214,000 | $ | 215,006 | |||||||
350,905 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $255,375,815) | 259,622,426 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 5.9% | |||||||||||
Agricultural Chemicals — 0.3% | |||||||||||
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025* | 150,000 | 151,125 | |||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 287,000 | 295,531 | |||||||||
Nutrien, Ltd. Senior Notes 4.90% due 06/01/2043 | 200,000 | 204,453 | |||||||||
Nutrien, Ltd. Senior Notes 5.00% due 04/01/2049 | 122,000 | 127,509 | |||||||||
Syngenta Finance NV Company Guar. Notes 4.89% due 04/24/2025* | 895,000 | 911,440 | |||||||||
Syngenta Finance NV Company Guar. Notes 5.18% due 04/24/2028* | 1,205,000 | 1,224,628 | |||||||||
2,914,686 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
International Airport Finance SA Senior Sec. Notes 12.00% due 03/15/2033* | 950,000 | 1,012,700 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Aptiv PLC Company Guar. Notes 5.40% due 03/15/2049 | 75,000 | 77,380 | |||||||||
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025* | 95,000 | 83,648 | |||||||||
161,028 | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Barclays Bank PLC Senior Notes 2.65% due 01/11/2021 | 470,000 | 466,302 | |||||||||
BPCE SA Senior Notes 2.75% due 01/11/2023* | 640,000 | 633,227 | |||||||||
BPCE SA Company Guar. Notes 3.00% due 05/22/2022* | 345,000 | 341,343 | |||||||||
Canadian Imperial Bank of Commerce Senior Notes 2.10% due 10/05/2020 | 316,000 | 313,360 |
258
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Danske Bank A/S Senior Notes 3.88% due 09/12/2023* | $ | 200,000 | $ | 196,464 | |||||||
Danske Bank A/S Senior Notes 5.00% due 01/12/2022* | 665,000 | 681,983 | |||||||||
Danske Bank A/S Senior Notes 5.38% due 01/12/2024* | 1,120,000 | 1,164,867 | |||||||||
Intesa Sanpaolo SpA Senior Notes 3.38% due 01/12/2023* | 285,000 | 278,181 | |||||||||
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026* | 265,000 | 258,683 | |||||||||
4,334,410 | |||||||||||
Banks-Special Purpose — 0.0% | |||||||||||
Kreditanstalt fuer Wiederaufbau Government Guar. Notes 1.63% due 03/15/2021 | 298,000 | 293,709 | |||||||||
Building Societies — 0.0% | |||||||||||
Nationwide Building Society Sub. Notes 4.13% due 10/18/2032* | 250,000 | 232,726 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | 9,000 | 8,834 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice Financing SA Senior Sec. Notes 7.50% due 05/15/2026* | 200,000 | 197,400 | |||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 270,000 | 284,185 | |||||||||
UPCB Finance IV, Ltd. Senior Sec. Notes 5.38% due 01/15/2025* | 200,000 | 203,000 | |||||||||
684,585 | |||||||||||
Cellular Telecom — 0.3% | |||||||||||
Numericable-SFR SA Senior Sec. Notes 7.38% due 05/01/2026* | 200,000 | 196,000 | |||||||||
Telefonica Celular del Paraguay SA Senior Notes 5.88% due 04/15/2027* | 535,000 | 542,757 | |||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 1,840,000 | 1,870,218 | |||||||||
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048 | 133,000 | 131,853 | |||||||||
2,740,828 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Chemicals-Diversified — 0.1% | |||||||||||
NOVA Chemicals Corp. Senior Notes 5.00% due 05/01/2025* | $ | 70,000 | $ | 68,600 | |||||||
SABIC Capital II BV Company Guar. Notes 4.00% due 10/10/2023* | 475,000 | 484,500 | |||||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Company Guar. Notes 5.38% due 09/01/2025* | 37,000 | 35,058 | |||||||||
588,158 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 755,000 | 753,689 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 253,000 | 240,405 | |||||||||
994,094 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025 | 85,000 | 82,584 | |||||||||
Containers-Paper/Plastic — 0.2% | |||||||||||
Intertape Polymer Group, Inc. Senior Notes 7.00% due 10/15/2026* | 85,000 | 87,125 | |||||||||
Klabin Austria GmbH Company Guar. Notes 5.75% due 04/03/2029* | 1,450,000 | 1,442,242 | |||||||||
1,529,367 | |||||||||||
Diversified Banking Institutions — 1.2% | |||||||||||
BNP Paribas SA Senior Notes 2.95% due 05/23/2022* | 360,000 | 357,612 | |||||||||
BNP Paribas SA Senior Notes 3.38% due 01/09/2025* | 1,235,000 | 1,210,037 | |||||||||
BNP Paribas SA Senior Notes 4.40% due 08/14/2028* | 700,000 | 720,211 | |||||||||
BNP Paribas SA Senior Notes 4.71% due 01/10/2025* | 448,000 | 464,680 | |||||||||
Deutsche Bank AG Senior Notes 4.25% due 02/04/2021 | 151,000 | 151,579 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 1,630,000 | 1,618,340 | |||||||||
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021 | 863,000 | 870,602 |
259
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
HSBC Holdings PLC Senior Notes 4.58% due 06/19/2029 | $ | 440,000 | $ | 462,501 | |||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 1,935,000 | 1,998,247 | |||||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.41% due 03/07/2024 | 481,000 | 489,736 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 3.55% due 03/05/2023 | 531,000 | 541,084 | |||||||||
NatWest Markets PLC Senior Notes 3.63% due 09/29/2022* | 200,000 | 199,911 | |||||||||
Royal Bank of Scotland Group PLC Senior Notes 4.27% due 03/22/2025 | 202,000 | 204,148 | |||||||||
Royal Bank of Scotland Group PLC Senior Notes 4.52% due 06/25/2024 | 200,000 | 204,516 | |||||||||
UBS AG Senior Notes 2.45% due 12/01/2020* | 420,000 | 417,622 | |||||||||
UniCredit SpA Sub. Notes 5.86% due 06/19/2032* | 340,000 | 312,700 | |||||||||
UniCredit SpA Senior Notes 6.57% due 01/14/2022* | 610,000 | 638,315 | |||||||||
UniCredit SpA Sub. Notes 7.30% due 04/02/2034* | 259,000 | 261,010 | |||||||||
11,122,851 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Luxembourg Finance SA Company Guar. Notes 3.80% due 03/21/2029 | 194,000 | 196,746 | |||||||||
Diversified Minerals — 0.2% | |||||||||||
Anglo American Capital PLC Company Guar. Notes 4.75% due 04/10/2027* | 455,000 | 463,666 | |||||||||
Anglo American Capital PLC Company Guar. Notes 4.88% due 05/14/2025* | 1,170,000 | 1,216,114 | |||||||||
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 5.13% due 03/15/2023* | 50,000 | 50,250 | |||||||||
1,730,030 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
E-Commerce/Products — 0.2% | |||||||||||
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027 | $ | 1,030,000 | $ | 1,009,985 | |||||||
Alibaba Group Holding, Ltd. Senior Notes 4.00% due 12/06/2037 | 980,000 | 951,243 | |||||||||
1,961,228 | |||||||||||
Electric-Generation — 0.2% | |||||||||||
ACWA Power Management and Investments One, Ltd. Senior Sec. Notes 5.95% due 12/15/2039* | 1,499,000 | 1,510,242 | |||||||||
Electric-Integrated — 0.1% | |||||||||||
Enel Finance International NV Company Guar. Notes 3.63% due 05/25/2027* | 225,000 | 215,317 | |||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 340,000 | 332,573 | |||||||||
547,890 | |||||||||||
Food-Meat Products — 0.0% | |||||||||||
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025* | 31,000 | 31,775 | |||||||||
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024* | 96,000 | 98,640 | |||||||||
130,415 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Athene Holding, Ltd. Senior Notes 4.13% due 01/12/2028 | 157,000 | 150,917 | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
RenaissanceRe Holdings, Ltd. Senior Notes 3.60% due 04/15/2029 | 145,000 | 142,534 | |||||||||
Internet Application Software — 0.2% | |||||||||||
Tencent Holdings, Ltd. Senior Notes 2.99% due 01/19/2023* | 865,000 | 861,227 | |||||||||
Tencent Holdings, Ltd. Senior Notes 3.60% due 01/19/2028* | 695,000 | 685,705 | |||||||||
1,546,932 | |||||||||||
Machinery-Farming — 0.0% | |||||||||||
CNH Industrial NV Senior Notes 3.85% due 11/15/2027 | 177,000 | 169,556 | |||||||||
CNH Industrial NV Senior Notes 4.50% due 08/15/2023 | 112,000 | 116,200 | |||||||||
285,756 |
260
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Drugs — 0.3% | |||||||||||
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037 | $ | 315,000 | $ | 401,287 | |||||||
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023* | 176,000 | 178,200 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 1,160,000 | 1,145,685 | |||||||||
Takeda Pharmaceutical Co., Ltd. Senior Notes 4.40% due 11/26/2023* | 319,000 | 334,889 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 2.80% due 07/21/2023 | 750,000 | 669,108 | |||||||||
2,729,169 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Actavis Funding SCS Company Guar. Notes 3.80% due 03/15/2025 | 106,000 | 107,382 | |||||||||
Allergan Funding SCS Company Guar. Notes 3.45% due 03/15/2022 | 515,000 | 519,637 | |||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 80,000 | 71,989 | |||||||||
699,008 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
First Quantum Minerals, Ltd. Company Guar. Notes 6.50% due 03/01/2024* | 200,000 | 187,250 | |||||||||
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023* | 200,000 | 195,500 | |||||||||
382,750 | |||||||||||
Metal-Iron — 0.2% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 1,170,000 | 1,271,790 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 555,000 | 636,862 | |||||||||
1,908,652 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | 57,000 | 52,868 | |||||||||
Shelf Drilling Holdings, Ltd. Company Guar. Notes 8.25% due 02/15/2025* | 85,000 | 80,750 | |||||||||
133,618 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | $ | 1,710,000 | $ | 1,714,326 | |||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 650,000 | 661,771 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 123,000 | 121,177 | |||||||||
Tullow Oil PLC Senior Notes 7.00% due 03/01/2025* | 540,000 | 543,213 | |||||||||
3,040,487 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets PLC Company Guar. Notes 3.51% due 03/17/2025 | 413,000 | 421,030 | |||||||||
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027 | 177,000 | 174,000 | |||||||||
Cenovus Energy, Inc. Senior Notes 5.20% due 09/15/2043 | 158,000 | 147,734 | |||||||||
Petro-Canada Senior Notes 5.95% due 05/15/2035 | 77,000 | 90,274 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 22,904,817 | 343,336 | ||||||||
1,176,374 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
KCA Deutag UK Finance PLC Senior Sec. Notes 9.88% due 04/01/2022* | 200,000 | 172,000 | |||||||||
Paper & Related Products — 0.1% | |||||||||||
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022* | 60,000 | 60,300 | |||||||||
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023* | 31,000 | 30,922 | |||||||||
Suzano Austria GmbH Company Guar. Notes 6.00% due 01/15/2029* | 575,000 | 612,496 | |||||||||
703,718 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Company Guar. Notes 4.13% due 11/15/2025* | 770,000 | 796,937 | |||||||||
Pipelines — 0.1% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 490,000 | 499,743 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 345,000 | 361,092 |
261
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040 | $ | 125,000 | $ | 147,758 | |||||||
1,008,593 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 5.50% due 08/01/2023 | 225,000 | 199,687 | |||||||||
Telesat Canada/Telesat LLC Company Guar. Notes 8.88% due 11/15/2024* | 75,000 | 80,813 | |||||||||
280,500 | |||||||||||
Security Services — 0.0% | |||||||||||
Garda World Security Corp. Senior Notes 8.75% due 05/15/2025* | 85,000 | 80,750 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 1,345,000 | 1,420,078 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028* | 151,000 | 163,534 | |||||||||
1,583,612 | |||||||||||
SupraNational Banks — 0.0% | |||||||||||
International Bank for Reconstruction & Development Senior Notes 3.13% due 11/20/2025 | 184,000 | 191,527 | |||||||||
Telephone-Integrated — 0.6% | |||||||||||
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038 | 90,000 | 93,150 | |||||||||
Telecom Italia SpA Senior Notes 5.30% due 05/30/2024* | 1,755,000 | 1,763,775 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038 | 700,000 | 668,121 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048 | 525,000 | 511,583 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.21% due 03/08/2047 | 205,000 | 207,842 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.52% due 03/01/2049 | 2,344,000 | 2,452,312 | |||||||||
5,696,783 | |||||||||||
Tobacco — 0.1% | |||||||||||
Imperial Brands Finance PLC Company Guar. Notes 3.75% due 07/21/2022* | 510,000 | 516,782 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023* | $ | 75,000 | $ | 76,313 | |||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.25% due 05/15/2024* | 12,000 | 12,360 | |||||||||
88,673 | |||||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115 | 99,000 | 121,588 | |||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia OYJ Senior Notes 4.38% due 06/12/2027 | 385,000 | 381,150 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $57,141,156) | 56,595,921 | ||||||||||
U.S. GOVERNMENT AGENCIES — 22.3% | |||||||||||
Federal Home Loan Bank — 0.1% | |||||||||||
1.88% due 12/09/2022 | 1,000,000 | 985,001 | |||||||||
Federal Home Loan Mtg. Corp. — 6.0% | |||||||||||
1.25% due 10/02/2019 | 1,272,000 | 1,264,278 | |||||||||
2.38% due 01/13/2022 | 1,097,000 | 1,100,051 | |||||||||
2.50% due 01/01/2028 | 124,937 | 124,912 | |||||||||
2.50% due 04/01/2028 | 411,765 | 411,681 | |||||||||
2.50% due 03/01/2031 | 236,825 | 235,495 | |||||||||
2.50% due 10/01/2032 | 335,229 | 333,347 | |||||||||
2.50% due 11/01/2032 | 1,095,426 | 1,091,719 | |||||||||
3.00% due 08/01/2027 | 264,844 | 268,325 | |||||||||
3.00% due 10/01/2042 | 254,704 | 254,844 | |||||||||
3.00% due 11/01/2042 | 277,711 | 277,864 | |||||||||
3.00% due 02/01/2043 | 522,693 | 521,360 | |||||||||
3.00% due 04/01/2043 | 317,351 | 317,526 | |||||||||
3.00% due 08/01/2043 | 1,167,500 | 1,168,141 | |||||||||
3.00% due 07/01/2045 | 1,035,013 | 1,033,017 | |||||||||
3.00% due 10/01/2045 | 538,507 | 537,218 | |||||||||
3.00% due 08/01/2046 | 643,160 | 641,123 | |||||||||
3.00% due April TBA | 6,000,000 | 5,973,398 | |||||||||
3.50% due 01/01/2032 | 759,509 | 778,463 | |||||||||
3.50% due 11/01/2041 | 270,614 | 276,581 | |||||||||
3.50% due 03/01/2042 | 131,305 | 134,201 | |||||||||
3.50% due 08/01/2042 | 232,832 | 237,965 | |||||||||
3.50% due 09/01/2043 | 86,983 | 89,002 | |||||||||
3.50% due 03/01/2045 | 777,533 | 791,673 | |||||||||
3.50% due 07/01/2045 | 1,716,498 | 1,749,359 | |||||||||
3.50% due 08/01/2045 | 389,703 | 397,843 | |||||||||
3.50% due 10/01/2045 | 716,686 | 729,606 | |||||||||
3.50% due 11/01/2045 | 904,075 | 920,373 | |||||||||
3.50% due 01/01/2046 | 32,825 | 33,417 | |||||||||
3.50% due 11/01/2047 | 926,244 | 941,227 | |||||||||
3.50% due April TBA | 13,100,000 | 13,287,581 | |||||||||
4.00% due 09/01/2040 | 201,582 | 209,226 | |||||||||
4.00% due 07/01/2044 | 344,191 | 356,123 | |||||||||
4.00% due 10/01/2045 | 338,467 | 349,644 | |||||||||
4.00% due April TBA | 10,300,000 | 10,602,361 |
262
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
4.33% (6 ML+1.49%) due 02/01/2037 FRS | $ | 21,295 | $ | 21,944 | |||||||
4.50% due 04/01/2044 | 70,864 | 74,320 | |||||||||
4.50% due 05/01/2048 | 845,676 | 886,146 | |||||||||
4.50% due April TBA | 1,300,000 | 1,356,683 | |||||||||
4.52% (12 ML+1.88%) due 11/01/2037 FRS | 183,967 | 193,575 | |||||||||
5.00% due 11/01/2043 | 360,509 | 388,477 | |||||||||
5.00% due April TBA | 2,000,000 | 2,117,813 | |||||||||
5.50% due 01/01/2036 | 126,868 | 139,275 | |||||||||
6.00% due 03/01/2040 | 10,464 | 11,528 | |||||||||
6.25% due 07/15/2032 | 206,000 | 284,142 | |||||||||
6.75% due 03/15/2031 | 100,000 | 139,651 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2014-K503, Class B 3.04% due 10/25/2047*(3)(4) | 730,000 | 728,899 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K013, Class X1 VRS 0.52% due 01/25/2021(3)(4)(5) | 1,993,170 | 16,717 | |||||||||
Series K064, Class X1 VRS 0.61% due 03/25/2027(3)(4)(5) | 5,154,842 | 214,889 | |||||||||
Series K068, Class A2 3.24% due 08/25/2027(4) | 1,113,000 | 1,141,046 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 4740, Class BA 3.00% due 09/15/2045(1) | 454,503 | 457,144 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(1) | 289,502 | 293,279 | |||||||||
Series 3820, Class DA 4.00% due 11/15/2035(1) | 82,321 | 82,784 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2017-HQA1, Class M1 3.69% (1 ML+1.20%) due 08/25/2029(1) | 322,244 | 323,061 | |||||||||
Series 2018-HRP1, Class M2 4.14% (1 ML+1.65%) due 04/25/2043*(1) | 175,161 | 176,276 | |||||||||
Series 2015-DNA1, Class M2 4.34% (1 ML+1.85%) due 10/25/2027(1) | 84,441 | 85,327 | |||||||||
Series 2014-DN1, Class M2 4.69% (1 ML+2.20%) due 02/25/2024(1) | 181,965 | 185,060 | |||||||||
Series 2014-HQ2, Class M2 4.69% (1 ML+2.20%) due 09/25/2024(1) | 318,491 | 324,626 | |||||||||
Series 2015-HQA2, Class M2 5.29% (1 ML+2.80%) due 05/25/2028(1) | 132,823 | 135,453 | |||||||||
57,217,059 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. — 11.6% | |||||||||||
zero coupon due 10/09/2019 | $ | 7,452,000 | $ | 7,356,405 | |||||||
1.88% due 09/24/2026 | 837,000 | 800,592 | |||||||||
2.50% due 04/01/2028 | 272,617 | 272,467 | |||||||||
2.50% due 08/01/2031 | 861,243 | 857,054 | |||||||||
2.50% due 01/01/2032 | 1,000,726 | 994,632 | |||||||||
2.50% due April TBA | 2,600,000 | 2,526,570 | |||||||||
2.63% due 09/06/2024 | 2,025,000 | 2,054,536 | |||||||||
2.88% due 11/01/2027 | 2,145,000 | 2,138,293 | |||||||||
2.97% due 06/01/2030 | 1,235,000 | 1,216,865 | |||||||||
3.00% due 07/01/2027 | 1,510,000 | 1,519,341 | |||||||||
3.00% due 10/01/2027 | 334,073 | 338,388 | |||||||||
3.00% due 10/01/2030 | 369,462 | 372,901 | |||||||||
3.00% due 03/01/2042 | 499,149 | 499,483 | |||||||||
3.00% due 12/01/2042 | 145,369 | 145,466 | |||||||||
3.00% due 05/01/2043 | 351,557 | 351,793 | |||||||||
3.00% due 02/01/2045 | 297,766 | 297,412 | |||||||||
3.00% due 08/01/2046 | 457,590 | 456,338 | |||||||||
3.00% due 09/01/2046 | 323,632 | 322,646 | |||||||||
3.00% due 12/01/2046 | 507,887 | 506,340 | |||||||||
3.00% due 01/01/2047 | 215,258 | 214,585 | |||||||||
3.00% due 04/01/2047 | 1,478,406 | 1,473,672 | |||||||||
3.00% due 09/01/2048 | 791,583 | 789,107 | |||||||||
3.00% due April TBA | 2,600,000 | 2,623,910 | |||||||||
3.16% due 08/01/2027 | 2,025,000 | 2,057,173 | |||||||||
3.50% due 08/01/2026 | 128,103 | 131,045 | |||||||||
3.50% due 09/01/2026 | 155,972 | 159,760 | |||||||||
3.50% due 08/01/2027 | 25,041 | 25,616 | |||||||||
3.50% due 10/01/2028 | 57,094 | 58,590 | |||||||||
3.50% due 03/01/2042 | 299,360 | 305,731 | |||||||||
3.50% due 08/01/2042 | 694,686 | 706,877 | |||||||||
3.50% due 07/01/2045 | 239,713 | 243,851 | |||||||||
3.50% due 08/01/2045 | 574,764 | 585,441 | |||||||||
3.50% due 09/01/2045 | 525,619 | 534,692 | |||||||||
3.50% due 10/01/2045 | 459,312 | 468,519 | |||||||||
3.50% due 11/01/2045 | 526,920 | 535,608 | |||||||||
3.50% due 12/01/2045 | 757,289 | 770,360 | |||||||||
3.50% due 02/01/2046 | 324,969 | 330,578 | |||||||||
3.50% due 03/01/2046 | 503,749 | 511,618 | |||||||||
3.50% due 07/01/2046 | 803,540 | 819,682 | |||||||||
3.50% due 12/01/2047 | 3,405,092 | 3,462,332 | |||||||||
3.50% due 04/01/2048 | 2,663,888 | 2,708,341 | |||||||||
3.50% due April TBA | 33,900,000 | 34,359,483 | |||||||||
4.00% due 03/01/2039 | 646,022 | 668,826 | |||||||||
4.00% due 10/01/2040 | 143,647 | 148,991 | |||||||||
4.00% due 11/01/2040 | 257,179 | 266,729 | |||||||||
4.00% due 10/01/2041 | 222,887 | 231,148 | |||||||||
4.00% due 11/01/2041 | 207,907 | 215,754 | |||||||||
4.00% due 01/01/2043 | 768,715 | 802,997 | |||||||||
4.00% due 10/01/2044 | 431,171 | 445,993 | |||||||||
4.00% due 02/01/2045 | 770,282 | 802,737 | |||||||||
4.00% due 02/01/2046 | 52,459 | 54,243 | |||||||||
4.00% due 01/01/2047 | 874,317 | 903,612 | |||||||||
4.00% due 05/01/2047 | 201,923 | 208,687 | |||||||||
4.00% due 07/01/2047 | 2,221,586 | 2,296,002 | |||||||||
4.00% due 08/01/2047 | 411,515 | 425,299 | |||||||||
4.00% due 06/01/2048 | 1,139,872 | 1,184,151 |
263
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 01/01/2049 | $ | 857,036 | $ | 882,469 | |||||||
4.00% due 03/01/2049 | 598,167 | 615,721 | |||||||||
4.27% (6 ML+1.54%) due 09/01/2035 FRS | 156,659 | 161,917 | |||||||||
4.31% (12 ML+1.66%) due 07/01/2039 FRS | 124,627 | 129,901 | |||||||||
4.31% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS | 64,929 | 68,313 | |||||||||
4.34% (12 ML+1.57%) due 05/01/2037 FRS | 35,784 | 37,268 | |||||||||
4.50% due 10/01/2024 | 33,256 | 33,822 | |||||||||
4.50% due 08/01/2045 | 869,450 | 925,548 | |||||||||
4.50% due 11/01/2047 | 799,629 | 836,907 | |||||||||
4.50% due 06/01/2048 | 1,421,138 | 1,486,645 | |||||||||
4.50% due 11/01/2048 | 1,087,056 | 1,136,666 | |||||||||
4.53% (1 Yr USTYCR+2.22%) due 10/01/2035 FRS | 181,545 | 190,667 | |||||||||
4.57% (12 ML+1.82%) due 10/01/2040 FRS | 38,397 | 40,191 | |||||||||
4.58% (12 ML+1.91%) due 08/01/2035 FRS | 109,401 | 115,049 | |||||||||
4.66% (12 ML+1.76%) due 05/01/2040 FRS | 165,040 | 173,028 | |||||||||
4.67% (12 ML+1.83%) due 10/01/2040 FRS | 89,527 | 93,466 | |||||||||
5.00% due 05/01/2040 | 212,690 | 229,414 | |||||||||
5.00% due 06/01/2040 | 20,228 | 21,815 | |||||||||
5.00% due 07/01/2040 | 510,912 | 551,083 | |||||||||
5.00% due 02/01/2045 | 535,248 | 578,275 | |||||||||
5.50% due 12/01/2029 | 31,750 | 33,889 | |||||||||
5.50% due 08/01/2037 | 121,873 | 133,951 | |||||||||
5.50% due 06/01/2038 | 73,525 | 80,274 | |||||||||
5.50% due April TBA | 1,900,000 | 2,028,555 | |||||||||
6.00% due 11/01/2038 | 8,255 | 9,106 | |||||||||
6.00% due 06/01/2040 | 66,981 | 73,885 | |||||||||
6.50% due 10/01/2037 | 634 | 706 | |||||||||
6.63% due 11/15/2030 | 871,000 | 1,199,424 | |||||||||
7.25% due 05/15/2030 | 2,260,000 | 3,219,420 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C05, Class 1M1 3.21% (1 ML+0.72%) due 01/25/2031(1) | 786,823 | 786,626 | |||||||||
Series 2016-C07, Class 2M2 6.84% (1 ML+4.35%) due 05/25/2029(1) | 940,000 | 1,029,218 | |||||||||
Series 2014-C04, Class 1M2 7.39% (1 ML+4.90%) due 11/25/2024(1) | 304,686 | 341,984 | |||||||||
Series 2015-C04, Class 1M2 8.19% (1 ML+5.70%) due 04/25/2028(1) | 151,120 | 172,912 | |||||||||
Series 2016-C02, Class 1M2 8.49% (1 ML+6.00%) due 09/25/2028(1) | 112,102 | 127,743 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc. REMIC Series 2012-21, Class PQ 2.00% due 09/25/2041(1) | $ | 251,958 | $ | 245,070 | |||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(1) | 489,692 | 479,483 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(1) | 531,959 | 527,294 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(1) | 691,395 | 693,029 | |||||||||
Series 2017-94, Class DA 3.00% due 06/25/2045(1) | 132,999 | 133,408 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(1) | 628,911 | 627,666 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(1) | 649,202 | 647,896 | |||||||||
Series 2018-27, Class EA 3.00% due 05/25/2048(1) | 693,150 | 689,243 | |||||||||
Series 2018-35, Class CD 3.00% due 05/25/2048(1) | 470,123 | 465,021 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(1) | 707,907 | 709,423 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(1) | 266,256 | 274,879 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(1) | 694,774 | 709,601 | |||||||||
Series 2018-77, Class PA 3.50% due 02/25/2048(1) | 324,206 | 331,029 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(1) | 595,630 | 622,925 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(1) | 926,577 | 943,443 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(1) | 661,188 | 674,214 | |||||||||
111,878,744 | |||||||||||
Government National Mtg. Assoc. — 4.5% | |||||||||||
3.00% due 02/20/2045 | 274,947 | 277,654 | |||||||||
3.00% due 05/20/2045 | 221,930 | 223,291 | |||||||||
3.00% due 07/20/2045 | 49,860 | 50,166 | |||||||||
3.00% due 05/20/2046 | 819,938 | 825,223 | |||||||||
3.00% due April TBA | 7,000,000 | 7,030,078 | |||||||||
3.50% due 03/20/2045 | 183,523 | 187,826 | |||||||||
3.50% due 04/20/2045 | 283,542 | 290,189 | |||||||||
3.50% due 07/20/2045 | 87,606 | 89,662 | |||||||||
3.50% due 03/20/2047 | 467,318 | 478,203 | |||||||||
3.50% due April TBA | 14,300,000 | 14,609,504 | |||||||||
4.00% due 03/15/2039 | 92,507 | 96,140 | |||||||||
4.00% due 04/15/2039 | 8,106 | 8,426 | |||||||||
4.00% due 05/15/2039 | 36,197 | 37,459 | |||||||||
4.00% due 08/15/2039 | 8,958 | 9,307 | |||||||||
4.00% due 10/15/2039 | 37,657 | 39,127 | |||||||||
4.00% due 03/15/2040 | 31,019 | 32,224 | |||||||||
4.00% due 09/15/2040 | 26,814 | 27,770 | |||||||||
4.00% due 10/15/2040 | 20,159 | 20,950 | |||||||||
4.00% due 12/15/2040 | 13,783 | 14,286 | |||||||||
4.00% due 01/15/2041 | 4,393 | 4,539 | |||||||||
4.00% due 02/15/2041 | 8,161 | 8,485 |
264
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
4.00% due 06/15/2041 | $ | 114,912 | $ | 119,389 | |||||||
4.00% due 07/15/2041 | 26,521 | 27,552 | |||||||||
4.00% due 08/15/2041 | 305,769 | 317,157 | |||||||||
4.00% due 09/15/2041 | 56,975 | 59,183 | |||||||||
4.00% due 10/15/2041 | 128,983 | 133,839 | |||||||||
4.00% due 11/15/2041 | 132,331 | 137,127 | |||||||||
4.00% due 12/15/2041 | 130,038 | 134,762 | |||||||||
4.00% due 01/15/2042 | 26,604 | 27,543 | |||||||||
4.00% due 02/15/2042 | 6,898 | 7,128 | |||||||||
4.00% due 03/15/2042 | 97,946 | 101,744 | |||||||||
4.00% due 04/15/2042 | 4,207 | 4,347 | |||||||||
4.00% due 03/20/2044 | 124,756 | 129,740 | |||||||||
4.00% due 07/20/2045 | 353,092 | 366,251 | |||||||||
4.00% due 10/20/2045 | 61,246 | 63,449 | |||||||||
4.00% due April TBA | 6,500,000 | 6,711,123 | |||||||||
4.50% due 09/15/2033 | 53,613 | 56,210 | |||||||||
4.50% due 03/15/2039 | 78,489 | 82,598 | |||||||||
4.50% due 05/15/2039 | 43,072 | 45,322 | |||||||||
4.50% due 07/15/2039 | 24,102 | 25,347 | |||||||||
4.50% due 10/15/2039 | 87,455 | 92,003 | |||||||||
4.50% due 01/15/2040 | 26,828 | 28,224 | |||||||||
4.50% due 02/15/2040 | 38,403 | 40,068 | |||||||||
4.50% due 03/15/2040 | 21,893 | 22,793 | |||||||||
4.50% due 04/15/2040 | 1,503 | 1,581 | |||||||||
4.50% due 05/15/2040 | 6,901 | 7,260 | |||||||||
4.50% due 07/15/2040 | 29,254 | 30,888 | |||||||||
4.50% due 04/15/2041 | 10,257 | 10,679 | |||||||||
4.50% due 05/15/2041 | 123,173 | 129,180 | |||||||||
4.50% due 06/15/2041 | 14,430 | 15,159 | |||||||||
4.50% due 07/15/2041 | 103,758 | 108,786 | |||||||||
4.50% due 08/15/2041 | 58,318 | 61,323 | |||||||||
4.50% due 04/20/2047 | 220,678 | 230,317 | |||||||||
4.50% due April TBA | 6,800,000 | 7,062,570 | |||||||||
5.00% due 06/15/2033 | 2,050 | 2,200 | |||||||||
5.00% due 08/15/2033 | 16,552 | 17,768 | |||||||||
5.00% due 09/15/2033 | 33,281 | 35,726 | |||||||||
5.00% due 10/15/2033 | 15,790 | 16,727 | |||||||||
5.00% due 11/15/2033 | 3,771 | 4,042 | |||||||||
5.00% due 06/15/2034 | 51,402 | 54,339 | |||||||||
5.00% due 05/15/2035 | 2,675 | 2,792 | |||||||||
5.00% due 09/15/2035 | 2,211 | 2,375 | |||||||||
5.00% due 11/15/2035 | 87,875 | 91,717 | |||||||||
5.00% due 02/15/2036 | 24,590 | 25,665 | |||||||||
5.00% due 02/20/2036 | 85,593 | 91,517 | |||||||||
5.00% due 03/15/2036 | 0 | 0 | |||||||||
5.00% due 05/15/2036 | 78,588 | 84,077 | |||||||||
5.00% due 06/15/2036 | 19,158 | 19,996 | |||||||||
5.00% due 08/15/2038 | 257,673 | 270,947 | |||||||||
5.50% due 02/15/2032 | 480 | 514 | |||||||||
5.50% due 03/15/2032 | 3,759 | 4,115 | |||||||||
5.50% due 12/15/2032 | 2,606 | 2,789 | |||||||||
5.50% due 01/15/2033 | 2,013 | 2,215 | |||||||||
5.50% due 02/15/2033 | 11,041 | 11,953 | |||||||||
5.50% due 03/15/2033 | 49,189 | 53,106 | |||||||||
5.50% due 04/15/2033 | 41,491 | 45,355 | |||||||||
5.50% due 06/15/2033 | 47,124 | 51,272 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
5.50% due 07/15/2033 | $ | 197,042 | $ | 213,509 | |||||||
5.50% due 08/15/2033 | 40,934 | 44,070 | |||||||||
5.50% due 09/15/2033 | 7,572 | 8,106 | |||||||||
5.50% due 12/15/2033 | 1,420 | 1,519 | |||||||||
5.50% due 01/15/2034 | 68,189 | 74,919 | |||||||||
5.50% due 02/15/2034 | 29,186 | 31,241 | |||||||||
6.00% due 04/15/2028 | 77,492 | 85,702 | |||||||||
6.00% due 01/15/2029 | 14,891 | 16,040 | |||||||||
6.00% due 03/15/2029 | 19,860 | 21,392 | |||||||||
6.00% due 11/15/2031 | 3,414 | 3,677 | |||||||||
6.00% due 12/15/2031 | 3,325 | 3,581 | |||||||||
6.00% due 04/15/2032 | 11,420 | 12,831 | |||||||||
6.00% due 09/15/2032 | 9,369 | 10,525 | |||||||||
6.00% due 10/15/2032 | 63,125 | 70,935 | |||||||||
6.00% due 11/15/2032 | 16,649 | 18,690 | |||||||||
6.00% due 01/15/2033 | 2,370 | 2,663 | |||||||||
6.00% due 02/15/2033 | 22,854 | 25,449 | |||||||||
6.00% due 03/15/2033 | 8,288 | 9,255 | |||||||||
6.00% due 09/15/2033 | 13,409 | 14,443 | |||||||||
6.00% due 01/15/2034 | 76,406 | 82,299 | |||||||||
6.00% due 03/15/2034 | 14,466 | 15,582 | |||||||||
6.00% due 05/15/2034 | 2,040 | 2,197 | |||||||||
6.00% due 07/15/2034 | 3,941 | 4,244 | |||||||||
6.00% due 08/15/2034 | 74,973 | 81,012 | |||||||||
6.00% due 09/15/2034 | 3,537 | 3,827 | |||||||||
6.00% due 11/15/2034 | 67,242 | 72,427 | |||||||||
6.00% due 03/15/2035 | 40,856 | 44,006 | |||||||||
6.00% due 08/15/2035 | 38,450 | 41,726 | |||||||||
6.00% due 01/15/2036 | 23,433 | 25,617 | |||||||||
6.00% due 02/15/2036 | 35,929 | 38,700 | |||||||||
6.00% due 04/15/2036 | 42,508 | 45,786 | |||||||||
6.00% due 05/15/2036 | 27,250 | 29,782 | |||||||||
6.00% due 06/15/2036 | 43,644 | 48,030 | |||||||||
6.00% due 07/15/2036 | 3,964 | 4,270 | |||||||||
6.00% due 08/15/2036 | 46,811 | 51,457 | |||||||||
6.00% due 09/15/2036 | 12,376 | 13,331 | |||||||||
6.00% due 10/15/2036 | 147,466 | 159,762 | |||||||||
6.00% due 11/15/2036 | 41,159 | 45,496 | |||||||||
6.00% due 12/15/2036 | 11,715 | 12,699 | |||||||||
6.50% due 09/15/2028 | 3,366 | 3,695 | |||||||||
6.50% due 09/15/2031 | 6,628 | 7,278 | |||||||||
6.50% due 10/15/2031 | 3,784 | 4,154 | |||||||||
6.50% due 11/15/2031 | 1,141 | 1,252 | |||||||||
6.50% due 12/15/2031 | 3,771 | 4,140 | |||||||||
7.50% due 09/15/2030 | 16,707 | 16,931 | |||||||||
43,170,605 | |||||||||||
Tennessee Valley Authority — 0.1% | |||||||||||
4.25% due 09/15/2065 | 577,000 | 687,329 | |||||||||
Total U.S. Government Agencies (cost $212,419,941) | 213,938,738 | ||||||||||
U.S. GOVERNMENT TREASURIES — 36.0% | |||||||||||
United States Treasury Bonds — 8.1% | |||||||||||
2.25% due 08/15/2046 | 2,722,000 | 2,427,258 | |||||||||
2.50% due 02/15/2045 | 5,500,000 | 5,189,336 | |||||||||
2.50% due 02/15/2046 | 1,638,000 | 1,540,552 | |||||||||
2.50% due 05/15/2046 | 3,258,000 | 3,062,138 |
265
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Bonds (continued) | |||||||||||
2.75% due 08/15/2042 | $ | 439,000 | $ | 437,148 | |||||||
2.75% due 11/15/2042 | 1,787,000 | 1,778,135 | |||||||||
2.75% due 08/15/2047 | 568,000 | 559,902 | |||||||||
2.75% due 11/15/2047 | 1,004,000 | 989,528 | |||||||||
2.88% due 05/15/2043 | 1,774,000 | 1,801,234 | |||||||||
2.88% due 08/15/2045 | 2,826,000 | 2,863,643 | |||||||||
2.88% due 11/15/2046 | 499,000 | 505,199 | |||||||||
3.00% due 05/15/2042 | 875,000 | 910,410 | |||||||||
3.00% due 05/15/2045 | 787,000 | 816,543 | |||||||||
3.00% due 11/15/2045 | 4,773,000 | 4,953,479 | |||||||||
3.00% due 02/15/2047 | 648,000 | 672,427 | |||||||||
3.00% due 05/15/2047 | 3,224,000 | 3,341,122 | |||||||||
3.00% due 02/15/2048 | 3,800,000 | 3,931,664 | |||||||||
3.00% due 08/15/2048 | 999,000 | 1,034,121 | |||||||||
3.00% due 02/15/2049 | 1,783,000 | 1,847,355 | |||||||||
3.13% due 02/15/2043 | 1,267,000 | 1,342,476 | |||||||||
3.13% due 08/15/2044 | 3,329,000 | 3,528,610 | |||||||||
3.13% due 05/15/2048 | 4,086,000 | 4,332,596 | |||||||||
3.38% due 05/15/2044 | 869,000 | 960,551 | |||||||||
3.38% due 11/15/2048 | 1,188,000 | 1,322,160 | |||||||||
3.63% due 08/15/2043 | 3,158,000 | 3,628,246 | |||||||||
3.63% due 02/15/2044 | 2,145,000 | 2,467,504 | |||||||||
3.75% due 11/15/2043 | 55,000 | 64,477 | |||||||||
3.88% due 08/15/2040 | 640,000 | 762,075 | |||||||||
4.25% due 11/15/2040 | 1,100,000 | 1,377,707 | |||||||||
4.38% due 11/15/2039 | 1,082,000 | 1,374,901 | |||||||||
4.38% due 05/15/2040 | 953,000 | 1,212,283 | |||||||||
4.50% due 02/15/2036 | 1,034,000 | 1,309,545 | |||||||||
4.63% due 02/15/2040 | 1,159,000 | 1,521,504 | |||||||||
4.75% due 02/15/2041 | 1,123,000 | 1,502,144 | |||||||||
5.25% due 11/15/2028 | 1,045,000 | 1,297,351 | |||||||||
5.25% due 02/15/2029 | 1,966,000 | 2,451,740 | |||||||||
5.38% due 02/15/2031 | 1,289,000 | 1,675,297 | |||||||||
6.13% due 11/15/2027 | 544,000 | 701,505 | |||||||||
6.25% due 08/15/2023 | 1,613,000 | 1,879,649 | |||||||||
6.38% due 08/15/2027 | 1,217,000 | 1,584,192 | |||||||||
6.75% due 08/15/2026 | 377,000 | 488,937 | |||||||||
7.88% due 02/15/2021 | 1,267,000 | 1,395,333 | |||||||||
8.75% due 05/15/2020 | 1,035,000 | 1,107,450 | |||||||||
77,949,427 | |||||||||||
United States Treasury Notes — 27.9% | |||||||||||
0.38% due 07/15/2027 TIPS(12)(14)(16) | 15,023,553 | 14,908,399 | |||||||||
0.88% due 01/15/2029 TIPS(12) | 2,506,977 | 2,586,654 | |||||||||
1.00% due 06/30/2019 | 2,550,000 | 2,540,437 | |||||||||
1.13% due 04/30/2020 | 2,743,000 | 2,705,927 | |||||||||
1.13% due 02/28/2021 | 2,872,000 | 2,808,838 | |||||||||
1.13% due 07/31/2021 | 2,131,000 | 2,075,977 | |||||||||
1.13% due 08/31/2021 | 3,679,000 | 3,580,989 | |||||||||
1.13% due 09/30/2021 | 2,760,000 | 2,686,041 | |||||||||
1.25% due 02/29/2020 | 1,266,000 | 1,252,697 | |||||||||
1.25% due 10/31/2021 | 7,625,000 | 7,432,886 | |||||||||
1.38% due 02/29/2020 | 6,085,000 | 6,027,002 | |||||||||
1.38% due 05/31/2020 | 4,553,000 | 4,499,467 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
United States Treasury Notes (continued) | |||||||||||
1.38% due 08/31/2020 | $ | 3,758,000 | $ | 3,705,153 | |||||||
1.38% due 10/31/2020 | 2,717,000 | 2,675,927 | |||||||||
1.38% due 05/31/2021 | 2,443,000 | 2,396,717 | |||||||||
1.50% due 07/15/2020 | 3,447,000 | 3,408,625 | |||||||||
1.50% due 01/31/2022 | 12,752,000 | 12,491,979 | |||||||||
1.50% due 02/28/2023 | 6,709,000 | 6,524,502 | |||||||||
1.50% due 08/15/2026 | 3,171,000 | 2,991,021 | |||||||||
1.63% due 08/15/2022 | 4,238,000 | 4,154,233 | |||||||||
1.63% due 11/15/2022 | 4,550,000 | 4,454,379 | |||||||||
1.63% due 02/15/2026 | 3,744,000 | 3,577,421 | |||||||||
1.63% due 05/15/2026 | 1,404,000 | 1,339,229 | |||||||||
1.75% due 10/31/2020 | 3,843,000 | 3,806,972 | |||||||||
1.75% due 05/15/2022 | 6,473,000 | 6,378,181 | |||||||||
1.75% due 05/15/2023 | 9,605,000 | 9,419,278 | |||||||||
1.88% due 11/30/2021 | 8,203,000 | 8,122,572 | |||||||||
1.88% due 10/31/2022 | 967,000 | 955,026 | |||||||||
1.88% due 08/31/2024 | 7,174,000 | 7,031,641 | |||||||||
2.00% due 05/31/2021 | 3,075,000 | 3,056,862 | |||||||||
2.00% due 11/15/2021 | 4,434,000 | 4,406,634 | |||||||||
2.00% due 02/15/2023 | 7,666,000 | 7,598,623 | |||||||||
2.00% due 02/15/2025 | 8,867,000 | 8,721,872 | |||||||||
2.00% due 08/15/2025 | 3,825,000 | 3,754,028 | |||||||||
2.00% due 11/15/2026 | 2,690,000 | 2,624,536 | |||||||||
2.13% due 06/30/2021 | 4,986,000 | 4,969,640 | |||||||||
2.13% due 08/15/2021 | 6,481,000 | 6,459,228 | |||||||||
2.13% due 02/29/2024 | 2,824,000 | 2,807,343 | |||||||||
2.13% due 03/31/2024 | 4,502,000 | 4,477,028 | |||||||||
2.13% due 07/31/2024 | 7,216,000 | 7,164,135 | |||||||||
2.13% due 09/30/2024 | 1,983,000 | 1,967,508 | |||||||||
2.13% due 05/15/2025 | 3,749,000 | 3,709,899 | |||||||||
2.25% due 07/31/2021 | 3,756,000 | 3,754,093 | |||||||||
2.25% due 11/15/2024 | 3,725,000 | 3,717,725 | |||||||||
2.25% due 12/31/2024 | 3,515,000 | 3,508,409 | |||||||||
2.25% due 11/15/2025 | 2,574,000 | 2,562,336 | |||||||||
2.25% due 08/15/2027 | 1,496,000 | 1,481,683 | |||||||||
2.25% due 11/15/2027 | 3,771,000 | 3,730,933 | |||||||||
2.38% due 04/30/2020 | 300,000 | 299,894 | |||||||||
2.38% due 08/15/2024 | 5,657,000 | 5,685,506 | |||||||||
2.38% due 05/15/2027 | 4,460,000 | 4,464,530 | |||||||||
2.50% due 08/15/2023 | 6,555,000 | 6,625,159 | |||||||||
2.50% due 01/31/2024 | 260,000 | 263,027 | |||||||||
2.63% due 08/15/2020 | 922,000 | 925,061 | |||||||||
2.63% due 05/15/2021 | 4,907,000 | 4,941,311 | |||||||||
2.63% due 03/31/2025 | 3,886,000 | 3,957,496 | |||||||||
2.63% due 02/15/2029 | 2,915,000 | 2,968,518 | |||||||||
2.75% due 08/15/2021 | 1,473,000 | 1,489,341 | |||||||||
2.88% due 07/31/2025 | 5,045,000 | 5,212,904 | |||||||||
2.88% due 05/15/2028 | 1,348,000 | 1,400,182 | |||||||||
2.88% due 08/15/2028 | 2,960,000 | 3,075,394 | |||||||||
3.38% due 11/15/2019 | 759,000 | 763,062 | |||||||||
3.50% due 05/15/2020 | 671,000 | 679,047 | |||||||||
3.63% due 02/15/2021 | 8,096,000 | 8,289,861 | |||||||||
268,050,978 | |||||||||||
Total U.S. Government Treasuries (cost $341,989,926) | 346,000,405 |
266
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES — 0.3% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | $ | 160,000 | $ | 160,608 | |||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 355,000 | 365,291 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.05% due 01/01/2029 | 245,000 | 273,369 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 910,000 | 1,015,005 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 336,000 | 378,134 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 390,000 | 401,084 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 70,000 | 72,001 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 150,000 | 156,489 | |||||||||
Total Municipal Bonds & Notes (cost $2,755,163) | 2,821,981 | ||||||||||
LOANS(9)(10)(13) — 1.2% | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
TransDigm, Inc. FRS BTL-E 5.00% (1 ML+2.50%) due 05/30/2025 | 206,891 | 201,169 | |||||||||
Applications Software — 0.0% | |||||||||||
SS&C European Holdings SARL FRS BTL-B4 4.75% (1 ML+2.25%) due 04/16/2025 | 23,443 | 23,218 | |||||||||
SS&C Technologies, Inc. FRS BTL-B5 4.75% (1 ML+2.25%) due 04/16/2025 | 99,492 | 98,476 | |||||||||
SS&C Technologies, Inc. FRS BTL-B3 4.75% (1 ML+2.25%) due 04/16/2025 | 32,605 | 32,293 | |||||||||
153,987 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Panther BF Aggregator 2 LP FRS BTL-B coupon TBD due 03/14/2026 | EUR | 100,000 | 111,474 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original (continued) | |||||||||||
Panther BF Aggregator 2 LP FRS BTL-B coupon TBD due 03/18/2026 | $ | 115,000 | $ | 113,706 | |||||||
225,180 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Univision Communications, Inc. FRS 1st Lien 5.25% (1 ML+2.75%) due 03/15/2024 | 158,056 | 148,685 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
NCI Building Systems, Inc. FRS BTL 6.55% (3 ML+3.75%) due 04/12/2025 | 99,250 | 94,288 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS 1st Lien 5.25% (1 ML+2.75%) due 11/15/2023 | 125,000 | 121,458 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
Brand Industrial Services, Inc. FRS BTL 6.91% (3 ML+4.25%) due 06/21/2024 | 294,750 | 282,223 | |||||||||
PowerTeam Services LLC FRS BTL 5.85% (3 ML+3.25%) due 03/06/2025 | 237,095 | 225,833 | |||||||||
508,056 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice Financing SA FRS 1st Lien 5.24% (1 ML+2.75%) due 01/31/2026 | 98,750 | 94,183 | |||||||||
CSC Holdings LLC FRS BTL-B 4.73% (1 ML+2.25%) due 07/17/2025 | 148,296 | 143,921 | |||||||||
Numericable Group SA FRS BTL-B2 6.17% (1 ML+3.69%) due 01/31/2026 | 98,750 | 92,875 | |||||||||
Unitymedia Finance LLC FRS BTL-B 4.73% (1 ML+2.25%) due 09/30/2025 | 145,000 | 143,317 | |||||||||
474,296 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. FRS BTL-B 4.66% (1 WL+2.25%) due 09/15/2023 | 118,179 | 116,583 |
267
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Casino Hotels (continued) | |||||||||||
Caesars Resort Collection LLC FRS BTL-B 5.25% (1 ML+2.75%) due 12/22/2024 | $ | 146,532 | $ | 144,727 | |||||||
261,310 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Sprint Communications, Inc. FRS BTL-B 5.00% (1 ML+2.50%) due 02/02/2024 | 318,500 | 308,149 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Chemours Co. FRS BTL-B2 4.25% (1 ML+1.75%) due 04/03/2025 | 137,230 | 135,257 | |||||||||
HB Fuller Co. FRS BTL-B 4.49% (1 ML+2.00%) due 10/20/2024 | 90,430 | 88,434 | |||||||||
W.R. Grace & Co. FRS BTL-B1 4.35% (3 ML+1.75%) due 04/03/2025 | 36,658 | 36,062 | |||||||||
W.R. Grace & Co. FRS BTL-B2 4.35% (3 ML+1.75%) due 04/03/2025 | 62,842 | 61,821 | |||||||||
321,574 | |||||||||||
Coal — 0.0% | |||||||||||
Foresight Energy LLC FRS 1st Lien 8.38% (3 ML+5.75%) due 03/28/2022 | 189,117 | 184,626 | |||||||||
Commercial Services — 0.1% | |||||||||||
AVSC Holding Corp. FRS BTL-B 5.66% (1 WL+3.25%) due 03/03/2025 | 40,666 | 39,446 | |||||||||
AVSC Holding Corp. FRS BTL-B 5.74% (1 ML+3.25%) due 03/03/2025 | 83,730 | 81,218 | |||||||||
AVSC Holding Corp. FRS BTL-B 5.85% (3 ML+3.25%) due 03/03/2025 | 5,582 | 5,415 | |||||||||
AVSC Holding Corp. FRS BTL-B 5.88% (3 ML+3.25%) due 03/03/2025 | 43,458 | 42,154 | |||||||||
Brightview Landscapes LLC FRS BTL-B 5.00% (1 ML+2.50%) due 08/15/2025 | 248,498 | 246,945 | |||||||||
415,178 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Financial & Risk US Holdings, Inc. FRS BTL 6.25% (1 ML+3.75%) due 10/01/2025 | $ | 104,738 | $ | 101,530 | |||||||
WEX, Inc. FRS BTL-B2 4.75% (1 ML+2.25%) due 06/30/2023 | 291,750 | 288,687 | |||||||||
390,217 | |||||||||||
Computer Services — 0.1% | |||||||||||
Tempo Acquisition LLC FRS BTL-B 5.50% (1 ML+3.00%) due 05/01/2024 | 216,150 | 213,921 | |||||||||
Xerox Business Services LLC FRS BTL-B 5.00% (1 ML+2.50%) due 12/07/2023 | 127,075 | 125,963 | |||||||||
339,884 | |||||||||||
Consulting Services — 0.0% | |||||||||||
AlixPartners LLP FRS BTL 5.25% (1 ML+2.75%) due 04/04/2024 | 98,000 | 97,326 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. FRS BTL-T 4.24% (1 ML+1.75%) due 01/06/2021 | 427,179 | 425,207 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.49% (1 ML+3.00%) due 12/29/2023 | 250 | 242 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.63% (3 ML+3.00%) due 12/29/2023 | 98,000 | 94,815 | |||||||||
Reynolds Group Holdings, Inc. FRS BTL 5.25% (1 ML+2.75%) due 02/05/2023 | 243,029 | 239,861 | |||||||||
760,125 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. FRS BTL-B 4.74% (1 ML+2.25%) due 04/07/2025 | 108,902 | 104,410 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Dun & Bradstreet Corp. FRS BTL 7.49% (1 ML+5.00%) due 02/08/2026 | 100,000 | 98,958 |
268
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Data Processing/Management (continued) | |||||||||||
First Data Corp. FRS BTL 4.49% (1 ML+2.00%) due 07/08/2022 | $ | 380,229 | $ | 379,220 | |||||||
478,178 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
LifeScan Global Corp. FRS BTL-B 8.80% (3 ML+6.00%) due 10/01/2024 | 98,250 | 94,238 | |||||||||
Dialysis Centers — 0.0% | |||||||||||
U.S. Renal Care, Inc. FRS 1st Lien 6.85% (3 ML+4.25%) due 12/30/2022 | 232,200 | 231,562 | |||||||||
Direct Marketing — 0.0% | |||||||||||
Acosta, Inc. FRS BTL 5.75% (1 ML+3.25%) due 09/26/2021 | 124,499 | 55,817 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
Univar USA, Inc. FRS BTL-B3 4.75% (1 ML+2.25%) due 07/01/2024 | 123,777 | 122,230 | |||||||||
E-Commerce/Services — 0.0% | |||||||||||
Shutterfly, Inc. FRS BTL-B2 5.25% (1ML+2.75%) due 08/17/2024 | 75,070 | 73,725 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
Microchip Technology, Inc. FRS BTL-B 4.50% (1ML+2.00%) due 05/29/2025 | 63,760 | 62,903 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Almonde, Inc. FRS BTL-B 6.10% (3 ML+3.50%) due 06/13/2024 | 224,651 | 216,086 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Blackhawk Network Holdings LLC FRS 1st Lien 5.50% (1 ML+3.00%) due 06/15/2025 | 99,250 | 97,315 | |||||||||
Food-Baking — 0.0% | |||||||||||
Hostess Brands LLC FRS BTL-B 4.75% (1 ML+2.25%) due 08/03/2022 | 59,174 | 57,362 | |||||||||
Hostess Brands LLC FRS BTL-B 4.99% (3 ML+2.25%) due 08/03/2022 | 85,998 | 83,364 | |||||||||
140,726 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Food-Meat Products — 0.0% | |||||||||||
Informatica LLC FRS BTL 4.99% (1 ML+2.50%) due 10/30/2022 | $ | 102,556 | $ | 101,684 | |||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Post Holdings, Inc. FRS BTL 4.49% (1 ML+2.00%) due 05/24/2024 | 124,998 | 123,810 | |||||||||
Food-Retail — 0.0% | |||||||||||
Albertson's LLC FRS BTL-B5 5.61% (3 ML+3.00%) due 12/21/2022 | 97,515 | 96,592 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CEOC LLC FRS BTL-B 4.50% (1 ML+2.00%) due 10/06/2024 | 158,000 | 153,919 | |||||||||
Golden Entertainment, Inc. FRS BTL-B 5.50% (1 ML+3.00%) due 10/21/2024 | 207,375 | 205,301 | |||||||||
Scientific Games International, Inc. FRS BTL-B5 5.25% (1 ML+2.75%) due 08/14/2024 | 21,983 | 21,343 | |||||||||
Scientific Games International, Inc. FRS BTL-B5 5.33% (2 ML+2.75%) due 08/14/2024 | 91,582 | 88,917 | |||||||||
469,480 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
HUB International, Ltd. FRS BTL-B 5.51% (3 ML+2.75%) due 04/25/2025 | 173,688 | 167,572 | |||||||||
USI, Inc. FRS BTL 5.60% (3 ML+3.00%) due 05/16/2024 | 108,350 | 104,558 | |||||||||
272,130 | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Asurion LLC FRS BTL-B6 5.50% (1 ML+3.00%) due 11/03/2023 | 291,180 | 289,177 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL 5.75% (1 ML+3.25%) due 12/31/2025 | 99,750 | 97,537 | |||||||||
386,714 |
269
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Investment Companies — 0.0% | |||||||||||
Techem GmbH FRS BTL-B1 3.75% (3 ME+3.75%) due 07/31/2025 | EUR | 144,000 | $ | 161,818 | |||||||
Machinery-Electrical — 0.0% | |||||||||||
Brookfield WEC Holdings, Inc. FRS 1st Lien 6.25% (1 ML+3.75%) due 08/01/2025 | 99,750 | 99,526 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Gardner Denver, Inc. FRS BTL-B1 5.25% (1 ML+2.75%) due 07/30/2024 | 122,798 | 122,510 | |||||||||
RBS Global, Inc. FRS BTL-B 4.50% (1 ML+2.00%) due 08/21/2024 | 84,769 | 83,921 | |||||||||
206,431 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Envision Healthcare Corp. FRS 1st Lien 6.25% (1 ML+3.75%) due 10/10/2025 | 114,713 | 107,089 | |||||||||
Jaguar Holding Co. II FRS BTL 5.00% (1 ML+2.50%) due 08/18/2022 | 217,824 | 215,420 | |||||||||
Syneos Health, Inc. FRS BTL-B 4.50% (1ML+2.00%) due 08/01/2024 | 152,605 | 151,133 | |||||||||
473,642 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
Valeant Pharmaceuticals International, Inc. FRS BTL 5.48% (1 ML+3.00%) due 06/02/2025 | 92,500 | 91,774 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.75% (1 ML + 4.25%) due 04/29/2024 | 181,763 | 178,354 | |||||||||
Medical-HMO — 0.1% | |||||||||||
MultiPlan, Inc. FRS BTL-B 5.35% (3 ML+2.75%) due 06/07/2023 | 321,799 | 311,019 | |||||||||
One Call Corp. FRS 1st Lein 7.73% (1 ML+5.25%) due 11/25/2022 | 135,391 | 114,744 | |||||||||
425,763 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
CIRCOR International, Inc. FRS 1st Lien 5.99% (1 ML+3.50%) due 12/11/2024 | $ | 94,414 | $ | 91,935 | |||||||
Crosby US Acquisition Corp. FRS 1st Lien 5.49% (1 ML+3.00%) due 11/23/2020 | 221,063 | 215,168 | |||||||||
307,103 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Delta 2 Lux SARL FRS BTL-B3 5.00% (1 ML+2.50%) due 02/01/2024 | 153,800 | 147,264 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore Finance Co. FRS Escrow Loans†(8) | 587 | 0 | |||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC FRS 1st Lien 8.99% (1 ML+6.50%) due 03/30/2023 | 16,667 | 16,639 | |||||||||
California Resources Corp. FRS BTL 12.87% (1 ML+10.38%) due 12/31/2021 | 130,000 | 136,825 | |||||||||
153,464 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL 5.25% (1 ML+2.75%) due 03/01/2024 | 144,000 | 141,912 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 6.49% (1 ML+4.00%) due 09/12/2024 | 128,375 | 127,343 | |||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Bass Pro Group LLC FRS BTL 7.50% (1 ML+5.00%) due 09/25/2024 | 123,125 | 120,278 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B2 5.25% (1 ML+2.75%) due 04/01/2024 | 123,449 | 121,950 |
270
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(9)(10)(13) (continued) | |||||||||||
Security Services — 0.0% | |||||||||||
APX Group, Inc. FRS BTL-B 7.50% (1 ML+5.00%) due 04/01/2024 | $ | 99,383 | $ | 97,023 | |||||||
APX Group, Inc. FRS BTL-B 9.50% (USFRBPLR+4.00%) due 04/01/2024 | 117 | 114 | |||||||||
97,137 | |||||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Diamond BC BV FRS BTL 5.74% (3 ML+3.00%) due 09/06/2024 | 113,563 | 108,310 | |||||||||
Telecom Services — 0.0% | |||||||||||
Telenet Financing USD LLC FRS BTL-AN 4.73% (1 ML+2.25%) due 08/15/2026 | 100,000 | 97,833 | |||||||||
Telephone-Integrated — 0.0% | |||||||||||
CenturyLink, Inc. FRS BTL-B 5.25% (1 ML+2.75%) due 01/31/2025 | 99,747 | 97,503 | |||||||||
Television — 0.0% | |||||||||||
Gray Television, Inc. FRS BTL-C 4.98% (1 ML+2.50%) due 01/02/2026 | 99,750 | 98,586 | |||||||||
ION Media Networks, Inc. FRS BTL-B3 5.25% (1 ML+2.75%) due 12/18/2020 | 165,688 | 164,860 | |||||||||
263,446 | |||||||||||
Theaters — 0.0% | |||||||||||
Cineworld, Ltd. FRS BTL 5.00% (1 ML+2.50%) due 02/28/2025 | 99,213 | 96,758 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Savage Enterprises LLC FRS BTL 6.99% (1 ML+4.50%) due 08/01/2025 | 89,568 | 89,596 | |||||||||
Total Loans (cost $12,026,544) | 11,740,313 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.6% | |||||||||||
Sovereign — 0.6% | |||||||||||
Arab Republic of Egypt Senior Notes 8.50% due 01/31/2047 | 200,000 | 203,905 | |||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 882,000 | 1,008,064 |
Security Description | Shares/ Principal Amount(6) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Republic of Argentina Senior Notes 5.25% due 01/15/2028 | EUR | 385,000 | $ | 317,168 | |||||||
Republic of Ghana Senior Notes 8.63% due 06/16/2049* | 410,000 | 399,750 | |||||||||
State of Qatar Senior Notes 4.00% due 03/14/2029* | 1,670,000 | 1,721,122 | |||||||||
State of Qatar Senior Notes 4.82% due 03/14/2049* | 1,180,000 | 1,240,697 | |||||||||
United Mexican States Senior Notes 4.50% due 04/22/2029 | 207,000 | 214,349 | |||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 100,000 | 98,250 | |||||||||
5,203,305 | |||||||||||
Sovereign Agency — 0.0% | |||||||||||
Kommunalbanken AS Senior Notes 2.75% due 02/05/2024* | 236,000 | 239,522 | |||||||||
Total Foreign Government Obligations (cost $5,471,285) | 5,442,827 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Mr. Cooper Group, Inc.† | 165 | 1,582 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore Litigation Trust Class A†(15) | 162 | 132 | |||||||||
Paragon Offshore Litigation Trust Class B†(15) | 81 | 2,896 | |||||||||
3,028 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC†(8)(15) | 11,973 | 33,524 | |||||||||
TE Holdcorp LLC, Class A†(8)(15) | 2,426 | 0 | |||||||||
33,524 | |||||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(8)(15) | 22 | 19,738 | |||||||||
Total Common Stocks (cost $126,741) | 57,872 | ||||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Entergy Louisiana LLC4.70% (cost $190,121) | 7,606 | 187,488 | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6% | |||||||||||
Banks-Commercial — 0.5% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 6.13% due 11/16/2027(17) | 1,000,000 | 892,500 |
271
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 8.88% due 04/14/2021(17) | EUR | 200,000 | $ | 246,676 | |||||||
Banco de Sabadell SA 6.13% due 11/23/2022(17) | EUR | 400,000 | 415,518 | ||||||||
Banco de Sabadell SA 6.50% due 05/18/2022(17) | EUR | 400,000 | 425,667 | ||||||||
Caixa Geral de Depositos SA 10.75% due 03/30/2022(17) | EUR | 200,000 | 257,621 | ||||||||
CaixaBank SA 6.75% due 06/13/2024(17) | EUR | 400,000 | 466,009 | ||||||||
Cooperatieve Rabobank UA 11.00% due 06/30/2019*(17) | 262,000 | 266,913 | |||||||||
Danske Bank A/S 5.88% due 04/06/2022(17) | EUR | 200,000 | 228,586 | ||||||||
DNB Bank ASA 6.50% due 03/26/2022(17) | 200,000 | 205,500 | |||||||||
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(17) | 825,000 | 779,625 | |||||||||
Intesa Sanpaolo SpA 7.75% due 01/11/2027(17) | EUR | 200,000 | 243,134 | ||||||||
Standard Chartered PLC 7.50% due 04/02/2022(17) | 405,000 | 422,212 | |||||||||
4,849,961 | |||||||||||
Banks-Fiduciary — 0.0% | |||||||||||
State Street Corp. FRS 3.61% (3 ML+1.00%) due 06/01/2077 | 300,000 | 237,000 | |||||||||
Banks-Money Center — 0.0% | |||||||||||
BBVA Bancomer SA 5.13% due 01/18/2033* | 200,000 | 183,900 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
Huntington Bancshares, Inc. Series E 5.70% due 04/15/2023(17) | 122,000 | 118,950 | |||||||||
Wells Fargo Capital X 5.95% due 12/01/2086 | 74,000 | 81,400 | |||||||||
200,350 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Vodafone Group PLC 7.00% due 04/04/2079 | 885,000 | 898,046 | |||||||||
Diversified Banking Institutions — 0.9% | |||||||||||
Bank of Nova Scotia 4.65% due 10/12/2022(17) | 363,000 | 333,960 | |||||||||
BNP Paribas SA 5.13% due 11/15/2027*(17) | 285,000 | 249,375 | |||||||||
BNP Paribas SA 7.63% due 03/30/2021*(17) | 270,000 | 283,163 | |||||||||
Credit Agricole SA 8.13% due 12/23/2025*(17) | 925,000 | 1,038,916 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(17) | 1,535,000 | 1,530,312 | |||||||||
HSBC Holdings PLC 6.00% due 05/22/2027(17) | 981,000 | 972,661 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
HSBC Holdings PLC 6.25% due 03/23/2023(17) | $ | 400,000 | $ | 399,500 | |||||||
JPMorgan Chase & Co. Series CC 4.63% due 11/01/2022(17) | 293,000 | 272,490 | |||||||||
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(17) | 170,000 | 178,296 | |||||||||
Societe Generale SA 7.38% due 09/13/2021*(17) | 800,000 | 825,000 | |||||||||
UBS Group AG 6.88% due 03/22/2021(17) | 450,000 | 460,824 | |||||||||
UBS Group AG 7.00% due 02/19/2025(17) | 450,000 | 474,188 | |||||||||
UniCredit SpA 6.63% due 06/03/2023(17) | EUR | 600,000 | 654,039 | ||||||||
UniCredit SpA 8.00% due 06/03/2024(17) | 400,000 | 373,966 | |||||||||
8,046,690 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Dominion Resources, Inc. 5.75% due 10/01/2054 | 109,000 | 111,207 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 5.86% due 11/30/2056†(8) | 58,000 | 6 | |||||||||
Finance-Other Services — 0.0% | |||||||||||
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043 | 126,000 | 121,376 | |||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.63% due 06/15/2043 | 148,000 | 153,920 | |||||||||
Prudential Financial, Inc. 5.70% due 09/15/2048 | 122,000 | 123,470 | |||||||||
277,390 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Assurant, Inc. 7.00% due 03/27/2048 | 225,000 | 225,462 | |||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer Partners LP 6.25% due 02/15/2023(17) | 149,000 | 140,805 | |||||||||
EnLink Midstream Partners LP 6.00% due 12/15/2022(17) | 124,000 | 102,610 | |||||||||
Enterprise Products Operating LLC 5.25% due 08/16/2077 | 96,000 | 88,800 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 99,000 | 92,565 | |||||||||
TransCanada Trust 5.63% due 05/20/2075 | 73,000 | 71,372 | |||||||||
496,152 | |||||||||||
Total Preferred Securities/Capital Securities (cost $15,693,238) | 15,647,540 |
272
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Shares/ Principal Amount(17) | Value (Note 2) | |||||||||
OPTIONS — PURCHASED†((19) — 0.0% | |||||||||||
Over the Counter Purchased Put Options on Interest Rate Swap Contracts (cost $377,876) | $ | 29,290,000 | $ | 98,243 | |||||||
WARRANTS† — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC(8)(15) (cost $296) | 3,100 | 93 | |||||||||
Total Long-Term Investment Securities (cost $1,050,212,457) | 1,059,154,357 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.5% | |||||||||||
Foreign Government Obligations — 0.1% | |||||||||||
Government of Egypt Bills 17.26% due 11/19/2019 | EGP | 11,250,000 | 594,840 | ||||||||
Government of Egypt Bills 19.43% due 10/15/2019 | EGP | 2,775,000 | 144,581 | ||||||||
739,421 | |||||||||||
Registered Investment Companies — 0.4% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 2.39%(18) | 4,088,988 | 4,088,988 | |||||||||
Total Short-Term Investment Securities (cost $4,804,933) | 4,828,409 | ||||||||||
REPURCHASE AGREEMENTS — 0.7% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(20) | 1,575,000 | 1,575,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(20) | 785,000 | 785,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(20) | 1,410,000 | 1,410,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(20) | 1,515,000 | 1,515,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(20) | 1,570,000 | 1,570,000 | |||||||||
Total Repurchase Agreements (cost $6,855,000) | 6,855,000 | ||||||||||
TOTAL INVESTMENTS (cost $1,061,872,390)(21) | 111.4 | % | 1,070,837,766 | ||||||||
Liabilities in excess of other assets | (11.4 | ) | (109,491,259 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 961,346,507 |
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $183,111,663 representing 19.0% of net assets.
† 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) Denominated in United States dollars unless otherwise indicated.
(7) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2019.
(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 Offered 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) Security in default of Interest.
(12) Principal amount of security is adjusted for inflation.
(13) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(14) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(15) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant 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
273
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
securities for which secondary markets exist. As of March 31, 2019, 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 | $ | 33,524 | $ | 2.80 | 0.00 | % | |||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 22 | 0 | 19,738 | 897.18 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class A | 07/11/2014 | 162 | 92 | 132 | 0.81 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class B | 07/14/2014 | 81 | 1,377 | 2,896 | 35.75 | 0.00 | |||||||||||||||||||||
TE Holdcorp LLC, Class A | 09/18/2014 | 2,426 | 89,032 | 0 | 0.00 | 0.00 | |||||||||||||||||||||
Warrants: | |||||||||||||||||||||||||||
Ascent Resources — Marcellus LLC | 03/30/2018 | 3,100 | 296 | 93 | 0.03 | 0.00 | |||||||||||||||||||||
$ | 56,383 | 0.00 | % |
(16) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(17) Perpetual maturity — maturity date reflects the next call date.
(18) The rate shown is the 7-day yield as of March 31, 2019.
(19) Purchased Options
Over the Counter Purchased Put Options on Interest Rate Swap Contracts
Issue | Counterparty | Expiration Month | Strike Rate | Notional Amount(000's) | Premiums Paid | Value at March 31, 2019 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.20% versus 3 Month USD LIBOR-BBA maturing on 12/09/2019 | Goldman Sachs International | December 2019 | 3.20 | % | $ | 13,380 | $ | 176,616 | $ | 20,023 | $ | (156,593 | ) | ||||||||||||||||||
Put option to enter into an interest rate swap for the right to pay a fixed rate of 3.00% versus 3 Month USD LIBOR-BBA maturing on 03/18/2020 | Goldman Sachs International | March 2020 | 3.00 | 15,910 | 201,261 | 78,220 | (123,041 | ) | |||||||||||||||||||||||
$ | 377,877 | $ | 98,243 | $ | (279,634 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(20) See Note 2 for details of Joint Repurchase Agreements.
(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 March 31, 2019 and unless otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ML — 1 Month USD LIBOR
1 WL — 1 Week USD LIBOR
2 ML — 2 Month USD LIBOR
3 ME — 3 Month Euribor
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
274
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
COFI — 11th District Cost of Funds
USFRBPLR — US Federal Reserve Bank Prime Loan Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
31 | Short | Australian 10 Year Bonds | June 2019 | $ | 3,002,321 | $ | 3,049,843 | $ | (47,522 | ) | |||||||||||||||||
15 | Short | Euro Bund | June 2019 | 2,764,655 | 2,798,880 | (34,225 | ) | ||||||||||||||||||||
104 | Long | U.S. Treasury 5 Year Notes | June 2019 | 11,925,063 | 12,046,125 | 121,062 | |||||||||||||||||||||
203 | Short | U.S. Treasury 10 Year Notes | June 2019 | 24,882,088 | 25,216,406 | (334,318 | ) | ||||||||||||||||||||
252 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2019 | 32,763,234 | 33,460,875 | (697,641 | ) | ||||||||||||||||||||
81 | Long | U.S. Treasury Long Bonds | June 2019 | 11,774,528 | 12,122,156 | 347,628 | |||||||||||||||||||||
11 | Short | U.S. Treasury Ultra Bonds | June 2019 | 1,784,266 | 1,848,000 | (63,734 | ) | ||||||||||||||||||||
$ | (708,750 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | USD | 27,151 | EUR | 24,000 | 04/30/2019 | $ | — | $ | (165 | ) | |||||||||||||
Goldman Sachs International | EUR | 384,000 | USD | 437,302 | 06/19/2019 | 3,711 | — | ||||||||||||||||
JPMorgan Chase Bank N.A | EUR | 2,898,000 | USD | 3,281,652 | 04/30/2019 | 23,110 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 26,821 | $ | (165 | ) |
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 | 4,835 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | $ | (103,933 | ) | $ | (61,809 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
275
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | — | $ | 147,000,510 | $ | — | $ | 147,000,510 | |||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Airlines | — | 1,170,821 | 12,185 | 1,183,006 | |||||||||||||||
Finance-Investment Banker/Broker | — | 193,691 | 23 | 193,714 | |||||||||||||||
Gambling (Non-Hotel) | — | 81,652 | 73 | 81,725 | |||||||||||||||
Other Industries | — | 258,163,981 | — | 258,163,981 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 56,595,921 | — | 56,595,921 | |||||||||||||||
U.S. Government Agencies | — | 213,938,738 | — | 213,938,738 | |||||||||||||||
U.S. Government Treasuries | — | 346,000,405 | — | 346,000,405 | |||||||||||||||
Municipal Bond & Notes | — | 2,821,981 | — | 2,821,981 | |||||||||||||||
Loans: | |||||||||||||||||||
Oil & Gas Drilling | — | — | 0 | 0 | |||||||||||||||
Other Industries | — | 11,740,313 | — | 11,740,313 | |||||||||||||||
Foreign Government Obligations | — | 5,442,827 | — | 5,442,827 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Finance-Mortgage Loan/Banker | 1,582 | — | — | 1,582 | |||||||||||||||
Oil & Gas Drilling | — | 3,028 | — | 3,028 | |||||||||||||||
Other Industries | — | — | 53,262 | 53,262 | |||||||||||||||
Preferred Securities | 187,488 | — | — | 187,488 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 6 | 6 | |||||||||||||||
Other Industries | — | 15,647,534 | — | 15,647,534 | |||||||||||||||
Options — Purchased | — | 98,243 | — | 98,243 | |||||||||||||||
Warrants | — | — | 93 | 93 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Foreign Government Obligations | — | 739,421 | — | 739,421 | |||||||||||||||
Registered Investment Companies | 4,088,988 | — | — | 4,088,988 | |||||||||||||||
Repurchase Agreements | — | 6,855,000 | — | 6,855,000 | |||||||||||||||
Total Investments at Value | $ | 4,278,058 | $ | 1,066,494,066 | $ | 65,642 | $ | 1,070,837,766 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 468,690 | $ | — | $ | — | $ | 468,690 | |||||||||||
Forward Foreign Currency Contracts | — | 26,821 | — | 26,821 | |||||||||||||||
Total Other Financial Instruments | $ | 468,690 | $ | 26,821 | $ | — | $ | 495,511 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 1,177,440 | $ | — | $ | — | $ | 1,177,440 | |||||||||||
Forward Foreign Currency Contracts | — | 165 | — | 165 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 61,809 | — | 61,809 | |||||||||||||||
Total Other Financial Instruments | $ | 1,177,440 | $ | 61,974 | $ | — | $ | 1,239,414 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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.
There were no material Level 3 transfers during the reporting period.
See Notes to Financial Statements
276
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Sovereign | 38.2% | ||||||
United States Treasury Notes | 29.0 | ||||||
United States Treasury Bonds | 14.8 | ||||||
Federal National Mtg. Assoc. | 12.0 | ||||||
Diversified Financial Services | 7.1 | ||||||
Federal Home Loan Mtg. Corp. | 0.4 | ||||||
Commercial Services-Finance | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Casino Hotels | 0.2 | ||||||
Television | 0.2 | ||||||
Cable/Satellite TV | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Pipelines | 0.1 | ||||||
Semiconductor Equipment | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Airlines | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Medical-Drugs | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Theaters | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Applications Software | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Retail-Restaurants | 0.1 | ||||||
Textile-Products | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Computer Services | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Research & Development | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Protection/Safety | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Electronic Security Devices | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Food-Baking | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
106.3% |
Credit Quality†# | |||||||
Aaa | 61.4 | % | |||||
Aa | 18.8 | ||||||
A | 3.0 | ||||||
Baa | 6.1 | ||||||
Ba | 1.9 | ||||||
B | 2.0 | ||||||
Not Rated## | 6.8 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
277
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS(1) — 38.2% | |||||||||||
Sovereign — 38.2% | |||||||||||
Commonwealth of Australia Senior Notes 3.00% due 09/20/2025 | AUD | 3,515,933 | $ | 2,924,083 | |||||||
Commonwealth of Australia Senior Notes 4.00% due 08/20/2020 | AUD | 19,331,200 | 14,386,892 | ||||||||
Federal Republic of Germany Bonds 0.10% due 04/15/2023 | EUR | 25,012,691 | 29,973,877 | ||||||||
Government of Canada Bonds 2.00% due 12/01/2041 | CAD | 12,738,514 | 12,623,173 | ||||||||
Government of Canada Bonds 4.25% due 12/01/2021 | CAD | 14,311,823 | 11,917,255 | ||||||||
Government of France Bonds 0.10% due 03/01/2025 | EUR | 4,955,731 | 5,940,914 | ||||||||
Government of France Bonds 0.25% due 07/25/2024 | EUR | 14,696,509 | 17,991,825 | ||||||||
Government of France Bonds 1.10% due 07/25/2022 | EUR | 16,189,931 | 19,893,624 | ||||||||
Government of France Bonds 1.30% due 07/25/2019 | EUR | 11,415,375 | 12,994,512 | ||||||||
Government of France Bonds 2.10% due 07/25/2023 | EUR | 6,739,740 | 8,681,953 | ||||||||
Government of Japan Senior Bonds 0.10% due 03/10/2025 | JPY | 470,943,700 | 4,384,370 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2027 | JPY | 2,084,355,656 | 19,667,220 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2028 | JPY | 362,019,600 | 3,406,244 | ||||||||
Government of New Zealand Senior Notes 2.00% due 09/20/2025 | NZD | 2,505,604 | 1,846,368 | ||||||||
Kingdom of Spain Senior Notes 0.55% due 11/30/2019* | EUR | 8,201,793 | 9,452,245 | ||||||||
Republic of Italy Senior Notes 2.35% due 09/15/2024* | EUR | 17,804,841 | 21,481,475 | ||||||||
Republic of Italy Senior Notes 2.60% due 09/15/2023* | EUR | 8,664,969 | 10,573,516 | ||||||||
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2024 | GBP | 9,108,372 | 13,494,385 | ||||||||
United Kingdom Gilt Treasury Notes 0.13% due 03/22/2026 | GBP | 5,461,268 | 8,461,899 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
United Kingdom Gilt Treasury Bonds 1.88% due 11/22/2022 | GBP | 8,362,116 | $ | 12,797,201 | |||||||
United Kingdom Gilt Treasury Bonds 2.50% due 04/16/2020 | GBP | 12,643,553 | 17,223,643 | ||||||||
United Kingdom Gilt Treasury Bonds 2.50% due 07/17/2024 | GBP | 10,498,981 | 17,129,609 | ||||||||
Total Foreign Government Obligations (cost $289,346,286) | 277,246,283 | ||||||||||
U.S. GOVERNMENT AGENCIES — 12.4% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.4% | |||||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HQA1, Class M2 4.79% (1 ML+2.30%) due 09/25/2030(2) | 3,000,000 | 3,002,818 | |||||||||
Federal National Mtg. Assoc. — 12.0% | |||||||||||
3.50% due April TBA | 67,100,000 | 68,009,478 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C03, Class 1M2 4.64% (1 ML+2.15%) due 10/25/2030(2) | 3,715,000 | 3,709,919 | |||||||||
Series 2018-C02, Class 2M2 4.69% (1 ML+2.20%) due 08/25/2030(2) | 3,700,000 | 3,689,135 | |||||||||
Series 2018-C01, Class 1M2 4.74% (1 ML+2.25%) due 07/25/2030(2) | 3,500,000 | 3,519,869 | |||||||||
Series 2018-C05, Class 1M2 4.84% (1 ML+2.35%) due 01/25/2031(2) | 3,690,000 | 3,705,321 | |||||||||
Series 2018-R07, Class 1M2 4.89% (1 ML+2.40%) due 04/25/2031*(2) | 750,000 | 757,019 | |||||||||
Series 2018-C04, Class 2M2 5.04% (1 ML+2.55%) due 12/25/2030(2) | 3,500,000 | 3,521,911 | |||||||||
86,912,652 | |||||||||||
Total U.S. Government Agencies (cost $89,453,642) | 89,915,470 | ||||||||||
U.S. GOVERNMENT TREASURIES(1) — 43.8% | |||||||||||
United States Treasury Bonds — 14.8% | |||||||||||
0.75% due 02/15/2045 TIPS | 1,667,422 | 1,601,368 | |||||||||
0.88% due 01/15/2029 TIPS | 2,212,918 | 2,283,249 | |||||||||
2.38% due 01/15/2025 TIPS | 47,932,546 | 53,212,367 | |||||||||
2.50% due 01/15/2029 TIPS | 42,048,774 | 49,816,915 | |||||||||
106,913,899 |
278
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES(1) (continued) | |||||||||||
United States Treasury Notes — 29.0% | |||||||||||
0.13% due 07/15/2024 TIPS(12) | $ | 40,735,509 | $ | 40,220,022 | |||||||
0.25% due 01/15/2025 TIPS | 12,096,373 | 11,964,841 | |||||||||
0.38% due 07/15/2025 TIPS | 40,820,290 | 40,783,265 | |||||||||
0.38% due 07/15/2027 TIPS | 13,329,918 | 13,227,745 | |||||||||
0.50% due 01/15/2028 TIPS | 32,484,434 | 32,399,228 | |||||||||
0.63% due 07/15/2021 TIPS | 20,036,729 | 20,213,834 | |||||||||
0.63% due 01/15/2026 TIPS | 39,025,994 | 39,462,230 | |||||||||
0.75% due 07/15/2028 TIPS | 11,987,398 | 12,250,661 | |||||||||
210,521,826 | |||||||||||
Total U.S. Government Treasuries (cost $315,420,026) | 317,435,725 | ||||||||||
ASSET BACKED SECURITIES — 7.1% | |||||||||||
Diversified Financial Services — 7.1% | |||||||||||
Atlas Senior Loan Fund, Ltd. FRS Series 2018-9A, Class A 3.63% (3 ML+0.87%) due 04/20/2028*(3) | 3,700,000 | 3,661,564 | |||||||||
Atrium XIII FRS Series 13A, Class A1 3.94% (3 ML+1.18%) due 11/21/2030*(3) | 3,700,000 | 3,693,025 | |||||||||
Bear Stearns ARM Trust VRS Series 2005-6, Class 3A1 4.44% due 08/25/2035(2)(11) | 1,535,108 | 1,520,964 | |||||||||
BlueMountain CLO, Ltd. FRS Series 2013-2A, Class A1R 3.94% (3 ML+1.18%) due 10/22/2030*(3) | 3,700,000 | 3,677,881 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 3.79% (3 ML+1.00%) due 01/15/2031*(3) | 2,000,000 | 1,974,912 | |||||||||
CSMC Trust VRS Series 2018-RPL8, Class A1 4.13% due 07/25/2058*(11) | 1,471,308 | 1,475,674 | |||||||||
Dryden Senior Loan Fund FRS Series 2013-26A, Class AR 3.69% (3 ML+0.90%) due 04/15/2029*(3) | 3,700,000 | 3,663,599 | |||||||||
Dryden Senior Loan Fund FRS Series 2015-41A, Class AR 3.76% (3 ML+0.97%) due 04/15/2031*(3) | 3,700,000 | 3,655,889 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Dryden Senior Loan Fund FRS Series 2015-37A, Class AR 3.89% (3 ML+1.10%) due 01/15/2031*(3) | $ | 2,500,000 | $ | 2,479,708 | |||||||
LCM XX LP FRS Series -20A, Class AR 3.80% (3 ML+1.04%) due 10/20/2027*(3) | 1,625,000 | 1,614,142 | |||||||||
Magnetite VII, Ltd. FRS Series 2012-7A, Class A1R2 3.59% (3 ML+0.80%) due 01/15/2028*(3) | 2,000,000 | 1,966,242 | |||||||||
Neuberger Berman CLO XIX, Ltd. FRS Series 2015-19A, Class A1R2 3.59% (3 ML+0.80%) due 07/15/2027*(3) | 2,500,000 | 2,482,865 | |||||||||
Pretium Mortgage Credit Partners LLC Series 2018-NPL4, Class A1 4.83% due 09/25/2058*(4) | 1,070,231 | 1,079,328 | |||||||||
PRPM LLC VRS Series 2018-3A, Class A1 4.48% due 10/25/2023*(11) | 2,285,214 | 2,303,058 | |||||||||
Sounds Point CLO IV-R, Ltd. FRS Series 2013-3RA, Class A 3.93% (3 ML+1.15%) due 04/18/2031*(3) | 3,700,000 | 3,664,502 | |||||||||
Venture CLO, Ltd. FRS Series 2018-34A, Class A 3.72% (3 ML+1.23%) due 10/15/2031*(3) | 3,040,000 | 3,023,824 | |||||||||
Venture CLO, Ltd. FRS Series 2017-29A, Class A 3.96% (3 ML+1.28%) due 09/07/2030*(3) | 1,110,000 | 1,108,093 | |||||||||
VOLT LLC Series 2018-NPL6, Class A1A 4.11% due 09/25/2048* | 1,153,266 | 1,157,791 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048* | 758,402 | 761,703 | |||||||||
VOLT LXXII LLC Series 2018-NPL8, Class A1A 4.21% due 10/26/2048* | 2,474,604 | 2,490,407 | |||||||||
VOLT LXXIII LLC Series 2018-NPL9, Class A1A 4.46% due 10/25/2048* | 2,247,212 | 2,262,101 | |||||||||
VOLT LXXIV LLC Series 2018-NP10, Class A1A 4.58% due 11/25/2048* | 1,408,449 | 1,420,183 | |||||||||
Total Asset Backed Securities (cost $51,339,519) | 51,137,455 |
279
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
LOANS(5)(6)(7) — 4.8% | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
TransDigm, Inc. FRS BTL-F 5.00% (1 ML+2.50%) due 06/09/2023 | $ | 298,492 | $ | 291,030 | |||||||
Airlines — 0.1% | |||||||||||
American Airlines, Inc. FRS BTL 4.49% (1 ML+2.00%) due 10/10/2021 | 890,722 | 884,598 | |||||||||
Applications Software — 0.1% | |||||||||||
SS&C Technologies, Inc. FRS BTL-B5 coupon TBD due 04/16/2025 | 641,722 | 635,172 | |||||||||
Auto Repair Centers — 0.0% | |||||||||||
Belron Finance US LLC FRS BTL-B 5.19% (3 ML+2.50%) due 11/13/2025 | 189,525 | 187,393 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Altra Industrial Motion Corp. FRS BTL-B 4.50% (1 ML+2.00%) due 10/01/2025 | 238,601 | 234,325 | |||||||||
Panther BF Aggregator 2 LP FRS BTL-B coupon TBD due 03/14/2026 | EUR | 250,000 | 278,685 | ||||||||
Panther BF Aggregator 2 LP FRS BTL-B coupon TBD due 03/18/2026 | 325,000 | 321,344 | |||||||||
834,354 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
NEP Group, Inc. FRS BTL 5.75% (1 ML+3.25%) due 10/20/2025 | 109,725 | 108,628 | |||||||||
Nexstar Broadcasting, Inc. FRS BTL-B3 4.75% (1 ML+2.25%) due 01/17/2024 | 92,721 | 90,402 | |||||||||
199,030 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
NCI Building Systems, Inc. FRS BTL 6.55% (3 ML+3.75%) due 04/12/2025 | 905,439 | 860,167 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS 1st Lien 5.25% (1 ML+2.75%) due 11/15/2023 | $ | 150,000 | $ | 145,750 | |||||||
Building-Heavy Construction — 0.1% | |||||||||||
PowerTeam Services LLC FRS BTL 5.85% (3 ML+3.25%) due 03/06/2025 | 300,000 | 285,750 | |||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
Allied Universal Holdco LLC FRS 1st Lein 6.75% (1 ML+4.25%) due 07/28/2022 | 349,125 | 340,397 | |||||||||
Cable/Satellite TV — 0.2% | |||||||||||
CSC Holdings LLC FRS BTL 4.73% (1 ML+2.25%) due 01/15/2026 | 625,000 | 604,688 | |||||||||
Unitymedia Finance LLC FRS BTL-B coupon TBD due 09/30/2025 | 400,000 | 395,357 | |||||||||
Numericable Group SA FRS BTL-B2 6.17% (1 ML+3.69%) due 01/31/2026 | 199,495 | 187,625 | |||||||||
1,187,670 | |||||||||||
Casino Hotels — 0.2% | |||||||||||
Caesars Resort Collection LLC FRS BTL-B 5.25% (1 ML+2.75%) due 12/23/2024 | 348,237 | 343,946 | |||||||||
Wynn Resorts, Ltd. FRS BTL-B coupon TBD due 10/30/2024 | 598,500 | 584,535 | |||||||||
Boyd Gaming Corp. FRS BTL-B 4.66% (1 WL+2.25%) due 09/15/2023 | 373,972 | 368,923 | |||||||||
1,297,404 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. FRS BTL-B 5.00% (1 ML+2.50) due 02/02/2024 | 248,731 | 240,647 | |||||||||
Sprint Communications, Inc. FRS BTL-B coupon TBD due 02/02/2024 | 149,625 | 146,259 | |||||||||
386,906 |
280
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
LOANS(5)(6)(7) (continued) | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
HB Fuller Co. FRS BTL-B 4.49% (1 ML+2.00%) due 10/20/2024 | $ | 257,145 | $ | 251,467 | |||||||
Starfruit US HoldCo. LLC FRS BTL-B 5.74% (1 ML+3.25%) due 10/01/2025 | 130,000 | 127,928 | |||||||||
Starfruit Finco BV FRS BTL-B 3.75% (3 ME+3.75%) due 10/01/2025 | EUR | 100,000 | 111,842 | ||||||||
Element Solutions, Inc. FRS BTL 4.75% (1 ML+2.25%) due 01/30/2026 | 169,575 | 167,950 | |||||||||
659,187 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Brightview Landscapes LLC FRS BTL-B 5.00% (1 ML+2.50%) due 08/15/2025 | 174,560 | 173,469 | |||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Financial & Risk US Holdings, Inc. FRS BTL 6.25% (1 ML+3.75%) due 10/01/2025 | 314,213 | 304,590 | |||||||||
Global Payments, Inc. FRS BTL-B4 4.25% (1 ML+1.75%%) due 10/17/2025 | 553,613 | 547,038 | |||||||||
WEX, Inc. FRS BTL-B2 4.75% (1 ML+2.25%) due 06/30/2023 | 348,210 | 344,554 | |||||||||
EVO Payments International LLC FRS BTL 5.75% (1 ML+3.25%) due 12/22/2023 | 199,496 | 198,997 | |||||||||
1,395,179 | |||||||||||
Computer Services — 0.1% | |||||||||||
Science Applications International Corp. FRS BTL-B 4.25% (1 ML+1.75%) due 10/31/2025 | 379,050 | 373,009 | |||||||||
Tempo Acquisition LLC FRS BTL-B 5.50% (1 ML+3.00%) due 05/01/2024 | 149,241 | 147,701 | |||||||||
520,710 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Consulting Services — 0.1% | |||||||||||
AlixPartners LLP FRS BTL 5.25% (1 ML+2.75%) due 04/04/2024 | $ | 199,491 | $ | 197,868 | |||||||
AlixPartners LLP FRS BTL coupon TBD due 04/04/2024 | 198,985 | 197,868 | |||||||||
395,736 | |||||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Berlin Packaging LLC FRS 1st Lein coupon TBD due 11/07/2025 | 198,997 | 192,388 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. FRS BTL-Q 4.61% (2 ML+2.00%) due 10/01/2022 | 175,000 | 173,775 | |||||||||
Reynolds Group Holdings, Inc. FRS BTL 5.25% (1 ML+2.75%) due 02/05/2023 | 198,982 | 196,388 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.49% (1 ML+3.00%) due 12/29/2023 | 763 | 726 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.63% (3 ML+3.00%) due 12/29/2023 | 299,237 | 289,524 | |||||||||
660,413 | |||||||||||
Data Processing/Management — 0.2% | |||||||||||
First Data Corp. FRS BTL 4.49% (1 ML+2.00%) due 07/08/2022 | 179,577 | 179,100 | |||||||||
First Data Corp. FRS BTL 4.49% (1 ML+2.00%) due 04/26/2024 | 450,000 | 448,538 | |||||||||
Dun & Bradstreet Corp. FRS BTL 7.49% (1 ML+5.00%) due 02/08/2026 | 100,000 | 98,958 | |||||||||
Evertec Group LLC FRS BTL-B 6.00% (1 ML+3.50%) due 11/27/2024 | 349,125 | 348,252 | |||||||||
1,074,848 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Avantor, Inc. FRS BTL 6.25% (1 ML+3.75%) due 11/21/2024 | 199,473 | 199,805 |
281
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
LOANS(5)(6)(7) (continued) | |||||||||||
Distribution/Wholesale — 0.1% | |||||||||||
HD Supply, Inc. FRS BTL-B5 4.25% (1 ML+1.75%) due 10/17/2023 | $ | 196,476 | $ | 193,959 | |||||||
American Builders & Contractors Supply Co., Inc. FRS BTL-B2 coupon TBD due 10/31/2023 | 274,300 | 266,316 | |||||||||
Univar USA, Inc. FRS BTL-B coupon TBD due 07/01/2024 | 81,679 | 81,194 | |||||||||
541,469 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Shutterfly, Inc. FRS BTL-B 5.25% (1ML+2.75%) due 08/17/2024 | 188,146 | 184,775 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
Microchip Technology, Inc. FRS BTL-B 4.50% (1ML+2.00%) due 05/29/2025 | 264,394 | 260,841 | |||||||||
Electronic Security Devices — 0.1% | |||||||||||
Resideo Funding, Inc. FRS BTL 4.61% (3 ML+2.00%) due 10/24/2025 | 299,250 | 297,754 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
MA FinanceCo. LLC FRS BTL-B 5.00% (1 ML+2.50%) due 06/21/2024 | 25,731 | 24,959 | |||||||||
Seattle SpinCo, Inc. FRS BTL-B3 5.00% (1 ML+2.50%) due 06/21/2024 | 173,765 | 168,552 | |||||||||
193,511 | |||||||||||
Finance-Credit Card — 0.1% | |||||||||||
Blackhawk Network Holdings LLC FRS 1st Lien 5.50% (1 ML+3.00%) due 06/15/2025 | 299,246 | 293,411 | |||||||||
Food-Baking — 0.1% | |||||||||||
Hostess Brands LLC FRS BTL-B 4.75% (1 ML+2.25%) due 08/03/2022 | 121,661 | 170,712 | |||||||||
Hostess Brands LLC FRS BTL-B 4.99% (3 ML+2.25%) due 08/03/2022 | 176,823 | 118,630 | |||||||||
289,342 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Food-Catering — 0.1% | |||||||||||
8th Avenue Food & Provisions, Inc. FRS BTL 6.24% (1 ML+3.75%) due 10/01/2025 | $ | 149,625 | $ | 149,718 | |||||||
Aramark Services, Inc. FRS BTL-B1 4.25% (1 ML+1.75%) due 03/11/2025 | 375,000 | 371,719 | |||||||||
521,437 | |||||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Post Holdings, Inc. FRS BTL 4.49% (1 ML+2.00%) due 05/24/2024 | 275,000 | 272,388 | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
US Foods, Inc. FRS BTL-B 4.50% (1 ML+2.00%) due 06/27/2023 | 348,210 | 342,812 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CEOC LLC FRS BTL-B 4.50% (1 ML+2.00%) due 10/06/2024 | 497,481 | 484,630 | |||||||||
Golden Entertainment, Inc. FRS BTL-B 5.50% (1 ML+3.00%) due 10/21/2024 | 99,496 | 98,501 | |||||||||
583,131 | |||||||||||
Hotels/Motels — 0.0% | |||||||||||
Hilton Worldwide Finance LLC FRS BTL-B2 4.24% (1 ML+1.75%) due 10/25/2023 | 136,839 | 136,302 | |||||||||
Industrial Gases — 0.0% | |||||||||||
Messer Industries USA, Inc. FRS BTL 5.10% (3 ML+2.50) due 03/01/2026 | 220,000 | 215,325 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
HUB International, Ltd. FRS BTL-B 5.51% (3 ML+2.75%) due 04/25/2025 | 273,622 | 263,988 | |||||||||
USI, Inc. FRS BTL 5.60% (3 ML+3.00%) due 05/16/2024 | 274,304 | 264,703 | |||||||||
528,691 |
282
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
LOANS(5)(6)(7) (continued) | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Asurion LLC FRS BTL-B4 5.50% (1 ML+3.00%) due 08/04/2022 | $ | 181,762 | $ | 180,626 | |||||||
Asurion LLC FRS 2nd Lien 9.00% (1 ML+6.50%) due 08/04/2025 | 300,000 | 303,562 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL 5.75% (1 ML+3.25%) due 12/31/2025 | 533,663 | 521,822 | |||||||||
1,006,010 | |||||||||||
Investment Companies — 0.0% | |||||||||||
AI Alpine US Bidco GmbH FRS BTL-B 5.99% (3 ML+3.25%) due 10/31/2025 | 165,000 | 161,287 | |||||||||
Messer Industries GmbH FRS BTL-B coupon TBD due 03/01/2026 | EUR | 100,000 | 111,474 | ||||||||
272,761 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
NFP Corp. FRS BTL-B 5.50% (1 ML+3.00%) due 01/08/2024 | 129,338 | 124,391 | |||||||||
Leisure Products — 0.0% | |||||||||||
Hayward Industries, Inc. FRS 1st Lien 6.00% (1 ML+3.50%) due 08/05/2024 | 144,268 | 141,292 | |||||||||
Machinery-Pumps — 0.1% | |||||||||||
NN, Inc. FRS BTL-B 6.25% (1 ML+3.75%) due 10/19/2022 | 372,979 | 365,520 | |||||||||
Medical Information Systems — 0.0% | |||||||||||
Quintiles IMS, Inc. FRS BTL-B 4.60% (3 ML+2.00%) due 03/07/2024 | 200,000 | 198,938 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Envision Healthcare Corp. FRS 1st Lien 6.25% (1 ML+3.75%) due 10/10/2025 | 688,275 | 642,534 | |||||||||
Syneos Health, Inc. FRS BTL-B coupon TBD due 08/01/2024 | 249,967 | 247,556 | |||||||||
890,090 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Medical Products — 0.0% | |||||||||||
Agiliti Health, Inc. FRS BTL-B 5.50% (1 ML+3.00) due 01/04/2026 | $ | 125,000 | $ | 124,531 | |||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Companies, Inc. FRS BTL 5.23% (1 ML+2.75%) due 11/27/2025 | 817,000 | 806,992 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.75% (1 ML + 4.25%) due 04/29/2024 | 174,114 | 170,849 | |||||||||
Medical-Hospitals — 0.1% | |||||||||||
Surgery Center Holdings, Inc. FRS BTL 5.75% (1 ML+3.25%) due 09/02/2024 | 343,258 | 337,251 | |||||||||
Universal Health Services, Inc. FRS BTL-B 4.25% (1 ML+1.75%) due 10/31/2025 | 553,613 | 552,920 | |||||||||
890,171 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
CIRCOR International, Inc. FRS 1st Lien coupon TBD due 12/11/2024 | 286,103 | 278,593 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Delta 2 Lux SARL FRS BTL-B3 5.00% (1 ML+2.50%) due 02/01/2024 | 750,000 | 718,125 | |||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL 5.25% (1 ML+2.75%) due 03/01/2024 | 99,740 | 98,294 | |||||||||
Pipelines — 0.1% | |||||||||||
BCP Raptor II LLC FRS BTL 7.37% (3 ML+4.75%) due 11/03/2025 | 335,000 | 316,156 | |||||||||
BCP Renaissance Parent LLC FRS BTL-B 6.24% (3 ML+3.50%) due 10/31/2024 | 174,123 | 173,221 |
283
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
LOANS(5)(6)(7) (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Grizzly Acquisitions, Inc. FRS BTL-B 5.85% (3 ML+3.25%) due 10/01/2025 | $ | 233,825 | $ | 232,851 | |||||||
Medallion Midland Acquisition LLC FRS BTL 5.75% (1 ML+3.25%) due 10/30/2024 | 149,244 | 145,140 | |||||||||
Traverse Midstream Partners LLC FRS BTL 6.50% (1 ML+4.00%) due 09/27/2024 | 99,500 | 99,251 | |||||||||
966,619 | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Quad/Graphics, Inc. FRS BTL-B 7.50% (1 ML+5.00%) due 02/02/2026 | 225,000 | 224,719 | |||||||||
Protection/Safety — 0.1% | |||||||||||
Verisure Holdings AB FRS BTL-B 3.50% (3 ME+3.50%) due 10/21/2022 | EUR | 340,000 | 379,107 | ||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc. FRS BTL-B 4.75% (1 ML+2.25%) due 10/15/2025 | 224,438 | 221,492 | |||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
VICI Properties 1 LLC FRS BTL 4.49% (1 ML+2.00%) due 12/20/2024 | 150,000 | 147,450 | |||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
United Rentals North America, Inc. FRS BTL 4.25% (1 ML+1.75%) due 10/31/2025 | 1,383,050 | 1,376,135 | |||||||||
Research & Development — 0.1% | |||||||||||
PAREXEL International Corp. FRS BTL 5.25% (1 ML+2.75%) due 09/27/2024 | 496,222 | 477,241 | |||||||||
Retail-Auto Parts — 0.0% | |||||||||||
Harbor Freight Tools USA, Inc. FRS BTL 5.00% (1 ML+2.50%) due 08/18/2023 | 125,000 | 121,927 |
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
Retail-Building Products — 0.0% | |||||||||||
Beacon Roofing Supply, Inc. FRS BTL-B 4.75% (1 ML+2.25%) due 01/02/2025 | $ | 273,618 | $ | 265,866 | |||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 6.49% (3 ML+4.00%) due 09/12/2024 | 200,000 | 198,393 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
IRB Holding Corp. FRS BTL-B 5.74% (1 ML+3.25%) due 02/05/2025 | 293,518 | 285,904 | |||||||||
Restaurant Brands International FRS BTL-B3 4.75% (1 ML+2.25%) due 02/16/2024 | 299,237 | 293,751 | |||||||||
579,655 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Bass Pro Group LLC FRS BTL 7.50% (1 ML+5.00%) due 09/25/2024 | 736,263 | 719,237 | |||||||||
Semiconductor Equipment — 0.1% | |||||||||||
Cabot Microelectronics Corp. FRS BTL-B 4.75% (1 ML+2.25%) due 11/14/2025 | 434,637 | 433,007 | |||||||||
Entegris, Inc. FRS BTL-B 4.50% (1 ML+2.00%) due 11/06/2025 | 523,688 | 523,688 | |||||||||
956,695 | |||||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Diamond BC BV FRS BTL 5.74% (3 ML+3.00%) due 09/06/2024 | 198,992 | 189,789 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Ciena Corp. FRS BTL-B 4.49% (1 ML+2.00%) due 09/26/2025 | 678,300 | 676,321 | |||||||||
Telecom Services — 0.0% | |||||||||||
MTN Infrastructure TopCo, Inc. FRS BTL 5.50% (1 ML+3.00%) due 11/15/2024 | 174,559 | 172,814 |
284
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Security Description | Principal Amount(10) | Value (Note 2) | |||||||||
LOANS(5)(6)(7) (continued) | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
CenturyLink, Inc. FRS BTL-B 5.25% (1 ML+2.75%) due 01/31/2025 | $ | 199,495 | $ | 195,006 | |||||||
Television — 0.2% | |||||||||||
Gray Television, Inc. FRS BTL-C 4.98% (1 ML+2.50%) due 01/02/2026 | 653,363 | 645,740 | |||||||||
Mission Broadcasting, Inc. FRS BTL-B3 4.74% (1 ML+2.25%) due 01/17/2024 | 17,065 | 16,638 | |||||||||
Tribune Media Co. FRS BTL-C 5.50% (1 ML+3.00%) due 01/27/2024 | 375,000 | 374,250 | |||||||||
1,036,628 | |||||||||||
Textile-Products — 0.1% | |||||||||||
ASP Unifrax Holdings, Inc. FRS BTL-B1 6.35% (3 ML+3.75%) due 12/12/2025 | 573,563 | 547,035 | |||||||||
Theaters — 0.1% | |||||||||||
Cineworld, Ltd. FRS BTL 5.00% (1 ML+2.50%) due 02/28/2025 | 710,442 | 692,858 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Savage Enterprises LLC FRS BTL 6.99% (1 ML+4.50%) due 08/01/2025 | 277,393 | 277,479 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
NVA Holdings, Inc. FRS BTL-B3 5.25% (1 ML+2.75%) due 02/02/2025 | 208,950 | 201,637 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
Web.com Group, Inc. FRS BTL 6.24% (1 ML+3.75%) due 10/10/2025 | 358,927 | 353,319 | |||||||||
Go Daddy Operating Co. LLC FRS BTL-B 4.50% (1 ML+2.00%) due 02/15/2024 | 149,619 | 148,528 | |||||||||
501,847 | |||||||||||
Total Loans (cost $35,079,586) | 34,681,052 |
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 0.0% | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Quad/Graphics, Inc. | 56 | $ | 666 | ||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(8)(9) | 233 | 209,043 | |||||||||
Total Common Stocks (cost $2) | 209,709 | ||||||||||
TOTAL INVESTMENTS (cost $780,639,061)(13) | 106.3 | % | 770,625,694 | ||||||||
Liabilities in excess of other assets | (6.3 | ) | (45,864,292 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 724,761,402 |
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2019, the aggregate value of these securities was $91,880,746 representing 12.7% of net assets.
† Non-income producing security
(1) Principal amount of security is adjusted for inflation.
(2) Collateralized Mortgage Obligation
(3) Collateralized Loan Obligation
(4) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2019.
(5) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(6) 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 Offered 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.
(7) 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.
(8) Securities classified as Level 3 (see Note 2).
(9) 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
285
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2019, 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 | $ | 209,043 | $ | 897.18 | 0.03 | % |
(10) Denominated in United States dollars unless otherwise indicated.
(11) 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.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open future contracts.
(13) See Note 4 for cost of investments on a tax basis.
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 andmaturity 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 FRS and VRS are the current interest rates at March 31, 2019 and unless otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ML — 1 Month USD LIBOR
1 WL — 1 Week USD LIBOR
2 ML — 2 Month USD LIBOR
3 ME — 3 Month Euribor
3 ML — 3 Month USD LIBOR
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
46 | Short | Australian 10 Year Bonds | June 2019 | $ | 4,454,932 | $ | 4,525,574 | $ | (70,642 | ) | |||||||||||||||||
22 | Short | Euro Bund | June 2019 | 4,054,624 | 4,105,023 | (50,399 | ) | ||||||||||||||||||||
154 | Long | U.S. Treasury 5 Year Notes | June 2019 | 17,658,601 | 17,837,531 | 178,930 | |||||||||||||||||||||
87 | Short | U.S. Treasury 10 Year Notes | June 2019 | 10,684,856 | 10,807,031 | (122,175 | ) | ||||||||||||||||||||
198 | Short | U.S. Treasury 10 Year Ultra Notes | June 2019 | 25,722,799 | 26,290,688 | (567,889 | ) | ||||||||||||||||||||
106 | Short | U.S. Treasury Ultra Bonds | June 2019 | 17,163,986 | 17,808,000 | (644,014 | ) | ||||||||||||||||||||
$ | (1,276,189 | ) |
* 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.
286
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Australia and New Zealand Banking Group | JPY | 3,027,283,000 | USD | 27,567,494 | 04/26/2019 | $ | 194,229 | $ | — | ||||||||||||||||||||||
Barclays Bank PLC | AUD | 24,105,170 | USD | 17,221,264 | 04/30/2019 | 95,920 | — | ||||||||||||||||||||||||
JPMorgan Chase Bank N.A | EUR | 122,813,519 | USD | 139,072,187 | 04/30/2019 | 979,390 | — | ||||||||||||||||||||||||
Royal Bank of Canada | CAD | 32,763,000 | USD | 24,506,053 | 04/30/2019 | — | (28,840 | ) | |||||||||||||||||||||||
GBP | 52,659,000 | USD | 69,771,543 | 04/30/2019 | 1,088,984 | — | |||||||||||||||||||||||||
1,088,984 | (28,840 | ) | |||||||||||||||||||||||||||||
State Street Bank and Trust Co. | NZD | 2,607,000 | USD | 1,800,052 | 04/30/2019 | 23,782 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 2,382,305 | $ | (28,840 | ) |
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 March 31, 2019 (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 | $ | — | $ | 277,246,283 | $ | — | $ | 277,246,283 | |||||||||||
U.S. Government Agencies | — | 89,915,470 | — | 89,915,470 | |||||||||||||||
U.S. Government Treasuries | — | 317,435,725 | — | 317,435,725 | |||||||||||||||
Asset Backed Securities | — | 51,137,455 | — | 51,137,455 | |||||||||||||||
Loans | — | 34,681,052 | — | 34,681,052 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Printing-Commercial | 666 | — | — | 666 | |||||||||||||||
Television | — | — | 209,043 | 209,043 | |||||||||||||||
Total Investments at Value | $ | 666 | $ | 770,415,985 | $ | 209,043 | $ | 770,625,694 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 178,930 | $ | — | $ | — | $ | 178,930 | |||||||||||
Forward Foreign Currency Contracts | — | 2,382,305 | — | 2,382,305 | |||||||||||||||
$ | 178,930 | $ | 2,382,305 | $ | — | $ | 2,561,235 | ||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 1,455,119 | $ | — | $ | — | $ | 1,455,119 | |||||||||||
Forward Foreign Currency Contracts | — | 28,840 | — | 28,840 | |||||||||||||||
Total Other Financial Instruments | $ | 1,455,119 | $ | 28,840 | $ | — | $ | 1,483,959 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts presented represent unrealized appreciation/depreciation as of the end of 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.
There were no Level 3 transfers during the reporting period.
See Notes to Financial Statements
287
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 12.8 | % | |||||
Electric-Integrated | 5.2 | ||||||
Telephone-Integrated | 5.1 | ||||||
Chemicals-Diversified | 4.1 | ||||||
Transport-Rail | 3.9 | ||||||
Oil-Field Services | 3.6 | ||||||
Medical-HMO | 3.5 | ||||||
Semiconductor Equipment | 3.4 | ||||||
Telecom Equipment-Fiber Optics | 3.4 | ||||||
Medical-Drugs | 3.4 | ||||||
Oil Refining & Marketing | 3.3 | ||||||
Computer Software | 3.3 | ||||||
Metal-Copper | 3.3 | ||||||
Food-Meat Products | 3.0 | ||||||
Medical Products | 3.0 | ||||||
Banks-Super Regional | 3.0 | ||||||
Tobacco | 3.0 | ||||||
Retail-Building Products | 3.0 | ||||||
Instruments-Controls | 2.9 | ||||||
Insurance-Multi-line | 2.9 | ||||||
Aerospace/Defense-Equipment | 2.7 | ||||||
Retail-Catalog Shopping | 2.7 | ||||||
Oil Companies-Exploration & Production | 2.7 | ||||||
Insurance-Life/Health | 2.4 | ||||||
Pharmacy Services | 2.3 | ||||||
Pipelines | 2.2 | ||||||
Semiconductor Components-Integrated Circuits | 2.2 | ||||||
Oil Companies-Integrated | 1.6 | ||||||
Gold Mining | 1.4 | ||||||
Repurchase Agreements | 1.1 | ||||||
Diversified Minerals | 0.6 | ||||||
101.0 | % |
* Calculated as a percentage of net assets
288
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 99.9% | |||||||||||
Aerospace/Defense-Equipment — 2.7% | |||||||||||
United Technologies Corp. | 63,000 | $ | 8,120,070 | ||||||||
Banks-Super Regional — 3.0% | |||||||||||
Wells Fargo & Co. | 185,000 | 8,939,200 | |||||||||
Chemicals-Diversified — 4.1% | |||||||||||
FMC Corp. | 157,000 | 12,060,740 | |||||||||
Computer Software — 3.3% | |||||||||||
Teradata Corp.† | 222,000 | 9,690,300 | |||||||||
Diversified Banking Institutions — 12.8% | |||||||||||
Bank of America Corp. | 375,000 | 10,346,250 | |||||||||
Citigroup, Inc. | 160,000 | 9,955,200 | |||||||||
JPMorgan Chase & Co. | 100,000 | 10,123,000 | |||||||||
Morgan Stanley | 175,000 | 7,385,000 | |||||||||
37,809,450 | |||||||||||
Diversified Minerals — 0.6% | |||||||||||
Livent Corp.† | 146,842 | 1,803,220 | |||||||||
Electric-Integrated — 5.2% | |||||||||||
AES Corp. | 454,000 | 8,208,320 | |||||||||
NextEra Energy, Inc. | 37,100 | 7,172,172 | |||||||||
15,380,492 | |||||||||||
Food-Meat Products — 3.0% | |||||||||||
Tyson Foods, Inc., Class A | 130,000 | 9,025,900 | |||||||||
Gold Mining — 1.4% | |||||||||||
Barrick Gold Corp. | 300,000 | 4,113,000 | |||||||||
Instruments-Controls — 2.9% | |||||||||||
Honeywell International, Inc. | 55,000 | 8,740,600 | |||||||||
Insurance-Life/Health — 2.4% | |||||||||||
Unum Group | 206,000 | 6,968,980 | |||||||||
Insurance-Multi-line — 2.9% | |||||||||||
MetLife, Inc. | 200,000 | 8,514,000 | |||||||||
Medical Products — 3.0% | |||||||||||
Baxter International, Inc. | 110,000 | 8,944,100 | |||||||||
Medical-Drugs — 3.4% | |||||||||||
Bristol-Myers Squibb Co. | 208,500 | 9,947,535 | |||||||||
Medical-HMO — 3.5% | |||||||||||
Humana, Inc. | 39,000 | 10,374,000 | |||||||||
Metal-Copper — 3.3% | |||||||||||
Freeport-McMoRan, Inc. | 750,000 | 9,667,500 | |||||||||
Oil Companies-Exploration & Production — 2.7% | |||||||||||
Anadarko Petroleum Corp. | 175,000 | 7,959,000 | |||||||||
Oil Companies-Integrated — 1.6% | |||||||||||
Chevron Corp. | 39,204 | 4,829,148 | |||||||||
Oil Refining & Marketing — 3.3% | |||||||||||
Marathon Petroleum Corp. | 100,000 | 5,985,000 | |||||||||
Valero Energy Corp. | 43,800 | 3,715,554 | |||||||||
9,700,554 | |||||||||||
Oil-Field Services — 3.6% | |||||||||||
Halliburton Co. | 188,500 | 5,523,050 | |||||||||
TechnipFMC PLC | 223,100 | 5,247,312 | |||||||||
10,770,362 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Pharmacy Services — 2.3% | |||||||||||
Cigna Corp. | 43,245 | $ | 6,954,661 | ||||||||
Pipelines — 2.2% | |||||||||||
Williams Cos., Inc. | 231,500 | 6,648,680 | |||||||||
Retail-Building Products — 3.0% | |||||||||||
Lowe's Cos., Inc. | 80,000 | 8,757,600 | |||||||||
Retail-Catalog Shopping — 2.7% | |||||||||||
Qurate Retail, Inc.† | 506,800 | 8,098,664 | |||||||||
Semiconductor Components-Integrated Circuits — 2.2% | |||||||||||
QUALCOMM, Inc. | 116,128 | 6,622,780 | |||||||||
Semiconductor Equipment — 3.4% | |||||||||||
Applied Materials, Inc. | 254,700 | 10,101,402 | |||||||||
Telecom Equipment-Fiber Optics — 3.4% | |||||||||||
Corning, Inc. | 301,200 | 9,969,720 | |||||||||
Telephone-Integrated — 5.1% | |||||||||||
Verizon Communications, Inc. | 257,000 | 15,196,410 | |||||||||
Tobacco — 3.0% | |||||||||||
Philip Morris International, Inc. | 100,000 | 8,839,000 | |||||||||
Transport-Rail — 3.9% | |||||||||||
CSX Corp. | 94,500 | 7,070,490 | |||||||||
Union Pacific Corp. | 27,100 | 4,531,120 | |||||||||
11,601,610 | |||||||||||
Total Long-Term Investment Securities (cost $240,548,501) | 296,148,678 | ||||||||||
REPURCHASE AGREEMENTS — 1.1% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.50%, dated 03/29/2019, to be repurchased 04/01/2019 in the amount of $3,393,141 and collateralized by $3,455,000 of United States Treasury Notes, bearing interest at 2.13% due 12/31/2022 and having an approximate value of $3,464,194 (cost $3,393,000) | $ | 3,393,000 | 3,393,000 | ||||||||
TOTAL INVESTMENTS (cost $243,941,501)(1) | 101.0 | % | 299,541,678 | ||||||||
Liabilities in excess of other assets | (1.0 | ) | (3,081,240 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 296,460,438 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
289
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 296,148,678 | $ | — | $ | — | $ | 296,148,678 | |||||||||||
Repurchase Agreements | — | 3,393,000 | — | 3,393,000 | |||||||||||||||
Total Investments at Value | $ | 296,148,678 | $ | 3,393,000 | $ | — | $ | 299,541,678 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
290
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 62.4 | % | |||||
International Equity Investment Companies | 19.7 | ||||||
Domestic Fixed Income Investment Companies | 18.0 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
291
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1% | |||||||||||
Domestic Equity Investment Companies — 62.4% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 894,768 | $ | 12,848,864 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,123,040 | 16,823,145 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 116,012 | 2,201,914 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 165,198 | 2,593,604 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 170,213 | 2,222,977 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 112,739 | 5,220,935 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 63,538 | 1,239,000 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 169,131 | 1,577,992 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1† | 149,219 | 2,206,946 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 232,478 | 8,148,347 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 136,088 | 2,543,479 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 262,456 | 4,333,150 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 499,743 | 11,349,168 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 285,528 | 4,405,692 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 156,175 | 3,212,530 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 491,206 | 6,454,450 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 225,901 | 2,451,027 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 270,147 | 6,002,665 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 426,742 | 4,664,290 | |||||||||
Total Domestic Equity Investment Companies (cost $101,064,220) | 100,500,175 | ||||||||||
Domestic Fixed Income Investment Companies — 18.0% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 166,249 | 2,510,367 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 417,606 | 4,856,754 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 430,591 | 4,090,617 |
Security Description | Shares | Value (Note 2) | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 31,192 | $ | 333,130 | ||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 234,432 | 3,085,128 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 796,444 | 8,099,838 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 125,329 | 1,252,033 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 332,402 | 2,984,967 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 319,465 | 1,776,228 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $28,961,556) | 28,989,062 | ||||||||||
International Equity Investment Companies — 19.7% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,564,287 | 14,047,295 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index, Class 1 | 142,156 | 1,995,871 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 448,527 | 4,772,328 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 307,407 | 2,477,701 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 479,675 | 4,825,527 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 374,022 | 3,609,309 | |||||||||
Total International Equity Investment Companies (cost $32,204,524) | 31,728,031 | ||||||||||
TOTAL INVESTMENTS (cost $162,230,300)(2) | 100.1 | % | 161,217,268 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (86,980 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 161,130,288 |
# 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.
292
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 161,217,268 | $ | — | $ | — | $ | 161,217,268 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
293
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 50.9 | % | |||||
Domestic Fixed Income Investment Companies | 33.9 | ||||||
International Equity Investment Companies | 15.2 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
294
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 50.9% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 2,130,961 | $ | 30,600,596 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 2,605,988 | 39,037,694 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 243,668 | 4,624,815 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 395,772 | 6,213,614 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 383,799 | 5,012,417 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 260,228 | 12,051,142 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 195,213 | 3,806,645 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 426,537 | 3,979,587 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1† | 317,544 | 4,696,483 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 527,718 | 18,496,520 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 294,420 | 5,502,701 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 530,543 | 8,759,261 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 1,302,004 | 29,568,504 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 552,370 | 8,523,073 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 392,224 | 8,068,038 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 1,254,710 | 16,486,888 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 437,508 | 4,746,958 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 633,825 | 14,083,596 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 1,025,694 | 11,210,837 | |||||||||
Total Domestic Equity Investment Companies (cost $231,485,611) | 235,469,369 | ||||||||||
Domestic Fixed Income Investment Companies — 33.9% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 798,490 | 12,057,200 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 4,108,426 | 47,780,997 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 2,085,053 | 19,808,004 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 215,724 | $ | 2,303,928 | ||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 1,241,643 | 16,340,022 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 2,377,340 | 24,177,551 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 660,030 | 6,593,704 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,071,647 | 18,603,391 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,666,326 | 9,264,773 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $157,369,147) | 156,929,570 | ||||||||||
International Equity Investment Companies — 15.2% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 3,362,739 | 30,197,392 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index, Class 1 | 326,745 | 4,587,495 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 974,783 | 10,371,690 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 709,261 | 5,716,643 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 1,308,797 | 13,166,497 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 686,714 | 6,626,786 | |||||||||
Total International Equity Investment Companies (cost $70,245,034) | 70,666,503 | ||||||||||
TOTAL INVESTMENTS (cost $459,099,792)(2) | 100.0 | % | 463,065,442 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (198,537 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 462,866,905 |
# 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 on 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.
295
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 463,065,442 | $ | — | $ | — | $ | 463,065,442 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
296
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 45.0 | % | |||||
Domestic Fixed Income Investment Companies | 43.9 | ||||||
International Equity Investment Companies | 11.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
297
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 45.0% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,366,689 | $ | 19,625,652 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,482,615 | 22,209,571 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 158,451 | 3,007,393 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 235,604 | 3,698,986 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 213,400 | 2,787,002 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 145,946 | 6,758,747 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 58,169 | 1,134,293 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 164,988 | 1,539,339 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | 156,757 | 2,318,431 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 294,035 | 10,305,944 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 160,804 | 3,005,434 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 281,009 | 4,639,454 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 655,186 | 14,879,266 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 294,235 | 4,540,048 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 288,864 | 5,941,928 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 688,396 | 9,045,524 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 202,717 | 2,199,474 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 366,683 | 8,147,687 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 650,403 | 7,108,910 | |||||||||
Total Domestic Equity Investment Companies (cost $130,926,814) | 132,893,083 | ||||||||||
Domestic Fixed Income Investment Companies — 43.9% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 635,880 | 9,601,795 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,370,844 | 39,202,919 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,667,891 | 15,844,966 |
Security Description | Shares | Value (Note 2) | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 146,866 | $ | 1,568,532 | ||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 1,017,053 | 13,384,418 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,966,108 | 19,995,320 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 765,630 | 7,648,643 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,650,055 | 14,817,491 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,327,042 | 7,378,355 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $130,035,435) | 129,442,439 | ||||||||||
International Equity Investment Companies — 11.1% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,857,481 | 16,680,179 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index, Class 1 | 186,548 | 2,619,136 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 164,034 | 1,745,323 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 364,226 | 2,935,661 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 602,500 | 6,061,150 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 293,218 | 2,829,550 | |||||||||
Total International Equity Investment Companies (cost $32,634,468) | 32,870,999 | ||||||||||
TOTAL INVESTMENTS (cost $293,596,717)(2) | 100.0 | % | 295,206,521 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (137,155 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 295,069,366 |
# The Seasons Series Trust SA 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.
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
298
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 295,206,521 | $ | — | $ | — | $ | 295,206,521 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
299
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO PROFILE — March 31, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 58.4 | % | |||||
Domestic Equity Investment Companies | 33.2 | ||||||
International Equity Investment Companies | 8.4 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
300
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 33.2% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 656,109 | $ | 9,421,725 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 762,793 | 11,426,639 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 88,154 | 1,673,164 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 122,226 | 1,918,944 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 116,411 | 1,520,330 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 84,765 | 3,925,454 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 33,717 | 657,479 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 124,806 | 1,164,437 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1† | 76,896 | 1,137,289 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 162,453 | 5,693,995 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 96,102 | 1,796,149 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 207,056 | 3,418,495 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 330,255 | 7,500,093 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 216,543 | 3,341,261 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 134,044 | 2,757,279 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 370,230 | 4,864,824 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 103,726 | 1,125,432 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 200,550 | 4,456,227 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 361,354 | 3,949,602 | |||||||||
Total Domestic Equity Investment Companies (cost $71,049,219) | 71,748,818 | ||||||||||
Domestic Fixed Income Investment Companies — 58.4% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 615,118 | 9,288,277 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,495,334 | 40,650,734 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,639,484 | 15,575,099 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 153,504 | 1,639,425 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 990,937 | $ | 13,040,730 | ||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,873,508 | 19,053,580 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 591,999 | 5,914,071 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,604,076 | 14,404,600 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,164,305 | 6,473,533 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $126,572,189) | 126,040,049 | ||||||||||
International Equity Investment Companies — 8.4% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 938,332 | 8,426,223 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index, Class 1 | 106,194 | 1,490,964 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 137,914 | 1,467,404 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 184,114 | 1,483,957 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 348,350 | 3,504,404 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 181,642 | 1,752,846 | |||||||||
Total International Equity Investment Companies (cost $18,068,764) | 18,125,798 | ||||||||||
TOTAL INVESTMENTS (cost $215,690,172)(2) | 100.0 | % | 215,914,665 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (107,700 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 215,806,965 |
# 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.
301
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2019 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2019 (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 | $ | 215,914,665 | $ | — | $ | — | $ | 215,914,665 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
302
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2019
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)* | $ | 50,487,565 | $ | 85,907,355 | $ | 60,260,320 | $ | 53,077,398 | $ | 156,239,443 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 605,000 | 945,000 | 930,000 | 340,000 | 10,759,000 | ||||||||||||||||||
Cash | 389,452 | 704,466 | 307,154 | 293,256 | 104,153 | ||||||||||||||||||
Foreign cash* | 90 | — | 224,296 | — | 118,779 | ||||||||||||||||||
Cash collateral for futures contracts | 19,983 | 59,984 | 61 | 19 | 3,503 | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | 7,381 | 18,290 | 20,704 | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 53,244 | 512 | 3,551 | 8,444 | 49,684 | ||||||||||||||||||
Dividends and interest | 101,087 | 229,043 | 222,596 | 234,106 | 535,468 | ||||||||||||||||||
Investments sold | 171,266 | 294,783 | 181,877 | 164,863 | 2,419,074 | ||||||||||||||||||
Investments sold on an extended settlement basis | 1,636,908 | 4,187,853 | 5,004,275 | 5,414,713 | 2,033,858 | ||||||||||||||||||
Receipts on swap contracts | 387 | 946 | 1,077 | 984 | 35,750 | ||||||||||||||||||
Prepaid expenses and other assets | 4,303 | 4,455 | 4,231 | 4,180 | 4,766 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 3,141 | 3,884 | 2,620 | 1,433 | 39,660 | ||||||||||||||||||
Variation margin on futures contracts | 2,621 | 5,307 | 4,782 | 6,188 | 85,625 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 2,406 | 9,454 | 11,532 | 10,583 | 23,327 | ||||||||||||||||||
Swap premiums paid | — | — | — | 8,071 | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | 2,646 | 7,055 | 8,466 | 21,075 | 13,471 | ||||||||||||||||||
Total assets | 53,487,480 | 92,378,387 | 67,187,542 | 59,585,313 | 172,465,561 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 66,245 | 515,189 | 23,297 | 141,312 | 385,905 | ||||||||||||||||||
Investments purchased | 274,699 | 622,994 | 333,836 | 239,076 | 2,382,507 | ||||||||||||||||||
Investments purchased on an extended settlement basis | 3,849,782 | 10,278,455 | 11,220,605 | 13,928,040 | 3,116,916 | ||||||||||||||||||
Payments on swap contracts | 1,290 | 3,308 | 3,821 | 3,049 | 52,870 | ||||||||||||||||||
Investment advisory and management fees | 36,905 | 58,049 | 37,381 | 29,008 | 118,998 | ||||||||||||||||||
Service fees — Class 2 | 2,266 | 5,036 | 3,784 | 3,104 | 6,484 | ||||||||||||||||||
Service fees — Class 3 | 4,621 | 6,749 | 3,552 | 3,167 | 21,056 | ||||||||||||||||||
Transfer agent fees and expenses | 149 | 149 | 149 | 186 | 781 | ||||||||||||||||||
Trustees' fees and expenses | 77 | 126 | 89 | 67 | 172 | ||||||||||||||||||
Other accrued expenses | 103,203 | 112,819 | 99,714 | 98,675 | 154,526 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | 3,962 | ||||||||||||||||||
Variation margin on futures contracts | 3,148 | 7,211 | 10,648 | 7,781 | 34,373 | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | 37 | — | 61 | — | ||||||||||||||||||
Due to broker | — | — | — | 4,229 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 20 | 21 | 14 | 43,858 | ||||||||||||||||||
Swap premiums received | 3,018 | 7,841 | 9,168 | 7,018 | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | 4,985 | 12,271 | 13,921 | 12,642 | 12,547 | ||||||||||||||||||
Total liabilities | 4,350,388 | 11,630,254 | 11,759,986 | 14,477,429 | 6,334,955 | ||||||||||||||||||
NET ASSETS | $ | 49,137,092 | $ | 80,748,133 | $ | 55,427,556 | $ | 45,107,884 | $ | 166,130,606 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 43,395,588 | $ | 76,773,234 | $ | 56,309,625 | $ | 51,228,330 | $ | 145,931,917 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | 94 | $ | — | $ | 224,538 | $ | — | $ | 118,999 |
See Notes to Financial Statements
303
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
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 | $ | 37,511,303 | $ | 65,166,928 | $ | 48,330,200 | $ | 41,602,897 | $ | 148,774,890 | |||||||||||||
Total accumulated earnings (loss) | 11,625,789 | 15,581,205 | 7,097,356 | 3,504,987 | 17,355,716 | ||||||||||||||||||
NET ASSETS | $ | 49,137,092 | $ | 80,748,133 | $ | 55,427,556 | $ | 45,107,884 | $ | 166,130,606 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 9,349,398 | $ | 9,207,918 | $ | 8,086,871 | $ | 5,122,423 | $ | 14,835,825 | |||||||||||||
Shares of beneficial interest issued and outstanding | 571,097 | 730,346 | 724,863 | 462,998 | 1,265,751 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.37 | $ | 12.61 | $ | 11.16 | $ | 11.06 | $ | 11.72 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 17,915,480 | $ | 39,368,012 | $ | 30,312,874 | $ | 24,779,150 | $ | 50,707,674 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,095,012 | 3,127,125 | 2,720,370 | 2,242,485 | 4,325,456 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.36 | $ | 12.59 | $ | 11.14 | $ | 11.05 | $ | 11.72 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 21,872,214 | $ | 32,172,203 | $ | 17,027,811 | $ | 15,206,311 | $ | 100,587,107 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,339,484 | 2,558,240 | 1,527,187 | 1,376,173 | 8,605,730 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.33 | $ | 12.58 | $ | 11.15 | $ | 11.05 | $ | 11.69 |
See Notes to Financial Statements
304
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
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)* | $ | 402,433,924 | $ | 496,064,481 | $ | 727,188,713 | $ | 220,355,532 | $ | 231,942,797 | |||||||||||||
Investments at value (affiliated)* | — | — | 841,091 | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | — | 694,000 | 5,242,000 | 5,067,000 | 705,000 | ||||||||||||||||||
Cash | — | 81,701 | 5,021,285 | 4,976 | 23,944 | ||||||||||||||||||
Foreign cash* | 665 | — | 2 | 1 | 28,534 | ||||||||||||||||||
Cash collateral for futures contracts | — | — | — | — | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | 15 | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 25,160 | 112,536 | 76,942 | 49,868 | 10,207 | ||||||||||||||||||
Dividends and interest | 153,962 | 325,552 | 1,305,795 | 75,863 | 409,060 | ||||||||||||||||||
Investments sold | 399,871 | 1,566,389 | 1,894,972 | 664,708 | 304,913 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | 651,328 | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,092 | 5,573 | 6,098 | 4,582 | 4,655 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 43,370 | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | 10,200 | 6,400 | 1,200 | 2,400 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 149,025 | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 403,018,674 | 498,903,802 | 742,383,651 | 226,223,730 | 233,431,525 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 859,057 | 637,673 | 818,759 | 403,099 | 421,226 | ||||||||||||||||||
Investments purchased | 11,999 | 2,298,075 | 1,344,905 | 728,759 | 355,288 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 283,319 | 323,159 | 471,206 | 161,024 | 167,660 | ||||||||||||||||||
Service fees — Class 2 | 5,265 | 4,038 | 3,093 | 2,832 | 2,851 | ||||||||||||||||||
Service fees — Class 3 | 7,114 | 3,750 | 2,796 | 3,153 | 3,022 | ||||||||||||||||||
Transfer agent fees and expenses | 707 | 446 | 409 | 558 | 558 | ||||||||||||||||||
Trustees' fees and expenses | 555 | 775 | 1,132 | 307 | 369 | ||||||||||||||||||
Other accrued expenses | 106,226 | 124,554 | 165,968 | 106,985 | 116,520 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | 29 | 31 | 3 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 1,947 | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 1,274,242 | 3,392,499 | 2,810,246 | 1,406,720 | 1,067,494 | ||||||||||||||||||
NET ASSETS | $ | 401,744,432 | $ | 495,511,303 | $ | 739,573,405 | $ | 224,817,010 | $ | 232,364,031 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 290,353,513 | $ | 377,583,373 | $ | 669,640,031 | $ | 164,050,535 | $ | 213,087,040 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | 1,095,906 | $ | — | $ | — | |||||||||||||
Foreign cash | $ | 665 | $ | — | $ | 2 | $ | 1 | $ | 28,688 |
See Notes to Financial Statements
305
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
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 | $ | 256,717,427 | $ | 316,871,197 | $ | 635,549,847 | $ | 146,417,719 | $ | 201,616,681 | |||||||||||||
Total accumulated earnings (loss) | 145,027,005 | 178,640,106 | 104,023,558 | 78,399,291 | 30,747,350 | ||||||||||||||||||
NET ASSETS | $ | 401,744,432 | $ | 495,511,303 | $ | 739,573,405 | $ | 224,817,010 | $ | 232,364,031 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 328,478,851 | $ | 445,895,037 | $ | 702,243,799 | $ | 187,603,929 | $ | 195,860,810 | |||||||||||||
Shares of beneficial interest issued and outstanding | 14,473,006 | 31,041,934 | 46,880,389 | 9,884,010 | 12,475,643 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 22.70 | $ | 14.36 | $ | 14.98 | $ | 18.98 | $ | 15.70 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 40,321,732 | $ | 31,937,577 | $ | 24,198,228 | $ | 22,406,777 | $ | 22,284,110 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,846,459 | 2,276,730 | 1,617,059 | 1,243,173 | 1,423,627 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.84 | $ | 14.03 | $ | 14.96 | $ | 18.02 | $ | 15.65 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 32,943,849 | $ | 17,678,689 | $ | 13,131,378 | $ | 14,806,304 | $ | 14,219,111 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,545,283 | 1,275,312 | 877,647 | 846,586 | 910,188 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.32 | $ | 13.86 | $ | 14.96 | $ | 17.49 | $ | 15.62 |
See Notes to Financial Statements
306
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
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 Value Portfolio | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 260,180,635 | $ | 436,932,226 | $ | 1,063,982,766 | $ | 770,625,694 | $ | 296,148,678 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 634,000 | 1,384,000 | 6,855,000 | — | 3,393,000 | ||||||||||||||||||
Cash | 1,862,972 | 445,553 | 278,194 | 561,271 | 626 | ||||||||||||||||||
Foreign cash* | — | 770,465 | 1,206 | 112,722 | — | ||||||||||||||||||
Cash collateral for futures contracts | — | — | 1,139 | 259 | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | 220,318 | — | — | ||||||||||||||||||
Due from broker | 245,034 | 29 | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 22,982 | 202,575 | 326,041 | 20,668,935 | 115,501 | ||||||||||||||||||
Dividends and interest | 186,648 | 3,248,181 | 6,339,349 | 2,199,314 | 274,782 | ||||||||||||||||||
Investments sold | 976,533 | 777,116 | 12,223,693 | 41,116 | — | ||||||||||||||||||
Investments sold on an extended settlement basis | — | 225,524 | 59,094,618 | 103,930 | — | ||||||||||||||||||
Receipts on swap contracts | — | — | 4,243 | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,418 | 5,684 | 8,397 | 5,899 | 4,822 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 28,427 | — | 56,869 | 155,414 | ||||||||||||||||||
Variation margin on futures contracts | 6,120 | 10,710 | 145,155 | 139,273 | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 26,821 | 2,382,305 | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 264,120,342 | 444,030,490 | 1,149,506,940 | 796,897,587 | 300,092,823 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 269,340 | 483,276 | 1,311,476 | 418,623 | 402,858 | ||||||||||||||||||
Investments purchased | 1,142,452 | 974,401 | 11,940,044 | 3,602 | 2,884,588 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | 173,863,305 | 71,032,553 | — | ||||||||||||||||||
Payments on swap contracts | — | — | 37,303 | — | — | ||||||||||||||||||
Investment advisory and management fees | 190,525 | 348,585 | 512,146 | 350,193 | 251,300 | ||||||||||||||||||
Service fees — Class 2 | 1,985 | 2,279 | 2,499 | — | 1,719 | ||||||||||||||||||
Service fees — Class 3 | 2,280 | 2,916 | 2,665 | 77,821 | 1,979 | ||||||||||||||||||
Transfer agent fees and expenses | 409 | 521 | 483 | 619 | 285 | ||||||||||||||||||
Trustees' fees and expenses | 439 | 687 | 1,269 | 978 | 488 | ||||||||||||||||||
Other accrued expenses | 108,987 | 249,797 | 269,398 | 186,934 | 89,168 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | 53,938 | 34,891 | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | — | — | 1,131 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 165 | 28,840 | — | ||||||||||||||||||
Swap premiums received | — | — | 103,933 | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | 61,809 | — | — | ||||||||||||||||||
Total liabilities | 1,716,417 | 2,062,462 | 188,160,433 | 72,136,185 | 3,632,385 | ||||||||||||||||||
NET ASSETS | $ | 262,403,925 | $ | 441,968,028 | $ | 961,346,507 | $ | 724,761,402 | $ | 296,460,438 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 220,689,799 | $ | 409,802,020 | $ | 1,055,017,390 | $ | 780,639,061 | $ | 240,548,501 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | 773,684 | $ | 1,493 | $ | 113,165 | $ | — |
See Notes to Financial Statements
307
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
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 Value Portfolio | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 205,390,703 | $ | 381,647,239 | $ | 936,743,907 | $ | 753,942,931 | $ | 238,689,962 | |||||||||||||
Total accumulated earnings (loss) | 57,013,222 | 60,320,789 | 24,602,600 | (29,181,529 | ) | 57,770,476 | |||||||||||||||||
NET ASSETS | $ | 262,403,925 | $ | 441,968,028 | $ | 961,346,507 | $ | 724,761,402 | $ | 296,460,438 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 236,342,242 | $ | 410,320,009 | $ | 928,760,914 | $ | 337,714,368 | $ | 273,629,466 | |||||||||||||
Shares of beneficial interest issued and outstanding | 18,101,017 | 45,702,647 | 79,861,885 | 35,544,469 | 15,519,592 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.06 | $ | 8.98 | $ | 11.63 | $ | 9.50 | $ | 17.63 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 15,415,058 | $ | 17,959,364 | $ | 19,873,226 | $ | — | $ | 13,536,195 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,214,289 | 1,996,292 | 1,710,079 | — | 765,160 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 12.69 | $ | 9.00 | $ | 11.62 | $ | — | $ | 17.69 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 10,646,625 | $ | 13,688,655 | $ | 12,712,367 | $ | 387,047,034 | $ | 9,294,777 | |||||||||||||
Shares of beneficial interest issued and outstanding | 854,089 | 1,526,186 | 1,099,470 | 40,997,392 | 524,856 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 12.47 | $ | 8.97 | $ | 11.56 | $ | 9.44 | $ | 17.71 |
See Notes to Financial Statements
308
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at value (unaffiliated)* | $ | — | $ | — | $ | — | $ | — | |||||||||||
Investments at value (affiliated)* | 161,217,268 | 463,065,442 | 295,206,521 | 215,914,665 | |||||||||||||||
Repurchase agreements (cost approximates value) | — | — | — | — | |||||||||||||||
Cash | — | — | — | — | |||||||||||||||
Foreign cash* | — | — | — | — | |||||||||||||||
Cash collateral for futures contracts | — | — | — | — | |||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | |||||||||||||||
Due from broker | — | — | — | — | |||||||||||||||
Receivable for: | |||||||||||||||||||
Fund shares sold | 395,337 | 323,046 | 354,219 | 561,022 | |||||||||||||||
Dividends and interest | — | — | — | — | |||||||||||||||
Investments sold | — | — | — | — | |||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | |||||||||||||||
Receipts on swap contracts | — | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 4,118 | 4,372 | 4,239 | 4,181 | |||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 2,511 | 7,408 | 4,731 | 3,440 | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | |||||||||||||||
Swap premiums paid | — | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | |||||||||||||||
Total assets | 161,619,234 | 463,400,268 | 295,569,710 | 216,483,308 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||
Payable for: | |||||||||||||||||||
Fund shares redeemed | 318,866 | 224,897 | 198,100 | 55,338 | |||||||||||||||
Investments purchased | 76,471 | 98,149 | 156,118 | 505,684 | |||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | |||||||||||||||
Payments on swap contracts | — | — | — | — | |||||||||||||||
Investment advisory and management fees | 13,425 | 39,095 | 24,916 | 18,143 | |||||||||||||||
Service fees — Class 2 | — | — | — | — | |||||||||||||||
Service fees — Class 3 | 33,530 | 97,658 | 62,246 | 45,334 | |||||||||||||||
Transfer agent fees and expenses | 273 | 273 | 236 | 248 | |||||||||||||||
Trustees' fees and expenses | 116 | 673 | 388 | 278 | |||||||||||||||
Other accrued expenses | 46,265 | 72,618 | 58,340 | 51,318 | |||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | |||||||||||||||
Due to custodian | — | — | — | — | |||||||||||||||
Due to custodian for foreign cash | — | — | — | — | |||||||||||||||
Due to broker | — | — | — | — | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | |||||||||||||||
Swap premiums received | — | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | |||||||||||||||
Total liabilities | 488,946 | 533,363 | 500,344 | 676,343 | |||||||||||||||
NET ASSETS | $ | 161,130,288 | $ | 462,866,905 | $ | 295,069,366 | $ | 215,806,965 | |||||||||||
* Cost | |||||||||||||||||||
Investments (unaffiliated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Investments (affiliated) | $ | 162,230,300 | $ | 459,099,792 | $ | 293,596,717 | $ | 215,690,172 | |||||||||||
Foreign cash | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
309
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2019
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||
Capital paid-in | $ | 157,168,719 | $ | 445,463,263 | $ | 287,198,962 | $ | 213,807,937 | |||||||||||
Total accumulated earnings (loss) | 3,961,569 | 17,403,642 | 7,870,404 | 1,999,028 | |||||||||||||||
NET ASSETS | $ | 161,130,288 | $ | 462,866,905 | $ | 295,069,366 | $ | 215,806,965 | |||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||
Net assets | $ | 149,911 | $ | 374,009 | $ | 212,951 | $ | 114,205 | |||||||||||
Shares of beneficial interest issued and outstanding | 11,304 | 37,129 | 20,881 | 11,822 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.26 | $ | 10.07 | $ | 10.20 | $ | 9.66 | |||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||
Net assets | $ | — | $ | — | $ | — | $ | — | |||||||||||
Shares of beneficial interest issued and outstanding | — | — | — | — | |||||||||||||||
Net asset value, offering and redemption price per share | $ | — | $ | — | $ | — | $ | — | |||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||
Net assets | $ | 160,980,377 | $ | 462,492,896 | $ | 294,856,415 | $ | 215,692,760 | |||||||||||
Shares of beneficial interest issued and outstanding | 12,160,802 | 45,906,299 | 28,921,091 | 22,326,022 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.24 | $ | 10.07 | $ | 10.20 | $ | 9.66 |
See Notes to Financial Statements
310
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
For the Year Ended March 31, 2019
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) | $ | 421,838 | $ | 554,007 | $ | 205,026 | $ | 86,087 | $ | 2,792,882 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 486,760 | 1,225,097 | 1,411,226 | 1,418,779 | 1,015,285 | ||||||||||||||||||
Total investment income* | 908,598 | 1,779,104 | 1,616,252 | 1,504,866 | 3,808,167 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 451,708 | 714,266 | 465,077 | 361,697 | 1,346,735 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 27,744 | 61,374 | 47,073 | 38,568 | 79,396 | ||||||||||||||||||
Class 3 | 56,624 | 84,609 | 44,402 | 39,934 | 225,729 | ||||||||||||||||||
Transfer agent fees and expenses | 582 | 582 | 582 | 728 | 3,015 | ||||||||||||||||||
Custodian and accounting fees | 94,162 | 108,538 | 86,693 | 86,738 | 157,216 | ||||||||||||||||||
Reports to shareholders | 5,637 | 9,281 | 6,317 | 5,152 | 20,216 | ||||||||||||||||||
Audit and tax fees | 59,449 | 59,449 | 56,331 | 56,331 | 80,989 | ||||||||||||||||||
Legal fees | 14,644 | 13,303 | 14,120 | 13,030 | 22,521 | ||||||||||||||||||
Trustees' fees and expenses | 1,141 | 1,962 | 1,299 | 1,047 | 3,722 | ||||||||||||||||||
Interest expense | 348 | 528 | 1,908 | 814 | — | ||||||||||||||||||
Other expenses | 24,328 | 24,792 | 16,458 | 16,313 | 26,655 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 736,367 | 1,078,684 | 740,260 | 620,352 | 1,966,194 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (18,649 | ) | (23,115 | ) | (15,738 | ) | (8,587 | ) | (191,029 | ) | |||||||||||||
Fees paid indirectly (Note 5) | (1,250 | ) | (1,781 | ) | (361 | ) | (160 | ) | (714 | ) | |||||||||||||
Net expenses | 716,468 | 1,053,788 | 724,161 | 611,605 | 1,774,451 | ||||||||||||||||||
Net investment income (loss) | 192,130 | 725,316 | 892,091 | 893,261 | 2,033,716 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 4,623,591 | 6,213,214 | 2,507,608 | 1,108,998 | 6,459,311 | ||||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (40,457 | ) | (59,779 | ) | (127,333 | ) | (170,202 | ) | (686,220 | ) | |||||||||||||
Forward contracts | 4,822 | 43,617 | 65,022 | 45,682 | (379,930 | ) | |||||||||||||||||
Swap contracts | 2,478 | 8,160 | 9,149 | 10,385 | 80,611 | ||||||||||||||||||
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 | (2,420 | ) | (6,695 | ) | (9,874 | ) | (7,760 | ) | (25,665 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 4,588,014 | 6,198,517 | 2,444,572 | 987,103 | 5,448,107 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (1,288,672 | ) | (1,868,968 | ) | 55,506 | 298,222 | (3,566,070 | ) | |||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 19,657 | 42,979 | 74,940 | 55,450 | (13,652 | ) | |||||||||||||||||
Forward contracts | 17,024 | 48,103 | 55,723 | 55,480 | (42,843 | ) | |||||||||||||||||
Swap contracts | (11,325 | ) | (29,398 | ) | (34,196 | ) | (31,903 | ) | (45,247 | ) | |||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | 2 | (48 | ) | (245 | ) | (49 | ) | (2,309 | ) | ||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | 2,096 | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (1,263,314 | ) | (1,807,332 | ) | 151,728 | 377,200 | (3,668,025 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 3,324,700 | 4,391,185 | 2,596,300 | 1,364,303 | 1,780,082 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,516,830 | $ | 5,116,501 | $ | 3,488,391 | $ | 2,257,564 | $ | 3,813,798 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 650 | $ | 1,721 | $ | 1,937 | $ | 1,937 | $ | 93,278 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | 7,220 |
See Notes to Financial Statements
311
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2019
SA T. Rowe Price Growth Stock Portfolio | SA Multi- Managed Large Cap Growth Portfolio | SA Multi- Managed Large Cap Value Portfolio | SA Multi- Managed Mid Cap Growth Portfolio | SA Multi- Managed Mid Cap Value Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 3,611,998 | $ | 5,880,511 | $ | 20,763,964 | $ | 1,864,182 | $ | 4,763,666 | |||||||||||||
Dividends (affiliated) | — | — | 26,538 | — | — | ||||||||||||||||||
Interest (unaffiliated) | 69,068 | 66,893 | 102,659 | 53,968 | 149,794 | ||||||||||||||||||
Total investment income* | 3,681,066 | 5,947,404 | 20,893,161 | 1,918,150 | 4,913,460 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 3,371,968 | 3,807,841 | 5,760,580 | 1,870,396 | 2,063,412 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 63,371 | 49,951 | 38,481 | 33,904 | 35,514 | ||||||||||||||||||
Class 3 | 86,643 | 45,142 | 34,507 | 36,740 | 37,972 | ||||||||||||||||||
Transfer agent fees and expenses | 2,766 | 1,747 | 1,601 | 2,184 | 2,184 | ||||||||||||||||||
Custodian and accounting fees | 67,250 | 81,725 | 119,359 | 57,928 | 70,141 | ||||||||||||||||||
Reports to shareholders | 45,435 | 57,062 | 82,469 | 24,962 | 27,801 | ||||||||||||||||||
Audit and tax fees | 39,143 | 41,133 | 40,695 | 41,201 | 41,934 | ||||||||||||||||||
Legal fees | 11,096 | 25,175 | 26,377 | 9,350 | 16,478 | ||||||||||||||||||
Trustees' fees and expenses | 9,781 | 12,087 | 18,446 | 5,292 | 5,779 | ||||||||||||||||||
Interest expense | — | 1,025 | 1,323 | 385 | 12 | ||||||||||||||||||
Other expenses | 16,463 | 27,688 | 32,639 | 58,131 | 58,960 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 3,713,916 | 4,150,576 | 6,156,477 | 2,140,473 | 2,360,187 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | (248,932 | ) | — | — | — | |||||||||||||||||
Fees paid indirectly (Note 5) | — | (2,617 | ) | (244 | ) | (279 | ) | — | |||||||||||||||
Net expenses | 3,713,916 | 3,899,027 | 6,156,233 | 2,140,194 | 2,360,187 | ||||||||||||||||||
Net investment income (loss) | (32,850 | ) | 2,048,377 | 14,736,928 | (222,044 | ) | 2,553,273 | ||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 33,908,381 | 58,582,628 | 39,442,346 | 22,784,033 | 11,814,560 | ||||||||||||||||||
Investments (affiliated) | — | — | 1,773 | — | — | ||||||||||||||||||
Futures contracts | — | 36,140 | (23,760 | ) | (14,369 | ) | (28,738 | ) | |||||||||||||||
Forward contracts | — | — | 1,820,571 | — | — | ||||||||||||||||||
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 | 164 | — | (5,569 | ) | 223 | (1,828 | ) | ||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 33,908,545 | 58,618,768 | 41,235,361 | 22,769,887 | 11,783,994 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 6,819,112 | (9,381,464 | ) | (24,015,153 | ) | 4,357,389 | (10,413,841 | ) | |||||||||||||||
Investments (affiliated) | — | — | (244,417 | ) | — | — | |||||||||||||||||
Futures contracts | — | 112,900 | 34,850 | 14,139 | 28,279 | ||||||||||||||||||
Forward contracts | — | — | 138,113 | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | — | — | (948 | ) | (60 | ) | (1,111 | ) | |||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 6,819,112 | (9,268,564 | ) | (24,087,555 | ) | 4,371,468 | (10,386,673 | ) | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 40,727,657 | 49,350,204 | 17,147,806 | 27,141,355 | 1,397,321 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 40,694,807 | $ | 51,398,581 | $ | 31,884,734 | $ | 26,919,311 | $ | 3,950,594 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 8,788 | $ | 1,627 | $ | 211,289 | $ | 4,585 | $ | 22,323 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
312
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2019
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 Value Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 3,074,821 | $ | 15,931,044 | $ | 3,282 | $ | 23,288 | $ | 11,379,803 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 56,395 | 17,619 | 33,481,520 | 13,696,004 | 19,830 | ||||||||||||||||||
Total investment income* | 3,131,216 | 15,948,663 | 33,484,802 | 13,719,292 | 11,399,633 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 2,376,069 | 4,514,377 | 6,273,184 | 4,327,681 | 3,069,145 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 25,295 | 29,096 | 31,997 | — | 21,086 | ||||||||||||||||||
Class 3 | 29,269 | 37,495 | 33,974 | 982,436 | 24,552 | ||||||||||||||||||
Transfer agent fees and expenses | 1,601 | 2,038 | 1,892 | 2,425 | 1,139 | ||||||||||||||||||
Custodian and accounting fees | 91,870 | 278,861 | 255,859 | 230,035 | 53,015 | ||||||||||||||||||
Reports to shareholders | 31,727 | 46,789 | 110,201 | 85,944 | 35,516 | ||||||||||||||||||
Audit and tax fees | 43,309 | 114,421 | 59,767 | 57,373 | 37,873 | ||||||||||||||||||
Legal fees | 9,274 | 22,342 | 20,567 | 50,880 | 17,992 | ||||||||||||||||||
Trustees' fees and expenses | 6,699 | 12,102 | 23,731 | 18,102 | 7,499 | ||||||||||||||||||
Interest expense | 440 | 5,148 | 68 | 1,795 | — | ||||||||||||||||||
Other expenses | 34,990 | 42,116 | 22,745 | 17,830 | 16,959 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 2,650,543 | 5,104,785 | 6,833,985 | 5,774,501 | 3,284,776 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (157 | ) | (195,682 | ) | — | (370,698 | ) | (992,748 | ) | ||||||||||||||
Fees paid indirectly (Note 5) | (7,835 | ) | — | — | — | (4,599 | ) | ||||||||||||||||
Net expenses | 2,642,551 | 4,909,103 | 6,833,985 | 5,403,803 | 2,287,429 | ||||||||||||||||||
Net investment income (loss) | 488,665 | 11,039,560 | 26,650,817 | 8,315,489 | 9,112,204 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 19,396,133 | 30,791,393 | (3,322,317 | ) | (3,287,070 | ) | 10,460,732 | ||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (505,634 | ) | (173,720 | ) | (789,382 | ) | (848,759 | ) | — | ||||||||||||||
Forward contracts | — | — | 374,497 | 33,946,041 | — | ||||||||||||||||||
Swap contracts | — | — | (905,586 | ) | 49,610 | — | |||||||||||||||||
Written options contracts | — | — | (397,569 | ) | — | — | |||||||||||||||||
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | (106,011 | ) | (31,474 | ) | (3,928,404 | ) | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 18,890,499 | 30,511,662 | (5,071,831 | ) | 25,931,418 | 10,460,732 | |||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (21,156,501 | ) | (62,372,668 | ) | 16,144,792 | (18,448,988 | ) | (14,059,997 | ) | ||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 91,554 | 68,765 | (391,321 | ) | (262,106 | ) | — | ||||||||||||||||
Forward contracts | — | — | 18,472 | 315,765 | — | ||||||||||||||||||
Swap contracts | — | — | (33,022 | ) | 50,130 | — | |||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | — | (74,082 | ) | 935 | 1,047 | — | |||||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (21,064,947 | ) | (62,377,985 | ) | 15,739,856 | (18,344,152 | ) | (14,059,997 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (2,174,448 | ) | (31,866,323 | ) | 10,668,025 | 7,587,266 | (3,599,265 | ) | |||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,685,783 | ) | $ | (20,826,763 | ) | $ | 37,318,842 | $ | 15,902,755 | $ | 5,512,939 | |||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 3,904 | $ | 1,547,177 | $ | 24,423 | $ | 896 | $ | — | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
313
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2019
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividends (unaffiliated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Dividends (affiliated) | 2,726,834 | 9,737,365 | 6,506,493 | 5,229,759 | |||||||||||||||
Interest (unaffiliated) | — | — | — | — | |||||||||||||||
Total investment income* | 2,726,834 | 9,737,365 | 6,506,493 | 5,229,759 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory and management fees | 140,039 | 478,935 | 300,896 | 218,405 | |||||||||||||||
Service Fees: | |||||||||||||||||||
Class 2 | — | — | — | — | |||||||||||||||
Class 3 | 349,600 | 1,196,854 | 751,909 | 545,738 | |||||||||||||||
Transfer agent fees and expenses | 1,061 | 1,053 | 890 | 924 | |||||||||||||||
Custodian and accounting fees | 15,375 | 15,375 | 15,375 | 15,375 | |||||||||||||||
Reports to shareholders | 18,552 | 54,118 | 34,411 | 25,124 | |||||||||||||||
Audit and tax fees | 27,801 | 27,801 | 27,801 | 27,964 | |||||||||||||||
Legal fees | 8,593 | 11,542 | 9,738 | 9,056 | |||||||||||||||
Trustees' fees and expenses | 3,212 | 11,604 | 7,215 | 5,174 | |||||||||||||||
Interest expense | — | — | — | — | |||||||||||||||
Other expenses | 10,804 | 11,969 | 11,112 | 10,819 | |||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 575,037 | 1,809,251 | 1,159,347 | 858,579 | |||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (14,004 | ) | (47,893 | ) | (30,090 | ) | (21,841 | ) | |||||||||||
Fees paid indirectly (Note 5) | — | — | — | — | |||||||||||||||
Net expenses | 561,033 | 1,761,358 | 1,129,257 | 836,738 | |||||||||||||||
Net investment income (loss) | 2,165,801 | 7,976,007 | 5,377,236 | 4,393,021 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investments (unaffiliated)** | — | — | — | — | |||||||||||||||
Investments (affiliated) | 1,173,940 | 5,150,523 | 1,782,084 | 470,487 | |||||||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Forward contracts | — | — | — | — | |||||||||||||||
Swap contracts | — | — | — | — | |||||||||||||||
Written options contracts | — | — | — | — | |||||||||||||||
Net realized gain (loss) from capital gain distributions received from underlying funds (affiliated) | 7,655,650 | 20,660,338 | 11,551,986 | 6,155,186 | |||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 8,829,590 | 25,810,861 | 13,334,070 | 6,625,673 | |||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investments (unaffiliated) | — | — | — | — | |||||||||||||||
Investments (affiliated) | (5,312,230 | ) | (15,211,589 | ) | (6,253,407 | ) | (2,507,575 | ) | |||||||||||
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 | (5,312,230 | ) | (15,211,589 | ) | (6,253,407 | ) | (2,507,575 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 3,517,360 | 10,599,272 | 7,080,663 | 4,118,098 | |||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,683,161 | $ | 18,575,279 | $ | 12,457,899 | $ | 8,511,119 | |||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | — | $ | — | $ | — | $ | — | |||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
314
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
SA Multi-Managed Growth | SA Multi-Managed Moderate Growth | SA Multi-Managed Income/Equity | |||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 192,130 | $ | 133,727 | $ | 725,316 | $ | 599,022 | $ | 892,091 | $ | 784,473 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 4,588,014 | 4,812,386 | 6,198,517 | 6,111,595 | 2,444,572 | 2,951,352 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (1,263,314 | ) | 930,509 | (1,807,332 | ) | 1,206,342 | 151,728 | 334,424 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,516,830 | 5,876,622 | 5,116,501 | 7,916,959 | 3,488,391 | 4,070,249 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (956,510 | ) | (725,977 | ) | (754,889 | ) | (564,015 | ) | (546,115 | ) | (394,819 | ) | |||||||||||||||
Distributable earnings — Class 2 | (1,799,882 | ) | (1,419,038 | ) | (3,243,043 | ) | (2,444,099 | ) | (1,976,441 | ) | (1,517,947 | ) | |||||||||||||||
Distributable earnings — Class 3 | (2,159,048 | ) | (1,778,378 | ) | (2,588,998 | ) | (2,082,701 | ) | (1,102,882 | ) | (843,370 | ) | |||||||||||||||
Total distributions to shareholders | (4,915,440 | ) | (3,923,393 | ) | (6,586,930 | ) | (5,090,815 | ) | (3,625,438 | ) | (2,756,136 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (2,446,803 | ) | (4,599,313 | ) | (5,727,302 | ) | (5,230,490 | ) | (5,072,504 | ) | (5,244,909 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (3,845,413 | ) | (2,646,084 | ) | (7,197,731 | ) | (2,404,346 | ) | (5,209,551 | ) | (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 | $ | 49,137,092 | $ | 52,982,505 | $ | 80,748,133 | $ | 87,945,864 | $ | 55,427,556 | $ | 60,637,107 | |||||||||||||||
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||||||||||||||||||||||||||
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 | ) |
See Notes to Financial Statements
315
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Income | SA Putnam Asset Allocation Diversified Growth | SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 893,261 | $ | 812,753 | $ | 2,033,716 | $ | 1,775,201 | $ | (32,850 | ) | $ | (80,380 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 987,103 | 1,473,531 | 5,448,107 | 7,116,053 | 33,908,545 | 95,939,674 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 377,200 | (276,015 | ) | (3,668,025 | ) | 6,152,167 | 6,819,112 | 3,383,815 | |||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,257,564 | 2,010,269 | 3,813,798 | 15,043,421 | 40,694,807 | 99,243,109 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (262,717 | ) | (217,946 | ) | (837,278 | ) | (1,403,958 | ) | (77,540,085 | ) | (42,229,712 | ) | |||||||||||||||
Distributable earnings — Class 2 | (1,232,788 | ) | (1,039,071 | ) | (2,792,694 | ) | (5,025,373 | ) | (9,974,040 | ) | (5,508,566 | ) | |||||||||||||||
Distributable earnings — Class 3 | (747,492 | ) | (625,763 | ) | (5,032,322 | ) | (6,057,985 | ) | (8,275,256 | ) | (4,686,165 | ) | |||||||||||||||
Total distributions to shareholders | (2,242,997 | ) | (1,882,780 | ) | (8,662,294 | ) | (12,487,316 | ) | (95,789,381 | ) | (52,424,443 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (4,412,546 | ) | (3,484,613 | ) | 22,205,678 | 23,592,001 | 44,373,973 | (75,721,148 | ) | ||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (4,397,979 | ) | (3,357,124 | ) | 17,357,182 | 26,148,106 | (10,720,601 | ) | (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 | $ | 45,107,884 | $ | 49,505,863 | $ | 166,130,606 | $ | 148,773,424 | $ | 401,744,432 | $ | 412,465,033 | |||||||||||||||
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||||||||||||||||||||||||||
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 | ) |
See Notes to Financial Statements
316
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Large Cap Growth | SA Multi-Managed Large Cap Value | SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,048,377 | $ | 2,577,216 | $ | 14,736,928 | $ | 16,621,607 | $ | (222,044 | ) | $ | (144,661 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 58,618,768 | 75,998,601 | 41,235,361 | 85,051,729 | 22,769,887 | 24,378,292 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (9,268,564 | ) | 17,017,859 | (24,087,555 | ) | (40,830,939 | ) | 4,371,468 | 17,435,052 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 51,398,581 | 95,593,676 | 31,884,734 | 60,842,397 | 26,919,311 | 41,668,683 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (69,755,898 | ) | (30,133,329 | ) | (97,896,896 | ) | (81,468,326 | ) | (19,737,962 | ) | (15,475,813 | ) | |||||||||||||||
Distributable earnings — Class 2 | (5,057,440 | ) | (2,174,755 | ) | (3,390,043 | ) | (2,785,011 | ) | (2,500,958 | ) | (2,014,389 | ) | |||||||||||||||
Distributable earnings — Class 3 | (2,832,651 | ) | (1,151,687 | ) | (1,848,688 | ) | (1,494,353 | ) | (1,721,940 | ) | (1,395,287 | ) | |||||||||||||||
Total distributions to shareholders | (77,645,989 | ) | (33,459,771 | ) | (103,135,627 | ) | (85,747,690 | ) | (23,960,860 | ) | (18,885,489 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 9,843,766 | (77,101,935 | ) | (56,978,057 | ) | (133,117,091 | ) | (8,066,139 | ) | 3,278,212 | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (16,403,642 | ) | (14,968,030 | ) | (128,228,950 | ) | (158,022,384 | ) | (5,107,688 | ) | 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 | $ | 495,511,303 | $ | 511,914,945 | $ | 739,573,405 | $ | 867,802,355 | $ | 224,817,010 | $ | 229,924,698 | |||||||||||||||
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||||||||||||||||||||||||||
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 | ) |
See Notes to Financial Statements
317
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Mid Cap Value | SA Multi-Managed Small Cap | SA Multi-Managed International Equity | |||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,553,273 | $ | 2,102,967 | $ | 488,665 | $ | 484,950 | $ | 11,039,560 | $ | 11,520,950 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 11,783,994 | 16,217,038 | 18,890,499 | 20,700,892 | 30,511,662 | 38,703,941 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (10,386,673 | ) | (2,259,573 | ) | (21,064,947 | ) | 8,613,340 | (62,377,985 | ) | 55,237,293 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,950,594 | 16,060,432 | (1,685,783 | ) | 29,799,182 | (20,826,763 | ) | 105,462,184 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (15,528,212 | ) | (27,718,810 | ) | (18,466,090 | ) | (22,814,145 | ) | (11,751,350 | ) | (12,521,978 | ) | |||||||||||||||
Distributable earnings — Class 2 | (1,750,242 | ) | (3,517,831 | ) | (1,197,875 | ) | (1,662,406 | ) | (485,644 | ) | (432,780 | ) | |||||||||||||||
Distributable earnings — Class 3 | (1,110,901 | ) | (2,300,513 | ) | (847,374 | ) | (1,146,966 | ) | (358,050 | ) | (318,610 | ) | |||||||||||||||
Total distributions to shareholders | (18,389,355 | ) | (33,537,154 | ) | (20,511,339 | ) | (25,623,517 | ) | (12,595,044 | ) | (13,273,368 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (5,757,996 | ) | (15,009,851 | ) | (739,834 | ) | (16,219,792 | ) | (140,720,843 | ) | (144,836,267 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (20,196,757 | ) | (32,486,573 | ) | (22,936,956 | ) | (12,044,127 | ) | (174,142,650 | ) | (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 | $ | 232,364,031 | $ | 252,560,788 | $ | 262,403,925 | $ | 285,340,881 | $ | 441,968,028 | $ | 616,110,678 | |||||||||||||||
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||||||||||||||||||||||||||
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 | ) |
See Notes to Financial Statements
318
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Diversified Fixed Income | SA Wellington Real Return | SA Columbia Focused Value | |||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 26,650,817 | $ | 25,254,079 | $ | 8,315,489 | $ | 6,082,035 | $ | 9,112,204 | $ | 4,930,871 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | (5,071,831 | ) | 9,375,290 | 25,931,418 | (22,210,051 | ) | 10,460,732 | 19,313,183 | |||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 15,739,856 | (16,729,409 | ) | (18,344,152 | ) | 25,443,702 | (14,059,997 | ) | 15,540,404 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 37,318,842 | 17,899,960 | 15,902,755 | 9,315,686 | 5,512,939 | 39,784,458 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (28,725,661 | ) | (23,737,627 | ) | (12,751,810 | ) | (8,021,823 | ) | (38,558,899 | ) | (12,856,576 | ) | |||||||||||||||
Distributable earnings — Class 2 | (557,493 | ) | (591,671 | ) | — | — | (1,793,836 | ) | (630,672 | ) | |||||||||||||||||
Distributable earnings — Class 3 | (363,804 | ) | (333,083 | ) | (13,319,152 | ) | (9,143,842 | ) | (1,208,476 | ) | (472,932 | ) | |||||||||||||||
Total distributions to shareholders | (29,646,958 | ) | (24,662,381 | ) | (26,070,962 | ) | (17,165,665 | ) | (41,561,211 | ) | (13,960,180 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (108,871,000 | ) | (103,782,499 | ) | (42,515,857 | ) | 91,051,046 | 19,615,435 | (72,887,023 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (101,199,116 | ) | (110,544,920 | ) | (52,684,064 | ) | 83,201,067 | (16,432,837 | ) | (47,062,745 | ) | ||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 1,062,545,623 | 1,173,090,543 | 777,445,466 | 694,244,399 | 312,893,275 | 359,956,020 | |||||||||||||||||||||
End of period | $ | 961,346,507 | $ | 1,062,545,623 | $ | 724,761,402 | $ | 777,445,466 | $ | 296,460,438 | $ | 312,893,275 | |||||||||||||||
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||||||||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Net investment income — Class 1 | $ | (21,767,568 | ) | $ | (8,021,823 | ) | $ | (4,577,879 | ) | ||||||||||||||||||
Net investment income — Class 2 | (539,386 | ) | — | (212,077 | ) | ||||||||||||||||||||||
Net investment income — Class 3 | (301,448 | ) | (9,143,842 | ) | (151,261 | ) | |||||||||||||||||||||
Net realized gain on investments — Class 1 | (1,970,059 | ) | — | (8,278,697 | ) | ||||||||||||||||||||||
Net realized gain on investments — Class 2 | (52,285 | ) | — | (418,595 | ) | ||||||||||||||||||||||
Net realized gain on investments — Class 3 | (31,635 | ) | — | (321,671 | ) | ||||||||||||||||||||||
Total distributions to shareholders | $ | (24,662,381 | ) | $ | (17,165,665 | ) | $ | (13,960,180 | ) |
See Notes to Financial Statements
319
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Growth | SA Allocation Moderate Growth | ||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 2,165,801 | $ | 1,227,484 | $ | 7,976,007 | $ | 6,724,368 | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 8,829,590 | 11,374,415 | 25,810,861 | 55,777,279 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (5,312,230 | ) | (1,673,483 | ) | (15,211,589 | ) | (15,508,839 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 5,683,161 | 10,928,416 | 18,575,279 | 46,992,808 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||
Distributable earnings — Class 1 | (28,926 | ) | (3,877 | ) | (24,207 | ) | (5,638 | ) | |||||||||||
Distributable earnings — Class 2 | — | — | — | — | |||||||||||||||
Distributable earnings — Class 3 | (15,620,036 | ) | (3,685,544 | ) | (74,578,805 | ) | (23,876,248 | ) | |||||||||||
Total distributions to shareholders | (15,648,962 | ) | (3,689,421 | ) | (74,603,012 | ) | (23,881,886 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 49,657,673 | 20,843,164 | 11,134,217 | (31,459,406 | ) | ||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 39,691,872 | 28,082,159 | (44,893,516 | ) | (8,348,484 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 121,438,416 | 93,356,257 | 507,760,421 | 516,108,905 | |||||||||||||||
End of period | $ | 161,130,288 | $ | 121,438,416 | $ | 462,866,905 | $ | 507,760,421 |
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||
DISTRIBUTIONS TO SHAREHOLDERS FROM: |
Net investment income — Class 1 | $ | (1,246 | ) | $ | (1,817 | ) | |||||||||||||
Net investment income — Class 2 | — | — | |||||||||||||||||
Net investment income — Class 3 | (1,106,919 | ) | (7,249,386 | ) | |||||||||||||||
Net realized gain on investments — Class 1 | (2,631 | ) | (3,821 | ) | |||||||||||||||
Net realized gain on investments — Class 2 | — | — | |||||||||||||||||
Net realized gain on investments — Class 3 | (2,578,625 | ) | (16,626,862 | ) | |||||||||||||||
Total distributions to shareholders | $ | (3,689,421 | ) | $ | (23,881,886 | ) |
See Notes to Financial Statements
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SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Moderate | SA Allocation Balanced | ||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 5,377,236 | $ | 4,380,481 | $ | 4,393,021 | $ | 3,631,509 | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 13,334,070 | 31,904,359 | 6,625,673 | 17,835,679 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (6,253,407 | ) | (10,880,670 | ) | (2,507,575 | ) | (7,073,919 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 12,457,899 | 25,404,170 | 8,511,119 | 14,393,269 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM(1): | |||||||||||||||||||
Distributable earnings — Class 1 | (17,134 | ) | (4,167 | ) | (15,311 | ) | (5,437 | ) | |||||||||||
Distributable earnings — Class 2 | — | — | — | — | |||||||||||||||
Distributable earnings — Class 3 | (42,807,399 | ) | (11,619,170 | ) | (28,786,501 | ) | (11,458,102 | ) | |||||||||||
Total distributions to shareholders | (42,824,533 | ) | (11,623,337 | ) | (28,801,812 | ) | (11,463,539 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 11,028,703 | (23,480,398 | ) | 10,239,339 | (17,990,794 | ) | |||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (19,337,931 | ) | (9,699,565 | ) | (10,051,354 | ) | (15,061,064 | ) | |||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 314,407,297 | 324,106,862 | 225,858,319 | 240,919,383 | |||||||||||||||
End of period | $ | 295,069,366 | $ | 314,407,297 | $ | 215,806,965 | $ | 225,858,319 |
(1) The prior year amounts have been restated to reflect the adoption of amendments to Rule 6-09.3 of Regulation S-X. Below are the amounts as stated in the March 31, 2018 annual report. | |||
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 | ) |
See Notes to Financial Statements
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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 19 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. Thirteen 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.
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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 Value Portfolio seeks long-term growth of capital by investing in equity securities selected on the basis of value criteria. The Portfolio invests primarily in common stock of large-cap companies.
Seasons Managed Allocation Portfolios
The SA Allocation Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 70% of its net assets in equity portfolios.
The SA Allocation Moderate Growth Portfolio seeks long-term capital appreciation by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 30% and no more than 90% of its net assets in equity portfolios and at least 10% and no more than 70% of its net assets in fixed income portfolios.
The SA Allocation Moderate Portfolio seeks long-term capital appreciation and moderate current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests at least 20% and no more than 80% of its net assets in equity portfolios and at least 20% and no more than 80% of its net assets in fixed income portfolios.
The SA Allocation Balanced Portfolio seeks long-term capital appreciation and current income by investing among a combination of Underlying Portfolios. Under normal circumstances, the Portfolio invests no more than 70% of its net assets in equity portfolios.
Each Portfolio is diversified as such term is defined under the Investment Company Act of 1940, as amended (the "1940 Act").
Indemnifications: The Trust's organizational documents provide current and former officers and trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust. In addition, pursuant to Indemnification Agreements between the Trust and each of the current (and certain former) trustees who is not an "interested person," as defined in Section 2(a)(19) of the Act, of the Trust (collectively, the "Disinterested Trustees"), the Trust provides the
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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 March 31, 2019, 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.
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
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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 Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
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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 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.
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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 Growth, SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income and SA Multi-Managed Diversified Fixed Income Portfolios 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 March 31, 2019, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the year ended March 31, 2019. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of March 31, 2019, 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 | $ | 2,081 | $ | 2,646 | $ | 2,486 | $ | 540 | $ | — | $ | — | $ | 2,406 | $ | 10,159 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 4,407 | 7,055 | 6,575 | 900 | — | — | 9,454 | 28,391 | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | 4,782 | 8,466 | 7,403 | — | �� | — | — | 11,532 | 32,183 | ||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 6,188 | 21,075 | 7,521 | — | — | — | 10,583 | 45,367 | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 50,664 | — | — | 34,961 | 13,471 | — | 23,327 | 122,423 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 10,200 | — | — | — | 10,200 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 6,400 | — | — | 149,025 | 155,425 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 1,200 | — | — | — | 1,200 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 2,400 | — | — | — | 2,400 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 6,120 | — | — | — | 6,120 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | 10,710 | — | — | — | 10,710 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 145,155 | — | 98,243 | — | — | — | 26,821 | 270,219 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 139,273 | — | — | — | — | — | 2,382,305 | 2,521,578 |
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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 | $ | 3,148 | $ | 4,985 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 8,133 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 7,211 | 12,271 | — | — | — | — | 20 | 19,502 | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | 10,648 | 13,921 | — | — | — | — | 21 | 24,590 | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 7,781 | 12,642 | — | — | — | — | 14 | 20,437 | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 20,093 | — | — | 14,280 | 12,547 | — | 43,858 | 90,778 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | — | — | — | 1,947 | 1,947 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 53,938 | 61,809 | — | — | — | — | 165 | 115,912 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 34,891 | — | — | — | — | — | 28,840 | 63,731 |
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 | $ | 9,633 | |||||
SA Multi-Managed Moderate Growth Portfolio | 35,483 | ||||||
SA Multi-Managed Income/Equity Portfolio | 56,976 | ||||||
SA Multi-Managed Income Portfolio | 17,075 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (212,608 | ) | |||||
SA Multi-Managed Large Cap Growth Portfolio | 27,280 | ||||||
SA Multi-Managed Large Cap Value Portfolio | (2,670 | ) | |||||
SA Multi-Managed Mid Cap Growth Portfolio | 1,696 | ||||||
SA Multi-Managed Mid Cap Value Portfolio | 3,392 |
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Portfolio | Cumulative Appreciation (Depreciation) | ||||||
SA Multi-Managed Small Cap Portfolio | $ | 4,407 | |||||
SA Multi-Managed International Equity Portfolio | 14,344 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | (708,750 | ) | |||||
SA Wellington Real Return Portfolio | (1,276,189 | ) |
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 | $ | (40,491 | ) | $ | 2,478 | $ | — | $ | 34 | $ | — | $ | — | $ | — | $ | 4,822 | $ | — | $ | (33,157 | ) | |||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | (95,655 | ) | 8,160 | — | 35,876 | — | — | — | 43,617 | — | (8,002 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | (127,333 | ) | 9,149 | — | — | — | — | — | 65,022 | — | (53,162 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | (170,202 | ) | 10,385 | — | — | — | — | — | 45,682 | — | (114,135 | ) | |||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 25,044 | — | — | (711,264 | ) | 80,611 | — | — | (379,930 | ) | — | (985,539 | ) | ||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 36,140 | — | — | — | — | — | 36,140 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | (23,760 | ) | — | — | — | 1,820,571 | — | 1,796,811 | ||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | (14,369 | ) | — | — | — | — | — | (14,369 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | (28,738 | ) | — | — | — | — | — | (28,738 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | (505,634 | ) | — | — | — | — | — | (505,634 | ) | |||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | — | — | — | (173,720 | ) | — | — | — | — | — | (173,720 | ) |
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Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(1) | Swap Contracts(2) | Options* | Futures Contracts(1) | Swap Contracts(2) | Options* | Swap Contracts(2) | Foreign Exchange Contracts(3) | Options* | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | $ | (789,382 | ) | $ | (878,297 | ) | $ | (285,894 | ) | $ | — | $ | — | $ | — | $ | (27,289 | ) | $ | 374,497 | $ | — | $ | (1,606,365 | ) | ||||||||||||||||||
SA Wellington Real Return Portfolio | (848,759 | ) | 49,610 | — | — | — | — | — | 33,946,041 | — | 33,146,892 | ||||||||||||||||||||||||||||||||
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 | $ | 15,875 | $ | (11,325 | ) | $ | (7,369 | ) | $ | 3,782 | $ | — | $ | — | $ | — | $ | 17,024 | $ | — | $ | 17,987 | |||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 45,319 | (29,398 | ) | (19,410 | ) | (2,340 | ) | — | — | — | 48,103 | — | 42,274 | ||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 74,940 | (34,196 | ) | (21,648 | ) | — | — | — | — | 55,723 | — | 74,819 | |||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 55,450 | (31,903 | ) | (21,928 | ) | — | — | — | — | 55,480 | — | 57,099 | |||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (180,742 | ) | (218,128 | ) | — | 167,090 | 172,881 | — | — | (42,843 | ) | — | (101,742 | ) | |||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | — | — | — | 112,900 | — | — | — | — | — | 112,900 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 34,850 | — | — | — | 138,113 | — | 172,963 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | — | — | — | 14,139 | — | — | — | — | — | 14,139 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | — | — | — | 28,279 | — | — | — | — | — | 28,279 | |||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | — | — | — | 91,554 | — | — | — | — | — | 91,554 |
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Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||||||||||||||||||||||
Interest Rate Contracts | Equity Contracts | Credit Contracts | Foreign Exchange Contracts | ||||||||||||||||||||||||||||||||||||||||
Portfolio | Futures Contracts(4) | Swap Contracts(5) | Options* | Futures Contracts(4) | Swap Contracts(5) | Options* | Swap Contracts(5) | Foreign Exchange Contracts(6) | Options* | Total | |||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | $ | — | $ | — | $ | — | $ | 68,765 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 68,765 | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | (391,321 | ) | (40,850 | ) | (76,619 | ) | — | — | — | 7,828 | 18,472 | — | (482,490 | ) | |||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | (262,106 | ) | 50,130 | — | — | — | — | — | 315,765 | — | 103,789 |
* 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 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (7,369 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | — | — | — | — | — | — | (19,410 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | — | — | — | — | — | — | (21,648 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | — | — | — | — | — | — | (21,928 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||
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 | — | — | — | — | — | — | — | — | — | — | — | — |
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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 | 111,675 | (397,569 | ) | — | — | — | — | (76,619 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||
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 year ended March 31, 2019.
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 | $ | 4,521,221 | $ | 283,788 | $ | 784 | $ | 272,250 | $ | — | $ | — | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 9,501,512 | 1,129,133 | 2,059 | 704,250 | — | — | |||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 11,364,818 | 1,375,901 | 2,284 | 822,083 | — | — | |||||||||||||||||||||
SA Multi-Managed Income Portfolio | 12,472,878 | 1,251,529 | 2,309 | 837,917 | — | — | |||||||||||||||||||||
SA Putnam Asset Allocation: Diversified Growth Portfolio | 44,787,952 | 7,225,010 | — | — | — | 14,263,836 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 1,656,217 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 1,092,633 | 20,349,116 | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 380,773 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 761,547 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 3,540,256 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 2,837,862 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 109,771,167 | 3,496,995 | 358,441 | 31,648,858 | 1,412,917 | — | |||||||||||||||||||||
SA Wellington Real Return Portfolio | 81,864,612 | 320,366,866 | — | 3,211,955 | — | — |
(1) Amounts represent notional amounts in US dollars.
(2) Amounts represent values in US dollars.
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The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of March 31, 2019. The repurchase agreements held by the Portfolios as of March 31, 2019, 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 | $ | 2,406 | $ | — | $ | — | $ | 2,406 | $ | — | $ | — | $ | — | $ | — | $ | 2,406 | $ | — | $ | 2,406 | |||||||||||||||||||||||||
Goldman Sachs International | — | — | 2,486 | 2,486 | — | — | — | — | 2,486 | — | 2,486 | ||||||||||||||||||||||||||||||||||||
Total | $ | 2,406 | $ | — | $ | 2,486 | $ | 4,892 | $ | — | $ | — | $ | — | $ | — | $ | 4,892 | $ | — | $ | 4,892 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 20 | $ | — | $ | — | $ | 20 | $ | (20 | ) | $ | — | $ | (20 | ) | |||||||||||||||||||||||
Goldman Sachs International | — | — | 6,575 | 6,575 | — | — | — | — | 6,575 | — | 6,575 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 9,454 | — | — | 9,454 | — | — | — | — | 9,454 | — | 9,454 | ||||||||||||||||||||||||||||||||||||
Total | $ | 9,454 | $ | — | $ | 6,575 | $ | 16,029 | $ | 20 | $ | — | $ | — | $ | 20 | $ | 16,009 | $ | — | $ | 16,009 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 21 | $ | — | $ | — | $ | 21 | $ | (21 | ) | $ | — | $ | (21 | ) | |||||||||||||||||||||||
Goldman Sachs International | 957 | — | 7,403 | 8,360 | — | — | — | — | 8,360 | — | 8,360 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 10,575 | — | — | 10,575 | — | — | — | — | 10,575 | — | 10,575 | ||||||||||||||||||||||||||||||||||||
Total | $ | 11,532 | $ | — | $ | 7,403 | $ | 18,935 | $ | 21 | $ | — | $ | — | $ | 21 | $ | 18,914 | $ | — | $ | 18,914 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 14 | $ | — | $ | — | $ | 14 | $ | (14 | ) | $ | — | $ | (14 | ) | |||||||||||||||||||||||
Goldman Sachs International | — | — | 7,521 | 7,521 | — | — | — | — | 7,521 | — | 7,521 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 10,583 | — | — | 10,583 | — | — | — | — | 10,583 | — | 10,583 | ||||||||||||||||||||||||||||||||||||
Total | $ | 10,583 | $ | — | $ | 7,521 | $ | 18,104 | $ | 14 | $ | — | $ | — | $ | 14 | $ | 18,090 | $ | — | $ | 18,090 |
(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. | $ | 8,344 | $ | — | $ | — | $ | 8,344 | $ | 20,074 | $ | — | $ | — | $ | 20,074 | $ | (11,730 | ) | $ | — | $ | (11,730 | ) | |||||||||||||||||||||||
Barclays Bank PLC | 966 | — | — | 966 | — | — | — | — | 966 | — | 966 | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | — | 13,471 | — | 13,471 | 4,674 | 12,547 | — | 17,221 | (3,750 | ) | — | (3,750 | ) | ||||||||||||||||||||||||||||||||||
HSBC Bank USA | 3,657 | — | — | 3,657 | 7,248 | — | — | 7,248 | (3,591 | ) | — | (3,591 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 5,882 | — | — | 5,882 | 11,862 | — | — | 11,862 | (5,980 | ) | — | (5,980 | ) | ||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | 275 | — | — | 275 | — | — | — | — | 275 | — | 275 | ||||||||||||||||||||||||||||||||||||
UBS AG | 4,203 | — | — | 4,203 | — | — | — | — | 4,203 | — | 4,203 | ||||||||||||||||||||||||||||||||||||
Total | $ | 23,327 | $ | 13,471 | $ | — | $ | 36,798 | $ | 43,858 | $ | 12,547 | $ | — | $ | 56,405 | $ | (19,607 | ) | $ | — | $ | (19,607 | ) |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 15,038 | $ | — | $ | — | $ | 15,038 | $ | 233 | $ | — | $ | — | $ | 233 | $ | 14,805 | $ | — | $ | 14,805 | |||||||||||||||||||||||||
Credit Suisse AG | 95,343 | — | — | 95,343 | 1,620 | — | — | 1,620 | 93,723 | — | 93,723 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | 20,496 | — | — | 20,496 | 94 | — | — | 94 | 20,402 | — | 20,402 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 18,148 | — | — | 18,148 | — | — | — | — | 18,148 | — | 18,148 | ||||||||||||||||||||||||||||||||||||
Total | $ | 149,025 | $ | — | $ | — | $ | 149,025 | $ | 1,947 | $ | — | $ | — | $ | 1,947 | $ | 147,078 | $ | — | $ | 147,078 |
(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) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 165 | $ | — | $ | — | $ | 165 | $ | (165 | ) | $ | — | $ | (165 | ) | |||||||||||||||||||||||
Goldman Sachs International | 3,711 | — | 98,243 | 101,954 | — | — | — | — | 101,954 | — | 101,954 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 23,110 | — | — | 23,110 | — | — | — | — | 23,110 | — | 23,110 | ||||||||||||||||||||||||||||||||||||
Total | $ | 26,821 | $ | — | $ | 98,243 | $ | 125,064 | $ | 165 | $ | — | $ | — | $ | 165 | $ | 124,899 | $ | — | $ | 124,899 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA Wellington Real Return Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Australia and New Zealand Banking Group | $ | 194,229 | $ | — | $ | — | $ | 194,229 | $ | — | $ | — | $ | — | $ | — | $ | 194,229 | $ | — | $ | 194,229 | |||||||||||||||||||||||||
Barclays Bank PLC | 95,920 | — | — | 95,920 | — | — | — | — | 95,920 | — | 95,920 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | 979,390 | — | — | 979,390 | — | — | — | — | 979,390 | — | 979,390 | ||||||||||||||||||||||||||||||||||||
Royal Bank of Canada | 1,088,984 | — | — | 1,088,984 | 28,840 | — | — | 28,840 | 1,060,144 | — | 1,060,144 | ||||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | 23,782 | — | — | 23,782 | — | — | — | — | 23,782 | — | 23,782 | ||||||||||||||||||||||||||||||||||||
Total | $ | 2,382,305 | $ | — | $ | — | $ | 2,382,305 | $ | 28,840 | $ | — | $ | — | $ | 28,840 | $ | 2,353,465 | $ | — | $ | 2,353,465 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3 Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
Inflation-Indexed Bonds: Certain Portfolios may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statement of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statement of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.
Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.
In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust's custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.
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As of March 29, 2019, 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 | 0.31 | % | $ | 155,000 | |||||||
SA Multi-Managed Moderate Growth | 0.46 | 230,000 | |||||||||
SA Multi-Managed Income/Equity | 0.44 | 220,000 | |||||||||
SA Multi-Managed Income | 0.17 | 85,000 | |||||||||
SA Multi-Managed Large Cap Value | 2.18 | 1,090,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 2.22 | 1,110,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 3.15 | 1,575,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated March 29, 2019, bearing interest at a rate of 2.53% per annum, with a principal amount of $50,000,000, a repurchase price of $50,010,542, and a maturity date of April 1, 2019. 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 | $ | 51,128,000 | $ | 51,105,777 |
As of March 29, 2019, 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 | 0.26 | % | $ | 65,000 | |||||||
SA Multi-Managed Moderate Growth | 0.42 | 105,000 | |||||||||
SA Multi-Managed Income/Equity | 0.42 | 105,000 | |||||||||
SA Multi-Managed Income | 0.14 | 35,000 | |||||||||
SA Multi-Managed Large Cap Value | 2.16 | 540,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 2.18 | 545,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 3.14 | 785,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated March 29, 2019, bearing interest at a rate of 2.55% per annum, with a principal amount of $25,000,000, a repurchase price of $25,005,313 and a maturity date of April 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Bonds | 3.00 | % | 05/15/2045 | $ | 24,373,000 | $ | 25,619,649 |
As of March 29, 2019, 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 | 0.27 | % | $ | 120,000 | |||||||
SA Multi-Managed Moderate Growth | 0.42 | 190,000 | |||||||||
SA Multi-Managed Income/Equity | 0.42 | 190,000 | |||||||||
SA Multi-Managed Income | 0.16 | 70,000 | |||||||||
SA Multi-Managed Large Cap Value | 2.17 | 975,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 2.19 | 985,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 3.13 | 1,410,000 |
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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated March 29, 2019, bearing interest at a rate of 2.54% per annum, with a principal amount of $45,000,000, a repurchase price of $45,009,525, and a maturity date of April 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.13 | % | 11/30/2024 | $ | 45,957,500 | $ | 45,981,398 |
As of March 29, 2019, 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 | 0.27 | % | $ | 130,000 | |||||||
SA Multi-Managed Moderate Growth | 0.42 | 205,000 | |||||||||
SA Multi-Managed Income/Equity | 0.42 | 205,000 | |||||||||
SA Multi-Managed Income | 0.16 | 75,000 | |||||||||
SA Multi-Managed Large Cap Value | 2.17 | 1,045,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 2.19 | 1,055,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 3.14 | 1,515,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated March 29, 2019, bearing interest at a rate of 2.54% per annum, with a principal amount of $48,260,000, a repurchase price of $48,270,215 and a maturity date of April 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.75 | % | 08/31/2025 | $ | 47,986,000 | $ | 49,435,686 |
As of March 29, 2019, 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 | 0.27 | % | $ | 135,000 | |||||||
SA Multi-Managed Moderate Growth | 0.43 | 215,000 | |||||||||
SA Multi-Managed Income/Equity | 0.42 | 210,000 | |||||||||
SA Multi-Managed Income | 0.15 | 75,000 | |||||||||
SA Multi-Managed Large Cap Value | 2.16 | 1,080,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 2.19 | 1,095,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 3.14 | 1,570,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated March 29, 2019, bearing interest at a rate of 2.54% per annum, with a principal amount of $50,000,000, a repurchase price of $50,010,583, and a maturity date of April 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.63 | % | 12/15/2021 | $ | 50,085,000 | $ | 51,027,706 |
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
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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: Certain Portfolios may enter into dollar rolls using "to be announced" ("TBA") mortgage-backed securities ("TBA Rolls"). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Portfolios' policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. TBA Roll transactions involve the risk that the market value of the securities held by a Portfolio may decline below the price of the securities that the Portfolio has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Portfolio's use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Portfolio's obligation to repurchase the securities. Mortgage-Backed Dollar Rolls outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, that have been authorized, but not yet issued in the market. In addition, a Portfolio may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Portfolios may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when- issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. 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
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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.
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 value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital shares activity of the respective class).
Expenses common to all Portfolios, are allocated among the Portfolios based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Portfolio as incurred on a specific identification basis.
For the Seasons Managed Allocation Portfolios, the expenses included in the accompanying financial statements reflect the expenses of the Seasons Managed Allocation Portfolios and do not include indirect expenses borne by each Underlying Portfolio in connection with its investment in the Underlying Portfolio.
Distributions received from Real Estate Investment Trust ("REIT") investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year's allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.
Dividends from net investment income and capital gain distributions, if any, are paid annually. The Portfolios record dividends and distributions to their shareholders on the ex-dividend date.
For Seasons Managed Allocation Portfolios, distributions from income from the underlying Seasons Portfolios, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying Seasons Portfolios, if any, are recorded to realized gains on the ex-dividend date.
The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.
Each Portfolio is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Portfolio also intends to distribute sufficient net investment income and net capital gains, if any, it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.
The Portfolios recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Portfolio's tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2015-2017 or expected to be taken in each Portfolio's 2018 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 2015.
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. All required changes have been made in accordance with Regulation S-X.
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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. The ASU allows for early adoption of either the entire standard or only the provisions that eliminate or modify the requirements. Management has elected to early adopt the provisions that eliminate disclosure requirements and is still evaluating the impact of applying the rest of the ASU.
Note 3. Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:
Portfolio | Assets | Management Fees | |||||||||
SA Multi-Managed Growth(1)(7)(12) | 0-$250 million | 0.89 | % | ||||||||
| >$250 million | 0.84 | % | ||||||||
| >$500 million | 0.79 | % | ||||||||
SA Multi-Managed Moderate Growth(1)(8)(12) | 0-$250 million | 0.85 | % | ||||||||
>$250 million | 0.80 | % | |||||||||
>$500 million | 0.75 | % | |||||||||
SA Multi-Managed Income/Equity(9)(12) | 0-$250 million | 0.81 | % | ||||||||
>$250 million | 0.76 | % | |||||||||
>$500 million | 0.71 | % | |||||||||
SA Multi-Managed Income(10)(12) | 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(11)(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 Value(5) | 0-$250 million | 1.00 | % | ||||||||
>$250 million | 0.95 | % | |||||||||
>$500 million | 0.90 | % | |||||||||
SA Allocation Growth(6), SA Allocation Moderate Growth(6), | |||||||||||
SA Allocation Moderate(6), SA Allocation Balanced(6) | >0 | 0.10 | % |
(1) The Adviser had 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. Effective November 19, 2018, this arrangement was terminated. For the year ended
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March 31, 2019, the amount of advisory fees waived were $91, $61, and $157 for the SA Multi-Managed Growth, SA Multi-Managed Moderate Growth, and SA Multi-Managed Small Cap Portfolios, respectively.
(2) Effective November 1, 2018, the Adviser contractually agreed, until further notice, to waive 0.15% of advisory fees for the SA Putnam Asset Allocation Diversified Growth Portfolio. Prior to November 1, 2018 the Adviser was voluntarily waiving 0.10% of advisory fees. For the year ended March 31, 2019, the amount of advisory fees waived was $191,029.
(3) The Adviser contractually agreed to waive 0.04% of advisory fees for the SA Multi-Managed International Equity Portfolio. For the year ended March 31, 2019, the amount of advisory fees waived was $195,682.
(4) The Adviser voluntarily agreed to waive 0.05% of advisory fees for the SA Wellington Real Return Portfolio. For the year ended March 31, 2019, the amount of advisory fees waived was $370,698.
(5) The Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Value Portfolio so that the advisory fee payable to SAAMCo equals 0.67% of average daily net assets. For the year ended March 31, 2019, the amount of advisory fees waived was $992,748.
(6) The Adviser contractually agreed to waive its advisory fee for the SA Allocation Growth, SA Allocation Moderate Growth, SA Allocation Moderate and SA Allocation Balanced Portfolios so that the advisory fee payable to SAAMCo equals 0.09% of average daily net assets. For the year ended March 31, 2019, the amount of advisory fees waived was $14,004, $47,893, $30,090 and $21,841, respectively.
(7) 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 year ended March 31, 2019, the amount of advisory fees waived was $18,558.
(8) 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 year ended March 31, 2019, the amount of advisory fees waived was $23,054.
(9) 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 year ended March 31, 2019, the amount of advisory fees waived was $15,738.
(10) 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 year ended March 31, 2019, the amount of advisory fees waived was $8,587.
(11) 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 year ended March 31, 2019, the amount of advisory fees waived was $248,932.
(12) Effective May 1, 2019, the Advisor has contractually agreed to waive its advisory fee for the following Portfolios: the SA Multi-Managed Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.82% on the first $250 million, 0.77% on the next $250 million and 0.72% above $500 million; the SA Multi-Managed Moderate Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.80% on the first $250 million, 0.75% on the next $250 million and 0.70% above $500 million; the SA Multi-Managed Income/Equity Portfolio so that the advisory fee payable on average daily net assets equals 0.77% on the first $250 million, 0.72% on the next $250 million and 0.67% above $500 million; the SA Multi-Managed Income Portfolio so that the advisory fee payable on average daily net assets equals 0.74% on the first $250 million, 0.69% on the next $250 million and 0.64% above $500 million; the SA Multi-Managed Large Cap Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.73% on the first $250 million, 0.67% on the next $250 million and 0.58% above $500 million.
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(1) J.P. Morgan WMC | ||||||
SA Multi-Managed Moderate Growth | Janus(1) J.P. Morgan WMC | ||||||
SA Multi-Managed Income/Equity �� | Janus(1) WMC | ||||||
SA Multi-Managed Income | Janus(1) WMC |
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Portfolio | Subadviser/Adviser | ||||||
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(1) SAAMCo | ||||||
SA Multi-Managed Large Cap Value | SAAMCo American Century Investment Management, Inc. WMC | ||||||
SA Multi-Managed Mid Cap Growth | SAAMCo T. Rowe Price WMC | ||||||
SA Multi-Managed Mid Cap Value | T. Rowe Price Massachusetts Financial Services Company SAAMCo | ||||||
SA Multi-Managed Small Cap | PNC Capital Advisors, LLC J.P. Morgan SAAMCo | ||||||
SA Multi-Managed International Equity | Schroder Investment Management T. Rowe Price SAAMCo | ||||||
SA Multi-Managed Diversified Fixed Income | PineBridge WMC | ||||||
SA Wellington Real Return | WMC | ||||||
SA Columbia Focused Value | Columbia | ||||||
SA Allocation Growth | SAAMCo | ||||||
SA Allocation Moderate Growth | SAAMCo | ||||||
SA Allocation Moderate | SAAMCo | ||||||
SA Allocation Balanced | SAAMCo |
(1) Effective May 1, 2019, Morgan Stanley Investment Management, Inc. replaced Janus as a sub-adviser to a portion of the Portfolio.
The Trust has entered into a Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a wholly-owned subsidiary of VALIC, which is an affiliate of the Adviser. Under the agreement, VRSCO provides services, which include the issuance and redemption of shares, payment of dividends between the Trust and their "institutional" shareholders and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. The Trust and certain other mutual funds advised by SAAMCo pay VRSCO on an annual basis, a fee in the aggregate amount of $150,000 for Transfer Agency Serivces provided, pursuant to the agreement, which is allocated based on shareholder accounts. For the year ended March 31, 2019, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.
Class 2 and Class 3 shares of each Portfolio are subject to Rule 12b-1 plans that provide for service fees payable at the annual rate of 0.15% and 0.25%, respectively, of the average daily net assets of Class 2 and Class 3 shares. The service fees are used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. For the year ended March 31, 2019, 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 by the subadviser 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
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foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, investments in partnerships, straddle loss deferrals, inflation securities, treatment of defaulted securities and derivative transactions.
Distributable Earnings | Tax Distributions | ||||||||||||||||||||||
For the year ended March 31, 2019 | |||||||||||||||||||||||
Portfolio | Ordinary Income | Long-term Gains/ Capital and Other Losses | Unrealized Appreciation (Depreciation)* | Ordinary Income | Long-Term Capital Gains | ||||||||||||||||||
SA Multi-Managed Growth | $ | 218,803 | $ | 4,534,989 | $ | 6,895,410 | $ | 684,520 | $ | 4,230,919 | |||||||||||||
SA Multi-Managed Moderate Growth | 818,640 | 6,076,018 | 8,752,666 | 1,309,889 | 5,277,041 | ||||||||||||||||||
SA Multi-Managed Income/Equity | 968,387 | 2,336,223 | 3,839,336 | 1,096,652 | 2,528,786 | ||||||||||||||||||
SA Multi-Managed Income | 991,869 | 903,149 | 1,724,199 | 1,069,552 | 1,173,445 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 1,949,770 | 5,845,257 | 10,007,333 | 4,314,411 | 4,347,882 | ||||||||||||||||||
SA T. Rowe Price Growth Stock | — | 33,850,374 | 111,209,316 | 4,586,404 | 91,202,977 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth | 2,049,309 | 59,263,573 | 117,327,224 | 6,483,392 | 71,162,597 | ||||||||||||||||||
SA Multi-Managed Large Cap Value | 20,758,780 | 36,374,930 | 46,889,841 | 28,590,066 | 74,545,561 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 282,502 | 22,505,613 | 55,611,162 | 6,085,192 | 17,875,668 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value | 4,173,258 | 10,516,863 | 16,057,229 | 6,810,993 | 11,578,361 | ||||||||||||||||||
SA Multi-Managed Small Cap | 489,081 | 18,804,447 | 37,719,695 | 2,650,034 | 17,861,305 | ||||||||||||||||||
SA Multi-Managed International Equity | 14,348,758 | 26,297,909 | 19,847,111 | 12,595,044 | — | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 26,569,442 | (4,039,541 | ) | 7,985,457 | 28,570,835 | 1,076,122 | |||||||||||||||||
SA Wellington Real Return | 2,372,446 | (7,643,532 | ) | (11,856,383 | ) | 26,070,962 | — | ||||||||||||||||
SA Columbia Focused Value | 1,258,559 | 4,350,560 | 52,161,354 | 12,784,517 | 28,776,694 | ||||||||||||||||||
SA Allocation Growth | — | 6,027,907 | (1,910,556 | ) | 5,690,119 | 9,958,843 | |||||||||||||||||
SA Allocation Moderate Growth | 64,468 | 15,768,923 | 1,991,377 | 22,476,266 | 52,126,746 | ||||||||||||||||||
SA Allocation Moderate | — | 8,915,944 | (769,434 | ) | 14,187,854 | 28,636,679 | |||||||||||||||||
SA Allocation Balanced | — | 4,431,170 | (2,153,714 | ) | 10,608,543 | 18,193,269 |
* Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.
Tax Distributions | |||||||||||
For the year ended March 31, 2018 | |||||||||||
Portfolio | Ordinary Income | Long-Term Capital Gains | |||||||||
SA Multi-Managed Growth | $ | 514,991 | $ | 3,408,402 | |||||||
SA Multi-Managed Moderate Growth | 1,293,194 | 3,797,621 | |||||||||
SA Multi-Managed Income/Equity | 1,519,779 | 1,236,357 | |||||||||
SA Multi-Managed Income | 1,345,161 | 537,619 | |||||||||
SA Putnam Asset Allocation Diversified Growth | 4,616,798 | 7,870,518 | |||||||||
SA T. Rowe Price Growth Stock | 195,863 | 52,228,580 | |||||||||
SA Multi-Managed Large Cap Growth | 4,607,346 | 28,852,425 | |||||||||
SA Multi-Managed Large Cap Value | 38,237,364 | 47,510,326 | |||||||||
SA Multi-Managed Mid Cap Growth | 1,199,515 | 17,685,974 | |||||||||
SA Multi-Managed Mid Cap Value | 15,227,040 | 18,310,114 | |||||||||
SA Multi-Managed Small Cap | 2,599,148 | 23,024,369 | |||||||||
SA Multi-Managed International Equity | 13,273,368 | — | |||||||||
SA Multi-Managed Diversified Fixed Income | 24,662,381 | — | |||||||||
SA Wellington Real Return | 17,165,665 | — | |||||||||
SA Columbia Focused Value | 8,866,802 | 5,093,378 | |||||||||
SA Allocation Growth | 1,132,967 | 2,556,454 | |||||||||
SA Allocation Moderate Growth | 7,365,719 | 16,516,167 | |||||||||
SA Allocation Moderate | 4,669,613 | 6,953,724 | |||||||||
SA Allocation Balanced | 3,729,541 | 7,733,998 |
348
As of March 31, 2019, 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 | 783,997 | 3,255,544 | |||||||||
SA Wellington Real Return | 3,026,356 | 4,617,176 | |||||||||
SA Columbia Focused Value | — | — | |||||||||
SA Allocation Growth | — | — | |||||||||
SA Allocation Moderate Growth | — | — | |||||||||
SA Allocation Moderate | — | — | |||||||||
SA Allocation Balanced | — | — |
The Portfolios indicated below utilized capital loss carryforwards which offset net taxable gains in the year ended March 31, 2019.
Portfolio | Capital Loss Carryforward Utilized | ||||||
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 | 968,224 | ||||||
SA Columbia Focused Value | — | ||||||
SA Allocation Growth | — | ||||||
SA Allocation Moderate Growth | — | ||||||
SA Allocation Moderate | — | ||||||
SA Allocation Balanced | — |
349
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, 2019, 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 | 32,686 | — | — | ||||||||||||
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 | 2,294,801 | (680,771 | ) | 1,689,983 | |||||||||||
SA Columbia Focused Value | — | — | — | ||||||||||||
SA Allocation Growth | 155,784 | — | — | ||||||||||||
SA Allocation Moderate Growth | 421,124 | — | — | ||||||||||||
SA Allocation Moderate | 276,105 | — | — | ||||||||||||
SA Allocation Balanced | 278,429 | — | — |
For the period ended March 31, 2019, the reclassifications arising from book/tax differences resulted in increases (decreases) that were primarily due to net investment losses, treatment of foreign currency, investments in real estate investment trusts, distributions from underlying funds, principal paydown adjustments, investments in partnerships, investments in regulated investment companies, investments in derivatives and investments in passive foreign investment companies, to the components of net assets as follows:
Portfolio | Accumulated Undistributed Net Investment Income (Loss) | Accumulated Undistributed Net Realized Gain (Loss) | Capital Paid-in | ||||||||||||
SA Multi-Managed Growth | $ | 27,828 | $ | (27,828 | ) | $ | — | ||||||||
SA Multi-Managed Moderate Growth | 91,222 | (91,222 | ) | — | |||||||||||
SA Multi-Managed Income/Equity | 68,812 | (68,812 | ) | — | |||||||||||
SA Multi-Managed Income | 91,368 | (91,368 | ) | — | |||||||||||
SA Putnam Asset Allocation Diversified Growth | 70,240 | (70,240 | ) | — | |||||||||||
SA T. Rowe Price Growth Stock | 164 | (164 | ) | — | |||||||||||
SA Multi-Managed Large Cap Growth | 932 | (1,233 | ) | 301 | |||||||||||
SA Multi-Managed Large Cap Value | 1,879,531 | (1,879,531 | ) | — | |||||||||||
SA Multi-Managed Mid Cap Growth | 222,805 | (222,805 | ) | — | |||||||||||
SA Multi-Managed Mid Cap Value | 165,305 | (165,305 | ) | — | |||||||||||
SA Multi-Managed Small Cap | 12,873 | (12,874 | ) | 1 | |||||||||||
SA Multi-Managed International Equity | 338,948 | (338,948 | ) | — | |||||||||||
SA Multi-Managed Diversified Fixed Income | (109,638 | ) | 109,638 | — | |||||||||||
SA Wellington Real Return | 28,737,260 | (28,737,260 | ) | — | |||||||||||
SA Columbia Focused Value | — | — | — | ||||||||||||
SA Allocation Growth | 914,786 | (914,786 | ) | — | |||||||||||
SA Allocation Moderate Growth | 2,551,406 | (2,551,406 | ) | — | |||||||||||
SA Allocation Moderate | 1,423,981 | (1,423,981 | ) | — | |||||||||||
SA Allocation Balanced | 793,139 | (793,139 | ) | — |
350
The amounts of aggregate unrealized gain (loss) and the cost of investment securities for Federal tax purposes, including short-term securities and repurchase agreements, were as follows:
Portfolio | Aggregate Unrealized Gain | Aggregate Unrealized Loss | Net Unrealized Gain/(Loss) | Cost of Investments | |||||||||||||||
SA Multi-Managed Growth | $ | 8,059,292 | $ | (1,163,768 | ) | $ | 6,895,524 | $ | 44,193,260 | ||||||||||
SA Multi-Managed Moderate Growth | 10,488,685 | (1,735,638 | ) | 8,753,047 | 78,091,208 | ||||||||||||||
SA Multi-Managed Income/Equity | 4,486,156 | (646,193 | ) | 3,839,963 | 57,342,016 | ||||||||||||||
SA Multi-Managed Income | 2,210,572 | (485,943 | ) | 1,724,629 | 51,706,407 | ||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 15,730,474 | (5,717,651 | ) | 10,012,823 | 156,982,749 | ||||||||||||||
SA T. Rowe Price Growth Stock | 121,260,190 | (10,050,865 | ) | 111,209,325 | 291,224,599 | ||||||||||||||
SA Multi-Managed Large Cap Growth | 122,470,525 | (5,143,289 | ) | 117,327,236 | 379,431,245 | ||||||||||||||
SA Multi-Managed Large Cap Value | 82,649,711 | (35,245,199 | ) | 47,404,512 | 685,867,293 | ||||||||||||||
SA Multi-Managed Mid Cap Growth | 64,661,997 | (9,050,768 | ) | 55,611,229 | 169,811,303 | ||||||||||||||
SA Multi-Managed Mid Cap Value | 32,131,823 | (16,074,201 | ) | 16,057,622 | 216,590,175 | ||||||||||||||
SA Multi-Managed Small Cap | 56,256,514 | (18,536,819 | ) | 37,719,695 | 223,094,940 | ||||||||||||||
SA Multi-Managed International Equity | 55,403,482 | (35,529,217 | ) | 19,874,265 | 418,441,961 | ||||||||||||||
SA Multi-Managed Diversified Fixed Income | 16,737,517 | (8,747,854 | ) | 7,989,663 | 1,062,738,772 | ||||||||||||||
SA Wellington Real Return | 7,350,271 | (19,204,764 | ) | (11,854,493 | ) | 782,409,545 | |||||||||||||
SA Columbia Focused Value | 65,284,076 | (13,122,722 | ) | 52,161,354 | 247,380,324 | ||||||||||||||
SA Allocation Growth | 1,458,952 | (3,369,508 | ) | (1,910,556 | ) | 163,127,824 | |||||||||||||
SA Allocation Moderate Growth | 9,409,558 | (7,418,181 | ) | 1,991,377 | 461,074,065 | ||||||||||||||
SA Allocation Moderate | 3,637,916 | (4,407,350 | ) | (769,434 | ) | 295,975,955 | |||||||||||||
SA Allocation Balanced | 850,802 | (3,004,516 | ) | (2,153,714 | ) | 218,068,379 |
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. All required changes have been made in accordance with the Act.
Note 5. Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the year ended March 31, 2019, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.
Note 6. Purchases and Sales of Investment Securities: The cost of purchases and proceeds from sales and maturities of long-term investments during the year ended March 31, 2019 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 | $ | 26,297,610 | $ | 34,058,964 | $ | 3,133,468 | $ | 2,840,061 | |||||||||||
SA Multi-Managed Moderate Growth | 43,116,736 | 54,396,978 | 6,303,855 | 6,459,322 | |||||||||||||||
SA Multi-Managed Income/ Equity | 25,890,370 | 35,415,480 | 8,718,614 | 7,448,442 | |||||||||||||||
SA Multi-Managed Income | 21,099,339 | 27,090,481 | 8,005,506 | 7,664,795 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 131,789,778 | 118,517,440 | 29,679,274 | 27,138,879 | |||||||||||||||
SA T. Rowe Price Growth Stock | 120,797,894 | 172,398,668 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Growth | 222,562,291 | 286,532,072 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Value | 273,661,843 | 413,040,467 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 81,483,514 | 112,089,255 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Value | 67,844,177 | 88,314,655 | — | — |
351
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 Small Cap | $ | 112,817,702 | $ | 128,048,575 | $ | — | $ | — | |||||||||||
SA Multi-Managed International Equity | 108,975,930 | 248,217,437 | — | — | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 302,844,233 | 371,302,661 | 130,406,441 | 174,367,426 | |||||||||||||||
SA Wellington Real Return | 118,953,011 | 21,735,709 | 80,682,160 | 144,600,183 | |||||||||||||||
SA Columbia Focused Value Portfolio | 48,799,732 | 57,688,070 | — | — | |||||||||||||||
SA Allocation Growth | 61,842,448 | 28,379,563 | — | — | |||||||||||||||
SA Allocation Moderate Growth | 86,010,954 | 151,255,153 | — | — | |||||||||||||||
SA Allocation Moderate | 56,293,190 | 89,223,639 | — | — | |||||||||||||||
SA Allocation Balanced | 47,188,711 | 66,519,731 | — | — |
Note 7. Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 6,228 | $ | 101,305 | 23,923 | $ | 411,195 | 25,941 | $ | 432,808 | 54,487 | $ | 933,667 | |||||||||||||||||||||||
Reinvested dividends | 62,151 | 956,510 | 42,943 | 725,977 | 116,951 | 1,799,882 | 83,966 | 1,419,038 | |||||||||||||||||||||||||||
Shares redeemed | (83,372 | ) | (1,403,935 | ) | (91,641 | ) | (1,566,155 | ) | (179,739 | ) | (3,048,048 | ) | (173,913 | ) | (3,001,214 | ) | |||||||||||||||||||
Net increase (decrease) | (14,993 | ) | $ | (346,120 | ) | (24,775 | ) | $ | (428,983 | ) | (36,847 | ) | $ | (815,358 | ) | (35,460 | ) | $ | (648,509 | ) | |||||||||||||||
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 32,945 | $ | 547,417 | 74,588 | $ | 1,280,324 | |||||||||||||||||||||||||||||
Reinvested dividends | 140,471 | 2,159,048 | 105,422 | 1,778,378 | |||||||||||||||||||||||||||||||
Shares redeemed | (233,530 | ) | (3,991,790 | ) | (382,459 | ) | (6,580,523 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (60,114 | ) | $ | (1,285,325 | ) | (202,449 | ) | $ | (3,521,821 | ) | |||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 21,759 | $ | 280,877 | 29,916 | $ | 388,833 | 51,092 | $ | 664,261 | 141,264 | $ | 1,844,423 | |||||||||||||||||||||||
Reinvested dividends | 63,489 | 754,889 | 43,819 | 564,015 | 272,983 | 3,243,043 | 190,087 | 2,444,099 | |||||||||||||||||||||||||||
Shares redeemed | (87,355 | ) | (1,100,991 | ) | (106,065 | ) | (1,385,280 | ) | (508,596 | ) | (6,467,864 | ) | (436,967 | ) | (5,673,054 | ) | |||||||||||||||||||
Net increase (decrease) | (2,107 | ) | $ | (65,225 | ) | (32,330 | ) | $ | (432,432 | ) | (184,521 | ) | $ | (2,560,560 | ) | (105,616 | ) | $ | (1,384,532 | ) |
352
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 |
| ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 144,139 | $ | 1,876,855 | 149,916 | $ | 1,942,031 | |||||||||||||||||||||||||||||
Reinvested dividends | 218,113 | 2,588,998 | 162,142 | 2,082,701 | |||||||||||||||||||||||||||||||
Shares redeemed | (589,230 | ) | (7,567,370 | ) | (571,672 | ) | (7,438,258 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (226,978 | ) | $ | (3,101,517 | ) | (259,614 | ) | $ | (3,413,526 | ) | |||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 33,216 | $ | 370,878 | 62,970 | $ | 712,626 | 187,985 | $ | 2,093,734 | 273,512 | $ | 3,092,536 | |||||||||||||||||||||||
Reinvested dividends | 51,863 | 546,115 | 35,174 | 394,819 | 187,875 | 1,976,441 | 135,354 | 1,517,947 | |||||||||||||||||||||||||||
Shares redeemed | (129,993 | ) | (1,406,747 | ) | (124,701 | ) | (1,422,532 | ) | (619,583 | ) | (6,821,283 | ) | (655,871 | ) | (7,416,972 | ) | |||||||||||||||||||
Net increase (decrease) | (44,914 | ) | $ | (489,754 | ) | (26,557 | ) | $ | (315,087 | ) | (243,723 | ) | $ | (2,751,108 | ) | (247,005 | ) | $ | (2,806,489 | ) | |||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 73,189 | $ | 824,460 | 184,334 | $ | 2,078,266 | |||||||||||||||||||||||||||||
Reinvested dividends | 104,737 | 1,102,882 | 75,151 | 843,370 | |||||||||||||||||||||||||||||||
Shares redeemed | (341,313 | ) | (3,758,984 | ) | (445,308 | ) | (5,044,969 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (163,387 | ) | $ | (1,831,642 | ) | (185,823 | ) | $ | (2,123,333 | ) | |||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 21,061 | $ | 233,708 | 28,998 | $ | 325,667 | 151,254 | $ | 1,670,173 | 192,414 | $ | 2,170,747 | |||||||||||||||||||||||
Reinvested dividends | 24,973 | 262,717 | 19,541 | 217,946 | 117,297 | 1,232,788 | 93,252 | 1,039,071 | |||||||||||||||||||||||||||
Shares redeemed | (84,120 | ) | (915,524 | ) | (100,282 | ) | (1,133,798 | ) | (478,139 | ) | (5,196,698 | ) | (469,340 | ) | (5,281,226 | ) | |||||||||||||||||||
Net increase (decrease) | (38,086 | ) | $ | (419,099 | ) | (51,743 | ) | $ | (590,185 | ) | (209,588 | ) | $ | (2,293,737 | ) | (183,674 | ) | $ | (2,071,408 | ) | |||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 113,045 | $ | 1,252,941 | 178,211 | $ | 2,006,383 | |||||||||||||||||||||||||||||
Reinvested dividends | 71,122 | 747,492 | 56,150 | 625,763 | |||||||||||||||||||||||||||||||
Shares redeemed | (339,986 | ) | (3,700,143 | ) | (306,612 | ) | (3,455,166 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (155,819 | ) | $ | (1,699,710 | ) | (72,251 | ) | $ | (823,020 | ) |
353
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 60,835 | $ | 693,406 | 66,816 | $ | 822,031 | 236,858 | $ | 2,695,080 | 212,616 | $ | 2,643,686 | |||||||||||||||||||||||
Reinvested dividends | 75,025 | 837,278 | 114,888 | 1,403,958 | 250,017 | 2,792,694 | 411,013 | 5,025,373 | |||||||||||||||||||||||||||
Shares redeemed | (164,936 | ) | (1,964,824 | ) | (228,767 | ) | (2,856,980 | ) | (728,564 | ) | (8,790,378 | ) | (879,101 | ) | (10,951,490 | ) | |||||||||||||||||||
Net increase (decrease) | (29,076 | ) | $ | (434,140 | ) | (47,063 | ) | $ | (630,991 | ) | (241,689 | ) | $ | (3,302,604 | ) | (255,472 | ) | $ | (3,282,431 | ) | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
| ||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 2,513,467 | $ | 30,082,273 | 2,674,876 | $ | 33,454,153 | |||||||||||||||||||||||||||||
Reinvested dividends | 451,734 | 5,032,322 | 496,632 | 6,057,985 | |||||||||||||||||||||||||||||||
Shares redeemed | (762,335 | ) | (9,172,173 | ) | (961,653 | ) | (12,006,715 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 2,202,866 | $ | 25,942,422 | 2,209,855 | $ | 27,505,423 | |||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 67,530 | $ | 1,623,284 | 155,378 | $ | 4,280,626 | 106,900 | $ | 2,206,889 | 36,337 | $ | 1,001,184 | |||||||||||||||||||||||
Reinvested dividends | 3,685,365 | 77,540,085 | 1,605,712 | 42,229,712 | 492,545 | 9,974,040 | 215,185 | 5,508,566 | |||||||||||||||||||||||||||
Shares redeemed | (1,477,991 | ) | (39,204,305 | ) | (3,967,927 | ) | (108,851,836 | ) | (386,486 | ) | (9,594,777 | ) | (481,656 | ) | (12,816,114 | ) | |||||||||||||||||||
Net increase (decrease) | 2,274,904 | $ | 39,959,064 | (2,206,837 | ) | $ | (62,341,498 | ) | 212,959 | $ | 2,586,152 | (230,134 | ) | $ | (6,306,364 | ) | |||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 96,150 | $ | 2,056,397 | 47,633 | $ | 1,246,833 | |||||||||||||||||||||||||||||
Reinvested dividends | 418,365 | 8,275,256 | 186,122 | 4,686,165 | |||||||||||||||||||||||||||||||
Shares redeemed | (343,951 | ) | (8,502,896 | ) | (494,727 | ) | (13,006,284 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 170,564 | $ | 1,828,757 | (260,972 | ) | $ | (7,073,286 | ) |
354
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 3,826,931 | $ | 63,606,138 | 5,656,976 | $ | 83,239,821 | 48,861 | $ | 745,961 | 89,166 | $ | 1,320,841 | |||||||||||||||||||||||
Reinvested dividends | 5,248,751 | 69,755,898 | 2,021,233 | 30,133,329 | 389,333 | 5,057,440 | 148,777 | 2,174,755 | |||||||||||||||||||||||||||
Shares redeemed | (7,964,084 | ) | (122,106,830 | ) | (12,459,273 | ) | (186,041,023 | ) | (485,244 | ) | (7,340,987 | ) | (414,853 | ) | (6,101,050 | ) | |||||||||||||||||||
Net increase (decrease) | 1,111,598 | $ | 11,255,206 | (4,781,064 | ) | $ | (72,667,873 | ) | (47,050 | ) | $ | (1,537,586 | ) | (176,910 | ) | $ | (2,605,454 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 47,960 | $ | 737,223 | 71,362 | $ | 1,025,826 | |||||||||||||||||||||||||||||
Reinvested dividends | 220,611 | 2,832,651 | 79,553 | 1,151,687 | |||||||||||||||||||||||||||||||
Shares redeemed | (231,974 | ) | (3,443,728 | ) | (276,177 | ) | (4,006,121 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 36,597 | $ | 126,146 | (125,262 | ) | $ | (1,828,608 | ) | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 498,863 | $ | 7,961,570 | 2,379,575 | $ | 41,593,430 | 27,647 | $ | 456,167 | 28,793 | $ | 500,918 | |||||||||||||||||||||||
Reinvested dividends | 6,803,120 | 97,896,896 | 4,780,858 | 81,468,326 | 235,747 | 3,390,043 | 163,557 | 2,785,011 | |||||||||||||||||||||||||||
Shares redeemed | (9,810,830 | ) | (161,893,601 | ) | (14,400,785 | ) | (253,523,230 | ) | (273,429 | ) | (4,448,967 | ) | (288,712 | ) | (5,085,722 | ) | |||||||||||||||||||
Net increase (decrease) | (2,508,847 | ) | $ | (56,035,135 | ) | (7,240,352 | ) | $ | (130,461,474 | ) | (10,035 | ) | $ | (602,757 | ) | (96,362 | ) | $ | (1,799,793 | ) | |||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 47,316 | $ | 796,818 | 51,676 | $ | 904,916 | |||||||||||||||||||||||||||||
Reinvested dividends | 128,560 | 1,848,688 | 87,760 | 1,494,353 | |||||||||||||||||||||||||||||||
Shares redeemed | (183,684 | ) | (2,985,671 | ) | (185,078 | ) | (3,255,093 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (7,808 | ) | $ | (340,165 | ) | (45,642 | ) | $ | (855,824 | ) |
355
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 499,470 | $ | 9,839,476 | 1,127,173 | $ | 20,426,328 | 36,680 | $ | 688,041 | 46,660 | $ | 824,719 | |||||||||||||||||||||||
Reinvested dividends | 1,163,109 | 19,737,962 | 847,558 | 15,475,813 | 155,146 | 2,500,958 | 115,257 | 2,014,389 | |||||||||||||||||||||||||||
Shares redeemed | (1,859,927) | (36,130,090 | ) | (1,652,651 | ) | (30,220,795 | ) | (235,919 | ) | (4,293,891 | ) | (214,888 | ) | (3,819,674 | ) | ||||||||||||||||||||
Net increase (decrease) | (197,348 | ) | $ | (6,552,652 | ) | 322,080 | $ | 5,681,346 | (44,093 | ) | $ | (1,104,892 | ) | (52,971 | ) | $ | (980,566 | ) | |||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 38,865 | $ | 702,564 | 43,879 | $ | 735,824 | |||||||||||||||||||||||||||||
Reinvested dividends | 110,028 | 1,721,940 | 81,872 | 1,395,287 | |||||||||||||||||||||||||||||||
Shares redeemed | (160,575 | ) | (2,833,099 | ) | (205,820 | ) | (3,553,679 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (11,682 | ) | $ | (408,595 | ) | (80,069 | ) | $ | (1,422,568 | ) | |||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 109,769 | $ | 1,761,192 | 1,166,991 | $ | 20,810,766 | 22,732 | $ | 342,457 | 22,107 | $ | 391,345 | |||||||||||||||||||||||
Reinvested dividends | 1,029,722 | 15,528,212 | 1,635,891 | 27,718,810 | 116,295 | 1,750,242 | 208,160 | 3,517,831 | |||||||||||||||||||||||||||
Shares redeemed | (1,241,435 | ) | (20,464,284 | ) | (3,429,926 | ) | (61,692,352 | ) | (210,065 | ) | (3,444,934 | ) | (251,164 | ) | (4,471,434 | ) | |||||||||||||||||||
Net increase (decrease) | (101,944 | ) | $ | (3,174,880 | ) | (627,044 | ) | $ | (13,162,776 | ) | (71,038 | ) | $ | (1,352,235 | ) | (20,897 | ) | $ | (562,258 | ) | |||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 49,321 | $ | 794,876 | 54,713 | $ | 966,461 | |||||||||||||||||||||||||||||
Reinvested dividends | 73,961 | 1,110,901 | 136,376 | 2,300,513 | |||||||||||||||||||||||||||||||
Shares redeemed | (191,066 | ) | (3,136,658 | ) | (255,190 | ) | (4,551,791 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (67,784 | ) | $ | (1,230,881 | ) | (64,101 | ) | $ | (1,284,817 | ) |
356
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,106,310 | $ | 16,659,926 | 339,786 | $ | 4,810,859 | 50,342 | $ | 645,222 | 44,694 | $ | 632,044 | |||||||||||||||||||||||
Reinvested dividends | 1,465,563 | 18,466,090 | 1,614,464 | 22,814,145 | 97,706 | 1,197,875 | 120,714 | 1,662,406 | |||||||||||||||||||||||||||
Shares redeemed | (2,343,519 | ) | (33,956,134 | ) | (2,986,185 | ) | (42,227,086 | ) | (208,679 | ) | (2,963,214 | ) | (251,182 | ) | (3,526,143 | ) | |||||||||||||||||||
Net increase (decrease) | 228,354 | $ | 1,169,882 | (1,031,935 | ) | $ | (14,602,082 | ) | (60,631 | ) | $ | (1,120,117 | ) | (85,774 | ) | $ | (1,231,693 | ) | |||||||||||||||||
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 67,604 | $ | 892,123 | 58,455 | $ | 803,463 | |||||||||||||||||||||||||||||
Reinvested dividends | 70,380 | 847,374 | 84,609 | 1,146,966 | |||||||||||||||||||||||||||||||
Shares redeemed | (182,843 | ) | (2,529,096 | ) | (168,765 | ) | (2,336,446 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (44,859 | ) | $ | (789,599 | ) | (25,701 | ) | $ | (386,017 | ) | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,688,091 | $ | 14,845,106 | 1,815,942 | $ | 17,002,884 | 111,832 | $ | 1,030,164 | 153,900 | $ | 1,446,242 | |||||||||||||||||||||||
Reinvested dividends | 1,407,347 | 11,751,350 | 1,303,851 | 12,521,978 | 58,022 | 485,644 | 44,973 | 432,780 | |||||||||||||||||||||||||||
Shares redeemed | (16,986,040 | ) | (163,000,447 | ) | (17,779,072 | ) | (169,940,352 | ) | (424,419 | ) | (3,942,664 | ) | (378,795 | ) | (3,608,597 | ) | |||||||||||||||||||
Net increase (decrease) | (13,890,602 | ) | $ | (136,403,991 | ) | (14,659,279 | ) | $ | (140,415,490 | ) | (254,565 | ) | $ | (2,426,856 | ) | (179,922 | ) | $ | (1,729,575 | ) | |||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 91,543 | $ | 839,706 | 124,217 | $ | 1,141,505 | |||||||||||||||||||||||||||||
Reinvested dividends | 42,880 | 358,050 | 33,209 | 318,610 | |||||||||||||||||||||||||||||||
Shares redeemed | (336,401 | ) | (3,087,752 | ) | (441,046 | ) | (4,151,317 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (201,978 | ) | $ | (1,889,996 | ) | (283,620 | ) | $ | (2,691,202 | ) |
357
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 3,139,890 | $ | 36,016,159 | 14,859,892 | $ | 173,898,970 | 63,785 | $ | 729,517 | 107,109 | $ | 1,269,079 | |||||||||||||||||||||||
Reinvested dividends | 2,578,605 | 28,725,661 | 2,031,030 | 23,737,627 | 50,044 | 557,493 | 50,662 | 591,671 | |||||||||||||||||||||||||||
Shares redeemed | (14,649,145 | ) | (166,779,276 | ) | (24,854,157 | ) | (295,973,448 | ) | (505,431 | ) | (5,768,231 | ) | (472,076 | ) | (5,575,063 | ) | |||||||||||||||||||
Net increase (decrease) | (8,930,650 | ) | $ | (102,037,456 | ) | (7,963,235 | ) | $ | (98,336,851 | ) | (391,602 | ) | $ | (4,481,221 | ) | (314,305 | ) | $ | (3,714,313 | ) | |||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 41,075 | $ | 469,692 | 203,931 | $ | 2,383,117 | |||||||||||||||||||||||||||||
Reinvested dividends | 32,805 | 363,804 | 28,653 | 333,083 | |||||||||||||||||||||||||||||||
Shares redeemed | (281,047 | ) | (3,185,819 | ) | (380,137 | ) | (4,447,535 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (207,167 | ) | $ | (2,352,323 | ) | (147,553 | ) | $ | (1,731,335 | ) | |||||||||||||||||||||||||
SA Wellington Real Return Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,157,894 | $ | 11,125,252 | 11,411,819 | $ | 111,054,532 | 5,372,170 | $ | 51,083,592 | 5,144,242 | $ | 49,729,477 | |||||||||||||||||||||||
Reinvested dividends | 1,371,162 | 12,751,810 | 831,044 | 8,021,823 | 1,439,908 | 13,319,152 | 954,267 | 9,143,842 | |||||||||||||||||||||||||||
Shares redeemed | (4,842,227 | ) | (46,449,162 | ) | (2,701,807 | ) | (26,317,213 | ) | (8,947,434 | ) | (84,346,501 | ) | (6,266,709 | ) | (60,581,415 | ) | |||||||||||||||||||
Net increase (decrease) | (2,313,171 | ) | $ | (22,572,100 | ) | 9,541,056 | $ | 92,759,142 | (2,135,356 | ) | $ | (19,943,757 | ) | (168,200 | ) | $ | (1,708,096 | ) | |||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 427,897 | $ | 8,858,772 | 138,503 | $ | 2,876,650 | 25,474 | $ | 453,231 | 30,929 | $ | 640,330 | |||||||||||||||||||||||
Reinvested dividends | 2,378,715 | 38,558,899 | 615,325 | 12,856,576 | 110,495 | 1,793,836 | 30,215 | 630,672 | |||||||||||||||||||||||||||
Shares redeemed | (1,408,948 | ) | (27,780,511 | ) | (4,367,370 | ) | (85,973,760 | ) | (101,495 | ) | (2,023,959 | ) | (111,491 | ) | (2,216,264 | ) | |||||||||||||||||||
Net increase (decrease) | 1,397,664 | $ | 19,637,160 | (3,613,542 | ) | $ | (70,240,534 | ) | 34,474 | $ | 223,108 | (50,347 | ) | $ | (945,262 | ) | |||||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 19,564 | $ | 348,238 | 20,952 | $ | 419,647 | |||||||||||||||||||||||||||||
Reinvested dividends | 74,480 | 1,208,476 | 22,709 | 472,932 | |||||||||||||||||||||||||||||||
Shares redeemed | (90,299 | ) | (1,801,547 | ) | (128,549 | ) | (2,593,806 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 3,745 | $ | (244,833 | ) | (84,888 | ) | $ | (1,701,227 | ) |
358
SA Allocation Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 7,841 | $ | 116,733 | 2,396 | $ | 35,885 | 3,667,506 | $ | 51,769,854 | 2,409,729 | $ | 34,518,413 | |||||||||||||||||||||||
Reinvested dividends | 2,458 | 28,926 | 269 | 3,877 | 1,328,234 | 15,620,036 | 256,542 | 3,685,544 | |||||||||||||||||||||||||||
Shares redeemed | (9,574 | ) | (113,209 | ) | (16 | ) | (229 | ) | (1,252,717 | ) | (17,764,667 | ) | (1,217,632 | ) | (17,400,326 | ) | |||||||||||||||||||
Net increase (decrease) | 725 | $ | 32,450 | 2,649 | $ | 39,533 | 3,743,023 | $ | 49,625,223 | 1,448,639 | $ | 20,803,631 | |||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 24,275 | $ | 233,304 | 4,082 | $ | 48,626 | 2,174,989 | $ | 24,310,642 | 2,241,194 | $ | 26,389,464 | |||||||||||||||||||||||
Reinvested dividends | 2,666 | 24,207 | 480 | 5,638 | 8,204,489 | 74,578,805 | 2,038,184 | 23,876,248 | |||||||||||||||||||||||||||
Shares redeemed | (2,362 | ) | (27,847 | ) | (1,358 | ) | (16,505 | ) | (7,793,728 | ) | (87,984,894 | ) | (6,936,893 | ) | (81,762,877 | ) | |||||||||||||||||||
Net increase (decrease) | 24,579 | $ | 229,664 | 3,204 | $ | 37,759 | 2,585,750 | $ | 10,904,553 | (2,657,515 | ) | $ | (31,497,165 | ) | |||||||||||||||||||||
SA Allocation Moderate Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 9,307 | $ | 90,000 | 1,712 | $ | 20,000 | 1,674,533 | $ | 18,516,223 | 2,029,171 | $ | 23,566,955 | |||||||||||||||||||||||
Reinvested dividends | 1,846 | 17,134 | 359 | 4,167 | 4,612,866 | 42,807,399 | 1,002,440 | 11,619,170 | |||||||||||||||||||||||||||
Shares redeemed | (7 | ) | (72 | ) | (1,711 | ) | (20,463 | ) | (4,518,169 | ) | (50,401,981 | ) | (5,063,115 | ) | (58,670,227 | ) | |||||||||||||||||||
Net increase (decrease) | 11,146 | $ | 107,062 | 360 | $ | 3,704 | 1,769,230 | $ | 10,921,641 | (2,031,504 | ) | $ | (23,484,102 | ) | |||||||||||||||||||||
SA Allocation Balanced Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2019 | For the year ended March 31, 2018 | For the year ended March 31, 2019 | For the year ended March 31, 2018 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 2,056,722 | $ | 21,522,039 | 2,624,362 | $ | 28,816,830 | |||||||||||||||||||||||
Reinvested dividends | 1,715 | 15,311 | 500 | 5,437 | 3,223,572 | 28,786,501 | 1,056,395 | 11,458,102 | |||||||||||||||||||||||||||
Shares redeemed | — | — | — | — | (3,852,341 | ) | (40,084,512 | ) | (5,306,727 | ) | (58,271,163 | ) | |||||||||||||||||||||||
Net increase (decrease) | 1,715 | $ | 15,311 | 500 | $ | 5,437 | 1,427,953 | $ | 10,224,028 | (1,625,970 | ) | $ | (17,996,231 | ) |
Note 8. Transactions with Affiliates: The following Portfolio incurred brokerage commissions with affiliated brokers for the year ended March 31, 2019:
Portfolio | Goldman Sachs & Co. | ||||||
SA Multi-Managed Large Cap Growth | $ | 5 |
359
As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust, SunAmerica Series Trust or Anchor Series Trust and securities issued by American International Group, Inc.("AIG") or an affiliate thereof. For the year ended March 31, 2019, 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 March 31, 2019 | |||||||||||||||||||||||||||
American International Group, Inc. | $ | 26,538 | $ | — | $ | 1,311,685 | $ | 1,491 | $ | 229,441 | $ | 1,773 | $ | (244,417 | ) | $ | 841,091 |
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 March 31, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 47,983 | $ | 811 | $ | 1,688,248 | $ | 950,088 | $ | 174,709 | $ | (8,764 | ) | $ | 55,504 | $ | 2,510,367 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 159,202 | 17,386 | 4,936,294 | 2,221,952 | 2,309,451 | (117,038 | ) | 124,997 | 4,856,754 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 367,829 | — | 12,402,806 | 4,049,181 | 1,493,097 | 181,489 | (1,093,084 | ) | 14,047,295 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 82,556 | 2,029,198 | 13,269,765 | 5,699,144 | 5,312,376 | 596,907 | (1,404,576 | ) | 12,848,864 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 315,774 | 1,862,697 | 14,492,594 | 6,434,486 | 2,577,669 | 182,727 | (1,708,993 | ) | 16,823,145 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 209,832 | 1,561,521 | 683,936 | 69,617 | 12,377 | 13,697 | 2,201,914 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 23,021 | 162,867 | 2,003,239 | 833,470 | 95,445 | 3,768 | (151,428 | ) | 2,593,604 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 4,123 | 154,366 | 1,879,175 | 707,954 | 180,984 | 43,587 | (226,755 | ) | 2,222,977 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 140,621 | — | 2,790,118 | 1,838,030 | 484,253 | (14,291 | ) | (38,987 | ) | 4,090,617 | |||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | 185 | 547,104 | 3,690,816 | 1,724,712 | 323,537 | 23,494 | 105,450 | 5,220,935 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 3,417 | — | 602,540 | 146,165 | 421,856 | 2,847 | 3,434 | 333,130 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 22,007 | — | — | 2,150,345 | 62,314 | (5,873 | ) | (86,287 | ) | 1,995,871 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 86,692 | 15,756 | 2,238,921 | 1,620,302 | 814,305 | (46,659 | ) | 86,869 | 3,085,128 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 243,998 | — | 3,382,129 | 6,027,605 | 1,401,703 | (35,184 | ) | 126,991 | 8,099,838 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 26,070 | — | 3,045,226 | 2,936,646 | 4,752,950 | (17,943 | ) | 41,054 | 1,252,033 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 11,675 | 161,447 | 703,410 | 746,537 | 39,865 | (4,094 | ) | (166,988 | ) | 1,239,000 |
360
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 March 31, 2019 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | $ | 95,352 | $ | 6,985 | $ | 6,511,846 | �� | $ | 2,195,986 | $ | 3,728,854 | $ | 68,580 | $ | (275,230 | ) | $ | 4,772,328 | |||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 148,357 | 895,261 | 768,605 | 46,681 | 4,343 | (43,536 | ) | 1,577,992 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | — | 1,987,121 | 9,357 | 575 | 228,607 | 2,206,946 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 52,510 | — | 3,178,260 | 747,459 | 1,002,330 | 184,118 | (629,806 | ) | 2,477,701 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 153,489 | 449,904 | 5,893,344 | 2,565,765 | 289,228 | 4,650 | (26,184 | ) | 8,148,347 | ||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 67,533 | — | 2,262,144 | 963,235 | 294,907 | (16,644 | ) | 71,139 | 2,984,967 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 261,848 | 1,914,367 | 830,935 | 183,876 | 11,642 | (29,589 | ) | 2,543,479 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 29,154 | 9,600 | — | 4,106,413 | 104,540 | 4,426 | 326,851 | 4,333,150 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 323,347 | 283,596 | 8,201,940 | 3,300,863 | 396,666 | 30,224 | 212,807 | 11,349,168 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 79,351 | 7,900 | — | 4,370,082 | 106,603 | 1,301 | 140,912 | 4,405,692 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 50,592 | 244,457 | 2,442,778 | 1,079,997 | 115,691 | 976 | (195,530 | ) | 3,212,530 | ||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 23,285 | 432,494 | 5,011,864 | 2,025,677 | 531,382 | 54,991 | (106,700 | ) | 6,454,450 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 21,020 | 63,711 | 1,877,058 | 712,691 | 92,553 | 7,905 | (54,074 | ) | 2,451,027 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 55,798 | 104,023 | 3,705,149 | 1,552,244 | 173,537 | (4,591 | ) | (253,738 | ) | 4,825,527 | |||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 60,423 | 324,022 | 4,304,206 | 1,856,224 | 216,921 | (173 | ) | 59,329 | 6,002,665 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 58,977 | — | 929,768 | 1,108,770 | 288,125 | 11,684 | 14,131 | 1,776,228 | |||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 90,166 | — | 2,063,994 | 1,916,915 | 110,644 | (7,148 | ) | (253,808 | ) | 3,609,309 | |||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 30,684 | 157,289 | 3,631,408 | 1,365,397 | 173,537 | 19,731 | (178,709 | ) | 4,664,290 | ||||||||||||||||||||||||||
$ | 2,726,834 | $ | 7,655,650 | $ | 121,510,189 | $ | 72,224,932 | $ | 28,379,563 | $ | 1,173,940 | $ | (5,312,230 | ) | $ | 161,217,268 |
† 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 March 31, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 269,514 | $ | 4,560 | $ | 12,699,394 | $ | 2,020,979 | $ | 2,858,828 | $ | (116,629 | ) | $ | 312,284 | $ | 12,057,200 |
361
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 March 31, 2019 | |||||||||||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | $ | 1,583,136 | $ | 172,898 | $ | 65,821,188 | $ | 6,905,350 | $ | 25,005,389 | $ | (807,456 | ) | $ | 867,304 | $ | 47,780,997 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 879,526 | — | 39,837,999 | 1,258,692 | 8,395,262 | 839,704 | (3,343,741 | ) | 30,197,392 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 216,425 | 5,319,667 | 45,059,861 | 5,921,931 | 18,784,271 | 2,882,014 | (4,478,939 | ) | 30,600,596 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 813,505 | 4,798,733 | 48,996,553 | 6,084,288 | 12,197,893 | 1,296,496 | (5,141,750 | ) | 39,037,694 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 489,446 | 4,989,245 | 541,741 | 967,524 | 40,296 | 21,057 | 4,624,815 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 61,367 | 434,154 | 7,016,979 | 570,924 | 988,822 | 77,607 | (463,074 | ) | 6,213,614 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 10,332 | 386,805 | 6,294,200 | 459,075 | 1,337,247 | 92,846 | (496,457 | ) | 5,012,417 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 744,535 | — | 21,262,826 | 4,051,437 | 5,220,764 | (177,289 | ) | (108,206 | ) | 19,808,004 | |||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | 538 | 1,593,950 | 12,190,796 | 2,279,137 | 2,665,754 | 29,023 | 217,940 | 12,051,142 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 26,599 | — | 4,902,620 | 311,352 | 2,955,607 | 21,820 | 23,743 | 2,303,928 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 50,899 | — | — | 5,461,148 | 568,443 | (48,604 | ) | (256,606 | ) | 4,587,495 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 506,575 | 92,070 | 16,618,759 | 5,171,211 | 5,648,887 | (350,502 | ) | 549,441 | 16,340,022 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 779,678 | — | 13,711,334 | 13,905,318 | 3,670,807 | (90,287 | ) | 321,993 | 24,177,551 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 150,514 | — | 12,603,221 | 6,281,020 | 12,404,372 | (110,966 | ) | 224,801 | 6,593,704 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 41,050 | 567,631 | 3,031,034 | 1,850,049 | 489,780 | (49,792 | ) | (534,866 | ) | 3,806,645 | |||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 225,602 | 17,160 | 22,990,483 | 1,629,276 | 13,570,244 | 214,336 | (892,161 | ) | 10,371,690 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 426,813 | 3,370,809 | 1,468,181 | 789,780 | 78,712 | (148,335 | ) | 3,979,587 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | — | 4,326,964 | 111,690 | 8,037 | 473,172 | 4,696,483 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 120,449 | — | 9,338,787 | 824,920 | 3,139,251 | 535,989 | (1,843,802 | ) | 5,716,643 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 411,572 | 1,206,391 | 19,762,726 | 2,383,401 | 3,625,206 | 32,215 | (56,616 | ) | 18,496,520 | ||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 463,572 | — | 20,998,225 | 1,139,010 | 3,825,206 | (199,313 | ) | 490,675 | 18,603,391 |
362
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 March 31, 2019 | |||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | $ | — | $ | 640,733 | $ | 5,643,278 | $ | 699,979 | $ | 776,932 | $ | 48,460 | $ | (112,084 | ) | $ | 5,502,701 | ||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 63,217 | 20,816 | — | 8,916,983 | 936,798 | 48,692 | 730,384 | 8,759,261 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 919,970 | 807,633 | 30,240,515 | 3,062,224 | 4,683,367 | 354,385 | 594,747 | 29,568,504 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 167,260 | 16,680 | — | 9,166,890 | 936,798 | 14,364 | 278,617 | 8,523,073 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 148,993 | 719,926 | 8,549,336 | 1,313,173 | 1,236,028 | (392 | ) | (558,051 | ) | 8,068,038 | |||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 64,020 | 1,189,102 | 17,469,342 | 2,666,631 | 3,672,055 | 314,711 | (291,741 | ) | 16,486,888 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 44,515 | 134,920 | 2,643,057 | 2,626,234 | 529,380 | 37,061 | (30,014 | ) | 4,746,958 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 172,661 | 321,885 | 12,406,294 | 3,357,591 | 1,806,323 | (44,189 | ) | (746,876 | ) | 13,166,497 | |||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 161,167 | 864,259 | 14,805,266 | 1,187,005 | 2,118,905 | (2,816 | ) | 213,046 | 14,083,596 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 329,263 | — | 5,857,818 | 5,033,217 | 1,795,547 | (26,217 | ) | 195,502 | 9,264,773 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 226,158 | — | 6,337,005 | 2,004,818 | 926,239 | (50,411 | ) | (738,387 | ) | 6,626,786 | |||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 84,753 | 434,106 | 12,524,054 | 1,528,508 | 2,615,754 | 258,618 | (484,589 | ) | 11,210,837 | ||||||||||||||||||||||||||
$ | 9,737,365 | $ | 20,660,338 | $ | 507,973,004 | $ | 116,408,657 | $ | 151,255,153 | $ | 5,150,523 | $ | (15,211,589 | ) | $ | 463,065,442 |
† 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 March 31, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 210,833 | $ | 3,566 | $ | 9,551,306 | $ | 1,805,903 | $ | 1,916,517 | $ | (77,986 | ) | $ | 239,089 | $ | 9,601,795 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 1,274,046 | 139,140 | 50,947,645 | 4,665,146 | 16,494,710 | (550,200 | ) | 635,038 | 39,202,919 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 484,425 | — | 20,117,623 | 1,694,107 | 3,871,563 | 351,376 | (1,611,364 | ) | 16,680,179 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 125,889 | 3,094,310 | 24,866,260 | 3,851,099 | 8,233,397 | 1,229,579 | (2,087,889 | ) | 19,625,652 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 455,997 | 2,689,849 | 26,659,692 | 3,957,860 | 6,272,307 | 294,904 | (2,430,578 | ) | 22,209,571 |
363
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 March 31, 2019 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | $ | — | $ | 329,010 | $ | 2,780,236 | $ | 839,822 | $ | 666,346 | $ | 73,605 | $ | (19,924 | ) | $ | 3,007,393 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 35,333 | 249,973 | 3,937,088 | 471,658 | 497,983 | 12,483 | (224,260 | ) | 3,698,986 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 5,729 | 214,481 | 3,521,399 | 289,291 | 798,386 | 123,277 | (348,579 | ) | 2,787,002 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 591,758 | — | 16,083,155 | 2,976,977 | 2,991,104 | (108,277 | ) | (115,785 | ) | 15,844,966 | |||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | 293 | 868,520 | 7,268,930 | 1,024,247 | 1,746,369 | 96,196 | 115,743 | 6,758,747 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 18,079 | — | 3,176,754 | 74,496 | 1,711,779 | 12,488 | 16,573 | 1,568,532 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 25,609 | — | — | 3,021,853 | 254,998 | (20,568 | ) | (127,151 | ) | 2,619,136 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 427,457 | 77,691 | 12,519,249 | 4,183,423 | 3,466,316 | (221,577 | ) | 369,639 | 13,384,418 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 662,011 | — | 11,918,089 | 11,111,497 | 3,208,685 | (85,252 | ) | 259,671 | 19,995,320 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 171,846 | — | 11,108,374 | 5,565,307 | 9,155,043 | (117,216 | ) | 247,221 | 7,648,643 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 12,192 | 168,589 | 1,228,252 | 258,415 | 159,355 | (13,845 | ) | (179,174 | ) | 1,134,293 | |||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 38,089 | 2,893 | 11,069,874 | 466,329 | 9,690,917 | 161,231 | (261,194 | ) | 1,745,323 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 164,264 | 1,706,056 | 198,805 | 359,193 | 45,871 | (52,200 | ) | 1,539,339 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | 48,923 | — | 2,215,183 | 89,502 | (6,172 | ) | 198,922 | 2,318,431 | ||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 73,481 | — | 4,879,761 | 147,420 | 1,428,000 | 268,115 | (931,635 | ) | 2,935,661 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 224,533 | 658,147 | 10,839,769 | 1,124,466 | 1,644,352 | 11,356 | (25,295 | ) | 10,305,944 | ||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 367,245 | — | 16,157,991 | 1,237,655 | 2,816,932 | (144,794 | ) | 383,571 | 14,817,491 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 364,669 | 3,247,985 | 433,750 | 643,386 | 41,909 | (74,824 | ) | 3,005,434 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 32,387 | 10,665 | — | 4,671,752 | 448,268 | 22,106 | 393,864 | 4,639,454 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 471,438 | 416,407 | 15,554,961 | 1,533,255 | 2,666,932 | 184,269 | 273,713 | 14,879,266 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 83,702 | 8,347 | — | 4,820,749 | 448,268 | 6,210 | 161,357 | 4,540,048 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 77,958 | 376,690 | 4,585,384 | 2,237,137 | 666,799 | (7,972 | ) | (205,822 | ) | 5,941,928 |
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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 March 31, 2019 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | $ | 36,578 | $ | 679,390 | $ | 9,466,907 | $ | 1,008,213 | $ | 1,395,159 | $ | 133,013 | $ | (167,450 | ) | $ | 9,045,524 | ||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 20,618 | 62,492 | 1,345,751 | 1,070,448 | 216,469 | 14,397 | (14,653 | ) | 2,199,474 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 78,299 | 145,969 | 6,264,644 | 957,432 | 796,773 | (17,112 | ) | (347,041 | ) | 6,061,150 | |||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 93,738 | 502,673 | 8,413,080 | 986,387 | 1,385,563 | (12,452 | ) | 146,235 | 8,147,687 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 253,976 | — | 4,524,111 | 3,970,317 | 1,252,636 | (24,743 | ) | 161,306 | 7,378,355 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 99,173 | — | 3,126,595 | 483,254 | 398,386 | (19,832 | ) | (362,081 | ) | 2,829,550 | |||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 53,781 | 275,328 | 7,682,893 | 998,016 | 1,431,246 | 127,697 | (268,450 | ) | 7,108,910 | ||||||||||||||||||||||||||
$ | 6,506,493 | $ | 11,551,986 | $ | 314,549,814 | $ | 74,351,669 | $ | 89,223,639 | $ | 1,782,084 | $ | (6,253,407 | ) | $ | 295,206,521 |
† 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 March 31, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | 202,562 | $ | 3,428 | $ | 9,160,640 | $ | 1,714,610 | $ | 1,748,580 | $ | (65,961 | ) | $ | 227,568 | $ | 9,288,277 | ||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 1,311,098 | 143,188 | 52,709,087 | 5,481,521 | 17,638,856 | (702,826 | ) | 801,808 | 40,650,734 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 243,647 | — | 10,353,942 | 708,832 | 1,945,552 | 165,793 | (856,792 | ) | 8,426,223 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 63,763 | 1,567,282 | 12,754,183 | 2,582,441 | 5,499,730 | 903,158 | (1,318,327 | ) | 9,421,725 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 237,546 | 1,401,244 | 13,658,003 | 2,266,418 | 3,351,818 | 141,363 | (1,287,327 | ) | 11,426,639 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 176,003 | 1,350,326 | 496,129 | 199,308 | 18,685 | 7,332 | 1,673,164 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 17,786 | 125,830 | 1,953,788 | 340,759 | 271,123 | 23,998 | (128,478 | ) | 1,918,944 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 3,117 | 116,716 | 1,897,092 | 200,786 | 450,935 | 106,621 | (233,234 | ) | 1,520,330 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | 601,090 | — | 15,407,722 | 3,450,534 | 3,044,536 | (112,506 | ) | (126,115 | ) | 15,575,099 |
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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 March 31, 2019 | |||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | $ | 155 | $ | 460,263 | $ | 3,672,956 | $ | 847,090 | $ | 709,431 | $ | 33,974 | $ | 80,865 | $ | 3,925,454 | |||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 18,841 | — | 3,302,761 | 153,160 | 1,846,962 | 16,133 | 14,333 | 1,639,425 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 12,948 | — | — | 1,694,312 | 126,872 | (12,100 | ) | (64,376 | ) | 1,490,964 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 415,478 | 75,513 | 11,973,567 | 4,265,726 | 3,342,331 | (216,529 | ) | 360,297 | 13,040,730 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 600,084 | — | 11,554,142 | 9,423,016 | 2,125,688 | (50,415 | ) | 252,525 | 19,053,580 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 137,051 | — | 10,698,114 | 2,602,343 | 7,469,786 | (128,703 | ) | 212,103 | 5,914,071 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 6,665 | 92,166 | 555,311 | 296,212 | 90,374 | (9,097 | ) | (94,573 | ) | 657,479 | |||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 31,930 | 2,432 | 5,749,650 | 197,748 | 4,365,793 | 73,003 | (187,204 | ) | 1,467,404 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 113,142 | 867,692 | 431,284 | 123,996 | 9,261 | (19,804 | ) | 1,164,437 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | — | 1,041,470 | 26,340 | 1,643 | 120,516 | 1,137,289 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 24,449 | — | 2,258,546 | 555,795 | 1,007,432 | 162,649 | (485,601 | ) | 1,483,957 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 117,393 | 344,098 | 5,517,414 | 1,146,730 | 968,181 | 2,595 | (4,563 | ) | 5,693,995 | ||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 359,978 | — | 15,308,546 | 1,467,761 | 2,603,295 | (135,391 | ) | 366,979 | 14,404,600 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | 201,090 | 1,827,356 | 337,042 | 350,935 | 17,971 | (35,285 | ) | 1,796,149 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 23,444 | 7,720 | — | 3,403,206 | 271,146 | 9,959 | 276,476 | 3,418,495 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 236,162 | 207,906 | 7,519,269 | 1,149,616 | 1,398,709 | 87,539 | 142,378 | 7,500,093 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 62,302 | 6,212 | — | 3,490,557 | 271,146 | 725 | 121,125 | 3,341,261 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 43,657 | 210,948 | 2,388,281 | 868,698 | 349,931 | (5,783 | ) | (143,986 | ) | 2,757,279 | |||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 19,263 | 357,797 | 4,701,090 | 1,309,521 | 1,162,744 | 134,106 | (117,149 | ) | 4,864,824 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 9,715 | 29,447 | 729,026 | 608,694 | 215,120 | 14,159 | (11,327 | ) | 1,125,432 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 46,864 | 87,366 | 3,414,849 | 785,601 | 468,462 | (14,710 | ) | (212,874 | ) | 3,504,404 | |||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 50,764 | 272,220 | 4,466,154 | 538,858 | 602,495 | (10,238 | ) | 63,948 | 4,456,227 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 240,707 | — | 4,332,788 | 3,358,700 | 1,322,758 | (21,803 | ) | 126,606 | 6,473,533 |
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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 March 31, 2019 | |||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | $ | 61,390 | $ | — | $ | 1,698,955 | $ | 520,320 | $ | 236,996 | $ | (14,049 | ) | $ | (215,384 | ) | $ | 1,752,846 | |||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 29,910 | 153,175 | 4,116,578 | 838,166 | 912,370 | 47,263 | (140,035 | ) | 3,949,602 | ||||||||||||||||||||||||||
$ | 5,229,759 | $ | 6,155,186 | $ | 225,897,828 | $ | 58,573,656 | $ | 66,519,731 | $ | 470,487 | $ | (2,507,575 | ) | $ | 215,914,665 |
† Includes reinvestment of distributions paid.
The Managed Allocation Portfolios do not invest in underlying Seasons Series Trust Portfolios for the purpose of exercising management or control; however, investments by the Managed Allocation Portfolios within the set limits may represent a significant portion of an underlying Seasons Series Trust Portfolio's net assets.
At March 31, 2019, 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 | 1.76 | % | 98.24 | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 0.54 | 99.46 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 0.58 | 99.42 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 0.89 | 99.11 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 2.78 | 97.22 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | 0.21 | 21.78 | — | — | — | — | 78.01 | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 0.15 | 11.03 | 1.89 | 2.59 | 6.16 | 3.95 | 41.50 | 32.73 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 0.01 | 5.47 | 1.55 | 2.28 | 5.28 | 3.01 | 47.19 | 35.21 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 0.29 | 18.73 | 0.73 | 0.97 | 2.04 | 1.32 | 42.33 | 33.59 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 0.21 | 16.68 | 0.83 | 1.12 | 2.67 | 1.59 | 58.40 | 18.50 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 0.18 | 10.64 | 0.58 | 0.84 | 1.90 | 1.06 | 34.11 | 50.69 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 0.15 | 7.27 | 1.91 | 3.18 | 6.83 | 3.77 | 49.98 | 26.91 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 0.07 | 3.50 | 4.23 | 0.51 | 4.97 | 4.08 | 69.48 | 13.16 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 2.86 | 50.70 | 2.14 | 0.56 | 2.73 | 2.18 | 28.51 | 10.32 | |||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio | 0.09 | 7.59 | — | — | — | — | 60.22 | 32.10 | |||||||||||||||||||||||||||
SA Allocation Growth Portfolio | 6.51 | 93.49 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio | 6.12 | 93.88 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Moderate Portfolio | 6.72 | 93.28 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Balanced Portfolio | 9.55 | 90.45 | — | — | — | — | — | — |
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
367
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 lines of credit are renewable on an annual basis with State Street Bank and Trust Company ("State Street"), the Trust's custodian. Interest is currently payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street's discretionary bid rate on the uncommitted line of credit. The Trust, on behalf of each of the Portfolios, has paid State Street for its own account, such Portfolio's ratable portion of an upfront fee in an amount equal to $25,000 in the aggregate for the uncommitted line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. There is also a commitment fee of 25 basis points per annum on the daily unused portion of the committed line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000. For the year ended March 31, 2019, the following Portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | |||||||||||||||
SA Multi-Managed Growth | 17 | $ | 348 | $ | 204,986 | 3.59 | % | ||||||||||||
SA Multi-Managed Moderate Growth | 18 | 528 | 290,341 | 3.63 | |||||||||||||||
SA Multi-Managed Income/Equity | 27 | 1,844 | 658,134 | 3.71 | |||||||||||||||
SA Multi-Managed Income | 18 | 814 | 435,156 | 3.74 | |||||||||||||||
SA Multi-Managed Large Cap Growth | 32 | 1,025 | 329,729 | 3.50 | |||||||||||||||
SA Multi-Managed Large Cap Value | 42 | 1,323 | 321,221 | 3.51 | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 13 | 385 | 324,378 | 3.34 | |||||||||||||||
SA Multi-Managed Mid Cap Value | 1 | 12 | 142,868 | 3.15 | |||||||||||||||
SA Multi-Managed Small Cap | 8 | 440 | 593,133 | 3.47 | |||||||||||||||
SA Multi-Managed International Equity | 46 | 5,148 | 1,228,477 | 3.46 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 2 | 68 | 386,059 | 3.16 | |||||||||||||||
SA Wellington Real Return | 24 | 1,795 | 737,523 | 3.64 |
As of March 31, 2019, there were no outstanding borrowings.
Note 11. Security Transactions with Affiliated Portfolios: The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board of Trustees. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions. For the year ended March 31, 2019, 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 | $ | — | $ | 1,182,510 | $ | 372,014 | |||||||||
SA Multi-Managed Large Cap Value | 3,819,467 | 2,348,398 | (27,659 | ) | |||||||||||
SA Multi-Managed Mid Cap Growth | 146,693 | 112,197 | (14,287 | ) | |||||||||||
SA Multi-Managed Mid Cap Value | 277,211 | 65,979 | 15,478 |
Note 12. Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the year ended March 31, 2019, none of the Portfolios participated in this program.
368
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | $ | 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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 17.02 | 0.09 | 1.05 | 1.14 | (0.18 | ) | (1.61 | ) | (1.79 | ) | 16.37 | 7.37 | 9,349 | 1.25 | (2) | 0.54 | (2) | 55 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 17.01 | 0.07 | 1.04 | 1.11 | (0.15 | ) | (1.61 | ) | (1.76 | ) | 16.36 | 7.18 | 17,915 | 1.40 | (2) | 0.39 | (2) | 55 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 16.97 | 0.05 | 1.04 | 1.09 | (0.12 | ) | (1.61 | ) | (1.73 | ) | 16.33 | 7.11 | 21,872 | 1.50 | (2) | 0.29 | (2) | 55 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 03/31/19 | ||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 0.04 | % | |||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | 0.04 | |||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.04 |
See Notes to Financial Statements
369
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | $ | 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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 12.90 | 0.13 | 0.66 | 0.79 | (0.18 | ) | (0.90 | ) | (1.08 | ) | 12.61 | 6.67 | 9,208 | 1.08 | (2) | 1.04 | (2) | 53 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 12.88 | 0.12 | 0.65 | 0.77 | (0.16 | ) | (0.90 | ) | (1.06 | ) | 12.59 | 6.50 | 39,368 | 1.23 | (2) | 0.89 | (2) | 53 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 12.87 | 0.10 | 0.65 | 0.75 | (0.14 | ) | (0.90 | ) | (1.04 | ) | 12.58 | 6.37 | 32,172 | 1.33 | (2) | 0.78 | (2) | 53 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 03/31/19 | ||||||||||
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
370
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | $ | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.19 | 0.19 | 0.53 | 0.72 | (0.23 | ) | (0.52 | ) | (0.75 | ) | 11.16 | 6.86 | 8,087 | 1.10 | (2) | 1.71 | (2) | 51 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.17 | 0.18 | 0.52 | 0.70 | (0.21 | ) | (0.52 | ) | (0.73 | ) | 11.14 | 6.69 | 30,313 | 1.25 | (2) | 1.56 | (2) | 51 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.18 | 0.16 | 0.53 | 0.69 | (0.20 | ) | (0.52 | ) | (0.72 | ) | 11.15 | 6.55 | 17,028 | 1.35 | (2) | 1.46 | (2) | 51 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(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:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/19 | |||||||
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
371
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | $ | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.05 | 0.23 | 0.33 | 0.56 | (0.25 | ) | (0.30 | ) | (0.55 | ) | 11.06 | 5.39 | 5,122 | 1.14 | (2) | 2.07 | (2) | 49 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.04 | 0.21 | 0.33 | 0.54 | (0.23 | ) | (0.30 | ) | (0.53 | ) | 11.05 | 5.22 | 24,779 | 1.29 | (2) | 1.92 | (2) | 49 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.04 | 0.20 | 0.33 | 0.53 | (0.22 | ) | (0.30 | ) | (0.52 | ) | 11.05 | 5.10 | 15,206 | 1.39 | (2) | 1.82 | (2) | 49 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Income Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/19 | |||||||
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
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)(2) | Ratio of net investment income to average net assets(1)(2) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | $ | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.15 | 0.18 | 0.08 | 0.26 | (0.25 | ) | (0.44 | ) | (0.69 | ) | 11.72 | 2.43 | (3) | 14,836 | 0.93 | 1.47 | 101 | ||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.15 | 0.16 | 0.08 | 0.24 | (0.23 | ) | (0.44 | ) | (0.67 | ) | 11.72 | 2.26 | (3) | 50,708 | 1.08 | 1.32 | 101 | ||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 12.11 | 0.15 | 0.09 | 0.24 | (0.22 | ) | (0.44 | ) | (0.66 | ) | 11.69 | 2.25 | (3) | 100,587 | 1.18 | 1.23 | 101 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.12 | % | |||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | 0.10 | 0.10 | 0.10 | 0.10 | 0.12 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | 0.10 | 0.10 | 0.10 | 0.10 | 0.12 |
(3) The Portfolio's performance figure was increased by less than 0.01% from reimbursement of losses on the disposal of investments in violation of investment restrictions (see Note 3).
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 | Ratio of net investment income to average net assets | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | $ | 22.86 | $ | (0.03 | ) | $ | 3.70 | $ | 3.67 | $ | — | $ | (1.25 | ) | $ | (1.25 | ) | $ | 25.28 | 16.53 | % | $ | 381,906 | 0.88 | %(1) | (0.15 | )%(1) | 32 | % | ||||||||||||||||||||||||||
03/31/16 | 25.28 | (0.05 | ) | (0.22 | ) | (0.27 | ) | — | (1.80 | ) | (1.80 | ) | 23.21 | (1.32 | ) | 387,062 | 0.87 | (1) | (0.19 | )(1) | 43 | ||||||||||||||||||||||||||||||||||
03/31/17 | 23.21 | (0.01 | ) | 4.13 | 4.12 | — | (2.54 | ) | (2.54 | ) | 24.79 | 18.78 | 357,120 | 0.87 | (1) | (0.04 | )(1) | 38 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 24.79 | 0.01 | 5.93 | 5.94 | — | (3.42 | ) | (3.42 | ) | 27.31 | 24.49 | 333,144 | 0.87 | (1) | 0.02 | (1) | 50 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 27.31 | 0.01 | 2.29 | 2.30 | — | (6.91 | ) | (6.91 | ) | 22.70 | 10.40 | 328,479 | 0.88 | 0.03 | 30 | ||||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | 22.55 | (0.07 | ) | 3.65 | 3.58 | — | (1.25 | ) | (1.25 | ) | 24.88 | 16.36 | 55,803 | 1.03 | (1) | (0.30 | )(1) | 32 | |||||||||||||||||||||||||||||||||||||
03/31/16 | 24.88 | (0.08 | ) | (0.23 | ) | (0.31 | ) | — | (1.80 | ) | (1.80 | ) | 22.77 | (1.51 | ) | 47,757 | 1.02 | (1) | (0.34 | )(1) | 43 | ||||||||||||||||||||||||||||||||||
03/31/17 | 22.77 | (0.05 | ) | 4.05 | 4.00 | — | (2.54 | ) | (2.54 | ) | 24.23 | 18.61 | 45,160 | 1.02 | (1) | (0.19 | )(1) | 38 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 24.23 | (0.04 | ) | 5.80 | 5.76 | — | (3.42 | ) | (3.42 | ) | 26.57 | 24.31 | 43,404 | 1.02 | (1) | (0.13 | )(1) | 50 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 26.57 | (0.03 | ) | 2.21 | 2.18 | — | (6.91 | ) | (6.91 | ) | 21.84 | 10.23 | 40,322 | 1.03 | (0.12 | ) | 30 | ||||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/15 | 22.36 | (0.09 | ) | 3.62 | 3.53 | — | (1.25 | ) | (1.25 | ) | 24.64 | 16.27 | 50,706 | 1.13 | (1) | (0.40 | )(1) | 32 | |||||||||||||||||||||||||||||||||||||
03/31/16 | 24.64 | (0.11 | ) | (0.22 | ) | (0.33 | ) | — | (1.80 | ) | (1.80 | ) | 22.51 | (1.61 | ) | 42,384 | 1.12 | (1) | (0.44 | )(1) | 43 | ||||||||||||||||||||||||||||||||||
03/31/17 | 22.51 | (0.07 | ) | 4.00 | 3.93 | — | (2.54 | ) | (2.54 | ) | 23.90 | 18.52 | 39,088 | 1.12 | (1) | (0.29 | )(1) | 38 | |||||||||||||||||||||||||||||||||||||
03/31/18 | 23.90 | (0.06 | ) | 5.71 | 5.65 | — | (3.42 | ) | (3.42 | ) | 26.13 | 24.18 | 35,916 | 1.12 | (1) | (0.23 | )(1) | 50 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 26.13 | (0.06 | ) | 2.16 | 2.10 | — | (6.91 | ) | (6.91 | ) | 21.32 | 10.08 | 32,944 | 1.13 | (0.22 | ) | 30 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(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:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | ||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | 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 |
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 Large Cap Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 15.32 | 0.07 | 1.52 | 1.59 | (0.10 | ) | (2.45 | ) | (2.55 | ) | 14.36 | 11.68 | 445,895 | 0.77 | (2) | 0.44 | (2) | 45 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 15.02 | 0.04 | 1.49 | 1.53 | (0.07 | ) | (2.45 | ) | (2.52 | ) | 14.03 | 11.52 | 31,938 | 0.92 | (2) | 0.28 | (2) | 45 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 14.87 | 0.03 | 1.47 | 1.50 | (0.06 | ) | (2.45 | ) | (2.51 | ) | 13.86 | 11.38 | 17,679 | 1.02 | (2) | 0.19 | (2) | 45 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(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:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/19 | |||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.05 | % | |||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.05 | ||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.05 |
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) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.72 | 0.31 | 0.30 | 0.61 | (0.34 | ) | (2.01 | ) | (2.35 | ) | 14.98 | 4.25 | 702,244 | 0.79 | 1.92 | 36 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.70 | 0.29 | 0.29 | 0.58 | (0.31 | ) | (2.01 | ) | (2.32 | ) | 14.96 | 4.06 | 24,198 | 0.94 | 1.78 | 36 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.70 | 0.27 | 0.29 | 0.56 | (0.29 | ) | (2.01 | ) | (2.30 | ) | 14.96 | 3.94 | 13,131 | 1.04 | 1.68 | 36 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 18.98 | (0.01 | ) | 2.20 | 2.19 | — | (2.19 | ) | (2.19 | ) | 18.98 | 12.89 | 187,604 | 0.94 | (0.07 | ) | 37 | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 18.16 | (0.04 | ) | 2.09 | 2.05 | — | (2.19 | ) | (2.19 | ) | 18.02 | 12.69 | 22,407 | 1.09 | (0.22 | ) | 37 | ||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 17.70 | (0.06 | ) | 2.04 | 1.98 | — | (2.19 | ) | (2.19 | ) | 17.49 | 12.62 | 14,806 | 1.19 | (0.32 | ) | 37 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
376
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.79 | 0.18 | 0.04 | 0.22 | (0.16 | ) | (1.15 | ) | (1.31 | ) | 15.70 | 1.65 | 195,861 | 0.94 | 1.08 | 29 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.74 | 0.15 | 0.04 | 0.19 | (0.13 | ) | (1.15 | ) | (1.28 | ) | 15.65 | 1.47 | 22,284 | 1.09 | 0.93 | 29 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 16.70 | 0.14 | 0.04 | 0.18 | (0.11 | ) | (1.15 | ) | (1.26 | ) | 15.62 | 1.40 | 14,219 | 1.19 | 0.82 | 29 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 14.28 | 0.03 | (0.16 | ) | (0.13 | ) | (0.03 | ) | (1.06 | ) | (1.09 | ) | 13.06 | (0.67 | ) | 236,342 | 0.92 | (2) | 0.19 | (2) | 41 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 13.91 | 0.01 | (0.17 | ) | (0.16 | ) | (0.00 | ) | (1.06 | ) | (1.06 | ) | 12.69 | (0.88 | ) | 15,415 | 1.07 | (2) | 0.03 | (2) | 41 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
03/31/19 | 13.69 | (0.01 | ) | (0.15 | ) | (0.16 | ) | — | (1.06 | ) | (1.06 | ) | 12.47 | (0.92 | ) | 10,647 | 1.17 | (2) | (0.07 | )(2) | 41 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 1 | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | — | % | |||||||||||||
SA Multi-Managed Mid Cap Value Class 2 | 0.00 | 0.01 | 0.00 | 0.00 | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 3 | 0.00 | 0.01 | 0.01 | 0.00 | — | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 03/31/19 | ||||||||||
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
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 | Ratio of net investment income to average net assets | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 9.69 | 0.21 | (0.66 | ) | (0.45 | ) | (0.26 | ) | — | (0.26 | ) | 8.98 | (4.44 | ) | 410,320 | 0.99 | (2) | 2.27 | (2) | 22 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 9.71 | 0.19 | (0.66 | ) | (0.47 | ) | (0.24 | ) | — | (0.24 | ) | 9.00 | (4.61 | ) | 17,959 | 1.14 | (2) | 2.07 | (2) | 22 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 9.67 | 0.18 | (0.65 | ) | (0.47 | ) | (0.23 | ) | — | (0.23 | ) | 8.97 | (4.66 | ) | 13,689 | 1.24 | (2) | 1.96 | (2) | 22 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.53 | 0.31 | 0.13 | 0.44 | (0.31 | ) | (0.03 | ) | (0.34 | ) | 11.63 | 4.03 | 928,761 | 0.68 | 2.68 | 38 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.51 | 0.29 | 0.14 | 0.43 | (0.29 | ) | (0.03 | ) | (0.32 | ) | 11.62 | 3.91 | 19,873 | 0.83 | 2.53 | 38 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 11.45 | 0.28 | 0.14 | 0.42 | (0.28 | ) | (0.03 | ) | (0.31 | ) | 11.56 | 3.82 | 12,712 | 0.93 | 2.43 | 38 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | |||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.01 | % | 0.00 | % | 0.00 | % | |||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.01 | 0.00 | 0.00 | ||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 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 | 03/31/19 | |||||||||||||||||||
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
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 | Ratio of net investment income to average net assets | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 9.64 | 0.12 | 0.10 | 0.22 | (0.36 | ) | — | (0.36 | ) | 9.50 | 2.40 | 337,714 | 0.60 | (1) | 1.24 | (1) | 22 | ||||||||||||||||||||||||||||||||||||||
SA Wellington Real Return Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/19 | 9.56 | 0.10 | 0.10 | 0.20 | (0.32 | ) | — | (0.32 | ) | 9.44 | 2.17 | 387,047 | 0.85 | (1) | 1.02 | (1) | 22 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||
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
379
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1)(2) | Ratio of net investment income to average net assets(1)(2) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 20.36 | 0.58 | (0.51 | ) | 0.07 | (0.84 | ) | (1.96 | ) | (2.80 | ) | 17.63 | 1.76 | 273,629 | 0.72 | 2.95 | 16 | ||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 20.33 | 0.55 | (0.49 | ) | 0.06 | (0.74 | ) | (1.96 | ) | (2.70 | ) | 17.69 | 1.61 | 13,536 | 0.87 | 2.80 | 16 | ||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/19 | 20.28 | 0.53 | (0.49 | ) | 0.04 | (0.65 | ) | (1.96 | ) | (2.61 | ) | 17.71 | 1.51 | 9,295 | 0.97 | 2.70 | 16 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 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):
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | |||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.05 | % | 0.23 | % | 0.31 | % | 0.32 | % | 0.32 | % | |||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.05 | 0.22 | 0.31 | 0.32 | 0.32 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.05 | 0.22 | 0.31 | 0.32 | 0.32 |
See Notes to Financial Statements
380
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1) | Ratio of net investment income to average net assets(1) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA 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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 14.45 | 0.33 | 0.07 | 0.40 | (0.54 | ) | (1.05 | ) | (1.59 | ) | 13.26 | 4.14 | 150 | 0.15 | (2) | 2.32 | (2) | 20 | |||||||||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 14.41 | 0.21 | 0.16 | 0.37 | (0.49 | ) | (1.05 | ) | (1.54 | ) | 13.24 | 3.89 | 160,980 | 0.40 | (2) | 1.55 | (2) | 20 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 11.75 | 0.15 | 0.13 | 0.28 | (0.56 | ) | (1.40 | ) | (1.96 | ) | 10.07 | 4.24 | 374 | 0.12 | (2) | 1.42 | (2) | 18 | |||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 11.72 | 0.19 | 0.07 | 0.26 | (0.51 | ) | (1.40 | ) | (1.91 | ) | 10.07 | 3.95 | 462,493 | 0.37 | (2) | 1.67 | (2) | 18 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 11.61 | 0.19 | 0.16 | 0.35 | (0.56 | ) | (1.20 | ) | (1.76 | ) | 10.20 | 4.52 | 213 | 0.13 | (2) | 1.77 | (2) | 19 | |||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 11.58 | 0.20 | 0.12 | 0.32 | (0.50 | ) | (1.20 | ) | (1.70 | ) | 10.20 | 4.27 | 294,856 | 0.38 | (2) | 1.79 | (2) | 19 | |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 10.83 | 0.24 | 0.11 | 0.35 | (0.55 | ) | (0.97 | ) | (1.52 | ) | 9.66 | 4.33 | 114 | 0.13 | (2) | 2.29 | (2) | 22 | |||||||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 10.80 | 0.21 | 0.12 | 0.33 | (0.50 | ) | (0.97 | ) | (1.47 | ) | 9.66 | 4.11 | 215,693 | 0.38 | (2) | 2.01 | (2) | 22 |
* 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.
(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 | 03/31/19 | ||||||||||||||||
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
381
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Seasons Series Trust and Shareholders of each of the funds listed in the table below
Opinions on the Financial Statements
We have audited the financial statements and financial highlights of each of the funds listed in the table below (constituting Seasons Series Trust, hereafter collectively referred to as the "Portfolios") as of the date listed in the table below and for the periods listed in the table below (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of the date listed in the table below, the results of each of their operations, the changes in each of their net assets and each of the financial highlights for each of the periods listed in the table below in conformity with accounting principles generally accepted in the United States of America.
Seasons Series Trust
SA Allocation Balanced Portfolio (1)
SA Allocation Growth Portfolio (1)
SA Allocation Moderate Growth Portfolio (1)
SA Allocation Moderate Portfolio (1)
SA Columbia Focused Value Portfolio (2)
SA Multi-Managed Diversified Fixed Income Portfolio (2)
SA Multi-Managed Growth Portfolio (2)
SA Multi-Managed Income/Equity Portfolio (2)
SA Multi-Managed Income Portfolio (2)
SA Multi-Managed International Equity Portfolio (2)
SA Multi-Managed Large Cap Growth Portfolio (2)
SA Multi-Managed Large Cap Value Portfolio (2)
SA Multi-Managed Mid Cap Growth Portfolio (2)
SA Multi-Managed Mid Cap Value Portfolio (2)
SA Multi-Managed Moderate Growth Portfolio (2)
SA Multi-Managed Small Cap Portfolio (2)
SA Putnam Asset Allocation Diversified Growth Portfolio (2)
SA T. Rowe Price Growth Stock Portfolio (2)
SA Wellington Real Return Portfolio (2)
(1) The statement of assets and liabilities, including the portfolio of investments, as of March 31, 2019, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period ended March 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein
(2) The statement of assets and liabilities, including the portfolio of investments, as of March 31, 2019, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period ended March 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2019
Basis for Opinions
These financial statements are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on the Portfolios' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
382
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (continued)
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2019 by correspondence with the custodian, transfer agent, brokers and selling or agent banks; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Houston, Texas
May 29, 2019
We have served as the auditor of one or more investment companies in the SunAmerica annuity family of funds since at least 1986. We have not been able to determine the specific year we began serving as auditor.
383
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited)
At a meeting held on October 10, 2018, the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved with respect to each Portfolio the continuation of the Investment Management and Advisory Agreement between SunAmerica Asset Management LLC ("SAAMCo" or the "Adviser") and the Trust (the "Advisory Agreement") and the continuation of each Subadvisory Agreement between SAAMCo and each of the following subadvisers (the "Subadvisory Agreements"): American Century Investment Management, Inc. ("American Century"), Columbia Management Investment Advisers, LLC ("Columbia"), Goldman Sachs Asset Management, L.P. ("GSAM"), Janus Capital Management, LLC ("Janus"), J.P. Morgan Investment Management Inc. ("JPMorgan"), Massachusetts Financial Services Company ("MFS"), PineBridge Investments, LLC ("PineBridge"), PNC Capital Advisors, LLC ("PNC"), Putnam Investment Management, LLC ("Putnam"), Schroder Investment Management North America Inc. ("SIMNA"), T. Rowe Price Associates, Inc. ("T. Rowe Price") and Wellington Management Company, LLP ("Wellington") (collectively referred to as the "Subadvisers" and each a "Subadviser"). The Advisory Agreement and Subadvisory Agreements are collectively referred to as the "Advisory Contracts."
In connection with the approval of the Advisory Contracts, the Board received materials related to certain factors used in its consideration whether to renew or approve the Advisory Contracts. Those factors included:
(1) the requirements of the Trust in the areas of investment supervisory and administrative services;
(2) the nature, extent and quality of the investment advisory, administrative, operational and compliance services provided by SAAMCo, including a review of the investment performance of the Portfolios and oversight of the Subadvisers;
(3) the size and structure of the investment advisory fee and any other material payments to the Adviser and Subadvisers and, in connection therewith, a review of the costs of services provided and the profits realized by the Adviser and its affiliates from the relationship with the Trust;
(4) the expenses paid by each of the Portfolios, including their total operating expenses and any applicable expense limitation;
(5) the extent to which the Adviser realizes economies of scale and shares them with the Trust;
(6) the organizational capability, resources, personnel and financial condition of the Adviser and Subadvisers and their affiliates; and
(7) the fees paid by the Adviser to the Subadvisers for managing the Portfolios of the Trust.
In addition, the Board considered (a) the historical relationship between the Trust and SAAMCo; (b) the possibility that services of the type required by the Trust might be better obtained from other organizations; (c) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; and (d) the reasonableness of the amount of the fee retained by the Adviser in light of the services provided by the Adviser and the Subadvisers.
The Independent Trustees were separately represented by counsel that is independent of SAAMCo in connection with their consideration of approval of the Advisory Contracts. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which their independent counsel provided guidance to the Independent Trustees.
The Board received information regarding the Trust's advisory and subadvisory fees compared to advisory and subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable (respectively, the "Expense Group/Universe" and the "Subadvised Expense Group/Universe"), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered the expenses and performance of SAAMCo and the Subadvisers with respect to accounts and mutual funds managed by each that have comparable investment objectives and strategies to each of the Portfolios that they manage.
384
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
Nature, Extent and Quality of Services.
The Board, including the Independent Trustees, considered the nature, quality and extent of services provided by SAAMCo and each of the Subadvisers. In making its evaluation, the Board considered that SAAMCo acts as adviser for each Portfolio, manages the investment of portions of certain Portfolios' assets, manages the daily business affairs of the Trust, obtains and evaluates economic, statistical and financial information to formulate and implement investment policies, and provides oversight with respect to the daily management of certain Portfolios' assets, or a portion thereof, allocated to the Subadvisers, subject to the Trustees' oversight and control. It was also noted that SAAMCo's advisory fees compensate SAAMCo for services such as monitoring Portfolio performance, selecting and replacing Subadvisers, determining asset allocations among Portfolios with multiple Subadvisers and ensuring that the Subadvisers' styles adhere to the prospectus and statement of additional information as well as other administrative, compliance and legal services.
The Board noted that SAAMCo is responsible for overseeing the performance of services by the Trust's custodian, transfer agent and dividend disbursing agent. The Board also noted that SAAMCo is responsible for the financial, legal and accounting records required to be maintained by each Portfolio and for the administration of the Trust's business affairs, including providing such office space, bookkeeping, accounting, clerical, secretarial and administrative services (exclusive of, and in addition to, any such service provided by any others retained by the Trust or any Portfolio) and such executive and other personnel as may be necessary for the operations of each Portfolio. The Board considered that SAAMCo monitors and reviews the activities of third-party service providers that may provide additional administrative services.
In addition, the Board considered the key personnel of SAAMCo that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios. The Board also considered the compensation program for SAAMCo's investment professionals.
With respect to the Subadvisers, the Board noted that the Subadvisers are responsible for providing investment management services on a day-to-day basis. In such role, each Subadviser (i) determines the securities to be purchased or sold and executes such documents on behalf of the Portfolios they manage as may be necessary in connection therewith; (ii) provides SAAMCo with records concerning their activities; and (iii) renders regular reports to SAAMCo and to officers and Trustees of the Trust concerning their discharge of the foregoing responsibilities. The Board reviewed each Subadviser's history, structure and size, and investment experience. The Board considered each Subadviser's personnel that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing levels and compensation practices. The Board was informed that in management's judgment, each of the Subadvisers has the size, viability and resources to attract and retain highly qualified investment professionals.
The Board reviewed the qualifications, background and responsibilities of SAAMCo's staff and each of the Subadviser's staff who is responsible for providing investment management services to the Portfolios and other key personnel of SAAMCo in addition to current and projected staffing levels and compensation practices.
The Board considered SAAMCo's reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board also considered the Trust's relationship with affiliated life insurance companies that offer the Portfolios through variable annuity and variable life insurance products. The Board considered SAAMCo's experience in providing management and investment advisory and administrative services to advisory clients. The Board also considered SAAMCo's code of ethics and its risk management process, and that SAAMCo has developed internal procedures, adopted by the Board, for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios' registration statement.
The Board also reviewed and considered SAAMCo's and each Subadviser's compliance and regulatory history, including information about whether any were involved in any litigation, regulatory actions or investigations that could impair their ability to serve as an adviser or subadviser to the Portfolios. The Board considered SAAMCo's and the Subadvisers' risk
385
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on SAAMCo's or the Subadvisers' ability to provide services to the Trust.
The Board concluded that it was satisfied with the nature, quality and extent of the services provided by or to be provided by SAAMCo and each Subadviser and that there was a reasonable basis on which to conclude that they would provide high quality services to the Trust.
Portfolio Fees and Expenses; Investment Performance.
The Board, including the Independent Trustees, received and reviewed information regarding the Portfolios' fees (actual or contractual management fees, subadvisory fees, non-management fees, and 12b-1 fees, if applicable), and expense ratios compared against such fees and expense ratios of the Expense Group/Universe for each Portfolio. Such fees and expense ratios were compared both before and after expense waivers, caps and reimbursements, if any. It was noted that with respect to subadvisory fees, SAAMCo negotiates such fees at arm's length. The Board also considered that the subadvisory fees are paid by SAAMCo out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid out by SAAMCo and the amount of the management fees which it retained and determined that these amounts were reasonable in light of the services performed by SAAMCo and the Subadvisers, respectively.
To assist in analyzing the reasonableness of the advisory and subadvisory fees, the Board received a report prepared independently by Broadridge Financial Solutions, Inc. ("Broadridge") as well as information provided by management. The Board also considered advisory fees received by the Adviser and the Subadvisers with respect to other mutual funds and accounts with similar investment strategies to the Portfolios each advises. Based on the information from Broadridge, the Board reviewed detailed information about peer groups of comparable mutual funds based on various factors such as the type of fund (those underlying variable insurance products), comparable investment objectives and strategies, among other factors. Referred to herein are "Expense Groups" and "Performance Groups" that represent those peer groups of funds used to compare expenses and performance, respectively.
The Trustees noted that expense information as a whole was useful in assessing whether SAAMCo and the Subadvisers were providing services at a cost that was competitive with other similar funds. The performance information included annualized returns for the period since inception and the one-, three-, five- and ten-year periods, as applicable, ended June 30, 2018 from Broadridge and performance information as of June 30, 2018 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to each Portfolio's overall performance, performance relative to each Portfolio's relevant benchmark and Morningstar and/or Broadridge peer groups, as applicable, and each Subadviser's performance within a Portfolio. The Board considered that management makes particular note of Portfolios that may require closer monitoring or potential corrective action by the Board.
As part of its review of the Portfolios' fees and expenses and performance, the Board considered information, including but not limited to the following expense and performance information, provided by Broadridge and management in making its determinations. It was noted that actual advisory and subadvisory fees and total expenses were calculated as of each Portfolio's most recent fiscal year end, which may vary among the Portfolio's Expense Group/Universe. The Board considered management's discussion of the Trust's multi-manager subadvisory management structure and its explanation that the structure results in increased advisory fees and expenses to these Portfolios but noted the potential benefits to this type of multi-manager strategy where the Portfolios have access to the expertise of multiple subadvisers and the varied investment techniques employed by each subadviser in connection with a Portfolio's investment objectives/strategies.
• SA Allocation Balanced Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual advisory fees were slightly above and total expenses were below the median of its Expense Group. The Board noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee. The Board took into consideration management's discussion of the Portfolio's fees.
386
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also noted that the Portfolio performed above the medians of its Performance Group for the one-, three- and five-year periods and at the median for the ten-year period. It was noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Allocation Growth Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual management fees were below the median of its Expense Group and that its total expenses were slightly above the median of its Expense Group. The Board took into consideration management's discussion of the Portfolio's expenses and noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed at the median of its Performance Group for the one-year period but below the medians for the three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Allocation Moderate Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's expenses and noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed at or above the medians of its Performance Group for the one-, three- and five-year periods but below the median for the ten-year period. The Board took into consideration management's discussion of the Portfolio's performance and noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Allocation Moderate Growth Portfolio (advised by SAAMCo). The Board considered that the Portfolio's actual management fees were below the median of its Expense Group and that its total expenses were slightly above the median of its Expense Group. The Board took into consideration management's discussion of the Portfolio's expenses and noted that SAAMCo has contractually agreed to waive 1 basis point of the advisory fee.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the medians of its Performance Group for the same periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that SAAMCo assumed full control of the Portfolio in July 2015.
• SA Multi-Managed Diversified Fixed Income Portfolio (subadvised by PineBridge and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board also considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio performed above the median of its Performance Group for the three-year period but below the medians for the one-, five- and ten-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that the Adviser reallocated the directly managed component of the Portfolio among the Subadvisers in 2013 as part of a restructuring of the Portfolio.
• SA Multi-Managed Growth Portfolio (components subadvised by Janus, J.P. Morgan, and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that the Portfolio is a multi-fund strategy and its costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SAAMCo has contractually agreed to waive 4 basis points of the advisory fee.
387
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was above the medians of the Portfolio's Performance Group for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed Income Portfolio (components subadvised by Janus and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SAAMCo has contractually agreed to waive 2 basis points of the advisory fee.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three- and five-year periods. The Board also noted that performance was at or above the medians of its Performance Group for the one-, three-, five-year and ten-year periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed Income/Equity Portfolio (components subadvised by Janus and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SAAMCo has contractually agreed to waive 3 basis points of the advisory fee.
The Board considered that the Portfolio performed above its benchmark index for the one-, three-, five- and ten-year periods. The Board further considered that the Portfolio performed at the medians of its Performance Group for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed International Equity Portfolio (advised/subadvised by SAAMCo, Janus and T. Rowe Price). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SAAMCo has contractually agreed to waive 4 basis points of the advisory fee.
The Board considered that the Portfolio outperformed its benchmark index for the one-year period but performed below that index for the three-, five- and ten-year periods. The Board noted that the Portfolio performed above the medians of its Performance Group for the one-, three- and five-year periods and below the median for the ten-year period. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that management replaced one of the Subadvisers in October 2014.
• SA Multi-Managed Large Cap Growth Portfolio (advised/subadvised by SAAMCo, GSAM and Janus). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SAAMCo is currently waiving 5 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of its Performance Group for the same periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that the Portfolio is managed by multiple Subadvisers.
• SA Multi-Managed Large Cap Value Portfolio (advised/subadvised by SAAMCo, American Century and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
388
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of its Performance Group for the same periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that management has subjected the Portfolio to heightened monitoring and added American Century to replace a Subadviser in October 2015.
• SA Multi-Managed Mid Cap Growth Portfolio (advised/subadvised by SAAMCo, T. Rowe Price and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the median of the Portfolio's Performance Group for the one-, three- and five-year periods but above the median for the ten-year period.
• SA Multi-Managed Mid Cap Value Portfolio (advised/subadvised by SAAMCo, T. Rowe Price and MFS). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was at the median of the Portfolio's Performance Group for the one-year period and below the medians for the three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that T. Rowe Price had replaced one of the Subadvisers in February 2017.
• SA Multi-Managed Moderate Growth Portfolio (components subadvised by Janus, J.P. Morgan and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SAAMCo has contractually agreed to waive 3 basis points of the advisory fee.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was above the medians of the Portfolio's Performance Group for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 due to performance.
• SA Multi-Managed Small Cap Portfolio (advised/subadvised by SAAMCo, J.P. Morgan, and PNC). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed above its benchmark index for the one-year period and below that index for the three-, five- and ten-year periods. The Board further considered that the Portfolio performed above the median of its Performance Group for the one-year period and below the median for the three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that PNC replaced one of the Subadvisers in December 2015.
• SA Columbia Focused Value Portfolio (subadvised by Columbia). The Board considered that the Portfolio's actual management fees were slightly above and total expenses were at the medians of its Expense Group. The Board noted that SAAMCo is currently waiving 32 basis points of the advisory fees pursuant to a contractual fee waiver agreement.
The Board also considered that the Portfolio outperformed its benchmark index for the one-, three-, five-and ten-year periods. The Board noted that the Portfolio performed above the medians of the Performance Group for the one-, three- and five-year periods but below the median for the ten-year period. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board also noted that management replaced the Subadvisers in July 2015.
389
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
• SA Putnam Asset Allocation Diversified Growth Portfolio (subadvised by Putnam). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SAAMCo had added a contractual fee waiver of 15 bps of the advisory fee.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed above the medians of its Performance Group for the one-, five- and ten-year periods and performed below the median for the three-year period.
• SA T. Rowe Price Growth Stock Portfolio (subadvised by T. Rowe Price). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio outperformed its benchmark index for the three-, five- and ten-year periods but performed below that index for the one-year period. The Board also considered that the Portfolio's performance was above the medians of its Performance Group for the three-, five- and ten-year periods but slightly below the median for the one-year period. The Board took into consideration management's discussion of the Portfolio's performance.
• SA Wellington Real Return Portfolio (subadvised by Wellington). The Board considered that the Portfolio's actual management fees were slightly above and total expenses were at the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and noted that SAAMCo was voluntarily waiving 5 bps of the advisory fee.
The Board considered that the Portfolio outperformed its benchmark index for the one-year period but performed below that index for the three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the medians of the Portfolio's Performance Group for the one-, three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance.
The Trustees noted that expense and performance information as a whole was useful in assessing whether the Subadvisers were providing services at a cost that was competitive with other similar funds.
Cost of Services & Benefits Derived.
With respect to indirect costs and benefits, the Board was informed, based on management's judgment, that any indirect costs incurred by SAAMCo in connection with rendering investment advisory services to the Trust were inconsequential to the analysis of the adequacy of the advisory fees, and that any collateral benefits derived as a result of providing advisory services to the Trust did not impact the reasonableness of the advisory fee. The Board considered that SAAMCo is paid an administrative services fee of up to 0.04% of the average daily net asset value of the Trust's Portfolios pursuant to an arrangement between SAAMCo and certain affiliated life insurance companies (the "Life Companies"). The Board considered that the Trust also pays VALIC Retirement Services Company, an affiliate of SAAMCo, a fee for the provision of recordkeeping and shareholder services to contract owners and participants.
In connection with benefits derived from the Trust, the Board considered that the Life Companies may benefit as a result of their direct ownership of the Portfolios' shares, which amounts may be significant. It was noted that in calculating their corporate income tax liability as insurance companies, the Life Companies, as corporate mutual fund shareholders, may exclude a portion of the ordinary dividends paid by underlying U.S. equities in the Portfolios to the same extent the Portfolios receive certain dividends with respect to shares of stock issued by domestic corporations, subject to applicable tax laws and regulations. In addition, the Life Companies may also rely on foreign tax credits with respect to certain foreign securities held by applicable Portfolios. The Board considered that the Life Companies receive financial support from SAAMCo and certain Subadvisers for distribution-related activities, including administrative, marketing and other servicing activities, including payments to help offset costs for marketing activities and training (including training of registered representatives of AIG
390
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
Capital Services, Inc., an affiliate of SAAMCo) to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives. It was noted that such payments may be derived from 12b-1 (service) fees that are deducted directly from the assets of the Portfolios or from investment management fees received by SAAMCo or the Subadvisers. In addition, the Board considered that, because shares of the Portfolios are offered as investment options through variable annuity or life contracts issued by the Life Companies (the "Variable Contracts"), the investment objectives, strategies and performance of the Portfolios may positively or negatively impact a Life Company's ability to hedge and the related hedging costs associated with guarantees that the Life Company may provide as the issuer of the Variable Contracts.
The Board concluded that any benefits that SAAMCo and its affiliates could be expected to receive with regard to providing investment advisory and other services to the Portfolios were reasonable.
Profitability and Economies of Scale.
The Board received information related to SAAMCo's profitability as well as the profitability of certain affiliates with respect to the services they provide to the Trust's Portfolios. The profitability analysis reflected the relationship between SAAMCo and American General Life Insurance Company ("AGL") that provides that SAAMCo contributes the profits earned through its management of the Portfolios of the Trust to AGL. The Board also considered that SAAMCo has entered into an agreement with The United States Life Insurance Company in the City of New York ("U.S. Life") wherein SAAMCo pays U.S. Life a fee to perform certain administrative services for the benefit of certain variable annuity contract owners. Pursuant to additional Administrative Services Agreements between SAAMCo and each of AGL and U.S. Life, SAAMCo pays a fee to each insurer and in return each insurer provides certain administrative, recordkeeping, accounting and similar such services to the Portfolios as they relate to the insurer's participants owning interest in shares of the Trust. The Board further considered that certain SAAMCo affiliates (i.e., AGL, U.S. Life and The Variable Annuity Life Insurance Company) provide services pursuant to certain agreements with the Trust and the Portfolios' Rule 12b-1 Plans. The Board determined that the profitability to SAAMCo in connection with its relationship to the Trust was reasonable. In addition, the Board considered the Investment Management Profitability Analysis prepared by an independent information service, Broadridge, and noted that SAAMCo's profitability was generally in the range of the profitability of companies contained in the report.
It was noted that the subadvisory fees paid pursuant to the Subadvisory Agreements are paid by SAAMCo out of the advisory fees that it receives under the Advisory Agreement. The Trustees also relied on the ability of SAAMCo to negotiate the Subadvisory Agreements and the fees thereunder at arm's length. It was noted that SAAMCo reviewed a number of factors in determining appropriate subadvisory fees payable to each Subadviser. Such factors include review of (1) style class peers primarily within the variable annuity universe; (2) key competitor analysis; (3) portfolio analysis; and (4) special considerations such as competitor subaccount characteristics, uniqueness of the product and the manager's prestige. The Board determined that the profitability to each Subadviser in connection with its relationship with the respective Portfolios is therefore not a material factor in their consideration of the Subadvisory Agreements.
The Board also received and considered information regarding the ability of the Portfolios to achieve economies of scale. It was noted that the advisory fees of nearly all Portfolios contain breakpoints that will reduce the fees paid by a Portfolio as its assets increase. The Board also considered that SAAMCo has voluntarily agreed to waive fees in certain instances, which was noted earlier in the discussion of fees. It was noted that as a result of being part of a complex of mutual funds advised or administered by SAAMCo, the Trust is able to share common resources and may share certain expenses, which could result in a Portfolio experiencing lower expenses than it otherwise would achieve if the Trust were a stand-alone entity. The Board considered that management believed that the Portfolios' existing fee schedules and the fee schedules for those Portfolios for which management proposed reductions or waivers reflect the economies of scale inherent in providing investment advice to a Portfolio in its particular asset category and asset size. The Board concluded that any potential economies of scale are currently being shared between the Trust and SAAMCo in an appropriate manner.
The Board considered that certain Subadvisory Agreements also contain breakpoints in the fee schedules, however, since SAAMCo, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreements, the Trust
391
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2019 (unaudited) (continued)
does not directly benefit from any reduction in subadvisory fee rates. For similar reasons as stated above with respect to the Subadvisers' profitability and the costs of their providing services, the Board concluded that the potential for economies of scale in the Subadvisers' management of the Portfolios are not a material factor in its consideration at this time.
Terms of Advisory Contracts.
The Board, including the Independent Trustees, reviewed the terms of the Advisory Contracts including the duties and responsibilities undertaken by SAAMCo and the Subadvisers as discussed above. The Board considered that SAAMCo pays all of its own expenses in connection with the performance of its duties, as well as the salaries, fees and expenses of the officers of the Trust who are employees of SAAMCo. The Board also reviewed the terms of payment for services rendered and noted that SAAMCo compensates the Subadvisers out of the fees it receives from the Trust. The Board noted that each Subadvisory Agreement provides that the Subadviser will pay all of its own expenses in connection with the performance of its duties as well as the cost of maintaining the staff and personnel as necessary for it to perform its obligations. The Board also considered other terms and conditions of the Advisory Contracts.
Conclusions.
In reaching its decision to recommend the renewal of the Advisory Contracts, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that SAAMCo and the Subadvisers possess the capability and resources to perform the duties required of them under their respective Advisory Contracts.
Further, based upon its review of the Advisory Contracts, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Advisory Contracts are reasonable, fair and in the best interest of the Portfolios and their shareholders, and (2) the advisory fee rates and subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.
392
SEASONS SERIES TRUST
RESULTS OF SPECIAL SHAREHOLDER MEETINGS
March 31, 2019 (unaudited)
On September 20, 2018, a Special Meeting of Shareholders was held to consider a proposal to approve an Agreement and Plan of Reorganization pursuant to which the SA Columbia Focused Growth Portfolio (the "Acquired Fund"), a series of the Seasons Series Trust, would transfer all of its assets to the SA AB Growth Portfolio (the "Acquiring Fund"), a series of SunAmerica Series Trust, in exchange solely for the assumption of the Acquired Fund's liabilities by the Acquiring Fund and Class 1, Class 2 and Class 3 shares of the Acquiring Fund, which shares will be distributed by the Acquired Fund to the holders of its shares in complete liquidation thereof. The proposal was approved and voting results of this Special Meeting were as follows:
For | Against | Abstain | |||||||||
4,325,707 | 136,442 | 366,381 |
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited)
The following table contains information regarding the Trustees and Officers that oversee operations of the Portfolios and other investment companies within the Fund complex.
Name, Address and Age† | Position Held With Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee(3) | ||||||||||||||||||
Independent Trustees | |||||||||||||||||||||||
Garrett F. Bouton Age: 74 | Trustee | 2007- | Present | Retired (2003-Present); Managing Director and CEO, Barclays Global Investors (1996-2003). | 77 | Chairman/Director, The LECG Company (consulting services) (2006-2010). | |||||||||||||||||
Carl D. Covitz Age: 80 | Trustee | 2001- | Present | Owner and President, Landmark Capital, Inc. (1973-Present). | 77 | Director, Arden Realty, Inc. (real estate) (1995-2006). | |||||||||||||||||
Jane Jelenko Age: 70 | Trustee | 2006- | Present | Retired Partner, KPMG, LLP and Managing Director, Bearingpoint, Inc. (formerly KPMG Consulting) (2003-Present). | 77 | Director, Countrywide Bank (banking) (2003-2008); and Director, Cathay General Bancorp and Cathay Bank (banking) (2012-Present). | |||||||||||||||||
Gilbert T. Ray Age: 74 | Trustee | 2001- | Present | Retired Partner, O'Melveny & Myers LLP (law firm) (2000-Present). | 77 | Director, Advance Auto Parts, Inc. (retail-auto & home supply stores) (2002-Present); Director, Watson, Wyatt Worldwide (services — management consulting services) (2000-2009); Director, DineEquity (services — restaurant) (2004-Present); Director, Diamond Rock Hospitality (financial — real estate) (2005-Present); Director, Towers Watson & Co. (services — management consulting services) (2010-Present). | |||||||||||||||||
Allan L. Sher Age: 87 | Trustee | 1997- | Present | Retired, Brokerage Executive (1992-Present). | 77 | Director, Bowl America Inc. (1997-Present). | |||||||||||||||||
Bruce G. Willison Age: 70 | Trustee and Chairman | 2001- | Present | Professor of Management, Anderson School at UCLA (1999-2011); Dean, Anderson School at UCLA (1999-2005); co-founder, Grandpoint Capital, Inc. (2009-2010). | 77 | Director , GrandPoint Bank (banking) (2011-Present); Director Indy Mac Bancorp (banking) (2003-2008); Director, Move, Inc. ( internet real estate site) (2003-Present); Director, Health Net, Inc. (health insurance plan) (2000-2016). | |||||||||||||||||
Interested Trustee | |||||||||||||||||||||||
Peter A. Harbeck(4) Age: 65 | Trustee | 2014- | Present | President, CEO and Director, SAAMCo (1995-Present); Director, AIG Capital Services, Inc. ("ACS") (1993-Present). Chairman, President and CEO, Advisor Group, Inc. (2004-2016) | 150 | None. |
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)
Name, Address and Age† | Position Held With Trust | Length of Time Served(1) | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Officer(2) | Other Directorship(s) Held by Officer(3) | ||||||||||||||||||
Officers | |||||||||||||||||||||||
John T. Genoy Age: 50 | President | 2007- | Present | Chief Financial Officer and Director, SAAMCo (2002-Present); Senior Vice President, SAAMCo (2003-Present); Chief Operating Officer, SAAMCo (2006-Present). | N/A | N/A | |||||||||||||||||
Gregory R. Kingston Age: 53 | Treasurer | 2014- | Present | Vice President, SAAMCo (2001-Present); Head of Mutual Fund Administration (2014-Present). | N/A | N/A | |||||||||||||||||
Christopher C. Joe Age: 50 | Chief Compliance Officer | 2017- | Present | Chief Compliance Officer, AIG Funds, Seasons Series Trust, SunAmerica Series Trust, VALIC Company I and VALIC Company II (2017-Present); Chief Compliance Officer, VALIC Retirement Services Company (2017-Present); Chief Compliance Officer, Invesco Powershares (2012-2017); Chief Compliance Officer, Invesco Investment Advisers, LLC (2010-2013); U.S. Compliance Director, Invesco, Ltd (2006-2014); Deputy Chief Compliance Officer, Invesco Advisers, Inc. (2014-2015). | N/A | N/A | |||||||||||||||||
Kathleen D. Fuentes Age: 50 | Chief Legal Officer, Vice President and Secretary | 2015- | Present | Vice President and Deputy General Counsel, SAAMCo (2006-Present). | N/A | N/A | |||||||||||||||||
Gregory N. Bressler Age: 52 | Vice President and Assistant Secretary | 2005- | Present | Senior Vice President and General Counsel, SAAMCo (2005-Present). | N/A | N/A | |||||||||||||||||
Shawn Parry Age: 46 | Vice President and Assistant Treasurer | 2014- | Present | Assistant Vice President, SAAMCo (2005-2014); Vice President, SAAMCo (2014-Present) | N/A | N/A | |||||||||||||||||
Donna McManus Age: 58 | Vice President and Assistant Treasurer | 2014- | Present | Vice President, SAAMCo (2014-Present); Managing Director, BNY Mellon (2009-2014). | N/A | N/A | |||||||||||||||||
Matthew J. Hackethal Age: 47 | Anti-Money Laundering Compliance Officer | 2006- | Present | Acting Chief Compliance Officer (2016-2017); Chief Compliance Officer, SAAMCo (2007-Present) and Vice President, SAAMCo (2011-Present). | N/A | N/A | |||||||||||||||||
Timothy Pettee Age: 60 | Vice President | 2018- | Present | Lead Portfolio Manager, Rules Based Funds (2013-Present); Chief Investment Strategist (2013-Present); Chief Investment Officer, SunAmerica (2003-2013). | N/A | N/A |
† The business address for each Trustee and Officer is 21650 Oxnard Street, 10th Fl. Woodland Hills, CA 91367-4901.
(1) Trustees serve until their successors are duly elected and qualified. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his/her successor is duly elected and qualified.
(2) The "Fund Complex" consists of all registered investment company portfolios for which SAAMCo serves as investment adviser or administrator. The "Fund Complex" includes the Trust (19 portfolios), SunAmerica Specialty Series (6 funds), SunAmerica Series Trust (58 portfolios), SunAmerica Money Market Funds, Inc. (1 fund), SunAmerica Equity Funds (2 funds), SunAmerica Income Funds (3 funds), SunAmerica Series, Inc. (6 portfolios), Anchor Series Trust (5 portfolios), SunAmerica Senior Floating Rate Fund, Inc. (1 fund), VALIC Company I (34 funds), VALIC Company II (15 funds).
(3) Directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., "public companies") or other investment companies regulated under the 1940 Act other than those listed under the preceding column.
(4) Interested Trustee, as defined within the Investment Company Act of 1940, because he serves as President, CEO and Director of SAAMCo, and Director of ACS.
Additional information concerning the Trustees and Officers is contained in the Statement of Additional Information and is available without charge by calling (800) 445-SUN2.
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SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited)
Total Dividends | Net Investment Income | Net Short-term Capital Gains* | Net Long-Term Capital Gains | Qualifying % for the Dividends Received Deductions | |||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | $ | 1.79 | $ | 0.18 | $ | 0.10 | $ | 1.51 | 58.47 | % | |||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | 1.76 | 0.15 | 0.10 | 1.51 | 58.47 | ||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 1.73 | 0.12 | 0.10 | 1.51 | 58.47 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 1.08 | 0.18 | 0.05 | 0.85 | 40.28 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 1.06 | 0.16 | 0.05 | 0.85 | 40.28 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 1.04 | 0.14 | 0.05 | 0.85 | 40.28 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.75 | 0.23 | 0.01 | 0.51 | 19.27 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | 0.73 | 0.21 | 0.01 | 0.51 | 19.27 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.72 | 0.20 | 0.01 | 0.51 | 19.27 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.55 | 0.25 | 0.02 | 0.28 | 8.36 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 2 | 0.53 | 0.23 | 0.02 | 0.28 | 8.36 | ||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.52 | 0.22 | 0.02 | 0.28 | 8.36 | ||||||||||||||||||
SA Putnam Diversified Growth Portfolio Class 1 | 0.69 | 0.25 | 0.11 | 0.33 | 33.89 | ||||||||||||||||||
SA Putnam Diversified Growth Portfolio Class 2 | 0.67 | 0.23 | 0.11 | 0.33 | 33.89 | ||||||||||||||||||
SA Putnam Diversified Growth Portfolio Class 3 | 0.66 | 0.22 | 0.11 | 0.33 | 33.89 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 | 6.91 | — | 0.33 | 6.58 | 72.52 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | 6.91 | — | 0.33 | 6.58 | 72.52 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 | 6.91 | — | 0.33 | 6.58 | 72.52 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth - Class 1 | 2.55 | 0.10 | 0.12 | 2.33 | 98.38 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth - Class 2 | 2.52 | 0.07 | 0.12 | 2.33 | 98.38 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth - Class 3 | 2.51 | 0.06 | 0.12 | 2.33 | 98.38 | ||||||||||||||||||
SA Multi-Managed Large Cap Value - Class 1 | 2.35 | 0.34 | 0.31 | 1.70 | 65.76 | ||||||||||||||||||
SA Multi-Managed Large Cap Value - Class 2 | 2.32 | 0.31 | 0.31 | 1.70 | 65.76 | ||||||||||||||||||
SA Multi-Managed Large Cap Value - Class 3 | 2.30 | 0.29 | 0.31 | 1.70 | 65.76 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | 2.19 | — | 0.56 | 1.63 | 28.26 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 2.19 | — | 0.56 | 1.63 | 28.26 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | 2.19 | — | 0.56 | 1.63 | 28.26 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 1 | 1.31 | 0.16 | 0.33 | 0.82 | 50.70 |
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Total Dividends | Net Investment Income | Net Short-term Capital Gains* | Net Long-Term Capital Gains | Qualifying % for the Dividends Received Deductions | |||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 2 | $ | 1.28 | $ | 0.13 | $ | 0.33 | $ | 0.82 | 50.70 | % | |||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 3 | 1.26 | 0.11 | 0.33 | 0.82 | 50.70 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 1.09 | 0.03 | 0.12 | 0.94 | 96.92 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 1.06 | — | 0.12 | 0.94 | 96.92 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 1.06 | — | 0.12 | 0.94 | 96.92 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.26 | 0.26 | — | — | 0.63 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.24 | 0.24 | — | — | 0.63 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.23 | 0.23 | — | — | 0.63 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 | 0.34 | 0.31 | 0.02 | 0.01 | — | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 2 | 0.32 | 0.29 | 0.02 | 0.01 | — | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 3 | 0.31 | 0.28 | 0.02 | 0.01 | — | ||||||||||||||||||
SA Wellington Real Return Portfolio Class 1 | 0.36 | 0.36 | — | — | 0.08 | ||||||||||||||||||
SA Wellington Real Return Portfolio Class 3 | 0.32 | 0.32 | — | — | 0.08 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 2.80 | 0.84 | — | 1.96 | 87.27 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 2.70 | 0.74 | — | 1.96 | 87.27 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 2.61 | 0.65 | — | 1.96 | 87.27 | ||||||||||||||||||
SA Allocation Growth Portfolio Class 1 | 1.59 | 0.54 | 0.07 | 0.98 | 41.09 | ||||||||||||||||||
SA Allocation Growth Portfolio Class 3 | 1.54 | 0.49 | 0.07 | 0.98 | 41.09 | ||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 | 1.96 | 0.56 | 0.07 | 1.33 | 32.53 | ||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | 1.91 | 0.51 | 0.07 | 1.33 | 32.53 | ||||||||||||||||||
SA Allocation Moderate Portfolio Class 1 | 1.76 | 0.56 | 0.06 | 1.14 | 28.33 | ||||||||||||||||||
SA Allocation Moderate Portfolio Class 3 | 1.70 | 0.50 | 0.06 | 1.14 | 28.33 | ||||||||||||||||||
SA Allocation Balanced Portfolio Class 1 | 1.52 | 0.55 | 0.05 | 0.92 | 20.45 | ||||||||||||||||||
SA Allocation Balanced Portfolio Class 3 | 1.47 | 0.50 | 0.05 | 0.92 | 20.45 |
* Short-Term capital gains are treated as ordinary income for tax purposes.
The International Equity, Allocation Growth, Allocation Moderate Growth, Allocation Moderate and Allocation Balanced Portfolios make an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Portfolios to its shareholders. The total amounts of foreign taxes passed through to the shareholders and gross foreign source income for fiscal year ended March 31, 2019 were $1,201,434, $90,126, $221,737, $104,998 and $54,852 respectively. The foreign source income information reporting is $10,878,977, $732,855, $1,800,552, $880,027 and $459,607 respectively.
397
SEASONS SERIES TRUST
INDIVIDUAL PORTFOLIO REVIEWS (unaudited)
To help you better understand the investment management of the Portfolios, we have included on the following pages investment comments regarding the 19 investment portfolios of the Seasons Series Trust:
Seasons Strategies
1. SA Multi-Managed Growth Portfolio
2. SA Multi-Managed Moderate Growth Portfolio
3. SA Multi-Managed Income/Equity Portfolio
4. SA Multi-Managed Income Portfolio
5. SA Putnam Asset Allocation Diversified Growth Portfolio
6. SA T. Rowe Price Stock Portfolio
Seasons Select Portfolios
7. SA Multi-Managed Large Cap Growth Portfolio
8. SA Multi-Managed Large Cap Value Portfolio
9. SA Multi-Managed Mid Cap Growth Portfolio
10. SA Multi-Managed Mid Cap Value Portfolio
11. SA Multi-Managed Small Cap Portfolio
12. SA Multi-Managed International Equity Portfolio
13. SA Multi-Managed Diversified Fixed Income Portfolio
14. SA Wellington Real Return Portfolio
Seasons Focused Portfolios
15. SA Columbia Focused Value Portfolio
Seasons Managed Allocation Portfolios
16. SA Allocation Growth Portfolio
17. SA Allocation Moderate Growth Portfolio
18. SA Allocation Moderate Portfolio
19. SA Allocation Balanced Portfolio
Asset allocations for each Portfolio, as shown in your prospectus, represent a "neutral asset allocation mix"; actual allocations may vary based on performance and the money managers' evaluation of market conditions. For more information on the composition of the Seasons Strategies as well as their underlying portfolios, please refer to your prospectus.
Seasons Select Portfolios are two-thirds actively managed, one-third passively managed. The one-third passive management is designed to replicate the performance of the appropriate index. Each of the remaining thirds is actively managed by experts who bring their knowledge and experience to the security selection and asset allocation processes.
The Focused Portfolios invest in a concentrated group of securities hand-picked by a leading money manager from investment opportunities in specific industries and market sectors. Although this concentrated approach offers potentially higher returns, it also comes with potentially higher risk.
In the following pages, we have also included graphs that compare the portfolio's performance with certain market indices. These graphs show the hypothetical growth of a $10,000 investment in the Seasons Series Trust portfolio versus the same $10,000 investment in comparable market indices, from the portfolio's inception date through March 31, 2019. Importantly, such indices represent "paper" portfolios and do not reflect the costs and expenses of actual investing. Descriptions of these market indices are provided next to the individual graphs.
Please note that the graphs and tables that accompany the following investment comments show the performance of the portfolio at the Seasons Series Trust level. The returns shown represent Class 1 shares, unless otherwise noted, and include all trust expenses, but no insurance company expenses associated with the variable
398
annuity contract, and no contingent deferred sales charge. The returns for Class 2 and Class 3 shares differ from Class 1 only to the extent that Class 2 and Class 3 shares are subject to 12b-1 fees. All dividends are assumed to be reinvested. No expenses are deducted from the performance of the indices.
Market indices referenced are unmanaged. You cannot invest directly in an index. Investments in stocks and bonds are subject to risk, including stock market and interest-rate fluctuations. Investments in non-U.S. stocks are subject to additional risks, including political and social instability, differing securities regulations and accounting standards, and limited public information. Mortgage-backed securities are subject to prepayment, which can result in reinvestment of principal at lower yields. Money market instruments generally offer stability and income, but an investment in these securities, like investments in other portfolios, is not guaranteed by the U.S. government or any other entity. Lower rated high yield, high-risk securities generally involve more credit risk. These securities may also be subject to greater market price fluctuations than lower yielding, higher rated debt securities. The common stocks of medium-sized companies may be more volatile than those of larger, more established companies. Investing in real estate involves special risks, which may not be associated with investing in stocks, including possible declines in real estate values, adverse economic conditions, and changes in interest rates. Investments in small capitalization and emerging growth companies involve greater than average risk. Such securities may have limited marketability and the issuers may have limited product lines, markets and financial resources. The value of such investments may fluctuate more widely than investments in larger, more established companies. The technology industry can be significantly affected by obsolescence, short product cycles, falling prices and profits, and competition from new market participants. Funding choices that primarily invest in one sector are more volatile than those that diversify across many industry sectors and companies.
399
SA Multi-Managed Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | J.P. Morgan Investment Management Inc. Janus Capital Management LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 7.37 | % | 7.18 | % | 7.11 | % | |||||||||
5-Year | 7.90 | % | 7.73 | % | 7.63 | % | |||||||||
10-Year | 12.01 | % | 11.84 | % | 11.73 | % | |||||||||
Since Inception | 8.10 | % | 4.45 | % | 8.26 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
6 The Blended Index consists of 51% Russell 1000® Index, 27% Bloomberg Barclays U.S. Aggregate Bond Index, 20% Russell 2000® Index, and 2% FTSE Treasury Bill 3 month Index.
7 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Growth Portfolio — Class 1
The SA Multi-Managed Growth Portfolio — Class 1 shares posted a return of 7.37% for the 12-month period ending March 31, 2019, compared to a 9.50% return for the S&P 500® Index, a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index and a 6.77% return for the Blended Index, which is comprised of 71% equity and 29% fixed income and short-term bonds.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
400
SA Multi-Managed Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. Positioning in Treasury Inflation Protected Securities (TIPS) detracted from relative results as TIPS underperformed duration-equivalent nominal U.S. Treasuries during the period. Additionally, the Portfolio held select emerging markets sovereign debt which detracted modestly from relative results. Tactical duration and yield curve positioning had a negative impact on relative performance overall. The Portfolio's holdings within investment grade credit added to performance, particularly within the industrials sector. Also adding to performance was the Portfolio's exposure to the high yield sector. Allocations to securitized sectors (non-agency residential mortgage backed securities, high quality collateralized loan obligation, and commercial mortgage backed securities) also contributed to performance.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was largely due to stock selection within the information technology sector. Flex, Ltd. was the largest detractor from relative performance within the sector. An underweight to Apple, Inc. also detracted from performance within the sector. Stock selection in the health care, consumer staples and communication services sectors also detracted from relative results. Meanwhile, stock selection in the industrial, consumer discretionary and financial sectors contributed to relative performance during the year. As part of the Portfolio construction process, sector weights are aligned closely to the benchmark. As such, sector weighting had minimal impact on relative results.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. underperformed its benchmark for the period. Stock selection in the industrial cyclical and retail sectors detracted from performance. Stock selection in the pharmaceutical and finance sectors contributed to performance. Overweight positions in the software and services and health services and systems sectors added to results. Alternatively, the Portfolio's underweight positioning in the utilities and Real Estate Investment Trusts (REITs) sectors hurt performance. At the individual stock level, overweight positions in Tivity Health, Inc., Tenneco, Inc. and Frontier Communications Corp. weighed on results. Overweight positions in Mallinckrodt PLC, Molina Healthcare, Inc. and Reata Pharmaceuticals, Inc., Class A contributed to performance. As of March 31, 2019, the Portfolio's largest overweight exposures are in the energy and semiconductors hardware sectors. The largest underweight exposures are in the health services & systems and REITs sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
401
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital, with capital preservation as a secondary objective | ||||||
Managers: | J.P. Morgan Investment Management Inc. Janus Capital Management, LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 6.67 | % | 6.50 | % | 6.37 | % | |||||||||
5-Year | 6.87 | % | 6.71 | % | 6.61 | % | |||||||||
10-Year | 10.53 | % | 10.37 | % | 10.26 | % | |||||||||
Since Inception | 7.45 | % | 4.49 | % | 7.30 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
6 The Blended Index consists of 37.9% Russell 1000® Index, 42.3% Bloomberg Barclays U.S. Aggregate Bond Index, 18% Russell 2000® Index, and 1.8% FTSE Treasury Bill 3 months Index.
7 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Moderate Growth Portfolio — Class 1
The SA Multi-Managed Moderate Growth Portfolio — Class 1 shares posted a return of 6.67% for the 12-month period ending March 31, 2019, compared to a 9.50% return for the S&P 500® Index, a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index and a 6.26% return for the Blended Index, which is comprised of 56% equity and 44% fixed income and short-term bonds.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
402
SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio allocates its assets among three distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. Positioning in Treasury Inflation Protected Securities (TIPS) detracted from relative results as TIPS underperformed duration-equivalent nominal U.S. Treasuries during the period. Additionally, the Portfolio held select emerging markets sovereign debt which detracted modestly from relative results. Tactical duration and yield curve positioning had a negative impact on relative performance overall. The Portfolio's holdings within investment grade credit added to performance, particularly within the industrials sector. Also adding to performance was the Portfolio's exposure to the high yield sector. Allocations to securitized sectors (non-agency residential mortgage backed securities, high quality collateralized loan obligation, and commercial mortgage backed securities) also contributed to performance.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was largely due to stock selection within the information technology sector. Flex, Ltd. was the largest detractor from relative performance within the sector. An underweight to Apple, Inc. also detracted from performance within the sector. Stock selection in the health care, consumer staples and communication services sectors also detracted from relative results. Meanwhile, stock selection in the industrial, consumer discretionary and financial sectors contributed to relative performance during the year. As part of the Portfolio construction process, sector weights are aligned closely to the benchmark. As such, sector weighting had minimal impact on relative results. Country weightings also had almost no impact on relative results.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. underperformed its benchmark for the period. Stock selection in the industrial cyclical and retail sectors detracted from performance. Stock selection in the pharmaceutical and finance sectors contributed to performance. Overweight positions in the software and services and health services and systems sectors added to results. Alternatively, the Portfolio's underweight positioning in the utilities and Real Estate Investment Trusts (REITs) sectors hurt performance. At the individual stock level, overweight positions in Tivity Health, Inc., Tenneco, Inc. and Frontier Communications Corp. weighed on results. Overweight positions in Mallinckrodt PLC, Molina Healthcare, Inc. and Reata Pharmaceuticals, Inc., Class A contributed to performance. As of March 31, 2019, the Portfolio's largest overweight exposures are in the energy and systems hardware sectors. The largest underweight exposures are in the Health Services & Systems and REITs sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
403
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited)
Investment Goal: | Conservation of principal while maintaining some potential for long-term growth of capital | ||||||
Managers: | Janus Capital Management LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income/Equity Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 6.86 | % | 6.69 | % | 6.55 | % | |||||||||
5-Year | 5.49 | % | 5.32 | % | 5.23 | % | |||||||||
10-Year | 8.26 | % | 8.09 | % | 7.99 | % | |||||||||
Since Inception | 6.51 | % | 4.78 | % | 6.07 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
5 The Blended Index consists of 33.4% Russell 1000® Index, 63.8% Bloomberg Barclays U.S. Aggregate Bond Index, and 2.8% FTSE Treasury Bill 3 month Index.
6 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income/Equity Portfolio — Class 1
The SA Multi-Managed Income/Equity Portfolio — Class 1 shares posted a return of 6.86% for the 12-month period ending March 31, 2019, compared to a 9.50% return for the S&P 500® Index and a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index. The Blended Index, comprising approximately 33% equity and 67% fixed income and short-term bonds, returned 6.30%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company, LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
404
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. Positioning in Treasury Inflation Protected Securities (TIPS) detracted from relative results as TIPS underperformed duration-equivalent nominal U.S. Treasuries during the period. Additionally, the Portfolio held select emerging markets sovereign debt which detracted modestly from relative results. Tactical duration and yield curve positioning had a negative impact on relative performance overall. The Portfolio's holdings within investment grade credit added to performance, particularly within the industrials sector. Also adding to performance was the Portfolio's exposure to the high yield sector. Allocations to securitized sectors (non-agency residential mortgage backed securities, high quality collateralized loan obligation, and commercial mortgage backed securities) also contributed to performance.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was largely due to stock selection within the information technology sector. Flex, Ltd. was the largest detractor from relative performance within the sector. An underweight to Apple, Inc. also detracted from performance within the sector. Stock selection in the health care, consumer staples and communication services sectors also detracted from relative results. Meanwhile, stock selection in the industrial, consumer discretionary and financial sectors contributed to relative performance during the year. As part of the Portfolio construction process, sector weights are aligned closely to the benchmark. As such, sector weighting had minimal impact on relative results. Country weightings also had almost no impact on relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
405
SA Multi-Managed Income Portfolio Class 1 (unaudited)
Investment Goal: | Capital preservation | ||||||
Managers: | Janus Capital Management LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 5.39 | % | 5.22 | % | 5.10 | % | |||||||||
5-Year | 4.09 | % | 3.94 | % | 3.84 | % | |||||||||
10-Year | 6.56 | % | 6.40 | % | 6.29 | % | |||||||||
Since Inception | 5.74 | % | 4.65 | % | 5.05 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
5 The Blended Index consists of 17.35% Russell 1000® Index, 80.95% Bloomberg Barclays U.S. Aggregate Bond Index, and 1.70% FTSE Treasury Bill 3 month Index.
6 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income Portfolio — Class 1
The SA Multi-Managed Income Portfolio — Class 1 shares posted a return of 5.39% for the 12-month period ending March 31, 2019, compared to a 9.50% return for the S&P 500® Index and a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index. The Blended Index, comprising approximately 17% equity and 83% fixed income and short-term bonds, returned 5.46%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg Barclays U.S. Aggregate Bond Index. The growth component, managed by Janus Capital Management LLC, is benchmarked to the Russell 1000 Growth index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
406
SA Multi-Managed Income Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. Positioning in Treasury Inflation Protected Securities (TIPS) detracted from relative results as TIPS underperformed duration-equivalent nominal U.S. Treasuries during the period. Additionally, the Portfolio held select emerging markets sovereign debt which detracted modestly from relative results. Tactical duration and yield curve positioning had a negative impact on relative performance overall. The Portfolio's holdings within investment grade credit added to performance, particularly within the industrials sector. Also adding to performance was the Portfolio's exposure to the high yield sector. Allocations to securitized sectors (non-agency residential mortgage backed securities, high quality collateralized loan obligation, and commercial mortgage backed securities) also contributed to performance.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was largely due to stock selection within the information technology sector. Flex, Ltd. was the largest detractor from relative performance within the sector. An underweight to Apple, Inc. also detracted from performance within the sector. Stock selection in the health care, consumer staples and communication services sectors also detracted from relative results. Meanwhile, stock selection in the industrial, consumer discretionary and financial sectors contributed to relative performance during the year. As part of the Portfolio construction process, sector weights are aligned closely to the benchmark. As such, sector weighting had minimal impact on relative results. Country weightings also had almost no impact on relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
407
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited)
Investment Goal: | Capital appreciation | ||||||
Manager: | Putnam Investment Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Asset Allocation Diversified Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 2.43 | % | 2.26 | % | 2.25 | % | |||||||||
5-Year | 6.70 | % | 6.54 | % | 6.43 | % | |||||||||
10-Year | 12.22 | % | 12.05 | % | 11.95 | % | |||||||||
Since Inception | 6.04 | % | 4.94 | % | 7.40 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
3 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
5 The Blended Index consists of 60% Russell 3000 Index, 15% Bloomberg Barclays U.S. Aggregate Bond Index, 15% MSCI EAFE Index (net), 5% JP Morgan Developed High Yield Index and 5% MSCI Emerging Markets Index (net).
6 The JP Morgan Developed High Yield Index is designed to mirror the investable universe of the US dollar developed high yield corporate debt market, including domestic and international issues. International issues are comprised of only developed market issues.
7 MSCI Emerging Markets Index (net) captures large and mid cap representation across 24 emerging market countries. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Putnam Asset Allocation Diversified Growth Portfolio — Class 1
The SA Putnam Asset Allocation Diversified Growth Portfolio — Class 1 shares posted a return of 2.43% for the 12-month period ending March 31, 2019, compared to an 8.77% return for the Russell 3000 Index and a 5.41% return for the Blended Index of 60% Russell 3000 Index, 15% MSCI EAFE Index (net), 15% Bloomberg Barclays U.S. Aggregate Bond Index, 5% JP Morgan Developed High Yield Index, and 5% MSCI Emerging Markets Index (net).
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
408
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio produced positive returns on an absolute basis, but underperformed the Blended Index for the period. Asset classes delivered mixed returns. U.S. large cap equities and high yield were the best performers. International developed and emerging markets equities finished negative. Core fixed income and U.S. small cap equities finished positive. Security selection and active implementation decisions detracted for the period.
Overall asset allocation decisions were positive over the past 12 months. Being slightly underweight core bond holdings was a slight detractor while being overweight U.S. large cap equities added value. Most allocations were kept relatively close to benchmark, though the Portfolio was slightly overweight U.S. equities and underweight core fixed income during the period.
Security selection and active implementation had a negative impact on the Portfolio during the past year. Security selection within U.S. large cap equities, emerging market equities and international developed equities were all negative. Selection within core fixed income was the one positive contributor.
The Portfolio uses equity futures as part of the equity strategies and currency forwards to gain or hedge foreign currency exposure. Overall, the Portfolio's use of equity futures and currency forwards detracted from absolute performance for the year.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
409
SA T. Rowe Price Growth Stock Portfolio Class 1 (unaudited)
Investment Goal: | Long-term capital appreciation, with a secondary objective of increasing dividend income | ||||||
Manager: | T. Rowe Price Associates, Inc. |
Growth of a $10,000 Investment
SA T. Rowe Price Growth Stock Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 10.40 | % | 10.23 | % | 10.08 | % | |||||||||
5-Year | 13.42 | % | 13.25 | % | 13.13 | % | |||||||||
10-Year | 17.36 | % | 17.18 | % | 17.06 | % | |||||||||
Since Inception | 9.62 | % | 7.15 | % | 10.54 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The Russell 1000® Growth Index consists of stocks with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA T. Rowe Price Growth Stock Portfolio — Class 1
The SA T. Rowe Price Growth Stock Portfolio — Class 1 shares returned 10.40% for the 12-month period ending March 31, 2019, compared to a return of 12.75% for the Russell 1000 Growth Index.
The Portfolio underperformed the Russell 1000 Growth Index for the 12-month period ended March 31, 2019. Both the Portfolio and Index generated positive absolute returns.
Stock selection drove relative underperformance during the period. Of the securities held in the Portfolio during the period, Apple, Inc. (underweight), Booking Holdings, Inc., Broadcom, Inc. (underweight), and Wynn Resorts, Ltd. were the most significant detractors from relative performance. On the positive side, Amazon.com, Inc., Intuit, Inc., Worldpay, Inc., VMware, Inc., and Facebook, Inc. contributed the most to relative results.
Sector allocation slightly detracted from relative performance during the period. Most notably, an underweight to the information technology sector and an overweight to the communication services sector detracted from relative results. On the positive side, a lack of exposure to the energy sector and an underweight to the industrials and business services sector contributed to relative returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
410
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | Goldman Sachs Asset Management, L.P. Janus Capital Management LLC SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 11.68 | % | 11.52 | % | 11.38 | % | |||||||||
5-Year | 12.08 | % | 11.93 | % | 11.81 | % | |||||||||
10-Year | 15.92 | % | 15.75 | % | 15.63 | % | |||||||||
Since Inception | 6.08 | % | 5.01 | % | 9.47 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Growth Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: sales growth, earnings to price and momentum. The index is comprised of stocks identified as pure growth, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.
2 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Growth Portfolio — Class 1
The SA Multi-Managed Large Cap Growth Portfolio — Class 1 shares returned 11.68% for the 12-month period ending March 31, 2019, compared to a 12.77% return for the S&P® 500 Growth Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. large cap growth stocks.
The Portfolio component managed by Janus Capital Management LLC trailed its benchmark for the period. Relative underperformance was largely due to stock selection within the information technology sector. Flex, Ltd. was the largest detractor from relative performance within the sector. An underweight to Apple, Inc. also detracted from performance within the sector. Stock selection in the health care, consumer staples and communication services sectors also detracted from relative results. Meanwhile, stock selection in the industrial, consumer discretionary and financials sectors contributed to relative performance during the year. As part of the Portfolio construction process, sector weights are aligned closely to the benchmark. As such, sector weighting had minimal impact on relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
411
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Goldman Sachs Asset Management, L.P. trailed its benchmark for the period. Stock selection in the health care and communication services sectors contributed to returns, while stock selection in the industrials and consumer staples sectors detracted from performance. Key contributors to performance in the health care sector included Eli Lilly & Co. and Boston Scientific Corp., while contributors to performance within the communication services sector included Electronic Arts, Inc. and Netflix, Inc. Key detractors from performance in the industrials sector included Northrop Grumman Corp. and XPO Logistics, Inc. Key detractors in the consumer staples sector included Kraft Heinz Co. and Monster Beverage Corp.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
412
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | American Century Investment Management Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Value Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 4.25 | % | 4.06 | % | 3.94 | % | |||||||||
5-Year | 6.43 | % | 6.27 | % | 6.17 | % | |||||||||
10-Year | 13.38 | % | 13.20 | % | 13.10 | % | |||||||||
Since Inception | 6.50 | % | 6.27 | % | 8.05 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Value Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: book value to price ratio, earnings to price ratio and sales to price ratio. The index is comprised of stocks identified as pure value, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Value Portfolio — Class 1
The SA Multi-Managed Large Cap Value Portfolio — Class 1 shares returned 4.25% for the 12-month period ending March 31, 2019, compared to a 5.93% return for the S&P® 500 Value Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. large cap value stocks.
The Portfolio component managed by American Century Investment Management Inc. outperformed its benchmark for the period. Sector allocation overall contributed to the Portfolio's relative performance for the period. The Portfolio's overweights in the health care and energy sectors boosted performance. The Portfolio's underweights in the materials and financials sectors also helped returns. Conversely, the Portfolio's underweights in the real estate and utilities sectors detracted somewhat from Portfolio returns. Security selection was also additive overall. Selection in the consumer staples sector was strong, with outperformance from The Procter & Gamble Co. This consumer goods company posted its highest organic growth rate in nearly five years, benefiting from recent investments in product enhancements and product pricing. Selection was also positive in the industrials sector, with strong performance from holdings across a number of industries, including aerospace and defense, building products and machinery. On the other hand, stock selection in the energy and materials sectors detracted from relative returns. In the energy sector, Schlumberger, Ltd. was a key detractor. The Portfolio used currency forward contracts during the period for hedging purposes. The use of currency forward contracts added to performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
413
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Security selection drove relative underperformance during the period. Weak selection in the consumer discretionary, consumer staples, and financials sectors detracted from relative results, while positive selection in industrials, information technology, and materials contributed to performance. Sector allocation, which is a result of the bottom-up stock selection process, also detracted from relative performance during the period. The Portfolio's overweight positioning to information technology and materials weighed on relative results, while an underweight to energy contributed to relative performance. Top detractors from relative performance included not owning Apple, Inc. and overweight positions in Halliburton Co. and Qurate Retail, Inc. Top relative contributors during the period were overweight positions in Eli Lilly & Co., Cisco Systems, Inc., and NetApp, Inc.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
414
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 12.89 | % | 12.69 | % | 12.62 | % | |||||||||
5-Year | 10.75 | % | 10.58 | % | 10.47 | % | |||||||||
10-Year | 16.77 | % | 16.60 | % | 16.48 | % | |||||||||
Since Inception | 9.33 | % | 7.26 | % | 11.25 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell Midcap® Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Growth Portfolio — Class 1
The SA Multi-Managed Mid Cap Growth Portfolio — Class 1 shares returned 12.89% for the 12-month period ending March 31, 2019, compared to an 11.51% return for the Russell Midcap Growth Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. mid cap growth stocks.
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark for the period. Stock selection in the materials sector contributed to outperformance. The Portfolio's stakes in containers and packaging companies added value. Stock choices in the information technology sector also contributed to performance. Within the information technology sector, software stocks performed well. In addition, stock selection and an underweight to the communication services sector contributed to performance. Holdings in interactive media and services companies helped relative results. Conversely, stock picks in the industrials and business services sector detracted from relative performance. Stock selection in the consumer discretionary sector also detracted, particularly holdings in the household durables industry. Of the securities held during the period, Atlassian Corp. PLC, Ball Corp., Keysight Technologies, Inc., Worldpay, Inc., Class A, and Booz Allen Hamilton Holding Corp. were among the most significant contributors to relative results. On the downside, Mohawk Industries, Inc., Tapestry, Inc., and Centennial Resource Development were among the top detractors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
415
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Security selection was the primary driver of relative outperformance. Stock selection was strongest within the health care, information technology, and industrials sectors. Weaker selection within the consumer discretionary, financials, consumer staples and energy sectors partially offset positive performance. Sector allocation, a fall out of the bottom-up security selection process, also contributed to relative returns during the period. The most significant contribution came from the Portfolio's underweight to financials, while underweight allocations to industrials and materials also proved favorable. In contrast, an overweight to communication services, the worst performing sector over the period, detracted from relative returns, as did the Portfolio's underweight to the information technology sector. Top contributors to relative performance included Exact Sciences Corp., Wayfair, Inc., Class A, and Advanced Micro Devices, Inc. The top relative detractors in the Portfolio during the period were Spotify Technology SA, Dollar Tree, Inc., and TD Ameritrade Holding Corp.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
416
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Massachusetts Financial Services Company SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Value Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 1.65 | % | 1.47 | % | 1.40 | % | |||||||||
5-Year | 5.95 | % | 5.78 | % | 5.68 | % | |||||||||
10-Year | 14.16 | % | 13.99 | % | 13.87 | % | |||||||||
Since Inception | 9.17 | % | 8.68 | % | 9.17 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Value Portfolio — Class 1
The SA Multi-Managed Mid Cap Value Portfolio — Class 1 shares returned 1.65% for the 12-month period ending March 31, 2019, compared to a 2.89% return for the Russell Midcap Value Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of U.S. mid cap value equities.
The Portfolio component managed by Massachusetts Financial Services Company outperformed the benchmark for the period. Stock selection in the information technology, consumer staples and utilities sectors contributed to performance. Within the information technology sector, the Portfolio's holdings of First Data Corp., and Keysight Technologies, Inc. aided relative performance. Avoiding poor-performing Western Digital Corp. also benefited relative results. Within the utilities sector, avoiding underperforming utility company PG&E Corp. helped relative returns. Stocks in other sectors that were among the top relative contributors to performance included Medical Properties Trust, Inc., Clean Harbors, Inc., Entertainment Properties Trust, Andeavor, and Tractor Supply Co.
Conversely, stock selection and an overweight allocation to the financials sector detracted from relative performance. Within this sector, the Portfolio's overweight holdings of Invesco, Ltd., Comerica, Inc. and Wintrust Financial Corp., held back relative performance. An underweight position in the real estate sector further weighed on relative results, as not owning strong-performing Welltower, Inc. detracted. Stocks in other sectors that were among the top relative detractors included the Portfolio's overweight holdings of WPX Energy, Inc., Owens Corning, Inc. Marathon Petroleum Corp. and Eastman Chemical Co. Not owning Twitter, Inc. and Worldpay, Inc. further detracted from relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
417
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by T. Rowe Price Associates, Inc. trailed its benchmark for the period. Sector allocation was mainly responsible for underperformance, while stock selection was also negative. Stock choices in real estate detracted the most from relative results. An underweight position in the sector, which was the top performer for the benchmark, also held back returns. Utilities holdings also hampered performance due to both stock selection and an underweight position. Conversely, stock choices in financials, particularly within banks, contributed the most to relative returns. Consumer discretionary holdings also added value due to both stock picks and an underweight position. Of the securities held during the period, FirstEnergy Corp., Hess Corp., Baxter International, Inc., Dentsply Sirona, Inc., and Hologic, Inc. were among the most significant contributors to relative results. On the negative side, Realogy Holdings Corp., Perrigo Co. PLC, PG&E Corp., Bunge, Ltd., and EQT Corp. were among the top detractors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
418
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | SunAmerica Asset Management, LLC PNC Capital Advisors, LLC J.P. Morgan Investment Management Inc. |
Growth of a $10,000 Investment
SA Multi-Managed Small Cap Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –0.67 | % | –0.88 | % | –0.92 | % | |||||||||
5-Year | 4.87 | % | 4.71 | % | 4.62 | % | |||||||||
10-Year | 13.56 | % | 13.38 | % | 13.27 | % | |||||||||
Since Inception | 5.16 | % | 4.08 | % | 7.69 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
2 The Russell 2000® Value Index measures the performance of the small-cap value segment of the U.S. equity universe. Companies in this index tend to exhibit lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Small Cap Portfolio — Class 1
The SA Multi-Managed Small Cap Portfolio — Class 1 shares returned –0.67% for the 12-months ended March 31, 2019, compared to a 2.05% return for the Russell 2000 Index.
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of broad U.S. small cap equities. The Portfolio utilizes ETFs and index futures to equitize cash. Both are designed to provide returns similar to that of the portfolio's benchmark. The use of index futures detracted from performance.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. underperformed its benchmark for the period. Stock selection in the industrial cyclical and retail sectors detracted from performance. Stock selection in the pharmaceutical and finance sectors contributed to performance. Overweight positions in the software and services and health services and systems sectors added to results. Alternatively, the Portfolio's underweight positioning in the utilities and Real Estate Investment Trusts (REITs) sectors hurt performance. At the individual stock level, overweight positions in Tivity Health, Inc., Tenneco, Inc., Class A and Frontier Communications Corp. weighed on results. Overweight positions in Mallinckrodt PLC, Molina Healthcare, Inc. and Reata Pharmaceuticals, Inc., Class A contributed to performance. As of March 31, 2019, the Portfolio's largest overweight exposures are in the energy and systems hardware sectors. The largest underweight exposures are in the health services and systems and REITs sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
419
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by PNC Capital Advisors, LLC, underperformed its benchmark for the period. Stock selection overall was negative with holdings in the financials, information technology, real estate, and health care sectors detracting from relative performance. Holdings in the industrials, materials, and consumer discretionary sectors contributed to relative performance. Sector allocation was also a detractor from relative performance, primarily from the Portfolio's overweight to the industrials and financials sectors, underweight to the information technology sector, and lack of exposure to the utilities sector. This was partially offset by positive contribution from the Portfolio's underweight to the energy sector. From an individual stock level perspective, the largest contributors to performance were Insperity Inc., Credit Acceptance Corp., Fox Factory Holding Corp., Exponent, Inc., and HEICO Corp. The largest detractors to performance were Bank OZK, PRA Group, Inc., REV Group, Inc., Camping World Holding, Inc., and ASGN, Inc. From a positioning perspective as of March 31, 2019, the Portfolio's largest overweight is to the industrials sector, followed by the consumer discretionary and financials sectors, and the largest underweight is to the health care sector, followed by the information technology and energy sectors. The Portfolio does not currently have any exposure to the utilities or consumer staples sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
420
SA Multi-Managed International Equity Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Schroder Investment Management North America Inc. SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed International Equity Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –4.44 | % | –4.61 | % | –4.66 | % | |||||||||
5-Year | 1.95 | % | 1.82 | % | 1.71 | % | |||||||||
10-Year | 7.97 | % | 7.81 | % | 7.71 | % | |||||||||
Since Inception | 2.25 | % | 1.75 | % | 5.58 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid-cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The Index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed International Equity Portfolio — Class 1
The SA Multi-Managed International Equity Portfolio — Class 1 shares returned –4.44% for the 12-month period ending March 31, 2019, compared to a –3.71% return for the MSCI EAFE Index (net).
Approximately a third of the Portfolio is passively managed by SunAmerica Asset Management, LLC to track the performance of the broad non-U.S. equity market.
The Portfolio component managed by T. Rowe Price Associates, Inc. underperformed its benchmark for the period. Sector allocation had a negative effect on relative performance. Most notably, the Portfolio's overweight to the financials sector and underweight to the energy sector proved detrimental. On the positive side, the Portfolio's overweight to the health care sector and underweight to industrials and business services sectors supported relative returns. Stock selection was unfavorable and drove relative underperformance for the period. Of securities held by the Portfolio during the period, Bayer AG, THK Co., Ltd., Danske Bank A/S, GAM Holding AG, and BNP Paribas SA were among the most significant detractors from relative performance. Conversely, Broadcom, Inc., Element Fleet Management Corp., GN Store Nord A/S, Nestle, and Novartis AG were the largest relative contributors. Portfolio holdings within Japan, Germany, UK, and Hong Kong detracted from relative performance for the period. Conversely, holdings in Switzerland, Canada, U.S., and Spain aided relative results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
421
SA Multi-Managed International Equity Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Schroder Investment Management North America Inc. outperformed its benchmark for the period. Volatility escalated in Q4 2018. Stock selection drove the Portfolio's outperformance, particularly holdings within the financials, health care, consumer staples and communication services sectors. Conversely, the sector positioning in consumer discretionary (overweight), real estate and utilities (underweight) detracted. By region, the Portfolio's United Kingdom positions benefitted the most. At the stock level, video streaming service, iQIYI, Inc. was the strongest performer. Revenues, driven by subscriber growth remained strong. Ocado Group was another strong performer as it benefitted from several international licensing deals, further supporting its position. Shares in tire manufacturer, Continental AG detracted over the period. Slowing car sales and elevated inventories in the auto industry prompted the company to issue a revenue downgrade in the summer.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
422
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited)
Investment Goal: | Relatively high current income and secondarily capital appreciation | ||||||
Managers: | PineBridge Investments LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Diversified Fixed Income Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 4.03 | % | 3.91 | % | 3.82 | % | |||||||||
5-Year | 2.52 | % | 2.37 | % | 2.25 | % | |||||||||
10-Year | 3.87 | % | 3.71 | % | 3.61 | % | |||||||||
Since Inception | 3.89 | % | 3.85 | % | 3.38 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Bloomberg Barclays U.S. Government Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government).
3 The Bloomberg Barclays U.S. Corporate IG Index measures publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
4 The Bloomberg Barclays U.S. Agency Fixed Rate MBS Index covers agency fixed-rate mortgage-backed pass-through securities (MBS) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
5 The Bloomberg Barclays CMBS ERISA Eligible Index has been designed to measure the performance of the commercial mortgage-backed securities (CMBS) market.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Diversified Fixed Income Portfolio — Class 1
The SA Multi-Managed Diversified Fixed Income Portfolio — Class 1 shares returned 4.03% for the 12-month period ending March 31, 2019, compared to a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index.
Approximately a third of the Portfolio is passively managed by PineBridge Investments, LLC to match the performance of the broad U.S. government bond market.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
423
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited) (continued)
The Portfolio component actively managed by PineBridge Investments, LLC, outperformed its benchmark for the period. Credit spreads, as measured by the option-adjusted spread (OAS) of the Bloomberg Barclays U.S. Aggregate Bond Index, came under pressure in the fourth quarter of 2018 before subsequently rallying in first quarter of 2019. For the period, the OAS of the Bloomberg Barclays U.S. Aggregate Bond Index widened 13 basis points. The positive impact of asset allocation was driven by the Portfolio's overweight position in the financials, communications and energy sectors. Security selection was modestly positive, with contributions within the utility, consumer non-cyclical and communications sectors.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. Positioning in Treasury Inflation Protected Securities (TIPS) detracted from relative results as TIPS underperformed duration-equivalent nominal U.S. Treasuries during the period. Additionally, the Portfolio held select emerging markets sovereign debt which detracted from relative results. The allocation to commercial mortgage backed securities detracted. The Portfolios holdings within investment grade credit added to performance, particularly within the industrial and financial sectors. Also adding to performance was the Portfolio's exposure to the high yield sector, and bank loans. Allocations to non-agency residential mortgage-backed securities and high quality collateralized loan obligations also contributed to performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
424
SA Wellington Real Return Portfolio Class 3 (unaudited)
Investment Goal: | Total return that equals or exceeds the rate of inflation over the long term, consistent with prudent investment management. | ||||||
Manager: | Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Wellington Real Return Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 3* | ||||||||||
1-Year | 2.40 | % | 2.17 | % | |||||||
5-Year | 1.62 | % | 1.37 | % | |||||||
10-Year | N/A | 3.64 | % | ||||||||
Since Inception | 1.04 | % | 2.44 | % |
* Inception date for Class 1: 01/23/12; Class 3: 02/14/05
1 The Bloomberg Barclays World Government Inflation Linked 1-10 Year Index (Hedged to USD) measures the performance of the major government inflation-linked bond markets. This index includes securities with maturities greater than one year but less than 10 years and is hedged to the US Dollar.
2 The Bloomberg Barclays 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index measures the performance of inflation protected securities issued by the US Treasury with maturities greater than one year but less than 10 years.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Wellington Real Return Portfolio — Class 3
The SA Wellington Real Return Portfolio — Class 3 shares returned 2.17% for the 12-month period ending March 31, 2019, compared to a 2.94% return for the Bloomberg Barclays World Government Inflation Linked 1-10 Year Index (Hedged to USD), and a 2.72% return for the Bloomberg Barclays 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index.
The Portfolio's overweight positions to Canadian and New Zealand linkers were additive to relative performance during the year. Allocating to credit was also a net contributor to performance as the Portfolio's securitized credit allocations (both mortgage backed securities and asset backed securities) aided results. Meanwhile, favoring U.S. TIPS vs. non-USD linkers in the Portfolio was generally a detractor from performance. Overall, the Portfolio's interest rate positioning contributed to benchmark-relative results.
The Portfolio hedges foreign currency exposure through the use of currency forwards. Overall, the Portfolio's currency hedges contributed positively to absolute returns. The Portfolio also utilized Treasury futures during the year which had a negative impact on absolute performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
425
SA Columbia Focused Value Portfolio Class 2 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Manager: | Columbia Management Investment Advisers, LLC |
Growth of a $10,000 Investment
SA Columbia Focused Value Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 1.76 | % | 1.61 | % | 1.51 | % | |||||||||
5-Year | 8.37 | % | 8.22 | % | 8.11 | % | |||||||||
10-Year | N/A | 12.75 | % | 12.63 | % | ||||||||||
Since Inception | 11.25 | % | 8.41 | % | 9.45 | % |
* Inception date for Class 1: 01/23/12; Class 2: 10/01/01; Class 3: 11/11/02
1 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Columbia Focused Value Portfolio — Class 2
The SA Columbia Focused Value Portfolio — Class 2 shares returned 1.61% for the 12-month period ending March 31, 2019, compared to a return of 5.67% for the Russell 1000 Value Index.
During the period, the S&P 500® Index returned 9.50%. Nine of 11 sectors posted positive returns, with real estate, utilities and information technology leading and financials, materials and energy lagging. Although large-value stocks (as represented by the Russell 1000 Value Index) outperformed during the fourth quarter of 2018, growth stocks (as represented by the Russell 1000 Growth Index) finished the annual period ahead, thus extending their multi-year run of outperformance.
Within the Portfolio, positive stock selection in the industrials, materials, utilities, and communication services sectors was more than offset by weaker results across all other sectors. From an allocation perspective, an underweight to financials proved most beneficial, while a lack of exposure to real estate was most detrimental.
Top individual performers for the period included utility AES Corp., railroad CSX Corp. and pharmacy benefit manager Express Scripts Holding Co., while bottom performers included online retailer Qurate Retail, Inc., exploration and production company Anadarko Petroleum Corp. and oilfield services and equipment provider Halliburton Co.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
426
SA Allocation Growth Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 3* | ||||||||||
1-Year | 4.14 | % | 3.89 | % | |||||||
5-Year | N/A | 5.63 | % | ||||||||
10-Year | N/A | 11.42 | % | ||||||||
Since Inception | 8.73 | % | 5.57 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 57% Russell 3000® Index, 23% MSCI EAFE Index (net) and 20% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Growth Portfolio — Class 3
The SA Allocation Growth Portfolio — Class 3 shares posted a return of 3.89% for the 12-month period ending March 31, 2019, compared to a 8.77% return for the Russell 3000 Index, a –3.71% return for the MSCI EAFE Index, a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 5.19% return for the Blended Index (57% Russell 3000 Index, 23% MSCI EAFE Index (net), and 20% Bloomberg Barclays U.S. Aggregate Bond Index).
Underperformance of both equity and fixed income managers in aggregate versus their respective benchmarks was the primary driver of the Portfolio's underperformance versus the Blended Index. The leading detractors were the SA MFS Blue Chip Growth Portfolio and SA Multi-Managed Large Cap Value Portfolio in equities. The SA JPMorgan Equity-Income Portfolio had a significant positive contribution.
The Portfolio was overweight equities throughout most of the period. Within equities, the Portfolio reduced its international equity exposure in the earlier part of the period. As a result, the Portfolio was overweight U.S. equities and underweight international equities during the period. This benefited performance as international equities fell during the period while U.S. equities rose. Exposure to growth and value equities was roughly neutral throughout the period. In addition, exposure to large cap equities boosted performance but this was more than offset by significant underperformance of U.S. small cap stocks.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
427
SA Allocation Growth Portfolio Class 3 (unaudited) (continued)
Within fixed income, exposure to both investment grade and high-yield bonds was increased at the end of 2018. This boosted performance as these sectors outperformed the Bloomberg Barclays U.S. Aggregate Bond Index for the rest of the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
428
SA Allocation Moderate Growth Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 3* | ||||||||||
1-Year | 4.24 | % | 3.95 | % | |||||||
5-Year | N/A | 5.08 | % | ||||||||
10-Year | N/A | 9.95 | % | ||||||||
Since Inception | 7.55 | % | 5.10 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 47% Russell 3000® Index, 18% MSCI EAFE Index (net) and 35% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Growth Portfolio — Class 3
The SA Allocation Moderate Growth Portfolio — Class 3 shares posted a return of 3.95% for the 12-month period ending March 31, 2019, compared to a 8.77% return for the Russell 3000 Index, a –3.71% return for the MSCI EAFE Index, a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 5.26% return for the Blended Index (47% Russell 3000 Index, 18% MSCI EAFE Index (net), and 35% Bloomberg Barclays U.S. Aggregate Bond Index).
Underperformance of both equity and fixed income managers in aggregate versus their respective benchmarks was the primary driver of the Portfolio's underperformance versus the Blended Index. The leading detractors were the SA MFS Blue Chip Growth Portfolio in equities and the SA Multi-Managed Diversified Fixed Income Portfolio in fixed income. The SA JPMorgan Equity-Income Portfolio had a significant positive contribution.
The Portfolio was overweight equities throughout most of the period. Within equities, the Portfolio reduced its international equity exposure in the earlier part of the period. As a result, the Portfolio was overweight U.S. equities and underweight international equities during the period. This benefited performance as international equities fell during the period while U.S. equities rose. Exposure to growth and value equities was roughly neutral throughout the period. In addition, exposure to large cap equities boosted performance but this was more than offset by significant underperformance of U.S. small cap stocks.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
429
SA Allocation Moderate Growth Portfolio Class 3 (unaudited) (continued)
Within fixed income, exposure to both investment grade and high-yield bonds was increased at the end of 2018. This boosted performance as these sectors outperformed the Bloomberg Barclays U.S. Aggregate Bond Index for the rest of the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
430
SA Allocation Moderate Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation and moderate current income | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 3* | ||||||||||
1-Year | 4.52 | % | 4.27 | % | |||||||
5-Year | N/A | 4.82 | % | ||||||||
10-Year | N/A | 9.24 | % | ||||||||
Since Inception | 6.84 | % | 5.05 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays Capital fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 41% Russell 3000® Index, 14% MSCI EAFE Index (net) and 45% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Portfolio — Class 3
The SA Allocation Moderate Portfolio — Class 3 shares posted a return of 4.27% for the 12-month period ending March 31, 2019, compared to a 8.77% return for the Russell 3000 Index, a –3.71% return for the MSCI EAFE Index, a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 5.36% return for the Blended Index (41% Russell 3000 Index, 14% MSCI EAFE Index (net), and 45% Bloomberg Barclays U.S. Aggregate Bond Index).
Underperformance of both equity and fixed income managers in aggregate versus their respective benchmarks was the primary driver of the Portfolio's underperformance versus the Blended Index. The leading detractors were the SA MFS Blue Chip Growth Portfolio in equities and the SA Multi-Managed Diversified Fixed Income Portfolio in fixed income.
The Portfolio was overweight equities throughout most of the period. Within equities, the Portfolio reduced its international equity exposure in the earlier part of the period. As a result, the Portfolio was overweight U.S. equities and underweight international equities during the period. This benefited performance as international equities fell during the period while U.S. equities rose. Exposure to growth and value equities was roughly neutral throughout the period. In addition, exposure to large cap equities boosted performance but this was more than offset by significant underperformance of U.S. small cap stocks.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
431
SA Allocation Moderate Portfolio Class 3 (unaudited) (continued)
Within fixed income, exposure to both investment grade and high-yield bonds was increased at the end of 2018. This boosted performance as these sectors outperformed the Bloomberg Barclays U.S. Aggregate Bond Index for the rest of the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
432
SA Allocation Balanced Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation and current income | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Balanced Portfolio
Average Annual Total Returns as of 03/31/19
Class 1* | Class 3* | ||||||||||
1-Year | 4.33 | % | 4.11 | % | |||||||
5-Year | N/A | 4.23 | % | ||||||||
10-Year | N/A | 8.20 | % | ||||||||
Since Inception | 5.42 | % | 4.79 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg Barclays U.S. Aggregate Bond Index combines several Bloomberg Barclays fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 30% Russell 3000® Index, 10% MSCI EAFE Index (net) & 60% Bloomberg Barclays U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Balanced Portfolio — Class 3
The SA Allocation Balanced Portfolio — Class 3 shares posted a return of 4.11% for the 12-month period ending March 31, 2019, compared to a 8.77% return for the Russell 3000 Index, a –3.71% return for the MSCI EAFE Index, a 4.48% return for the Bloomberg Barclays U.S. Aggregate Bond Index, and a 5.21% return for the Blended Index (30% Russell 3000 Index, 10% MSCI EAFE Index (net), and 60% Bloomberg Barclays U.S. Aggregate Bond Index).
Underperformance of both equity and fixed income managers in aggregate versus their respective benchmarks was the primary driver of the Portfolio's underperformance versus the Blended Index. The leading detractors were the SA MFS Blue Chip Growth Portfolio in equities and the SA Multi-Managed Diversified Fixed Income Portfolio in fixed income.
The Portfolio was overweight equities throughout most of the period. Within equities, the Portfolio reduced its international equity exposure in the earlier part of the period. As a result, the Portfolio was overweight U.S. equities and underweight international equities during the period. This benefited performance as international equities fell during the period while U.S. equities rose. Exposure to growth and value equities was roughly neutral throughout the period. In addition, exposure to large cap equities boosted performance but this was more than offset by significant underperformance of U.S. small cap stocks.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
433
SA Allocation Balanced Portfolio Class 3 (unaudited) (continued)
Within fixed income, exposure to both investment grade and high-yield bonds was increased at the end of 2018. This boosted performance as these sectors outperformed the Bloomberg Barclays U.S. Aggregate Bond Index for the rest of the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
434
Filed under Rule 497(k)
Registration No. 333-08653
SEASONS SERIES TRUST
Supplement to the Prospectus
SA Multi-Managed Growth Portfolio
SA Multi-Managed Income Portfolio
SA Multi-Managed Income/Equity Portfolio
SA Multi-Managed Large Cap Growth Portfolio
SA Multi-Managed Moderate Growth Portfolio
(each a "Portfolio" and together, the "Portfolios")
Supplement dated April 30, 2019,
to the Portfolios' Summary Prospectuses dated July 27, 2018,
as supplemented and amended to date
On March 27, 2019, the Board of Trustees (the "Board") of Seasons Series Trust (the "Trust"), including a majority of those trustees who are not interested persons of the Trust, as defined in the Investment Company Act of 1940, as amended, approved a new Investment Sub-Advisory Agreement between SunAmerica Asset Management, LLC ("SunAmerica") and Morgan Stanley Investment Management Inc. ("MSIM") with respect to the Portfolios. MSIM will replace Janus Capital Management LLC ("Janus") as a subadviser to the Portfolios.
At the meeting, the Board approved an Advisory Fee Waiver Agreement (the "Fee Waiver Agreement") with respect to the Portfolios. Pursuant to the Fee Waiver Agreement, SunAmerica is contractually obligated to waive a portion of its advisory fee with respect to the Portfolios so that the advisory fee rate payable by the Portfolios to SunAmerica is as follows:
SA Multi-Managed Large Cap Growth Portfolio | 0.73% on the first $250 million 0.67% on the next $250 million 0.58% above $500 million | ||||||
SA Multi-Managed Growth Portfolio | 0.82% on the first $250 million 0.77% on the next $250 million 0.72% above $500 million | ||||||
SA Multi-Managed Income Portfolio | 0.74% on the first $250 million 0.69% on the next $250 million 0.64% above $500 million | ||||||
SA Multi-Managed Income/Equity Portfolio | 0.77% on the first $250 million 0.72% on the next $250 million 0.67% above $500 million | ||||||
SA Multi-Managed Moderate Growth Portfolio | 0.80% on the first $250 million 0.75% on the next $250 million 0.70% above $500 million |
It is currently anticipated these changes will become effective on or about May 1, 2019 (the "Effective Date"). The Fee Waiver Agreement will continue in effect until July 31, 2020. In addition, upon termination of the advisory agreement between SunAmerica and the Trust with respect to a Portfolio, the Fee Waiver Agreement will automatically terminate with respect to that Portfolio.
On the Effective Date, the following changes to the Prospectus will become effective:
For each Portfolio except the SA Multi-Managed Large Cap Growth Portfolio, in the section entitled "Portfolio Summary — Principal Investment Strategies of the Portfolio," the final paragraph in this section is deleted and replaced with the following:
Under normal market conditions, the Subadviser for the Growth Component invests primarily in established companies with capitalizations within the range of companies included in the Russell 1000® Growth Index. As of December 31, 2018, these market capitalizations ranged between $262 million and $768.7 billion. The Subadviser for the Growth Component emphasizes a bottom-up stock selection process, seeking attractive investments on an
435
individual company basis. In selecting securities for investment, the Subadviser for the Growth Component seeks to invest in companies with strong name recognition and sustainable competitive advantages. The Subadviser for the Growth Component typically favors companies with rising returns on invested capital, above-average business visibility, strong free cash flow generation and an attractive risk/reward.
Fundamental research drives the investment process. The Subadviser for the Growth Component studies on an ongoing basis company developments, including business strategy and financial results. The Subadviser for the Growth Component generally considers selling a portfolio holding when it determines that the holding no longer satisfies its investment criteria. The Growth Component may invest in foreign securities, which may include emerging market securities. The Growth Component may invest in equity securities.
For the SA Multi-Managed Large Cap Growth Portfolio, in the section entitled "Portfolio Summary — Principal Investment Strategies of the Portfolio," the final paragraph in this section is deleted and replaced with the following:
The Portfolio is actively managed by two subadvisers, one of which uses a bottom-up stock selection process, seeking attractive investments on an individual company basis. To balance the risks of the Portfolio, a portion of the Portfolio is passively managed by the adviser who seeks to track an index or a subset of an index.
For SA Multi-Managed Growth Portfolio, SA Multi-Managed Income Portfolio, and SA Multi-Managed Large Cap Growth Portfolio, the following is added to the section entitled "Portfolio Summary — Principal Risks of Investing in the Portfolio."
Currency Volatility Risk. The value of the Portfolio's foreign investments may fluctuate due to changes in currency exchange rates. A decline in the value of foreign currencies relative to the U.S. dollar generally can be expected to depress the value of the Portfolio's non-U.S. dollar-denominated securities.
In the section entitled "Investment Adviser," any reference to Janus is deleted in its entirety and replaced with "Morgan Stanley Investment Management Inc. ("MSIM")."
In the section entitled "Investment Adviser — Portfolio Managers" any reference to Janus is deleted in its entirety and replaced with the following:
Portfolio Managers
Name and Title | Portfolio Manager of the Portfolios Since | ||||||
Growth Component — MSIM |
Dennis P. Lynch
Managing Director ................................................................................................................................. | 2019 |
Sam G. Chainani, CFA
Managing Director ................................................................................................................................. | 2019 |
Jason C. Yeung, CFA
Managing Director ................................................................................................................................. | 2019 |
Armistead B. Nash
Managing Director ................................................................................................................................. | 2019 |
David S. Cohen
Managing Director ................................................................................................................................. | 2019 |
Alexander T. Norton
Executive Director .................................................................................................................................. | 2019 |
Capitalized terms used but not defined herein shall have the meanings assigned to them by the Prospectus.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
436
SEASONS SERIES TRUST
VOTING PROXIES ON TRUST PORTFOLIO SECURITIES
A description of the policies and procedures that the Trust uses to determine how to vote proxies related to securities held in the Trust's Portfolios which is available in the Trust's Statement of Additional Information, may be obtained without charge upon request, by calling (800) 445-SUN2. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.
PROXY VOTING RECORD ON TRUST PORTFOLIO SECURITIES
Information regarding how Seasons Series Trust Portfolios voted proxies related to securities held in Seasons Series Trust Portfolios during the most recent twelve month period ended June 30 is available, once filed with the U.S. Securities and Exchange Commission, without charge, upon request, by calling (800) 445-SUN2 or on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.
DISCLOSURE OF QUARTERLY PORTFOLIO HOLDINGS
The Trust is required to file its complete schedule of portfolio holdings quarterly with the U.S. Securities and Exchange Commission on Form N-PORT. The Trust's Forms N-PORT are available on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.
This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.
437
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PRSRT STD
U.S. POSTAGE
PAID
TOPPAN MERRILL
ZIP CODE 01950
ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570
CHANGE SERVICE REQUESTED
J1906AR.15 (5/19)
Item 2. Code of Ethics.
Seasons Series Trust (“the registrant”) has adopted a Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (the “Code”). During the fiscal year ended March 31, 2019, there were no reportable waivers or implicit waivers to a provision of the Code that applies to the registrant’s Principal Executive and Principal Accounting Officers (the “Covered Officers”).
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that Allan Sher, Jane Jelenko and Garrett Bouton each qualify as audit committee financial experts, as defined in the instructions to Item 3(b) of Form N-CSR. Mr. Sher, Ms. Jelenko and Mr. Bouton are considered to be “independent” for purposes of Item 3(a) (2) of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) – (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrant’s principal accountant were as follows:
|
| 2018 |
| 2019 |
| ||
(a) Audit Fees |
| $ | 753,845 |
| $ | 743,089 |
|
(b) Audit-Related Fees |
| $ | 0 |
| $ | 0 |
|
(c) Tax Fees |
| $ | 163,910 |
| $ | 201,246 |
|
(d) All Other Fees |
| $ | 0 |
| $ | 0 |
|
Audit Fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the principal accountant in connection with statutory and regulatory filings. Tax Fees principally include tax compliance, tax advice, tax planning and preparation of tax returns.
Aggregate fees billed to the investment adviser and Adviser Affiliates (as defined below in Item 4(e)) that are required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X for the last two fiscal years for services rendered by the registrant’s principal accountant were as follows:
|
| 2018 |
| 2019 |
| ||
(b) Audit-Related Fees |
| $ | 0 |
| $ | 0 |
|
(c) Tax Fees |
| $ | 0 |
| $ | 0 |
|
(d) All Other Fees |
| $ | 269,506 |
| $ | 336,238 |
|
(e) (1) The registrant’s audit committee pre-approves all audit services provided by the registrant’s principal accountant for the registrant and all non-audit services provided by the registrant’s principal accountant for the registrant, its investment adviser and any entity controlling, controlled by, or under common control with the investment adviser (“Adviser Affiliates”) that provides ongoing services to the registrant, if the engagement by the investment adviser or Adviser Affiliates relates directly to the operations and financial reporting of the registrant. The audit committee has not presently established any pre-approval policies and procedures that permit the pre-approval of the above services other than by the full audit committee. Certain de minimis exceptions are allowed for non-audit services in accordance with Rule 2-01(c)(7)(i)(C) of Regulation S-X as set forth in the registrant’s audit committee minutes.
(2) No services included in (b)-(d) above in connection with fees billed to the registrant or the investment adviser or Adviser Affiliates were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and Adviser Affiliates that provides ongoing services to the registrant for 2018 and 2019 were $459,871 and $603,654, respectively.
(h) Non-audit services rendered to the registrant’s investment adviser and any Adviser Affiliates that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X were considered by the registrant’s audit committee as to whether they were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Included in Item 1 to the Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) (1) Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act 2002 attached hereto as Exhibit 99.406.Code of Ethics.
(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(3) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Seasons Series Trust | ||
| ||
By: | /s/ John T. Genoy |
|
John T. Genoy | ||
President | ||
Date: June 7, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John T. Genoy |
|
John T. Genoy | ||
President | ||
Date: June 7, 2019 | ||
| ||
| ||
By: | /s/ Gregory R. Kingston |
|
Gregory R. Kingston | ||
Treasurer | ||
Date: June 7, 2019 |