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, 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: | September 30, 2019 |
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Item 1. Reports to Stockholders
SEASONS SERIES TRUST
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2019
Table of Contents
Shareholder Letter | 2 | ||||||
Expense Example | 3 | ||||||
Seasons Strategies | |||||||
SA Multi-Managed Growth Portfolio | 6 | ||||||
SA Multi-Managed Moderate Growth Portfolio | 31 | ||||||
SA Multi-Managed Income/Equity Portfolio | 59 | ||||||
SA Multi-Managed Income Portfolio | 81 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 103 | ||||||
SA T. Rowe Price Growth Stock Portfolio | 141 | ||||||
Seasons Select | |||||||
SA Multi-Managed Large Cap Growth Portfolio | 146 | ||||||
SA Multi-Managed Large Cap Value Portfolio | 154 | ||||||
SA Multi-Managed Mid Cap Growth Portfolio | 164 | ||||||
SA Multi-Managed Mid Cap Value Portfolio | 177 | ||||||
SA Multi-Managed Small Cap Portfolio | 191 | ||||||
SA Multi-Managed International Equity Portfolio | 206 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 220 | ||||||
SA Wellington Real Return Portfolio | 270 | ||||||
Seasons Focused | |||||||
SA Columbia Focused Value Portfolio | 282 | ||||||
Seasons Managed Allocation | |||||||
SA Allocation Growth Portfolio | 285 | ||||||
SA Allocation Moderate Growth Portfolio | 288 | ||||||
SA Allocation Moderate Portfolio | 291 | ||||||
SA Allocation Balanced Portfolio | 294 | ||||||
Statements of Assets and Liabilities | 297 | ||||||
Statements of Operations | 305 | ||||||
Statements of Changes in Net Assets | 309 | ||||||
Notes to Financial Statements | 316 | ||||||
Financial Highlights | 363 | ||||||
Supplements to the Prospectus | 377 |
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 semi-annual report for Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.
This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended September 30, 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 59 1/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.
Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and "junk bonds" are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer's creditworthiness.
Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank of Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
2
SEASONS SERIES TRUST
EXPENSE EXAMPLE September 30, 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 April 1, 2019 and held until September 30, 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 September 30, 2019" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended September 30, 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 September 30, 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 September 30, 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 September 30, 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) September 30, 2019
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at April 1, 2019 | Ending Account Value Using Actual Return at September 30, 2019 | Expenses Paid During the Six Months Ended September 30, 2019* | Beginning Account Value at April 1, 2019 | Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2019 | Expenses Paid During the Six Months Ended September 30, 2019* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,037.87 | $ | 6.62 | $ | 1,000.00 | $ | 1,018.50 | $ | 6.56 | 1.30 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,036.67 | $ | 7.38 | $ | 1,000.00 | $ | 1,017.75 | $ | 7.31 | 1.45 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,036.13 | $ | 7.89 | $ | 1,000.00 | $ | 1,017.25 | $ | 7.82 | 1.55 | % | |||||||||||||||||
SA Multi-Managed Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,039.65 | $ | 5.71 | $ | 1,000.00 | $ | 1,019.40 | $ | 5.65 | 1.12 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,038.92 | $ | 6.47 | $ | 1,000.00 | $ | 1,018.65 | $ | 6.41 | 1.27 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,038.16 | $ | 6.98 | $ | 1,000.00 | $ | 1,018.15 | $ | 6.91 | 1.37 | % | |||||||||||||||||
SA Multi-Managed Income/ Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,051.08 | $ | 5.90 | $ | 1,000.00 | $ | 1,019.25 | $ | 5.81 | 1.15 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,050.27 | $ | 6.66 | $ | 1,000.00 | $ | 1,018.50 | $ | 6.56 | 1.30 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,049.33 | $ | 7.17 | $ | 1,000.00 | $ | 1,018.00 | $ | 7.06 | 1.40 | % | |||||||||||||||||
SA Multi-Managed Income# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,051.54 | $ | 6.26 | $ | 1,000.00 | $ | 1,018.90 | $ | 6.16 | 1.22 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,050.68 | $ | 6.97 | $ | 1,000.00 | $ | 1,018.20 | $ | 6.86 | 1.36 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,050.68 | $ | 7.48 | $ | 1,000.00 | $ | 1,017.70 | $ | 7.36 | 1.46 | % | |||||||||||||||||
SA Putnam Asset Allocation: Diversified Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,027.30 | $ | 4.56 | $ | 1,000.00 | $ | 1,020.50 | $ | 4.55 | 0.90 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,026.45 | $ | 5.32 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.30 | 1.05 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,025.66 | $ | 5.82 | $ | 1,000.00 | $ | 1,019.25 | $ | 5.81 | 1.15 | % | |||||||||||||||||
SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,024.23 | $ | 4.50 | $ | 1,000.00 | $ | 1,020.55 | $ | 4.50 | 0.89 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,023.81 | $ | 5.26 | $ | 1,000.00 | $ | 1,019.80 | $ | 5.25 | 1.04 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,022.98 | $ | 5.77 | $ | 1,000.00 | $ | 1,019.30 | $ | 5.76 | 1.14 | % | |||||||||||||||||
SA Multi-Managed Large Cap Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,051.53 | $ | 3.90 | $ | 1,000.00 | $ | 1,021.20 | $ | 3.84 | 0.76 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,050.61 | $ | 4.67 | $ | 1,000.00 | $ | 1,020.45 | $ | 4.60 | 0.91 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,049.78 | $ | 5.18 | $ | 1,000.00 | $ | 1,019.95 | $ | 5.10 | 1.01 | % | |||||||||||||||||
SA Multi-Managed Large Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,059.41 | $ | 4.12 | $ | 1,000.00 | $ | 1,021.00 | $ | 4.04 | 0.80 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,059.49 | $ | 4.89 | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,058.82 | $ | 5.40 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.30 | 1.05 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,035.83 | $ | 4.84 | $ | 1,000.00 | $ | 1,020.25 | $ | 4.80 | 0.95 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,035.52 | $ | 5.60 | $ | 1,000.00 | $ | 1,019.50 | $ | 5.55 | 1.10 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,034.30 | $ | 6.10 | $ | 1,000.00 | $ | 1,019.00 | $ | 6.06 | 1.20 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,035.67 | $ | 4.89 | $ | 1,000.00 | $ | 1,020.20 | $ | 4.85 | 0.96 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,035.14 | $ | 5.65 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.60 | 1.11 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,034.57 | $ | 6.15 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.11 | 1.21 | % |
4
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) September 30, 2019
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at April 1, 2019 | Ending Account Value Using Actual Return at September 30, 2019 | Expenses Paid During the Six Months Ended September 30, 2019* | Beginning Account Value at April 1, 2019 | Ending Account Value Using a Hypothetical 5% Annual Return at September 30, 2019 | Expenses Paid During the Six Months Ended September 30, 2019* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Small Cap | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,022.21 | $ | 4.75 | $ | 1,000.00 | $ | 1,020.30 | $ | 4.75 | 0.94 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,022.06 | $ | 5.51 | $ | 1,000.00 | $ | 1,019.55 | $ | 5.50 | 1.09 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,020.85 | $ | 6.01 | $ | 1,000.00 | $ | 1,019.05 | $ | 6.01 | 1.19 | % | |||||||||||||||||
SA Multi-Managed International Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,016.70 | $ | 5.24 | $ | 1,000.00 | $ | 1,019.80 | $ | 5.25 | 1.04 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,015.56 | $ | 6.00 | $ | 1,000.00 | $ | 1,019.05 | $ | 6.01 | 1.19 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,015.61 | $ | 6.50 | $ | 1,000.00 | $ | 1,018.55 | $ | 6.51 | 1.29 | % | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,054.17 | $ | 3.54 | $ | 1,000.00 | $ | 1,021.55 | $ | 3.49 | 0.69 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,053.36 | $ | 4.31 | $ | 1,000.00 | $ | 1,020.80 | $ | 4.24 | 0.84 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,052.77 | $ | 4.82 | $ | 1,000.00 | $ | 1,020.30 | $ | 4.75 | 0.94 | % | |||||||||||||||||
SA Wellington Real Return# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,031.58 | $ | 3.00 | $ | 1,000.00 | $ | 1,022.05 | $ | 2.98 | 0.59 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,030.72 | $ | 4.26 | $ | 1,000.00 | $ | 1,020.80 | $ | 4.24 | 0.84 | % | |||||||||||||||||
SA Columbia Focused Value# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,022.12 | $ | 3.69 | $ | 1,000.00 | $ | 1,021.35 | $ | 3.69 | 0.73 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,021.48 | $ | 4.45 | $ | 1,000.00 | $ | 1,020.60 | $ | 4.45 | 0.88 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,020.89 | $ | 4.95 | $ | 1,000.00 | $ | 1,020.10 | $ | 4.95 | 0.98 | % | |||||||||||||||||
SA Allocation Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,042.99 | $ | 0.82 | $ | 1,000.00 | $ | 1,024.20 | $ | 0.81 | 0.16 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,041.54 | $ | 2.09 | $ | 1,000.00 | $ | 1,022.95 | $ | 2.07 | 0.41 | % | |||||||||||||||||
SA Allocation Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,044.69 | $ | 0.66 | $ | 1,000.00 | $ | 1,024.35 | $ | 0.66 | 0.13 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,043.69 | $ | 1.94 | $ | 1,000.00 | $ | 1,023.10 | $ | 1.92 | 0.38 | % | |||||||||||||||||
SA Allocation Moderate# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,045.10 | $ | 0.72 | $ | 1,000.00 | $ | 1,024.30 | $ | 0.71 | 0.14 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,044.12 | $ | 1.99 | $ | 1,000.00 | $ | 1,023.05 | $ | 1.97 | 0.39 | % | |||||||||||||||||
SA Allocation Balanced# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,046.58 | $ | 0.77 | $ | 1,000.00 | $ | 1,024.25 | $ | 0.76 | 0.15 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,045.55 | $ | 2.05 | $ | 1,000.00 | $ | 1,023.00 | $ | 2.02 | 0.40 | % |
* Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.
# During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 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 September 30, 2019" and the "Annualized Expense Ratio" would have been lower.
5
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 7.0 | % | |||||
Enterprise Software/Service | 6.8 | ||||||
Uniform Mtg. Backed Securities | 5.2 | ||||||
E-Commerce/Products | 3.6 | ||||||
Internet Content-Entertainment | 3.6 | ||||||
Applications Software | 3.4 | ||||||
United States Treasury Notes | 3.1 | ||||||
Federal National Mtg. Assoc. | 3.0 | ||||||
Medical Instruments | 3.0 | ||||||
Registered Investment Companies | 2.9 | ||||||
Chemicals-Specialty | 2.9 | ||||||
United States Treasury Bonds | 2.8 | ||||||
Multimedia | 2.7 | ||||||
Building-Maintenance & Services | 2.4 | ||||||
Medical-Drugs | 2.4 | ||||||
Consulting Services | 2.3 | ||||||
Government National Mtg. Assoc. | 2.1 | ||||||
Textile-Apparel | 1.8 | ||||||
Diversified Banking Institutions | 1.7 | ||||||
Real Estate Investment Trusts | 1.7 | ||||||
Internet Content-Information/News | 1.7 | ||||||
Banks-Commercial | 1.6 | ||||||
Data Processing/Management | 1.5 | ||||||
Distribution/Wholesale | 1.5 | ||||||
Cosmetics & Toiletries | 1.4 | ||||||
Transport-Rail | 1.4 | ||||||
Web Portals/ISP | 1.4 | ||||||
E-Commerce/Services | 1.3 | ||||||
Retail-Restaurants | 1.0 | ||||||
Federal Home Loan Mtg. Corp. | 1.0 | ||||||
Commercial Services-Finance | 1.0 | ||||||
Computer Aided Design | 1.0 | ||||||
Electronic Forms | 0.9 | ||||||
Machinery-General Industrial | 0.9 | ||||||
Diagnostic Equipment | 0.9 | ||||||
Containers-Metal/Glass | 0.9 | ||||||
Aerospace/Defense-Equipment | 0.9 | ||||||
Non-Hazardous Waste Disposal | 0.8 | ||||||
Electric-Integrated | 0.8 | ||||||
Veterinary Diagnostics | 0.8 | ||||||
Computer Software | 0.8 | ||||||
Medical-Biomedical/Gene | 0.7 | ||||||
Electronic Components-Semiconductors | 0.7 | ||||||
Savings & Loans/Thrifts | 0.6 | ||||||
Foreign Government Obligations | 0.6 | ||||||
Building-Residential/Commercial | 0.5 | ||||||
SupraNational Banks | 0.5 | ||||||
Human Resources | 0.4 | ||||||
Telephone-Integrated | 0.4 | ||||||
Medical Products | 0.4 | ||||||
Building & Construction-Misc. | 0.4 | ||||||
Pipelines | 0.4 | ||||||
Medical-HMO | 0.4 | ||||||
Computer Services | 0.3 | ||||||
Oil Companies-Exploration & Production | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Municipal Bonds & Notes | 0.3 | ||||||
Television | 0.3 | ||||||
Power Converter/Supply Equipment | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 |
Medical Information Systems | 0.3 | % | |||||
Banks-Super Regional | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.3 | ||||||
Repurchase Agreements | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Tobacco | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Water | 0.2 | ||||||
Brewery | 0.2 | ||||||
Electronic Components-Misc. | 0.2 | ||||||
Pharmacy Services | 0.2 | ||||||
Sovereign | 0.2 | ||||||
Electronic Parts Distribution | 0.2 | ||||||
Coal | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Schools | 0.2 | ||||||
Finance-Other Services | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Retail-Sporting Goods | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Audio/Video Products | 0.2 | ||||||
Engineering/R&D Services | 0.2 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Rubber/Plastic Products | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
X-Ray Equipment | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Computers | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Medical-Wholesale Drug Distribution | 0.1 | ||||||
Investment Management/Advisor Services | 0.1 | ||||||
Metal Products-Distribution | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Oil Companies-Integrated | 0.1 |
6
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Building Products-Doors & Windows | 0.1 | % | |||||
Paper & Related Products | 0.1 | ||||||
Poultry | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Banks-Special Purpose | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Communications Software | 0.1 | ||||||
Transport-Marine | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
106.6 | % |
* Calculated as a percentage of net assets
7
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 70.4% | |||||||||||
Aerospace/Defense-Equipment — 0.8% | |||||||||||
HEICO Corp., Class A | 3,675 | $ | 357,614 | ||||||||
Moog, Inc., Class A | 175 | 14,196 | |||||||||
371,810 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Deckers Outdoor Corp.† | 625 | 92,100 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 250 | 4,043 | |||||||||
Applications Software — 3.4% | |||||||||||
Brightcove, Inc.† | 2,150 | 22,532 | |||||||||
Cloudflare, Inc., Class A† | 200 | 3,714 | |||||||||
Intuit, Inc. | 1,406 | 373,912 | |||||||||
ServiceNow, Inc.† | 4,760 | 1,208,326 | |||||||||
1,608,484 | |||||||||||
Audio/Video Products — 0.2% | |||||||||||
Sonos, Inc.† | 5,350 | 71,743 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 6,175 | 89,599 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Gentherm, Inc.† | 1,100 | 45,193 | |||||||||
Meritor, Inc.† | 1,025 | 18,963 | |||||||||
Stoneridge, Inc.† | 1,950 | 60,391 | |||||||||
Telenav, Inc.† | 975 | 4,661 | |||||||||
129,208 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 1,375 | 61,284 | |||||||||
Banks-Commercial — 1.6% | |||||||||||
1st Source Corp. | 300 | 13,719 | |||||||||
Atlantic Union Bankshares Corp. | 241 | 8,976 | |||||||||
BancFirst Corp. | 950 | 52,649 | |||||||||
BancorpSouth Bank | 1,275 | 37,753 | |||||||||
Banner Corp. | 1,000 | 56,170 | |||||||||
Cadence BanCorp | 75 | 1,316 | |||||||||
Cathay General Bancorp | 500 | 17,367 | |||||||||
Central Pacific Financial Corp. | 1,550 | 44,020 | |||||||||
Central Valley Community Bancorp | 125 | 2,544 | |||||||||
Columbia Banking System, Inc. | 1,250 | 46,125 | |||||||||
CVB Financial Corp. | 2,075 | 43,305 | |||||||||
Enterprise Financial Services Corp. | 300 | 12,225 | |||||||||
First Commonwealth Financial Corp. | 2,100 | 27,888 | |||||||||
First Community Bankshares, Inc. | 150 | 4,856 | |||||||||
First Hawaiian, Inc. | 450 | 12,015 | |||||||||
First Interstate BancSystem, Inc., Class A | 325 | 13,078 | |||||||||
Great Western Bancorp, Inc. | 150 | 4,950 | |||||||||
Hope Bancorp, Inc. | 1,019 | 14,612 | |||||||||
IBERIABANK Corp. | 175 | 13,219 | |||||||||
Independent Bank Corp./ Massachusetts | 75 | 5,599 | |||||||||
Independent Bank Corp./ Michigan | 600 | 12,789 | |||||||||
PacWest Bancorp | 350 | 12,719 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Simmons First National Corp., Class A | 589 | $ | 14,666 | ||||||||
South State Corp. | 75 | 5,647 | |||||||||
TCF Financial Corp. | 660 | 25,126 | |||||||||
Trustmark Corp. | 3,125 | 106,594 | |||||||||
UMB Financial Corp. | 300 | 19,374 | |||||||||
United Bankshares, Inc. | 925 | 35,030 | |||||||||
Webster Financial Corp. | 300 | 14,061 | |||||||||
West Bancorporation, Inc. | 200 | 4,348 | |||||||||
Westamerica Bancorporation | 1,200 | 74,616 | |||||||||
757,356 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 125 | 4,274 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 1,300 | 15,886 | |||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Builders FirstSource, Inc.† | 2,300 | 47,322 | |||||||||
Louisiana-Pacific Corp. | 900 | 22,122 | |||||||||
69,444 | |||||||||||
Building & Construction-Misc. — 0.4% | |||||||||||
Comfort Systems USA, Inc. | 650 | 28,750 | |||||||||
EMCOR Group, Inc. | 1,550 | 133,486 | |||||||||
MYR Group, Inc.† | 625 | 19,556 | |||||||||
181,792 | |||||||||||
Building Products-Cement — 0.1% | |||||||||||
Continental Building Products, Inc.† | 1,675 | 45,711 | |||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 600 | 34,800 | |||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. | 550 | 17,924 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
MasTec, Inc.† | 675 | 43,827 | |||||||||
Sterling Construction Co., Inc.† | 925 | 12,164 | |||||||||
55,991 | |||||||||||
Building-Maintenance & Services — 2.4% | |||||||||||
ABM Industries, Inc. | 325 | 11,804 | |||||||||
Rollins, Inc. | 19,229 | 655,132 | |||||||||
ServiceMaster Global Holdings, Inc.† | 8,124 | 454,132 | |||||||||
1,121,068 | |||||||||||
Building-Residential/Commercial — 0.5% | |||||||||||
KB Home | 3,325 | 113,050 | |||||||||
TRI Pointe Group, Inc.† | 7,700 | 115,808 | |||||||||
228,858 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
WideOpenWest, Inc.† | 2,625 | 16,170 | |||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. | 850 | 20,357 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 250 | 8,163 |
8
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Chemicals-Specialty — 2.9% | |||||||||||
Ecolab, Inc. | 6,727 | $ | 1,332,215 | ||||||||
Minerals Technologies, Inc. | 425 | 22,563 | |||||||||
1,354,778 | |||||||||||
Coal — 0.2% | |||||||||||
Arch Coal, Inc., Class A | 475 | 35,245 | |||||||||
Peabody Energy Corp. | 975 | 14,352 | |||||||||
Warrior Met Coal, Inc. | 1,625 | 31,720 | |||||||||
81,317 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Harsco Corp.† | 450 | 8,532 | |||||||||
Medifast, Inc. | 75 | 7,772 | |||||||||
16,304 | |||||||||||
Commercial Services-Finance — 0.9% | |||||||||||
Euronet Worldwide, Inc.† | 100 | 14,630 | |||||||||
Green Dot Corp., Class A† | 275 | 6,944 | |||||||||
S&P Global, Inc. | 1,712 | 419,406 | |||||||||
440,980 | |||||||||||
Communications Software — 0.1% | |||||||||||
Avaya Holdings Corp.† | 2,525 | 25,831 | |||||||||
Computer Aided Design — 1.0% | |||||||||||
Aspen Technology, Inc.† | 275 | 33,847 | |||||||||
Autodesk, Inc.† | 2,802 | 413,855 | |||||||||
447,702 | |||||||||||
Computer Data Security — 0.1% | |||||||||||
Qualys, Inc.† | 425 | 32,117 | |||||||||
Computer Services — 0.1% | |||||||||||
CACI International, Inc., Class A† | 150 | 34,689 | |||||||||
Insight Enterprises, Inc.† | 300 | 16,707 | |||||||||
Unisys Corp.† | 225 | 1,672 | |||||||||
53,068 | |||||||||||
Computer Software — 0.8% | |||||||||||
Box, Inc., Class A† | 1,725 | 28,566 | |||||||||
Dynatrace, Inc.† | 1,300 | 24,271 | |||||||||
j2 Global, Inc. | 425 | 38,598 | |||||||||
TiVo Corp. | 8,575 | 65,299 | |||||||||
Twilio, Inc., Class A† | 1,778 | 195,197 | |||||||||
351,931 | |||||||||||
Consulting Services — 2.3% | |||||||||||
Gartner, Inc.† | 4,036 | 577,108 | |||||||||
Huron Consulting Group, Inc.† | 1,250 | 76,675 | |||||||||
Verisk Analytics, Inc. | 2,743 | 433,778 | |||||||||
1,087,561 | |||||||||||
Containers-Metal/Glass — 0.9% | |||||||||||
Ball Corp. | 5,580 | 406,280 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Graphic Packaging Holding Co. | 695 | 10,251 | |||||||||
Cosmetics & Toiletries — 1.4% | |||||||||||
Edgewell Personal Care Co.† | 275 | 8,935 | |||||||||
Estee Lauder Cos., Inc., Class A | 3,271 | 650,765 | |||||||||
659,700 |
Security Description | Shares | Value (Note 2) | |||||||||
Data Processing/Management — 1.5% | |||||||||||
Broadridge Financial Solutions, Inc. | 4,948 | $ | 615,680 | ||||||||
CommVault Systems, Inc.† | 2,450 | 109,539 | |||||||||
725,219 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Patterson Cos., Inc. | 1,700 | 30,294 | |||||||||
Diagnostic Equipment — 0.9% | |||||||||||
Adaptive Biotechnologies Corp.† | 400 | 12,360 | |||||||||
Danaher Corp. | 2,852 | 411,914 | |||||||||
424,274 | |||||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,300 | 12,337 | |||||||||
Distribution/Wholesale — 1.5% | |||||||||||
Copart, Inc.† | 7,625 | 612,517 | |||||||||
Core-Mark Holding Co., Inc. | 550 | 17,663 | |||||||||
Fossil Group, Inc.† | 2,475 | 30,962 | |||||||||
Titan Machinery, Inc.† | 1,000 | 14,340 | |||||||||
Veritiv Corp.† | 425 | 7,684 | |||||||||
683,166 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Actuant Corp., Class A | 100 | 2,194 | |||||||||
EnPro Industries, Inc. | 275 | 18,879 | |||||||||
Fabrinet† | 575 | 30,072 | |||||||||
51,145 | |||||||||||
E-Commerce/Products — 3.6% | |||||||||||
Amazon.com, Inc.† | 982 | 1,704,664 | |||||||||
Etsy, Inc.† | 150 | 8,475 | |||||||||
1,713,139 | |||||||||||
E-Commerce/Services — 1.3% | |||||||||||
Groupon, Inc.† | 3,050 | 8,113 | |||||||||
MercadoLibre, Inc.† | 1,022 | 563,357 | |||||||||
Stamps.com, Inc.† | 550 | 40,948 | |||||||||
612,418 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
New Media Investment Group, Inc. | 750 | 6,608 | |||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 1,975 | 76,195 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 200 | 3,972 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 1,575 | 16,616 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 14,375 | 33,637 | |||||||||
Electric-Integrated — 0.3% | |||||||||||
Black Hills Corp. | 475 | 36,447 | |||||||||
IDACORP, Inc. | 100 | 11,267 | |||||||||
PNM Resources, Inc. | 450 | 23,436 | |||||||||
Portland General Electric Co. | 1,000 | 56,370 | |||||||||
127,520 | |||||||||||
Electronic Components-Misc. — 0.2% | |||||||||||
Benchmark Electronics, Inc. | 300 | 8,718 | |||||||||
OSI Systems, Inc.† | 650 | 66,014 | |||||||||
74,732 |
9
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Semiconductors — 0.5% | |||||||||||
Amkor Technology, Inc.† | 5,450 | $ | 49,595 | ||||||||
Rambus, Inc.† | 7,150 | 93,844 | |||||||||
Synaptics, Inc.† | 900 | 35,955 | |||||||||
Xperi Corp. | 2,200 | 45,496 | |||||||||
224,890 | |||||||||||
Electronic Forms — 0.9% | |||||||||||
Adobe, Inc.† | 1,567 | 432,884 | |||||||||
Electronic Parts Distribution — 0.2% | |||||||||||
Tech Data Corp.† | 800 | 83,392 | |||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
FutureFuel Corp. | 1,150 | 13,731 | |||||||||
Renewable Energy Group, Inc.† | 500 | 7,503 | |||||||||
REX American Resources Corp.† | 625 | 47,706 | |||||||||
68,940 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
KBR, Inc. | 475 | 11,657 | |||||||||
VSE Corp. | 325 | 11,079 | |||||||||
22,736 | |||||||||||
Enterprise Software/Service — 6.8% | |||||||||||
ACI Worldwide, Inc.† | 2,975 | 93,192 | |||||||||
Constellation Software, Inc. | 1,010 | 1,008,704 | |||||||||
Coupa Software, Inc.† | 869 | 111,744 | |||||||||
Donnelley Financial Solutions, Inc.† | 700 | 8,624 | |||||||||
Evolent Health, Inc., Class A† | 3,925 | 28,221 | |||||||||
Manhattan Associates, Inc.† | 250 | 20,168 | |||||||||
MicroStrategy, Inc., Class A† | 100 | 14,837 | |||||||||
Veeva Systems, Inc., Class A† | 4,493 | 686,036 | |||||||||
Workday, Inc., Class A† | 7,144 | 1,214,194 | |||||||||
3,185,720 | |||||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Credit Acceptance Corp.† | 50 | 23,065 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Nelnet, Inc., Class A | 75 | 4,770 | |||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cowen, Inc., Class A† | 425 | 6,541 | |||||||||
Houlihan Lokey, Inc. | 850 | 38,335 | |||||||||
44,876 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
Deluxe Corp. | 625 | 30,725 | |||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 375 | 3,461 | |||||||||
MGIC Investment Corp. | 2,400 | 30,192 | |||||||||
NMI Holdings, Inc., Class A† | 300 | 7,878 | |||||||||
Radian Group, Inc. | 600 | 13,704 | |||||||||
55,235 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 125 | 3,898 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Grocery Outlet Holding Corp.† | 200 | 6,936 | |||||||||
Footwear & Related Apparel — 0.1% | |||||||||||
Crocs, Inc.† | 1,025 | 28,454 |
Security Description | Shares | Value (Note 2) | |||||||||
Gas-Distribution — 0.1% | |||||||||||
New Jersey Resources Corp. | 151 | $ | 6,837 | ||||||||
Northwest Natural Holding Co. | 150 | 10,701 | |||||||||
ONE Gas, Inc. | 100 | 9,641 | |||||||||
Southwest Gas Holdings, Inc. | 300 | 27,312 | |||||||||
54,491 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,275 | 52,683 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Red Lion Hotels Corp.† | 1,075 | 6,966 | |||||||||
Human Resources — 0.4% | |||||||||||
Barrett Business Services, Inc. | 975 | 86,599 | |||||||||
Cross Country Healthcare, Inc.† | 2,375 | 24,463 | |||||||||
Heidrick & Struggles International, Inc. | 150 | 4,095 | |||||||||
Kforce, Inc. | 825 | 31,214 | |||||||||
Korn Ferry | 825 | 31,878 | |||||||||
TrueBlue, Inc.† | 950 | 20,045 | |||||||||
198,294 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy, Inc., Class A | 550 | 9,537 | |||||||||
Insurance-Life/Health — 0.1% | |||||||||||
American Equity Investment Life Holding Co. | 100 | 2,420 | |||||||||
CNO Financial Group, Inc. | 1,025 | 16,226 | |||||||||
Primerica, Inc. | 375 | 47,711 | |||||||||
66,357 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 100 | 7,795 | |||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Ambac Financial Group, Inc.† | 100 | 1,955 | |||||||||
First American Financial Corp. | 200 | 11,802 | |||||||||
Kinsale Capital Group, Inc. | 475 | 49,072 | |||||||||
62,829 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 125 | 3,121 | |||||||||
Third Point Reinsurance, Ltd.† | 350 | 3,497 | |||||||||
6,618 | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 850 | 46,835 | |||||||||
Internet Content-Entertainment — 3.6% | |||||||||||
Facebook, Inc., Class A† | 1,954 | 347,968 | |||||||||
Twitter, Inc.† | 32,177 | 1,325,693 | |||||||||
1,673,661 | |||||||||||
Internet Content-Information/News — 1.7% | |||||||||||
HealthStream, Inc.† | 1,350 | 34,952 | |||||||||
Spotify Technology SA† | 6,539 | 745,446 | |||||||||
Yelp, Inc.† | 475 | 16,506 | |||||||||
796,904 | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 225 | 29,036 |
10
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Investment Management/Advisor Services — 0.1% | |||||||||||
Brightsphere Investment Group, Inc. | 375 | $ | 3,716 | ||||||||
Stifel Financial Corp. | 565 | 32,420 | |||||||||
36,136 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Bloom Energy Corp. Class A† | 75 | 244 | |||||||||
Machinery-General Industrial — 0.9% | |||||||||||
DXP Enterprises, Inc.† | 700 | 24,304 | |||||||||
Kadant, Inc. | 275 | 24,142 | |||||||||
Roper Technologies, Inc. | 1,061 | 378,353 | |||||||||
426,799 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
CSW Industrials, Inc. | 675 | 46,595 | |||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 475 | 11,906 | |||||||||
Medical Information Systems — 0.3% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 11,200 | 122,976 | |||||||||
Medical Instruments — 3.0% | |||||||||||
AngioDynamics, Inc.† | 1,775 | 32,696 | |||||||||
Intuitive Surgical, Inc.† | 2,425 | 1,309,330 | |||||||||
NuVasive, Inc.† | 800 | 50,704 | |||||||||
1,392,730 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Medpace Holdings, Inc.† | 575 | 48,323 | |||||||||
Personalis, Inc.† | 400 | 5,870 | |||||||||
54,193 | |||||||||||
Medical Products — 0.3% | |||||||||||
Integer Holdings Corp.† | 1,450 | 109,562 | |||||||||
Nevro Corp.† | 425 | 36,537 | |||||||||
Orthofix Medical, Inc.† | 275 | 14,581 | |||||||||
160,680 | |||||||||||
Medical-Biomedical/Gene — 0.7% | |||||||||||
10X Genomics, Inc., Class A† | 200 | 10,080 | |||||||||
ACADIA Pharmaceuticals, Inc.† | 1,150 | 41,388 | |||||||||
Achillion Pharmaceuticals, Inc.† | 3,100 | 11,160 | |||||||||
Alder Biopharmaceuticals, Inc.† | 1,325 | 24,989 | |||||||||
AMAG Pharmaceuticals, Inc.† | 150 | 1,733 | |||||||||
Amicus Therapeutics, Inc.† | 2,125 | 17,042 | |||||||||
Arena Pharmaceuticals, Inc.† | 655 | 29,979 | |||||||||
Atara Biotherapeutics, Inc.† | 725 | 10,237 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 800 | 33,376 | |||||||||
Bluebird Bio, Inc.† | 100 | 9,182 | |||||||||
Bridgebio Pharma, Inc.† | 500 | 10,735 | |||||||||
CytomX Therapeutics, Inc.† | 725 | 5,351 | |||||||||
Eiger BioPharmaceuticals, Inc.† | 1,825 | 18,706 | |||||||||
Forty Seven, Inc.† | 1,350 | 8,667 | |||||||||
Homology Medicines, Inc.† | 450 | 8,145 | |||||||||
Intercept Pharmaceuticals, Inc.† | 400 | 26,544 | |||||||||
Livongo Health, Inc.† | 400 | 6,976 | |||||||||
Menlo Therapeutics, Inc.† | 600 | 2,688 | |||||||||
Mersana Therapeutics, Inc.† | 4,450 | 7,031 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Myriad Genetics, Inc.† | 375 | $ | 10,736 | ||||||||
Puma Biotechnology, Inc.† | 500 | 5,383 | |||||||||
REGENXBIO, Inc.† | 650 | 23,140 | |||||||||
resTORbio, Inc.† | 425 | 3,757 | |||||||||
Sangamo Therapeutics, Inc.† | 425 | 3,846 | |||||||||
Solid Biosciences, Inc.† | 675 | 6,980 | |||||||||
Synlogic, Inc.† | 1,400 | 3,206 | |||||||||
TCR2 Therapeutics, Inc.† | 550 | 8,267 | |||||||||
Y-mAbs Therapeutics, Inc.† | 75 | 1,955 | |||||||||
351,279 | |||||||||||
Medical-Drugs — 2.2% | |||||||||||
Aimmune Therapeutics, Inc.† | 700 | 14,658 | |||||||||
Alector, Inc.† | 275 | 3,966 | |||||||||
Athenex, Inc.† | 1,700 | 20,680 | |||||||||
Clovis Oncology, Inc.† | 975 | 3,832 | |||||||||
Eagle Pharmaceuticals, Inc.† | 175 | 9,900 | |||||||||
Global Blood Therapeutics, Inc.† | 700 | 33,964 | |||||||||
Gritstone Oncology, Inc.† | 325 | 2,806 | |||||||||
Horizon Therapeutics PLC† | 1,750 | 47,652 | |||||||||
Lannett Co., Inc.† | 2,600 | 29,120 | |||||||||
MyoKardia, Inc.† | 750 | 39,112 | |||||||||
Paratek Pharmaceuticals, Inc.† | 1,700 | 7,344 | |||||||||
Prestige Consumer Healthcare, Inc.† | 1,125 | 39,026 | |||||||||
Principia Biopharma, Inc.† | 775 | 21,886 | |||||||||
Protagonist Therapeutics, Inc.† | 1,675 | 20,117 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 315 | 25,291 | |||||||||
Seres Therapeutics, Inc.† | 3,550 | 14,236 | |||||||||
Sutro Biopharma, Inc.† | 250 | 2,273 | |||||||||
TG Therapeutics, Inc.† | 1,500 | 8,423 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,075 | 14,276 | |||||||||
Voyager Therapeutics, Inc.† | 1,150 | 19,791 | |||||||||
Zoetis, Inc. | 5,201 | 647,993 | |||||||||
1,026,346 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Arvinas, Inc.† | 25 | 539 | |||||||||
Medical-HMO — 0.2% | |||||||||||
Magellan Health, Inc.† | 1,125 | 69,862 | |||||||||
Medical-Hospitals — 0.0% | |||||||||||
Community Health Systems, Inc.† | 1,850 | 6,660 | |||||||||
Surgery Partners, Inc.† | 825 | 6,093 | |||||||||
Tenet Healthcare Corp.† | 450 | 9,954 | |||||||||
22,707 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Amedisys, Inc.† | 350 | 45,853 | |||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Diplomat Pharmacy, Inc.† | 3,200 | 15,680 | |||||||||
Owens & Minor, Inc. | 3,550 | 20,625 | |||||||||
36,305 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
LB Foster Co., Class A† | 125 | 2,709 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,000 | 36,050 |
11
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Metal-Aluminum — 0.0% | |||||||||||
Kaiser Aluminum Corp. | 75 | $ | 7,423 | ||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
Hillenbrand, Inc. | 1,150 | 35,512 | |||||||||
Multimedia — 2.6% | |||||||||||
Walt Disney Co. | 9,486 | 1,236,216 | |||||||||
Networking Products — 0.1% | |||||||||||
Extreme Networks, Inc.† | 4,275 | 31,101 | |||||||||
NeoPhotonics Corp.† | 1,550 | 9,439 | |||||||||
40,540 | |||||||||||
Non-Hazardous Waste Disposal — 0.8% | |||||||||||
Waste Connections, Inc. | 4,158 | 382,536 | |||||||||
Office Furnishings-Original — 0.0% | |||||||||||
HNI Corp. | 600 | 21,300 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
ACCO Brands Corp. | 6,700 | 66,129 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Gulfport Energy Corp.† | 5,125 | 13,889 | |||||||||
W&T Offshore, Inc.† | 7,600 | 33,212 | |||||||||
47,101 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Dril-Quip, Inc.† | 1,325 | 66,488 | |||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
CVR Energy, Inc. | 100 | 4,403 | |||||||||
Delek US Holdings, Inc. | 1,900 | 68,970 | |||||||||
Murphy USA, Inc.† | 375 | 31,987 | |||||||||
105,360 | |||||||||||
Oil-Field Services — 0.2% | |||||||||||
FTS International, Inc.† | 800 | 1,792 | |||||||||
Matrix Service Co.† | 2,325 | 39,850 | |||||||||
MRC Global, Inc.† | 2,600 | 31,538 | |||||||||
NOW, Inc.† | 3,325 | 38,138 | |||||||||
111,318 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. | 225 | 8,057 | |||||||||
Verso Corp., Class A† | 2,150 | 26,617 | |||||||||
34,674 | |||||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 4,125 | 78,911 | |||||||||
Poultry — 0.1% | |||||||||||
Sanderson Farms, Inc. | 225 | 34,049 | |||||||||
Power Converter/Supply Equipment — 0.3% | |||||||||||
Generac Holdings, Inc.† | 1,400 | 109,676 | |||||||||
Powell Industries, Inc. | 500 | 19,575 | |||||||||
129,251 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Ennis, Inc. | 1,750 | 35,368 | |||||||||
Quad/Graphics, Inc. | 2,375 | 24,961 | |||||||||
60,329 | |||||||||||
Publishing-Books — 0.0% | |||||||||||
Houghton Mifflin Harcourt Co.† | 350 | 1,866 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts — 1.6% | |||||||||||
Alexander & Baldwin, Inc. | 259 | $ | 6,348 | ||||||||
American Assets Trust, Inc. | 1,600 | 74,784 | |||||||||
Americold Realty Trust | 2,550 | 94,528 | |||||||||
Ashford Hospitality Trust, Inc. | 3,725 | 12,330 | |||||||||
Blackstone Mtg. Trust, Inc., Class A | 525 | 18,821 | |||||||||
Capstead Mtg. Corp. | 450 | 3,308 | |||||||||
Cherry Hill Mtg. Investment Corp. | 650 | 8,515 | |||||||||
CoreSite Realty Corp. | 675 | 82,249 | |||||||||
CubeSmart | 400 | 13,960 | |||||||||
DiamondRock Hospitality Co. | 3,400 | 34,850 | |||||||||
Easterly Government Properties, Inc. | 200 | 4,277 | |||||||||
EastGroup Properties, Inc. | 200 | 25,004 | |||||||||
Equity LifeStyle Properties, Inc. | 150 | 20,040 | |||||||||
First Industrial Realty Trust, Inc. | 625 | 24,725 | |||||||||
Front Yard Residential Corp. | 250 | 2,890 | |||||||||
GEO Group, Inc. | 2,625 | 45,517 | |||||||||
Getty Realty Corp. | 150 | 4,809 | |||||||||
Gladstone Commercial Corp. | 125 | 2,938 | |||||||||
Hersha Hospitality Trust | 475 | 7,068 | |||||||||
Highwoods Properties, Inc. | 225 | 10,112 | |||||||||
Invesco Mtg. Capital, Inc. | 900 | 13,779 | |||||||||
Lexington Realty Trust | 2,050 | 21,012 | |||||||||
Mack-Cali Realty Corp. | 525 | 11,372 | |||||||||
National Retail Properties, Inc. | 75 | 4,230 | |||||||||
Pebblebrook Hotel Trust | 1,550 | 43,121 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 1,275 | 26,622 | |||||||||
PS Business Parks, Inc. | 100 | 18,195 | |||||||||
RLJ Lodging Trust | 325 | 5,522 | |||||||||
Saul Centers, Inc. | 300 | 16,353 | |||||||||
Service Properties Trust | 600 | 15,474 | |||||||||
Sunstone Hotel Investors, Inc. | 2,500 | 34,350 | |||||||||
Taubman Centers, Inc. | 100 | 4,083 | |||||||||
Terreno Realty Corp. | 125 | 6,386 | |||||||||
Two Harbors Investment Corp. | 1,763 | 23,148 | |||||||||
Xenia Hotels & Resorts, Inc. | 250 | 5,280 | |||||||||
746,000 | |||||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
Abercrombie & Fitch Co., Class A | 4,275 | 66,690 | |||||||||
Tailored Brands, Inc. | 1,275 | 5,610 | |||||||||
72,300 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 275 | 6,837 | |||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 4,225 | 13,182 | |||||||||
Retail-Building Products — 0.0% | |||||||||||
BMC Stock Holdings, Inc.† | 725 | 18,980 | |||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp.† | 1,413 | 9,820 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Five Below, Inc.† | 75 | 9,458 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Office Depot, Inc. | 8,500 | 14,917 |
12
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. | 175 | $ | 16,042 | ||||||||
Retail-Restaurants — 1.0% | |||||||||||
Bloomin' Brands, Inc. | 3,100 | 58,683 | |||||||||
Brinker International, Inc. | 1,500 | 64,005 | |||||||||
Starbucks Corp. | 4,166 | 368,358 | |||||||||
491,046 | |||||||||||
Retail-Sporting Goods — 0.2% | |||||||||||
Hibbett Sports, Inc.† | 1,350 | 30,915 | |||||||||
Zumiez, Inc.† | 1,400 | 44,345 | |||||||||
75,260 | |||||||||||
Rubber/Plastic Products — 0.1% | |||||||||||
Myers Industries, Inc. | 625 | 11,031 | |||||||||
Trinseo SA | 1,175 | 50,466 | |||||||||
61,497 | |||||||||||
Savings & Loans/Thrifts — 0.6% | |||||||||||
BankFinancial Corp. | 500 | 5,950 | |||||||||
Brookline Bancorp, Inc. | 1,225 | 18,044 | |||||||||
Capitol Federal Financial, Inc. | 100 | 1,378 | |||||||||
First Defiance Financial Corp. | 225 | 6,517 | |||||||||
Flushing Financial Corp. | 425 | 8,587 | |||||||||
Investors Bancorp, Inc. | 1,400 | 15,904 | |||||||||
Meridian Bancorp, Inc. | 3,075 | 57,656 | |||||||||
Northfield Bancorp, Inc. | 2,950 | 47,377 | |||||||||
People's United Financial, Inc. | 698 | 10,913 | |||||||||
Washington Federal, Inc. | 2,650 | 98,024 | |||||||||
270,350 | |||||||||||
Schools — 0.2% | |||||||||||
K12, Inc.† | 2,975 | 78,540 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
Cirrus Logic, Inc.† | 1,700 | 91,086 | |||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Veeco Instruments, Inc.† | 1,875 | 21,900 | |||||||||
Telecom Services — 0.1% | |||||||||||
Consolidated Communications Holdings, Inc. | 7,863 | 37,428 | |||||||||
Television — 0.3% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 2 | 535 | |||||||||
Nexstar Media Group, Inc., Class A | 425 | 43,482 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 1,775 | 75,863 | |||||||||
119,880 | |||||||||||
Textile-Apparel — 1.8% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,095 | 833,956 | |||||||||
Therapeutics — 0.1% | |||||||||||
Flexion Therapeutics, Inc.† | 750 | 10,279 | |||||||||
La Jolla Pharmaceutical Co.† | 700 | 6,160 | |||||||||
Sarepta Therapeutics, Inc.† | 200 | 15,064 | |||||||||
Xencor, Inc.† | 825 | 27,827 | |||||||||
59,330 |
Security Description | Shares/ Principal Amount(13) | Value (Note 2) | |||||||||
Transactional Software — 0.0% | |||||||||||
Synchronoss Technologies, Inc.† | 1,625 | $ | 8,775 | ||||||||
Transport-Marine — 0.1% | |||||||||||
Dorian LPG, Ltd.† | 44 | 456 | |||||||||
SEACOR Holdings, Inc.† | 525 | 24,712 | |||||||||
25,168 | |||||||||||
Transport-Rail — 1.3% | |||||||||||
Union Pacific Corp. | 3,767 | 610,179 | |||||||||
Transport-Services — 0.1% | |||||||||||
Echo Global Logistics, Inc.† | 1,075 | 24,349 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 1,650 | 50,243 | |||||||||
Covenant Transportation Group, Inc., Class A† | 175 | 2,877 | |||||||||
Schneider National, Inc., Class B | 300 | 6,516 | |||||||||
YRC Worldwide, Inc.† | 2,112 | 6,378 | |||||||||
66,014 | |||||||||||
Veterinary Diagnostics — 0.8% | |||||||||||
Elanco Animal Health, Inc.† | 13,788 | 366,623 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 200 | 7,572 | |||||||||
USANA Health Sciences, Inc.† | 125 | 8,549 | |||||||||
16,121 | |||||||||||
Water — 0.2% | |||||||||||
American States Water Co. | 925 | 83,120 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
NIC, Inc. | 1,350 | 27,877 | |||||||||
Web Portals/ISP — 1.4% | |||||||||||
Alphabet, Inc., Class C† | 531 | 647,289 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Cambium Networks Corp.† | 1,288 | 12,493 | |||||||||
InterDigital, Inc. | 525 | 27,547 | |||||||||
40,040 | |||||||||||
X-Ray Equipment — 0.1% | |||||||||||
Varex Imaging Corp.† | 2,025 | 57,793 | |||||||||
Total Common Stocks (cost $30,710,571) | 33,117,753 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.5% | |||||||||||
Diversified Banking Institutions — 0.5% | |||||||||||
Credit Suisse Group AG 6.25% due 12/29/2049*(14) | $ | 250,000 | 264,375 | ||||||||
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 $260,411) | 264,376 |
13
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 7.0% | |||||||||||
Diversified Financial Services — 7.0% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.32% (1 ML+0.17%) due 01/25/2037(3) | $ | 4,779 | $ | 4,672 | |||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 15,000 | 15,016 | |||||||||
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(3)(4) | 47,219 | 47,526 | |||||||||
Apidos CLO FRS Series 2015-21A, Class A1R 3.23% (3 ML+0.93%) due 07/18/2027*(15) | 250,000 | 250,053 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.72% (1 ML+1.58%) due 10/25/2034 | 1,830 | 1,855 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.67% due 09/15/2060(4)(5)(6) | 990,338 | 35,784 | |||||||||
Barclays Commercial Mtg. Trust Series 2019-C4, Class A5 2.92% due 08/15/2052(5) | 30,000 | 31,071 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(4) | 64,463 | 65,672 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(4) | 62,201 | 63,211 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(4) | 61,796 | 63,005 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(4) | 61,317 | 63,094 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.20% due 02/25/2036(3)(4) | 20,310 | 19,307 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(4)(5)(6) | 99,527 | 3,505 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(4)(5)(6) | 124,453 | 4,448 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(4)(5) | 30,000 | 33,844 | |||||||||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.88% due 07/25/2049*(3)(7) | 43,747 | 44,027 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | $ | 1,542 | $ | 1,553 | |||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 2,045 | 2,047 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(4) | 61,288 | 61,490 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(5) | 20,000 | 21,352 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.99% (1 Yr USTYCR+2.40%) due 03/25/2036(3) | 11,474 | 11,474 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 9,468 | 9,470 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5) | 35,000 | 36,571 | |||||||||
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047(5) | 43,000 | 45,864 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5) | 42,858 | 45,294 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(5) | 100,000 | 107,126 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3) | 6,604 | 5,658 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.92% due 06/15/2057(4)(5)(6) | 309,544 | 10,803 | |||||||||
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(5) | 30,000 | 30,873 | |||||||||
Domino's Pizza Master Issuer LLC Series 2017-1A, Class A2II 3.08% due 07/25/2047* | 49,000 | 49,166 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 49,375 | 51,257 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 10,000 | 10,003 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.26% due 05/25/2035(3)(4) | 18,090 | 18,423 | |||||||||
GS Mtg. Securities Trust Series 2016-GS4, Class A3 3.18% due 11/10/2049(5) | 30,000 | 31,644 |
14
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GS Mtg. Securities Trust Series 2014-GC26, Class AAB 3.37% due 11/10/2047(5) | $ | 45,000 | $ | 46,406 | |||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5) | 40,000 | 42,883 | |||||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.25% (1 ML+0.10%) due 03/25/2037 | 50,107 | 23,413 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.12% due 03/25/2047(3)(4) | 4,093 | 3,633 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 4.38% due 01/25/2036(3)(4) | 8,137 | 8,280 | |||||||||
Honda Auto Receivables Owner Trust Series 2019-3, Class A3 1.78% due 08/15/2023 | 15,000 | 14,968 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.69% (1 ML+0.54%) due 05/25/2035(3) | 10,410 | 10,367 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(5) | 39,000 | 41,699 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(5) | 25,000 | 26,749 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(5) | 60,000 | 64,382 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(5) | 30,000 | 31,550 | |||||||||
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(7) | 90,327 | 91,027 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.54% due 12/25/2034(3)(4) | 4,581 | 4,749 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(7) | 72,541 | 72,897 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(4) | 63,703 | 63,947 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(4)(5)(6) | 70,425 | 2,900 |
Security Description | Principal Amount(13) | 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 | $ | 44,167 | |||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3) | 8,670 | 6,613 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.71% (1 ML+0.28%) due 10/25/2035(3) | 21,409 | 21,427 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 2.90% (1 ML + 0.75%) due 01/25/2048*(3) | 71,231 | 71,019 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.65% (1 ML+1.50%) due 06/25/2057*(3) | 52,023 | 52,786 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(4) | 55,365 | 57,503 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(4) | 59,844 | 62,006 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(4) | 56,576 | 59,014 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3)(4) | 66,997 | 69,833 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.52% due 06/25/2036(3)(4) | 24,542 | 21,636 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(4) | 6,466 | 6,575 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 64,024 | 64,336 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 100,000 | 99,923 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.25% (1 ML+0.10%) due 02/25/2037 | 8,669 | 5,636 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(7) | 60,382 | 28,181 |
15
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.28% (1 ML+0.13%) due 05/25/2037 | $ | 23,938 | $ | 18,240 | |||||||
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 4.05% due 02/20/2047(3)(4) | 19,016 | 17,823 | |||||||||
Shackleton CLO, Ltd. FRS Series 2015-8A, Class A1R 3.20% (3 ML+0.92%) due 10/20/2027*(15) | 270,000 | 269,958 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.40% (1 ML+0.25%) due 11/25/2036 | 50,000 | 46,745 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(4) | 55,351 | 55,856 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(4) | 67,745 | 68,270 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(4) | 73,742 | 74,445 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2015-NXS1, Class ASB 2.93% due 05/15/2048(5) | 45,000 | 45,912 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5) | 30,000 | 31,997 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(3)(4) | 5,855 | 5,856 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.76% due 11/25/2034(3)(4) | 546 | 565 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.95% due 01/25/2035(3)(4) | 11,515 | 11,792 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.14% due 03/25/2035(3)(4) | 8,636 | 8,924 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 30,000 | 30,241 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5) | 35,000 | 37,592 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5) | $ | 36,000 | $ | 38,755 | |||||||
Total Asset Backed Securities (cost $3,232,032) | 3,279,634 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 5.9% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Boeing Co. Senior Notes 3.25% due 02/01/2035 | 15,000 | 15,543 | |||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 11,000 | 12,938 | |||||||||
28,481 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 5,000 | 5,291 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 10,000 | 10,955 | |||||||||
United Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 5,000 | 5,945 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 6,243 | |||||||||
28,434 | |||||||||||
Applications Software — 0.0% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 5,000 | 5,691 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 10,000 | 11,844 | |||||||||
17,535 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 5,000 | 4,619 | |||||||||
General Motors Co. Senior Notes 5.20% due 04/01/2045 | 5,000 | 4,938 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 5,000 | 5,009 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 5,000 | 5,357 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 10,000 | 11,439 | |||||||||
31,362 |
16
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | $ | 15,000 | $ | 15,421 | |||||||
Banks-Super Regional — 0.3% | |||||||||||
KeyCorp Senior Notes 2.55% due 10/01/2029 | 10,000 | 9,782 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 55,000 | 56,009 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 25,000 | 26,484 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 15,000 | 15,872 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 5,000 | 5,946 | |||||||||
114,093 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 5,000 | 5,056 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 5,000 | 5,528 | |||||||||
10,584 | |||||||||||
Brewery — 0.2% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 15,000 | 15,526 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 10,000 | 11,713 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 40,000 | 50,566 | |||||||||
Molson Coors Brewing Co. Company Guar. Notes 3.00% due 07/15/2026 | 10,000 | 10,105 | |||||||||
87,910 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 2,000 | 2,086 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025 | 3,000 | 3,152 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 5,000 | 5,375 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Broadcast Services/Program (continued) | |||||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | $ | 15,000 | $ | 18,353 | |||||||
28,966 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 10,000 | 10,485 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 10,000 | 10,700 | |||||||||
Cable/Satellite TV — 0.3% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | 2,000 | 2,114 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 5,000 | 5,322 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 5,000 | 5,700 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 7,000 | 8,518 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 10,000 | 10,885 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 5,000 | 5,576 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 10,000 | 11,375 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 5,000 | 5,750 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 5,000 | 5,973 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 5,000 | 6,355 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 25,000 | 25,602 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 5,000 | 5,436 |
17
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | $ | 20,000 | $ | 19,681 | |||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 10,000 | 11,184 | |||||||||
129,471 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 5,000 | 5,079 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 15,000 | 16,074 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 2.95% due 08/15/2029 | 10,000 | 10,019 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 10,000 | 10,458 | |||||||||
20,477 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 5,000 | 5,070 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 30,000 | 31,569 | |||||||||
36,639 | |||||||||||
Computer Services — 0.2% | |||||||||||
International Business Machines Corp. Senior Notes 3.30% due 05/15/2026 | 100,000 | 105,452 | |||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 35,000 | 34,389 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 5,000 | 5,300 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,832 | |||||||||
45,521 | |||||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 15,000 | 16,467 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 5,000 | 5,577 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Banking Institutions — 1.1% | |||||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | $ | 15,000 | $ | 15,300 | |||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 35,000 | 36,405 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 20,000 | 21,272 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 10,000 | 10,928 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 40,000 | 48,148 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 10,000 | 10,148 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.22% (3 ML+1.10%) due 05/17/2024 | 30,000 | 30,261 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 10,000 | 10,458 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 25,000 | 27,184 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 15,000 | 16,333 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 10,000 | 11,337 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 25,000 | 25,336 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 15,000 | 15,926 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 5,000 | 5,384 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 10,000 | 10,916 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 5,000 | 6,904 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 8,000 | 10,799 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 15,000 | 15,530 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 34,000 | 35,142 |
18
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | $ | 15,000 | $ | 15,855 | |||||||
JPMorgan Chase & Co. FRS Senior Notes 3.51% (3 ML+1.23%) due 10/24/2023 | 10,000 | 10,158 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 15,000 | 16,072 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 15,000 | 15,820 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 25,000 | 25,238 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 5,000 | 5,153 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 25,000 | 26,354 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 15,000 | 15,883 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 10,000 | 10,577 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 5,000 | 5,415 | |||||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | 5,000 | 5,616 | |||||||||
515,852 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 10,000 | 10,082 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 15,000 | 17,258 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 10,000 | 10,802 | |||||||||
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048 | 5,000 | 6,050 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 10,000 | 10,000 | |||||||||
26,852 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Electric-Integrated — 0.5% | |||||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | $ | 5,000 | $ | 5,266 | |||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029* | 10,000 | 10,010 | |||||||||
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065 | 3,000 | 3,987 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 5,000 | 5,000 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 15,000 | 15,491 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 3.25% due 10/01/2049 | 10,000 | 9,972 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 5,000 | 5,302 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 5,000 | 5,372 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 5,000 | 4,996 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 5,000 | 4,975 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 15,000 | 15,063 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 15,000 | 16,061 | |||||||||
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049 | 2,000 | 2,334 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 30,000 | 29,965 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 5,000 | 5,497 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 10,355 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 5,000 | 5,450 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 20,000 | 20,656 |
19
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Public Service Electric & Gas Co. 1st Mtg. Notes 3.95% due 05/01/2042 | $ | 5,000 | $ | 5,618 | |||||||
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024 | 10,000 | 10,260 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 15,000 | 15,353 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 10,000 | 10,087 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 3,000 | 3,217 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 5,000 | 5,103 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 10,000 | 10,313 | |||||||||
235,703 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC 1st Mtg. Bonds 3.10% due 09/15/2049* | 4,000 | 4,008 | |||||||||
Electronic Components-Semiconductors — 0.2% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 30,000 | 30,126 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.75% due 04/15/2029* | 10,000 | 10,572 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 7,000 | 8,159 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 15,000 | 15,753 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 15,000 | 16,158 | |||||||||
80,768 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 20,000 | 20,100 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 5,000 | 5,596 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 8,000 | 8,696 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | $ | 15,000 | $ | 15,848 | |||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 7,000 | 97 | |||||||||
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 | |||||||||
99 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 45,000 | 46,737 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 5,000 | 5,367 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 9,000 | 9,636 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 5,000 | 5,286 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 10,000 | 10,649 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 5,000 | 5,655 | |||||||||
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029 | 5,000 | 4,921 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 5,000 | 5,196 | |||||||||
31,707 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Unum Group Senior Notes 4.00% due 06/15/2029 | 5,000 | 5,197 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 2,000 | 3,404 |
20
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | $ | 10,000 | $ | 10,961 | |||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 15,000 | 15,197 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029* | 10,000 | 10,681 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 20,000 | 21,467 | |||||||||
32,148 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Allergan Finance LLC Company Guar. Notes 4.63% due 10/01/2042 | 5,000 | 5,187 | |||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 5,000 | 5,307 | |||||||||
10,494 | |||||||||||
Medical-HMO — 0.2% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 5,000 | 5,060 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 17,471 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024 | 10,000 | 10,080 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029 | 10,000 | 10,206 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 5,000 | 5,383 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 08/15/2049 | 5,000 | 5,294 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 15,000 | 16,129 | |||||||||
69,623 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 10,000 | 10,111 | |||||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 15,000 | 15,730 | |||||||||
25,841 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.88% due 03/12/2029* | $ | 10,000 | $ | 10,806 | |||||||
Multimedia — 0.1% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 15,000 | 15,906 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 5,000 | 5,157 | |||||||||
21,063 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 8,000 | 8,270 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Waste Management, Inc. Company Guar. Notes 3.20% due 06/15/2026 | 10,000 | 10,545 | |||||||||
Waste Management, Inc. Company Guar. Notes 3.45% due 06/15/2029 | 5,000 | 5,399 | |||||||||
15,944 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Cimarex Energy Co. Senior Notes 3.90% due 05/15/2027 | 5,000 | 5,091 | |||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 10,000 | 10,524 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028 | 10,000 | 10,328 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,792 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 13,000 | 16,224 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 5,000 | 6,292 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 5,000 | 5,199 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 10,000 | 10,908 | |||||||||
Occidental Petroleum Corp. Senior Notes 3.50% due 08/15/2029 | 5,000 | 5,071 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.95% due 07/01/2024 | 5,000 | 5,865 |
21
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | $ | 7,000 | $ | 6,708 | |||||||
88,002 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,318 | |||||||||
Pharmacy Services — 0.2% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028 | 45,000 | 49,170 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 9,000 | 9,523 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 10,000 | 11,349 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 5,000 | 5,667 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 5.93% due 01/10/2034* | 7,066 | 8,220 | |||||||||
83,929 | |||||||||||
Pipelines — 0.3% | |||||||||||
Energy Transfer Operating LP Company Guar. Notes 4.20% due 09/15/2023 | 5,000 | 5,255 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 5,000 | 5,330 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.15% due 03/15/2045 | 5,000 | 5,248 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 5,000 | 5,644 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.13% due 07/31/2029 | 5,000 | 5,120 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 5,000 | 4,650 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 10,000 | 10,001 | |||||||||
MPLX LP Senior Notes 4.25% due 12/01/2027* | 5,000 | 5,290 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 5,000 | 5,219 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,553 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
ONEOK, Inc. Company Guar. Notes 3.40% due 09/01/2029 | $ | 5,000 | $ | 4,967 | |||||||
Phillips 66 Partners LP Senior Notes 2.45% due 12/15/2024 | 10,000 | 9,959 | |||||||||
Phillips 66 Partners LP Senior Notes 3.15% due 12/15/2029 | 5,000 | 4,927 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 5,000 | 5,291 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 5,000 | 5,176 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 5,000 | 5,044 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 5,000 | 5,199 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 10,000 | 10,935 | |||||||||
Western Midstream Operating LP Senior Notes 4.50% due 03/01/2028 | 15,000 | 14,484 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 5,000 | 4,921 | |||||||||
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048 | 5,000 | 4,450 | |||||||||
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045 | 5,000 | 5,505 | |||||||||
138,168 | |||||||||||
Real Estate Investment Trusts — 0.1% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 10,000 | 11,022 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 25,000 | 25,032 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 25,000 | 25,741 | |||||||||
61,795 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 10,000 | 10,600 |
22
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | $ | 20,000 | $ | 20,999 | |||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 5,035 | |||||||||
26,034 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 10,000 | 10,437 | |||||||||
Telephone-Integrated — 0.3% | |||||||||||
AT&T, Inc. Senior Notes 3.80% due 02/15/2027 | 20,000 | 21,167 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 5,000 | 5,440 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 15,000 | 16,504 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 20,000 | 22,090 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 5,000 | 5,487 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 17,000 | 19,116 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 25,000 | 29,028 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 10,000 | 11,985 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 5,000 | 6,293 | |||||||||
137,110 | |||||||||||
Television — 0.0% | |||||||||||
CBS Corp. Company Guar. Notes 3.70% due 06/01/2028 | 5,000 | 5,212 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 5,000 | 5,425 | |||||||||
10,637 | |||||||||||
Tobacco — 0.2% | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 5,000 | 4,582 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 5,000 | 5,347 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Tobacco (continued) | |||||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | $ | 35,000 | $ | 38,340 | |||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 10,000 | 11,581 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 20,000 | 19,827 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029 | 5,000 | 4,892 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 15,000 | 14,534 | |||||||||
99,103 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 2.40% due 02/15/2030 | 10,000 | 9,795 | |||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 10,000 | 10,499 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 15,000 | 17,264 | |||||||||
37,558 | |||||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.45% due 07/01/2024* | 15,000 | 15,588 | |||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 5,000 | 5,737 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $2,597,267) | 2,758,001 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.4% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 5,000 | 5,508 | |||||||||
Banks-Commercial — 0.0% | |||||||||||
Royal Bank of Canada Senior Notes 2.55% due 07/16/2024 | 10,000 | 10,135 | |||||||||
Banks-Special Purpose — 0.1% | |||||||||||
BNG Bank NV Senior Notes 1.90% due 11/26/2025 | AUD | 45,000 | 31,307 | ||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 15,000 | 15,949 |
23
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.25% due 09/17/2050 | $ | 5,000 | $ | 5,093 | |||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 10,000 | 10,077 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 5,000 | 4,831 | |||||||||
14,908 | |||||||||||
Data Processing/Management — 0.0% | |||||||||||
Fiserv, Inc. Senior Notes 3.20% due 07/01/2026 | 10,000 | 10,349 | |||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
HSBC Holdings PLC Senior Notes 5.10% due 04/05/2021 | 50,000 | 52,126 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 10,000 | 10,812 | |||||||||
62,938 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 5,000 | 4,984 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 10,000 | 10,688 | |||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | 10,000 | 10,343 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 25,000 | 26,077 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 20,000 | 20,093 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026 | 20,000 | 13,998 | |||||||||
34,091 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 5,000 | 5,328 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | $ | 20,000 | $ | 23,050 | |||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 5,000 | 5,264 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 10,000 | 10,244 | |||||||||
15,508 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 11,000 | 10,558 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.84% due 01/23/2030* | 20,000 | 20,718 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 546,996 | 3,798 | ||||||||
35,074 | |||||||||||
Pipelines — 0.1% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 5,000 | 5,015 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034 | 5,000 | 5,681 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 10,000 | 11,408 | |||||||||
22,104 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
HCP, Inc. Senior Notes 3.25% due 07/15/2026 | 5,000 | 5,144 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 15,000 | 16,258 | |||||||||
SupraNational Banks — 0.5% | |||||||||||
Asian Development Bank Senior Notes 3.00% due 01/17/2023 | NZD | 95,000 | 62,777 | ||||||||
Inter-American Development Bank Senior Notes 1.70% due 10/10/2024 | CAD | 85,000 | 63,954 | ||||||||
Inter-American Development Bank Senior Notes 2.75% due 10/30/2025 | AUD | 85,000 | 62,071 | ||||||||
International Finance Corp. Notes 1.38% due 09/13/2024 | CAD | 45,000 | 33,358 | ||||||||
222,160 |
24
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | $ | 2,000 | $ | 2,102 | |||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 35,000 | 48,321 | |||||||||
50,423 | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 5,000 | 5,875 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $662,346) | 643,294 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.3% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 5,000 | 5,517 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 10,000 | 11,067 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 13,000 | 15,503 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 9,000 | 12,421 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 35,000 | 44,598 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 10,000 | 16,545 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 17,455 | 18,271 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,387 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 5,000 | 5,360 | |||||||||
Total Municipal Bonds & Notes (cost $131,217) | 139,669 | ||||||||||
U.S. GOVERNMENT AGENCIES — 11.3% | |||||||||||
Federal Home Loan Mtg. Corp. — 1.0% | |||||||||||
2.50% due 01/01/2028 | 2,646 | 2,682 | |||||||||
2.50% due 04/01/2028 | 7,223 | 7,321 | |||||||||
3.00% due October 30 TBA | 200,000 | 203,109 | |||||||||
3.50% due 03/01/2042 | 2,452 | 2,577 | |||||||||
3.50% due 09/01/2043 | 19,322 | 20,152 | |||||||||
3.50% due 08/01/2048 | 116,683 | 120,048 | |||||||||
4.00% due 09/01/2040 | 3,364 | 3,562 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
4.50% due 01/01/2039 | $ | 424 | $ | 459 | |||||||
5.00% due 07/01/2021 | 2,664 | 2,749 | |||||||||
5.50% due 07/01/2034 | 3,001 | 3,383 | |||||||||
6.50% due 05/01/2029 | 409 | 457 | |||||||||
7.50% due 08/01/2023 | 28 | 28 | |||||||||
7.50% due 04/01/2028 | 414 | 469 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.02% (6 ML+1.49%) due 02/01/2037 | 538 | 556 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.45% due 09/25/2043*(4)(5) | 25,000 | 25,354 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(4)(5)(6) | 99,965 | 5,358 | |||||||||
Series K064, Class X1 VRS 0.74% due 03/25/2027(4)(5)(6) | 123,857 | 4,945 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(5) | 40,000 | 43,160 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(3) | 4,971 | 5,310 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.80% (1 ML+1.65%) due 04/25/2043*(3) | 7,048 | 7,067 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 2.90% (1 ML+0.75%) due 09/25/2048*(3) | 19,190 | 19,206 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(3) | 514 | 512 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(3) | 6,657 | 6,886 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(3) | 550 | 578 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(3) | 114 | 119 | |||||||||
486,047 | |||||||||||
Federal National Mtg. Assoc. — 3.0% | |||||||||||
2.50% due 02/01/2043 | 61,404 | 61,352 | |||||||||
2.97% due 06/01/2030 | 40,000 | 42,563 | |||||||||
3.00% due 01/01/2028 | 5,490 | 5,639 | |||||||||
3.50% due 08/01/2026 | 6,021 | 6,225 | |||||||||
3.50% due 09/01/2026 | 6,313 | 6,564 | |||||||||
3.50% due 10/01/2028 | 8,519 | 8,900 |
25
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
3.50% due 11/01/2047 | $ | 182,068 | $ | 187,877 | |||||||
3.50% due 03/01/2048 | 89,578 | 92,739 | |||||||||
4.00% due 11/01/2025 | 987 | 1,028 | |||||||||
4.00% due 09/01/2040 | 3,360 | 3,589 | |||||||||
4.00% due 11/01/2040 | 1,188 | 1,269 | |||||||||
4.00% due 12/01/2040 | 14,270 | 15,243 | |||||||||
4.00% due 10/01/2041 | 5,262 | 5,621 | |||||||||
4.00% due 11/01/2041 | 5,101 | 5,449 | |||||||||
4.00% due 01/01/2042 | 4,926 | 5,262 | |||||||||
4.00% due 12/01/2043 | 13,771 | 14,816 | |||||||||
4.00% due 02/01/2049 | 306,039 | 319,004 | |||||||||
4.50% due 11/01/2022 | 1,259 | 1,298 | |||||||||
4.50% due 01/01/2039 | 1,285 | 1,390 | |||||||||
4.50% due 06/01/2039 | 17,191 | 18,433 | |||||||||
4.50% due 09/01/2039 | 2,871 | 3,109 | |||||||||
4.50% due 09/01/2040 | 5,482 | 5,939 | |||||||||
4.50% due 05/01/2041 | 2,310 | 2,502 | |||||||||
5.00% due 05/01/2035 | 514 | 567 | |||||||||
5.00% due 06/01/2040 | 20,547 | 22,707 | |||||||||
5.00% due 07/01/2040 | 4,827 | 5,333 | |||||||||
5.50% due 11/01/2020 | 584 | 589 | |||||||||
5.50% due 04/01/2021 | 9,046 | 9,151 | |||||||||
5.50% due 12/01/2029 | 745 | 806 | |||||||||
5.50% due 06/01/2035 | 51,449 | 58,130 | |||||||||
5.50% due 08/01/2037 | 8,346 | 9,417 | |||||||||
5.50% due 06/01/2038 | 3,898 | 4,396 | |||||||||
6.00% due 12/01/2033 | 3,704 | 4,262 | |||||||||
6.00% due 05/01/2034 | 253 | 291 | |||||||||
6.00% due 06/01/2040 | 94 | 108 | |||||||||
6.50% due 10/01/2037 | 91 | 103 | |||||||||
7.00% due 06/01/2037 | 3,143 | 3,614 | |||||||||
Federal National Mtg. Assoc. FRS 4.42% (12 ML+1.57%) due 05/01/2037 | 935 | 977 | |||||||||
4.55% (12 ML+1.82%) due 10/01/2040 | 937 | 986 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.70% (1 ML+3.55%) due 07/25/2029(3) | 10,000 | 10,510 | |||||||||
Series 2016-C07, Class 2M2 6.50% (1 ML+4.35%) due 05/25/2029(3) | 18,709 | 19,720 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(3) | 4,399 | 4,378 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(3) | 5,772 | 5,741 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(3) | 11,596 | 11,530 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(3) | 11,655 | 11,783 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(3) | 9,863 | 9,968 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(3) | $ | 29,384 | $ | 29,687 | |||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(3) | 17,459 | 17,549 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(3) | 15,382 | 15,736 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(3) | 3,251 | 3,354 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(3) | 9,347 | 9,608 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(3) | 14,029 | 14,435 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(3) | 16,262 | 16,734 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(3) | 22,078 | 22,713 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(3) | 15,616 | 16,073 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(3) | 7,246 | 7,583 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(3) | 19,182 | 20,084 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(3) | 16,533 | 16,890 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(3) | 19,086 | 19,759 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(3) | 13,653 | 14,313 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(3) | 17,050 | 17,793 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(3) | 12,699 | 13,394 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(3) | 18,549 | 19,091 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(3) | 10,184 | 10,457 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(3) | 12,521 | 13,180 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(3) | 23,691 | 24,563 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(3) | 7,531 | 7,937 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(3) | 18,623 | 19,658 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(3) | 12,933 | 13,645 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(3) | 17,132 | 18,075 | |||||||||
Series 2019-28, Class JA 3.50% due 06/25/2059(3) | 15,929 | 16,925 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(3) | 13,332 | 13,900 | |||||||||
1,424,014 | |||||||||||
Government National Mtg. Assoc. — 2.1% | |||||||||||
3.00% due October 30 TBA | 200,000 | 205,226 | |||||||||
3.50% due October 30 TBA | 400,000 | 414,383 | |||||||||
4.00% due 09/15/2041 | 141,675 | 149,060 |
26
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
4.00% due October 30 TBA | $ | 99,999 | $ | 104,284 | |||||||
4.50% due 06/15/2041 | 42,205 | 45,932 | |||||||||
6.00% due 11/15/2031 | 16,234 | 17,944 | |||||||||
7.00% due 05/15/2033 | 4,347 | 5,012 | |||||||||
9.00% due 11/15/2021 | 31 | 31 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(3) | 17,354 | 17,214 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(3) | 82 | 92 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(3) | 1,301 | 1,506 | |||||||||
960,684 | |||||||||||
Uniform Mtg. Backed Securities — 5.2% | |||||||||||
Uniform Mtg. Backed Securities 2.50% due October 15 TBA | 210,000 | 211,784 | |||||||||
3.00% due October 15 TBA | 295,000 | 301,545 | |||||||||
3.00% due October 30 TBA | 900,000 | 913,500 | |||||||||
3.50% due October 30 TBA | 150,000 | 153,855 | |||||||||
4.00% due October 30 TBA | 395,000 | 409,859 | |||||||||
4.50% due October 30 TBA | 320,000 | 336,946 | |||||||||
5.00% due October 30 TBA | 100,000 | 107,102 | |||||||||
2,434,591 | |||||||||||
Total U.S. Government Agencies (cost $5,252,218) | 5,305,336 | ||||||||||
U.S. GOVERNMENT TREASURIES — 5.9% | |||||||||||
United States Treasury Bonds — 2.8% | |||||||||||
United States Treasury Bonds 1.00% due 02/15/2049 TIPS(10) | 20,391 | 22,883 | |||||||||
2.88% due 08/15/2045(8)(9) | 106,000 | 122,144 | |||||||||
2.88% due 11/15/2046 | 93,000 | 107,611 | |||||||||
3.00% due 05/15/2045 | 16,000 | 18,838 | |||||||||
3.00% due 11/15/2045 | 101,000 | 119,137 | |||||||||
3.00% due 02/15/2047 | 50,000 | 59,272 | |||||||||
3.00% due 02/15/2048 | 185,000 | 219,651 | |||||||||
3.13% due 02/15/2043 | 15,000 | 17,891 | |||||||||
3.13% due 08/15/2044 | 415,000 | 497,238 | |||||||||
3.63% due 08/15/2043 | 65,000 | 83,832 | |||||||||
3.75% due 11/15/2043 | 55,000 | 72,344 | |||||||||
1,340,841 | |||||||||||
United States Treasury Notes — 3.1% | |||||||||||
United States Treasury Notes 0.38% due 07/15/2027 TIPS(10) | 388,056 | 393,873 | |||||||||
0.63% due 01/15/2026 TIPS(10) | 97,176 | 99,542 | |||||||||
0.88% due 01/15/2029 TIPS(10) | 66,044 | 70,042 | |||||||||
2.25% due 12/31/2023 | 65,000 | 66,800 | |||||||||
2.25% due 08/15/2027 | 50,000 | 52,271 | |||||||||
2.63% due 02/15/2029 | 140,000 | 151,523 | |||||||||
2.88% due 08/15/2028 | 60,000 | 65,972 | |||||||||
3.13% due 11/15/2028 | 490,000 | 550,102 | |||||||||
1,450,125 | |||||||||||
Total U.S. Government Treasuries (cost $2,579,711) | 2,790,966 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.2% | |||||||||||
Sovereign — 0.2% | |||||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 25,000 | $ | 35,328 | |||||||
Government of Romania Senior Notes 4.63% due 04/03/2049* | EUR | 8,000 | 11,305 | ||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | $ | 8,000 | 10,446 | ||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 6,000 | 6,366 | |||||||||
Government of Egypt Bonds 16.10% due 05/07/2029 | EGP | 300,000 | 20,005 | ||||||||
Total Foreign Government Obligations (cost $77,799) | 83,450 | ||||||||||
Total Long-Term Investment Securities (cost $45,503,572) | 48,382,479 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 3.5% | |||||||||||
Foreign Government Obligations — 0.6% | |||||||||||
Government of Japan Dis. Notes (0.13%) due 10/28/2019 | JPY | 28,000,000 | 258,990 | ||||||||
Registered Investment Companies — 2.9% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 1.95%(11) | 1,370,499 | 1,370,499 | |||||||||
Total Short-Term Investment Securities (cost $1,628,088) | 1,629,489 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(12) | 40,000 | 40,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(12) | 15,000 | 15,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(12) | 10,000 | 10,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(12) | 25,000 | 25,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(12) | 25,000 | 25,000 | |||||||||
Total Repurchase Agreements (cost $115,000) | 115,000 | ||||||||||
TOTAL INVESTMENTS (cost $47,246,660)(16) | 106.6 | % | 50,126,968 | ||||||||
Liabilities in excess of other assets | (6.6 | ) | (3,106,495 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 47,020,473 |
27
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (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 September 30, 2019, the aggregate value of these securities was $2,791,633 representing 5.9% 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 September 30, 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 | $ | 535 | $ | 267.52 | 0.00 | % |
(3) Collateralized Mortgage Obligation
(4) 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.
(5) Commercial Mortgage Backed Security
(6) Interest Only
(7) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2019.
(8) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(9) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(10) Principal amount of security is adjusted for inflation.
(11) The rate shown is the 7-day yield as of September 30, 2019.
(12) See Note 2 for details of Joint Repurchase Agreements.
(13) Denominated in United States dollars unless otherwise indicated.
(14) Perpetual maturity — maturity date reflects the next call date.
(15) Collateralized Loan Obligation
(16) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
AUD — Australian Dollar
CAD — Canadian Dollar
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Currency
JPY — Japanese Yen
NZD — New Zealand Dollar
SCRT — Seasoned Credit Risk Transfer Trust
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 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
28
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
1 | Long | Canada 10 Year Bond | December 2019 | $ | 106,615 | $ | 107,635 | $ | 1,020 | ||||||||||||||||||
2 | Long | U.S. Long Bonds | December 2019 | 318,560 | 324,625 | 6,065 | |||||||||||||||||||||
3 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2019 | 432,094 | 427,219 | 4,875 | |||||||||||||||||||||
12 | Short | U.S. Treasury 5 Year Notes | December 2019 | 1,435,750 | 1,429,781 | 5,969 | |||||||||||||||||||||
$ | 17,929 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
3 | Long | E-Mini Russell 2000 Index | December 2019 | $ | 238,159 | $ | 228,750 | $ | (9,409 | ) | |||||||||||||||||
2 | Long | U.S. Treasury 2 Year Notes | December 2019 | 431,594 | 431,000 | (594 | ) | ||||||||||||||||||||
3 | Short | U.S. Treasury 10 Year Notes | December 2019 | 390,234 | 390,937 | (703 | ) | ||||||||||||||||||||
$ | (10,706 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 7,223 |
* 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 | ||||||||||||||||||
Goldman Sachs International | AUD | 137,000 | USD | 92,594 | 10/31/2019 | $ | 32 | $ | — | ||||||||||||||
JPMorgan Chase Bank | EUR | 43,000 | USD | 47,731 | 12/18/2019 | 584 | — | ||||||||||||||||
JPY | 28,000,000 | USD | 259,509 | 10/28/2019 | 110 | — | |||||||||||||||||
NZD | 101,000 | USD | 63,453 | 11/29/2019 | 122 | — | |||||||||||||||||
816 | — | ||||||||||||||||||||||
NatWest Markets PLC | CAD | 45,000 | USD | 34,110 | 11/05/2019 | 125 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 973 | $ | — |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
29
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 75 | 11/14/2026 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | (1,330 | ) | ||||||||||||||
USD | 130 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (2,746 | ) | (28,075 | ) | |||||||||||||||
$ | (2,746 | ) | $ | (29,405 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 119,345 | $ | — | $ | 535 | $ | 119,880 | |||||||||||
Other Industries | 32,163,917 | 833,956 | ** | — | 32,997,873 | ||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 264,375 | — | 264,375 | |||||||||||||||
Asset Backed Securities | — | 3,279,634 | — | 3,279,634 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 97 | 2 | 99 | |||||||||||||||
Other Industries | — | 2,757,902 | — | 2,757,902 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 643,294 | — | 643,294 | |||||||||||||||
Municipal Bond & Notes | — | 139,669 | — | 139,669 | |||||||||||||||
U.S. Government Agencies | — | 5,305,336 | — | 5,305,336 | |||||||||||||||
U.S. Government Treasuries | — | 2,790,966 | — | 2,790,966 | |||||||||||||||
Foreign Government Obligations | — | 83,450 | — | 83,450 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Foreign Government Obligations | — | 258,990 | — | 258,990 | |||||||||||||||
Registered Investment Companies | 1,370,499 | — | — | 1,370,499 | |||||||||||||||
Repurchase Agreements | — | 115,000 | — | 115,000 | |||||||||||||||
Total Investments at Value | $ | 33,653,761 | $ | 16,472,669 | $ | 538 | $ | 50,126,968 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 17,929 | $ | — | $ | — | $ | 17,929 | |||||||||||
Forward Foreign Currency Contracts | — | 973 | — | 973 | |||||||||||||||
Total Other Financial Instruments | $ | 17,929 | $ | 973 | $ | — | $ | 18,902 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 10,706 | $ | — | $ | — | $ | 10,706 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 29,405 | — | 29,405 | |||||||||||||||
Total Other Financial Instruments | $ | 10,706 | $ | 29,405 | $ | — | $ | 40,111 |
* 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 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
30
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 10.8 | % | |||||
Federal National Mtg. Assoc. | 8.5 | ||||||
United States Treasury Notes | 5.6 | ||||||
Enterprise Software/Service | 5.1 | ||||||
United States Treasury Bonds | 4.8 | ||||||
Uniform Mtg. Backed Securities | 4.2 | ||||||
Government National Mtg. Assoc. | 3.5 | ||||||
E-Commerce/Products | 2.8 | ||||||
Internet Content-Entertainment | 2.7 | ||||||
Applications Software | 2.7 | ||||||
Diversified Banking Institutions | 2.5 | ||||||
Medical Instruments | 2.3 | ||||||
Chemicals-Specialty | 2.3 | ||||||
Registered Investment Companies | 2.1 | ||||||
Federal Home Loan Mtg. Corp. | 2.1 | ||||||
Multimedia | 2.1 | ||||||
Medical-Drugs | 2.0 | ||||||
Banks-Commercial | 1.8 | ||||||
Building-Maintenance & Services | 1.8 | ||||||
Consulting Services | 1.8 | ||||||
Real Estate Investment Trusts | 1.7 | ||||||
Textile-Apparel | 1.3 | ||||||
Internet Content-Information/News | 1.3 | ||||||
Data Processing/Management | 1.2 | ||||||
Repurchase Agreements | 1.2 | ||||||
Distribution/Wholesale | 1.1 | ||||||
Transport-Rail | 1.1 | ||||||
Cosmetics & Toiletries | 1.1 | ||||||
Web Portals/ISP | 1.0 | ||||||
Electric-Integrated | 1.0 | ||||||
E-Commerce/Services | 1.0 | ||||||
Foreign Government Obligations | 0.9 | ||||||
Retail-Restaurants | 0.8 | ||||||
Commercial Services-Finance | 0.8 | ||||||
SupraNational Banks | 0.7 | ||||||
Computer Aided Design | 0.7 | ||||||
Medical-Biomedical/Gene | 0.7 | ||||||
Electronic Components-Semiconductors | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.7 | ||||||
Machinery-General Industrial | 0.7 | ||||||
Electronic Forms | 0.7 | ||||||
Diagnostic Equipment | 0.7 | ||||||
Non-Hazardous Waste Disposal | 0.7 | ||||||
Containers-Metal/Glass | 0.7 | ||||||
Sovereign | 0.6 | ||||||
Computer Software | 0.6 | ||||||
Veterinary Diagnostics | 0.6 | ||||||
Pipelines | 0.6 | ||||||
Telephone-Integrated | 0.6 | ||||||
Savings & Loans/Thrifts | 0.5 | ||||||
Oil Companies-Exploration & Production | 0.5 | ||||||
Cable/Satellite TV | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Municipal Bonds & Notes | 0.4 | ||||||
Medical Products | 0.4 | ||||||
Banks-Super Regional | 0.4 | ||||||
Human Resources | 0.4 | ||||||
Computer Services | 0.4 | ||||||
Building & Construction-Misc. | 0.4 | ||||||
Medical-HMO | 0.3 |
Brewery | 0.3 | % | |||||
Tobacco | 0.3 | ||||||
Television | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Power Converter/Supply Equipment | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.3 | ||||||
Finance-Other Services | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.3 | ||||||
Medical Information Systems | 0.2 | ||||||
Oil Refining & Marketing | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Water | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Broadcast Services/Program | 0.2 | ||||||
Auto-Truck Trailers | 0.2 | ||||||
Electronic Parts Distribution | 0.2 | ||||||
Coal | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Schools | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Electronic Components-Misc. | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Oil Companies-Integrated | 0.1 | ||||||
Retail-Apparel/Shoe | 0.1 | ||||||
Audio/Video Products | 0.1 | ||||||
Computers | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Rubber/Plastic Products | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Printing-Commercial | 0.1 | ||||||
X-Ray Equipment | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
Banks-Special Purpose | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Telecom Services | 0.1 |
31
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Medical-Wholesale Drug Distribution | 0.1 | % | |||||
Metal Products-Distribution | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Investment Management/Advisor Services | 0.1 | ||||||
Poultry | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Building Products-Doors & Windows | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Communications Software | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Transport-Marine | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
112.5 | % |
* Calculated as a percentage of net assets
32
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 55.8% | |||||||||||
Aerospace/Defense-Equipment — 0.6% | |||||||||||
HEICO Corp., Class A | 4,582 | $ | 445,874 | ||||||||
Moog, Inc., Class A | 275 | 22,308 | |||||||||
468,182 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Deckers Outdoor Corp.† | 950 | 139,992 | |||||||||
Appliances — 0.0% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 375 | 6,064 | |||||||||
Applications Software — 2.6% | |||||||||||
Brightcove, Inc.† | 3,200 | 33,536 | |||||||||
Cloudflare, Inc., Class A† | 300 | 5,571 | |||||||||
Intuit, Inc. | 1,753 | 466,193 | |||||||||
ServiceNow, Inc.† | 5,919 | 1,502,538 | |||||||||
2,007,838 | |||||||||||
Audio/Video Products — 0.1% | |||||||||||
Sonos, Inc.† | 8,000 | 107,280 | |||||||||
Auto-Truck Trailers — 0.2% | |||||||||||
Wabash National Corp. | 9,250 | 134,217 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.3% | |||||||||||
Gentherm, Inc.† | 1,625 | 66,763 | |||||||||
Meritor, Inc.† | 1,550 | 28,675 | |||||||||
Stoneridge, Inc.† | 2,900 | 89,813 | |||||||||
Telenav, Inc.† | 1,450 | 6,931 | |||||||||
192,182 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 2,050 | 91,368 | |||||||||
Banks-Commercial — 1.5% | |||||||||||
1st Source Corp. | 460 | 21,036 | |||||||||
Atlantic Union Bankshares Corp. | 384 | 14,302 | |||||||||
BancFirst Corp. | 1,425 | 78,973 | |||||||||
BancorpSouth Bank | 1,925 | 56,999 | |||||||||
Banner Corp. | 1,475 | 82,851 | |||||||||
Cadence BanCorp | 125 | 2,193 | |||||||||
Cathay General Bancorp | 750 | 26,051 | |||||||||
Central Pacific Financial Corp. | 2,325 | 66,030 | |||||||||
Central Valley Community Bancorp | 175 | 3,561 | |||||||||
Columbia Banking System, Inc. | 1,850 | 68,265 | |||||||||
CVB Financial Corp. | 3,100 | 64,697 | |||||||||
Enterprise Financial Services Corp. | 450 | 18,338 | |||||||||
First Commonwealth Financial Corp. | 3,125 | 41,500 | |||||||||
First Community Bankshares, Inc. | 200 | 6,474 | |||||||||
First Hawaiian, Inc. | 675 | 18,023 | |||||||||
First Interstate BancSystem, Inc., Class A | 475 | 19,114 | |||||||||
Great Western Bancorp, Inc. | 225 | 7,425 | |||||||||
Hope Bancorp, Inc. | 1,533 | 21,983 | |||||||||
IBERIABANK Corp. | 275 | 20,774 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Independent Bank Corp./ Massachusetts | 100 | $ | 7,465 | ||||||||
Independent Bank Corp./ Michigan | 900 | 19,184 | |||||||||
PacWest Bancorp | 500 | 18,170 | |||||||||
Simmons First National Corp., Class A | 880 | 21,912 | |||||||||
South State Corp. | 100 | 7,530 | |||||||||
TCF Financial Corp. | 978 | 37,232 | |||||||||
Trustmark Corp. | 4,700 | 160,317 | |||||||||
UMB Financial Corp. | 475 | 30,675 | |||||||||
United Bankshares, Inc. | 1,375 | 52,071 | |||||||||
Webster Financial Corp. | 450 | 21,091 | |||||||||
West Bancorporation, Inc. | 300 | 6,522 | |||||||||
Westamerica Bancorporation | 1,800 | 111,924 | |||||||||
1,132,682 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
National Bank Holdings Corp., Class A | 180 | 6,154 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 1,925 | 23,524 | |||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Builders FirstSource, Inc.† | 3,450 | 70,984 | |||||||||
Louisiana-Pacific Corp. | 1,350 | 33,183 | |||||||||
104,167 | |||||||||||
Building & Construction-Misc. — 0.4% | |||||||||||
Comfort Systems USA, Inc. | 975 | 43,124 | |||||||||
EMCOR Group, Inc. | 2,300 | 198,076 | |||||||||
MYR Group, Inc.† | 925 | 28,943 | |||||||||
270,143 | |||||||||||
Building Products-Cement — 0.1% | |||||||||||
Continental Building Products, Inc.† | 2,525 | 68,907 | |||||||||
Building Products-Doors & Windows — 0.1% | |||||||||||
Masonite International Corp.† | 875 | 50,750 | |||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. | 825 | 26,887 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
MasTec, Inc.† | 1,000 | 64,930 | |||||||||
Sterling Construction Co., Inc.† | 1,375 | 18,081 | |||||||||
83,011 | |||||||||||
Building-Maintenance & Services — 1.8% | |||||||||||
ABM Industries, Inc. | 475 | 17,252 | |||||||||
Rollins, Inc. | 23,972 | 816,726 | |||||||||
ServiceMaster Global Holdings, Inc.† | 10,128 | 566,155 | |||||||||
1,400,133 | |||||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
KB Home | 4,950 | 168,300 | |||||||||
TRI Pointe Group, Inc.† | 11,550 | 173,712 | |||||||||
342,012 |
33
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
WideOpenWest, Inc.† | 3,950 | $ | 24,332 | ||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. | 1,250 | 29,938 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
PolyOne Corp. | 375 | 12,244 | |||||||||
Chemicals-Specialty — 2.2% | |||||||||||
Ecolab, Inc. | 8,386 | 1,660,764 | |||||||||
Minerals Technologies, Inc. | 625 | 33,181 | |||||||||
1,693,945 | |||||||||||
Coal — 0.2% | |||||||||||
Arch Coal, Inc., Class A | 725 | 53,795 | |||||||||
Peabody Energy Corp. | 1,450 | 21,344 | |||||||||
Warrior Met Coal, Inc. | 2,450 | 47,824 | |||||||||
122,963 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Harsco Corp.† | 650 | 12,324 | |||||||||
Medifast, Inc. | 125 | 12,954 | |||||||||
25,278 | |||||||||||
Commercial Services-Finance — 0.7% | |||||||||||
Euronet Worldwide, Inc.† | 150 | 21,945 | |||||||||
Green Dot Corp., Class A† | 400 | 10,100 | |||||||||
S&P Global, Inc. | 2,135 | 523,032 | |||||||||
555,077 | |||||||||||
Communications Software — 0.1% | |||||||||||
Avaya Holdings Corp.† | 3,800 | 38,874 | |||||||||
Computer Aided Design — 0.7% | |||||||||||
Aspen Technology, Inc.† | 400 | 49,232 | |||||||||
Autodesk, Inc.† | 3,493 | 515,916 | |||||||||
565,148 | |||||||||||
Computer Data Security — 0.1% | |||||||||||
Qualys, Inc.† | 650 | 49,121 | |||||||||
Computer Services — 0.1% | |||||||||||
CACI International, Inc., Class A† | 225 | 52,033 | |||||||||
Insight Enterprises, Inc.† | 450 | 25,060 | |||||||||
Unisys Corp.† | 350 | 2,601 | |||||||||
79,694 | |||||||||||
Computer Software — 0.6% | |||||||||||
Box, Inc., Class A† | 2,575 | 42,642 | |||||||||
Dynatrace, Inc.† | 2,000 | 37,340 | |||||||||
j2 Global, Inc. | 650 | 59,033 | |||||||||
TiVo Corp. | 12,850 | 97,853 | |||||||||
Twilio, Inc., Class A† | 2,216 | 243,283 | |||||||||
480,151 | |||||||||||
Consulting Services — 1.8% | |||||||||||
Gartner, Inc.† | 5,032 | 719,526 | |||||||||
Huron Consulting Group, Inc.† | 1,850 | 113,479 | |||||||||
Verisk Analytics, Inc. | 3,419 | 540,680 | |||||||||
1,373,685 | |||||||||||
Containers-Metal/Glass — 0.7% | |||||||||||
Ball Corp. | 6,956 | 506,466 |
Security Description | Shares | Value (Note 2) | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Graphic Packaging Holding Co. | 1,025 | $ | 15,119 | ||||||||
Cosmetics & Toiletries — 1.1% | |||||||||||
Edgewell Personal Care Co.† | 400 | 12,996 | |||||||||
Estee Lauder Cos., Inc., Class A | 4,078 | 811,318 | |||||||||
824,314 | |||||||||||
Data Processing/Management — 1.2% | |||||||||||
Broadridge Financial Solutions, Inc. | 6,169 | 767,609 | |||||||||
CommVault Systems, Inc.† | 3,650 | 163,191 | |||||||||
930,800 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Patterson Cos., Inc. | 2,550 | 45,441 | |||||||||
Diagnostic Equipment — 0.7% | |||||||||||
Adaptive Biotechnologies Corp.† | 500 | 15,450 | |||||||||
Danaher Corp. | 3,556 | 513,593 | |||||||||
529,043 | |||||||||||
Diagnostic Kits — 0.0% | |||||||||||
Meridian Bioscience, Inc. | 1,950 | 18,506 | |||||||||
Distribution/Wholesale — 1.1% | |||||||||||
Copart, Inc.† | 9,507 | 763,697 | |||||||||
Core-Mark Holding Co., Inc. | 800 | 25,692 | |||||||||
Fossil Group, Inc.† | 3,725 | 46,600 | |||||||||
Titan Machinery, Inc.† | 1,500 | 21,510 | |||||||||
Veritiv Corp.† | 625 | 11,300 | |||||||||
868,799 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Actuant Corp., Class A | 125 | 2,743 | |||||||||
EnPro Industries, Inc. | 425 | 29,176 | |||||||||
Fabrinet† | 875 | 45,762 | |||||||||
77,681 | |||||||||||
E-Commerce/Products — 2.7% | |||||||||||
Amazon.com, Inc.† | 1,224 | 2,124,754 | |||||||||
Etsy, Inc.† | 225 | 12,712 | |||||||||
2,137,466 | |||||||||||
E-Commerce/Services — 1.0% | |||||||||||
Groupon, Inc.† | 4,575 | 12,170 | |||||||||
MercadoLibre, Inc.† | 1,274 | 702,267 | |||||||||
Stamps.com, Inc.† | 825 | 61,421 | |||||||||
775,858 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
New Media Investment Group, Inc. | 1,125 | 9,911 | |||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 2,950 | 113,811 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 325 | 6,455 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Spark Energy, Inc., Class A | 2,350 | 24,793 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 21,475 | 50,252 |
34
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
Black Hills Corp. | 700 | $ | 53,711 | ||||||||
IDACORP, Inc. | 125 | 14,084 | |||||||||
PNM Resources, Inc. | 675 | 35,154 | |||||||||
Portland General Electric Co. | 1,500 | 84,555 | |||||||||
187,504 | |||||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Benchmark Electronics, Inc. | 475 | 13,803 | |||||||||
OSI Systems, Inc.† | 950 | 96,482 | |||||||||
110,285 | |||||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Amkor Technology, Inc.† | 8,175 | 74,393 | |||||||||
Rambus, Inc.† | 10,650 | 139,781 | |||||||||
Synaptics, Inc.† | 1,375 | 54,931 | |||||||||
Xperi Corp. | 3,275 | 67,727 | |||||||||
336,832 | |||||||||||
Electronic Forms — 0.7% | |||||||||||
Adobe, Inc.† | 1,954 | 539,792 | |||||||||
Electronic Parts Distribution — 0.2% | |||||||||||
Tech Data Corp.† | 1,200 | 125,088 | |||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
FutureFuel Corp. | 1,700 | 20,298 | |||||||||
Renewable Energy Group, Inc.† | 725 | 10,879 | |||||||||
REX American Resources Corp.† | 925 | 70,605 | |||||||||
101,782 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
KBR, Inc. | 700 | 17,178 | |||||||||
VSE Corp. | 375 | 12,784 | |||||||||
29,962 | |||||||||||
Enterprise Software/Service — 5.1% | |||||||||||
ACI Worldwide, Inc.† | 4,450 | 139,396 | |||||||||
Constellation Software, Inc. | 1,259 | 1,257,384 | |||||||||
Coupa Software, Inc.† | 1,082 | 139,133 | |||||||||
Donnelley Financial Solutions, Inc.† | 1,050 | 12,936 | |||||||||
Evolent Health, Inc., Class A† | 5,875 | 42,241 | |||||||||
Manhattan Associates, Inc.† | 375 | 30,251 | |||||||||
MicroStrategy, Inc., Class A† | 150 | 22,256 | |||||||||
Veeva Systems, Inc., Class A† | 5,588 | 853,232 | |||||||||
Workday, Inc., Class A† | 8,909 | 1,514,174 | |||||||||
4,011,003 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 75 | 34,598 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Nelnet, Inc., Class A | 125 | 7,950 | |||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cowen, Inc., Class A† | 625 | 9,619 | |||||||||
Houlihan Lokey, Inc. | 1,250 | 56,375 | |||||||||
65,994 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Other Services — 0.1% | |||||||||||
Deluxe Corp. | 925 | $ | 45,473 | ||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MBIA, Inc.† | 600 | 5,538 | |||||||||
MGIC Investment Corp. | 3,575 | 44,973 | |||||||||
NMI Holdings, Inc., Class A† | 450 | 11,817 | |||||||||
Radian Group, Inc. | 900 | 20,556 | |||||||||
82,884 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 175 | 5,457 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Grocery Outlet Holding Corp.† | 400 | 13,872 | |||||||||
Footwear & Related Apparel — 0.1% | |||||||||||
Crocs, Inc.† | 1,525 | 42,334 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
New Jersey Resources Corp. | 100 | 4,528 | |||||||||
Northwest Natural Holding Co. | 225 | 16,051 | |||||||||
ONE Gas, Inc. | 200 | 19,216 | |||||||||
Southwest Gas Holdings, Inc. | 450 | 40,968 | |||||||||
80,763 | |||||||||||
Home Furnishings — 0.1% | |||||||||||
Sleep Number Corp.† | 1,900 | 78,508 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Red Lion Hotels Corp.† | 1,600 | 10,368 | |||||||||
Human Resources — 0.4% | |||||||||||
Barrett Business Services, Inc. | 1,450 | 128,789 | |||||||||
Cross Country Healthcare, Inc.† | 3,550 | 36,565 | |||||||||
Heidrick & Struggles International, Inc. | 200 | 5,460 | |||||||||
Kforce, Inc. | 1,225 | 46,348 | |||||||||
Korn Ferry | 1,225 | 47,334 | |||||||||
TrueBlue, Inc.† | 1,425 | 30,067 | |||||||||
294,563 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy, Inc., Class A | 825 | 14,306 | |||||||||
Insurance-Life/Health — 0.1% | |||||||||||
American Equity Investment Life Holding Co. | 150 | 3,630 | |||||||||
CNO Financial Group, Inc. | 1,525 | 24,141 | |||||||||
Primerica, Inc. | 575 | 73,157 | |||||||||
100,928 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Kemper Corp. | 150 | 11,693 | |||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Ambac Financial Group, Inc.† | 150 | 2,932 | |||||||||
First American Financial Corp. | 300 | 17,703 | |||||||||
Kinsale Capital Group, Inc. | 725 | 74,900 | |||||||||
95,535 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Global Indemnity, Ltd. | 175 | 4,370 | |||||||||
Third Point Reinsurance, Ltd.† | 550 | 5,494 | |||||||||
9,864 |
35
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 1,275 | $ | 70,253 | ||||||||
Internet Content-Entertainment — 2.7% | |||||||||||
Facebook, Inc., Class A† | 2,436 | 433,803 | |||||||||
Twitter, Inc.† | 40,114 | 1,652,697 | |||||||||
2,086,500 | |||||||||||
Internet Content-Information/News — 1.3% | |||||||||||
HealthStream, Inc.† | 2,025 | 52,427 | |||||||||
Spotify Technology SA† | 8,152 | 929,328 | |||||||||
Yelp, Inc.† | 725 | 25,194 | |||||||||
1,006,949 | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 350 | 45,168 | |||||||||
Investment Management/Advisor Services — 0.1% | |||||||||||
Brightsphere Investment Group, Inc. | 575 | 5,698 | |||||||||
Stifel Financial Corp. | 825 | 47,339 | |||||||||
53,037 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Bloom Energy Corp. Class A† | 100 | 325 | |||||||||
Machinery-General Industrial — 0.7% | |||||||||||
DXP Enterprises, Inc.† | 1,025 | 35,588 | |||||||||
Kadant, Inc. | 425 | 37,311 | |||||||||
Roper Technologies, Inc. | 1,322 | 471,425 | |||||||||
544,324 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
CSW Industrials, Inc. | 1,025 | 70,756 | |||||||||
Medical Imaging Systems — 0.0% | |||||||||||
Lantheus Holdings, Inc.† | 700 | 17,546 | |||||||||
Medical Information Systems — 0.2% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 16,775 | 184,189 | |||||||||
Medical Instruments — 2.3% | |||||||||||
AngioDynamics, Inc.† | 2,650 | 48,813 | |||||||||
Intuitive Surgical, Inc.† | 3,023 | 1,632,208 | |||||||||
NuVasive, Inc.† | 1,225 | 77,641 | |||||||||
1,758,662 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Medpace Holdings, Inc.† | 850 | 71,434 | |||||||||
Personalis, Inc.† | 600 | 8,805 | |||||||||
80,239 | |||||||||||
Medical Products — 0.3% | |||||||||||
Integer Holdings Corp.† | 2,175 | 164,343 | |||||||||
Nevro Corp.† | 650 | 55,880 | |||||||||
Orthofix Medical, Inc.† | 425 | 22,534 | |||||||||
242,757 | |||||||||||
Medical-Biomedical/Gene — 0.7% | |||||||||||
10X Genomics, Inc., Class A† | 200 | 10,080 | |||||||||
ACADIA Pharmaceuticals, Inc.† | 1,725 | 62,083 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Achillion Pharmaceuticals, Inc.† | 4,625 | $ | 16,650 | ||||||||
Alder Biopharmaceuticals, Inc.† | 2,000 | 37,720 | |||||||||
AMAG Pharmaceuticals, Inc.† | 200 | 2,310 | |||||||||
Amicus Therapeutics, Inc.† | 3,200 | 25,664 | |||||||||
Arena Pharmaceuticals, Inc.† | 970 | 44,397 | |||||||||
Atara Biotherapeutics, Inc.† | 1,075 | 15,179 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 1,200 | 50,064 | |||||||||
Bluebird Bio, Inc.† | 175 | 16,068 | |||||||||
Bridgebio Pharma, Inc.† | 800 | 17,176 | |||||||||
CytomX Therapeutics, Inc.† | 1,100 | 8,118 | |||||||||
Eiger BioPharmaceuticals, Inc.† | 2,725 | 27,931 | |||||||||
Forty Seven, Inc.† | 2,050 | 13,161 | |||||||||
Homology Medicines, Inc.† | 675 | 12,217 | |||||||||
Intercept Pharmaceuticals, Inc.† | 625 | 41,475 | |||||||||
Livongo Health, Inc.† | 600 | 10,464 | |||||||||
Menlo Therapeutics, Inc.† | 875 | 3,920 | |||||||||
Mersana Therapeutics, Inc.† | 6,682 | 10,558 | |||||||||
Myriad Genetics, Inc.† | 550 | 15,746 | |||||||||
Puma Biotechnology, Inc.† | 750 | 8,074 | |||||||||
REGENXBIO, Inc.† | 975 | 34,710 | |||||||||
resTORbio, Inc.† | 650 | 5,746 | |||||||||
Sangamo Therapeutics, Inc.† | 625 | 5,656 | |||||||||
Solid Biosciences, Inc.† | 1,025 | 10,599 | |||||||||
Synlogic, Inc.† | 2,075 | 4,752 | |||||||||
TCR2 Therapeutics, Inc.† | 825 | 12,400 | |||||||||
Y-mAbs Therapeutics, Inc.† | 100 | 2,606 | |||||||||
525,524 | |||||||||||
Medical-Drugs — 1.8% | |||||||||||
Aimmune Therapeutics, Inc.† | 1,050 | 21,987 | |||||||||
Alector, Inc.† | 400 | 5,768 | |||||||||
Athenex, Inc.† | 2,550 | 31,021 | |||||||||
Clovis Oncology, Inc.† | 1,475 | 5,797 | |||||||||
Eagle Pharmaceuticals, Inc.† | 250 | 14,142 | |||||||||
Global Blood Therapeutics, Inc.† | 1,050 | 50,946 | |||||||||
Gritstone Oncology, Inc.† | 475 | 4,101 | |||||||||
Horizon Therapeutics PLC† | 2,625 | 71,479 | |||||||||
Lannett Co., Inc.† | 3,900 | 43,680 | |||||||||
MyoKardia, Inc.† | 1,125 | 58,669 | |||||||||
Paratek Pharmaceuticals, Inc.† | 2,550 | 11,016 | |||||||||
Prestige Consumer Healthcare, Inc.† | 1,675 | 58,106 | |||||||||
Principia Biopharma, Inc.† | 1,175 | 33,182 | |||||||||
Protagonist Therapeutics, Inc.† | 2,500 | 30,025 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 470 | 37,736 | |||||||||
Seres Therapeutics, Inc.† | 5,325 | 21,353 | |||||||||
Sutro Biopharma, Inc.† | 375 | 3,409 | |||||||||
TG Therapeutics, Inc.† | 2,250 | 12,634 | |||||||||
Vanda Pharmaceuticals, Inc.† | 1,625 | 21,580 | |||||||||
Voyager Therapeutics, Inc.† | 1,725 | 29,687 | |||||||||
Zoetis, Inc. | 6,495 | 809,212 | |||||||||
1,375,530 |
36
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Arvinas, Inc.† | 25 | $ | 539 | ||||||||
Medical-HMO — 0.1% | |||||||||||
Magellan Health, Inc.† | 1,700 | 105,570 | |||||||||
Triple-S Management Corp., Class B† | 65 | 871 | |||||||||
106,441 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
Community Health Systems, Inc.† | 2,750 | 9,900 | |||||||||
Surgery Partners, Inc.† | 1,250 | 9,231 | |||||||||
Tenet Healthcare Corp.† | 675 | 14,931 | |||||||||
34,062 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Amedisys, Inc.† | 525 | 68,780 | |||||||||
Medical-Wholesale Drug Distribution — 0.1% | |||||||||||
Diplomat Pharmacy, Inc.† | 4,800 | 23,520 | |||||||||
Owens & Minor, Inc. | 5,325 | 30,938 | |||||||||
54,458 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
LB Foster Co., Class A† | 200 | 4,334 | |||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Worthington Industries, Inc. | 1,500 | 54,075 | |||||||||
Metal-Aluminum — 0.0% | |||||||||||
Kaiser Aluminum Corp. | 100 | 9,897 | |||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
Hillenbrand, Inc. | 1,725 | 53,268 | |||||||||
Multimedia — 2.0% | |||||||||||
Walt Disney Co. | 11,830 | 1,541,686 | |||||||||
Networking Products — 0.1% | |||||||||||
Extreme Networks, Inc.† | 6,425 | 46,742 | |||||||||
NeoPhotonics Corp.† | 2,300 | 14,007 | |||||||||
60,749 | |||||||||||
Non-Hazardous Waste Disposal — 0.6% | |||||||||||
Waste Connections, Inc. | 5,184 | 476,928 | |||||||||
Office Furnishings-Original — 0.0% | |||||||||||
HNI Corp. | 925 | 32,838 | |||||||||
Office Supplies & Forms — 0.1% | |||||||||||
ACCO Brands Corp. | 10,025 | 98,947 | |||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Gulfport Energy Corp.† | 7,650 | 20,732 | |||||||||
W&T Offshore, Inc.† | 11,400 | 49,818 | |||||||||
70,550 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Dril-Quip, Inc.† | 1,975 | 99,105 | |||||||||
Oil Refining & Marketing — 0.2% | |||||||||||
CVR Energy, Inc. | 175 | 7,705 | |||||||||
Delek US Holdings, Inc. | 2,850 | 103,455 | |||||||||
Murphy USA, Inc.† | 575 | 49,048 | |||||||||
160,208 |
Security Description | Shares | Value (Note 2) | |||||||||
Oil-Field Services — 0.2% | |||||||||||
FTS International, Inc.† | 1,200 | $ | 2,688 | ||||||||
Matrix Service Co.† | 3,475 | 59,561 | |||||||||
MRC Global, Inc.† | 3,900 | 47,307 | |||||||||
NOW, Inc.† | 4,950 | 56,777 | |||||||||
166,333 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. | 350 | 12,534 | |||||||||
Verso Corp., Class A† | 3,225 | 39,925 | |||||||||
52,459 | |||||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 6,175 | 118,128 | |||||||||
Poultry — 0.1% | |||||||||||
Sanderson Farms, Inc. | 350 | 52,966 | |||||||||
Power Converter/Supply Equipment — 0.3% | |||||||||||
Generac Holdings, Inc.† | 2,100 | 164,514 | |||||||||
Powell Industries, Inc. | 750 | 29,362 | |||||||||
193,876 | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Ennis, Inc. | 2,625 | 53,051 | |||||||||
Quad/Graphics, Inc. | 3,575 | 37,573 | |||||||||
90,624 | |||||||||||
Publishing-Books — 0.0% | |||||||||||
Houghton Mifflin Harcourt Co.† | 525 | 2,798 | |||||||||
Real Estate Investment Trusts — 1.4% | |||||||||||
Alexander & Baldwin, Inc. | 376 | 9,216 | |||||||||
American Assets Trust, Inc. | 2,400 | 112,176 | |||||||||
Americold Realty Trust | 3,850 | 142,719 | |||||||||
Ashford Hospitality Trust, Inc. | 5,550 | 18,370 | |||||||||
Blackstone Mtg. Trust, Inc., Class A | 800 | 28,680 | |||||||||
Capstead Mtg. Corp. | 675 | 4,961 | |||||||||
Cherry Hill Mtg. Investment Corp. | 975 | 12,773 | |||||||||
CoreSite Realty Corp. | 1,000 | 121,850 | |||||||||
CubeSmart | 600 | 20,940 | |||||||||
DiamondRock Hospitality Co. | 5,075 | 52,019 | |||||||||
Easterly Government Properties, Inc. | 400 | 8,555 | |||||||||
EastGroup Properties, Inc. | 300 | 37,506 | |||||||||
Equity LifeStyle Properties, Inc. | 225 | 30,060 | |||||||||
First Industrial Realty Trust, Inc. | 925 | 36,593 | |||||||||
Front Yard Residential Corp. | 350 | 4,046 | |||||||||
GEO Group, Inc. | 3,950 | 68,493 | |||||||||
Getty Realty Corp. | 225 | 7,214 | |||||||||
Gladstone Commercial Corp. | 175 | 4,113 | |||||||||
Hersha Hospitality Trust | 725 | 10,788 | |||||||||
Highwoods Properties, Inc. | 325 | 14,605 | |||||||||
Invesco Mtg. Capital, Inc. | 1,325 | 20,286 | |||||||||
Lexington Realty Trust | 3,075 | 31,519 | |||||||||
Mack-Cali Realty Corp. | 800 | 17,328 | |||||||||
National Retail Properties, Inc. | 100 | 5,640 |
37
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Pebblebrook Hotel Trust | 2,325 | $ | 64,681 | ||||||||
Piedmont Office Realty Trust, Inc., Class A | 1,925 | 40,194 | |||||||||
PS Business Parks, Inc. | 150 | 27,292 | |||||||||
RLJ Lodging Trust | 500 | 8,495 | |||||||||
Saul Centers, Inc. | 425 | 23,167 | |||||||||
Service Properties Trust | 900 | 23,211 | |||||||||
Sunstone Hotel Investors, Inc. | 3,700 | 50,838 | |||||||||
Taubman Centers, Inc. | 175 | �� | 7,145 | ||||||||
Terreno Realty Corp. | 175 | 8,941 | |||||||||
Two Harbors Investment Corp. | 2,654 | 34,847 | |||||||||
Xenia Hotels & Resorts, Inc. | 375 | 7,920 | |||||||||
1,117,181 | |||||||||||
Retail-Apparel/Shoe — 0.1% | |||||||||||
Abercrombie & Fitch Co., Class A | 6,425 | 100,230 | |||||||||
Tailored Brands, Inc. | 1,900 | 8,360 | |||||||||
108,590 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 400 | 9,944 | |||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 6,325 | 19,734 | |||||||||
Retail-Building Products — 0.0% | |||||||||||
BMC Stock Holdings, Inc.† | 1,075 | 28,144 | |||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp.† | 2,127 | 14,783 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Five Below, Inc.† | 125 | 15,763 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Office Depot, Inc. | 12,750 | 22,376 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. | 250 | 22,918 | |||||||||
Retail-Restaurants — 0.8% | |||||||||||
Bloomin' Brands, Inc. | 4,650 | 88,025 | |||||||||
Brinker International, Inc. | 2,250 | 96,007 | |||||||||
Starbucks Corp. | 5,193 | 459,165 | |||||||||
643,197 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Hibbett Sports, Inc.† | 2,025 | 46,373 | |||||||||
Zumiez, Inc.† | 2,100 | 66,517 | |||||||||
112,890 | |||||||||||
Rubber/Plastic Products — 0.1% | |||||||||||
Myers Industries, Inc. | 950 | 16,768 | |||||||||
Trinseo SA | 1,750 | 75,162 | |||||||||
91,930 | |||||||||||
Savings & Loans/Thrifts — 0.5% | |||||||||||
BankFinancial Corp. | 750 | 8,925 | |||||||||
Brookline Bancorp, Inc. | 1,850 | 27,251 | |||||||||
Capitol Federal Financial, Inc. | 175 | 2,412 | |||||||||
First Defiance Financial Corp. | 350 | 10,138 | |||||||||
Flushing Financial Corp. | 625 | 12,628 |
Security Description | Shares | Value (Note 2) | |||||||||
Savings & Loans/Thrifts (continued) | |||||||||||
Investors Bancorp, Inc. | 2,100 | $ | 23,856 | ||||||||
Meridian Bancorp, Inc. | 4,600 | 86,250 | |||||||||
Northfield Bancorp, Inc. | 4,425 | 71,065 | |||||||||
People's United Financial, Inc. | 1,047 | 16,370 | |||||||||
Washington Federal, Inc. | 3,950 | 146,110 | |||||||||
405,005 | |||||||||||
Schools — 0.2% | |||||||||||
K12, Inc.† | 4,425 | 116,820 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
Cirrus Logic, Inc.† | 2,525 | 135,289 | |||||||||
Semiconductor Equipment — 0.0% | |||||||||||
Veeco Instruments, Inc.† | 2,800 | 32,704 | |||||||||
Telecom Services — 0.1% | |||||||||||
Consolidated Communications Holdings, Inc. | 11,815 | 56,239 | |||||||||
Television — 0.2% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 4 | 1,070 | |||||||||
Nexstar Media Group, Inc., Class A | 625 | 63,944 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 2,650 | 113,261 | |||||||||
178,275 | |||||||||||
Textile-Apparel — 1.3% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,612 | 1,039,758 | |||||||||
Therapeutics — 0.1% | |||||||||||
Flexion Therapeutics, Inc.† | 1,125 | 15,418 | |||||||||
La Jolla Pharmaceutical Co.† | 1,050 | 9,240 | |||||||||
Sarepta Therapeutics, Inc.† | 275 | 20,713 | |||||||||
Xencor, Inc.† | 1,225 | 41,319 | |||||||||
86,690 | |||||||||||
Transactional Software — 0.0% | |||||||||||
Synchronoss Technologies, Inc.† | 2,325 | 12,555 | |||||||||
Transport-Marine — 0.1% | |||||||||||
Dorian LPG, Ltd.† | 41 | 425 | |||||||||
SEACOR Holdings, Inc.† | 775 | 36,479 | |||||||||
36,904 | |||||||||||
Transport-Rail — 1.0% | |||||||||||
Union Pacific Corp. | 4,681 | 758,228 | |||||||||
Transport-Services — 0.1% | |||||||||||
Echo Global Logistics, Inc.† | 1,600 | 36,240 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 2,475 | 75,364 | |||||||||
Covenant Transportation Group, Inc., Class A† | 250 | 4,110 | |||||||||
Schneider National, Inc., Class B | 450 | 9,774 | |||||||||
YRC Worldwide, Inc.† | 3,184 | 9,615 | |||||||||
98,863 |
38
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Veterinary Diagnostics — 0.6% | |||||||||||
Elanco Animal Health, Inc.† | 17,190 | $ | 457,082 | ||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 325 | 12,305 | |||||||||
USANA Health Sciences, Inc.† | 175 | 11,968 | |||||||||
24,273 | |||||||||||
Water — 0.2% | |||||||||||
American States Water Co. | 1,375 | 123,557 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
NIC, Inc. | 2,050 | 42,333 | |||||||||
Web Portals/ISP — 1.0% | |||||||||||
Alphabet, Inc., Class C† | 662 | 806,978 | |||||||||
Wireless Equipment — 0.1% | |||||||||||
Cambium Networks Corp.† | 1,800 | 17,460 | |||||||||
InterDigital, Inc. | 775 | 40,664 | |||||||||
58,124 | |||||||||||
X-Ray Equipment — 0.1% | |||||||||||
Varex Imaging Corp.† | 3,050 | 87,047 | |||||||||
Total Common Stocks (cost $40,203,774) | 43,544,218 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.9% | |||||||||||
Banks-Commercial — 0.3% | |||||||||||
Banco de Sabadell SA 6.13% due 12/31/2022(3) | EUR | 200,000 | 214,535 | ||||||||
Diversified Banking Institutions — 0.6% | |||||||||||
Credit Agricole SA 8.13% due 12/29/2049*(3) | 200,000 | 235,250 | |||||||||
Credit Suisse Group AG 6.25% due 12/29/2024(3) | 225,000 | 237,937 | |||||||||
473,187 | |||||||||||
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 $657,367) | 687,723 | ||||||||||
ASSET BACKED SECURITIES — 10.8% | |||||||||||
Diversified Financial Services — 10.8% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.32% (1 ML+0.17%) due 01/25/2037(4) | 16,727 | 16,352 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 35,000 | 35,037 | |||||||||
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(4)(5) | 108,603 | 109,309 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.72% (1 ML+1.58%) due 10/25/2034 | $ | 7,320 | $ | 7,422 | |||||||
Avant Loans Funding Trust Series 2018-B, Class A 3.42% due 01/18/2022* | 48,063 | 48,209 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.42% (3 ML+1.12%) due 01/18/2025*(6) | 77,731 | 77,731 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.88% due 11/15/2050(5)(7)(8) | 992,958 | 50,368 | |||||||||
Barclays Commercial Mtg. Trust Series 2019-C4, Class A5 2.92% due 08/15/2052(7) | 80,000 | 82,855 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5) | 83,158 | 84,717 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5) | 62,201 | 63,211 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(5) | 59,161 | 60,117 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(5) | 60,442 | 61,467 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(5) | 77,246 | 78,757 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5) | 64,383 | 66,248 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.88% (1 ML+0.85%) due 08/15/2036*(7) | 131,000 | 130,918 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.20% due 02/25/2036(4)(5) | 69,053 | 65,644 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 3.10% (1 ML+0.95%) due 08/25/2028*(4) | 57,746 | 57,763 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.35% (1 ML + 1.20%) due 10/25/2027*(4) | 125,353 | 125,427 |
39
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(5)(7)(8) | $ | 186,115 | $ | 6,554 | |||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(5)(7)(8) | 326,565 | 11,671 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(5)(7)(8) | 999,104 | 50,546 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(5)(7) | 70,000 | 78,969 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 6,475 | 6,523 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.04% (3 ML+0.78%) due 04/27/2027*(6) | 243,104 | 242,941 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 5,112 | 5,117 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(5) | 77,835 | 78,093 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(7) | 65,000 | 69,669 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.99% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 31,553 | 31,553 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 9,468 | 9,470 | |||||||||
COLT Funding LLC VRS Series 2019-4, Class A1 2.58% due 11/25/2049*(4)(5) | 100,000 | 99,999 | |||||||||
COMM Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(7) | 90,000 | 94,039 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(7) | 60,000 | 64,422 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(7) | 105,000 | 109,712 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(7) | 118,601 | 125,342 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(7) | $ | 123,000 | $ | 131,231 | |||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 27,162 | 23,272 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.92% due 06/15/2057(5)(7)(8) | 956,025 | 33,365 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(5) | 40,009 | 40,187 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(4)(5) | 110,016 | 110,504 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 49,375 | 51,257 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 30,000 | 30,008 | |||||||||
Eagle RE, Ltd. FRS Series 2018-1, Class M1 3.85% (1 ML+1.70%) due 11/25/2028*(4) | 134,186 | 134,514 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.26% due 05/25/2035(4)(5) | 50,652 | 51,584 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(7) | 110,000 | 112,650 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(7) | 30,000 | 34,535 | |||||||||
GS Mtg. Securities Trust Series 2016-GS4, Class A3 3.18% due 11/10/2049(7) | 80,000 | 84,384 | |||||||||
GS Mtg. Securities Trust Series 2012-GCJ7, Class A4 3.38% due 05/10/2045(7) | 71,965 | 73,194 | |||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(7) | 115,000 | 123,288 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.12% due 03/25/2047(4)(5) | 15,786 | 14,012 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 4.56% due 04/25/2036(4)(5) | 4,737 | 4,108 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 4.03% (1 ML + 1.60%) due 10/25/2028*(4) | 52,005 | 52,034 |
40
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.69% (1 ML+0.54%) due 05/25/2035(4) | $ | 37,014 | $ | 36,859 | |||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(7) | 64,000 | 68,802 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(7) | 60,000 | 64,197 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(7) | 80,000 | 84,133 | |||||||||
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(9) | 113,812 | 114,694 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 3.79% (1 ML+1.70%) due 03/01/2024*(4) | 70,941 | 72,652 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2019-3, Class A1 3.59% (1 ML+1.50%) due 04/01/2024*(4) | 93,420 | 93,618 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2019-4, Class A1 3.59% (1 ML + 1.50%) due 05/01/2024*(4) | 94,586 | 94,929 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(5) | 23,368 | 23,699 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.54% due 12/25/2034(4)(5) | 14,889 | 15,435 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9) | 72,541 | 72,897 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(5) | 63,703 | 63,947 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2018-1, Class A1 3.25% due 05/25/2062*(5) | 85,502 | 87,206 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(5)(7)(8) | 207,753 | 8,555 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13, Class A4 4.04% due 11/15/2046(7) | $ | 80,000 | $ | 85,633 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(7) | 20,000 | 21,438 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.60% due 06/15/2050(5)(7)(8) | 108,136 | 8,280 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(7) | 100,000 | 102,435 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | 28,677 | 21,872 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.43% (1 ML+0.28%) due 10/25/2035(4) | 67,558 | 67,614 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 2.90% (1 ML + 0.75%) due 01/25/2048*(4) | 89,038 | 88,774 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.65% (1 ML+1.50%) due 06/25/2057*(4) | 68,151 | 69,149 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(5) | 60,375 | 62,336 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(4)(5) | 30,657 | 31,597 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(5) | 55,892 | 57,751 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(5) | 102,425 | 106,380 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(5) | 101,295 | 105,499 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(5) | 79,592 | 82,468 |
41
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(5) | $ | 62,234 | $ | 64,916 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(4)(5) | 87,766 | 91,482 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(5) | 11,756 | 11,955 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 64,024 | 64,336 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 66,463 | 66,928 | |||||||||
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 3.55% (1 M + 1.40%) due 07/25/2029*(4) | 150,000 | 150,244 | |||||||||
Oaktown Re, Ltd. FRS Series 2018-1A, Class M1 3.70% (1 ML+1.55%) due 07/25/2028*(4) | 124,336 | 124,489 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.15% (3 ML+0.85%) due 04/17/2027*(6) | 197,112 | 197,082 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 119,000 | 118,909 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.25% (1 ML+0.10%) due 02/25/2037 | 33,232 | 21,605 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.32% (3 ML+1.05%) due 04/30/2027*(6) | 250,000 | 249,827 | |||||||||
PRPM LLC VRS Series 2018-3A, Class A1 4.48% due 10/25/2023*(5) | 97,319 | 98,385 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.28% (1 ML+0.13%) due 05/25/2037 | 78,931 | 60,143 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 10,563 | 10,569 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.40% (1 ML+0.25%) due 11/25/2036 | $ | 160,000 | $ | 149,583 | |||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 120,000 | 120,280 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(5) | 42,443 | 42,271 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.75% (1 ML+0.60%) due 02/25/2057* | 60,702 | 60,469 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5) | 104,614 | 105,568 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(5) | 56,160 | 56,587 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5) | 75,198 | 75,780 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(5) | 62,539 | 62,715 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(5) | 73,742 | 74,445 | |||||||||
Verus Securitization Trust VRS Series 2018-INV2, Class A1FX 4.15% due 10/25/2058*(4)(5) | 106,449 | 108,492 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(5)(9) | 47,229 | 47,301 | |||||||||
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(9) | 100,000 | 100,065 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 3.20% (3 ML+0.90%) due 01/18/2029*(6) | 250,000 | 249,584 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.28% due 09/15/2057(5)(7)(8) | 964,814 | 36,784 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(7) | 65,000 | 69,327 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(4)(5) | 18,123 | 18,127 |
42
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.76% due 11/25/2034(4)(5) | $ | 956 | $ | 988 | |||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.95% due 01/25/2035(4)(5) | 37,012 | 37,903 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.14% due 03/25/2035(4)(5) | 27,410 | 28,323 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 49,125 | 50,526 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 75,000 | 75,602 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(7) | 120,000 | 128,886 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(7) | 110,000 | 117,950 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(7) | 50,111 | 53,946 | |||||||||
Total Asset Backed Securities (cost $8,283,978) | 8,425,520 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 9.2% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Boeing Co. Senior Notes 3.25% due 02/01/2035 | 35,000 | 36,267 | |||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 23,000 | 27,051 | |||||||||
63,318 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 25,000 | 26,456 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 25,000 | 27,389 | |||||||||
United Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 15,000 | 17,835 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 6,242 | |||||||||
77,922 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | $ | 10,000 | $ | 11,381 | |||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 25,000 | 29,610 | |||||||||
40,991 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 15,000 | 15,040 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 9,239 | |||||||||
General Motors Co. Senior Notes 5.20% due 04/01/2045 | 10,000 | 9,875 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 10,000 | 10,017 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 5,000 | 5,357 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 40,000 | 45,757 | |||||||||
95,285 | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 30,000 | 30,842 | |||||||||
Banks-Super Regional — 0.4% | |||||||||||
KeyCorp Senior Notes 2.55% due 10/01/2029 | 30,000 | 29,344 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 25,000 | 25,634 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 105,000 | 106,926 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 70,000 | 74,156 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 40,000 | 42,326 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 15,000 | 19,414 | |||||||||
297,800 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 10,000 | 10,112 |
43
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Beverages-Wine/Spirits (continued) | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | $ | 15,000 | $ | 16,584 | |||||||
26,696 | |||||||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 30,000 | 31,051 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 11,533 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 20,000 | 23,426 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 110,000 | 139,058 | |||||||||
Molson Coors Brewing Co. Company Guar. Notes 3.00% due 07/15/2026 | 35,000 | 35,367 | |||||||||
240,435 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025 | 2,000 | 2,101 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 25,000 | 26,875 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 5,000 | 5,525 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 30,000 | 36,707 | |||||||||
71,208 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 23,000 | 24,115 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 24,000 | 25,680 | |||||||||
Cable/Satellite TV — 0.4% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 5,000 | 5,322 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | $ | 15,000 | $ | 17,100 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 20,000 | 24,337 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 10,231 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 15,000 | 16,327 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 20,000 | 22,750 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 20,000 | 23,001 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 15,000 | 17,919 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 15,000 | 19,064 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 63,000 | 64,518 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 10,000 | 10,872 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 25,000 | 26,308 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 40,000 | 39,362 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 40,000 | 44,735 | |||||||||
341,846 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 15,000 | 15,238 | |||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | 45,000 | 48,223 |
44
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 2.95% due 08/15/2029 | $ | 15,000 | $ | 15,028 | |||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 35,000 | 36,604 | |||||||||
51,632 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 10,000 | 10,141 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 75,000 | 78,922 | |||||||||
89,063 | |||||||||||
Computer Services — 0.3% | |||||||||||
International Business Machines Corp. Senior Notes 3.30% due 05/15/2026 | 100,000 | 105,452 | |||||||||
International Business Machines Corp. Senior Notes 3.50% due 05/15/2029 | 100,000 | 107,323 | |||||||||
212,775 | |||||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 85,000 | 83,517 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 10,000 | 10,599 | |||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 5,000 | 6,053 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,832 | |||||||||
106,001 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 35,000 | 38,423 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 10,000 | 11,154 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 5,000 | 5,145 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions — 1.8% | |||||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | $ | 85,000 | $ | 88,412 | |||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 40,000 | 41,776 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 30,000 | 31,907 | |||||||||
Bank of America Corp. Sub. Notes 3.95% due 04/21/2025 | 30,000 | 31,792 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 30,000 | 32,784 | |||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 40,000 | 42,677 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 75,000 | 90,277 | |||||||||
Bank of America Corp. Senior Notes 5.00% due 01/21/2044 | 10,000 | 12,687 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 20,000 | 20,296 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 15,000 | 15,506 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.22% (3 ML+1.10%) due 05/17/2024 | 55,000 | 55,479 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 45,000 | 46,625 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 15,000 | 15,687 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 60,000 | 65,242 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 21,777 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 25,000 | 26,931 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 8,000 | 9,638 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 80,000 | 81,074 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 20,000 | 20,849 |
45
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (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 3.81% due 04/23/2029 | $ | 25,000 | $ | 26,543 | |||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 20,000 | 21,535 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 15,000 | 16,374 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 30,000 | 41,422 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 6,000 | 8,099 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 85,000 | 88,003 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 16,000 | 16,538 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 45,000 | 47,567 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.51% (3 ML+1.23%) due 10/24/2023 | 35,000 | 35,555 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 35,000 | 37,502 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 35,000 | 36,914 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 45,000 | 45,302 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 10,000 | 10,095 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 20,000 | 20,612 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 60,000 | 63,250 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 45,000 | 47,648 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 35,000 | 37,021 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 15,000 | 16,182 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | $ | 5,000 | $ | 5,616 | |||||||
1,373,194 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 20,000 | 20,163 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 40,000 | 46,021 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 20,000 | 21,604 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 5,000 | 5,722 | |||||||||
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 5,000 | 5,764 | |||||||||
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048 | 10,000 | 12,100 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 25,000 | 25,001 | |||||||||
70,191 | |||||||||||
Electric-Integrated — 0.8% | |||||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 15,000 | 15,798 | |||||||||
CenterPoint Energy Houston Electric LLC General Refunding Mtg. 4.25% due 02/01/2049 | 5,000 | 6,003 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029* | 20,000 | 20,019 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 20,000 | 20,000 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 40,000 | 41,309 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 3.25% due 10/01/2049 | 20,000 | 19,945 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 15,908 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 10,000 | 10,743 |
46
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | $ | 10,000 | $ | 9,992 | |||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 15,000 | 14,924 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 40,000 | 40,167 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 40,000 | 42,829 | |||||||||
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049 | 5,000 | 5,836 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 81,000 | 80,905 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 10,000 | 10,993 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 25,000 | 25,887 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 5,000 | 5,450 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 45,000 | 46,477 | |||||||||
Northern States Power Co. 1st Mtg. Bonds 2.90% due 03/01/2050 | 5,000 | 4,834 | |||||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 5,000 | 5,838 | |||||||||
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046 | 5,000 | 5,577 | |||||||||
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024 | 30,000 | 30,780 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 35,000 | 35,824 | |||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065 | 5,000 | 6,644 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 20,000 | 20,175 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | $ | 10,000 | $ | 10,724 | |||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 10,206 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 25,000 | 25,782 | |||||||||
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 5,000 | 5,687 | |||||||||
595,256 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC 1st Mtg. Bonds 3.10% due 09/15/2049* | 5,000 | 5,010 | |||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 10,000 | 12,656 | |||||||||
17,666 | |||||||||||
Electronic Components-Semiconductors — 0.3% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 75,000 | 75,316 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.75% due 04/15/2029* | 30,000 | 31,715 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 20,000 | 23,313 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 40,000 | 42,007 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 40,000 | 43,088 | |||||||||
215,439 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 50,000 | 50,250 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 16,787 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 23,000 | 25,001 |
47
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Credit Card — 0.1% | |||||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | $ | 35,000 | $ | 36,978 | |||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 10,000 | 139 | |||||||||
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 | |||||||||
142 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 135,000 | 140,211 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 10,000 | 10,733 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 5,000 | 5,499 | |||||||||
16,232 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
AmeriGas Partners LP/ AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 23,000 | 24,624 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 15,858 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 20,000 | 21,298 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 10,000 | 11,310 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 12,068 | |||||||||
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029 | 10,000 | 9,842 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,783 | |||||||||
91,159 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Unum Group Senior Notes 4.00% due 06/15/2029 | 10,000 | 10,395 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Insurance-Life/Health (continued) | |||||||||||
Unum Group Senior Notes 4.50% due 12/15/2049 | $ | 5,000 | $ | 4,823 | |||||||
15,218 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,913 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 25,000 | 27,401 | |||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 25,000 | 25,328 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,052 | |||||||||
27,380 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029* | 20,000 | 21,362 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 55,000 | 59,033 | |||||||||
80,395 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Allergan Finance LLC Company Guar. Notes 4.63% due 10/01/2042 | 20,000 | 20,750 | |||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 10,000 | 10,614 | |||||||||
31,364 | |||||||||||
Medical-HMO — 0.2% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 15,181 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 25,000 | 27,673 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 11,647 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024 | 25,000 | 25,200 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029 | 20,000 | 20,413 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 15,000 | 15,615 |
48
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | $ | 15,000 | $ | 16,149 | |||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 08/15/2049 | 5,000 | 5,294 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 32,000 | 34,407 | |||||||||
171,579 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 20,000 | 20,221 | |||||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 40,000 | 41,948 | |||||||||
62,169 | |||||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.88% due 03/12/2029* | 25,000 | 27,015 | |||||||||
Multimedia — 0.1% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 25,000 | 26,511 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 20,000 | 20,627 | |||||||||
47,138 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 25,000 | 25,844 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Waste Management, Inc. Company Guar. Notes 3.20% due 06/15/2026 | 20,000 | 21,089 | |||||||||
Waste Management, Inc. Company Guar. Notes 3.45% due 06/15/2029 | 5,000 | 5,400 | |||||||||
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049 | 5,000 | 5,827 | |||||||||
32,316 | |||||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 30,000 | 31,572 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028 | 30,000 | 30,983 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | $ | 15,000 | $ | 17,377 | |||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 34,000 | 42,432 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 10,000 | 12,583 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 20,000 | 20,794 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 30,000 | 32,726 | |||||||||
Occidental Petroleum Corp. Senior Notes 3.50% due 08/15/2029 | 15,000 | 15,213 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.95% due 07/01/2024 | 25,000 | 29,326 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 20,000 | 19,167 | |||||||||
252,173 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028 | 5,000 | 5,210 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,317 | |||||||||
10,527 | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028 | 120,000 | 131,121 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 30,000 | 34,048 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 30,000 | 34,004 | |||||||||
199,173 | |||||||||||
Pipelines — 0.5% | |||||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 15,000 | 15,989 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 25,000 | 28,218 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 10,000 | 10,509 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.15% due 03/15/2045 | 10,000 | 10,496 |
49
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.13% due 07/31/2029 | $ | 25,000 | $ | 25,600 | |||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 7,000 | 6,511 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 30,000 | 30,004 | |||||||||
MPLX LP Senior Notes 4.25% due 12/01/2027* | 15,000 | 15,870 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 20,000 | 20,874 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,553 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.40% due 09/01/2029 | 15,000 | 14,901 | |||||||||
Phillips 66 Partners LP Senior Notes 2.45% due 12/15/2024 | 20,000 | 19,919 | |||||||||
Phillips 66 Partners LP Senior Notes 3.15% due 12/15/2029 | 10,000 | 9,855 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 10,000 | 10,581 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 03/01/2025 | 5,000 | 5,614 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 15,000 | 15,528 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 15,000 | 15,133 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 10,399 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 35,000 | 38,273 | |||||||||
Western Midstream Operating LP Senior Notes 4.50% due 03/01/2028 | 40,000 | 38,624 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 15,000 | 14,763 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048 | $ | 10,000 | $ | 8,900 | |||||||
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045 | 20,000 | 22,019 | |||||||||
394,133 | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 20,000 | 22,044 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 40,000 | 40,051 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 75,000 | 75,728 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 50,000 | 51,482 | |||||||||
189,305 | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 50,000 | 52,498 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 10,000 | 10,070 | |||||||||
62,568 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 25,000 | 26,092 | |||||||||
Telephone-Integrated — 0.5% | |||||||||||
AT&T, Inc. Senior Notes 3.80% due 02/15/2027 | 45,000 | 47,625 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 62,000 | 68,217 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 40,000 | 44,180 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 10,000 | 10,972 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 20,000 | 21,947 | |||||||||
Verizon Communications, Inc. Senior Notes 4.02% due 12/03/2029 | 45,000 | 50,010 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 10,000 | 11,439 |
50
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | $ | 65,000 | $ | 75,474 | |||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 8,000 | 9,596 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 15,000 | 17,978 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 15,000 | 18,880 | |||||||||
376,318 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 3.70% due 06/01/2028 | 15,000 | 15,635 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 15,000 | 16,276 | |||||||||
31,911 | |||||||||||
Tobacco — 0.3% | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 15,000 | 13,747 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 10,000 | 10,693 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 45,000 | 49,294 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044 | 25,000 | 27,791 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 25,000 | 28,954 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 50,000 | 49,567 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029 | 15,000 | 14,675 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 35,000 | 33,913 | |||||||||
228,634 | |||||||||||
Transport-Rail — 0.1% | |||||||||||
CSX Corp. Senior Notes 2.40% due 02/15/2030 | 15,000 | 14,692 | |||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 30,000 | 31,498 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Transport-Rail (continued) | |||||||||||
CSX Corp. Senior Notes 3.35% due 09/15/2049 | $ | 5,000 | $ | 4,885 | |||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 45,000 | 51,791 | |||||||||
102,866 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.45% due 07/01/2024* | 35,000 | 36,373 | |||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 15,000 | 17,212 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $6,723,146) | 7,140,123 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.9% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 15,000 | 16,523 | |||||||||
Banks-Commercial — 0.0% | |||||||||||
Royal Bank of Canada Senior Notes 2.55% due 07/16/2024 | 30,000 | 30,406 | |||||||||
Banks-Special Purpose — 0.1% | |||||||||||
BNG Bank NV Senior Notes 1.90% due 11/26/2025 | AUD | 120,000 | 83,486 | ||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 40,000 | 42,531 | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 5,000 | 5,609 | |||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.25% due 09/17/2050 | 10,000 | 10,186 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 25,000 | 25,194 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 15,000 | 14,492 | |||||||||
39,686 | |||||||||||
Data Processing/Management — 0.0% | |||||||||||
Fiserv, Inc. Senior Notes 3.20% due 07/01/2026 | 30,000 | 31,047 |
51
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | $ | 50,000 | $ | 54,063 | |||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 10,000 | 9,967 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 25,000 | 26,719 | |||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | 25,000 | 25,857 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 70,000 | 73,016 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 40,000 | 40,185 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026 | 50,000 | 34,995 | |||||||||
75,180 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 5,000 | 5,327 | |||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 40,000 | 46,100 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 5,000 | 6,369 | |||||||||
�� | 52,469 | ||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 15,000 | 15,791 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 25,000 | 25,611 | |||||||||
41,402 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 19,000 | 18,236 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.84% due 01/23/2030* | $ | 80,000 | $ | 82,872 | |||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,419,989 | 9,861 | ||||||||
110,969 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Valero Energy Corp. Senior Notes 4.35% due 06/01/2028 | 5,000 | 5,428 | |||||||||
Pipelines — 0.1% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,046 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034 | 20,000 | 22,723 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 15,000 | 17,112 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040 | 5,000 | 6,454 | |||||||||
61,335 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
HCP, Inc. Senior Notes 3.25% due 07/15/2026 | 10,000 | 10,287 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 45,000 | 48,775 | |||||||||
SupraNational Banks — 0.7% | |||||||||||
Asian Development Bank Senior Notes 3.00% due 01/17/2023 | NZD | 245,000 | 161,899 | ||||||||
Inter-American Development Bank Senior Notes 1.70% due 10/10/2024 | CAD | 220,000 | 165,527 | ||||||||
Inter-American Development Bank Senior Notes 2.75% due 10/30/2025 | AUD | 225,000 | 164,305 | ||||||||
International Finance Corp. Notes 1.38% due 09/13/2024 | CAD | 110,000 | 81,543 | ||||||||
573,274 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 25,000 | 34,515 |
52
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | $ | 20,000 | $ | 23,500 | |||||||
Total Foreign Corporate Bonds & Notes (cost $1,550,527) | 1,491,557 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.4% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 16,550 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 25,000 | 27,668 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 29,000 | 34,583 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 29,000 | 40,023 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 85,000 | 108,310 | |||||||||
State of California General Obligation Bonds 7.30% due 10/01/2039 | 25,000 | 39,129 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 56,727 | 59,382 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,387 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,465 | |||||||||
Total Municipal Bonds & Notes (cost $326,063) | 346,497 | ||||||||||
U.S. GOVERNMENT AGENCIES — 18.3% | |||||||||||
Federal Home Loan Mtg. Corp. — 2.1% | |||||||||||
2.50% due 01/01/2028 | 3,970 | 4,023 | |||||||||
2.50% due 04/01/2028 | 12,640 | 12,811 | |||||||||
3.00% due 08/01/2027 | 3,720 | 3,813 | |||||||||
3.00% due October 30 TBA | 600,000 | 609,328 | |||||||||
3.50% due 03/01/2042 | 5,604 | 5,890 | |||||||||
3.50% due 08/01/2042 | 30,501 | 32,056 | |||||||||
3.50% due 09/01/2043 | 17,566 | 18,320 | |||||||||
3.50% due 10/01/2048 | 592,484 | 610,004 | |||||||||
4.00% due 03/01/2023 | 150 | 156 | |||||||||
4.00% due 10/01/2043 | 25,521 | 27,212 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.02% (6 ML+1.49%) due 02/01/2037 | 986 | 1,019 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Federal Home Loan Mtg. Corp. 4.50% due 01/01/2039 | $ | 728 | $ | 787 | |||||||
5.00% due 05/01/2020 | 1,795 | 1,852 | |||||||||
5.00% due 05/01/2034 | 13,340 | 14,728 | |||||||||
5.50% due 07/01/2034 | 4,502 | 5,074 | |||||||||
5.50% due 05/01/2037 | 1,574 | 1,774 | |||||||||
6.00% due 08/01/2026 | 9,303 | 10,282 | |||||||||
6.50% due 05/01/2029 | 817 | 914 | |||||||||
7.50% due 08/01/2023 | 28 | 29 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.45% due 09/25/2043*(5)(7) | 80,000 | 81,132 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(5)(7)(8) | 174,939 | 9,376 | |||||||||
Series K064, Class X1 VRS 0.74% due 03/25/2027(5)(7)(8) | 317,074 | 12,659 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(7) | 68,000 | 73,372 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(4) | 14,912 | 15,929 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.80% (1 ML+1.65%) due 04/25/2043*(4) | 21,143 | 21,202 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Trust FRS Series 2018-DNA3, Class M1 2.90% (1 ML+0.75%) due 09/25/2048*(4) | 57,571 | 57,620 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 2,568 | 2,558 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 17,656 | 18,263 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | 1,099 | 1,156 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 153 | 160 | |||||||||
1,653,499 |
53
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. — 4.4% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.70% (1 ML+3.55%) due 07/25/2029(4) | $ | 30,000 | $ | 31,529 | |||||||
Series 2016-C07, Class 2M2 6.50% (1 ML+4.35%) due 05/25/2029(4) | 55,728 | 58,740 | |||||||||
Federal National Mtg. Assoc. 2.50% due 02/01/2043 | 61,404 | 61,352 | |||||||||
2.50% due 03/01/2043 | 118,905 | 118,803 | |||||||||
2.64% due 03/01/2027 | 27,398 | 28,337 | |||||||||
2.78% due 03/01/2027 | 61,377 | 64,109 | |||||||||
2.97% due 06/01/2027 | 105,577 | 111,221 | |||||||||
3.00% due 12/01/2027 | 8,020 | 8,237 | |||||||||
3.00% due 01/01/2028 | 8,235 | 8,458 | |||||||||
3.50% due 11/01/2047 | 441,557 | 455,661 | |||||||||
4.00% due 11/01/2040 | 11,883 | 12,691 | |||||||||
4.00% due 12/01/2040 | 28,539 | 30,487 | |||||||||
4.00% due 11/01/2041 | 3,833 | 4,096 | |||||||||
4.00% due 01/01/2042 | 8,209 | 8,769 | |||||||||
4.00% due 11/01/2043 | 14,927 | 15,940 | |||||||||
4.00% due 12/01/2043 | 9,180 | 9,877 | |||||||||
4.00% due 02/01/2049 | 810,103 | 844,422 | |||||||||
Federal National Mtg. Assoc. FRS 4.07% (12 ML+1.82%) due 10/01/2040 | 1,718 | 1,807 | |||||||||
4.35% (12 ML+1.57%) due 05/01/2037 | 1,704 | 1,781 | |||||||||
Federal National Mtg. Assoc. 4.50% due 01/01/2039 | 2,142 | 2,317 | |||||||||
4.50% due 06/01/2039 | 28,365 | 30,415 | |||||||||
4.50% due 09/01/2039 | 6,125 | 6,632 | |||||||||
4.50% due 05/01/2041 | 4,891 | 5,299 | |||||||||
5.00% due 03/01/2020 | 175 | 181 | |||||||||
5.00% due 05/01/2035 | 1,807 | 1,994 | |||||||||
5.00% due 07/01/2040 | 37,359 | 41,283 | |||||||||
5.50% due 05/01/2020 | 2,593 | 2,595 | |||||||||
5.50% due 06/01/2020 | 1,139 | 1,143 | |||||||||
5.50% due 12/01/2029 | 1,491 | 1,612 | |||||||||
5.50% due 06/01/2035 | 99,118 | 111,991 | |||||||||
5.50% due 06/01/2036 | 48,159 | 53,986 | |||||||||
5.50% due 08/01/2037 | 8,942 | 10,090 | |||||||||
5.50% due 06/01/2038 | 6,682 | 7,537 | |||||||||
6.00% due 06/01/2021 | 10,823 | 10,972 | |||||||||
6.00% due 12/01/2033 | 5,821 | 6,697 | |||||||||
6.00% due 05/01/2034 | 4,363 | 5,017 | |||||||||
6.00% due 08/01/2034 | 955 | 1,099 | |||||||||
6.00% due 11/01/2038 | 1,247 | 1,435 | |||||||||
7.00% due 06/01/2037 | 9,057 | 10,414 | |||||||||
Series 415, Class A3 STRIPS 3.00% due 11/25/2042(4) | 46,341 | 47,713 |
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) | $ | 4,399 | $ | 4,378 | |||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 15,873 | 15,787 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 30,921 | 30,747 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | 31,468 | 31,813 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 27,123 | 27,413 | |||||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(4) | 45,153 | 45,385 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(4) | 83,254 | 84,111 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(4) | 13,003 | 13,416 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 49,079 | 50,809 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(4) | 37,870 | 39,956 | |||||||||
Series 2019-28, Class JA 3.50% due 06/25/2059(4) | 39,822 | 42,312 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 41,414 | 42,367 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(4) | 24,301 | 24,979 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 38,580 | 39,697 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 39,029 | 40,162 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(4) | 62,559 | 64,358 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 46,848 | 48,219 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 17,390 | 18,200 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(4) | 44,759 | 46,862 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 44,639 | 45,603 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 36,178 | 37,926 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(4) | 38,362 | 40,034 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(4) | 38,096 | 40,181 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(4) | 46,373 | 47,729 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(4) | 28,512 | 29,276 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(4) | 37,564 | 39,539 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(4) | 59,229 | 61,408 |
54
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(4) | $ | 19,246 | $ | 20,283 | |||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 46,559 | 49,146 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(4) | 39,724 | 41,908 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(4) | 36,663 | 38,226 | |||||||||
3,438,969 | |||||||||||
Government National Mtg. Assoc. — 3.5% | |||||||||||
3.00% due October 30 TBA | 500,000 | 513,066 | |||||||||
3.50% due October 30 TBA | 1,200,000 | 1,243,148 | |||||||||
4.00% due 07/15/2041 | 20,587 | 21,964 | |||||||||
4.00% due 08/15/2041 | 6,357 | 6,783 | |||||||||
4.00% due 10/15/2041 | 11,694 | 12,362 | |||||||||
4.00% due 07/20/2049 | 99,999 | 104,284 | |||||||||
4.00% due October 30 TBA | 600,000 | 628,687 | |||||||||
4.50% due 06/15/2041 | 97,457 | 106,062 | |||||||||
6.00% due 11/15/2028 | 13,732 | 15,537 | |||||||||
7.00% due 07/15/2033 | 6,014 | 6,846 | |||||||||
9.00% due 11/15/2021 | 46 | 47 | |||||||||
Government National Mtg. Assoc. REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 45,752 | 45,384 | |||||||||
Government National Mtg. Assoc., REMIC Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 503 | 566 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(4) | 3,982 | 4,611 | |||||||||
2,709,347 | |||||||||||
Uniform Mtg. Backed Securities — 8.3% | |||||||||||
2.50% due October 15 TBA | 575,000 | 579,885 | |||||||||
3.00% due October 15 TBA | 875,000 | 894,414 | |||||||||
3.00% due October 30 TBA | 2,375,000 | 2,410,625 | |||||||||
3.50% due October 30 TBA | 600,000 | 615,422 | |||||||||
4.00% due October 30 TBA | 950,000 | 985,736 | |||||||||
4.50% due October 30 TBA | 675,000 | 710,744 | |||||||||
5.00% due October 30 TBA | 300,000 | 321,305 | |||||||||
6,518,131 | |||||||||||
Total U.S. Government Agencies (cost $14,172,175) | 14,319,946 | ||||||||||
U.S. GOVERNMENT TREASURIES — 10.4% | |||||||||||
United States Treasury Bonds — 4.8% | |||||||||||
1.00% due 02/15/2049 TIPS(11) | 56,076 | 62,928 | |||||||||
2.50% due 02/15/2045 | 5,000 | 5,380 | |||||||||
2.88% due 11/15/2046 | 70,000 | 80,998 | |||||||||
3.00% due 05/15/2045 | 58,000 | 68,288 | |||||||||
3.00% due 11/15/2045 | 145,000 | 171,038 | |||||||||
3.00% due 02/15/2048 | 285,000 | 338,382 | |||||||||
3.38% due 05/15/2044 | 1,710,000 | 2,129,952 | |||||||||
3.63% due 08/15/2043 | 160,000 | 206,356 | |||||||||
3.63% due 02/15/2044 | 360,000 | 465,384 | |||||||||
3.75% due 11/15/2043 | 140,000 | 184,149 | |||||||||
3,712,855 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
United States Treasury Notes — 5.6% | |||||||||||
0.38% due 07/15/2027 TIPS(11)(12) | $ | 1,027,824 | $ | 1,043,232 | |||||||
0.63% due 01/15/2026 TIPS(11) | 253,737 | 259,914 | |||||||||
0.88% due 01/15/2029 TIPS(11) | 177,811 | 188,575 | |||||||||
1.88% due 01/31/2022 | 345,000 | 346,914 | |||||||||
2.00% due 02/15/2023 | 520,000 | 527,069 | |||||||||
2.00% due 02/15/2025(13) | 85,000 | 86,790 | |||||||||
2.25% due 08/15/2027 | 80,000 | 83,634 | |||||||||
2.63% due 02/15/2029 | 760,000 | 822,551 | |||||||||
2.88% due 05/15/2028 | 505,000 | 554,277 | |||||||||
3.13% due 11/15/2028 | 430,000 | 482,742 | |||||||||
4,395,698 | |||||||||||
Total U.S. Government Treasuries (cost $7,565,661) | 8,108,553 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.6% | |||||||||||
Sovereign — 0.6% | |||||||||||
Banque Centrale de Tunisie Senior Notes 6.38% due 07/15/2026* | EUR | 100,000 | 105,322 | ||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049* | 150,000 | 159,751 | |||||||||
Government of Egypt Bonds 16.10% due 05/07/2029 | EGP | 800,000 | 53,347 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049* | EUR | 19,000 | 26,849 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 75,000 | 105,984 | ||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 16,000 | 20,892 | |||||||||
Oriental Republic of Uruguay Senior Notes 4.98% due 04/20/2055 | 5,000 | 5,838 | |||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 10,000 | 10,611 | |||||||||
Total Foreign Government Obligations (cost $469,628) | 488,594 | ||||||||||
Total Long-Term Investment Securities (cost $79,952,319) | 84,552,731 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 3.0% | |||||||||||
Foreign Government Obligations — 0.9% | |||||||||||
Government of Japan Disc. Notes (0.13%) due 10/28/2019 | JPY | 75,000,000 | 693,724 | ||||||||
Registered Investment Companies — 2.1% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 1.95%(14) | 1,654,518 | 1,654,518 | |||||||||
Total Short-Term Investment Securities (cost $2,344,489) | 2,348,242 |
55
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 1.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | $ | 245,000 | $ | 245,000 | |||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 145,000 | 145,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 115,000 | 115,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 220,000 | 220,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | 230,000 | 230,000 | |||||||||
Total Repurchase Agreements (cost $955,000) | 955,000 | ||||||||||
TOTAL INVESTMENTS (cost $83,251,808)(10) | 112.5 | % | 87,855,973 | ||||||||
Liabilities in excess of other assets | (12.5 | ) | (9,782,133 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 78,073,840 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $7,387,920 representing 9.5% 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 September 30, 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 | $ | 1,070 | $ | 267.52 | 0.00 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
(4) Collateralized Mortgage Obligation
(5) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(6) Collateralized Loan Obligation
(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 September 30, 2019.
(10) See Note 4 for cost of investments on a tax basis.
(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) The rate shown is the 7-day yield as of September 30, 2019.
(15) See Note 2 for details of Joint Repurchase Agreements
(16) Denominated in United States dollars unless otherwise indicated.
AUD — Australian Dollar
ARS — Argentina Dollar
CAD — Canadian Dollar
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EUR — Euro Currency
EGP — Egyptian Pound
JPY — Japanese Yen
NZD — New Zealand Dollar
REMIC — Real Estate Mortgage Investment Conduit
SCRT — Seasoned Credit Risk Trust
STRIPS — Separate Trading of Registered Interest and Principal Securities
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 rates at September 30, 2019 and unless noted otherwise, the dates shown are the original maturity date.
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
56
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
4 | Long | Canada 10 Year Bond | December 2019 | $ | 428,833 | $ | 430,539 | $ | 1,706 | ||||||||||||||||||
1 | Short | Euro-Bund | December 2019 | 162,235 | 159,870 | 2,365 | |||||||||||||||||||||
1 | Long | U.S. Treasury 10 Year Notes | December 2019 | 129,047 | 130,313 | 1,266 | |||||||||||||||||||||
10 | Short | U.S. Treasury 10 Year Ultra Notes | December 2019 | 1,435,484 | 1,424,062 | 11,422 | |||||||||||||||||||||
27 | Short | U.S. Treasury 5 Year Notes | December 2019 | 3,230,229 | 3,217,008 | 13,221 | |||||||||||||||||||||
1 | Long | U.S. Ultra Bond | December 2019 | 191,125 | 191,906 | 781 | |||||||||||||||||||||
$ | 30,761 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
4 | Long | E-Mini Russell 2000 Index | December 2019 | $ | 316,666 | $ | 305,000 | $ | (11,666 | ) | |||||||||||||||||
1 | Short | U.S. Treasury 2 Year Notes | December 2019 | 215,191 | 215,500 | (309 | ) | ||||||||||||||||||||
$ | (11,975 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 18,786 |
* 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. | EUR | 198,000 | USD | 218,423 | 10/31/2019 | $ | 2,141 | $ | — | ||||||||||||||||||||||
Goldman Sachs International | AUD | 363,000 | USD | 245,342 | 10/31/2019 | 85 | — | ||||||||||||||||||||||||
JPMorgan Chase Bank | EUR | 221,000 | USD | 245,313 | 12/18/2019 | 3,000 | — | ||||||||||||||||||||||||
NZD | 61,000 | USD | 163,973 | 11/29/2019 | 315 | — | |||||||||||||||||||||||||
JPY | 75,000,000 | USD | 695,113 | 10/28/2019 | 296 | ||||||||||||||||||||||||||
3,611 | — | ||||||||||||||||||||||||||||||
NatWest Markets PLC | CAD | 109,000 | USD | 82,623 | 11/05/2019 | 303 | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 6,140 | $ | — |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
57
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments Received by the Portfolio/Frequency | Payments Made by the Portfolio/Frequency | Upfront Payments Made (Received) by the Portfolio | Unrealized Appreciation (Depreciation) | ||||||||||||||||||
USD | 200 | 11/14/2026 | 1 Year USD Federal Funds — H.15-OIS-COMPOUND/Annually | 1.63%/Annually | $ | — | $ | (3,547 | ) | ||||||||||||||
USD | 340 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (7,181 | ) | (73,428 | ) | |||||||||||||||
$ | (7,181 | ) | $ | (76,975 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 177,205 | $ | — | $ | 1,070 | $ | 178,275 | |||||||||||
Other Industries | 42,326,185 | 1,039,758 | ** | — | 43,365,943 | ||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 687,722 | — | 687,722 | |||||||||||||||
Asset Backed Securities | — | 8,425,520 | — | 8,425,520 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 139 | 3 | 142 | |||||||||||||||
Other Industries | — | 7,139,981 | — | 7,139,981 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,491,557 | — | 1,491,557 | |||||||||||||||
Municipal Bonds & Notes | — | 346,497 | — | 346,497 | |||||||||||||||
U.S. Government Agencies | — | 14,319,946 | — | 14,319,946 | |||||||||||||||
U.S. Government Treasuries | — | 8,108,553 | — | 8,108,553 | |||||||||||||||
Foreign Government Obligations | — | 488,594 | — | 488,594 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Foreign Government Obligations | — | 693,724 | — | 693,724 | |||||||||||||||
Registered Investment Companies | 1,654,518 | — | — | 1,654,518 | |||||||||||||||
Repurchase Agreement | — | 955,000 | — | 955,000 | |||||||||||||||
Total Investments at Value | $ | 44,157,908 | $ | 43,696,991 | $ | 1,074 | $ | 87,855,973 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 30,761 | $ | — | $ | — | $ | 30,761 | |||||||||||
Forward Foreign Currency Contracts | — | 6,140 | — | 6,140 | |||||||||||||||
Total Other Financial Instruments | $ | 30,761 | $ | 6,140 | $ | — | $ | 36,901 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 11,975 | $ | — | $ | — | $ | 11,975 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 76,975 | — | 76,975 | |||||||||||||||
Total Other Financial Instruments | $ | 11,975 | $ | 76,975 | $ | — | $ | 88,950 |
* 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 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
58
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 18.1 | % | |||||
Uniform Mtg. Backed Securities | 15.4 | ||||||
United States Treasury Notes | 8.0 | ||||||
United States Treasury Bonds | 7.5 | ||||||
Federal National Mtg. Assoc. | 6.4 | ||||||
Government National Mtg. Assoc. | 5.6 | ||||||
Enterprise Software/Service | 3.8 | ||||||
Diversified Banking Institutions | 3.7 | ||||||
Federal Home Loan Mtg. Corp. | 2.2 | ||||||
E-Commerce/Products | 2.2 | ||||||
Internet Content-Entertainment | 2.1 | ||||||
Applications Software | 2.1 | ||||||
Registered Investment Companies | 1.8 | ||||||
Chemicals-Specialty | 1.8 | ||||||
Medical Instruments | 1.6 | ||||||
Multimedia | 1.6 | ||||||
Foreign Government Obligations | 1.4 | ||||||
Building-Maintenance & Services | 1.4 | ||||||
Repurchase Agreements | 1.4 | ||||||
Consulting Services | 1.3 | ||||||
Electric-Integrated | 1.2 | ||||||
SupraNational Banks | 1.2 | ||||||
Medical-Drugs | 1.2 | ||||||
Textile-Apparel | 1.0 | ||||||
Transport-Rail | 1.0 | ||||||
Banks-Commercial | 1.0 | ||||||
Pipelines | 0.9 | ||||||
Internet Content-Information/News | 0.9 | ||||||
Data Processing/Management | 0.9 | ||||||
Telephone-Integrated | 0.8 | ||||||
Cosmetics & Toiletries | 0.8 | ||||||
Web Portals/ISP | 0.8 | ||||||
Distribution/Wholesale | 0.8 | ||||||
Municipal Bonds & Notes | 0.8 | ||||||
Commercial Services-Finance | 0.7 | ||||||
E-Commerce/Services | 0.7 | ||||||
Cable/Satellite TV | 0.7 | ||||||
Banks-Super Regional | 0.6 | ||||||
Aerospace/Defense-Equipment | 0.6 | ||||||
Oil Companies-Exploration & Production | 0.6 | ||||||
Non-Hazardous Waste Disposal | 0.6 | ||||||
Electronic Forms | 0.5 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Computer Aided Design | 0.5 | ||||||
Containers-Metal/Glass | 0.5 | ||||||
Retail-Restaurants | 0.5 | ||||||
Brewery | 0.5 | ||||||
Sovereign | 0.5 | ||||||
Tobacco | 0.5 | ||||||
Machinery-General Industrial | 0.5 | ||||||
Veterinary Diagnostics | 0.5 | ||||||
Electronic Components-Semiconductors | 0.4 | ||||||
Real Estate Investment Trusts | 0.4 | ||||||
Pharmacy Services | 0.4 | ||||||
Medical-HMO | 0.4 | ||||||
Computer Services | 0.4 | ||||||
Finance-Other Services | 0.3 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Computer Software | 0.2 | ||||||
Computers | 0.2 |
Oil Companies-Integrated | 0.2 | % | |||||
Insurance Brokers | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 | ||||||
Banks-Special Purpose | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Medical Products | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Television | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Medical-Biomedical/Gene | 0.1 | ||||||
Metal-Diversified | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Electronic Components-Misc. | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Finance-Leasing Companies | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
118.5 | % | ||||||
Credit Quality†# | |||||||
Aaa | 62.9 | % | |||||
Aa | 0.6 | ||||||
A | 6.8 | ||||||
Baa | 11.4 | ||||||
Ba | 2.6 | ||||||
B | 0.2 | ||||||
Caa | 0.6 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 14.7 | ||||||
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.
59
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 30.0% | |||||||||||
Aerospace/Defense-Equipment — 0.4% | |||||||||||
HEICO Corp., Class A | 2,529 | $ | 246,097 | ||||||||
Applications Software — 2.0% | |||||||||||
Intuit, Inc. | 968 | 257,430 | |||||||||
ServiceNow, Inc.† | 3,276 | 831,613 | |||||||||
1,089,043 | |||||||||||
Building-Maintenance & Services — 1.4% | |||||||||||
Rollins, Inc. | 13,232 | 450,814 | |||||||||
ServiceMaster Global Holdings, Inc.† | 5,590 | 312,481 | |||||||||
763,295 | |||||||||||
Chemicals-Specialty — 1.7% | |||||||||||
Ecolab, Inc. | 4,629 | 916,727 | |||||||||
Commercial Services-Finance — 0.5% | |||||||||||
S&P Global, Inc. | 1,178 | 288,586 | |||||||||
Computer Aided Design — 0.5% | |||||||||||
Autodesk, Inc.† | 1,928 | 284,766 | |||||||||
Computer Software — 0.2% | |||||||||||
Twilio, Inc., Class A† | 1,228 | 134,816 | |||||||||
Consulting Services — 1.3% | |||||||||||
Gartner, Inc.† | 2,777 | 397,083 | |||||||||
Verisk Analytics, Inc. | 1,887 | 298,410 | |||||||||
695,493 | |||||||||||
Containers-Metal/Glass — 0.5% | |||||||||||
Ball Corp. | 3,840 | 279,590 | |||||||||
Cosmetics & Toiletries — 0.8% | |||||||||||
Estee Lauder Cos., Inc., Class A | 2,251 | 447,837 | |||||||||
Data Processing/Management — 0.8% | |||||||||||
Broadridge Financial Solutions, Inc. | 3,405 | 423,684 | |||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Danaher Corp. | 1,963 | 283,516 | |||||||||
Distribution/Wholesale — 0.8% | |||||||||||
Copart, Inc.† | 5,248 | 421,572 | |||||||||
E-Commerce/Products — 2.1% | |||||||||||
Amazon.com, Inc.† | 676 | 1,173,475 | |||||||||
E-Commerce/Services — 0.7% | |||||||||||
MercadoLibre, Inc.† | 703 | 387,515 | |||||||||
Electronic Forms — 0.5% | |||||||||||
Adobe, Inc.† | 1,078 | 297,798 | |||||||||
Enterprise Software/Service — 3.8% | |||||||||||
Constellation Software, Inc. | 695 | 694,108 | |||||||||
Coupa Software, Inc.† | 600 | 77,154 | |||||||||
Veeva Systems, Inc., Class A† | 3,096 | 472,728 | |||||||||
Workday, Inc., Class A† | 4,936 | 838,923 | |||||||||
2,082,913 | |||||||||||
Internet Content-Entertainment — 2.1% | |||||||||||
Facebook, Inc., Class A† | 1,345 | 239,518 | |||||||||
Twitter, Inc.† | 22,142 | 912,250 | |||||||||
1,151,768 |
Security Description | Shares/ Principal Amount(13) | Value (Note 2) | |||||||||
Internet Content-Information/News — 0.9% | |||||||||||
Spotify Technology SA† | 4,501 | $ | 513,114 | ||||||||
Machinery-General Industrial — 0.5% | |||||||||||
Roper Technologies, Inc. | 730 | 260,318 | |||||||||
Medical Instruments — 1.6% | |||||||||||
Intuitive Surgical, Inc.† | 1,669 | 901,143 | |||||||||
Medical-Drugs — 0.8% | |||||||||||
Zoetis, Inc. | 3,582 | 446,281 | |||||||||
Multimedia — 1.5% | |||||||||||
Walt Disney Co. | 6,555 | 854,248 | |||||||||
Non-Hazardous Waste Disposal — 0.5% | |||||||||||
Waste Connections, Inc. | 2,861 | 263,212 | |||||||||
Retail-Restaurants — 0.5% | |||||||||||
Starbucks Corp. | 2,866 | 253,412 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 10 | 2,675 | |||||||||
Textile-Apparel — 1.0% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,442 | 574,016 | |||||||||
Transport-Rail — 0.8% | |||||||||||
Union Pacific Corp. | 2,592 | 419,852 | |||||||||
Veterinary Diagnostics — 0.5% | |||||||||||
Elanco Animal Health, Inc.† | 9,488 | 252,286 | |||||||||
Web Portals/ISP — 0.8% | |||||||||||
Alphabet, Inc., Class C† | 366 | 446,154 | |||||||||
Total Common Stocks (cost $15,731,102) | 16,555,202 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6% | |||||||||||
Banks-Commercial — 0.8% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(3) | EUR | 200,000 | 214,535 | ||||||||
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(3) | 225,000 | 234,281 | |||||||||
448,816 | |||||||||||
Diversified Banking Institutions — 0.8% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025*(3) | 200,000 | 235,250 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(3) | 200,000 | 211,500 | |||||||||
446,750 | |||||||||||
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 $861,917) | 895,568 | ||||||||||
ASSET BACKED SECURITIES — 18.1% | |||||||||||
Diversified Financial Services — 18.1% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.19% (1 ML+0.17%) due 01/25/2037(5) | 19,117 | 18,688 |
60
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | $ | 40,000 | $ | 40,042 | |||||||
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(4)(5) | 127,491 | 128,319 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(4)(5) | 42,918 | 43,517 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.59% (1 ML+1.58%) due 10/25/2034 | 14,640 | 14,844 | |||||||||
Atrium XII FRS Series 12A, Class AR 3.11% (3 ML+0.83%) due 04/22/2027*(8) | 250,000 | 249,875 | |||||||||
Avant Loans Funding Trust Series 2018-B, Class A 3.42% due 01/18/2022* | 48,063 | 48,209 | |||||||||
BANK VRS Series 2019-BN20, Class XA 0.84% due 09/15/2061(4)(6)(7) | 1,000,000 | 69,421 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.88% due 11/15/2050(4)(6)(7) | 992,958 | 50,368 | |||||||||
Barclays Commercial Mtg. Trust Series 2019-C4, Class A5 2.92% due 08/15/2052(6) | 95,000 | 98,390 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(4) | 96,050 | 97,852 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(4) | 65,312 | 66,372 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(4) | 59,161 | 60,117 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(4) | 60,442 | 61,467 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(4) | 60,881 | 62,592 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(4) | 73,581 | 75,712 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.88% (1 ML+0.85%) due 08/15/2036*(6) | 152,000 | 151,905 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.20% due 02/25/2036(4)(5) | $ | 80,078 | $ | 76,125 | |||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.22% (1 ML + 1.20%) due 10/25/2027*(5) | 125,353 | 125,427 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 3.32% (1 ML+ 1.30%) due 03/25/2029*(5) | 93,427 | 93,484 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(4)(6)(7) | 210,001 | 7,395 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(4)(6)(7) | 369,377 | 13,201 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(4)(6)(7) | 999,104 | 50,546 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(4)(6) | 80,000 | 90,250 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 7,708 | 7,765 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.04% (3 ML+0.78%) due 04/27/2027*(8) | 243,104 | 242,941 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 6,134 | 6,140 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(5) | 89,480 | 89,776 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.99% (1 Yr USTYCR+2.40%) due 03/25/2036(5) | 39,339 | 39,339 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 9,468 | 9,470 | |||||||||
COLT Funding LLC VRS Series 2019-4, Class A1 2.58% due 11/25/2049*(4)(5) | 100,000 | 99,999 | |||||||||
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(4)(5) | 83,823 | 85,266 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(6) | 125,105 | 130,719 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(6) | 65,000 | 69,790 |
61
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(6) | $ | 140,000 | $ | 146,283 | |||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(6) | 146,752 | 155,093 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(6) | 150,000 | 160,038 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(6) | 195,000 | 208,896 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(5) | 34,619 | 29,660 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.92% due 06/15/2057(4)(6)(7) | 1,160,561 | 40,503 | |||||||||
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(6) | 95,000 | 97,765 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(5) | 44,010 | 44,205 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(4)(5) | 27,224 | 27,136 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(4)(5) | 129,149 | 129,722 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2019-2A, Class A1 3.56% due 04/25/2059*(4)(5) | 84,235 | 84,991 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 59,250 | 61,509 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 35,000 | 35,009 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.26% due 05/25/2035(4)(5) | 63,315 | 64,480 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(6) | 125,000 | 128,012 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(6) | 30,445 | 35,047 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(6) | 100,000 | 102,886 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GS Mtg. Securities Trust Series 2016-GS4, Class A3 3.18% due 11/10/2049(6) | $ | 90,000 | $ | 94,932 | |||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(6) | 140,000 | 150,089 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.12% due 03/25/2047(4)(5) | 18,710 | 16,607 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 4.56% due 04/25/2036(4)(5) | 5,264 | 4,564 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 3.62% (1 ML + 1.60%) due 10/25/2028*(5) | 52,005 | 52,034 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.56% (1 ML+0.54%) due 05/25/2035(5) | 48,581 | 48,378 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(6) | 68,000 | 73,102 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(6) | 65,000 | 69,547 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(6) | 85,000 | 89,391 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(5)(9) | 99,341 | 99,424 | |||||||||
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(9) | 128,264 | 129,258 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2019-3, Class A1 3.53% (1 ML+1.50%) due 04/01/2024*(5) | 93,420 | 93,618 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2019-4, Class A1 3.53% (1 ML + 1.50%) due 05/01/2024*(5) | 94,586 | 94,929 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(5) | 11,825 | 11,993 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.54% due 12/25/2034(4)(5) | 18,898 | 19,590 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9) | 76,169 | 76,541 |
62
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | 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 1.16% due 12/15/2047(4)(6)(7) | $ | 253,530 | $ | 10,440 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13, Class A4 4.04% due 11/15/2046(6) | 90,000 | 96,337 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.60% due 06/15/2050(4)(6)(7) | 122,882 | 9,409 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(6) | 105,000 | 107,557 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(5) | 33,345 | 25,433 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.30% (1 ML+0.28%) due 10/25/2035(5) | 88,967 | 89,041 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-NQM4, Class A1 2.49% due 09/25/2059*(4)(5) | 100,000 | 100,023 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 2.77% (1 ML + 0.75%) due 01/25/2048*(5) | 103,285 | 102,978 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.52% (1 ML+1.50%) due 06/25/2057*(5) | 79,596 | 80,762 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(5) | 72,450 | 74,803 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(5) | 64,275 | 66,414 | |||||||||
New Residential Mtg. Loan Trust VRS(5) Series 2017-1A, Class A1 4.00% due 02/25/2057*(4) | 118,481 | 123,056 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(5) | 118,177 | 123,082 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(5) | 93,955 | 97,350 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(5) | $ | 73,549 | $ | 76,718 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(4)(5) | 101,165 | 105,448 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A1A 4.00% due 12/25/2057*(4) | 73,384 | 76,113 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(5) | 22,924 | 23,313 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 67,226 | 67,553 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 66,463 | 66,928 | |||||||||
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 3.42% (1 M + 1.40%) due 07/25/2029*(5) | 150,000 | 150,244 | |||||||||
OCP CLO, Ltd. FRS Series 2015-9A, Class A1R 3.10% (3 ML+0.80%) due 07/15/2027*(8) | 250,000 | 249,842 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.15% (3 ML+0.85%) due 04/17/2027*(8) | 197,112 | 197,082 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 139,000 | 138,893 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.12% (1 ML+0.10%) due 02/25/2037 | 34,676 | 22,545 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.32% (3 ML+1.05%) due 04/30/2027*(8) | 250,000 | 249,828 | |||||||||
Radnor RE, Ltd. FRS Series 2019-2, Class M1A 3.22% (1 ML+1.2%) due 06/25/2029*(5) | 121,891 | 121,808 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.15% (1 ML+0.13%) due 05/25/2037 | 88,636 | 67,537 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 10,563 | 10,569 |
63
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | $ | 29,780 | $ | 29,817 | |||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025* | 11,977 | 12,008 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.27% (1 ML+0.25%) due 11/25/2036 | 200,000 | 186,979 | |||||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 145,339 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 35,494 | 35,499 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(4)(5) | 52,548 | 52,335 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.62% (1 ML+0.60%) due 02/25/2057* | 70,041 | 69,772 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(4)(5) | 46,301 | 46,484 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(4) | 120,112 | 121,208 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(4) | 56,160 | 56,587 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(4) | 87,392 | 88,068 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(4) | 62,539 | 62,715 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(4) | 121,674 | 122,834 | |||||||||
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(6) | 80,000 | 82,243 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(9) | 54,608 | 54,691 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048*(9) | 43,846 | 44,058 | |||||||||
VOLT LXXIII LLC Series 2018-NPL9, Class A1A 4.46% due 10/25/2048*(9) | 90,122 | 90,573 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(9) | $ | 100,000 | $ | 100,065 | |||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.28% due 09/15/2057(4)(6)(7) | 964,814 | 36,784 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(6) | 105,000 | 111,989 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(4)(6) | 10,000 | 10,249 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(4)(5) | 22,305 | 22,310 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.76% due 11/25/2034(4)(5) | 1,889 | 1,953 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.95% due 01/25/2035(4)(5) | 49,349 | 50,537 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.14% due 03/25/2035(4)(5) | 35,859 | 37,052 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 49,125 | 50,526 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 85,682 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(4)(6)(7) | 430,127 | 3,473 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(6) | 145,280 | 156,039 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(6) | 55,111 | 59,329 | |||||||||
Total Asset Backed Securities (cost $9,831,497) | 10,008,859 |
64
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES — 14.7% | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Boeing Co. Senior Notes 3.25% due 02/01/2035 | $ | 40,000 | $ | 41,449 | |||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 24,000 | 28,227 | |||||||||
69,676 | |||||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 25,000 | 26,456 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 30,000 | 32,867 | |||||||||
United Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 20,000 | 23,780 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 6,242 | |||||||||
89,345 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 20,000 | 22,762 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 20,000 | 23,688 | |||||||||
46,450 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 15,000 | 15,040 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 9,239 | |||||||||
General Motors Co. Senior Notes 5.20% due 04/01/2045 | 20,000 | 19,751 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 5,000 | 5,008 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 50,000 | 57,196 | |||||||||
106,234 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 35,000 | 35,983 | |||||||||
Banks-Super Regional — 0.6% | |||||||||||
KeyCorp Senior Notes 2.55% due 10/01/2029 | 35,000 | 34,235 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | $ | 30,000 | $ | 30,761 | |||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 20,000 | 20,540 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 132,385 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 60,000 | 63,562 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 40,000 | 42,326 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 10,000 | 12,942 | |||||||||
336,751 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 30,000 | 30,335 | |||||||||
Brewery — 0.5% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 46,577 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 11,534 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 25,000 | 29,283 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 115,000 | 145,378 | |||||||||
Molson Coors Brewing Co. Company Guar. Notes 3.00% due 07/15/2026 | 40,000 | 40,419 | |||||||||
273,191 | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 21,000 | 21,901 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 20,000 | 21,500 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 10,000 | 11,050 |
65
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Broadcast Services/Program (continued) | |||||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | $ | 35,000 | $ | 42,825 | |||||||
97,276 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 30,000 | 31,454 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 30,000 | 32,100 | |||||||||
Cable/Satellite TV — 0.7% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 10,000 | 10,644 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.75% due 04/01/2048 | 10,000 | 11,400 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 25,000 | 30,421 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 5,000 | 5,115 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 20,000 | 21,769 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 15,000 | 16,730 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 35,000 | 39,812 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 10,000 | 11,501 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 15,000 | 17,919 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 10,000 | 12,710 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 65,000 | 66,567 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | $ | 10,000 | $ | 10,872 | |||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 21,000 | 22,098 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 45,000 | 44,282 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 50,327 | |||||||||
372,167 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 20,000 | 20,317 | |||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DowDuPont, Inc. Senior Notes 4.21% due 11/15/2023 | 70,000 | 75,013 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 2.95% due 08/15/2029 | 15,000 | 15,028 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 40,000 | 41,833 | |||||||||
56,861 | |||||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 10,000 | 10,141 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 90,000 | 94,707 | |||||||||
104,848 | |||||||||||
Computer Services — 0.4% | |||||||||||
International Business Machines Corp. Senior Notes 3.30% due 05/15/2026 | 100,000 | 105,452 | |||||||||
International Business Machines Corp. Senior Notes 3.50% due 05/15/2029 | 100,000 | 107,323 | |||||||||
212,775 | |||||||||||
Computers — 0.2% | |||||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 105,000 | 103,168 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 15,000 | 15,899 |
66
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Computers (continued) | |||||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | $ | 5,000 | $ | 5,832 | |||||||
124,899 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 40,000 | 43,912 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 10,000 | 11,154 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 10,000 | 10,291 | |||||||||
Diversified Banking Institutions — 2.8% | |||||||||||
Bank of America Corp. Senior Notes 2.25% due 04/21/2020 | 35,000 | 35,037 | |||||||||
Bank of America Corp. Senior Notes 3.19% due 07/23/2030 | 5,000 | 5,157 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 105,000 | 109,214 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 40,000 | 41,776 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 70,000 | 74,450 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 35,000 | 38,248 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 5,000 | 5,932 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 95,000 | 114,351 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 25,000 | 25,370 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 35,000 | 36,181 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.22% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,697 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 40,000 | 41,444 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | $ | 20,000 | $ | 20,916 | |||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 65,000 | 70,679 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 21,777 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 10,000 | 10,911 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 8,433 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 85,000 | 86,142 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 30,000 | 31,851 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 35,000 | 48,326 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 39,000 | 52,645 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 90,000 | 93,180 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 33,000 | 34,109 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 52,852 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.51% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,476 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 45,000 | 48,217 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 42,187 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 30,000 | 30,201 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 15,000 | 15,143 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 30,000 | 30,918 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 85,000 | 89,605 |
67
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | $ | 40,000 | $ | 42,354 | |||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 42,310 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 20,000 | 21,575 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 1,000 | 1,083 | |||||||||
1,533,747 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 25,000 | 25,204 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 40,000 | 46,021 | |||||||||
Electric-Distribution — 0.2% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 25,000 | 27,005 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 5,000 | 5,721 | |||||||||
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 5,000 | 5,764 | |||||||||
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048 | 15,000 | 18,150 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 30,000 | 30,002 | |||||||||
86,642 | |||||||||||
Electric-Integrated — 1.2% | |||||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 15,000 | 15,798 | |||||||||
CenterPoint Energy Houston Electric LLC General Refunding Mtg. 4.25% due 02/01/2049 | 5,000 | 6,003 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029* | 20,000 | 20,019 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 20,000 | 20,000 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 45,000 | 46,472 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 3.25% due 10/01/2049 | $ | 25,000 | $ | 24,931 | |||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 15,908 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 16,115 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 15,000 | 14,988 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 20,000 | 19,899 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 50,209 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 45,000 | 48,183 | |||||||||
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049 | 5,000 | 5,836 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 90,000 | 89,895 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 10,000 | 10,993 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 31,065 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 9,000 | 9,809 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 50,000 | 51,641 | |||||||||
Northern States Power Co. 1st Mtg. Bonds 2.90% due 03/01/2050 | 5,000 | 4,834 | |||||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 5,000 | 5,838 | |||||||||
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046 | 5,000 | 5,577 | |||||||||
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024 | 35,000 | 35,910 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 40,000 | 40,942 |
68
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065 | $ | 10,000 | $ | 13,289 | |||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 25,000 | 25,218 | |||||||||
Southern California Edison Co. 2nd Mtg. Notes 4.00% due 04/01/2047 | 10,000 | 10,724 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 10,206 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 30,000 | 30,938 | |||||||||
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 5,000 | 5,687 | |||||||||
686,927 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC 1st Mtg. Bonds 3.10% due 09/15/2049* | 5,000 | 5,010 | |||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 10,000 | 12,656 | |||||||||
17,666 | |||||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 70,000 | 70,295 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.75% due 04/15/2029* | 45,000 | 47,573 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 20,000 | 23,313 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 45,000 | 47,258 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 45,000 | 48,474 | |||||||||
236,913 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 55,000 | 55,275 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | $ | 15,000 | $ | 16,787 | |||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 32,000 | 34,784 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 40,000 | 42,260 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 19,000 | 264 | |||||||||
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 | |||||||||
269 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 166,176 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 15,000 | 16,100 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 5,000 | 5,498 | |||||||||
21,598 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 30,000 | 32,119 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 25,000 | 26,429 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 20,000 | 21,298 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 10,000 | 11,310 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 12,068 | |||||||||
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029 | 15,000 | 14,764 |
69
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | 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 | $ | 20,783 | |||||||
106,652 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Unum Group Senior Notes 4.00% due 06/15/2029 | 15,000 | 15,592 | |||||||||
Unum Group Senior Notes 4.50% due 12/15/2049 | 5,000 | 4,823 | |||||||||
20,415 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 7,000 | 11,913 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 25,000 | 27,401 | |||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 30,394 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,052 | |||||||||
32,446 | |||||||||||
Medical-Drugs — 0.2% | |||||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029* | 25,000 | 26,703 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 60,000 | 64,399 | |||||||||
91,102 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Finance LLC Company Guar. Notes 4.63% due 10/01/2042 | 20,000 | 20,750 | |||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 15,000 | 15,921 | |||||||||
36,671 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 15,181 | |||||||||
Anthem, Inc. Senior Notes 2.88% due 09/15/2029 | 10,000 | 9,895 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | $ | 25,000 | $ | 26,201 | |||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 30,000 | 33,208 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024 | 25,000 | 25,200 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029 | 20,000 | 20,412 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 20,000 | 20,820 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 10,000 | 10,766 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 08/15/2049 | 5,000 | 5,294 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 47,000 | 50,536 | |||||||||
217,513 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 25,000 | 25,277 | |||||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 40,000 | 41,947 | |||||||||
67,224 | |||||||||||
Metal-Diversified — 0.1% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.88% due 03/12/2029* | 30,000 | 32,417 | |||||||||
Multimedia — 0.1% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 35,000 | 37,115 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 20,000 | 20,627 | |||||||||
57,742 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 25,000 | 25,844 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Waste Management, Inc. Company Guar. Notes 3.20% due 06/15/2026 | 25,000 | 26,362 | |||||||||
Waste Management, Inc. Company Guar. Notes 3.45% due 06/15/2029 | 10,000 | 10,799 |
70
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Non-Hazardous Waste Disposal (continued) | |||||||||||
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049 | $ | 5,000 | $ | 5,827 | |||||||
42,988 | |||||||||||
Oil Companies-Exploration & Production — 0.5% | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 30,000 | 31,572 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028 | 35,000 | 36,147 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,792 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 43,000 | 53,664 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 20,000 | 25,166 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 20,000 | 20,794 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 30,000 | 32,726 | |||||||||
Occidental Petroleum Corp. Senior Notes 3.50% due 08/15/2029 | 20,000 | 20,284 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.95% due 07/01/2024 | 30,000 | 35,191 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 25,000 | 23,959 | |||||||||
285,295 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028 | 5,000 | 5,210 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,317 | |||||||||
10,527 | |||||||||||
Pharmacy Services — 0.4% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028 | 130,000 | 142,048 | |||||||||
CVS Health Corp. Senior Notes 3.88% due 07/20/2025 | 4,000 | 4,232 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 30,000 | 34,048 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Pharmacy Services (continued) | |||||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | $ | 35,000 | $ | 39,671 | |||||||
219,999 | |||||||||||
Pipelines — 0.8% | |||||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 15,000 | 15,989 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 30,000 | 33,862 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 4.20% due 09/15/2023 | 15,000 | 15,764 | |||||||||
Energy Transfer Partners LP Company Guar. Notes 5.15% due 03/15/2045 | 10,000 | 10,496 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.13% due 07/31/2029 | 30,000 | 30,720 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 10,000 | 9,301 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 30,000 | 30,004 | |||||||||
MPLX LP Senior Notes 4.25% due 12/01/2027* | 20,000 | 21,160 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 20,000 | 20,874 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,553 | |||||||||
MPLX LP Senior Notes 5.20% due 12/01/2047* | 5,000 | 5,452 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.40% due 09/01/2029 | 15,000 | 14,901 | |||||||||
Phillips 66 Partners LP Senior Notes 2.45% due 12/15/2024 | 25,000 | 24,898 | |||||||||
Phillips 66 Partners LP Senior Notes 3.15% due 12/15/2029 | 10,000 | 9,855 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 10,000 | 10,581 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 03/01/2025 | 10,000 | 11,228 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 20,000 | 20,704 |
71
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | $ | 20,000 | $ | 20,178 | |||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 10,398 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 40,000 | 43,741 | |||||||||
Western Midstream Operating LP Senior Notes 4.50% due 03/01/2028 | 50,000 | 48,280 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 15,000 | 14,763 | |||||||||
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048 | 5,000 | 4,450 | |||||||||
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045 | 20,000 | 22,019 | |||||||||
455,171 | |||||||||||
Real Estate Investment Trusts — 0.4% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 25,000 | 27,555 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 40,000 | 40,052 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 85,825 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 60,000 | 61,778 | |||||||||
215,210 | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 65,000 | 68,248 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 5,035 | |||||||||
73,283 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 25,000 | 26,091 | |||||||||
Telephone-Integrated — 0.7% | |||||||||||
AT&T, Inc. Senior Notes 3.80% due 02/15/2027 | 50,000 | 52,917 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | $ | 62,000 | $ | 68,217 | |||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 50,000 | 55,224 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 15,000 | 16,458 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 20,000 | 21,947 | |||||||||
Verizon Communications, Inc. Senior Notes 4.02% due 12/03/2029 | 25,000 | 27,783 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 31,000 | 34,858 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 50,000 | 57,197 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 40,000 | 46,446 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 13,000 | 15,594 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 15,000 | 18,880 | |||||||||
415,521 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 3.70% due 06/01/2028 | 15,000 | 15,634 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 20,000 | 21,702 | |||||||||
37,336 | |||||||||||
Tobacco — 0.5% | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 20,000 | 18,329 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 15,000 | 16,040 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 35,000 | 38,340 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044 | 30,000 | 33,349 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 35,000 | 40,535 |
72
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Tobacco (continued) | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | $ | 60,000 | $ | 59,481 | |||||||
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029 | 20,000 | 19,566 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 40,000 | 38,758 | |||||||||
264,398 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
CSX Corp. Senior Notes 2.40% due 02/15/2030 | 20,000 | 19,590 | |||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 20,000 | 20,999 | |||||||||
CSX Corp. Senior Notes 3.35% due 09/15/2049 | 10,000 | 9,769 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 55,000 | 63,300 | |||||||||
113,658 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.45% due 07/01/2024* | 40,000 | 41,569 | |||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 15,000 | 17,212 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $7,666,222) | 8,129,018 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 3.1% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 15,000 | 16,523 | |||||||||
Banks-Commercial — 0.1% | |||||||||||
Royal Bank of Canada Senior Notes 2.55% due 07/16/2024 | 40,000 | 40,542 | |||||||||
Banks-Special Purpose — 0.2% | |||||||||||
BNG Bank NV Senior Notes 1.90% due 11/26/2025 | AUD | 135,000 | 93,922 | ||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 45,000 | 47,847 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | $ | 10,000 | $ | 11,217 | |||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.25% due 09/17/2050 | 15,000 | 15,279 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 35,272 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 15,000 | 14,492 | |||||||||
49,764 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fiserv, Inc. Senior Notes 3.20% due 07/01/2026 | 30,000 | 31,047 | |||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 60,000 | 64,875 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 15,000 | 14,951 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 30,000 | 32,062 | |||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | 30,000 | 31,029 | |||||||||
Medical Products — 0.1% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 83,447 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 50,232 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026 | 55,000 | 38,494 | |||||||||
88,726 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 5,000 | 5,327 |
73
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | $ | 35,000 | $ | 40,337 | |||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 12,738 | |||||||||
53,075 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 15,000 | 15,791 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 30,000 | 30,733 | |||||||||
46,524 | |||||||||||
Oil Companies-Integrated — 0.2% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 24,000 | 23,035 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.84% due 01/23/2030* | 85,000 | 88,051 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 1,657,987 | 11,514 | ||||||||
122,600 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Valero Energy Corp. Senior Notes 4.35% due 06/01/2028 | 10,000 | 10,855 | |||||||||
Pipelines — 0.1% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,046 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034 | 30,000 | 34,084 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 20,000 | 22,817 | |||||||||
71,947 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
HCP, Inc. Senior Notes 3.25% due 07/15/2026 | 15,000 | 15,431 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 50,000 | 54,195 | |||||||||
SupraNational Banks — 1.2% | |||||||||||
Asian Development Bank Senior Notes 3.00% due 01/17/2023 | NZD | 285,000 | 188,332 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
SupraNational Banks (continued) | |||||||||||
Inter-American Development Bank Senior Notes 1.70% due 10/10/2024 | CAD | 250,000 | $ | 188,099 | |||||||
Inter-American Development Bank Senior Notes 2.75% due 10/30/2025 | AUD | 255,000 | 186,212 | ||||||||
International Finance Corp. Notes 1.38% due 09/13/2024 | CAD | 130,000 | 96,369 | ||||||||
659,012 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | 30,000 | 41,418 | |||||||||
Wireless Equipment — 0.0% | |||||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 20,000 | 23,500 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $1,792,360) | 1,725,115 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.8% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 16,550 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 30,000 | 33,202 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 35,000 | 41,738 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 34,000 | 46,924 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 100,000 | 127,424 | |||||||||
State of California General Obligation Bonds 7.30% due 10/01/2039 | 30,000 | 46,955 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 61,091 | 63,949 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,465 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,387 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 20,000 | 21,439 | |||||||||
Total Municipal Bonds & Notes (cost $395,984) | 419,033 |
74
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES — 29.6% | |||||||||||
Federal Home Loan Mtg. Corp. — 2.2% | |||||||||||
2.50% due 01/01/2028 | $ | 9,262 | $ | 9,388 | |||||||
2.50% due 04/01/2028 | 21,669 | 21,962 | |||||||||
3.00% due 08/01/2027 | 33,079 | 33,968 | |||||||||
3.50% due 03/01/2042 | 8,756 | 9,202 | |||||||||
3.50% due 08/01/2042 | 53,378 | 56,098 | |||||||||
3.50% due 09/01/2043 | 31,618 | 32,976 | |||||||||
3.50% due 10/01/2048 | 677,125 | 697,147 | |||||||||
4.00% due 03/01/2023 | 300 | 311 | |||||||||
4.00% due 09/01/2040 | 3,364 | 3,562 | |||||||||
4.00% due 10/01/2043 | 51,042 | 54,424 | |||||||||
4.50% due 01/01/2039 | 1,419 | 1,535 | |||||||||
5.00% due 12/01/2020 | 1,012 | 1,045 | |||||||||
5.00% due 05/01/2021 | 8,974 | 9,271 | |||||||||
5.00% due 07/01/2021 | 2,815 | 2,905 | |||||||||
5.00% due 05/01/2034 | 24,461 | 27,002 | |||||||||
5.50% due 05/01/2037 | 4,936 | 5,562 | |||||||||
5.50% due 06/01/2037 | 2,647 | 2,985 | |||||||||
6.50% due 05/01/2029 | 1,226 | 1,371 | |||||||||
6.50% due 07/01/2035 | 1,439 | 1,632 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.02% (6 ML+1.49%) due 02/01/2037 | 1,793 | 1,853 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.45% due 09/25/2043*(4)(6) | 90,000 | 91,274 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(6) | 79,000 | 85,241 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(4)(6)(7) | 199,930 | 10,716 | |||||||||
Series K064, Class X1 0.74% due 03/25/2027(4)(6)(7) | 371,571 | 14,835 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(5) | 19,883 | 21,238 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.67% (1 ML+1.65%) due 04/25/2043*(5) | 21,143 | 21,202 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(5) | 4,964 | 4,946 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(5) | 20,145 | 20,838 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(5) | 1,649 | 1,734 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 1226, Class Z 7.75% due 03/15/2022(5) | $ | 219 | $ | 229 | |||||||
1,246,452 | |||||||||||
Federal National Mtg. Assoc. — 6.4% | |||||||||||
2.50% due 04/01/2028 | 35,597 | 35,951 | |||||||||
2.50% due 02/01/2043 | 61,404 | 61,352 | |||||||||
2.50% due 03/01/2043 | 117,113 | 117,012 | |||||||||
2.66% due 03/01/2027 | 410,000 | 425,450 | |||||||||
3.00% due 10/01/2027 | 13,632 | 13,999 | |||||||||
3.00% due 12/01/2027 | 9,624 | 9,884 | |||||||||
3.00% due 01/01/2028 | 21,960 | 22,554 | |||||||||
4.00% due 11/01/2025 | 3,701 | 3,855 | |||||||||
4.00% due 09/01/2040 | 3,360 | 3,590 | |||||||||
4.00% due 12/01/2040 | 64,213 | 68,595 | |||||||||
4.00% due 11/01/2041 | 6,314 | 6,746 | |||||||||
4.00% due 01/01/2042 | 16,419 | 17,539 | |||||||||
4.00% due 12/01/2043 | 18,820 | 20,249 | |||||||||
4.00% due 02/01/2049 | 922,617 | 961,703 | |||||||||
4.50% due 01/01/2039 | 4,285 | 4,634 | |||||||||
4.50% due 09/01/2039 | 11,484 | 12,434 | |||||||||
4.50% due 09/01/2040 | 21,645 | 23,452 | |||||||||
4.50% due 05/01/2041 | 9,102 | 9,862 | |||||||||
5.00% due 05/01/2035 | 244 | 269 | |||||||||
5.00% due 07/01/2040 | 16,720 | 18,476 | |||||||||
5.50% due 10/01/2021 | 2,532 | 2,572 | |||||||||
5.50% due 06/01/2022 | 1,320 | 1,350 | |||||||||
5.50% due 12/01/2029 | 3,080 | 3,331 | |||||||||
5.50% due 05/01/2034 | 9,688 | 10,470 | |||||||||
5.50% due 08/01/2037 | 17,885 | 20,180 | |||||||||
5.50% due 06/01/2038 | 4,176 | 4,710 | |||||||||
6.00% due 06/01/2026 | 8,587 | 9,486 | |||||||||
6.00% due 04/01/2027 | 45,810 | 50,578 | |||||||||
6.00% due 12/01/2033 | 15,874 | 18,264 | |||||||||
6.00% due 05/01/2034 | 9,206 | 10,585 | |||||||||
6.50% due 06/01/2035 | 27,697 | 30,857 | |||||||||
6.50% due 10/01/2037 | 1,620 | 1,840 | |||||||||
7.00% due 06/01/2037 | 9,414 | 10,824 | |||||||||
Federal National Mtg. Assoc. FRS 4.42% (12 ML+1.57%) due 05/01/2037 | 3,024 | 3,161 | |||||||||
4.55% (12 ML+1.82%) due 10/01/2040 | 3,280 | 3,450 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.57% (1 ML+3.55%) due 07/25/2029(5) | 35,000 | 36,784 | |||||||||
Series 2016-C07, Class 2M2 6.37% (1 ML+4.35%) due 05/25/2029(5) | 65,149 | 68,670 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(5) | 6,379 | 6,349 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(5) | 17,316 | 17,222 |
75
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(5) | $ | 34,787 | $ | 34,590 | |||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(5) | 36,130 | 36,526 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(5) | 32,055 | 32,397 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(5) | 93,049 | 94,007 | |||||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(5) | 52,378 | 52,647 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(5) | 46,738 | 47,814 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(5) | 13,003 | 13,416 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(5) | 28,038 | 28,821 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(5) | 45,594 | 46,915 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(5) | 45,535 | 46,856 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(5) | 55,441 | 57,395 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(5) | 69,917 | 71,928 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(5) | 50,752 | 52,238 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(5) | 20,288 | 21,234 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(5) | 51,153 | 53,557 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(5) | 50,426 | 51,515 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(5) | 41,637 | 43,648 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(5) | 46,887 | 48,930 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(5) | 42,329 | 44,647 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(5) | 52,557 | 54,093 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(5) | 32,586 | 33,458 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(5) | 41,739 | 43,933 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(5) | 63,177 | 65,502 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(5) | 23,430 | 24,692 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(5) | 49,662 | 52,422 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(5) | 45,985 | 48,518 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(5) | 44,343 | 46,782 | |||||||||
Series 2019-28, Class JA 3.50% due 06/25/2059(5) | 43,804 | 46,543 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(5) | $ | 39,996 | $ | 41,701 | |||||||
Federal National Mtg. Assoc. STRIPS Series 415, Class A3 3.00% due 11/25/2042(5) | 52,660 | 54,219 | |||||||||
3,539,233 | |||||||||||
Government National Mtg. Assoc. — 5.6% | |||||||||||
3.00% due October 30 TBA | 275,000 | 282,186 | |||||||||
3.50% due October 30 TBA | 1,500,000 | 1,553,935 | |||||||||
4.00% due 09/15/2040 | 12,107 | 12,917 | |||||||||
4.00% due 11/15/2040 | 50,842 | 54,254 | |||||||||
4.00% due 07/20/2049 | 899,991 | 938,550 | |||||||||
4.50% due 02/15/2039 | 5,981 | 6,515 | |||||||||
4.50% due 08/15/2041 | 98,831 | 107,571 | |||||||||
5.50% due 05/15/2036 | 4,930 | 5,316 | |||||||||
6.00% due 09/15/2032 | 7,396 | 8,485 | |||||||||
6.00% due 12/15/2033 | 26,965 | 30,923 | |||||||||
7.00% due 07/15/2033 | 6,236 | 7,099 | |||||||||
7.00% due 11/15/2033 | 7,302 | 8,428 | |||||||||
8.00% due 11/15/2031 | 2,251 | 2,256 | |||||||||
9.00% due 11/15/2021 | 50 | 50 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(5) | 50,484 | 50,078 | |||||||||
Government National Mtg. Assoc., REMIC Series 2005-74, Class HA 7.50% due 09/16/2035(5) | 62 | 66 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(5) | 5,024 | 5,649 | |||||||||
3,074,278 | |||||||||||
Uniform Mtg. Backed Securities — 15.4% | |||||||||||
2.50% due October 15 TBA | 650,000 | 655,522 | |||||||||
3.00% due October 15 TBA | 875,000 | 894,414 | |||||||||
3.00% due October 30 TBA | 2,625,000 | 2,664,375 | |||||||||
3.50% due 03/01/2048 | 546,714 | 566,001 | |||||||||
3.50% due October 30 TBA | 925,000 | 948,775 | |||||||||
4.00% due October 30 TBA | 1,365,000 | 1,416,347 | |||||||||
4.50% due October 30 TBA | 975,000 | 1,026,631 | |||||||||
5.00% due October 30 TBA | 300,000 | 321,305 | |||||||||
8,493,370 | |||||||||||
Total U.S. Government Agencies (cost $16,184,255) | 16,353,333 | ||||||||||
U.S. GOVERNMENT TREASURIES — 15.5% | |||||||||||
United States Treasury Bonds — 7.5% | |||||||||||
1.00% due 02/15/2049 TIPS(10) | 66,271 | 74,369 | |||||||||
2.50% due 02/15/2045(11) | 213,000 | 229,191 | |||||||||
3.00% due 11/15/2045 | 170,000 | 200,527 | |||||||||
3.00% due 02/15/2047 | 108,000 | 128,026 | |||||||||
3.00% due 02/15/2048 | 120,000 | 142,477 | |||||||||
3.13% due 02/15/2043 | 100,000 | 119,270 | |||||||||
3.13% due 05/15/2048 | 200,000 | 243,094 |
76
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Bonds (continued) | |||||||||||
3.38% due 05/15/2044 | $ | 1,960,000 | $ | 2,441,348 | |||||||
3.63% due 02/15/2044 | 450,000 | 581,731 | |||||||||
4,160,033 | |||||||||||
United States Treasury Notes — 8.0% | |||||||||||
0.38% due 07/15/2027 TIPS(10)(12) | 1,185,144 | 1,202,910 | |||||||||
0.63% due 01/15/2026 TIPS(10) | 291,527 | 298,624 | |||||||||
0.88% due 01/15/2029 TIPS(10) | 198,132 | 210,127 | |||||||||
2.25% due 12/31/2023 | 510,000 | 524,125 | |||||||||
2.25% due 08/15/2027 | 195,000 | 203,859 | |||||||||
2.63% due 02/15/2029 | 710,000 | 768,436 | |||||||||
3.13% due 11/15/2028 | 1,045,000 | 1,173,176 | |||||||||
4,381,257 | |||||||||||
Total U.S. Government Treasuries (cost $7,959,222) | 8,541,290 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% | |||||||||||
Sovereign — 0.5% | |||||||||||
Government of Egypt Bonds 16.10% due 05/07/2029 | EGP | 920,000 | 61,349 | ||||||||
Government of Romania Senior Notes 3.88% due 10/29/2035 | EUR | 10,000 | 13,079 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049* | EUR | 22,000 | 31,089 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 80,000 | 113,050 | ||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 20,000 | 26,114 | |||||||||
Oriental Republic of Uruguay Senior Notes 4.98% due 04/20/2055 | 5,000 | 5,837 | |||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 16,000 | 16,978 | |||||||||
Total Foreign Government Obligations (cost $251,535) | 267,496 | ||||||||||
Total Long-Term Investment Securities (cost $60,674,094) | 62,894,914 |
Security Description | Shares/ Principal Amount(13) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 3.2% | |||||||||||
Foreign Government Obligations — 1.4% | |||||||||||
Government of Japan Bills (0.13)% due 10/28/2019 | JPY | 85,000,000 | $ | 786,220 | |||||||
Registered Investment Companies — 1.8% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 1.95%(14) | 998,099 | 998,099 | |||||||||
Total Short-Term Investment Securities (cost $1,780,067) | 1,784,319 | ||||||||||
REPURCHASE AGREEMENTS — 1.4% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | $ | 195,000 | 195,000 | ||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 110,000 | 110,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 90,000 | 90,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 170,000 | 170,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | 180,000 | 180,000 | |||||||||
Total Repurchase Agreements (cost $745,000) | 745,000 | ||||||||||
TOTAL INVESTMENTS (cost $63,199,161)(16) | 118.5 | % | 65,424,233 | ||||||||
Liabilities in excess of other assets | (18.5 | ) | (10,204,720 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 55,219,513 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $8,823,048 representing 16.0% 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
77
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
securities for which secondary markets exist. As of September 30, 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 | $ | 2,675 | $ | 267.52 | 0.00 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
(4) 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.
(5) Collateralized Mortgage Obligation
(6) Commercial Mortgage Backed Security
(7) Interest Only
(8) Collateralized Loan Obligation
(9) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2019.
(10) Principal amount of security is adjusted for inflation.
(11) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(13) Denominated in United States dollars unless otherwise indicated.
(14) The rate shown is the 7-day yield as of September 30, 2019.
(15) See Note 2 for details of Joint Repurchase Agreements
(16) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
AUD — Australian Dollar
CAD — Canadian Dollar
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Dollar
JPY — Japanese Yen
NZD — New Zealand Dollar
REMIC — Real Estate Mortgage Investment Conduit
SCRT — Seasoned Credit Risk Transfer Trust
STRIPS — Separate Trading of Registered Interest and Principal Securities
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 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 | |||||||||||||||||||||
5 | Long | Canadian 10 Year Bonds | December 2019 | $ | 535,449 | $ | 538,174 | $ | 2,725 | ||||||||||||||||||
2 | Long | U.S. Treasury Long Bonds | December 2019 | 321,579 | 324,625 | 3,046 | |||||||||||||||||||||
1 | Long | U.S. Treasury Ultra Bonds | December 2019 | 188,750 | 191,906 | 3,156 | |||||||||||||||||||||
1 | Short | Euro-Bund | December 2019 | 192,289 | 189,924 | 2,365 | |||||||||||||||||||||
11 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2019 | 1,579,297 | 1,566,469 | 12,828 | |||||||||||||||||||||
29 | Short | U.S. Treasury 5 Year Notes | December 2019 | 3,469,032 | 3,455,305 | 13,727 | |||||||||||||||||||||
$ | 37,847 | ||||||||||||||||||||||||||
Unrealized Depreciation | |||||||||||||||||||||||||||
5 | Long | U.S. Treasury 2 Year Notes | December 2019 | $ | 1,078,773 | $ | 1,077,500 | $ | (1,273 | ) | |||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 36,574 |
* 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.
78
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | EUR | 194,000 | USD | 214,010 | 10/31/2019 | $ | 2,098 | $ | — | ||||||||||||||
USD | 119,645 | EUR | 108,000 | 12/18/2019 | — | (1,229 | ) | ||||||||||||||||
2,098 | (1,229 | ) | |||||||||||||||||||||
Goldman Sachs International | AUD | 410,000 | USD | 277,108 | 10/31/2019 | 96 | — | ||||||||||||||||
JPMorgan Chase Bank | EUR | 239,000 | USD | 265,294 | 12/18/2019 | 3,245 | — | ||||||||||||||||
JPY | 85,000,000 | USD | 787,794 | 10/28/2019 | 335 | — | |||||||||||||||||
NZD | 304,000 | USD | 190,988 | 11/29/2019 | 367 | — | |||||||||||||||||
3,947 | — | ||||||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 12,000 | USD | 13,213 | 12/18/2019 | 56 | — | ||||||||||||||||
NatWest Markets PLC | CAD | 129,000 | USD | 97,783 | 11/05/2019 | 357 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 6,554 | $ | (1,229 | ) |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
Centrally Cleared Interest Rate Swap Contracts
Rates Exchanged | Value | ||||||||||||||||||||||
Notional Amount (000's) | Maturity Date | Payments 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 | $ | — | $ | (4,257 | ) | ||||||||||||||
USD | 395 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (8,343 | ) | (85,306 | ) | |||||||||||||||
$ | (8,343 | ) | $ | (89,563 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
79
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as September 30, 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 | $ | — | $ | — | $ | 2,675 | $ | 2,675 | |||||||||||
Other Industries | 15,978,511 | 574,016 | ** | — | 16,552,527 | ||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 2 | 2 | |||||||||||||||
Other Industries | — | 895,566 | — | 895,566 | |||||||||||||||
Asset Backed Securities | — | 10,008,859 | — | 10,008,859 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 264 | 5 | 269 | |||||||||||||||
Other Industries | — | 8,128,749 | — | 8,128,749 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,725,115 | — | 1,725,115 | |||||||||||||||
Municipal Bond & Notes | — | 419,033 | — | 419,033 | |||||||||||||||
U.S. Government Agencies | — | 16,353,333 | — | 16,353,333 | |||||||||||||||
U.S. Government Treasuries | — | 8,541,290 | — | 8,541,290 | |||||||||||||||
Foreign Government Obligations | — | 267,496 | — | 267,496 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Foreign Government Obligations | — | 786,220 | — | 786,220 | |||||||||||||||
Registered Investment Companies | 998,099 | — | — | 998,099 | |||||||||||||||
Repurchase Agreements | — | 745,000 | — | 745,000 | |||||||||||||||
Total Investments at Value | $ | 16,976,610 | $ | 48,444,941 | $ | 2,682 | $ | 65,424,233 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 37,847 | $ | — | $ | — | $ | 37,847 | |||||||||||
Forward Foreign Currency Contracts | — | 6,554 | — | 6,554 | |||||||||||||||
Total Other Financial Instruments | $ | 37,847 | $ | 6,554 | $ | — | $ | 44,401 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 1,273 | $ | — | $ | — | $ | 1,273 | |||||||||||
Forward Foreign Currency Contracts | — | 1,229 | — | 1,229 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 89,563 | — | 89,563 | |||||||||||||||
Total Other Financial Instruments | $ | 1,273 | $ | 90,792 | $ | — | $ | 92,065 |
* 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 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
80
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Financial Services | 21.8 | % | |||||
Uniform Mtg. Backed Securities | 20.7 | ||||||
United States Treasury Notes | 11.3 | ||||||
United States Treasury Bonds | 10.1 | ||||||
Federal National Mtg. Assoc. | 9.5 | ||||||
Government National Mtg. Assoc. | 6.9 | ||||||
Diversified Banking Institutions | 4.7 | ||||||
Repurchase Agreements | 2.0 | ||||||
Enterprise Software/Service | 1.9 | ||||||
Electric-Integrated | 1.6 | ||||||
SupraNational Banks | 1.5 | ||||||
Federal Home Loan Mtg. Corp. | 1.2 | ||||||
Pipelines | 1.2 | ||||||
E-Commerce/Products | 1.2 | ||||||
Applications Software | 1.1 | ||||||
Internet Content-Entertainment | 1.1 | ||||||
Telephone-Integrated | 1.1 | ||||||
Registered Investment Companies | 1.0 | ||||||
Chemicals-Specialty | 1.0 | ||||||
Sovereign | 1.0 | ||||||
Municipal Bonds & Notes | 0.9 | ||||||
Multimedia | 0.9 | ||||||
Medical Instruments | 0.9 | ||||||
Cable/Satellite TV | 0.9 | ||||||
Medical-Drugs | 0.8 | ||||||
Banks-Super Regional | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.8 | ||||||
Building-Maintenance & Services | 0.7 | ||||||
Banks-Commercial | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Consulting Services | 0.7 | ||||||
Brewery | 0.6 | ||||||
Tobacco | 0.6 | ||||||
Real Estate Investment Trusts | 0.5 | ||||||
Electronic Components-Semiconductors | 0.5 | ||||||
Textile-Apparel | 0.5 | ||||||
Commercial Services-Finance | 0.5 | ||||||
Data Processing/Management | 0.5 | ||||||
Computer Services | 0.5 | ||||||
Pharmacy Services | 0.5 | ||||||
Internet Content-Information/News | 0.5 | ||||||
Medical-HMO | 0.4 | ||||||
Aerospace/Defense-Equipment | 0.4 | ||||||
Cosmetics & Toiletries | 0.4 | ||||||
Web Portals/ISP | 0.4 | ||||||
Distribution/Wholesale | 0.4 | ||||||
Finance-Other Services | 0.4 | ||||||
E-Commerce/Services | 0.4 | ||||||
Non-Hazardous Waste Disposal | 0.3 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Retail-Restaurants | 0.3 | ||||||
Diagnostic Equipment | 0.3 | ||||||
Oil Companies-Integrated | 0.3 | ||||||
Electronic Forms | 0.3 | ||||||
Computers | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Insurance Brokers | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Veterinary Diagnostics | 0.2 |
Auto-Cars/Light Trucks | 0.2 | % | |||||
Banks-Special Purpose | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Medical Products | 0.2 | ||||||
Chemicals-Diversified | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Medical-Hospitals | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Computer Software | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Television | 0.1 | ||||||
Medical-Biomedical/Gene | 0.1 | ||||||
Metal-Diversified | 0.1 | ||||||
Electronic Components-Misc. | 0.1 | ||||||
Finance-Leasing Companies | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Music | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
125.7 | % | ||||||
Credit Quality†# | |||||||
Aaa | 66.0 | % | |||||
Aa | 0.6 | ||||||
A | 6.9 | ||||||
Baa | 11.3 | ||||||
Ba | 2.5 | ||||||
B | 0.2 | ||||||
Caa | 0.6 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 11.7 | ||||||
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.
81
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 15.4% | |||||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
HEICO Corp., Class A | 1,021 | $ | 99,354 | ||||||||
Applications Software — 1.0% | |||||||||||
Intuit, Inc. | 390 | 103,716 | |||||||||
ServiceNow, Inc.† | 1,322 | 335,590 | |||||||||
439,306 | |||||||||||
Building-Maintenance & Services — 0.7% | |||||||||||
Rollins, Inc. | 5,340 | 181,934 | |||||||||
ServiceMaster Global Holdings, Inc.† | 2,256 | 126,110 | |||||||||
308,044 | |||||||||||
Chemicals-Specialty — 0.9% | |||||||||||
Ecolab, Inc. | 1,868 | 369,939 | |||||||||
Commercial Services-Finance — 0.3% | |||||||||||
S&P Global, Inc. | 476 | 116,610 | |||||||||
Computer Aided Design — 0.3% | |||||||||||
Autodesk, Inc.† | 778 | 114,911 | |||||||||
Computer Software — 0.1% | |||||||||||
Twilio, Inc., Class A† | 498 | 54,672 | |||||||||
Consulting Services — 0.7% | |||||||||||
Gartner, Inc.† | 1,121 | 160,292 | |||||||||
Verisk Analytics, Inc. | 762 | 120,502 | |||||||||
280,794 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. | 1,550 | 112,855 | |||||||||
Cosmetics & Toiletries — 0.4% | |||||||||||
Estee Lauder Cos., Inc., Class A | 909 | 180,846 | |||||||||
Data Processing/Management — 0.4% | |||||||||||
Broadridge Financial Solutions, Inc. | 1,374 | 170,967 | |||||||||
Diagnostic Equipment — 0.3% | |||||||||||
Danaher Corp. | 792 | 114,389 | |||||||||
Distribution/Wholesale — 0.4% | |||||||||||
Copart, Inc.† | 2,119 | 170,219 | |||||||||
E-Commerce/Products — 1.1% | |||||||||||
Amazon.com, Inc.† | 273 | 473,903 | |||||||||
E-Commerce/Services — 0.4% | |||||||||||
MercadoLibre, Inc.† | 284 | 156,549 | |||||||||
Electronic Forms — 0.3% | |||||||||||
Adobe, Inc.† | 435 | 120,169 | |||||||||
Enterprise Software/Service — 1.9% | |||||||||||
Constellation Software, Inc. | 280 | 279,641 | |||||||||
Coupa Software, Inc.† | 243 | 31,247 | |||||||||
Veeva Systems, Inc., Class A† | 1,250 | 190,862 | |||||||||
Workday, Inc., Class A† | 2,000 | 339,920 | |||||||||
841,670 | |||||||||||
Internet Content-Entertainment — 1.1% | |||||||||||
Facebook, Inc., Class A† | 543 | 96,698 | |||||||||
Twitter, Inc.† | 8,936 | 368,163 | |||||||||
464,861 |
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
Internet Content-Information/News — 0.5% | |||||||||||
Spotify Technology SA† | 1,816 | $ | 207,024 | ||||||||
Machinery-General Industrial — 0.2% | |||||||||||
Roper Technologies, Inc. | 295 | 105,197 | |||||||||
Medical Instruments — 0.8% | |||||||||||
Intuitive Surgical, Inc.† | 674 | 363,913 | |||||||||
Medical-Drugs — 0.4% | |||||||||||
Zoetis, Inc. | 1,444 | 179,908 | |||||||||
Multimedia — 0.8% | |||||||||||
Walt Disney Co. | 2,656 | 346,130 | |||||||||
Non-Hazardous Waste Disposal — 0.2% | |||||||||||
Waste Connections, Inc. | 1,155 | 106,260 | |||||||||
Retail-Restaurants — 0.2% | |||||||||||
Starbucks Corp. | 1,157 | 102,302 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(1)(2) | 4 | 1,070 | |||||||||
Textile-Apparel — 0.5% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 582 | 231,677 | |||||||||
Transport-Rail — 0.4% | |||||||||||
Union Pacific Corp. | 1,046 | 169,431 | |||||||||
Veterinary Diagnostics — 0.2% | |||||||||||
Elanco Animal Health, Inc.† | 3,831 | 101,866 | |||||||||
Web Portals/ISP — 0.4% | |||||||||||
Alphabet, Inc., Class C† | 148 | 180,412 | |||||||||
Total Common Stocks (cost $6,373,081) | 6,685,248 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.7% | |||||||||||
Banks-Commercial — 0.5% | |||||||||||
Banco de Sabadell SA 6.13% due 11/23/2022(3) | EUR | 200,000 | 214,535 | ||||||||
Diversified Banking Institutions — 1.2% | |||||||||||
Credit Agricole SA 8.13% due 12/23/2025(3) | 200,000 | 235,250 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024(3) | 275,000 | 290,812 | |||||||||
526,062 | |||||||||||
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 $704,080) | 740,598 | ||||||||||
ASSET BACKED SECURITIES — 21.8% | |||||||||||
Diversified Financial Services — 21.8% | |||||||||||
Alternative Loan Trust FRS Series 2006-OC11, Class 2A2A 2.19% (1 ML+0.17%) due 01/25/2037(4) | 22,872 | 22,358 |
82
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | $ | 40,000 | $ | 40,042 | |||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(4)(5) | 42,918 | 43,517 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 3.59% (1 ML+1.58%) due 10/25/2034 | 2,928 | 2,969 | |||||||||
Atrium XII FRS Series 12A, Class AR 3.11% (3 ML+0.83%) due 04/22/2027*(6) | 250,000 | 249,875 | |||||||||
Avery Point III CLO, Ltd. FRS Series 2013-3A, Class AR 3.42% (3 ML+1.12%) due 01/18/2025*(6) | 77,731 | 77,731 | |||||||||
BANK VRS Series 2019-BN20, Class XA 0.84% due 09/15/2061(5)(7)(8) | 1,000,000 | 69,421 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.88% due 11/15/2050(5)(7)(8) | 992,958 | 50,368 | |||||||||
Barclays Commercial Mtg. Trust Series 2019-C4, Class A5 2.92% due 08/15/2052(8) | 90,000 | 93,212 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5) | 96,050 | 97,852 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5) | 65,312 | 66,372 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(5) | 59,161 | 60,117 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(5) | 60,442 | 61,467 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(5) | 60,881 | 62,592 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5) | 76,646 | 78,867 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 2.88% (1 ML+0.85%) due 08/15/2036*(8) | 153,000 | 152,904 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 4.20% due 02/25/2036(4)(5) | $ | 95,165 | $ | 90,467 | |||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.22% (1 ML + 1.20%) due 10/25/2027*(4) | 125,353 | 125,427 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 3.32% (1 ML+ 1.30%) due 03/25/2029*(4) | 93,427 | 93,484 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(5)(7)(8) | 211,992 | 7,465 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(5)(7)(8) | 369,377 | 13,201 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(5)(7)(8) | 999,104 | 50,546 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(5)(8) | 75,000 | 84,609 | |||||||||
CAL Funding II, Ltd. Series 2012-1A, Class A 3.47% due 10/25/2027* | 9,250 | 9,318 | |||||||||
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 4.58% (1 ML + 2.55%) due 12/15/2037*(8) | 100,000 | 100,811 | |||||||||
CIG Auto Receivables Trust Series 2017-1A, Class A 2.71% due 05/15/2023* | 6,134 | 6,140 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(4)(5) | 89,480 | 89,776 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(8) | 75,000 | 80,387 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 4.99% (1 Yr USTYCR+2.40%) due 03/25/2036(4) | 43,437 | 43,437 | |||||||||
CLUB Credit Trust Series 2017-P2, Class A 2.61% due 01/15/2024* | 9,468 | 9,470 | |||||||||
Colombia Cent, Ltd. FRS Series 2018-27A, Class A1 3.43% (3 ML+1.15%) due 10/25/2028*(6) | 250,000 | 249,937 | |||||||||
COLT Funding LLC VRS Series 2019-4, Class A1 2.58% due 11/25/2049*(4)(5) | 100,000 | 99,999 | |||||||||
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(4)(5) | 83,823 | 85,266 |
83
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(8) | $ | 155,000 | $ | 161,956 | |||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(8) | 146,807 | 155,152 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(8) | 149,000 | 158,971 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(8) | 75,000 | 80,527 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(4) | 37,814 | 32,398 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.92% due 06/15/2057(5)(7)(8) | 1,151,430 | 40,184 | |||||||||
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(8) | 90,000 | 92,619 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(4)(5) | 44,010 | 44,205 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(4)(5) | 27,224 | 27,136 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(4)(5) | 124,365 | 124,917 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 59,250 | 61,509 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 35,000 | 35,009 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 4.26% due 05/25/2035(4)(5) | 70,551 | 71,849 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(8) | 160,000 | 163,855 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(8) | 40,000 | 46,046 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(8) | 100,000 | 102,886 | |||||||||
GS Mtg. Securities Trust Series 2016-GS4, Class A3 3.18% due 11/10/2049(8) | 90,000 | 94,932 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GS Mtg. Securities Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(8) | $ | 140,000 | $ | 150,089 | |||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 4.12% due 03/25/2047(4)(5) | 18,710 | 16,607 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 4.56% due 04/25/2036(4)(5) | 6,317 | 5,477 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 3.62% (1 ML + 1.60%) due 10/25/2028*(4) | 52,005 | 52,034 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 2.56% (1 ML+0.54%) due 05/25/2035(4) | 50,895 | 50,682 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(8) | 64,000 | 68,477 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(8) | 85,000 | 89,391 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(4)(9) | 99,341 | 99,424 | |||||||||
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(9) | 128,264 | 129,258 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 3.73% (1 ML+1.70%) due 03/01/2024*(4) | 70,941 | 72,652 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2019-4, Class A1 3.53% (1 ML + 1.50%) due 05/01/2024*(4) | 94,586 | 94,929 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(4)(5) | 11,262 | 11,421 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 4.54% due 12/25/2034(4)(5) | 20,043 | 20,777 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(9) | 76,894 | 77,270 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(5)(7)(8) | 253,530 | 10,440 |
84
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C13, Class A4 4.04% due 11/15/2046(8) | $ | 85,000 | $ | 90,985 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(8) | 25,000 | 26,798 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.60% due 06/15/2050(5)(7)(8) | 127,797 | 9,786 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(8) | 105,000 | 107,557 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(4) | 30,678 | 23,398 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 2.30% (1 ML+0.28%) due 10/25/2035(4) | 92,773 | 92,850 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 2.77% (1 ML + 0.75%) due 01/25/2048*(4) | 99,723 | 99,427 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.52% (1 ML+1.50%) due 06/25/2057*(4) | 80,116 | 81,290 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(4)(5) | 70,035 | 72,310 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(4)(5) | 64,334 | 66,475 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(4)(5) | 119,588 | 124,206 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(4)(5) | 120,991 | 126,013 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(4)(5) | 93,955 | 97,350 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(4)(5) | 73,549 | 76,718 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(4)(5) | $ | 101,165 | $ | 105,448 | |||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A1A 4.00% due 12/25/2057*(4)(5) | 73,384 | 76,113 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(4)(5) | 11,168 | 11,358 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 67,226 | 67,553 | |||||||||
NRZ Excess Spread-Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 66,463 | 66,928 | |||||||||
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 3.42% (1 M + 1.40%) due 07/25/2029*(4) | 150,000 | 150,244 | |||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.15% (3 ML+0.85%) due 04/17/2027*(6) | 197,112 | 197,082 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 138,000 | 137,894 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 2.12% (1 ML+0.10%) due 02/25/2037 | 41,901 | 27,242 | |||||||||
PMT Credit Risk Transfer Trust FRS Series 2019-1R, Class A 4.14% (1 ML+2.00%) due 03/27/2024*(4) | 96,205 | 96,169 | |||||||||
Radnor RE, Ltd. FRS Series 2019-2, Class M1A 3.22% (1 ML+1.2%) due 06/25/2029*(4) | 121,891 | 121,808 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 2.15% (1 ML+0.13%) due 05/25/2037 | 102,870 | 78,383 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 10,563 | 10,569 | |||||||||
SoFi Consumer Loan Program LLC Series 2017-4, Class A 2.50% due 05/26/2026* | 29,780 | 29,817 | |||||||||
SoFi Consumer Loan Program LLC Series 2016-2A, Class A 3.09% due 10/27/2025* | 11,977 | 12,008 |
85
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.27% (1 ML+0.25%) due 11/25/2036 | $ | 195,000 | $ | 182,304 | |||||||
Springleaf Funding Trust Series 2017-AA, Class A 2.68% due 07/15/2030* | 145,000 | 145,339 | |||||||||
Springleaf Funding Trust Series 2016-AA, Class A 2.90% due 11/15/2029* | 35,494 | 35,499 | |||||||||
TICP CLO III-2 Ltd FRS Series 2018-3R, Class A 3.12% (3 ML+0.84%) due 04/20/2028*(6) | 250,000 | 248,649 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-3, Class A1 2.25% due 04/25/2056*(5) | 50,527 | 50,322 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.62% (1 ML+0.60%) due 02/25/2057* | 70,041 | 69,772 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(5) | 46,301 | 46,484 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5) | 121,773 | 122,884 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(5) | 56,160 | 56,587 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(5) | 88,069 | 88,751 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(5) | 62,539 | 62,715 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(5) | 121,674 | 122,834 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(9) | 54,608 | 54,691 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048*(9) | 43,846 | 44,058 | |||||||||
VOLT LXXIII LLC Series 2018-NPL9, Class A1A 4.46% due 10/25/2048*(9) | 90,122 | 90,573 | |||||||||
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(9) | 100,000 | 100,065 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.28% due 09/15/2057(5)(7)(8) | 964,814 | 36,784 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(8) | $ | 80,000 | $ | 85,325 | |||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(5)(8) | 10,000 | 10,249 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 4.60% due 10/25/2036(4)(5) | 23,699 | 23,704 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-X, Class 1A3 4.76% due 11/25/2034(4)(5) | 910 | 941 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2004-BB, Class A2 4.95% due 01/25/2035(4)(5) | 53,461 | 54,749 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR2, Class 2A2 5.14% due 03/25/2035(4)(5) | 37,548 | 38,798 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 49,125 | 50,526 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 85,000 | 85,682 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(5)(7)(8) | 486,352 | 3,927 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(8) | 145,000 | 155,738 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(8) | 130,000 | 139,395 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(8) | 60,000 | 64,592 | |||||||||
Total Asset Backed Securities (cost $9,288,274) | 9,468,199 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 18.3% | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
Boeing Co. Senior Notes 3.25% due 02/01/2035 | 40,000 | 41,449 | |||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 25,000 | 29,403 | |||||||||
70,852 |
86
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
United Technologies Corp. Senior Notes 2.80% due 05/04/2024 | $ | 5,000 | $ | 5,141 | |||||||
United Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 20,000 | 21,165 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 30,000 | 32,867 | |||||||||
United Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 15,000 | 17,835 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 5,000 | 6,242 | |||||||||
83,250 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 20,000 | 22,763 | |||||||||
Microsoft Corp. Senior Notes 3.95% due 08/08/2056 | 20,000 | 23,688 | |||||||||
46,451 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 15,000 | 15,040 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 10,000 | 9,239 | |||||||||
General Motors Co. Senior Notes 5.20% due 04/01/2045 | 15,000 | 14,813 | |||||||||
General Motors Co. Senior Notes 5.40% due 04/01/2048 | 5,000 | 5,009 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 5,000 | 5,357 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 45,000 | 51,476 | |||||||||
100,934 | |||||||||||
Banks-Commercial — 0.1% | |||||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 40,000 | 41,123 | |||||||||
Banks-Super Regional — 0.8% | |||||||||||
KeyCorp Senior Notes 2.55% due 10/01/2029 | 35,000 | 34,235 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 30,000 | 30,761 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | $ | 25,000 | $ | 25,675 | |||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 130,000 | 132,385 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 65,000 | 68,859 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 40,000 | 42,325 | |||||||||
Wells Fargo & Co. Sub. Notes 4.90% due 11/17/2045 | 5,000 | 5,946 | |||||||||
340,186 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 25,000 | 25,279 | |||||||||
Brewery — 0.6% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 45,000 | 46,577 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 10,000 | 11,533 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 15,000 | 17,570 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 120,000 | 151,699 | |||||||||
Molson Coors Brewing Co. Company Guar. Notes 3.00% due 07/15/2026 | 40,000 | 40,419 | |||||||||
267,798 | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 11,000 | 11,472 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 20,000 | 21,500 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 5,000 | 5,525 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 35,000 | 42,825 | |||||||||
81,322 |
87
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | $ | 27,000 | $ | 28,308 | |||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.88% due 11/15/2025 | 26,000 | 27,820 | |||||||||
Cable/Satellite TV — 0.9% | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 5,000 | 5,322 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 30,000 | 36,505 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 10,231 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 20,000 | 21,769 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 5,000 | 5,577 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 50,000 | 56,875 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 15,000 | 17,251 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 15,000 | 17,919 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 10,000 | 12,710 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 63,000 | 64,518 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 5,000 | 5,436 | |||||||||
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021 | 25,000 | 26,307 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 50,000 | 49,202 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 50,327 | |||||||||
379,949 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | $ | 20,000 | $ | 20,317 | |||||||
Chemicals-Diversified — 0.2% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 70,000 | 75,013 | |||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. Senior Notes 2.95% due 08/15/2029 | 15,000 | 15,028 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 40,000 | 41,833 | |||||||||
56,861 | |||||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 10,000 | 10,141 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 85,000 | 89,445 | |||||||||
99,586 | |||||||||||
Computer Services — 0.5% | |||||||||||
International Business Machines Corp. Senior Notes 3.30% due 05/15/2026 | 100,000 | 105,452 | |||||||||
International Business Machines Corp. Senior Notes 3.50% due 05/15/2029 | 100,000 | 107,323 | |||||||||
212,775 | |||||||||||
Computers — 0.3% | |||||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 100,000 | 98,255 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 15,000 | 15,899 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 5,000 | 5,832 | |||||||||
119,986 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 40,000 | 43,912 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 10,000 | 11,154 |
88
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | $ | 10,000 | $ | 10,291 | |||||||
Diversified Banking Institutions — 3.4% | |||||||||||
Bank of America Corp. Senior Notes 3.12% due 01/20/2023 | 15,000 | 15,300 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 115,000 | 119,616 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 45,000 | 46,998 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 40,000 | 42,543 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 35,000 | 38,248 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 100,000 | 120,369 | |||||||||
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025 | 4,000 | 4,851 | |||||||||
Citigroup, Inc. Senior Notes 2.70% due 10/27/2022 | 25,000 | 25,370 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 35,000 | 36,181 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.22% (3 ML+1.10%) due 05/17/2024 | 80,000 | 80,697 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 30,000 | 31,083 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 20,000 | 20,916 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 70,000 | 76,115 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 20,000 | 21,777 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 7,000 | 8,433 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 35,000 | 35,470 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 60,000 | 62,547 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 75,000 | 80,758 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | $ | 15,000 | $ | 16,374 | |||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 10,000 | 13,807 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 50,000 | 51,767 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.25% due 09/23/2022 | 15,000 | 15,504 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.51% (3 ML+1.23%) due 10/24/2023 | 30,000 | 30,476 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 50,000 | 52,852 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 45,000 | 48,217 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 42,187 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | 50,000 | 54,612 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 25,000 | 25,167 | |||||||||
Morgan Stanley Senior Notes 2.63% due 11/17/2021 | 40,000 | 40,380 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 16,000 | 16,490 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 70,000 | 73,792 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 15,000 | 15,883 | |||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | 40,000 | 42,310 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 50,000 | 53,939 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 2,000 | 2,166 | |||||||||
Morgan Stanley Senior Notes 4.43% due 01/23/2030 | 5,000 | 5,616 | |||||||||
1,468,811 |
89
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | $ | 25,000 | $ | 25,204 | |||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 40,000 | 46,021 | |||||||||
Electric-Distribution — 0.2% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 25,000 | 27,005 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 5,000 | 5,721 | |||||||||
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 5,000 | 5,764 | |||||||||
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048 | 15,000 | 18,150 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 30,000 | 30,002 | |||||||||
86,642 | |||||||||||
Electric-Integrated — 1.6% | |||||||||||
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065 | 5,000 | 6,644 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 20,000 | 21,064 | |||||||||
CenterPoint Energy Houston Electric LLC General Refunding Mtg. 4.25% due 02/01/2049 | 5,000 | 6,003 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029* | 20,000 | 20,019 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 20,000 | 20,000 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 45,000 | 46,472 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 3.25% due 10/01/2049 | 25,000 | 24,931 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.60% due 09/15/2047 | 15,000 | 15,908 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 16,115 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | $ | 15,000 | $ | 14,988 | |||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 20,000 | 19,899 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 50,000 | 50,209 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 45,000 | 48,183 | |||||||||
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049 | 5,000 | 5,836 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 90,000 | 89,895 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 10,000 | 10,993 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 31,065 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 5,000 | 5,450 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 50,000 | 51,641 | |||||||||
Northern States Power Co. 1st Mtg. Bonds 2.90% due 03/01/2050 | 5,000 | 4,834 | |||||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 5,000 | 5,838 | |||||||||
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046 | 5,000 | 5,577 | |||||||||
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024 | 35,000 | 35,910 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 40,000 | 40,942 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 25,000 | 25,218 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 5,000 | 5,362 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 10,206 |
90
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | $ | 30,000 | $ | 30,938 | |||||||
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 5,000 | 5,687 | |||||||||
675,827 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
Oncor Electric Delivery Co. LLC 1st Mtg. Bonds 3.10% due 09/15/2049* | 5,000 | 5,010 | |||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 10,000 | 12,656 | |||||||||
17,666 | |||||||||||
Electronic Components-Semiconductors — 0.5% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 75,000 | 75,317 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.75% due 04/15/2029* | 40,000 | 42,287 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 20,000 | 23,313 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 45,000 | 47,258 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 45,000 | 48,473 | |||||||||
236,648 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | 55,000 | 55,275 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 16,787 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 25,000 | 27,175 | |||||||||
Finance-Credit Card — 0.1% | |||||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 40,000 | 42,260 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 10,000 | 139 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Finance-Investment Banker/Broker (continued) | |||||||||||
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 | |||||||||
141 | |||||||||||
Finance-Other Services — 0.4% | |||||||||||
GTP Acquisition Partners I LLC Sec. Notes 3.48% due 06/15/2050* | 160,000 | 166,176 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 15,000 | 16,100 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 5,000 | 5,498 | |||||||||
21,598 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.63% due 05/20/2024 | 26,000 | 27,836 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 15,857 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 25,000 | 26,623 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 15,000 | 16,965 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 12,068 | |||||||||
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029 | 15,000 | 14,764 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,783 | |||||||||
107,060 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Unum Group Senior Notes 4.00% due 06/15/2029 | 10,000 | 10,395 | |||||||||
Unum Group Senior Notes 4.50% due 12/15/2049 | 5,000 | 4,823 | |||||||||
15,218 |
91
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | $ | 7,000 | $ | 11,913 | |||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | 25,000 | 27,401 | |||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 30,000 | 30,394 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,052 | |||||||||
32,446 | |||||||||||
Medical-Drugs — 0.2% | |||||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029* | 25,000 | 26,703 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 60,000 | 64,399 | |||||||||
91,102 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Finance LLC Company Guar. Notes 4.63% due 10/01/2042 | 20,000 | 20,750 | |||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 15,000 | 15,921 | |||||||||
36,671 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 15,000 | 15,181 | |||||||||
Anthem, Inc. Senior Notes 2.88% due 09/15/2029 | 5,000 | 4,948 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 25,000 | 27,673 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 10,000 | 11,647 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024 | 25,000 | 25,200 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029 | 20,000 | 20,413 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 15,000 | 15,615 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | $ | 10,000 | $ | 10,766 | |||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 08/15/2049 | 5,000 | 5,294 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 50,000 | 53,761 | |||||||||
190,498 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 20,000 | 20,221 | |||||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 40,000 | 41,948 | |||||||||
62,169 | |||||||||||
Metal-Diversified — 0.1% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.88% due 03/12/2029* | 30,000 | 32,417 | |||||||||
Multimedia — 0.1% | |||||||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 45,000 | 47,719 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 15,000 | 15,471 | |||||||||
63,190 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 4.88% due 11/01/2024* | 26,000 | 26,878 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Waste Management, Inc. Company Guar. Notes 3.20% due 06/15/2026 | 25,000 | 26,362 | |||||||||
Waste Management, Inc. Company Guar. Notes 3.45% due 06/15/2029 | 10,000 | 10,799 | |||||||||
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049 | 5,000 | 5,827 | |||||||||
42,988 | |||||||||||
Oil Companies-Exploration & Production — 0.7% | |||||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 30,000 | 31,572 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028 | 35,000 | 36,147 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 5,000 | 5,792 |
92
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | $ | 43,000 | $ | 53,664 | |||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 20,000 | 25,166 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 20,000 | 20,794 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 30,000 | 32,726 | |||||||||
Occidental Petroleum Corp. Senior Notes 3.50% due 08/15/2029 | 20,000 | 20,284 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.95% due 07/01/2024 | 30,000 | 35,191 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 25,000 | 23,959 | |||||||||
285,295 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028 | 5,000 | 5,210 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 5,000 | 5,317 | |||||||||
10,527 | |||||||||||
Pharmacy Services — 0.5% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028 | 130,000 | 142,048 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 25,000 | 28,373 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 35,000 | 39,671 | |||||||||
210,092 | |||||||||||
Pipelines — 1.0% | |||||||||||
Energy Transfer Operating LP Company Guar. Notes 4.20% due 09/15/2023 | 15,000 | 15,764 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 20,000 | 21,319 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.15% due 03/15/2045 | 10,000 | 10,496 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 25,000 | 28,218 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.13% due 07/31/2029 | $ | 25,000 | $ | 25,600 | |||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 12,000 | 11,161 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 30,000 | 30,003 | |||||||||
MPLX LP Senior Notes 4.25% due 12/01/2027* | 30,000 | 31,740 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 15,000 | 15,656 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,553 | |||||||||
MPLX LP Senior Notes 5.20% due 12/01/2047* | 5,000 | 5,452 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.40% due 09/01/2029 | 15,000 | 14,901 | |||||||||
Phillips 66 Partners LP Senior Notes 2.45% due 12/15/2024 | 25,000 | 24,898 | |||||||||
Phillips 66 Partners LP Senior Notes 3.15% due 12/15/2029 | 10,000 | 9,855 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 10,000 | 10,581 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 03/01/2025 | 10,000 | 11,228 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 15,000 | 15,528 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 20,000 | 20,178 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 10,000 | 10,398 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 45,000 | 49,209 | |||||||||
Western Midstream Operating LP Senior Notes 4.50% due 03/01/2028 | 45,000 | 43,452 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 20,000 | 19,684 | |||||||||
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048 | 5,000 | 4,450 |
93
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045 | $ | 20,000 | $ | 22,019 | |||||||
457,343 | |||||||||||
Real Estate Investment Trusts — 0.5% | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 25,000 | 27,555 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 40,000 | 40,051 | |||||||||
SBA Tower Trust Mtg. Notes 3.17% due 04/09/2047* | 85,000 | 85,825 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 70,000 | 72,075 | |||||||||
225,506 | |||||||||||
Retail-Building Products — 0.2% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 60,000 | 62,998 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 5,000 | 5,035 | |||||||||
68,033 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 25,000 | 26,092 | |||||||||
Telephone-Integrated — 0.9% | |||||||||||
AT&T, Inc. Senior Notes 3.80% due 02/15/2027 | 60,000 | 63,500 | |||||||||
AT&T, Inc. Senior Notes 4.25% due 03/01/2027 | 15,000 | 16,320 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 31,000 | 34,109 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 55,000 | 60,747 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 5,000 | 5,486 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 20,000 | 21,947 | |||||||||
Verizon Communications, Inc. Senior Notes 4.02% due 12/03/2029 | 55,000 | 61,123 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | $ | 60,000 | $ | 68,637 | |||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 15,000 | 17,417 | |||||||||
Verizon Communications, Inc. Senior Notes 4.67% due 03/15/2055 | 14,000 | 16,793 | |||||||||
Verizon Communications, Inc. Senior Notes 5.01% due 08/21/2054 | 15,000 | 18,880 | |||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | 15,000 | 18,571 | |||||||||
403,530 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 3.70% due 06/01/2028 | 15,000 | 15,634 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 20,000 | 21,702 | |||||||||
37,336 | |||||||||||
Tobacco — 0.6% | |||||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 15,000 | 13,747 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 15,000 | 16,040 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.80% due 02/14/2029 | 45,000 | 49,294 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044 | 30,000 | 33,349 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 30,000 | 34,744 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 55,000 | 54,524 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029 | 15,000 | 14,675 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 40,000 | 38,758 | |||||||||
255,131 | |||||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 2.40% due 02/15/2030 | 15,000 | 14,692 | |||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 35,000 | 36,748 |
94
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Transport-Rail (continued) | |||||||||||
CSX Corp. Senior Notes 3.35% due 09/15/2049 | $ | 5,000 | $ | 4,885 | |||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 55,000 | 63,300 | |||||||||
119,625 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.45% due 07/01/2024* | 40,000 | 41,569 | |||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 15,000 | 17,212 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $7,498,740) | 7,954,476 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 3.9% | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 15,000 | 16,523 | |||||||||
Banks-Commercial — 0.1% | |||||||||||
Royal Bank of Canada Senior Notes 2.55% due 07/16/2024 | 35,000 | 35,474 | |||||||||
Banks-Special Purpose — 0.2% | |||||||||||
BNG Bank NV Senior Notes 1.90% due 11/26/2025 | 130,000 | 90,443 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 50,000 | 53,163 | |||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.25% due 09/17/2050 | 10,000 | 10,186 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 35,000 | 35,272 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 15,000 | 14,492 | |||||||||
49,764 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fiserv, Inc. Senior Notes 3.20% due 07/01/2026 | 30,000 | 31,047 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | $ | 55,000 | $ | 59,469 | |||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 15,000 | 14,951 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 30,000 | 32,062 | |||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | 30,000 | 31,029 | |||||||||
Medical Products — 0.2% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 80,000 | 83,447 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 50,000 | 50,232 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026 | 55,000 | 38,494 | |||||||||
88,726 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 5,000 | 5,328 | |||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 35,000 | 40,337 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 10,000 | 12,738 | |||||||||
53,075 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 15,000 | 15,791 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 30,000 | 30,733 | |||||||||
46,524 | |||||||||||
Oil Companies-Integrated — 0.3% | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047 | 24,000 | 23,035 |
95
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Integrated (continued) | |||||||||||
Petroleos Mexicanos Company Guar. Notes 6.84% due 01/23/2030* | $ | 85,000 | $ | 88,051 | |||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | 1,676,987 | 11,646 | |||||||||
122,732 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Valero Energy Corp. Senior Notes 4.35% due 06/01/2028 | 5,000 | 5,428 | |||||||||
Pipelines — 0.2% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 15,000 | 15,046 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034 | 30,000 | 34,084 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 20,000 | 22,817 | |||||||||
71,947 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
HCP, Inc. Senior Notes 3.25% due 07/15/2026 | 15,000 | 15,431 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 50,000 | 54,195 | |||||||||
SupraNational Banks — 1.5% | |||||||||||
Asian Development Bank Senior Notes 3.00% due 01/17/2023 | 275,000 | 181,723 | |||||||||
Inter-American Development Bank Senior Notes 1.70% due 10/10/2024 | 245,000 | 184,337 | |||||||||
Inter-American Development Bank Senior Notes 2.75% due 10/30/2025 | 250,000 | 182,561 | |||||||||
International Finance Corp. Notes 1.38% due 09/13/2024 | 125,000 | 92,662 | |||||||||
641,283 | |||||||||||
Telephone-Integrated — 0.2% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028 | 15,000 | 16,215 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 06/15/2045 | 3,000 | 3,153 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 7.05% due 06/20/2036 | $ | 30,000 | $ | 41,418 | |||||||
60,786 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 20,000 | 23,500 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $1,764,640) | 1,696,513 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.9% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 16,550 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 30,000 | 33,202 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 32,000 | 38,160 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 29,000 | 40,024 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 95,000 | 121,053 | |||||||||
State of California General Obligation Bonds 7.55% due 04/01/2039 | 35,000 | 57,906 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 61,091 | 63,949 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,465 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 10,000 | 10,387 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 20,000 | 21,439 | |||||||||
Total Municipal Bonds & Notes (cost $380,850) | 413,135 | ||||||||||
U.S. GOVERNMENT AGENCIES — 38.3% | |||||||||||
Federal Home Loan Mtg. Corp. — 1.2% | |||||||||||
2.50% due 01/01/2028 | 5,293 | 5,364 | |||||||||
2.50% due 04/01/2028 | 10,835 | 10,981 | |||||||||
3.00% due 08/01/2027 | 4,650 | 4,766 | |||||||||
3.00% due 10/01/2042 | 14,163 | 14,664 | |||||||||
3.00% due 11/01/2042 | 5,841 | 6,023 | |||||||||
3.00% due 02/01/2043 | 24,085 | 24,862 | |||||||||
3.00% due 08/01/2043 | 49,405 | 50,969 |
96
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.00% due October 30 TBA | $ | 50,000 | $ | 50,777 | |||||||
3.50% due 02/01/2042 | 5,647 | 5,935 | |||||||||
3.50% due 03/01/2042 | 3,502 | 3,681 | |||||||||
3.50% due 09/01/2043 | 17,566 | 18,320 | |||||||||
4.00% due 03/01/2023 | 150 | 156 | |||||||||
4.00% due 10/01/2043 | 9,816 | 10,466 | |||||||||
4.50% due 01/01/2039 | 643 | 695 | |||||||||
5.00% due 12/01/2020 | 332 | 343 | |||||||||
5.00% due 07/01/2021 | 1,806 | 1,863 | |||||||||
5.00% due 05/01/2034 | 8,072 | 8,908 | |||||||||
5.50% due 07/01/2034 | 5,252 | 5,920 | |||||||||
5.50% due 07/01/2035 | 5,115 | 5,786 | |||||||||
5.50% due 04/01/2037 | 1,809 | 2,044 | |||||||||
5.50% due 05/01/2037 | 1,735 | 1,955 | |||||||||
5.50% due 08/01/2037 | 9,762 | 11,007 | |||||||||
6.50% due 05/01/2029 | 1,639 | 1,833 | |||||||||
Federal Home Loan Mtg. Corp. FRS 4.02% (6 ML+1.49%) due 02/01/2037 | 852 | 880 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS Series 2010-K8, Class B 5.45% due 09/25/2043*(5)(8) | 100,000 | 101,416 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.64% due 01/25/2034(5)(7)(8) | 204,929 | 10,984 | |||||||||
Series K064, Class X1 0.74% due 03/25/2027(5)(7)(8) | 376,525 | 15,033 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(8) | 82,000 | 88,478 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(4) | 19,883 | 21,238 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 3.67% (1 ML+1.65%) due 04/25/2043*(4) | 21,143 | 21,202 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3964, Class MD 2.00% due 01/15/2041(4) | 685 | 682 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(4) | 20,376 | 21,077 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(4) | 2,639 | 2,774 | |||||||||
Series 1226, Class Z 7.75% due 03/15/2022(4) | 306 | 321 | |||||||||
531,403 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. — 9.5% | |||||||||||
2.50% due 02/01/2043 | $ | 122,809 | $ | 122,704 | |||||||
2.50% due 03/01/2043 | 118,905 | 118,803 | |||||||||
2.66% due 03/01/2027 | 210,000 | 217,914 | |||||||||
2.78% due 03/01/2027 | 74,042 | 77,337 | |||||||||
3.00% due 01/01/2028 | 8,235 | 8,458 | |||||||||
3.50% due 11/01/2047 | 706,490 | 729,056 | |||||||||
4.00% due 11/01/2040 | 47,533 | 50,766 | |||||||||
4.00% due 11/01/2041 | 2,480 | 2,650 | |||||||||
4.00% due 10/01/2043 | 39,503 | 41,841 | |||||||||
4.00% due 11/01/2043 | 5,331 | 5,693 | |||||||||
4.00% due 12/01/2043 | 28,000 | 30,126 | |||||||||
4.00% due 02/01/2049 | 945,120 | 985,159 | |||||||||
4.50% due 01/01/2039 | 1,714 | 1,853 | |||||||||
4.50% due 06/01/2039 | 28,365 | 30,415 | |||||||||
4.50% due 05/01/2041 | 4,755 | 5,152 | |||||||||
5.00% due 07/01/2040 | 16,294 | 17,918 | |||||||||
5.50% due 06/01/2020 | 10,092 | 10,138 | |||||||||
5.50% due 03/01/2021 | 2,767 | 2,791 | |||||||||
5.50% due 04/01/2021 | 3,291 | 3,311 | |||||||||
5.50% due 06/01/2021 | 16,624 | 16,831 | |||||||||
5.50% due 10/01/2021 | 8,347 | 8,480 | |||||||||
5.50% due 12/01/2021 | 18,924 | 19,128 | |||||||||
5.50% due 06/01/2022 | 27,202 | 27,677 | |||||||||
5.50% due 12/01/2029 | 994 | 1,074 | |||||||||
5.50% due 05/01/2034 | 1,923 | 2,078 | |||||||||
5.50% due 08/01/2037 | 5,962 | 6,727 | |||||||||
5.50% due 06/01/2038 | 501 | 565 | |||||||||
6.00% due 06/01/2026 | 8,587 | 9,486 | |||||||||
6.00% due 03/01/2027 | 11,355 | 12,545 | |||||||||
6.00% due 12/01/2033 | 1,410 | 1,622 | |||||||||
6.00% due 05/01/2034 | 5,236 | 6,020 | |||||||||
6.00% due 08/01/2034 | 445 | 512 | |||||||||
6.00% due 06/01/2040 | 2,824 | 3,250 | |||||||||
6.50% due 11/01/2035 | 2,754 | 3,164 | |||||||||
6.50% due 10/01/2037 | 921 | 1,046 | |||||||||
7.00% due 06/01/2037 | 9,414 | 10,824 | |||||||||
Federal National Mtg. Assoc. FRS 4.42% (12 ML+1.57%) due 05/01/2037 | 1,484 | 1,552 | |||||||||
4.55% (12 ML+1.82%) due 10/01/2040 | 1,562 | 1,643 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2017-C01, Class 1M2 5.57% (1 ML+3.55%) due 07/25/2029(4) | 35,000 | 36,784 | |||||||||
Series 2016-C07, Class 2M2 6.37% (1 ML+4.35%) due 05/25/2029(4) | 65,148 | 68,669 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2011-117, Class MA 2.00% due 08/25/2040(4) | 4,399 | 4,378 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(4) | 17,316 | 17,222 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(4) | 34,787 | 34,590 |
97
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(4) | $ | 36,130 | $ | 36,526 | |||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(4) | 32,055 | 32,397 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(4) | 88,151 | 89,059 | |||||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(4) | 52,378 | 52,647 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(4) | 47,330 | 48,419 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(4) | 13,003 | 13,416 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(4) | 28,038 | 28,821 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(4) | 45,594 | 46,915 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(4) | 45,535 | 46,856 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(4) | 69,917 | 71,928 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(4) | 54,657 | 56,256 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(4) | 20,288 | 21,234 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(4) | 51,153 | 53,557 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(4) | 50,426 | 51,514 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(4) | 55,441 | 57,395 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(4) | 41,637 | 43,648 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(4) | 46,887 | 48,930 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(4) | 46,562 | 49,112 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(4) | 49,465 | 50,911 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(4) | 30,549 | 31,367 | |||||||||
Series 2019-15, Class AB 3.50% due 05/25/2053(4) | 45,912 | 48,326 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(4) | 63,177 | 65,502 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(4) | 23,430 | 24,692 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(4) | 49,662 | 52,422 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(4) | 48,038 | 50,680 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(4) | 45,985 | 48,518 | |||||||||
Series 2019-28, Class JA 3.50% due 06/25/2059(4) | 43,804 | 46,543 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(4) | 39,996 | 41,701 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc., STRIPS Series 415, Class A3 3.00% due 11/25/2042(4) | $ | 52,660 | $ | 54,219 | |||||||
4,121,463 | |||||||||||
Government National Mtg. Assoc. — 6.9% | |||||||||||
3.00% due October 30 TBA | 700,000 | 718,293 | |||||||||
3.50% due October 30 TBA | 560,000 | 580,136 | |||||||||
4.00% due 10/15/2040 | 17,487 | 18,718 | |||||||||
4.00% due 02/15/2041 | 8,768 | 9,361 | |||||||||
4.00% due 09/15/2041 | 11,548 | 12,329 | |||||||||
4.00% due 10/15/2041 | 6,256 | 6,633 | |||||||||
4.00% due 07/20/2049 | 899,991 | 938,550 | |||||||||
4.50% due 06/15/2041 | 115,214 | 125,386 | |||||||||
5.00% due 01/15/2033 | 1,333 | 1,461 | |||||||||
5.00% due 01/15/2040 | 46,208 | 51,926 | |||||||||
5.00% due October 30 TBA | 300,000 | 320,742 | |||||||||
5.50% due 04/15/2036 | 56,286 | 60,713 | |||||||||
6.50% due 07/15/2028 | 55,329 | 61,233 | |||||||||
6.50% due 08/15/2028 | 3,626 | 4,013 | |||||||||
6.50% due 09/15/2028 | 6,450 | 7,230 | |||||||||
6.50% due 11/15/2028 | 9,061 | 10,028 | |||||||||
7.00% due 01/15/2033 | 4,555 | 5,272 | |||||||||
7.00% due 05/15/2033 | 6,316 | 7,282 | |||||||||
7.00% due 11/15/2033 | 2,855 | 3,295 | |||||||||
8.00% due 02/15/2030 | 1,167 | 1,213 | |||||||||
9.00% due 11/15/2021 | 56 | 57 | |||||||||
Government National Mtg. Assoc., REMIC Series 2013-37, Class LG 2.00% due 01/20/2042(4) | 50,484 | 50,078 | |||||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(4) | 133 | 143 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(4) | 1,842 | 2,071 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(4) | 1,412 | 1,634 | |||||||||
2,997,797 | |||||||||||
Uniform Mtg. Backed Securities — 20.7% | |||||||||||
2.50% due October 15 TBA | 625,000 | 630,310 | |||||||||
3.00% due October 30 TBA | 975,000 | 996,633 | |||||||||
3.00% due October 30 TBA | 2,625,000 | 2,664,375 | |||||||||
3.50% due October 15 TBA | 1,720,000 | 1,764,210 | |||||||||
4.00% due October 30 TBA | 1,390,000 | 1,442,288 | |||||||||
4.50% due October 30 TBA | 875,000 | 921,335 | |||||||||
5.50% due October 30 TBA | 200,000 | 216,492 | |||||||||
6.00% due October 30 TBA | 300,000 | 331,922 | |||||||||
8,967,565 | |||||||||||
Total U.S. Government Agencies (cost $16,466,598) | 16,618,228 | ||||||||||
U.S. GOVERNMENT TREASURIES — 21.4% | |||||||||||
United States Treasury Bonds — 10.1% | |||||||||||
1.00% due 02/15/2049 TIPS(10) | 61,174 | 68,649 | |||||||||
2.25% due 08/15/2046 | 225,000 | 230,731 | |||||||||
2.50% due 02/15/2045(11) | 150,000 | 161,402 | |||||||||
3.00% due 05/15/2045(12) | 370,000 | 435,632 |
98
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Bonds (continued) | |||||||||||
3.00% due 11/15/2045 | $ | 202,000 | $ | 238,273 | |||||||
3.00% due 02/15/2048 | 365,000 | 433,366 | |||||||||
3.13% due 05/15/2048 | 150,000 | 182,320 | |||||||||
3.38% due 05/15/2044 | 1,185,000 | 1,476,020 | |||||||||
3.63% due 08/15/2043 | 105,000 | 135,421 | |||||||||
3.63% due 02/15/2044 | 105,000 | 135,737 | |||||||||
3.75% due 11/15/2043 | 105,000 | 138,112 | |||||||||
5.00% due 05/15/2037 | 256,000 | 377,550 | |||||||||
6.75% due 08/15/2026 | 285,000 | 380,486 | |||||||||
4,393,699 | |||||||||||
United States Treasury Notes — 11.3% | |||||||||||
0.38% due 07/15/2027 TIPS(10) | 1,195,632 | 1,213,555 | |||||||||
0.63% due 01/15/2026 TIPS(10) | 286,128 | 293,094 | |||||||||
0.88% due 01/15/2029 TIPS(10) | 203,212 | 215,515 | |||||||||
1.88% due 01/31/2022 | 290,000 | 291,609 | |||||||||
2.25% due 12/31/2023 | 1,275,000 | 1,310,311 | |||||||||
2.63% due 02/15/2029 | 405,000 | 438,333 | |||||||||
2.88% due 05/15/2028 | 245,000 | 268,907 | |||||||||
2.88% due 08/15/2028 | 215,000 | 236,399 | |||||||||
3.13% due 11/15/2028 | 580,000 | 651,141 | |||||||||
4,918,864 | |||||||||||
Total U.S. Government Treasuries (cost $8,671,755) | 9,312,563 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 1.0% | |||||||||||
Sovereign — 1.0% | |||||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049* | 150,000 | 159,751 | |||||||||
Government of Egypt Bonds 16.10% due 05/07/2029 | 885,000 | 59,015 | |||||||||
Government of Romania Senior Notes 3.88% due 10/29/2035 | 10,000 | 13,079 | |||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | 75,000 | 105,984 | |||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049* | 22,000 | 31,089 | |||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 20,000 | 26,115 | |||||||||
Oriental Republic of Uruguay Senior Notes 4.98% due 04/20/2055 | 5,000 | 5,837 | |||||||||
Republic of Hungary Senior Bonds 6.38% due 03/29/2021 | 16,000 | 16,978 | |||||||||
Total Foreign Government Obligations (cost $390,707) | 417,848 | ||||||||||
Total Long-Term Investment Securities (cost $51,538,725) | 53,306,808 |
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.0% | |||||||||||
Registered Investment Companies — 1.0% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 1.95%(13) (cost $425,568) | 425,568 | $ | 425,568 | ||||||||
REPURCHASE AGREEMENTS — 2.0% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | $ | 220,000 | 220,000 | ||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 130,000 | 130,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 100,000 | 100,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | 200,000 | 200,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 205,000 | 205,000 | |||||||||
Total Repurchase Agreements (cost $855,000) | 855,000 | ||||||||||
TOTAL INVESTMENTS (cost $52,819,293)(15) | 125.7 | % | 54,587,376 | ||||||||
Liabilities in excess of other assets | (25.7 | ) | (11,159,109 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 43,428,267 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $7,813,251 representing 18.0% 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 September 30, 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 | $ | 1,070 | $ | 268.00 | 0.00 | % |
(3) Perpetual maturity — maturity date reflects the next call date.
99
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
(4) Collateralized Mortgage Obligation
(5) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(6) Collateralized Loan Obligation
(7) Interest Only
(8) Commercial Mortgage Backed Security
(9) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2019.
(10) Principal amount of security is adjusted for inflation.
(11) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(13) The rate shown is the 7-day yield as of September 30, 2019.
(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
CAD — Canadian Dollar
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Currency
NZD — New Zealand Dollar
REMIC — Real Estate Mortgage Investment Conduit
SCRT — Structured Credit Risk Transfer
STRIPS — Separate Trading of Registered Interest and Principal Securities
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 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 | |||||||||||||||||||||
4 | Long | Canadian 10 Year Bonds | December 2019 | $ | 428,833 | $ | 430,539 | $ | 1,706 | ||||||||||||||||||
1 | Short | Euro Bund | December 2019 | 192,289 | 189,924 | 2,365 | |||||||||||||||||||||
28 | Short | U.S. Treasury 5 Year Notes | December 2019 | 3,349,094 | 3,336,156 | 12,938 | |||||||||||||||||||||
9 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2019 | 1,296,281 | 1,281,656 | 14,625 | |||||||||||||||||||||
2 | Long | U.S. Treasury Long Bonds | December 2019 | 321,580 | 324,625 | 3,045 | |||||||||||||||||||||
1 | Long | U.S. Treasury Ultra Bonds | December 2019 | 191,125 | 191,906 | 781 | |||||||||||||||||||||
$ | 35,460 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
1 | Short | U.S. Treasury 2 Year Notes | December 2019 | 215,191 | 215,500 | $ | (309 | ) | |||||||||||||||||||
4 | Short | U.S. Treasury 10 Year Notes | December 2019 | 517,891 | 521,250 | (3,359 | ) | ||||||||||||||||||||
$ | (3,668 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 31,792 |
* 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.
100
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | EUR | 199,000 | USD | 219,526 | 10/31/2019 | $ | 2,152 | $ | — | ||||||||||||||
Goldman Sachs International | AUD | 400,000 | USD | 270,349 | 10/31/2019 | 94 | — | ||||||||||||||||
JPMorgan Chase Bank | EUR | 125,000 | USD | 138,752 | 12/18/2019 | 1,697 | — | ||||||||||||||||
NZD | 293,000 | USD | 184,077 | 11/29/2019 | 353 | — | |||||||||||||||||
2,050 | — | �� | |||||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 12,000 | USD | 13,213 | 12/18/2019 | 56 | — | ||||||||||||||||
NatWest Markets PLC | CAD | 124,000 | USD | 93,993 | 11/05/2019 | 345 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 4,697 | $ | — |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
NZD — New Zealand Dollar
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 | 355 | 09/29/2026 | 1 Year USD Federal Funds — H.15-OIS-Compound/Annually | 1.00%/Annually | $ | 7,532 | $ | (1,034 | ) | ||||||||||||||
USD | 295 | 12/20/2047 | USD-LIBOR-BBA/Quarterly | 2.75%/Semi-annually | (6,231 | ) | (63,710 | ) | |||||||||||||||
$ | 1,301 | $ | (64,744 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
OIS — Overnight Index Swap
USD — United States Dollar
101
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as September 30, 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 | $ | — | $ | — | $ | 1,070 | $ | 1,070 | |||||||||||
Other Industries | 6,452,501 | 231,677 | ** | — | 6,684,178 | ||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 1 | 1 | |||||||||||||||
Other Industries | — | 740,597 | — | 740,597 | |||||||||||||||
Asset Backed Securities | — | 9,468,199 | — | 9,468,199 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | 139 | 2 | 141 | |||||||||||||||
Other Industries | — | 7,954,335 | — | 7,954,335 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,696,513 | — | 1,696,513 | |||||||||||||||
Municipal Bond & Notes | — | 413,135 | — | 413,135 | |||||||||||||||
U.S. Government Agencies | — | 16,618,228 | — | 16,618,228 | |||||||||||||||
U.S. Government Treasuries | — | 9,312,563 | — | 9,312,563 | |||||||||||||||
Foreign Government Obligations | — | 417,848 | — | 417,848 | |||||||||||||||
Short-Term Investment Securities: | 425,568 | — | — | 425,568 | |||||||||||||||
Repurchase Agreements | — | 855,000 | — | 855,000 | |||||||||||||||
Total Investments at Value | $ | 6,878,069 | $ | 47,708,234 | $ | 1,073 | $ | 54,587,376 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 35,460 | $ | — | $ | — | $ | 35,460 | |||||||||||
Forward Foreign Currency Contracts | — | 4,697 | — | 4,697 | |||||||||||||||
Total Other Financial Instruments | $ | 35,460 | $ | 4,697 | $ | — | $ | 40,157 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 3,668 | $ | — | $ | — | $ | 3,668 | |||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 64,744 | — | 64,744 | |||||||||||||||
Total Other Financial Instruments | $ | 3,668 | $ | 64,744 | $ | — | $ | 68,412 |
* 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 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
102
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Commercial Paper | 6.6 | % | |||||
Diversified Banking Institutions | 4.4 | ||||||
Medical-Drugs | 3.8 | ||||||
United States Treasury Notes | 3.2 | ||||||
E-Commerce/Products | 2.9 | ||||||
Real Estate Investment Trusts | 2.7 | ||||||
Telephone-Integrated | 2.4 | ||||||
Applications Software | 2.2 | ||||||
Oil Companies-Integrated | 2.2 | ||||||
Web Portals/ISP | 2.1 | ||||||
Beverages-Non-alcoholic | 2.1 | ||||||
Electric-Integrated | 2.0 | ||||||
Diversified Financial Services | 1.9 | ||||||
Repurchase Agreements | 1.8 | ||||||
Exchange-Traded Funds | 1.7 | ||||||
Commercial Services-Finance | 1.7 | ||||||
Cosmetics & Toiletries | 1.6 | ||||||
Enterprise Software/Service | 1.5 | ||||||
Medical Products | 1.5 | ||||||
Cable/Satellite TV | 1.5 | ||||||
United States Treasury Bonds | 1.5 | ||||||
Retail-Restaurants | 1.5 | ||||||
Computers | 1.5 | ||||||
Insurance-Multi-line | 1.4 | ||||||
Insurance-Life/Health | 1.4 | ||||||
Banks-Commercial | 1.3 | ||||||
Electronic Components-Semiconductors | 1.3 | ||||||
Networking Products | 1.3 | ||||||
Medical-Biomedical/Gene | 1.2 | ||||||
Medical Instruments | 1.1 | ||||||
Computer Services | 1.0 | ||||||
E-Commerce/Services | 1.0 | ||||||
Federal National Mtg. Assoc. | 1.0 | ||||||
Transport-Rail | 0.9 | ||||||
Oil Companies-Exploration & Production | 0.9 | ||||||
Electronic Forms | 0.9 | ||||||
Food-Misc./Diversified | 0.9 | ||||||
Aerospace/Defense | 0.8 | ||||||
Pipelines | 0.8 | ||||||
Government National Mtg. Assoc. | 0.6 | ||||||
Uniform Mtg. Backed Securities | 0.6 | ||||||
Chemicals-Diversified | 0.6 | ||||||
Instruments-Controls | 0.6 | ||||||
Retail-Discount | 0.6 | ||||||
Finance-Credit Card | 0.6 | ||||||
Semiconductor Components-Integrated Circuits | 0.6 | ||||||
Non-Hazardous Waste Disposal | 0.6 | ||||||
Medical-Wholesale Drug Distribution | 0.5 | ||||||
Airlines | 0.5 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Independent Power Producers | 0.5 | ||||||
Electronic Measurement Instruments | 0.5 | ||||||
Electric Products-Misc. | 0.5 | ||||||
Semiconductor Equipment | 0.5 | ||||||
Advertising Agencies | 0.5 | ||||||
Investment Management/Advisor Services | 0.4 | ||||||
Retail-Building Products | 0.4 | ||||||
Oil Refining & Marketing | 0.4 | ||||||
Machinery-Construction & Mining | 0.4 | ||||||
Chemicals-Specialty | 0.4 |
Cellular Telecom | 0.4 | % | |||||
Food-Retail | 0.4 | ||||||
Hotels/Motels | 0.4 | ||||||
Auto-Cars/Light Trucks | 0.4 | ||||||
Insurance-Reinsurance | 0.4 | ||||||
Metal-Diversified | 0.3 | ||||||
Apparel Manufacturers | 0.3 | ||||||
Engines-Internal Combustion | 0.3 | ||||||
Internet Content-Information/News | 0.3 | ||||||
Diversified Manufacturing Operations | 0.3 | ||||||
Retail-Consumer Electronics | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Computer Aided Design | 0.3 | ||||||
Office Automation & Equipment | 0.3 | ||||||
Real Estate Operations & Development | 0.3 | ||||||
Finance-Leasing Companies | 0.3 | ||||||
Agricultural Biotech | 0.3 | ||||||
Real Estate Management/Services | 0.3 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Brewery | 0.3 | ||||||
Finance-Investment Banker/Broker | 0.3 | ||||||
Machinery-General Industrial | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Broadcast Services/Program | 0.2 | ||||||
Auto/Truck Parts & Equipment-Original | 0.2 | ||||||
Finance-Auto Loans | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Commercial Services | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Steel-Producers | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Building & Construction-Misc. | 0.2 | ||||||
Audio/Video Products | 0.2 | ||||||
Internet Content-Entertainment | 0.2 | ||||||
Auto-Heavy Duty Trucks | 0.2 | ||||||
Electric-Generation | 0.2 | ||||||
Aerospace/Defense-Equipment | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Machinery-Pumps | 0.2 | ||||||
Internet Infrastructure Software | 0.2 | ||||||
Television | 0.2 | ||||||
Import/Export | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Publishing-Periodicals | 0.1 | ||||||
Toys | 0.1 | ||||||
Tobacco | 0.1 | ||||||
E-Services/Consulting | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Cruise Lines | 0.1 |
103
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Food-Wholesale/Distribution | 0.1 | % | |||||
Consulting Services | 0.1 | ||||||
Casino Services | 0.1 | ||||||
Rubber-Tires | 0.1 | ||||||
Telecommunication Equipment | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Transport-Services | 0.1 | ||||||
Retail-Apparel/Shoe | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Radio | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Pharmacy Services | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Food-Dairy Products | 0.1 | ||||||
Photo Equipment & Supplies | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Entertainment Software | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Retail-Convenience Store | 0.1 | ||||||
Medical-HMO | 0.1 | ||||||
Diversified Minerals | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Computers-Integrated Systems | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Municipal Bonds & Notes | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Diversified Operations | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Textile-Apparel | 0.1 | ||||||
Shipbuilding | 0.1 | ||||||
Gas-Transportation | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Theaters | 0.1 | ||||||
Multimedia | 0.1 | ||||||
100.9 | % |
* Calculated as a percentage of net assets
104
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 74.1% | |||||||||||
Advertising Agencies — 0.4% | |||||||||||
Interpublic Group of Cos., Inc. | 6,810 | $ | 146,823 | ||||||||
Omnicom Group, Inc. | 5,849 | 457,977 | |||||||||
604,800 | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Clear Channel Outdoor Holdings, Inc.† | 527 | 1,328 | |||||||||
Aerospace/Defense — 0.8% | |||||||||||
Dassault Aviation SA | 33 | 46,672 | |||||||||
Lockheed Martin Corp. | 2,936 | 1,145,216 | |||||||||
Teledyne Technologies, Inc.† | 394 | 126,864 | |||||||||
1,318,752 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
HEICO Corp. | 1,280 | 159,846 | |||||||||
Agricultural Biotech — 0.3% | |||||||||||
Corteva, Inc. | 17,593 | 492,604 | |||||||||
Agricultural Chemicals — 0.2% | |||||||||||
CF Industries Holdings, Inc. | 6,943 | 341,596 | |||||||||
UPL, Ltd. | 1 | 4 | |||||||||
341,600 | |||||||||||
Airlines — 0.5% | |||||||||||
Delta Air Lines, Inc. | 13,486 | 776,794 | |||||||||
Japan Airlines Co., Ltd. | 3,200 | 95,111 | |||||||||
871,905 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
Aena SME SA* | 1,164 | 213,328 | |||||||||
Singapore Technologies Engineering, Ltd. | 14,900 | 41,408 | |||||||||
254,736 | |||||||||||
Apparel Manufacturers — 0.3% | |||||||||||
Hermes International | 340 | 235,167 | |||||||||
Kering SA | 706 | 360,422 | |||||||||
595,589 | |||||||||||
Applications Software — 2.1% | |||||||||||
Intuit, Inc. | 3,823 | 1,016,689 | |||||||||
Microsoft Corp. | 16,647 | 2,314,432 | |||||||||
Nuance Communications, Inc.† | 3,561 | 58,080 | |||||||||
ServiceNow, Inc.† | 957 | 242,934 | |||||||||
3,632,135 | |||||||||||
Audio/Video Products — 0.2% | |||||||||||
Sony Corp. | 5,500 | 323,183 | |||||||||
Auto-Cars/Light Trucks — 0.3% | |||||||||||
Fiat Chrysler Automobiles NV | 15,087 | 195,482 | |||||||||
Peugeot SA | 9,707 | 242,441 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 299 | 19,452 | |||||||||
Toyota Motor Corp. | 200 | 13,415 | |||||||||
470,790 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Volvo AB, Class B | 16,968 | $ | 238,612 | ||||||||
Auto/Truck Parts & Equipment-Original — 0.2% | |||||||||||
Allison Transmission Holdings, Inc. | 3,381 | 159,076 | |||||||||
Faurecia SA | 3,356 | 159,553 | |||||||||
318,629 | |||||||||||
Banks-Commercial — 1.1% | |||||||||||
ABN AMRO Group NV CVA* | 9,057 | 159,693 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 51,353 | 267,925 | |||||||||
Bank Leumi Le-Israel B.M. | 22,393 | 159,392 | |||||||||
Bank Tabungan Pensiunan Nasional Syariah Tbk PT† | 324,400 | 75,294 | |||||||||
BOC Hong Kong Holdings, Ltd. | 23,500 | 80,187 | |||||||||
Commercial International Bank Egypt SAE GDR | 23,087 | 106,271 | |||||||||
Credicorp, Ltd. | 542 | 112,974 | |||||||||
Hang Seng Bank, Ltd. | 7,900 | 170,915 | |||||||||
HDFC Bank, Ltd. | 13,836 | 239,527 | |||||||||
Israel Discount Bank, Ltd., Class A | 23,565 | 103,661 | |||||||||
Itau Unibanco Holding SA ADR | 13,912 | 117,000 | |||||||||
KBC Group NV | 1,747 | 113,683 | |||||||||
Popular, Inc. | 1,635 | 88,421 | |||||||||
Sberbank of Russia PJSC ADR | 6,559 | 92,942 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 2,200 | 79,744 | |||||||||
1,967,629 | |||||||||||
Beverages-Non-alcoholic — 2.0% | |||||||||||
Coca-Cola Co. | 30,915 | 1,683,013 | |||||||||
Coca-Cola European Partners PLC | 1,151 | 63,823 | |||||||||
Coca-Cola HBC AG | 5,758 | 188,104 | |||||||||
Fomento Economico Mexicano SAB de CV ADR | 2,347 | 214,938 | |||||||||
PepsiCo, Inc. | 8,869 | 1,215,940 | |||||||||
3,365,818 | |||||||||||
Brewery — 0.2% | |||||||||||
Carlsberg A/S, Class B | 1,667 | 246,645 | |||||||||
Thai Beverage PCL | 192,200 | 123,240 | |||||||||
369,885 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class A† | 8,367 | 222,813 | |||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Armstrong World Industries, Inc. | 929 | 89,834 | |||||||||
China Lesso Group Holdings, Ltd. | 114,000 | 108,389 | |||||||||
Geberit AG | 254 | 121,272 | |||||||||
319,495 | |||||||||||
Building & Construction-Misc. — 0.2% | |||||||||||
HOCHTIEF AG | 751 | 85,537 | |||||||||
Obayashi Corp. | 6,400 | 64,060 | |||||||||
Taisei Corp. | 3,400 | 132,380 | |||||||||
281,977 | |||||||||||
Building Products-Cement — 0.2% | |||||||||||
CRH PLC | 3,269 | 112,202 | |||||||||
HeidelbergCement AG | 2,307 | 166,789 | |||||||||
278,991 |
105
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Heavy Construction — 0.1% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 4,127 | $ | 165,102 | ||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ServiceMaster Global Holdings, Inc.† | 1,536 | 85,862 | |||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
Berkeley Group Holdings PLC | 1,101 | 56,571 | |||||||||
Daiwa House Industry Co., Ltd. | 3,200 | 104,264 | |||||||||
PulteGroup, Inc. | 2,519 | 92,069 | |||||||||
Sekisui House, Ltd. | 1,400 | 27,633 | |||||||||
Taylor Wimpey PLC | 39,472 | 78,379 | |||||||||
358,916 | |||||||||||
Cable/Satellite TV — 1.2% | |||||||||||
Altice USA, Inc., Class A† | 10,082 | 289,152 | |||||||||
Comcast Corp., Class A | 37,724 | 1,700,598 | |||||||||
1,989,750 | |||||||||||
Casino Services — 0.1% | |||||||||||
Aristocrat Leisure, Ltd. | 10,383 | 215,304 | |||||||||
Cellular Telecom — 0.3% | |||||||||||
Hikari Tsushin, Inc. | 600 | 130,333 | |||||||||
Safaricom PLC | 412,470 | 109,269 | |||||||||
Telstra Corp., Ltd. | 87,608 | 207,830 | |||||||||
447,432 | |||||||||||
Chemicals-Diversified — 0.5% | |||||||||||
Arkema SA | 1,266 | 118,186 | |||||||||
Celanese Corp. | 947 | 115,809 | |||||||||
Covestro AG* | 4,817 | 238,353 | |||||||||
Eastman Chemical Co. | 2,446 | 180,588 | |||||||||
LyondellBasell Industries NV, Class A | 717 | 64,150 | |||||||||
PPG Industries, Inc. | 1,160 | 137,472 | |||||||||
Tosoh Corp. | 5,700 | 75,878 | |||||||||
930,436 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
NewMarket Corp. | 192 | 90,641 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 2,200 | 237,043 | |||||||||
W.R. Grace & Co. | 797 | 53,208 | |||||||||
380,892 | |||||||||||
Coatings/Paint — 0.2% | |||||||||||
Asian Paints, Ltd. | 7,032 | 174,962 | |||||||||
Axalta Coating Systems, Ltd.† | 5,149 | 155,242 | |||||||||
Sherwin-Williams Co. | 93 | 51,138 | |||||||||
381,342 | |||||||||||
Commercial Services — 0.2% | |||||||||||
CoStar Group, Inc.† | 168 | 99,658 | |||||||||
Macquarie Infrastructure Corp. | 1,489 | 58,771 | |||||||||
Nielsen Holdings PLC | 6,749 | 143,416 | |||||||||
301,845 | |||||||||||
Commercial Services-Finance — 1.6% | |||||||||||
Automatic Data Processing, Inc. | 5,222 | 842,935 | |||||||||
PayPal Holdings, Inc. | 17,736 | 1,837,273 | |||||||||
2,680,208 |
Security Description | Shares | Value (Note 2) | |||||||||
Communications Software — 0.0% | |||||||||||
Avaya Holdings Corp.† | 595 | $ | 6,087 | ||||||||
Computer Aided Design — 0.3% | |||||||||||
Aspen Technology, Inc.† | 1,552 | 191,020 | |||||||||
Cadence Design Systems, Inc.† | 5,167 | 341,436 | |||||||||
532,456 | |||||||||||
Computer Data Security — 0.3% | |||||||||||
Fortinet, Inc.† | 5,961 | 457,566 | |||||||||
Computer Services — 1.0% | |||||||||||
Capgemini SE | 1,191 | 140,486 | |||||||||
Fujitsu, Ltd. | 800 | 64,252 | |||||||||
Genpact, Ltd. | 3,021 | 117,064 | |||||||||
Infosys, Ltd. | 15,097 | 170,832 | |||||||||
International Business Machines Corp. | 5,295 | 769,999 | |||||||||
Leidos Holdings, Inc. | 3,295 | 282,974 | |||||||||
Nomura Research Institute, Ltd. | 5,500 | 109,818 | |||||||||
NTT Data Corp. | 2,400 | 31,131 | |||||||||
1,686,556 | |||||||||||
Computers — 1.4% | |||||||||||
Apple, Inc. | 10,376 | 2,323,913 | |||||||||
Computers-Integrated Systems — 0.1% | |||||||||||
Otsuka Corp. | 2,900 | 116,208 | |||||||||
Consulting Services — 0.1% | |||||||||||
Verisk Analytics, Inc. | 1,466 | 231,833 | |||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. | 2,348 | 170,958 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global Group, Inc.† | 3,798 | 149,147 | |||||||||
Cosmetics & Toiletries — 1.6% | |||||||||||
Essity AB, Class B | 6,632 | 193,506 | |||||||||
LG Household & Health Care, Ltd. | 135 | 147,761 | |||||||||
Procter & Gamble Co. | 14,321 | 1,781,246 | |||||||||
Unilever NV | 6,042 | 363,052 | |||||||||
Unilever PLC | 5,433 | 326,678 | |||||||||
2,812,243 | |||||||||||
Cruise Lines — 0.1% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 4,874 | 252,327 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Fair Isaac Corp. | 464 | 140,833 | |||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
DENTSPLY SIRONA, Inc. | 3,566 | 190,103 | |||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Danaher Corp. | �� | 4,374 | 631,737 | ||||||||
Thermo Fisher Scientific, Inc. | 786 | 228,938 | |||||||||
860,675 | |||||||||||
Distribution/Wholesale — 0.2% | |||||||||||
HD Supply Holdings, Inc.† | 5,104 | 199,949 | |||||||||
KAR Auction Services, Inc. | 4,851 | 119,092 | |||||||||
319,041 | |||||||||||
Diversified Banking Institutions — 4.0% | |||||||||||
BNP Paribas SA | 6,364 | 310,288 | |||||||||
Citigroup, Inc. | 30,277 | 2,091,535 |
106
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Credit Agricole SA | 14,119 | $ | 171,683 | ||||||||
Goldman Sachs Group, Inc. | 1,852 | 383,790 | |||||||||
HSBC Holdings PLC | 3,199 | 24,545 | |||||||||
JPMorgan Chase & Co. | 24,221 | 2,850,569 | |||||||||
Morgan Stanley | 16,043 | 684,555 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 8,600 | 295,393 | |||||||||
6,812,358 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
Hana Financial Group, Inc. | 3,592 | 106,020 | |||||||||
Diversified Manufacturing Operations — 0.3% | |||||||||||
Ingersoll-Rand PLC | 4,726 | 582,290 | |||||||||
Diversified Minerals — 0.1% | |||||||||||
BHP Group PLC | 6,420 | 137,304 | |||||||||
Diversified Operations — 0.1% | |||||||||||
CK Hutchison Holdings, Ltd. | 11,500 | 101,101 | |||||||||
Diversified Operations/Commercial Services — 0.0% | |||||||||||
Brambles, Ltd. | 3,759 | 28,960 | |||||||||
E-Commerce/Products — 2.8% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 3,857 | 645,006 | |||||||||
Amazon.com, Inc.† | 1,888 | 3,277,398 | |||||||||
eBay, Inc. | 18,596 | 724,872 | |||||||||
Rakuten, Inc. | 8,500 | 83,827 | |||||||||
4,731,103 | |||||||||||
E-Commerce/Services — 1.0% | |||||||||||
AfreecaTV Co., Ltd. | 1,272 | 68,461 | |||||||||
Booking Holdings, Inc.† | 538 | 1,055,884 | |||||||||
Expedia Group, Inc. | 4,218 | 566,941 | |||||||||
1,691,286 | |||||||||||
E-Services/Consulting — 0.1% | |||||||||||
CDW Corp. | 2,093 | 257,941 | |||||||||
Electric Products-Misc. — 0.5% | |||||||||||
AMETEK, Inc. | 3,041 | 279,225 | |||||||||
Brother Industries, Ltd. | 1,900 | 34,676 | |||||||||
Emerson Electric Co. | 5,489 | 366,995 | |||||||||
Legrand SA | 1,640 | 117,140 | |||||||||
798,036 | |||||||||||
Electric-Distribution — 0.2% | |||||||||||
CenterPoint Energy, Inc. | 10,803 | 326,035 | |||||||||
Electric-Generation — 0.1% | |||||||||||
E.ON SE | 21,371 | 207,689 | |||||||||
Vistra Energy Corp. CVR†(1) | 1,362 | 1,171 | |||||||||
208,860 | |||||||||||
Electric-Integrated — 1.7% | |||||||||||
AES Corp. | 15,783 | 257,894 | |||||||||
Cia Paranaense de Energia, Class B (Preference Shares) | 11,380 | 135,877 | |||||||||
CLP Holdings, Ltd. | 7,000 | 73,295 | |||||||||
Consolidated Edison, Inc. | 687 | 64,901 | |||||||||
Enel SpA | 43,189 | 322,703 | |||||||||
Entergy Corp. | 2,238 | 262,652 |
Security Description | Shares | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Evergy, Inc. | 3,634 | $ | 241,879 | ||||||||
Exelon Corp. | 15,235 | 736,003 | |||||||||
IDACORP, Inc. | 716 | 80,672 | |||||||||
Pinnacle West Capital Corp. | 2,481 | 240,830 | |||||||||
Public Service Enterprise Group, Inc. | 7,899 | 490,370 | |||||||||
2,907,076 | |||||||||||
Electronic Components-Misc. — 0.3% | |||||||||||
Garmin, Ltd. | 2,043 | 173,022 | |||||||||
Hoya Corp. | 3,300 | 269,401 | |||||||||
442,423 | |||||||||||
Electronic Components-Semiconductors — 1.2% | |||||||||||
Broadcom, Inc. | 2,221 | 613,151 | |||||||||
MediaTek, Inc. | 9,000 | 107,293 | |||||||||
Samsung Electronics Co., Ltd. | 12,751 | 520,240 | |||||||||
Sino-American Silicon Products, Inc. | 35,000 | 93,143 | |||||||||
STMicroelectronics NV | 4,684 | 90,755 | |||||||||
Xilinx, Inc. | 7,521 | 721,264 | |||||||||
2,145,846 | |||||||||||
Electronic Forms — 0.9% | |||||||||||
Adobe, Inc.† | 5,674 | 1,567,443 | |||||||||
Electronic Measurement Instruments — 0.5% | |||||||||||
Agilent Technologies, Inc. | 6,357 | 487,137 | |||||||||
Keysight Technologies, Inc.† | 3,270 | 318,007 | |||||||||
805,144 | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Sinbon Electronics Co., Ltd. | 20,000 | 77,681 | |||||||||
Electronics-Military — 0.0% | |||||||||||
Thales SA | 291 | 33,492 | |||||||||
Engines-Internal Combustion — 0.3% | |||||||||||
Cummins, Inc. | 3,508 | 570,646 | |||||||||
Enterprise Software/Service — 1.5% | |||||||||||
Black Knight, Inc. | 1,943 | 118,639 | |||||||||
Oracle Corp. | 34,026 | 1,872,451 | |||||||||
Veeva Systems, Inc., Class A† | 3,759 | 573,962 | |||||||||
2,565,052 | |||||||||||
Entertainment Software — 0.1% | |||||||||||
Nexon Co., Ltd.† | 12,700 | 154,134 | |||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. | 6,711 | 222,537 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
OneMain Holdings, Inc. | 1,655 | 60,705 | |||||||||
Synchrony Financial | 13,964 | 476,033 | |||||||||
536,738 | |||||||||||
Finance-Credit Card — 0.6% | |||||||||||
Capital One Financial Corp. | 5,831 | 530,505 | |||||||||
Discover Financial Services | 5,370 | 435,453 | |||||||||
965,958 | |||||||||||
Finance-Investment Banker/Broker — 0.2% | |||||||||||
E*TRADE Financial Corp. | 8,117 | 354,632 |
107
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Finance-Leasing Companies — 0.2% | |||||||||||
Chailease Holding Co., Ltd. | 33,219 | $ | 134,230 | ||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 7,400 | 42,956 | |||||||||
ORIX Corp. | 15,900 | 237,952 | |||||||||
415,138 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
Deutsche Boerse AG | 951 | 148,661 | |||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MGIC Investment Corp. | 10,393 | 130,744 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 2,892 | 448,231 | |||||||||
Food-Dairy Products — 0.1% | |||||||||||
Nestle India, Ltd. | 859 | 169,103 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
WH Group, Ltd.* | 24,500 | 22,171 | |||||||||
Food-Misc./Diversified — 0.8% | |||||||||||
Associated British Foods PLC | 5,583 | 158,064 | |||||||||
Mondelez International, Inc., Class A | 15,545 | 859,949 | |||||||||
Nestle SA | 3,486 | 378,141 | |||||||||
Wilmar International, Ltd. | 21,100 | 57,076 | |||||||||
1,453,230 | |||||||||||
Food-Retail — 0.4% | |||||||||||
Dino Polska SA†* | 1,975 | 77,414 | |||||||||
Shoprite Holdings, Ltd. | 12,359 | 100,257 | |||||||||
Tesco PLC | 19,277 | 57,164 | |||||||||
Woolworths Group, Ltd. | 10,707 | 269,757 | |||||||||
X5 Retail Group NV GDR | 3,235 | 113,061 | |||||||||
617,653 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. | 947 | 75,192 | |||||||||
US Foods Holding Corp.† | 4,042 | 166,126 | |||||||||
241,318 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Fu Shou Yuan International Group, Ltd. | 109,000 | 96,429 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Genting Singapore, Ltd. | 130,300 | 82,990 | |||||||||
Gas-Transportation — 0.1% | |||||||||||
Snam SpA | 17,490 | 88,429 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Tervita Corp.† | 12 | 68 | |||||||||
Hotels/Motels — 0.3% | |||||||||||
Extended Stay America, Inc. | 5,208 | 76,245 | |||||||||
Hilton Worldwide Holdings, Inc. | 5,017 | 467,133 | |||||||||
543,378 | |||||||||||
Import/Export — 0.2% | |||||||||||
ITOCHU Corp. | 12,200 | 252,901 | |||||||||
Mitsui & Co., Ltd. | 1,000 | 16,431 | |||||||||
269,332 |
Security Description | Shares | Value (Note 2) | |||||||||
Independent Power Producers — 0.4% | |||||||||||
GenOn Holdings, Inc., Class A†(1) | 54 | $ | 11,340 | ||||||||
NRG Energy, Inc. | 7,109 | 281,517 | |||||||||
Vistra Energy Corp. | 13,244 | 354,012 | |||||||||
646,869 | |||||||||||
Instruments-Controls — 0.6% | |||||||||||
Honeywell International, Inc. | 5,966 | 1,009,447 | |||||||||
Insurance-Life/Health — 1.2% | |||||||||||
Aflac, Inc. | 7,682 | 401,922 | |||||||||
Athene Holding, Ltd., Class A† | 3,678 | 154,697 | |||||||||
Aviva PLC | 47,537 | 233,126 | |||||||||
Legal & General Group PLC | 76,873 | 234,720 | |||||||||
Lincoln National Corp. | 4,453 | 268,605 | |||||||||
Prudential Financial, Inc. | 5,470 | 492,026 | |||||||||
Swiss Life Holding AG | 107 | 51,138 | |||||||||
Unum Group | 5,187 | 154,158 | |||||||||
1,990,392 | |||||||||||
Insurance-Multi-line — 1.4% | |||||||||||
Allianz SE | 1,621 | 378,010 | |||||||||
Allstate Corp. | 3,081 | 334,843 | |||||||||
American Financial Group, Inc. | 850 | 91,672 | |||||||||
Baloise Holding AG | 681 | 122,062 | |||||||||
Hartford Financial Services Group, Inc. | 6,180 | 374,570 | |||||||||
MetLife, Inc. | 16,716 | 788,327 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 21,500 | 248,813 | |||||||||
Zurich Insurance Group AG | 78 | 29,847 | |||||||||
2,368,144 | |||||||||||
Insurance-Reinsurance — 0.3% | |||||||||||
Axis Capital Holdings, Ltd. | 1,006 | 67,120 | |||||||||
Everest Re Group, Ltd. | 519 | 138,101 | |||||||||
IRB Brasil Resseguros S/A | 12,603 | 114,232 | |||||||||
Reinsurance Group of America, Inc. | 785 | 125,506 | |||||||||
444,959 | |||||||||||
Internet Content-Entertainment — 0.2% | |||||||||||
Facebook, Inc., Class A† | 987 | 175,765 | |||||||||
Kakao Corp. | 848 | 96,102 | |||||||||
271,867 | |||||||||||
Internet Content-Information/News — 0.3% | |||||||||||
Tencent Holdings, Ltd. | 12,600 | 534,740 | |||||||||
Tencent Holdings, Ltd. ADR | 1,406 | 58,532 | |||||||||
593,272 | |||||||||||
Internet Infrastructure Software — 0.2% | |||||||||||
F5 Networks, Inc.† | 1,980 | 278,032 | |||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 1,208 | 155,892 | |||||||||
Investment Companies — 0.0% | |||||||||||
Investor AB, Class B | 1,422 | 69,551 | |||||||||
Investment Management/Advisor Services — 0.4% | |||||||||||
Ameriprise Financial, Inc. | 3,051 | 448,802 | |||||||||
LPL Financial Holdings, Inc. | 1,354 | 110,893 | |||||||||
Raymond James Financial, Inc. | 2,068 | 170,527 | |||||||||
730,222 |
108
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machine Tools & Related Products — 0.0% | |||||||||||
Techtronic Industries Co., Ltd. | 11,500 | $ | 80,706 | ||||||||
Machinery-Construction & Mining — 0.4% | |||||||||||
Caterpillar, Inc. | 3,091 | 390,424 | |||||||||
Sandvik AB | 15,085 | 234,914 | |||||||||
625,338 | |||||||||||
Machinery-Electrical — 0.2% | |||||||||||
Hitachi, Ltd. | 7,500 | 280,869 | |||||||||
Machinery-General Industrial — 0.2% | |||||||||||
IDEX Corp. | 1,099 | 180,104 | |||||||||
Roper Technologies, Inc. | 529 | 188,642 | |||||||||
368,746 | |||||||||||
Machinery-Pumps — 0.2% | |||||||||||
Curtiss-Wright Corp. | 407 | 52,654 | |||||||||
Dover Corp. | 2,192 | 218,235 | |||||||||
270,889 | |||||||||||
Medical Instruments — 1.1% | |||||||||||
Edwards Lifesciences Corp.† | 1,946 | 427,945 | |||||||||
Medtronic PLC | 13,139 | 1,427,158 | |||||||||
1,855,103 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Charles River Laboratories International, Inc.† | 686 | 90,806 | |||||||||
Medical Products — 1.5% | |||||||||||
Abbott Laboratories | 15,093 | 1,262,831 | |||||||||
Cooper Cos., Inc. | 627 | 186,219 | |||||||||
Hill-Rom Holdings, Inc. | 1,222 | 128,591 | |||||||||
Hologic, Inc.† | 3,255 | 164,345 | |||||||||
i-SENS, Inc. | 2,051 | 47,167 | |||||||||
Koninklijke Philips NV | 6,198 | 287,307 | |||||||||
Sartorius Stedim Biotech | 423 | 59,185 | |||||||||
Zimmer Biomet Holdings, Inc. | 2,980 | 409,064 | |||||||||
2,544,709 | |||||||||||
Medical-Biomedical/Gene — 1.2% | |||||||||||
Advanz Pharma Corp.† | 52 | 624 | |||||||||
Amgen, Inc. | 5,660 | 1,095,267 | |||||||||
Biogen, Inc.† | 2,326 | 541,539 | |||||||||
Gilead Sciences, Inc. | 6,051 | 383,512 | |||||||||
2,020,942 | |||||||||||
Medical-Drugs — 3.6% | |||||||||||
AbbVie, Inc. | 7,316 | 553,968 | |||||||||
Allergan PLC | 2,037 | 342,807 | |||||||||
Astellas Pharma, Inc. | 15,900 | 227,236 | |||||||||
Bristol-Myers Squibb Co. | 968 | 49,087 | |||||||||
Eli Lilly & Co. | 1,886 | 210,911 | |||||||||
GlaxoSmithKline PLC | 6,450 | 138,066 | |||||||||
Ipsen SA | 430 | 40,815 | |||||||||
Johnson & Johnson | 9,334 | 1,207,633 | |||||||||
Merck & Co., Inc. | 13,973 | 1,176,247 | |||||||||
Novartis AG | 4,044 | 351,081 | |||||||||
Novo Nordisk A/S, Class B | 6,975 | 360,154 | |||||||||
Pfizer, Inc. | 13,082 | 470,036 | |||||||||
Roche Holding AG | 1,891 | 551,463 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Shionogi & Co., Ltd. | 4,500 | $ | 251,060 | ||||||||
UCB SA | 1,509 | 109,575 | |||||||||
Zoetis, Inc. | 1,669 | 207,941 | |||||||||
6,248,080 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Chemed Corp. | 322 | 134,458 | |||||||||
Medical-Wholesale Drug Distribution — 0.5% | |||||||||||
Alfresa Holdings Corp. | 3,000 | 67,312 | |||||||||
AmerisourceBergen Corp. | 2,583 | 212,658 | |||||||||
Cardinal Health, Inc. | 1,177 | 55,543 | |||||||||
McKesson Corp. | 3,831 | 523,544 | |||||||||
Suzuken Co., Ltd. | 1,400 | 75,549 | |||||||||
934,606 | |||||||||||
Metal-Diversified — 0.3% | |||||||||||
Anglo American PLC | 8,265 | 190,405 | |||||||||
Boliden AB | 1,279 | 29,430 | |||||||||
Glencore PLC | 1,344 | 4,049 | |||||||||
Rio Tinto PLC | 5,929 | 307,964 | |||||||||
Rio Tinto, Ltd. | 371 | 23,334 | |||||||||
555,182 | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Fortescue Metals Group, Ltd. | 22,050 | 132,243 | |||||||||
Networking Products — 1.3% | |||||||||||
Cisco Systems, Inc. | 45,550 | 2,250,626 | |||||||||
Non-Hazardous Waste Disposal — 0.5% | |||||||||||
Republic Services, Inc. | 2,424 | 209,797 | |||||||||
Sunny Friend Environmental Technology Co., Ltd. | 11,000 | 96,263 | |||||||||
Waste Management, Inc. | 5,014 | 576,610 | |||||||||
882,670 | |||||||||||
Office Automation & Equipment — 0.3% | |||||||||||
Xerox Holdings Corp. | 6,387 | 191,035 | |||||||||
Zebra Technologies Corp., Class A† | 1,629 | 336,177 | |||||||||
527,212 | |||||||||||
Oil Companies-Exploration & Production — 0.7% | |||||||||||
ConocoPhillips | 16,982 | 967,634 | |||||||||
MWO Holdings LLC†(1)(2) | 10 | 338 | |||||||||
Santos, Ltd. | 32,955 | 172,774 | |||||||||
1,140,746 | |||||||||||
Oil Companies-Integrated — 2.1% | |||||||||||
Chevron Corp. | 18,276 | 2,167,534 | |||||||||
Eni SpA | 8,550 | 130,582 | |||||||||
Equinor ASA | 10,661 | 202,226 | |||||||||
Exxon Mobil Corp. | 1,856 | 131,052 | |||||||||
Lukoil PJSC ADR | 2,772 | 228,901 | |||||||||
OMV AG | 1,962 | 105,111 | |||||||||
Royal Dutch Shell PLC, Class B | 20,320 | 596,941 | |||||||||
3,562,347 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Hilong Holding, Ltd. | 152,000 | 16,471 |
109
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Refining & Marketing — 0.4% | |||||||||||
HollyFrontier Corp. | 1,086 | $ | 58,253 | ||||||||
Phillips 66 | 6,496 | 665,190 | |||||||||
723,443 | |||||||||||
Patient Monitoring Equipment — 0.0% | |||||||||||
Masimo Corp.† | 277 | 41,215 | |||||||||
Photo Equipment & Supplies — 0.1% | |||||||||||
FUJIFILM Holdings Corp. | 3,600 | 158,653 | |||||||||
Pipelines — 0.4% | |||||||||||
Kinder Morgan, Inc. | 30,163 | 621,659 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Voltronic Power Technology Corp. | 4,000 | 82,515 | |||||||||
Private Equity — 0.2% | |||||||||||
3i Group PLC | 10,053 | 144,151 | |||||||||
Partners Group Holding AG | 301 | 230,896 | |||||||||
375,047 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp., Class A | 4,824 | 67,150 | |||||||||
Publishing-Periodicals — 0.1% | |||||||||||
Wolters Kluwer NV | 3,331 | 243,285 | |||||||||
Radio — 0.0% | |||||||||||
iHeartMedia, Inc., Class A† | 26 | 390 | |||||||||
Liberty Media Corp. — Liberty SiriusXM, Series A† | 1,820 | 75,657 | |||||||||
76,047 | |||||||||||
Real Estate Investment Trusts — 2.4% | |||||||||||
AGNC Investment Corp. | 14,088 | 226,676 | |||||||||
Annaly Capital Management, Inc. | 28,475 | 250,580 | |||||||||
Apartment Investment & Management Co., Class A | 2,174 | 113,352 | |||||||||
Apple Hospitality REIT, Inc. | 3,925 | 65,077 | |||||||||
AvalonBay Communities, Inc. | 1,225 | 263,779 | |||||||||
Brixmor Property Group, Inc. | 8,532 | 173,114 | |||||||||
Brookfield Property REIT, Inc., Class A | 3,377 | 68,857 | |||||||||
Camden Property Trust | 1,276 | 141,649 | |||||||||
Chimera Investment Corp. | 2,985 | 58,387 | |||||||||
Crown Castle International Corp. | 4,046 | 562,434 | |||||||||
Duke Realty Corp. | 5,282 | 179,430 | |||||||||
Equinix, Inc. | 214 | 123,435 | |||||||||
Equity LifeStyle Properties, Inc. | 794 | 106,078 | |||||||||
Federal Realty Investment Trust | 849 | 115,583 | |||||||||
Gaming and Leisure Properties, Inc. | 3,154 | 120,609 | |||||||||
Goodman Group | 9,611 | 91,966 | |||||||||
Invitation Homes, Inc. | 7,786 | 230,543 | |||||||||
Japan Prime Realty Investment Corp. | 10 | 47,469 | |||||||||
Klepierre SA | 542 | 18,405 | |||||||||
Liberty Property Trust | 2,007 | 103,019 | |||||||||
Medical Properties Trust, Inc. | 9,401 | 183,884 | |||||||||
New Residential Investment Corp. | 10,969 | 171,994 | |||||||||
Outfront Media, Inc. | 3,092 | 85,896 | |||||||||
STORE Capital Corp. | 4,476 | 167,447 | |||||||||
Sun Communities, Inc. | 895 | 132,863 | |||||||||
Two Harbors Investment Corp. | 5,809 | 76,272 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
VICI Properties, Inc. | 8,496 | $ | 192,434 | ||||||||
Weingarten Realty Investors | 2,202 | 64,144 | |||||||||
4,135,376 | |||||||||||
Real Estate Management/Services — 0.3% | |||||||||||
A-Living Services Co., Ltd.* | 52,750 | 122,857 | |||||||||
CBRE Group, Inc., Class A† | 4,100 | 217,341 | |||||||||
Jones Lang LaSalle, Inc. | 815 | 113,334 | |||||||||
453,532 | |||||||||||
Real Estate Operations & Development — 0.3% | |||||||||||
CK Asset Holdings, Ltd. | 33,000 | 224,716 | |||||||||
Henderson Land Development Co., Ltd. | 28,600 | 133,340 | |||||||||
Kerry Properties, Ltd. | 5,500 | 17,021 | |||||||||
Sun Hung Kai Properties, Ltd. | 6,500 | 93,971 | |||||||||
Swire Properties, Ltd. | 6,200 | 19,543 | |||||||||
488,591 | |||||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
Ashtead Group PLC | 8,514 | 236,912 | |||||||||
Cia de Locacao das Americas | 5,768 | 70,383 | |||||||||
307,295 | |||||||||||
Retail-Apparel/Shoe — 0.1% | |||||||||||
Industria de Diseno Textil SA | 3,501 | 108,448 | |||||||||
Li Ning Co., Ltd. | 31,500 | 90,586 | |||||||||
199,034 | |||||||||||
Retail-Building Products — 0.4% | |||||||||||
Lowe's Cos., Inc. | 5,881 | 646,675 | |||||||||
Wilcon Depot, Inc. | 195,900 | 62,347 | |||||||||
709,022 | |||||||||||
Retail-Consumer Electronics — 0.3% | |||||||||||
Best Buy Co., Inc. | 8,470 | 584,345 | |||||||||
Retail-Convenience Store — 0.1% | |||||||||||
CP ALL PCL | 38,000 | 100,638 | |||||||||
Retail-Discount — 0.6% | |||||||||||
Harvey Norman Holdings, Ltd.† | 5,713 | 17,485 | |||||||||
Walmart, Inc. | 8,217 | 975,194 | |||||||||
992,679 | |||||||||||
Retail-Drug Store — 0.0% | |||||||||||
Sundrug Co., Ltd. | 1,400 | 44,044 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Clicks Group, Ltd. | 7,880 | 111,923 | |||||||||
Poya International Co., Ltd. | 6,040 | 85,926 | |||||||||
197,849 | |||||||||||
Retail-Restaurants — 1.4% | |||||||||||
Darden Restaurants, Inc. | 3,376 | 399,111 | |||||||||
Jubilant Foodworks, Ltd. | 8,057 | 154,694 | |||||||||
Starbucks Corp. | 19,431 | 1,718,089 | |||||||||
Yum China Holdings, Inc. | 2,925 | 132,883 | |||||||||
2,404,777 | |||||||||||
Retail-Toy Stores — 0.0% | |||||||||||
JUMBO SA | 3,775 | 71,724 |
110
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Rubber-Tires — 0.1% | |||||||||||
Bridgestone Corp. | 500 | $ | 19,443 | ||||||||
Cie Generale des Etablissements Michelin SCA | 1,897 | 211,990 | |||||||||
231,433 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Eutelsat Communications SA | 1,429 | 26,608 | |||||||||
Schools — 0.0% | |||||||||||
New Oriental Education & Technology Group, Inc. ADR† | 669 | 74,098 | |||||||||
Semiconductor Components-Integrated Circuits — 0.6% | |||||||||||
QUALCOMM, Inc. | 8,045 | 613,673 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 38,039 | 335,102 | |||||||||
948,775 | |||||||||||
Semiconductor Equipment — 0.5% | |||||||||||
KLA Corp. | 3,295 | 525,388 | |||||||||
Lam Research Corp. | 897 | 207,306 | |||||||||
Tokyo Electron, Ltd. | 300 | 57,624 | |||||||||
790,318 | |||||||||||
Shipbuilding — 0.1% | |||||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 128,000 | 88,951 | |||||||||
Steel-Producers — 0.2% | |||||||||||
Reliance Steel & Aluminum Co. | 1,204 | 119,991 | |||||||||
Steel Dynamics, Inc. | 5,898 | 175,760 | |||||||||
295,751 | |||||||||||
Telecom Services — 0.1% | |||||||||||
Megacable Holdings SA de CV | 16,818 | 67,744 | |||||||||
Telekomunikasi Indonesia Persero Tbk PT | 433,100 | 130,831 | |||||||||
198,575 | |||||||||||
Telecommunication Equipment — 0.1% | |||||||||||
Juniper Networks, Inc. | 6,797 | 168,226 | |||||||||
Telephone-Integrated — 1.9% | |||||||||||
AT&T, Inc. | 4,193 | 158,663 | |||||||||
BT Group PLC | 29,321 | 64,425 | |||||||||
Deutsche Telekom AG | 13,337 | 223,895 | |||||||||
KDDI Corp. | 11,200 | 292,769 | |||||||||
Nippon Telegraph & Telephone Corp. | 3,500 | 167,401 | |||||||||
SoftBank Group Corp. | 2,800 | 109,976 | |||||||||
Telephone & Data Systems, Inc. | 2,788 | 71,930 | |||||||||
Verizon Communications, Inc. | 36,600 | 2,209,176 | |||||||||
3,298,235 | |||||||||||
Television — 0.1% | |||||||||||
Sinclair Broadcast Group, Inc., Class A | 2,908 | 124,288 | |||||||||
Textile-Apparel — 0.1% | |||||||||||
Shenzhou International Group Holdings, Ltd. | 7,200 | 94,724 | |||||||||
Tobacco — 0.1% | |||||||||||
British American Tobacco PLC | 3,632 | 134,281 | |||||||||
Imperial Brands PLC | 5,543 | 124,518 | |||||||||
258,799 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Toys — 0.1% | |||||||||||
Nintendo Co., Ltd. | 700 | $ | 260,618 | ||||||||
Transport-Rail — 0.9% | |||||||||||
Aurizon Holdings, Ltd. | 40,831 | 162,772 | |||||||||
Norfolk Southern Corp. | 2,702 | 485,441 | |||||||||
Union Pacific Corp. | 4,916 | 796,294 | |||||||||
West Japan Railway Co. | 1,300 | 110,120 | |||||||||
1,554,627 | |||||||||||
Transport-Services — 0.1% | |||||||||||
Deutsche Post AG | 5,658 | 188,990 | |||||||||
Kamigumi Co., Ltd. | 1,200 | 27,185 | |||||||||
216,175 | |||||||||||
Water Treatment Systems — 0.0% | |||||||||||
Clean TeQ Holdings, Ltd.† | 178,108 | 36,694 | |||||||||
Web Portals/ISP — 2.1% | |||||||||||
Alphabet, Inc., Class A† | 2,927 | 3,574,277 | |||||||||
Yandex NV, Class A† | 2,910 | 101,879 | |||||||||
3,676,156 | |||||||||||
Wire & Cable Products — 0.0% | |||||||||||
KEI Industries, Ltd. | 10,485 | 79,317 | |||||||||
Total Common Stocks (cost $113,966,479) | 127,056,807 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.0% | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
EPR Properties Series C 5.75% (cost $9,209) | 505 | 16,822 | |||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
GMAC Capital Trust I FRS Series 2 7.94% (3 ML+5.79%) (cost $14,579) | 580 | 15,202 | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.3% | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
BB&T Corp. 4.80% due 09/01/2024(4) | $ | 25,000 | 25,000 | ||||||||
Banks-Super Regional — 0.1% | |||||||||||
Fifth Third Bancorp 5.10% due 06/30/2023(4) | 9,000 | 9,099 | |||||||||
Wells Fargo & Co. Series U 5.88% due 06/15/2025(4) | 85,000 | 93,687 | |||||||||
102,786 | |||||||||||
Diversified Banking Institutions — 0.1% | |||||||||||
Bank of America Corp. Series JJ 5.13% due 06/20/2024(4) | 45,000 | 46,519 | |||||||||
Bank of America Corp. Series AA 6.10% due 03/17/2025(4) | 61,000 | 66,642 | |||||||||
Bank of America Corp. Series Z 6.50% due 10/23/2024(4) | 5,000 | 5,563 |
111
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Series Z 5.30% due 05/01/2020(4) | $ | 52,000 | $ | 52,585 | |||||||
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(4) | 11,000 | 11,933 | |||||||||
183,242 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
WEC Energy Group, Inc. FRS 4.27% (3 ML+2.11%) due 05/15/2067 | 50,000 | 42,062 | |||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.20% due 03/15/2044 | 37,000 | 38,637 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 45,000 | 53,366 | |||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer Partners LP 6.63% due 02/15/2028(4) | 65,000 | 61,425 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 40,000 | 39,800 | |||||||||
101,225 | |||||||||||
Total Preferred Securities/Capital Securities (cost $520,731) | 546,318 | ||||||||||
ASSET BACKED SECURITIES — 1.8% | |||||||||||
Diversified Financial Services — 1.8% | |||||||||||
Alternative Loan Trust FRS Series 2006-OA7, Class 1A2 3.39% (12 MTA+0.94%) due 06/25/2046(5) | 9,956 | 9,251 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 1.00% due 11/10/2042*(3)(6)(7) | 242,115 | 2 | |||||||||
Bear Stearns Commercial Mtg. Securities Trust VRS Series 2006-T22, Class E 5.92% due 04/12/2038*(3)(6) | 126,000 | 129,195 | |||||||||
CD Commercial Mtg. Trust VRS Series 2016-CD1, Class XA 1.55% due 08/10/2049(3)(6)(7) | 285,029 | 20,910 | |||||||||
CFCRE Commercial Mtg. Trust VRS Series 2011-C1, Class D 6.27% due 04/15/2044*(3)(6) | 101,000 | 105,530 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.93% due 09/10/2045*(3)(6)(7) | 224,464 | 9,519 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21,Class AS 4.03% due 05/10/2047(6) | 50,000 | 53,195 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(3)(6) | 68,000 | 71,901 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 4.93% due 05/25/2035(3)(5) | $ | 18,990 | $ | 19,679 | |||||||
Commercial Mtg. Trust VRS Series 2006-C8, Class XS 0.55% due 12/10/2046*(3)(6)(7) | 12,598 | 0 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 1.07% due 12/10/2047(3)(6)(7) | 399,403 | 14,321 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 1.10% due 08/10/2050(3)(6)(7) | 454,946 | 15,111 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 1.15% due 05/10/2047(3)(6)(7) | 284,202 | 10,910 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 1.19% due 08/10/2047(3)(6)(7) | 742,717 | 30,911 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 1.19% due 11/10/2047(3)(6)(7) | 575,821 | 25,118 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.26% due 08/10/2047(3)(6)(7) | 292,101 | 12,866 | |||||||||
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 1.33% due 08/10/2046(3)(6)(7) | 283,943 | 9,497 | |||||||||
Commercial Mtg. Trust Series 2013-LC6, Class AM 3.28% due 01/10/2046(6) | 59,000 | 60,590 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR6, Class D 4.22% due 03/10/2046*(3)(6) | 53,000 | 53,658 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.60% due 12/10/2047(3)(6) | 18,000 | 18,599 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(3)(6) | 12,000 | 13,023 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class C 4.95% due 05/10/2047(3)(6) | 104,000 | 111,079 | |||||||||
Commercial Mtg. Trust VRS Series 2010-C1, Class D 6.30% due 07/10/2046*(3)(6) | 78,000 | 79,642 | |||||||||
Credit Suisse First Boston Mtg. Securities Corp. VRS Series 2003-C3, Class AX 2.21% due 05/15/2038*(3)(6)(7) | 9,973 | 231 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.65% due 02/15/2040*(3)(6)(7) | 57,438 | 241 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 0.87% due 09/15/2039*(3)(6)(7) | 2,755 | 0 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class XA 1.00% due 04/15/2050(3)(6)(7) | 1,022,892 | 37,234 |
112
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.42% due 04/15/2050(3)(6) | $ | 81,000 | $ | 85,622 | |||||||
CSMC Trust VRS Series 2016-NXSR, Class C 4.51% due 12/15/2049(3)(6) | 37,000 | 39,043 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.51% due 08/10/2044*(3)(6) | 132,000 | 137,483 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC2A, Class D 5.71% due 07/10/2044*(3)(6) | 102,000 | 106,277 | |||||||||
GS Mtg. Securities Corp. II VRS Series 2015-GC30, Class XA 0.96% due 05/10/2050(3)(6)(7) | 392,422 | 12,359 | |||||||||
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.65% due 02/10/2046(3)(6)(7) | 759,891 | 32,147 | |||||||||
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(6) | 33,000 | 33,991 | |||||||||
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.85% due 06/10/2047(3)(6) | 68,000 | 71,884 | |||||||||
GS Mtg. Securities Trust VRS Series 2011-GC5, Class C 5.56% due 08/10/2044*(3)(6) | 100,000 | 103,683 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2005-CB12, Class X1 0.51% due 09/12/2037*(3)(6)(7) | 47,776 | 86 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(6) | 22,000 | 22,514 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2013-LC11, Class C 3.96% due 04/15/2046(3)(6) | 69,000 | 70,587 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(6) | 19,000 | 19,756 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.32% due 05/15/2045(3)(6) | 57,000 | 58,045 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.93% due 01/15/2047(3)(6)(7) | 670,223 | 18,462 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.71% due 09/15/2047(3)(6) | 19,000 | 19,610 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C14, Class C 4.86% due 08/15/2046(3)(6) | $ | 79,000 | $ | 83,713 | |||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, Class B 4.93% due 11/15/2045(3)(6) | 38,000 | 41,434 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, ClassC 5.37% due 11/15/2045(3)(6) | 55,000 | 59,884 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2005-C7, Class XCL 0.51% due 11/15/2040*(3)(6)(7) | 66,702 | 6 | |||||||||
LB-UBS Commercial Mtg. Trust VRS Series 2008-C1, Class AM 6.28% due 04/15/2041(3)(6) | 12,840 | 13,153 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 4.45% due 02/25/2035(3)(5) | 8,446 | 8,566 | |||||||||
Merrill Lynch Mtg. Trust VRS Series 2005-MCP1, Class XC 0.00% due 06/12/2043*(3)(6)(7) | 38,096 | 1 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2006-C4, Class X 6.53% due 07/15/2045*(3)(6)(7) | 2,610 | 2 | |||||||||
Mezz Capital Commercial Mtg. Trust VRS Series 2005-C3, Class X 7.14% due 05/15/2044*(3)(6)(7) | 747 | 0 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.27% due 08/15/2047(3)(6)(7) | 117,115 | 4,722 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C8, Class B 3.70% due 12/15/2048(3)(6) | 19,000 | 19,462 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6, Class B 3.93% due 11/15/2045(6) | 69,000 | 71,563 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class C 4.66% due 08/15/2047(3)(6) | 85,000 | 90,031 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C12, Class C 4.92% due 10/15/2046(3)(6) | 55,000 | 59,565 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2016-BNK2, Class C 4.04% due 11/15/2049(3)(6) | 27,000 | 28,429 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class D 5.29% due 07/15/2049*(3)(6) | 43,000 | 43,589 |
113
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Towd Point Asset Trust FRS Series 2018-SL1, Class A 2.75% (1 ML+0.60%) due 01/25/2046* | $ | 68,842 | $ | 68,197 | |||||||
UBS Commercial Mtg.Trust VRS Series 2012-C1, Class C 5.73% due 05/10/2045*(3)(6) | 30,000 | 31,710 | |||||||||
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.20% due 08/10/2049*(3)(6) | 25,000 | 26,414 | |||||||||
UBS-Citigroup Commercial Mtg. Trust Series 2011-C1, Class AS 5.15% due 01/10/2045*(6) | 23,000 | 24,170 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 2.94% (1 ML+0.92%) due 10/25/2044(5) | 28,641 | 28,571 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2016-BNK1, Class AS 2.81% due 08/15/2049(6) | 29,000 | 29,539 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2016-BNK1, Class C 3.07% due 08/15/2049(3)(6) | 113,000 | 111,614 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2012-LC5, Class D 4.92% due 10/15/2045*(3)(6) | 34,000 | 35,340 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.34% due 03/15/2045*(3)(6)(7) | 237,146 | 7,988 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.70% due 12/15/2045*(3)(6)(7) | 172,433 | 7,166 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 2.06% due 11/15/2045*(3)(6)(7) | 105,061 | 5,027 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class AS 3.24% due 12/15/2045(6) | 23,000 | 23,566 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(6) | 47,000 | 48,339 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C8, Class AS 3.66% due 08/15/2045(6) | 18,000 | 18,598 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-UBS1, Class AS 4.31% due 03/15/2046(3)(6) | 24,000 | 25,917 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS 4.39% due 12/15/2046(3)(6) | 67,000 | 72,134 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.52% due 12/15/2045(3)(6) | 18,000 | 18,049 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C16, Class AS 4.67% due 09/15/2046(3)(6) | $ | 20,000 | $ | 21,631 | |||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.97% due 06/15/2045*(3)(6) | 55,000 | 53,760 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.97% due 11/15/2045*(3)(6) | 51,000 | 51,761 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class D 5.84% due 02/15/2044*(3)(6) | 26,000 | 26,645 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.86% due 03/15/2044*(3)(6) | 34,000 | 29,530 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C5, Class C 5.86% due 11/15/2044*(3)(6) | 101,000 | 106,624 | |||||||||
Total Asset Backed Securities (cost $3,605,585) | 3,140,172 | ||||||||||
CONVERTIBLE BONDS & NOTES — 0.0% | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
DISH Network Corp. Senior Notes 3.38% due 08/15/2026 (cost $4,683) | 5,000 | 4,581 | |||||||||
U.S. CORPORATE BONDS & NOTES — 6.4% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028 | 71,000 | 79,560 | |||||||||
Omnicom Group, Inc. Senior Notes 3.60% due 04/15/2026 | 15,000 | 15,812 | |||||||||
95,372 | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Outfront Media Capital LLC Company Guar. Notes 5.63% due 02/15/2024 | 2,000 | 2,058 | |||||||||
Outfront Media Capital LLC Company Guar. Notes 5.88% due 03/15/2025 | 10,000 | 10,312 | |||||||||
12,370 | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Northrop Grumman Corp. Senior Notes 3.25% due 01/15/2028 | 55,000 | 57,722 | |||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
L3Harris Technologies, Inc. Senior Notes 3.85% due 12/15/2026* | 38,000 | 40,820 | |||||||||
L3Harris Technologies, Inc. Senior Notes 4.40% due 06/15/2028* | 25,000 | 28,086 | |||||||||
TransDigm, Inc. Senior Sec. Notes 6.25% due 03/15/2026* | 15,000 | 16,106 |
114
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Aerospace/Defense-Equipment (continued) | |||||||||||
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026 | $ | 25,000 | $ | 26,313 | |||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 07/15/2024 | 28,000 | 28,875 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.50% due 05/15/2025 | 5,000 | 5,188 | |||||||||
145,388 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries, Inc. Senior Sec. Notes 4.50% due 12/01/2026* | 65,000 | 70,909 | |||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 20,000 | 19,600 | |||||||||
90,509 | |||||||||||
Airlines — 0.0% | |||||||||||
Delta Air Lines Pass Through Trust Pass-Through Certs. Series 2009-1, Class A 7.75% due 06/17/2021 | 983 | 993 | |||||||||
Apparel Manufacturers — 0.0% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024* | 10,000 | 10,525 | |||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 2.40% due 08/08/2026 | 20,000 | 20,369 | |||||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 38,000 | 43,249 | |||||||||
salesforce.com, Inc. Senior Notes 3.70% due 04/11/2028 | 75,000 | 82,320 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 5,000 | 5,225 | |||||||||
151,163 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.40% due 08/13/2021* | 15,000 | 15,369 | |||||||||
BMW US Capital LLC Company Guar. Notes 3.95% due 08/14/2028* | 35,000 | 38,342 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026 | 8,000 | 8,095 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025 | 9,000 | 9,347 | |||||||||
71,153 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027* | $ | 20,000 | $ | 20,525 | |||||||
Navistar International Corp. Company Guar. Notes 6.63% due 11/01/2025* | 25,000 | 25,375 | |||||||||
45,900 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Lear Corp. Senior Notes 3.80% due 09/15/2027 | 44,000 | 44,223 | |||||||||
Banks-Commercial — 0.0% | |||||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/15/2022 | 2,000 | 2,119 | |||||||||
CIT Group, Inc. Senior Notes 5.00% due 08/01/2023 | 16,000 | 17,040 | |||||||||
19,159 | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024* | 10,000 | 9,200 | |||||||||
Freedom Mtg. Corp. Senior Notes 8.25% due 04/15/2025* | 15,000 | 13,763 | |||||||||
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025* | 15,000 | 14,587 | |||||||||
37,550 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026* | 5,000 | 5,356 | |||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025 | 9,000 | 9,795 | |||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028 | 62,000 | 69,431 | |||||||||
79,226 | |||||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.65% due 02/01/2026 | 18,000 | 19,283 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.15% due 01/23/2025 | 12,000 | 13,106 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 17,000 | 19,759 |
115
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049 | $ | 14,000 | $ | 18,322 | |||||||
70,470 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Clear Channel Worldwide Holdings, Inc. Senior Sec. Notes 5.13% due 08/15/2027* | 10,000 | 10,419 | |||||||||
Clear Channel Worldwide Holdings, Inc. Company Guar. Notes 9.25% due 02/15/2024* | 8,000 | 8,789 | |||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. Senior Sec. Notes 5.38% due 08/15/2026* | 20,000 | 20,750 | |||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. Company Guar. Notes 6.63% due 08/15/2027* | 25,000 | 25,938 | |||||||||
iHeartCommunications, Inc. Senior Sec. Notes 6.38% due 05/01/2026 | 6,268 | 6,769 | |||||||||
iHeartCommunications, Inc. Company Guar. Notes 8.38% due 05/01/2027 | 17,299 | 18,688 | |||||||||
iHeartCommunications, Inc./Clear Channel Communications, Inc. Escrow Notes 9.00% due 12/15/2019†(2) | 21,000 | 0 | |||||||||
Nexstar Broadcasting, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 30,000 | 31,225 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 5.13% due 02/15/2025* | 15,000 | 14,578 | |||||||||
137,156 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
BMC East LLC Senior Sec. Notes 5.50% due 10/01/2024* | 25,000 | 25,977 | |||||||||
Builders FirstSource, Inc. Senior Sec. Notes 5.63% due 09/01/2024* | 13,000 | 13,520 | |||||||||
Builders FirstSource, Inc. Senior Sec. Notes 6.75% due 06/01/2027* | 15,000 | 16,163 | |||||||||
CPG Merger Sub LLC Company Guar. Notes 8.00% due 10/01/2021* | 5,000 | 5,000 | |||||||||
Louisiana-Pacific Corp. Senior Notes 4.88% due 09/15/2024 | 15,000 | 15,488 | |||||||||
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027* | 55,000 | 56,941 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Building & Construction Products-Misc. (continued) | |||||||||||
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024* | $ | 20,000 | $ | 20,600 | |||||||
153,689 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Cornerstone Building Brands, Inc. Company Guar. Notes 8.00% due 04/15/2026* | 20,000 | 19,675 | |||||||||
TopBuild Corp. Company Guar. Notes 5.63% due 05/01/2026* | 15,000 | 15,581 | |||||||||
Weekley Homes LLC/Weekley Finance Corp. Senior Notes 6.00% due 02/01/2023 | 11,000 | 10,968 | |||||||||
46,224 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
US Concrete, Inc. Company Guar. Notes 6.38% due 06/01/2024 | 18,000 | 18,720 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.63% due 12/15/2025* | 5,000 | 5,019 | |||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.88% due 12/15/2027* | 5,000 | 4,950 | |||||||||
9,969 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. Company Guar. Notes 5.63% due 09/01/2024* | 25,000 | 25,844 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025* | 20,000 | 18,900 | |||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 8.00% due 05/15/2022 | 20,000 | 21,316 | |||||||||
MasTec, Inc. Company Guar. Notes 4.88% due 03/15/2023 | 10,000 | 10,150 | |||||||||
50,366 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023 | 25,000 | 27,763 | |||||||||
Installed Building Products, Inc. Company Guar. Notes 5.75% due 02/01/2028* | 5,000 | 5,156 | |||||||||
Lennar Corp. Company Guar. Notes 5.88% due 11/15/2024 | 15,000 | 16,613 | |||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 10,000 | 10,925 |
116
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building-Residential/Commercial (continued) | |||||||||||
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032 | $ | 20,000 | $ | 24,400 | |||||||
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 5,000 | 5,425 | |||||||||
TRI Pointe Group Inc./TRI Pointe Homes Inc. Company Guar. Notes 5.88% due 06/15/2024 | 10,000 | 10,650 | |||||||||
100,932 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Cablevision Systems Corp. Senior Notes 8.00% due 04/15/2020 | 6,000 | 6,173 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 06/01/2029* | 105,000 | 111,825 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 20,000 | 20,948 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026* | 25,000 | 26,425 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.91% due 07/23/2025 | 12,000 | 13,163 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 22,000 | 23,970 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 28,000 | 34,071 | |||||||||
Comcast Cable Communications Holdings, Inc. Company Guar. Notes 9.46% due 11/15/2022 | 10,000 | 12,241 | |||||||||
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026 | 55,000 | 57,590 | |||||||||
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049 | 27,000 | 29,987 | |||||||||
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035 | 10,000 | 14,011 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027* | $ | 25,000 | $ | 26,203 | |||||||
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024 | 76,000 | 81,700 | |||||||||
CSC Holdings LLC Senior Notes 6.75% due 11/15/2021 | 29,000 | 31,247 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 40,000 | 39,650 | |||||||||
529,204 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. Company Guar. Notes 6.00% due 08/15/2026 | 5,000 | 5,275 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026 | 5,000 | 5,300 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 6.88% due 05/15/2023 | 10,000 | 10,375 | |||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Senior Sec. Notes 6.75% due 11/15/2021* | 20,000 | 20,425 | |||||||||
Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp. Sec. Notes 10.25% due 11/15/2022* | 25,000 | 26,469 | |||||||||
MGM Resorts International Company Guar. Notes 6.63% due 12/15/2021 | 15,000 | 16,250 | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025* | 10,000 | 9,825 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027* | 30,000 | 30,825 | |||||||||
124,744 | |||||||||||
Casino Services — 0.0% | |||||||||||
Eldorado Resorts, Inc. Company Guar. Notes 6.00% due 09/15/2026 | 10,000 | 10,950 | |||||||||
Eldorado Resorts, Inc. Company Guar. Notes 7.00% due 08/01/2023 | 5,000 | 5,225 | |||||||||
16,175 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Communications, Inc. Senior Notes 7.00% due 08/15/2020 | 6,000 | 6,193 |
117
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cellular Telecom (continued) | |||||||||||
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024 | $ | 15,000 | $ | 16,167 | |||||||
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021 | 16,000 | 17,074 | |||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 43,000 | 47,234 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.00% due 04/15/2022 | 5,000 | 5,125 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.50% due 02/01/2026 | 5,000 | 5,147 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028 | 15,000 | 15,697 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027 | 10,000 | 10,750 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.00% due 03/01/2023 | 5,000 | 5,093 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025 | 30,000 | 31,079 | |||||||||
159,559 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
Celanese US Holdings LLC Company Guar. Notes 3.50% due 05/08/2024 | 22,000 | 22,809 | |||||||||
Celanese US Holdings LLC Company Guar. Notes 4.63% due 11/15/2022 | 19,000 | 20,216 | |||||||||
Westlake Chemical Corp. Senior Notes 3.60% due 08/15/2026 | 31,000 | 32,008 | |||||||||
Westlake Chemical Corp. Senior Bonds 4.38% due 11/15/2047 | 14,000 | 13,760 | |||||||||
88,793 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Chemours Co. Company Guar. Notes 5.38% due 05/15/2027 | 10,000 | 8,625 | |||||||||
Chemours Co. Company Guar. Notes 6.63% due 05/15/2023 | 5,000 | 4,938 | |||||||||
Chemours Co. Company Guar. Notes 7.00% due 05/15/2025 | 10,000 | 9,425 | |||||||||
Ecolab, Inc. Senior Notes 3.25% due 12/01/2027 | 65,000 | 69,319 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Chemicals-Specialty (continued) | |||||||||||
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026* | $ | 40,000 | $ | 40,800 | |||||||
Ingevity Corp. Senior Notes 4.50% due 02/01/2026* | 20,000 | 19,800 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 40,000 | 44,183 | |||||||||
Kraton Polymers LLC/Kraton Polymers Capital Corp. Company Guar. Notes 7.00% due 04/15/2025* | 10,000 | 10,425 | |||||||||
PQ Corp. Company Guar. Notes 5.75% due 12/15/2025* | 30,000 | 30,900 | |||||||||
W.R. Grace & Co. Company Guar. Notes 5.63% due 10/01/2024* | 25,000 | 26,938 | |||||||||
265,353 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 5.63% due 10/01/2025* | 25,000 | 25,000 | |||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 35,000 | 36,604 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Finance LLC/Nielsen Finance Co.Company Guar. Notes 5.00% due 04/15/2022* | 25,000 | 25,070 | |||||||||
TMS International Corp. Senior Notes 7.25% due 08/15/2025* | 15,000 | 12,862 | |||||||||
37,932 | |||||||||||
Commercial Services-Finance — 0.0% | |||||||||||
IHS Markit, Ltd. Senior Notes 4.75% due 08/01/2028 | 20,000 | 22,230 | |||||||||
S&P Global, Inc. Company Guar. Notes 4.40% due 02/15/2026 | 15,000 | 16,754 | |||||||||
38,984 | |||||||||||
Computer Services — 0.0% | |||||||||||
Banff Merger Sub, Inc. Senior Notes 9.75% due 09/01/2026* | 25,000 | 23,862 | |||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025* | 35,000 | 36,050 | |||||||||
59,912 |
118
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | $ | 4,000 | $ | 3,680 | |||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 28,000 | 33,897 | |||||||||
Dell International LLC/EMC Corp. Senior Sec. Notes 6.02% due 06/15/2026* | 95,000 | 106,835 | |||||||||
Dell International LLC/EMC Corp. Company Guar. Notes 7.13% due 06/15/2024* | 20,000 | 21,080 | |||||||||
Dell International LLC/EMC Corp. Senior Sec. Notes 8.35% due 07/15/2046* | 8,000 | 10,551 | |||||||||
172,363 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026 | 50,000 | 51,437 | |||||||||
Consulting Services — 0.0% | |||||||||||
Gartner, Inc. Company Guar. Notes 5.13% due 04/01/2025* | 5,000 | 5,231 | |||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 5.00% due 10/01/2029* | 10,000 | 10,175 | |||||||||
Spectrum Brands, Inc. Company Guar. Notes 6.13% due 12/15/2024 | 30,000 | 31,132 | |||||||||
41,307 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024* | 35,000 | 35,961 | |||||||||
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025* | 25,000 | 23,633 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 10,000 | 12,150 | |||||||||
Greif, Inc. Company Guar. Notes 6.50% due 03/01/2027* | 25,000 | 26,512 | |||||||||
98,256 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global Escrow Corp. Sec. Notes 5.63% due 07/15/2027* | 5,000 | 5,175 | |||||||||
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026* | 5,000 | 4,931 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Containers-Paper/Plastic (continued) | |||||||||||
Berry Global, Inc. Sec. Notes 5.13% due 07/15/2023 | $ | 15,000 | $ | 15,394 | |||||||
Berry Global, Inc. Sec. Notes 5.50% due 05/15/2022 | 6,000 | 6,083 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. Company Guar. Notes 4.75% due 02/01/2026 | 10,000 | 10,462 | |||||||||
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031 | 1,000 | 1,383 | |||||||||
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030 | 20,000 | 27,380 | |||||||||
70,808 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Dun & Bradstreet Corp. Senior Sec. Notes 6.88% due 08/15/2026* | 5,000 | 5,450 | |||||||||
Fidelity National Information Services, Inc. Senior Notes 3.00% due 08/15/2026 | 3,000 | 3,089 | |||||||||
Fidelity National Information Services, Inc. Senior Notes 3.75% due 05/21/2029 | 13,000 | 14,102 | |||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 72,000 | 80,311 | |||||||||
Fiserv, Inc. Senior Notes 4.20% due 10/01/2028 | 80,000 | 88,496 | |||||||||
191,448 | |||||||||||
Disposable Medical Products — 0.0% | |||||||||||
Sotera Health Holdings LLC Senior Notes 6.50% due 05/15/2023* | 10,000 | 10,213 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
American Builders & Contractors Supply Co., Inc. Senior Notes 5.75% due 12/15/2023* | 10,000 | 10,300 | |||||||||
American Builders & Contractors Supply Co., Inc. Company Guar. Notes 5.88% due 05/15/2026* | 5,000 | 5,238 | |||||||||
Resideo Funding, Inc. Company Guar. Notes 6.13% due 11/01/2026* | 10,000 | 10,550 | |||||||||
Univar USA, Inc. Company Guar. Notes 6.75% due 07/15/2023* | 10,000 | 10,162 | |||||||||
36,250 |
119
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions — 0.3% | |||||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | $ | 40,000 | $ | 42,346 | |||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 105,000 | 114,563 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027 | 60,000 | 63,622 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 75,000 | 81,869 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 9,000 | 12,149 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 50,000 | 52,734 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048 | 85,000 | 95,296 | |||||||||
462,579 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Amsted Industries, Inc. Company Guar. Notes 5.63% due 07/01/2027* | 10,000 | 10,550 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 3.15% due 08/22/2027 | 30,000 | 31,870 | |||||||||
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047 | 30,000 | 36,042 | |||||||||
67,912 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027* | 5,000 | 5,256 | |||||||||
Match Group, Inc. Senior Notes 5.00% due 12/15/2027* | 30,000 | 31,125 | |||||||||
36,381 | |||||||||||
Educational Software — 0.0% | |||||||||||
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025* | 10,000 | 10,400 | |||||||||
Ascend Learning LLC Senior Notes 6.88% due 08/01/2025* | 15,000 | 15,525 | |||||||||
25,925 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033 | 25,000 | 32,765 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Electric-Generation — 0.1% | |||||||||||
Vistra Operations Co. LLC Senior Sec. Notes 3.55% due 07/15/2024* | $ | 30,000 | $ | 30,199 | |||||||
Vistra Operations Co. LLC Senior Sec. Notes 4.30% due 07/15/2029* | 25,000 | 25,650 | |||||||||
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027* | 10,000 | 10,297 | |||||||||
Vistra Operations Co. LLC Company Guar. Notes 5.50% due 09/01/2026* | 25,000 | 26,155 | |||||||||
Vistra Operations Co. LLC Senior Notes 5.63% due 02/15/2027* | 10,000 | 10,531 | |||||||||
102,832 | |||||||||||
Electric-Integrated — 0.3% | |||||||||||
AES Corp. Senior Notes 4.50% due 03/15/2023 | 5,000 | 5,112 | |||||||||
AES Corp. Senior Notes 4.88% due 05/15/2023 | 5,000 | 5,087 | |||||||||
AES Corp. Senior Notes 5.13% due 09/01/2027 | 30,000 | 31,875 | |||||||||
AES Corp. Senior Notes 5.50% due 04/15/2025 | 30,000 | 31,162 | |||||||||
American Electric Power Co., Inc. Senior Notes 4.30% due 12/01/2028 | 40,000 | 44,819 | |||||||||
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035 | 20,000 | 25,380 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 25,000 | 34,627 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037 | 5,000 | 7,030 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042 | 10,000 | 11,292 | |||||||||
Duke Energy Ohio, Inc. 1st Mtg. Notes 3.65% due 02/01/2029 | 55,000 | 60,176 | |||||||||
FirstEnergy Corp. Senior Notes 3.90% due 07/15/2027 | 54,000 | 57,542 | |||||||||
FirstEnergy Corp. Senior Notes 4.85% due 07/15/2047 | 6,000 | 7,174 | |||||||||
FirstEnergy Transmission LLC Senior Notes 5.45% due 07/15/2044* | 35,000 | 44,451 |
120
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | $ | 10,000 | $ | 10,355 | |||||||
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037 | 15,000 | 21,102 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 25,000 | 25,589 | |||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020 | 11,000 | 17 | |||||||||
422,790 | |||||||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 46,000 | 46,194 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 50,000 | 52,509 | |||||||||
Qorvo, Inc. Company Guar. Notes 5.50% due 07/15/2026 | 10,000 | 10,562 | |||||||||
109,265 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Itron, Inc. Company Guar. Notes 5.00% due 01/15/2026* | 20,000 | 20,606 | |||||||||
Engines-Internal Combustion — 0.0% | |||||||||||
Briggs & Stratton Corp. Company Guar. Notes 6.88% due 12/15/2020 | 30,000 | 30,675 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022 | 15,000 | 15,244 | |||||||||
Oracle Corp. Senior Notes 2.65% due 07/15/2026 | 30,000 | 30,631 | |||||||||
45,875 | |||||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. Sub. Notes 5.75% due 11/20/2025 | 45,000 | 50,401 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 03/15/2020 | 14,000 | 14,297 | |||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031 | 56,000 | 77,420 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026* | 5,000 | 5,350 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Finance-Auto Loans (continued) | |||||||||||
Credit Acceptance Corp. Company Guar. Notes 7.38% due 03/15/2023 | $ | 5,000 | $ | 5,187 | |||||||
152,655 | |||||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
TMX Finance LLC/TitleMax Finance Corp. Senior Sec. Notes 11.13% due 04/01/2023* | 10,000 | 9,250 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025 | 15,000 | 15,978 | |||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022* | 39,000 | 42,068 | |||||||||
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025* | 35,000 | 36,400 | |||||||||
78,468 | |||||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Air Lease Corp. Senior Notes 3.25% due 10/01/2029 | 17,000 | 16,761 | |||||||||
Air Lease Corp. Senior Notes 3.63% due 04/01/2027 | 15,000 | 15,466 | |||||||||
Air Lease Corp. Senior Notes 4.63% due 10/01/2028 | 43,000 | 47,335 | |||||||||
79,562 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Nationstar Mtg. Holdings, Inc. Company Guar. Notes 8.13% due 07/15/2023* | 10,000 | 10,425 | |||||||||
Nationstar Mtg. Holdings, Inc. Company Guar. Notes 9.13% due 07/15/2026* | 5,000 | 5,325 | |||||||||
Nationstar Mtg. LLC/Nationstar Capital Corp. Company Guar. Notes 6.50% due 07/01/2021 | 25,000 | 25,062 | |||||||||
40,812 | |||||||||||
Finance-Other Services — 0.0% | |||||||||||
BGC Partners, Inc. Senior Notes 5.13% due 05/27/2021 | 5,000 | 5,163 | |||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 11/01/2026* | 63,000 | 65,992 |
121
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
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 | $ | 11,125 | |||||||
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023* | 10,000 | 5,800 | |||||||||
16,925 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Wolverine World Wide, Inc. Company Guar. Notes 5.00% due 09/01/2026* | 10,000 | 10,050 | |||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Carriage Services, Inc. Company Guar. Notes 6.63% due 06/01/2026* | 10,000 | 10,245 | |||||||||
Service Corp. International Senior Notes 4.63% due 12/15/2027 | 15,000 | 15,656 | |||||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 20,000 | 21,375 | |||||||||
Service Corp. International Senior Notes 5.38% due 05/15/2024 | 24,000 | 24,769 | |||||||||
72,045 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Caesars Resort Collection LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025* | 25,000 | 25,560 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 8.25% due 03/15/2026* | 25,000 | 26,521 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 10.00% due 12/01/2022 | 22,000 | 22,880 | |||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. Senior Notes 5.13% due 10/01/2029* | 15,000 | 15,719 | |||||||||
90,680 | |||||||||||
Golf — 0.0% | |||||||||||
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025* | 30,000 | 25,125 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Clean Harbors, Inc. Senior Notes 4.88% due 07/15/2027* | 10,000 | 10,438 | |||||||||
Clean Harbors, Inc. Senior Notes 5.13% due 07/15/2029* | 5,000 | 5,300 | |||||||||
15,738 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc.. Senior Notes 4.20% due 04/01/2026 | $ | 15,000 | $ | 15,694 | |||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024 | 5,000 | 5,094 | |||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027 | 70,000 | 73,727 | |||||||||
Wyndham Hotels & Resorts, Inc. Company Guar. Notes 5.38% due 04/15/2026* | 10,000 | 10,475 | |||||||||
89,296 | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026* | 10,000 | 10,350 | |||||||||
Calpine Corp. Senior Notes 5.75% due 01/15/2025 | 20,000 | 20,350 | |||||||||
Calpine Corp. Senior Sec. Notes 5.88% due 01/15/2024* | 3,000 | 3,068 | |||||||||
GenOn Energy, Inc. Escrow Notes 9.88% due 10/15/2020†(2) | 20,000 | 0 | |||||||||
NRG Energy, Inc. Senior Sec. Notes 3.75% due 06/15/2024* | 35,000 | 36,015 | |||||||||
NRG Energy, Inc. Senior Sec. Notes 4.45% due 06/15/2029* | 65,000 | 67,721 | |||||||||
NRG Energy, Inc. Company Guar. Notes 5.25% due 06/15/2029* | 10,000 | 10,753 | |||||||||
NRG Energy, Inc. Company Guar. Notes 5.75% due 01/15/2028 | 10,000 | 10,750 | |||||||||
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027 | 10,000 | 10,834 | |||||||||
NRG Energy, Inc. Company Guar. Notes 7.25% due 05/15/2026 | 10,000 | 10,952 | |||||||||
Vistra Energy Corp. Company Guar. Notes 8.13% due 01/30/2026* | 10,000 | 10,725 | |||||||||
191,518 | |||||||||||
Insurance Brokers — 0.1% | |||||||||||
Alliant Holdings Intermediated LLC Company Guar. Notes 8.25% due 08/01/2023* | 10,000 | 10,212 | |||||||||
HUB International, Ltd. Senior Notes 7.00% due 05/01/2026* | 20,000 | 20,544 |
122
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance Brokers (continued) | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | $ | 33,000 | $ | 37,323 | |||||||
USI, Inc. Senior Notes 6.88% due 05/01/2025* | 10,000 | 10,150 | |||||||||
78,229 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 25,000 | 26,870 | |||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2029 | 15,000 | 16,425 | |||||||||
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039* | 15,000 | 22,170 | |||||||||
65,465 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Hartford Financial Services Group, Inc. Senior Notes 6.63% due 03/30/2040 | 25,000 | 33,921 | |||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 32,000 | 54,461 | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043 | 25,000 | 29,458 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 4.88% due 04/15/2028 | 15,000 | 15,262 | |||||||||
Netflix, Inc. Senior Notes 5.88% due 11/15/2028 | 25,000 | 27,157 | |||||||||
Netflix, Inc. Senior Notes 6.38% due 05/15/2029* | 5,000 | 5,538 | |||||||||
47,957 | |||||||||||
Investment Companies — 0.0% | |||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 4.75% due 09/15/2024* | 10,000 | 9,990 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 02/01/2022 | 5,000 | 5,130 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 05/15/2026* | 15,000 | 15,731 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Investment Companies (continued) | |||||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.75% due 02/01/2024 | $ | 10,000 | $ | 10,400 | |||||||
41,251 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp. Senior Notes 4.88% due 04/15/2045* | 15,000 | 15,686 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Senior Notes 4.60% due 05/15/2028 | 35,000 | 37,723 | |||||||||
Oshkosh Corp. Senior Bonds 5.38% due 03/01/2025 | 15,000 | 15,581 | |||||||||
53,304 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Vertiv Group Corp. Senior Notes 9.25% due 10/15/2024* | 10,000 | 9,637 | |||||||||
Vertiv Intermediate Holding Corp. Senior Notes 12.00% due 02/15/2022*(8) | 5,000 | 4,488 | |||||||||
14,125 | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
RBS Global, Inc./Rexnord LLC Company Guar. Notes 4.88% due 12/15/2025* | 25,000 | 25,685 | |||||||||
Stevens Holding Co, Inc. Company Guar. Notes 6.13% due 10/01/2026* | 25,000 | 26,594 | |||||||||
Tennant Co. Company Guar. Notes 5.63% due 05/01/2025 | 10,000 | 10,400 | |||||||||
62,679 | |||||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Eagle Holding Co. II LLC Notes 7.75% due 05/15/2022*(8) | 5,000 | 5,044 | |||||||||
Medical Products — 0.0% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.70% due 06/06/2027 | 27,000 | 28,663 | |||||||||
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025* | 5,000 | 5,125 | |||||||||
33,788 | |||||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.60% due 08/19/2026 | 12,000 | 12,039 |
123
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Amgen, Inc. Senior Notes 4.66% due 06/15/2051 | $ | 23,000 | $ | 26,929 | |||||||
38,968 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Americas, Inc. Company Guar. Notes 9.25% due 04/01/2026* | 10,000 | 11,362 | |||||||||
Bausch Health Americas, Inc. Company Guar. Notes 8.50% due 01/31/2027* | 15,000 | 16,835 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029* | 110,000 | 117,493 | |||||||||
Zoetis, Inc. Senior Notes 3.90% due 08/20/2028 | 75,000 | 82,066 | |||||||||
227,756 | |||||||||||
Medical-HMO — 0.1% | |||||||||||
Centene Corp. Senior Notes 4.75% due 05/15/2022 | 15,000 | 15,303 | |||||||||
Centene Corp. Senior Notes 5.38% due 06/01/2026* | 5,000 | 5,231 | |||||||||
Centene Corp. Senior Notes 6.13% due 02/15/2024 | 15,000 | 15,603 | |||||||||
Molina Healthcare, Inc. Senior Notes 4.88% due 06/15/2025* | 5,000 | 5,025 | |||||||||
Molina Healthcare, Inc. Senior Notes 5.38% due 11/15/2022 | 10,000 | 10,600 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.85% due 06/15/2028 | 80,000 | 87,580 | |||||||||
WellCare Health Plans, Inc. Senior Notes 5.25% due 04/01/2025 | 5,000 | 5,206 | |||||||||
WellCare Health Plans, Inc. Senior Notes 5.38% due 08/15/2026* | 5,000 | 5,337 | |||||||||
149,885 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.25% due 03/31/2023 | 55,000 | 54,634 | |||||||||
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022 | 15,000 | 11,381 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 8.00% due 03/15/2026* | 15,000 | 14,963 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
CHS/Community Health Systems, Inc. Sec. Notes 8.13% due 06/30/2024* | $ | 17,000 | $ | 13,515 | |||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 35,000 | 36,704 | |||||||||
HCA, Inc. Senior Sec. Notes 5.00% due 03/15/2024 | 20,000 | 21,839 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 45,000 | 50,108 | |||||||||
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047 | 10,000 | 11,243 | |||||||||
HCA, Inc. Company Guar. Notes 7.50% due 02/15/2022 | 3,000 | 3,325 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024 | 10,000 | 10,277 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.88% due 01/01/2026* | 40,000 | 41,050 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 5.13% due 11/01/2027* | 30,000 | 31,001 | |||||||||
Tenet Healthcare Corp. Sec. Notes 6.25% due 02/01/2027* | 20,000 | 20,831 | |||||||||
Tenet Healthcare Corp. Senior Notes 8.13% due 04/01/2022 | 20,000 | 21,631 | |||||||||
342,502 | |||||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
Air Medical Group Holdings, Inc. Senior Notes 6.38% due 05/15/2023* | 10,000 | 8,700 | |||||||||
ASP AMC Merger Sub, Inc. Senior Notes 8.00% due 05/15/2025* | 15,000 | 10,200 | |||||||||
18,900 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027 | 10,000 | 9,550 | |||||||||
Zekelman Industries, Inc. Senior Sec. Notes 9.88% due 06/15/2023* | 6,000 | 6,323 | |||||||||
15,873 | |||||||||||
Metal-Aluminum — 0.0% | |||||||||||
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026* | 20,000 | 20,974 |
124
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal-Aluminum (continued) | |||||||||||
Novelis Corp. Company Guar. Notes 6.25% due 08/15/2024* | $ | 15,000 | $ | 15,675 | |||||||
36,649 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043 | 5,000 | 4,505 | |||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.00% due 04/16/2025* | 16,000 | 16,645 | |||||||||
Glencore Funding LLC Company Guar. Notes 4.63% due 04/29/2024* | 34,000 | 36,329 | |||||||||
Joseph T Ryerson & Son, Inc. Senior Sec. Notes 11.00% due 05/15/2022* | 10,000 | 10,538 | |||||||||
63,512 | |||||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Capital Holdings LLC Company Guar. Notes 5.88% due 11/01/2024* | 15,000 | 15,412 | |||||||||
Lions Gate Capital Holdings LLC Company Guar. Notes 6.38% due 02/01/2024* | 15,000 | 15,861 | |||||||||
31,273 | |||||||||||
Multimedia — 0.1% | |||||||||||
Walt Disney Co. Company Guar. Notes 4.75% due 09/15/2044* | 20,000 | 25,910 | |||||||||
Walt Disney Co. Company Guar. Notes 7.75% due 01/20/2024* | 20,000 | 24,267 | |||||||||
Walt Disney Co. Company Guar. Notes 7.75% due 12/01/2045* | 10,000 | 17,473 | |||||||||
67,650 | |||||||||||
Music — 0.0% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023* | 10,000 | 10,225 | |||||||||
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026* | 10,000 | 10,500 | |||||||||
20,725 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025 | 25,000 | 18,500 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Antero Resources Corp. Company Guar. Notes 5.13% due 12/01/2022 | $ | 6,000 | $ | 5,273 | |||||||
Antero Resources Corp. Company Guar. Notes 5.38% due 11/01/2021 | 11,000 | 10,615 | |||||||||
Antero Resources Corp. Company Guar. Notes 5.63% due 06/01/2023 | 5,000 | 4,325 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 7.00% due 11/01/2026* | 5,000 | 4,175 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. Senior Notes 10.00% due 04/01/2022* | 11,000 | 10,997 | |||||||||
California Resources Corp. Sec. Notes 8.00% due 12/15/2022* | 9,000 | 4,455 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 01/15/2025 | 25,000 | 18,062 | |||||||||
Chesapeake Energy Corp. Company Guar. Notes 8.00% due 06/15/2027 | 5,000 | 3,401 | |||||||||
Comstock Resources, Inc. Company Guar. Notes 9.75% due 08/15/2026 | 5,000 | 4,179 | |||||||||
Concho Resources, Inc. Company Guar. Notes 3.75% due 10/01/2027 | 43,000 | 44,693 | |||||||||
Covey Park Energy LLC/Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025* | 20,000 | 16,000 | |||||||||
Denbury Resources, Inc. Sec. Notes 9.00% due 05/15/2021* | 17,000 | 15,767 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 5.38% due 05/31/2025 | 25,000 | 26,089 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.75% due 01/30/2028* | 20,000 | 21,250 | |||||||||
EOG Resources, Inc. Senior Notes 4.15% due 01/15/2026 | 65,000 | 71,887 | |||||||||
EP Energy LLC/Everest Acquisition Finance, Inc. Senior Sec. Notes 7.75% due 05/15/2026* | 10,000 | 7,500 | |||||||||
Indigo Natural Resources LLC Senior Notes 6.88% due 02/15/2026* | 15,000 | 13,519 | |||||||||
Newfield Exploration Co. Company Guar. Notes 5.75% due 01/30/2022 | 15,000 | 16,013 |
125
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.25% due 05/01/2026* | $ | 10,000 | $ | 8,100 | |||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 03/15/2022 | 15,000 | 13,987 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.88% due 01/15/2023 | 5,000 | 4,575 | |||||||||
SM Energy Co. Senior Notes 5.00% due 01/15/2024 | 10,000 | 8,975 | |||||||||
SM Energy Co. Senior Notes 6.13% due 11/15/2022 | 4,000 | 3,833 | |||||||||
SM Energy Co. Senior Notes 6.63% due 01/15/2027 | 5,000 | 4,313 | |||||||||
SM Energy Co. Senior Notes 6.75% due 09/15/2026 | 5,000 | 4,375 | |||||||||
WPX Energy, Inc. Senior Notes 5.25% due 10/15/2027 | 15,000 | 15,075 | |||||||||
WPX Energy, Inc. Senior Notes 5.75% due 06/01/2026 | 10,000 | 10,250 | |||||||||
WPX Energy, Inc. Senior Notes 8.25% due 08/01/2023 | 10,000 | 11,250 | |||||||||
382,933 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.12% due 05/04/2026 | 20,000 | 20,852 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.94% due 09/21/2028 | 58,000 | 64,274 | |||||||||
85,126 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Apergy Corp. Company Guar. Notes 6.38% due 05/01/2026 | 15,000 | 14,887 | |||||||||
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 | 4,050 | |||||||||
SESI LLC Company Guar. Notes 7.13% due 12/15/2021 | 10,000 | 6,812 | |||||||||
SESI LLC Company Guar. Notes 7.75% due 09/15/2024 | 5,000 | 2,825 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Oil-Field Services (continued) | |||||||||||
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 | 10,375 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 09/01/2027* | 5,000 | 5,163 | |||||||||
44,115 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
International Paper Co. Senior Notes 8.70% due 06/15/2038 | 5,000 | 7,363 | |||||||||
Mercer International, Inc. Senior Notes 5.50% due 01/15/2026 | 5,000 | 4,812 | |||||||||
Mercer International, Inc. Senior Notes 6.50% due 02/01/2024 | 10,000 | 10,250 | |||||||||
Mercer International, Inc. Senior Notes 7.75% due 12/01/2022 | 4,000 | 4,155 | |||||||||
26,580 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Company Guar. Notes 3.75% due 07/15/2023 | 98,000 | 102,623 | |||||||||
CVS Health Corp. Senior Notes 3.70% due 03/09/2023 | 2,000 | 2,082 | |||||||||
CVS Pass-Through Trust Pass-Through Certs. 7.51% due 01/10/2032* | 58,462 | 72,175 | |||||||||
176,880 | |||||||||||
Pipelines — 0.3% | |||||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | 88,000 | 96,305 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025 | 15,000 | 16,689 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037* | 20,000 | 21,050 | |||||||||
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032 | 30,000 | 41,458 | |||||||||
Energy Transfer LP/Regency Energy Finance Corp. Company Guar. Notes 4.50% due 11/01/2023 | 9,000 | 9,530 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.88% due 01/15/2024 | 67,000 | 74,481 |
126
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | $ | 2,000 | $ | 2,429 | |||||||
Energy Transfer Partners LP Company Guar. Notes 5.20% due 02/01/2022 | 15,000 | 15,830 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 15,000 | 16,211 | |||||||||
Hess Infrastructure Partners LP/Hess Infrastructure Partners Finance Corp. Senior Notes 5.63% due 02/15/2026* | 25,000 | 26,125 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 25,000 | 26,094 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044 | 4,000 | 4,580 | |||||||||
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032 | 24,000 | 33,042 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 35,000 | 37,034 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027 | 17,000 | 18,744 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022 | 10,000 | 10,150 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028* | 10,000 | 9,774 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 5.00% due 01/15/2028 | 35,000 | 35,395 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 6.50% due 07/15/2027* | 15,000 | 16,366 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 6.88% due 01/15/2029* | 5,000 | 5,463 | |||||||||
Williams Cos., Inc. Senior Notes 3.60% due 03/15/2022 | 5,000 | 5,136 | |||||||||
Williams Cos., Inc. Senior Notes 4.30% due 03/04/2024 | 51,000 | 54,210 | |||||||||
576,096 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Private Equity — 0.0% | |||||||||||
KKR Group Finance Co. VI LLC Company Guar. Notes 3.75% due 07/01/2029* | $ | 30,000 | $ | 31,616 | |||||||
Publishing-Periodicals — 0.0% | |||||||||||
Meredith Corp. Company Guar. Notes 6.88% due 02/01/2026 | 20,000 | 20,325 | |||||||||
Quarrying — 0.0% | |||||||||||
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024* | 20,000 | 19,700 | |||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027* | 10,000 | 10,300 | |||||||||
Radio — 0.1% | |||||||||||
Entercom Media Corp. Sec. Notes 6.50% due 05/01/2027* | 20,000 | 20,900 | |||||||||
Entercom Media Corp. Company Guar. Notes 7.25% due 11/01/2024* | 15,000 | 15,525 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027* | 75,000 | 77,437 | |||||||||
Townsquare Media, Inc. Company Guar. Notes 6.50% due 04/01/2023* | 5,000 | 4,988 | |||||||||
118,850 | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
American Tower Corp. Senior Notes 3.38% due 10/15/2026 | 25,000 | 26,000 | |||||||||
American Tower Corp. Senior Notes 3.55% due 07/15/2027 | 20,000 | 21,060 | |||||||||
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027 | 26,000 | 27,529 | |||||||||
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028 | 55,000 | 58,494 | |||||||||
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047 | 5,000 | 5,784 | |||||||||
Crown Castle International Corp. Senior Notes 4.88% due 04/15/2022 | 11,000 | 11,694 | |||||||||
Digital Realty Trust LP Company Guar. Notes 4.45% due 07/15/2028 | 100,000 | 110,551 | |||||||||
Equinix, Inc. Senior Notes 5.38% due 05/15/2027 | 66,000 | 71,156 | |||||||||
Equinix, Inc. Senior Notes 5.88% due 01/15/2026 | 5,000 | 5,319 |
127
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | $ | 10,000 | $ | 10,340 | |||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.25% due 06/01/2025 | 10,000 | 11,015 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 10,000 | 10,999 | |||||||||
Hospitality Properties Trust Senior Notes 4.38% due 02/15/2030 | 8,000 | 7,656 | |||||||||
Iron Mountain US Holdings, Inc. Company Guar. Notes 5.38% due 06/01/2026* | 10,000 | 10,350 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 10,000 | 10,227 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 5.25% due 03/15/2028* | 5,000 | 5,169 | |||||||||
iStar, Inc. Senior Notes 4.75% due 10/01/2024 | 15,000 | 15,264 | |||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | 5,000 | 5,106 | |||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 4.50% due 01/15/2028 | 5,000 | 5,187 | |||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.63% due 05/01/2024 | 5,000 | 5,481 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 15,000 | 15,514 | |||||||||
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032 | 20,000 | 28,022 | |||||||||
477,917 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Services, Inc. Company Guar. Notes 4.88% due 03/01/2026 | 17,000 | 18,877 | |||||||||
CBRE Services, Inc. Company Guar. Notes 5.25% due 03/15/2025 | 13,000 | 14,556 | |||||||||
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 9.38% due 04/01/2027* | 5,000 | 4,645 | |||||||||
38,078 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp. Senior Notes 5.38% due 03/15/2025* | $ | 20,000 | $ | 20,800 | |||||||
WeWork Cos., Inc. Company Guar. Notes 7.88% due 05/01/2025* | 10,000 | 8,487 | |||||||||
29,287 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
ERAC USA Finance LLC Company Guar. Notes 3.85% due 11/15/2024* | 15,000 | 15,950 | |||||||||
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042* | 39,000 | 49,419 | |||||||||
65,369 | |||||||||||
Research & Development — 0.0% | |||||||||||
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Company Guar. Notes 6.38% due 08/01/2023* | 20,000 | 20,675 | |||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Six Flags Entertainment Corp. Company Guar. Notes 4.88% due 07/31/2024* | 20,000 | 20,700 | |||||||||
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027* | 35,000 | 37,318 | |||||||||
58,018 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
AutoNation, Inc. Company Guar. Notes 5.50% due 02/01/2020 | 3,000 | 3,031 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.38% due 12/01/2024 | 10,000 | 10,288 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.50% due 05/15/2026 | 15,000 | 15,688 | |||||||||
Penske Automotive Group, Inc. Company Guar. Notes 5.75% due 10/01/2022 | 14,000 | 14,187 | |||||||||
43,194 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
Beacon Roofing Supply, Inc. Senior Sec. Notes 4.50% due 11/15/2026* | 5,000 | 5,050 | |||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 4.88% due 11/01/2025* | 10,000 | 9,799 | |||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 6.38% due 10/01/2023 | 10,000 | 10,325 | |||||||||
25,174 |
128
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Dollar General Corp. Senior Notes 3.25% due 04/15/2023 | $ | 10,000 | $ | 10,331 | |||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp. Company Guar. Notes 6.13% due 04/01/2023* | 20,000 | 15,867 | |||||||||
Walgreens Boots Alliance, Inc. Senior Notes 3.45% due 06/01/2026 | 20,000 | 20,654 | |||||||||
36,521 | |||||||||||
Retail-Mail Order — 0.0% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 15,000 | 15,831 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. Senior Sec. Notes 7.50% due 04/15/2026* | 40,000 | 41,212 | |||||||||
Staples, Inc. Senior Notes 10.75% due 04/15/2027* | 20,000 | 20,550 | |||||||||
61,762 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
Golden Nugget, Inc. Senior Notes 6.75% due 10/15/2024* | 25,000 | 25,437 | |||||||||
Golden Nugget, Inc. Company Guar. Notes 8.75% due 10/01/2025* | 15,000 | 15,638 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027* | 10,000 | 10,413 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.00% due 06/01/2024* | 20,000 | 20,750 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026* | 15,000 | 15,877 | |||||||||
Yum! Brands, Inc. Senior Notes 4.75% due 01/15/2030* | 5,000 | 5,163 | |||||||||
93,278 | |||||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC/Gates Global Co. Company Guar. Notes 6.00% due 07/15/2022* | 14,000 | 13,948 | |||||||||
Software Tools — 0.0% | |||||||||||
VMware, Inc. Senior Notes 3.90% due 08/21/2027 | 15,000 | 15,427 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Steel-Producers — 0.0% | |||||||||||
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 7.25% due 09/01/2025* | $ | 15,000 | $ | 15,825 | |||||||
Steel Dynamics, Inc. Company Guar. Notes 5.00% due 12/15/2026 | 5,000 | 5,238 | |||||||||
Steel Dynamics, Inc. Company Guar. Notes 5.50% due 10/01/2024 | 15,000 | 15,394 | |||||||||
36,457 | |||||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc. Senior Notes 5.95% due 01/15/2021 | 10,000 | 10,219 | |||||||||
Allegheny Technologies, Inc. Senior Notes 7.88% due 08/15/2023 | 5,000 | 5,424 | |||||||||
15,643 | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Aveta, Inc. Escrow Notes 7.00% due 04/01/2019†(2) | 31,000 | 0 | |||||||||
CommScope Technologies LLC Company Guar. Notes 6.00% due 06/15/2025* | 10,000 | 9,050 | |||||||||
CommScope, Inc. Senior Sec. Notes 5.50% due 03/01/2024* | 5,000 | 5,144 | |||||||||
CommScope, Inc. Senior Sec. Notes 6.00% due 03/01/2026* | 5,000 | 5,174 | |||||||||
Plantronics, Inc. Company Guar. Notes 5.50% due 05/31/2023* | 15,000 | 15,037 | |||||||||
34,405 | |||||||||||
Telephone-Integrated — 0.4% | |||||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 75,000 | 82,837 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 5,000 | 5,545 | |||||||||
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026* | 10,000 | 9,999 | |||||||||
Frontier Communications Corp. Senior Notes 11.00% due 09/15/2025 | 30,000 | 13,725 | |||||||||
Level 3 Financing, Inc. Company Guar. Notes 4.63% due 09/15/2027* | 5,000 | 5,045 | |||||||||
Level 3 Financing, Inc. Company Guar. Notes 5.25% due 03/15/2026 | 270,000 | 280,759 |
129
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028 | $ | 60,000 | $ | 65,412 | |||||||
Verizon Communications, Inc. Senior Notes 4.33% due 09/21/2028 | 129,000 | 146,257 | |||||||||
609,579 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp. Company Guar. Notes 2.90% due 01/15/2027 | 18,000 | 17,844 | |||||||||
CBS Corp. Company Guar. Notes 4.00% due 01/15/2026 | 6,000 | 6,396 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 30,000 | 32,553 | |||||||||
CBS Corp. Company Guar. Notes 4.60% due 01/15/2045 | 21,000 | 22,776 | |||||||||
Gray Television, Inc. Company Guar. Notes 7.00% due 05/15/2027* | 25,000 | 27,467 | |||||||||
Nexstar Escrow, Inc. Senior Sec. Notes 5.63% due 07/15/2027* | 5,000 | 5,237 | |||||||||
Sinclair Television Group, Inc. Company Guar. Notes 5.63% due 08/01/2024* | 10,000 | 10,287 | |||||||||
122,560 | |||||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.75% due 06/15/2025 | 10,000 | 9,532 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 5.88% due 11/15/2026 | 15,000 | 13,613 | |||||||||
AMC Entertainment Holdings, Inc. Company Guar. Notes 6.13% due 05/15/2027 | 5,000 | 4,525 | |||||||||
Cinemark USA, Inc. Company Guar. Notes 4.88% due 06/01/2023 | 18,000 | 18,247 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 4.88% due 11/01/2024* | 5,000 | 5,180 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026* | 20,000 | 21,275 | |||||||||
72,372 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025* | 20,000 | 17,100 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Transactional Software — 0.0% | |||||||||||
Solera LLC/Solera Finance, Inc. Senior Notes 10.50% due 03/01/2024* | $ | 15,000 | $ | 15,857 | |||||||
Transport-Rail — 0.0% | |||||||||||
Watco Cos. LLC/Watco Finance Corp. Company Guar. Notes 6.38% due 04/01/2023* | 19,000 | 19,285 | |||||||||
Travel Services — 0.0% | |||||||||||
Sabre GLBL, Inc. Senior Sec. Notes 5.38% due 04/15/2023* | 15,000 | 15,300 | |||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 16,000 | 16,353 | |||||||||
Web Portals/ISP — 0.0% | |||||||||||
Alphabet Inc Senior Notes 2.00% due 08/15/2026 | 35,000 | 35,100 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $10,351,311) | 10,965,746 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.9% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Bombardier, Inc. Senior Notes 7.50% due 12/01/2024* | 25,000 | 25,000 | |||||||||
Bombardier, Inc. Senior Notes 7.88% due 04/15/2027* | 10,000 | 9,958 | |||||||||
Bombardier, Inc. Senior Notes 8.75% due 12/01/2021* | 5,000 | 5,400 | |||||||||
40,358 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 45,000 | 49,568 | |||||||||
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 | 5,263 | |||||||||
Panther BF Aggregator 2 LP/Panther Finance Co, Inc. Company Guar. Notes 8.50% due 05/15/2027* | 15,000 | 15,187 | |||||||||
20,450 | |||||||||||
Banks-Commercial — 0.2% | |||||||||||
Bank of Montreal Sub. Notes 3.80% due 12/15/2032 | 10,000 | 10,371 | |||||||||
CIT Group, Inc. Senior Notes 5.25% due 03/07/2025 | 126,000 | 137,340 |
130
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Commonwealth Bank of Australia Senior Notes 5.00% due 10/15/2019* | $ | 10,000 | $ | 10,011 | |||||||
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026 | 50,000 | 55,223 | |||||||||
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031 | 19,000 | 19,687 | |||||||||
Westpac Banking Corp. Sub. Notes 4.42% due 07/24/2039 | 30,000 | 33,129 | |||||||||
265,761 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 25,000 | 26,582 | |||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047 | 35,000 | 38,584 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Masonite International Corp. Company Guar. Notes 5.38% due 02/01/2028* | 5,000 | 5,212 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.13% due 07/01/2022* | 6,000 | 6,094 | |||||||||
Brookfield Residential Properties, Inc./ Brookfield Residential US Corp. Company Guar. Notes 6.25% due 09/15/2027* | 5,000 | 5,025 | |||||||||
Mattamy Group Corp. Senior Notes 6.50% due 10/01/2025* | 5,000 | 5,250 | |||||||||
Mattamy Group Corp. Senior Notes 6.88% due 12/15/2023* | 10,000 | 10,400 | |||||||||
26,769 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023 | 1,000 | 1,087 | |||||||||
Videotron, Ltd. Company Guar. Notes 5.13% due 04/15/2027* | 30,000 | 31,725 | |||||||||
32,812 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC Senior Notes 4.38% due 05/30/2028 | 35,000 | 38,658 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Tronox Finance PLC Company Guar. Notes 5.75% due 10/01/2025* | $ | 5,000 | $ | 4,729 | |||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025* | 20,000 | 19,750 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
IHS Markit, Ltd. Company Guar. Notes 4.00% due 03/01/2026* | 15,000 | 15,795 | |||||||||
IHS Markit, Ltd. Company Guar. Notes 4.75% due 02/15/2025* | 60,000 | 65,100 | |||||||||
Refinitiv US Holdings, Inc. Senior Sec. Notes 6.25% due 05/15/2026* | 35,000 | 37,537 | |||||||||
118,432 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041* | 5,000 | 5,716 | |||||||||
Teck Resources, Ltd. Senior Notes 3.75% due 02/01/2023 | 5,000 | 5,102 | |||||||||
10,818 | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Legrand France SA Senior Notes 8.50% due 02/15/2025 | 29,000 | 37,196 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 7.88% due 11/01/2022* | 5,000 | 5,200 | |||||||||
Gold Mining — 0.0% | |||||||||||
New Gold, Inc. Company Guar. Notes 6.25% due 11/15/2022* | 5,000 | 5,013 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
GFL Environmental, Inc. Senior Notes 7.00% due 06/01/2026* | 20,000 | 21,050 | |||||||||
GFL Environmental, Inc. Senior Notes 8.50% due 05/01/2027* | 15,000 | 16,631 | |||||||||
37,681 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Aon PLC Company Guar. Notes 4.25% due 12/12/2042 | 20,000 | 21,047 | |||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Fairfax Financial Holdings, Ltd. Senior Notes 4.85% due 04/17/2028 | 55,000 | 59,498 |
131
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
ATS Automation Tooling Systems, Inc. Company Guar. Notes 6.50% due 06/15/2023* | $ | 5,000 | $ | 5,162 | |||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.50% due 11/01/2025* | 5,000 | 5,232 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027* | 20,000 | 21,617 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025* | 50,000 | 51,812 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.50% due 03/15/2022* | 5,000 | 5,169 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 7.00% due 03/15/2024* | 15,000 | 15,764 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 7.00% due 01/15/2028* | 5,000 | 5,386 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 7.25% due 05/30/2029* | 15,000 | 16,385 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 9.00% due 12/15/2025* | 10,000 | 11,225 | |||||||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC Company Guar. Notes 5.50% due 04/15/2025* | 10,000 | 2,953 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.88% due 09/23/2023 | 23,000 | 23,447 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026 | 28,000 | 28,890 | |||||||||
187,880 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
HudBay Minerals, Inc. Company Guar. Notes 7.63% due 01/15/2025* | 10,000 | 10,137 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Waste Connections, Inc. Senior Notes 3.50% due 05/01/2029 | 50,000 | 53,338 | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.75% due 01/15/2024 | 5,000 | 3,250 | |||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | 10,000 | 7,200 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Oil & Gas Drillings (continued) | |||||||||||
Precision Drilling Corp. Company Guar. Notes 7.13% due 01/15/2026* | $ | 20,000 | $ | 18,450 | |||||||
Transocean Pontus, Ltd. Senior Sec. Notes 6.13% due 08/01/2025* | 8,900 | 9,034 | |||||||||
Transocean Poseidon, Ltd. Senior Sec. Notes 6.88% due 02/01/2027* | 10,000 | 10,400 | |||||||||
Transocean Sentry, Ltd. Senior Sec. Notes 5.38% due 05/15/2023* | 15,000 | 14,981 | |||||||||
Transocean, Inc. Company Guar. Notes 7.50% due 04/15/2031 | 5,000 | 3,525 | |||||||||
Valaris PLC Senior Notes 7.75% due 02/01/2026 | 5,000 | 2,676 | |||||||||
69,516 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Baytex Energy Corp. Company Guar. Notes 5.63% due 06/01/2024* | 5,000 | 4,600 | |||||||||
MEG Energy Corp. Company Guar. Notes 6.38% due 01/30/2023* | 25,000 | 24,125 | |||||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 15,000 | 15,300 | |||||||||
44,025 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039 | 10,000 | 12,226 | |||||||||
Equinor ASA Company Guar. Notes 5.10% due 08/17/2040 | 30,000 | 38,702 | |||||||||
50,928 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Smurfit Kappa Treasury Funding, Ltd. Company Guar. Notes 7.50% due 11/20/2025 | 15,000 | 18,150 | |||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Company Guar. Notes 4.25% due 12/01/2026 | 15,000 | 16,408 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027* | 50,000 | 51,978 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028* | 5,000 | 5,032 |
132
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 4.25% due 05/15/2024* | $ | 15,000 | $ | 15,436 | |||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 4.63% due 01/15/2022* | 5,000 | 4,989 | |||||||||
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025* | 20,000 | 20,681 | |||||||||
46,138 | |||||||||||
Satellite Telecom — 0.1% | |||||||||||
Intelsat Connect Finance SA Company Guar. Notes 9.50% due 02/15/2023* | 35,000 | 32,364 | |||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 9.75% due 07/15/2025* | 35,000 | 36,558 | |||||||||
68,922 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 6.13% due 06/01/2025 | 5,000 | 5,627 | |||||||||
ArcelorMittal Senior Notes 7.00% due 10/15/2039 | 12,000 | 14,533 | |||||||||
20,160 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
AT&T, Inc. Senior Notes 4.10% due 02/15/2028 | 65,000 | 70,267 | |||||||||
Level 3 Financing, Inc. Company Guar. Notes 5.63% due 02/01/2023 | 10,000 | 10,125 | |||||||||
80,392 | |||||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022 | 25,000 | 26,312 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $1,531,820) | 1,613,564 | ||||||||||
LOANS(9)(10)(11) — 0.1% | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Navistar, Inc. FRS BTL-B 5.53% (1 ML+3.50%) due 11/06/2024 | 34,512 | 34,361 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
iHeartCommunications, Inc. FRS BTL 6.10% (1 ML+4.00%) due 05/01/2026 | 4,375 | 4,401 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
AZEK Co., LLC FRS BTL-B 5.93% (6 ML +3.75%) due 09/30/2020 | $ | 4,652 | $ | 4,634 | |||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. FRS BTL 6.35%-6.51% (3 ML +4.25%) due 06/21/2024 | 2,623 | 2,553 | |||||||||
Brand Industrial Services, Inc. FRS BTL 6.52% (2 ML +4.25%) due 06/21/2024 | 2,302 | 2,240 | |||||||||
4,793 | |||||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. FRS 1st Lien 5.29% (3 ML+3.00%) due 11/03/2023 | 4,937 | 4,517 | |||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Revlon Consumer Products Corp. FRS BTL-B 5.60% (1 ML +3.50%) due 06/21/2024 | 50 | 38 | |||||||||
Revlon Consumer Products Corp. FRS BTL-B 6.35%-6.51% (3 ML +4.25%) due 06/21/2024 | 9,526 | 7,233 | |||||||||
7,271 | |||||||||||
Diagnostic Kits — 0.0% | |||||||||||
Ortho-Clinical Diagnostics SA FRS BTL 5.56% (3 ML+3.25%) due 06/30/2025 | 9,750 | 9,415 | |||||||||
Environmental Consulting & Engineering — 0.0% | |||||||||||
Robertshaw US Holding Corp. FRS 1st Lien 5.31% (1 ML+3.25%) due 02/28/2025 | 9,875 | 8,962 | |||||||||
Robertshaw US Holding Corp. FRS 2nd Lien 10.06% (1 ML +8.00%) due 02/28/2026 | 10,000 | 8,400 | |||||||||
17,362 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Titan Acquisition, Ltd. FRS BTL 5.04% (1 ML +3.00%) due 03/28/2025 | 19,700 | 18,855 | |||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
California Resources Corp. FRS BTL 6.79% (1 ML +4.75%) due 11/17/2022 | 5,000 | 4,478 |
133
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
LOANS(9)(10)(11) (continued) | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
FTS International, Inc. FRS BTL 6.80% (1 ML +4.75%) due 04/16/2021 | $ | 2,190 | $ | 2,171 | |||||||
Retail-Fabric Store — 0.0% | |||||||||||
Jo-Ann Stores LLC FRS 2nd Lien 11.51% (3 ML +9.25%) due 05/21/2024 | 14,923 | 4,477 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B 4.79% (1 ML +2.75%) due 07/06/2021 | 6,867 | 6,764 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Avaya, Inc. FRS BTL-B 6.28% (1 ML +4.25%) due 12/15/2024 | 12,300 | 11,654 | |||||||||
Avaya, Inc. FRS BTL-B 6.43% (2 ML +4.25%) due 12/15/2024 | 7,388 | 7,000 | |||||||||
18,654 | |||||||||||
Total Loans (cost $159,507) | 142,153 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.1% | |||||||||||
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049 | 25,000 | 40,926 | |||||||||
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040 | 15,000 | 19,459 | |||||||||
State of California General Obligation Bonds 7.50% due 04/01/2034 | 30,000 | 46,232 | |||||||||
Total Municipal Bonds & Notes (cost $70,172) | 106,617 | ||||||||||
U.S. GOVERNMENT AGENCIES — 2.2% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.0% | |||||||||||
5.50% due 06/01/2035 | 2,599 | 2,939 | |||||||||
7.50% due 10/01/2029 | 2,876 | 3,241 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HQA2, Class M2 4.32% (1 ML+2.30%) due 10/25/2048*(5) | 10,000 | 10,114 | |||||||||
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 11.76% (-2.56 * 1 ML+16.95) due 06/15/2034(5)(12) | 8,457 | 9,902 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 3065, Class DC 13.78% (-3 * 1 ML+19.86) due 03/15/2035(5)(12) | $ | 19,665 | $ | 28,058 | |||||||
Series 3072, Class SM 16.36% (-3.67 * 1 ML+23.8) due 11/15/2035(5)(12) | 11,501 | 17,960 | |||||||||
72,214 | |||||||||||
Federal National Mtg. Assoc. — 1.0% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 4.12% (1 ML +2.10%) due 06/25/2039*(5) | 20,000 | 20,074 | |||||||||
Series 2014-C02, Class 2M2 4.62% (1 ML + 2.60%) due 05/25/2024(5) | 57,909 | 60,023 | |||||||||
Series 2017-C01, Class 1M2 5.57% (1 ML+3.55%) due 07/25/2029(5) | 15,000 | 15,765 | |||||||||
Series 2015-C01, Class 1M2 6.32% (1 ML+4.30%) due 02/25/2025(5) | 11,004 | 11,655 | |||||||||
Series 2016-C03, Class 1M2 7.32% (1 ML+5.30%) due 10/25/2028(5) | 10,000 | 10,827 | |||||||||
Series 2016-C02, Class 1M2 8.02% (1 ML+6.00%) due 09/25/2028(5) | 227,000 | 247,490 | |||||||||
Federal National Mtg. Assoc. 3.00% due 09/01/2046 | 607,186 | 621,892 | |||||||||
3.00% due 10/01/2046 | 233,404 | 239,026 | |||||||||
3.50% due 01/01/2047 | 23,790 | 24,625 | |||||||||
4.00% due 09/01/2020 | 675 | 702 | |||||||||
4.50% due 03/01/2020 | 231 | 239 | |||||||||
4.50% due 04/01/2020 | 97 | 100 | |||||||||
4.50% due 09/01/2020 | 621 | 640 | |||||||||
4.50% due 11/01/2020 | 318 | 327 | |||||||||
5.00% due 03/01/2021 | 471 | 486 | |||||||||
6.00% due 06/01/2036 | 1,054 | 1,209 | |||||||||
6.50% due 01/01/2036 | 4 | 5 | |||||||||
6.50% due 06/01/2036 | 6,400 | 7,181 | |||||||||
6.50% due 07/01/2036 | 2,859 | 3,313 | |||||||||
6.50% due 09/01/2036 | 7,849 | 8,967 | |||||||||
6.50% due 11/01/2036 | 19,813 | 22,278 | |||||||||
7.00% due 06/01/2033 | 2,986 | 3,393 | |||||||||
7.00% due 04/01/2035 | 4,624 | 5,371 | |||||||||
7.50% due 04/01/2024 | 3,215 | 3,394 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2017-C02, Class 2ED3 3.37% (1 ML+1.35%) due 09/25/2029(5) | 14,695 | 14,715 | |||||||||
Series 2018-C05, Class 1M2 4.37% (1 ML+2.35%) due 01/25/2031(5) | 13,000 | 13,147 |
134
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2016-C04, Class 1M2 6.27% (1 ML+4.25%) due 01/25/2029(5) | $ | 220,000 | $ | 232,370 | |||||||
Series 2015-C03, Class 2M2 7.02% (1 ML+5.00%) due 07/25/2025(5) | 11,421 | 12,090 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.38% due 10/25/2041(3)(5)(7) | 59,910 | 895 | |||||||||
Federal National Mtg. Assoc., REMIC FRS Series 2005-75, Class GS 14.19% (-3 * 1 ML+20.25) due 08/25/2035(5)(12) | 5,252 | 6,940 | |||||||||
Series 2005-122, Class SE 16.04% (-3.5 * 1 ML+23.1) due 11/25/2035(5)(12) | 5,801 | 7,843 | |||||||||
Series 2006-8, Class HP 17.17% (-3.67 * 1 ML+24.57) due 03/25/2036(5)(12) | 11,915 | 18,779 | |||||||||
1,615,761 | |||||||||||
Government National Mtg. Assoc. — 0.6% | |||||||||||
3.50% due October 30 TBA | 1,000,000 | 1,035,957 | |||||||||
6.50% due 08/20/2037 | 11,825 | 13,784 | |||||||||
6.50% due 09/20/2037 | 2,893 | 3,373 | |||||||||
1,053,114 | |||||||||||
Uniform Mtg. Backed Securities — 0.6% | |||||||||||
4.00% due October 30 TBA | 1,000,000 | 1,037,617 | |||||||||
Total U.S. Government Agencies (cost $3,764,636) | 3,778,706 | ||||||||||
U.S. GOVERNMENT TREASURIES — 4.7% | |||||||||||
United States Treasury Bonds — 1.5% | |||||||||||
2.75% due 08/15/2042(13) | 1,780,000 | 1,998,467 | |||||||||
3.00% due 02/15/2047 | 470,000 | 557,152 | |||||||||
2,555,619 | |||||||||||
United States Treasury Notes — 3.2% | |||||||||||
1.63% due 10/31/2023 | 1,080,000 | 1,082,320 | |||||||||
1.75% due 06/30/2022 | 540,000 | 542,362 | |||||||||
1.88% due 11/30/2021 | 430,000 | 432,268 | |||||||||
2.00% due 11/30/2020 | 820,000 | 821,794 | |||||||||
2.00% due 02/15/2022 | 660,000 | 666,059 | |||||||||
2.13% due 12/31/2022 | 1,090,000 | 1,108,607 | |||||||||
2.63% due 06/15/2021 | 890,000 | 903,628 | |||||||||
5,557,038 | |||||||||||
Total U.S. Government Treasuries (cost $7,665,716) | 8,112,657 | ||||||||||
EXCHANGE-TRADED FUNDS — 1.7% | |||||||||||
iShares MSCI Emerging Markets ETF | 1,035 | 42,301 | |||||||||
SPDR S&P 500 Trust ETF | 8,595 | 2,550,738 | |||||||||
SPDR S&P MidCap 400 ETF Trust | 1,009 | 355,642 | |||||||||
Total Exchange-Traded Funds (cost $2,802,526) | 2,948,681 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EQUITY CERTIFICATES — 0.2% | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
UBS AG — Wuliangye Yibin Co., Ltd. | 6,000 | $ | 109,100 | ||||||||
Insurance-Life/Health — 0.1% | |||||||||||
Merrill Lynch — Bupa Arabia for Cooperative Insurance Co. | 3,360 | 95,304 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Merrill Lynch — Jarir Marketing Co. | 1,992 | 83,903 | |||||||||
Travel Services — 0.0% | |||||||||||
UBS AG — China International Travel Service Corp, Ltd. | 6,800 | 88,648 | |||||||||
Total Equity Certificates (cost $361,006) | 376,955 | ||||||||||
WARRANTS† — 0.0% | |||||||||||
Radio — 0.0% | |||||||||||
iHeartmedia, Inc. Expires 05/01/2039 (cost $3,266) | 198 | 2,871 | |||||||||
RIGHTS† — 0.0% | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Harvey Norman Holdings, Ltd. Expires 10/11/2019 (cost $0) | 1,045 | 1,266 | |||||||||
Total Long-Term Investment Securities (cost $144,831,226) | 158,829,118 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 6.6% | |||||||||||
Commercial Paper — 6.6% | |||||||||||
Bank of New York Mellon 1.88% due 10/01/2019 | $ | 1,250,000 | 1,249,920 | ||||||||
Barclays Bank PLC 2.21% due 11/19/2019* | 850,000 | 847,347 | |||||||||
Bedford Row Funding Corp. 2.14% due 11/08/2019* | 850,000 | 848,132 | |||||||||
BPCE SA 1.88% due 10/01/2019* | 1,500,000 | 1,499,918 | |||||||||
Export Development Canada 2.02% due 10/25/2019 | 850,000 | 848,784 | |||||||||
Manhattan Asset Funding Co. LLC 2.20% due 10/15/2019* | 850,000 | 849,274 | |||||||||
Matchpoint Finance PLC 2.21% due 11/08/2019* | 850,000 | 848,148 | |||||||||
National Australia Bank, Ltd. 1.87% due 10/01/2019* | 1,300,000 | 1,299,923 | |||||||||
National Bank of Canada 2.15% due 10/21/2019* | 850,000 | 848,950 | |||||||||
Simon Property Group LP 2.25% due 10/11/2019* | 850,000 | 849,434 | |||||||||
Societe Generale SA 1.92% due 10/01/2019* | 1,250,000 | 1,249,931 | |||||||||
Total Short-Term Investment Securities (cost $11,240,295) | 11,239,761 |
135
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 1.8% | |||||||||||
Agreement with Bank of America Securities LLC, bearing interest at 2.27%, dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $3,041,192 collateralized by $2,925,000 of United States Treasury Notes, bearing interest at 2.63% due 01/31/2026 and having an approximate value of $3,114,211 (cost $3,041,000) | $ | 3,041,000 | $ | 3,041,000 | |||||||
TOTAL INVESTMENTS (cost $159,112,521)(14) | 100.9 | % | 173,109,879 | ||||||||
Liabilities in excess of other assets | (0.9 | ) | (1,628,660 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 171,481,219 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $16,103,266 representing 9.4% 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 September 30, 2019, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
GenOn Holdings, Inc. Class A | 01/17/2019 | 54 | $ | 8,389 | $ | 11,340 | $ | 210.00 | 0.01 | % | |||||||||||||||||
MWO Holdings LLC | 08/24/2016 | 10 | 6,153 | 338 | 33.83 | 0.00 | |||||||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 1,362 | 0 | 1,171 | 0.86 | 0.00 | |||||||||||||||||||||
$ | 12,849 | 0.01 | % |
(2) Securities classified as Level 3 (see Note 2).
(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) Perpetual maturity — maturity date reflects the next call date.
(5) Collateralized Mortgage Obligation
(6) Commercial Mortgage Backed Security
(7) Interest Only
(8) 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.
(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) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(12) Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at September 30, 2019.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(14) 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
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 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 MTA — 12 Month USD Treasury Average Index
136
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
62 | Long | S&P 500 E-Mini Index | December 2019 | $ | 9,195,108 | $ | 9,233,350 | $ | 38,242 | ||||||||||||||||||
17 | Short | S&P 500 E-Mini Index | December 2019 | 2,561,740 | 2,531,725 | 30,015 | |||||||||||||||||||||
38 | Short | U.S. Treasury 2 Year Notes | December 2019 | 8,208,891 | 8,189,000 | 19,891 | |||||||||||||||||||||
53 | Short | U.S. Treasury 5 Year Notes | December 2019 | 6,351,719 | 6,314,867 | 36,852 | |||||||||||||||||||||
$ | 125,000 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
105 | Long | E-Mini Russell 2000 Index | December 2019 | $ | 8,301,946 | $ | 8,006,250 | $ | (295,696 | ) | |||||||||||||||||
66 | Long | U.S. Treasury 10 Year Notes | December 2019 | 8,701,086 | 8,600,625 | (100,461 | ) | ||||||||||||||||||||
$ | (396,157 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | (271,157 | ) |
* 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. | $ | 8,542 | 11/26/2019 | (3 Month USD LIBOR-BBA | Citibank U.S. Equity Custom | ||||||||||||||||||||||
plus 34 bps)/Quarterly | Basket(1)/Quarterly | $ | — | $ | 220,731 | ||||||||||||||||||||||
Citibank N.A. | 7,323 | 11/26/2019 | (3 Month USD LIBOR-BBA | Russell 1000 Index Total Return/ | |||||||||||||||||||||||
plus 9 bps)/Quarterly | Quarterly | — | (249,369 | ) | |||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | (28,638 | ) |
BBA — British Banker's Association
LIBOR — London Interbank Offered Rate
(1) The following are the 50 largest components in the Citibank U.S. Equity Custom Basket:
Common Stocks | Percentage* | Shares | Value | ||||||||||||
JPMorgan Chase & Co. | 2.7 | % | 51 | $ | 234,654 | ||||||||||
Alphabet, Inc., Class A | 2.4 | 4 | 205,605 | ||||||||||||
Microsoft Corp. | 2.2 | 35 | 191,412 | ||||||||||||
Walt Disney Co. | 2.2 | 36 | 184,081 | ||||||||||||
Apple, Inc. | 2.1 | 21 | 181,235 | ||||||||||||
Texas Instruments, Inc. | 2.0 | 34 | 171,331 | ||||||||||||
Honeywell International, Inc. | 1.9 | 25 | 162,051 | ||||||||||||
Starbucks Corp. | 1.9 | 46 | 160,140 | ||||||||||||
Amazon.com, Inc. | 1.8 | 2 | 154,798 | ||||||||||||
Mondelez International, Inc., Class A | 1.8 | 71 | 152,147 | ||||||||||||
US Bancorp | 1.7 | 68 | 146,883 | ||||||||||||
Automatic Data Processing, Inc. | 1.7 | 23 | 146,142 | ||||||||||||
TJX Cos., Inc. | 1.7 | 66 | 144,465 | ||||||||||||
Intercontinental Exchange, Inc. | 1.7 | 40 | 144,154 | ||||||||||||
Fidelity National Information Services, Inc. | 1.7 | 27 | 141,424 | ||||||||||||
Intuit, Inc. | 1.6 | 13 | 139,942 | ||||||||||||
Kinder Morgan, Inc. | 1.6 | 170 | 136,628 | ||||||||||||
Ingersoll-Rand PLC | 1.6 | 28 | 136,433 | ||||||||||||
Sysco Corp. | 1.6 | 43 | 133,158 | ||||||||||||
Exelon Corp | 1.5 | 69 | 130,506 |
137
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Common Stocks | Percentage* | Shares | Value | ||||||||||||
Allstate Corp. | 1.5 | % | 30 | $ | 126,451 | ||||||||||
T-Mobile US Inc | 1.5 | 40 | 124,073 | ||||||||||||
Zimmer Biomet Holdings Inc | 1.4 | 22 | 120,329 | ||||||||||||
Waste Management, Inc. | 1.4 | 26 | 115,416 | ||||||||||||
Johnson & Johnson | 1.3 | 22 | 112,843 | ||||||||||||
Vistra Energy Corp | 1.3 | 107 | 111,634 | ||||||||||||
Exxon Mobil Corp. | 1.3 | 40 | 110,269 | ||||||||||||
Omnicom Group, Inc. | 1.2 | 35 | 106,643 | ||||||||||||
Cisco Systems, Inc. | 1.2 | 54 | 103,485 | ||||||||||||
Cognizant Technology Solutions Corp., Class A | 1.2 | 43 | 101,496 | ||||||||||||
VICI Properties, Inc. | 1.2 | 112 | 98,923 | ||||||||||||
eBay Inc | 1.1 | 64 | 97,090 | ||||||||||||
Baxter International, Inc. | 1.1 | 28 | 96,310 | ||||||||||||
Annaly Capital Management, Inc. | 1.1 | 268 | 91,865 | ||||||||||||
Verizon Communications, Inc. | 1.1 | 39 | 90,968 | ||||||||||||
Ross Stores, Inc. | 1.0 | 21 | 89,370 | ||||||||||||
Merck & Co., Inc. | 1.0 | 26 | 86,445 | ||||||||||||
Norfolk Southern Corp. | 1.0 | 12 | 84,418 | ||||||||||||
Hershey Co. | 1.0 | 14 | 82,780 | ||||||||||||
Procter & Gamble Co. | 0.9 | 17 | 80,051 | ||||||||||||
KLA Corp | 0.9 | 13 | 78,920 | ||||||||||||
Leidos Holdings Inc | 0.9 | 23 | 76,892 | ||||||||||||
Occidental Petroleum Corp. | 0.9 | 44 | 76,151 | ||||||||||||
Pfizer, Inc. | 0.9 | 54 | 75,840 | ||||||||||||
Garmin Ltd | 0.9 | 23 | 75,684 | ||||||||||||
AGNC Investment Corp. | 0.9 | 119 | 74,748 | ||||||||||||
Cadence Design Systems, Inc. | 0.8 | 27 | 70,420 | ||||||||||||
AutoZone, Inc. | 0.8 | 2 | 70,303 | ||||||||||||
F5 Networks, Inc. | 0.8 | 13 | 69,562 | ||||||||||||
Hologic Inc | 0.8 | 35 | 68,470 | ||||||||||||
Total of the 50 largest components in the Citibank U.S. Equity Custom Basket | 69.8 | 5,965,038 | |||||||||||||
Other components in the Citibank U.S. Equity Custom Basket | 30.2 | 2,577,100 | |||||||||||||
Total components in the Citibank U.S. Equity Custom Basket | 100.0 | % | $ | 8,542,138 |
* Represents the weighting of the component in the custom basket.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
Bank of America, N.A. | USD | 329,052 | EUR | 297,600 | 12/18/2019 | $ | — | $ | (2,752 | ) | |||||||||||||||||||||
Barclays Bank PLC | HKD | 3,082,000 | USD | 394,014 | 11/20/2019 | 520 | — | ||||||||||||||||||||||||
Citibank N.A. | DKK | 632,700 | USD | 93,816 | 12/18/2019 | 863 | — | ||||||||||||||||||||||||
USD | 80,019 | GBP | 65,400 | 12/18/2019 | 649 | — | |||||||||||||||||||||||||
1,512 | — | ||||||||||||||||||||||||||||||
Goldman Sachs International | USD | 248,782 | JPY | 26,560,500 | 11/20/2019 | — | (2,354 | ) | |||||||||||||||||||||||
HSBC Bank USA | USD | 473,732 | CNH | 3,307,400 | 11/20/2019 | — | (11,048 | ) | |||||||||||||||||||||||
USD | 1,097,524 | EUR | 993,100 | 12/18/2019 | — | (8,651 | ) | ||||||||||||||||||||||||
USD | 285,625 | GBP | 227,500 | 12/18/2019 | — | (5,013 | ) | ||||||||||||||||||||||||
— | (24,712 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase Bank | NOK | 450,600 | USD | 49,782 | 12/18/2019 | 192 | — | ||||||||||||||||||||||||
USD | 265,879 | AUD | 379,000 | 10/16/2019 | — | (9,944 | ) | ||||||||||||||||||||||||
USD | 563,273 | JPY | 60,414,100 | 11/20/2019 | — | (2,750 | ) | ||||||||||||||||||||||||
USD | 380,468 | KRW | 456,835,800 | 11/20/2019 | 1,022 | — | |||||||||||||||||||||||||
USD | 159,679 | SGD | 218,600 | 11/20/2019 | — | (1,430 | ) | ||||||||||||||||||||||||
USD | 703,244 | CHF | 688,100 | 12/18/2019 | — | (9,105 | ) | ||||||||||||||||||||||||
USD | 578,628 | GBP | 467,800 | 12/18/2019 | — | (1,617 | ) | ||||||||||||||||||||||||
1,214 | (24,846 | ) |
138
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||||||||||
NatWest Markets PLC | SEK | 2,050,900 | USD | 211,220 | 12/18/2019 | $ | 1,780 | $ | — | ||||||||||||||||||||||
State Street Bank and Trust Co. | USD | 12,374 | ILS | 43,900 | 10/16/2019 | 264 | — | ||||||||||||||||||||||||
USD | 484,309 | JPY | 51,935,100 | 11/20/2019 | — | (2,454 | ) | ||||||||||||||||||||||||
264 | (2,454 | ) | |||||||||||||||||||||||||||||
UBS AG | USD | 356,511 | AUD | 508,300 | 10/16/2019 | — | (13,261 | ) | |||||||||||||||||||||||
USD | 25,658 | CAD | 33,600 | 10/16/2019 | — | (290 | ) | ||||||||||||||||||||||||
— | (13,551 | ) | |||||||||||||||||||||||||||||
Westpac Banking Corp. | USD | 19,167 | CAD | 25,100 | 10/16/2019 | — | (217 | ) | |||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 5,290 | $ | (70,886 | ) |
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
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | — | $ | 208,860 | # | $ | — | $ | 208,860 | ||||||||||
Independent Power Producers | 635,529 | 11,340 | — | 646,869 | |||||||||||||||
Oil Companies-Exploration & Production | 967,634 | 172,774 | ** | 338 | 1,140,746 | ||||||||||||||
Other Industries | 97,765,078 | 27,295,254 | ** | — | 125,060,332 | ||||||||||||||
Convertible Preferred Securities | 16,822 | — | — | 16,822 | |||||||||||||||
Preferred Securities | 15,202 | — | — | 15,202 | |||||||||||||||
Preferred Securities/Capital Securities | — | 546,318 | — | 546,318 | |||||||||||||||
Asset Backed Securities | — | 3,140,172 | — | 3,140,172 | |||||||||||||||
Convertible Bonds & Notes | — | 4,581 | — | 4,581 | |||||||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Broadcast Services/Program | — | 137,156 | 0 | 137,156 | |||||||||||||||
Independent Power Producers | — | 191,518 | 0 | 191,518 | |||||||||||||||
Oil-Field Services | — | 44,112 | 3 | 44,115 | |||||||||||||||
Telecommunication Equipment | — | 34,405 | 0 | 34,405 | |||||||||||||||
Other Industries | — | 10,558,552 | — | 10,558,552 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 1,613,564 | — | 1,613,564 | |||||||||||||||
Loans | — | 142,153 | — | 142,153 | |||||||||||||||
Municipal Bonds & Notes | — | 106,617 | — | 106,617 | |||||||||||||||
U.S. Government Agencies | — | 3,778,706 | — | 3,778,706 | |||||||||||||||
U.S. Government Treasuries | — | 8,112,657 | — | 8,112,657 | |||||||||||||||
Exchange-Traded Funds | 2,948,681 | — | — | 2,948,681 | |||||||||||||||
Equity Certificates | — | 376,955 | — | 376,955 | |||||||||||||||
Warrants | — | 2,871 | — | 2,871 | |||||||||||||||
Rights | 1,266 | — | — | 1,266 | |||||||||||||||
Short-Term Investment Securities | — | 11,239,761 | — | 11,239,761 | |||||||||||||||
Repurchase Agreements | — | 3,041,000 | — | 3,041,000 | |||||||||||||||
Total Investments at Value | $ | 102,350,212 | $ | 70,759,326 | $ | 341 | $ | 173,109,879 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 125,000 | $ | — | $ | — | $ | 125,000 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 220,731 | — | 220,731 | |||||||||||||||
Forward Foreign Currency Contracts | — | 5,290 | — | 5,290 | |||||||||||||||
Total Other Financial Instruments | $ | 125,000 | $ | 226,021 | $ | — | $ | 351,021 |
139
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 396,157 | $ | — | $ | — | $ | 396,157 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 249,369 | — | 249,369 | |||||||||||||||
Forward Foreign Currency Contracts | — | 70,886 | — | 70,886 | |||||||||||||||
Total Other Financial Instruments | $ | 396,157 | $ | 320,255 | $ | — | $ | 716,412 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
# Amount includes $207,689 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
† Amounts 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
140
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
E-Commerce/Products | 10.8 | % | |||||
Applications Software | 10.2 | ||||||
Finance-Credit Card | 7.3 | ||||||
Internet Content-Entertainment | 6.8 | ||||||
Web Portals/ISP | 6.3 | ||||||
Aerospace/Defense | 5.2 | ||||||
Data Processing/Management | 3.6 | ||||||
Medical-HMO | 3.5 | ||||||
Medical Products | 3.2 | ||||||
E-Commerce/Services | 3.1 | ||||||
Commercial Services-Finance | 2.9 | ||||||
Machinery-General Industrial | 2.7 | ||||||
Retail-Discount | 2.3 | ||||||
Medical Instruments | 2.0 | ||||||
Casino Hotels | 2.0 | ||||||
Internet Content-Information/News | 2.0 | ||||||
Medical-Biomedical/Gene | 1.8 | ||||||
Finance-Investment Banker/Broker | 1.6 | ||||||
Enterprise Software/Service | 1.6 | ||||||
Multimedia | 1.5 | ||||||
Auto/Truck Parts & Equipment-Original | 1.2 | ||||||
Auto-Cars/Light Trucks | 1.1 | ||||||
Athletic Footwear | 1.1 | ||||||
Semiconductor Equipment | 1.1 | ||||||
Computer Software | 1.0 | ||||||
Software Tools | 0.9 | ||||||
Electric-Distribution | 0.9 | ||||||
Retail-Restaurants | 0.9 | ||||||
Electronic Components-Semiconductors | 0.9 | ||||||
Electronic Measurement Instruments | 0.8 | ||||||
Electric-Integrated | 0.8 | ||||||
Computers | 0.8 | ||||||
Medical-Hospitals | 0.7 | ||||||
Pharmacy Services | 0.7 | ||||||
Tobacco | 0.7 | ||||||
Finance-Other Services | 0.6 | ||||||
Transport-Truck | 0.6 | ||||||
Oil Companies-Exploration & Production | 0.6 | ||||||
Insurance-Multi-line | 0.6 | ||||||
Industrial Gases | 0.5 | ||||||
Building-Residential/Commercial | 0.5 | ||||||
Registered Investment Companies | 0.5 | ||||||
Diversified Financial Services | 0.4 | ||||||
Instruments-Controls | 0.4 | ||||||
Internet Security | 0.3 | ||||||
Real Estate Investment Trusts | 0.3 | ||||||
Communications Software | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Retail-Perfume & Cosmetics | 0.1 | ||||||
Real Estate Management/Services | 0.1 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
141
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.9% | |||||||||||
Aerospace/Defense — 5.2% | |||||||||||
Boeing Co. | 43,312 | $ | 16,478,917 | ||||||||
Northrop Grumman Corp. | 10,021 | 3,755,770 | |||||||||
20,234,687 | |||||||||||
Applications Software — 9.9% | |||||||||||
Intuit, Inc. | 22,865 | 6,080,718 | |||||||||
Microsoft Corp. | 164,906 | 22,926,881 | |||||||||
salesforce.com, Inc.† | 38,161 | 5,664,619 | |||||||||
ServiceNow, Inc.† | 9,386 | 2,382,636 | |||||||||
Tencent Music Entertainment Group ADR† | 134,100 | 1,712,457 | |||||||||
38,767,311 | |||||||||||
Athletic Footwear — 1.1% | |||||||||||
NIKE, Inc., Class B | 47,810 | 4,490,315 | |||||||||
Auto-Cars/Light Trucks — 0.9% | |||||||||||
Ferrari NV | 23,116 | 3,561,944 | |||||||||
Auto/Truck Parts & Equipment-Original — 1.2% | |||||||||||
Aptiv PLC | 54,018 | 4,722,254 | |||||||||
Building-Residential/Commercial — 0.5% | |||||||||||
NVR, Inc.† | 510 | 1,895,849 | |||||||||
Casino Hotels — 2.0% | |||||||||||
Las Vegas Sands Corp. | 46,831 | 2,704,959 | |||||||||
MGM Resorts International | 71,402 | 1,979,263 | |||||||||
Wynn Resorts, Ltd. | 29,519 | 3,209,306 | |||||||||
7,893,528 | |||||||||||
Chemicals-Diversified — 0.3% | |||||||||||
DuPont de Nemours, Inc. | 14,476 | 1,032,284 | |||||||||
Commercial Services-Finance — 2.9% | |||||||||||
Equifax, Inc. | 10,355 | 1,456,638 | |||||||||
Global Payments, Inc. | 14,905 | 2,369,895 | |||||||||
PayPal Holdings, Inc.† | 32,484 | 3,365,017 | |||||||||
S&P Global, Inc. | 1,064 | 260,659 | |||||||||
TransUnion | 49,309 | 3,999,453 | |||||||||
11,451,662 | |||||||||||
Communications Software — 0.3% | |||||||||||
Slack Technologies, Inc., Class A† | 47,769 | 1,133,558 | |||||||||
Computer Software — 1.0% | |||||||||||
Splunk, Inc.† | 30,842 | 3,635,038 | |||||||||
Zoom Video Communications, Inc., Class A† | 1,286 | 97,993 | |||||||||
3,733,031 | |||||||||||
Computers — 0.8% | |||||||||||
Apple, Inc. | 13,451 | 3,012,620 | |||||||||
Data Processing/Management — 3.6% | |||||||||||
Fidelity National Information Services, Inc. | 67,870 | 9,010,421 | |||||||||
Fiserv, Inc.† | 46,979 | 4,866,555 | |||||||||
13,876,976 | |||||||||||
Diversified Financial Services — 0.4% | |||||||||||
ANT International Co., Ltd., Class C†(1)(2) | 249,140 | 1,601,970 |
Security Description | Shares | Value (Note 2) | |||||||||
E-Commerce/Products — 10.8% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 61,549 | $ | 10,292,839 | ||||||||
Amazon.com, Inc.† | 18,297 | 31,761,946 | |||||||||
42,054,785 | |||||||||||
E-Commerce/Services — 2.1% | |||||||||||
Booking Holdings, Inc.† | 1,920 | 3,768,211 | |||||||||
IAC/InterActiveCorp† | 13,003 | 2,834,264 | |||||||||
Match Group, Inc. | 351 | 25,076 | |||||||||
MercadoLibre, Inc.† | 1,905 | 1,050,093 | |||||||||
Uber Technologies, Inc. (Lock-Up Shares)†(2) | 22,771 | 672,439 | |||||||||
8,350,083 | |||||||||||
Electric-Distribution — 0.9% | |||||||||||
Sempra Energy | 24,386 | 3,599,617 | |||||||||
Electric-Integrated — 0.8% | |||||||||||
NextEra Energy, Inc. | 13,603 | 3,169,363 | |||||||||
Electronic Components-Semiconductors — 0.9% | |||||||||||
Marvell Technology Group, Ltd. | 134,609 | 3,361,187 | |||||||||
Electronic Measurement Instruments — 0.8% | |||||||||||
Fortive Corp. | 46,884 | 3,214,367 | |||||||||
Enterprise Software/Service — 1.5% | |||||||||||
Atlassian Corp. PLC, Class A† | 2,962 | 371,553 | |||||||||
Temenos AG | 13,105 | 2,196,136 | |||||||||
Workday, Inc., Class A† | 18,969 | 3,223,971 | |||||||||
5,791,660 | |||||||||||
Finance-Credit Card — 7.3% | |||||||||||
Mastercard, Inc., Class A | 49,272 | 13,380,797 | |||||||||
Visa, Inc., Class A | 86,977 | 14,960,914 | |||||||||
28,341,711 | |||||||||||
Finance-Investment Banker/Broker — 1.6% | |||||||||||
Charles Schwab Corp. | 74,314 | 3,108,555 | |||||||||
TD Ameritrade Holding Corp. | 69,775 | 3,258,492 | |||||||||
6,367,047 | |||||||||||
Finance-Other Services — 0.6% | |||||||||||
Intercontinental Exchange, Inc. | 25,963 | 2,395,606 | |||||||||
Industrial Gases — 0.5% | |||||||||||
Linde PLC | 10,800 | 2,092,176 | |||||||||
Instruments-Controls — 0.4% | |||||||||||
Honeywell International, Inc. | 8,768 | 1,483,546 | |||||||||
Insurance-Multi-line — 0.6% | |||||||||||
Chubb, Ltd. | 13,896 | 2,243,370 | |||||||||
Internet Content-Entertainment — 6.8% | |||||||||||
Facebook, Inc., Class A† | 119,687 | 21,313,861 | |||||||||
Netflix, Inc.† | 18,705 | 5,005,832 | |||||||||
26,319,693 | |||||||||||
Internet Content-Information/News — 2.0% | |||||||||||
Tencent Holdings, Ltd. | 185,400 | 7,868,320 | |||||||||
Internet Security — 0.3% | |||||||||||
Symantec Corp. | 56,874 | 1,343,933 |
142
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-General Industrial — 2.7% | |||||||||||
Hexagon AB, Class B | 42,336 | $ | 2,045,688 | ||||||||
Roper Technologies, Inc. | 14,030 | 5,003,098 | |||||||||
Wabtec Corp. | 46,968 | 3,375,120 | |||||||||
10,423,906 | |||||||||||
Medical Instruments — 2.0% | |||||||||||
Alcon, Inc.† | 34,869 | 2,035,034 | |||||||||
Intuitive Surgical, Inc.† | 10,947 | 5,910,614 | |||||||||
7,945,648 | |||||||||||
Medical Products — 3.2% | |||||||||||
Becton Dickinson and Co. | 21,579 | 5,458,624 | |||||||||
Stryker Corp. | 32,753 | 7,084,474 | |||||||||
12,543,098 | |||||||||||
Medical-Biomedical/Gene — 1.8% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 12,157 | 1,190,656 | |||||||||
Vertex Pharmaceuticals, Inc.† | 33,880 | 5,739,950 | |||||||||
6,930,606 | |||||||||||
Medical-HMO — 3.5% | |||||||||||
Anthem, Inc. | 13,401 | 3,217,580 | |||||||||
Centene Corp.† | 59,490 | 2,573,537 | |||||||||
UnitedHealth Group, Inc. | 26,586 | 5,777,670 | |||||||||
WellCare Health Plans, Inc.† | 7,452 | 1,931,335 | |||||||||
13,500,122 | |||||||||||
Medical-Hospitals — 0.7% | |||||||||||
HCA Healthcare, Inc. | 23,599 | 2,841,792 | |||||||||
Multimedia — 1.5% | |||||||||||
Walt Disney Co. | 45,608 | 5,943,635 | |||||||||
Oil Companies-Exploration & Production — 0.6% | |||||||||||
Concho Resources, Inc. | 13,500 | 916,650 | |||||||||
Pioneer Natural Resources Co. | 11,014 | 1,385,231 | |||||||||
2,301,881 | |||||||||||
Pharmacy Services — 0.7% | |||||||||||
Cigna Corp. | 18,108 | 2,748,613 | |||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
Crown Castle International Corp. | 8,522 | 1,184,643 | |||||||||
Retail-Discount — 2.3% | |||||||||||
Dollar General Corp. | 9,995 | 1,588,605 | |||||||||
Dollar Tree, Inc.† | 32,520 | 3,712,483 | |||||||||
Dollarama, Inc. | 102,301 | 3,662,405 | |||||||||
8,963,493 | |||||||||||
Retail-Perfume & Cosmetics — 0.1% | |||||||||||
Ulta Beauty, Inc.† | 865 | 216,812 | |||||||||
Retail-Restaurants — 0.9% | |||||||||||
McDonald's Corp. | 9,663 | 2,074,743 | |||||||||
Restaurant Brands International, Inc. | 18,166 | 1,292,329 | |||||||||
3,367,072 | |||||||||||
Semiconductor Equipment — 1.1% | |||||||||||
ASML Holding NV | 16,892 | 4,196,311 | |||||||||
Software Tools — 0.9% | |||||||||||
VMware, Inc., Class A | 24,421 | 3,664,615 | |||||||||
Tobacco — 0.7% | |||||||||||
Philip Morris International, Inc. | 35,323 | 2,682,075 |
Security Description | Shares | Value (Note 2) | |||||||||
Transport-Truck — 0.6% | |||||||||||
JB Hunt Transport Services, Inc. | 21,098 | $ | 2,334,494 | ||||||||
Web Portals/ISP — 6.3% | |||||||||||
Alphabet, Inc., Class A† | 10,165 | 12,412,888 | |||||||||
Alphabet, Inc., Class C† | 9,941 | 12,118,079 | |||||||||
24,530,967 | |||||||||||
Total Common Stocks (cost $272,144,895) | 381,724,236 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.7% | |||||||||||
Applications Software — 0.3% | |||||||||||
Magic Leap, Inc., Series C†(1)(2) | 26,666 | 657,584 | |||||||||
Magic Leap, Inc., Series D†(1)(2) | 16,678 | 411,279 | |||||||||
1,068,863 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Aurora Innovation, Inc. Series B†(1)(2) | 35,120 | 324,519 | |||||||||
GM Cruise Holdings, LLC Class F†(1)(2) | 33,800 | 616,850 | |||||||||
941,369 | |||||||||||
E-Commerce/Services — 1.0% | |||||||||||
Airbnb, Inc., Series D†(1)(2) | 13,329 | 1,678,699 | |||||||||
Airbnb, Inc., Series E†(1)(2) | 8,841 | 1,113,465 | |||||||||
Xiaoju Kuaizhi, Inc., Series A-17†(1)(2) | 19,048 | 970,155 | |||||||||
3,762,319 | |||||||||||
Enterprise Software/Service — 0.1% | |||||||||||
UiPath, Inc., Series D-1†(1)(2) | 12,136 | 477,572 | |||||||||
UiPath, Inc., Series D-2†(1)(2) | 2,038 | 80,199 | |||||||||
557,771 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
WeWork Cos., Inc., Series E†(1)(2) | 12,598 | 214,544 | |||||||||
Total Convertible Preferred Securities (cost $4,866,114) | 6,544,866 | ||||||||||
Total Long-Term Investment Securities (cost $277,011,009) | 388,269,102 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.5% | |||||||||||
Registered Investment Companies — 0.5% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.18%(3) | 500,853 | 500,853 | |||||||||
T. Rowe Price Government Reserve Fund 2.00%(3) | 1,282,904 | 1,282,904 | |||||||||
Total Short-Term Investment Securities (cost $1,783,757) | 1,783,757 | ||||||||||
TOTAL INVESTMENTS (cost $278,794,766)(4) | 100.1 | % | 390,052,859 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (260,860 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 389,791,999 |
† 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
143
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 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 | $ | 1,601,970 | $ | 6.43 | 0.41 | % | |||||||||||||||||
Uber Technologies, Inc., (Lock-Up Shares) | 01/16/2018 | 22,771 | 1,081,498 | 672,439 | 29.52 | 0.17 | |||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 13,329 | 542,664 | 1,678,699 | 125.94 | 0.43 | |||||||||||||||||||||
Airbnb, Inc., Series E | 07/14/2015 | 8,841 | 823,048 | 1,113,465 | 125.94 | 0.29 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Convertible Preferred Securities (continued) | |||||||||||||||||||||||||||
Aurora Innovation, Inc., Series B | 03/01/2019 | 35,120 | $ | 324,519 | $ | 324,519 | $ | 9.24 | 0.08 | % | |||||||||||||||||
GM Cruise Holdings, LLC Class F | 05/04/2019 | 33,800 | 616,850 | 616,850 | 18.25 | 0.16 | |||||||||||||||||||||
Magic Leap, Inc., Series C | 01/20/2016 | 26,666 | 614,198 | 657,584 | 24.66 | 0.17 | |||||||||||||||||||||
Magic Leap, Inc., Series D | 10/12/2017 | 16,678 | 450,306 | 411,279 | 24.66 | 0.11 | |||||||||||||||||||||
UiPath, Inc. Series D-1 | 04/26/2019 | 12,136 | 477,572 | 477,572 | 39.34 | 0.12 | |||||||||||||||||||||
UiPath, Inc. Series D-2 | 04/26/2019 | 2,038 | 80,199 | 80,199 | 39.34 | 0.02 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 12,598 | 440,655 | 214,544 | 17.03 | 0.06 | |||||||||||||||||||||
Xiaoju Kuaizhi, Inc., Series A-17 | 10/19/2015 | 19,048 | 522,414 | 970,155 | 50.93 | 0.25 | |||||||||||||||||||||
$ | 8,819,275 | 2.27 | % |
(3) The rate shown is the 7-day yield as of September 30, 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 September 30, 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 | $ | — | $ | — | $ | 1,601,970 | $ | 1,601,970 | |||||||||||
E-Commerce/Services | 7,677,644 | 672,439 | — | 8,350,083 | |||||||||||||||
Other Industries | 357,627,005 | 14,145,178 | ** | — | 371,772,183 | ||||||||||||||
Convertible Preferred Securities | — | — | 6,544,866 | 6,544,866 | |||||||||||||||
Short-Term Investment Securities | 1,783,757 | — | — | 1,783,757 | |||||||||||||||
Total Investment at Value | $ | 367,088,406 | $ | 14,817,617 | $ | 8,146,836 | $ | 390,052,859 |
* 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).
144
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (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, 2019 | $ | 1,468,665 | $ | 6,814,638 | |||||||
Accrued Discounts | — | — | |||||||||
Accrued Premiums | — | — | |||||||||
Realized Gain | 11,231 | 16,888 | |||||||||
Realized Loss | — | — | |||||||||
Change in unrealized appreciation(1) | 204,295 | 279,219 | |||||||||
Change in unrealized depreciation(1) | (25,997 | ) | (643,298 | ) | |||||||
Net purchases | — | 1,174,621 | |||||||||
Net Sales | (56,224 | ) | (1,097,202 | ) | |||||||
Transfers into Level 3 | — | ||||||||||
Transfers out of Level 3 | — | ||||||||||
Balance as of September 30, 2019 | $ | 1,601,970 | $ | 6,544,866 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2019 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | 204,295 | $ | (268,668 | ) |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2019.
The following is quantitative information about Level 3 fair value measurements:
Description | Fair Value at September 30, 2019 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
Common Stocks | $ | 1,601,970 | Market Approach | Market Transaction Price* | $5.61 | ||||||||||||||
2021 Estimated Gross Profit Multiple* | 10.9x | ||||||||||||||||||
2021 Estimated EBIT Multiple* | 19.9x | ||||||||||||||||||
2022 Estimated EBIT Multiple* | 15.7x | ||||||||||||||||||
Discount for Lack of Marketability | 10.0% | ||||||||||||||||||
Convertible Preferred Securities | $ | 2,469,295 | Market Approach | Market Transaction Price* | $9.2403 - $50.9321 ($31.4252) | ||||||||||||||
$ | 1,068,863 | Market Approach | Market Transaction Price* | ($23.03 - $27.00) $25.015 | |||||||||||||||
Discount for Uncertainty | 10.0% | ||||||||||||||||||
$ | 214,544 | Market Approach | 2021 Estimated Revenue Multiple* | 3.2x | |||||||||||||||
2021 Estimated EBITDA Multiple* | 20.2x | ||||||||||||||||||
2022 Estimated EBITDA Multiple* | 24.5x | ||||||||||||||||||
Discount for Volatility | 25.0% | ||||||||||||||||||
Discount for Lack of Marketability | 10.0% | ||||||||||||||||||
$ | 2,792,164 | Market Approach | Last Twelve Months Revenue Multiple* | 10.05x | |||||||||||||||
2021 Estimated Revenue Multiple* | 4.8x - 7.0x (5.6x) | ||||||||||||||||||
2021 Estimated Gross Profit Multiple* | 5.4x | ||||||||||||||||||
2022 Estimated Revenue Multiple* | 4.3x | ||||||||||||||||||
2022 Estimated Gross Profit Multiple* | 4.8x | ||||||||||||||||||
2023 Estimated Revenue Multiple* | 3.9x | ||||||||||||||||||
2023 Estimated Gross Profit Multiple* | 4.4x | ||||||||||||||||||
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
145
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Applications Software | 8.4 | % | |||||
E-Commerce/Products | 5.5 | ||||||
Internet Content-Entertainment | 5.0 | ||||||
Web Portals/ISP | 4.6 | ||||||
Enterprise Software/Service | 4.5 | ||||||
Medical-Drugs | 4.3 | ||||||
Medical Instruments | 3.6 | ||||||
Finance-Credit Card | 3.5 | ||||||
Chemicals-Specialty | 2.2 | ||||||
Transport-Rail | 2.2 | ||||||
Computers | 2.1 | ||||||
Aerospace/Defense | 2.1 | ||||||
Electronic Components-Semiconductors | 2.0 | ||||||
Multimedia | 1.9 | ||||||
Retail-Restaurants | 1.9 | ||||||
Real Estate Investment Trusts | 1.8 | ||||||
Medical-Biomedical/Gene | 1.8 | ||||||
Cosmetics & Toiletries | 1.7 | ||||||
Data Processing/Management | 1.6 | ||||||
Electronic Forms | 1.5 | ||||||
Commercial Services-Finance | 1.5 | ||||||
Building-Maintenance & Services | 1.5 | ||||||
Beverages-Non-alcoholic | 1.5 | ||||||
Registered Investment Companies | 1.4 | ||||||
Consulting Services | 1.4 | ||||||
Diagnostic Equipment | 1.4 | ||||||
Networking Products | 1.2 | ||||||
Textile-Apparel | 1.1 | ||||||
Medical Products | 1.1 | ||||||
Internet Content-Information/News | 1.0 | ||||||
E-Commerce/Services | 1.0 | ||||||
Distribution/Wholesale | 0.9 | ||||||
Athletic Footwear | 0.8 | ||||||
Computer Aided Design | 0.7 | ||||||
Veterinary Diagnostics | 0.7 | ||||||
Semiconductor Components-Integrated Circuits | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.7 | ||||||
Cable/Satellite TV | 0.7 | ||||||
Insurance-Property/Casualty | 0.7 | ||||||
Machinery-General Industrial | 0.6 | ||||||
Non-Hazardous Waste Disposal | 0.6 | ||||||
Finance-Other Services | 0.6 | ||||||
Medical-HMO | 0.6 | ||||||
Instruments-Controls | 0.6 | ||||||
Computer Services | 0.6 | ||||||
Telephone-Integrated | 0.6 | ||||||
Electric-Integrated | 0.6 | ||||||
Containers-Metal/Glass | 0.6 | ||||||
Industrial Gases | 0.6 | ||||||
Food-Misc./Diversified | 0.5 | ||||||
Oil Companies-Exploration & Production | 0.5 | ||||||
Retail-Discount | 0.5 | ||||||
Apparel Manufacturers | 0.4 | ||||||
Retail-Apparel/Shoe | 0.4 | ||||||
Oil Companies-Integrated | 0.4 | ||||||
Electronic Connectors | 0.4 | ||||||
Exchange-Traded Funds | 0.4 | ||||||
Retail-Building Products | 0.4 | ||||||
Entertainment Software | 0.4 | ||||||
Beverages-Wine/Spirits | 0.3 |
Computer Software | 0.3 | % | |||||
Coatings/Paint | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Banks-Commercial | 0.3 | ||||||
Diversified Manufacturing Operations | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Machinery-Farming | 0.3 | ||||||
Retail-Perfume & Cosmetics | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Auto/Truck Parts & Equipment-Original | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Banks-Super Regional | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Retail-Major Department Stores | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
U.S. Government Treasuries | 0.2 | ||||||
Retail-Auto Parts | 0.2 | ||||||
Communications Software | 0.2 | ||||||
Tobacco | 0.2 | ||||||
Banks-Fiduciary | 0.2 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
Pharmacy Services | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Wireless Equipment | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Investment Management/Advisor Services | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Agricultural Biotech | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Respiratory Products | 0.1 | ||||||
Soap & Cleaning Preparation | 0.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
146
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.8% | |||||||||||
Aerospace/Defense — 2.1% | |||||||||||
Boeing Co. | 17,241 | $ | 6,559,683 | ||||||||
Lockheed Martin Corp. | 1,825 | 711,860 | |||||||||
Northrop Grumman Corp. | 6,248 | 2,341,688 | |||||||||
Raytheon Co. | 1,466 | 287,615 | |||||||||
TransDigm Group, Inc. | 608 | 316,567 | |||||||||
10,217,413 | |||||||||||
Aerospace/Defense-Equipment — 0.7% | |||||||||||
HEICO Corp., Class A | 24,270 | 2,361,714 | |||||||||
L3Harris Technologies, Inc. | 1,421 | 296,477 | |||||||||
United Technologies Corp. | 4,766 | 650,654 | |||||||||
3,308,845 | |||||||||||
Agricultural Biotech — 0.1% | |||||||||||
Corteva, Inc. | 8,710 | 243,880 | |||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries Holdings, Inc. | 1,149 | 56,531 | |||||||||
Mosaic Co. | 2,042 | 41,861 | |||||||||
98,392 | |||||||||||
Apparel Manufacturers — 0.4% | |||||||||||
Hanesbrands, Inc. | 1,947 | 29,828 | |||||||||
PVH Corp. | 18,942 | 1,671,253 | |||||||||
Tapestry, Inc. | 2,353 | 61,296 | |||||||||
Under Armour, Inc., Class A† | 1,497 | 29,850 | |||||||||
Under Armour, Inc., Class C† | 1,546 | 28,029 | |||||||||
VF Corp. | 3,997 | 355,693 | |||||||||
2,175,949 | |||||||||||
Applications Software — 8.4% | |||||||||||
Intuit, Inc. | 19,611 | 5,215,349 | |||||||||
Microsoft Corp. | 170,565 | 23,713,652 | |||||||||
salesforce.com, Inc.† | 24,864 | 3,690,812 | |||||||||
ServiceNow, Inc.† | 34,940 | 8,869,519 | |||||||||
41,489,332 | |||||||||||
Athletic Footwear — 0.8% | |||||||||||
NIKE, Inc., Class B | 41,186 | 3,868,189 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.2% | |||||||||||
Aptiv PLC | 13,432 | 1,174,225 | |||||||||
Banks-Commercial — 0.3% | |||||||||||
First Republic Bank | 13,182 | 1,274,699 | |||||||||
SVB Financial Group† | 631 | 131,848 | |||||||||
1,406,547 | |||||||||||
Banks-Fiduciary — 0.2% | |||||||||||
Northern Trust Corp. | 7,859 | 733,402 | |||||||||
Banks-Super Regional — 0.2% | |||||||||||
Comerica, Inc. | 841 | 55,498 | |||||||||
US Bancorp | 17,553 | 971,383 | |||||||||
1,026,881 | |||||||||||
Beverages-Non-alcoholic — 1.5% | |||||||||||
Coca-Cola Co. | 70,725 | 3,850,269 | |||||||||
Monster Beverage Corp†. | 31,885 | 1,851,243 | |||||||||
PepsiCo, Inc. | 10,440 | 1,431,324 | |||||||||
7,132,836 |
Security Description | Shares | Value (Note 2) | |||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Brown-Forman Corp., Class B | 18,825 | $ | 1,181,834 | ||||||||
Constellation Brands, Inc., Class A | 2,047 | 424,302 | |||||||||
1,606,136 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Fox Corp., Class A | 1,996 | 62,944 | |||||||||
Fox Corp., Class B | 914 | 28,827 | |||||||||
91,771 | |||||||||||
Building Products-Cement — 0.2% | |||||||||||
Martin Marietta Materials, Inc. | 3,531 | 967,847 | |||||||||
Vulcan Materials Co. | 777 | 117,514 | |||||||||
1,085,361 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 1,665 | 69,397 | |||||||||
Building-Maintenance & Services — 1.5% | |||||||||||
Rollins, Inc. | 128,701 | 4,384,843 | |||||||||
ServiceMaster Global Holdings, Inc.† | 53,647 | 2,998,867 | |||||||||
7,383,710 | |||||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
NVR, Inc.† | 25 | 92,934 | |||||||||
Cable/Satellite TV — 0.7% | |||||||||||
Charter Communications, Inc., Class A† | 851 | 350,714 | |||||||||
Comcast Corp., Class A | 63,262 | 2,851,851 | |||||||||
3,202,565 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
T-Mobile US, Inc†. | 967 | 76,171 | |||||||||
Chemicals-Diversified — 0.3% | |||||||||||
Celanese Corp. | 803 | 98,199 | |||||||||
DuPont de Nemours, Inc. | 13,982 | 997,057 | |||||||||
Eastman Chemical Co. | 906 | 66,890 | |||||||||
FMC Corp. | 702 | 61,551 | |||||||||
PPG Industries, Inc. | 1,330 | 157,618 | |||||||||
1,381,315 | |||||||||||
Chemicals-Specialty — 2.2% | |||||||||||
Ecolab, Inc. | 55,701 | 11,031,026 | |||||||||
Coatings/Paint — 0.3% | |||||||||||
Sherwin-Williams Co. | 2,617 | 1,439,010 | |||||||||
Commercial Services — 0.1% | |||||||||||
Cintas Corp. | 1,016 | 272,390 | |||||||||
Commercial Services-Finance — 1.5% | |||||||||||
Automatic Data Processing, Inc. | 5,312 | 857,463 | |||||||||
Equifax, Inc. | 903 | 127,025 | |||||||||
FleetCor Technologies, Inc.† | 636 | 182,392 | |||||||||
Global Payments, Inc. | 3,673 | 584,007 | |||||||||
H&R Block, Inc. | 1,523 | 35,973 | |||||||||
IHS Markit, Ltd.† | 4,910 | 328,381 | |||||||||
MarketAxess Holdings, Inc. | 462 | 151,305 | |||||||||
Moody's Corp. | 976 | 199,914 | |||||||||
PayPal Holdings, Inc.† | 14,403 | 1,492,007 | |||||||||
S&P Global, Inc. | 14,322 | 3,508,604 | |||||||||
7,467,071 |
147
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Communications Software — 0.2% | |||||||||||
Slack Technologies, Inc., Class A† | 31,106 | $ | 738,145 | ||||||||
Computer Aided Design — 0.7% | |||||||||||
ANSYS, Inc.† | 1,029 | 227,779 | |||||||||
Autodesk, Inc.† | 21,188 | 3,129,468 | |||||||||
Cadence Design Systems, Inc.† | 2,023 | 133,680 | |||||||||
Synopsys, Inc.† | 1,049 | 143,975 | |||||||||
3,634,902 | |||||||||||
Computer Data Security — 0.0% | |||||||||||
Fortinet, Inc.† | 1,737 | 133,332 | |||||||||
Computer Services — 0.6% | |||||||||||
Accenture PLC, Class A | 15,177 | 2,919,296 | |||||||||
Leidos Holdings, Inc. | 1,655 | 142,131 | |||||||||
3,061,427 | |||||||||||
Computer Software — 0.3% | |||||||||||
Akamai Technologies, Inc.† | 2,019 | 184,496 | |||||||||
Citrix Systems, Inc. | 1,506 | 145,359 | |||||||||
Twilio, Inc., Class A† | 11,408 | 1,252,426 | |||||||||
1,582,281 | |||||||||||
Computers — 2.1% | |||||||||||
Apple, Inc. | 46,133 | 10,332,408 | |||||||||
Computers-Memory Devices — 0.1% | |||||||||||
NetApp, Inc. | 2,912 | 152,909 | |||||||||
Seagate Technology PLC | 1,855 | 99,781 | |||||||||
252,690 | |||||||||||
Consulting Services — 1.4% | |||||||||||
Gartner, Inc.† | 27,755 | 3,968,687 | |||||||||
Verisk Analytics, Inc. | 19,492 | 3,082,465 | |||||||||
7,051,152 | |||||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Clorox Co. | 1,539 | 233,728 | |||||||||
Kimberly-Clark Corp. | 2,275 | 323,164 | |||||||||
556,892 | |||||||||||
Containers-Metal/Glass — 0.6% | |||||||||||
Ball Corp. | 39,569 | 2,881,019 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Amcor PLC† | 9,744 | 95,004 | |||||||||
Cosmetics & Toiletries — 1.7% | |||||||||||
Colgate-Palmolive Co. | 21,135 | 1,553,634 | |||||||||
Estee Lauder Cos., Inc., Class A | 23,442 | 4,663,786 | |||||||||
Procter & Gamble Co. | 17,155 | 2,133,739 | |||||||||
8,351,159 | |||||||||||
Data Processing/Management — 1.6% | |||||||||||
Broadridge Financial Solutions, Inc. | 34,074 | 4,239,828 | |||||||||
Fidelity National Information Services, Inc. | 20,341 | 2,700,471 | |||||||||
Fiserv, Inc.† | 6,987 | 723,783 | |||||||||
Jack Henry & Associates, Inc. | 452 | 65,979 | |||||||||
Paychex, Inc. | 2,427 | 200,883 | |||||||||
7,930,944 | |||||||||||
Decision Support Software — 0.0% | |||||||||||
MSCI, Inc. | 1,037 | 225,807 |
Security Description | Shares | Value (Note 2) | |||||||||
Dental Supplies & Equipment — 0.0% | |||||||||||
Align Technology, Inc.† | 454 | $ | 82,138 | ||||||||
Diagnostic Equipment — 1.4% | |||||||||||
Adaptive Biotechnologies Corp.† | 11,047 | 341,352 | |||||||||
Danaher Corp. | 33,872 | 4,892,133 | |||||||||
Thermo Fisher Scientific, Inc. | 4,902 | 1,427,806 | |||||||||
6,661,291 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
IDEXX Laboratories, Inc.† | 1,054 | 286,614 | |||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 1,185 | 67,628 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Teleflex, Inc. | 566 | 192,298 | |||||||||
Distribution/Wholesale — 0.9% | |||||||||||
Copart, Inc.† | 52,027 | 4,179,329 | |||||||||
Fastenal Co. | 7,019 | 229,311 | |||||||||
WW Grainger, Inc. | 541 | 160,758 | |||||||||
4,569,398 | |||||||||||
Diversified Manufacturing Operations — 0.3% | |||||||||||
3M Co. | 3,591 | 590,361 | |||||||||
Eaton Corp. PLC | 2,468 | 205,214 | |||||||||
Illinois Tool Works, Inc. | 1,441 | 225,502 | |||||||||
Ingersoll-Rand PLC | 2,957 | 364,332 | |||||||||
1,385,409 | |||||||||||
E-Commerce/Products — 5.5% | |||||||||||
Amazon.com, Inc.† | 15,491 | 26,890,982 | |||||||||
eBay, Inc. | 3,667 | 142,939 | |||||||||
27,033,921 | |||||||||||
E-Commerce/Services — 1.0% | |||||||||||
Booking Holdings, Inc.† | 250 | 490,653 | |||||||||
Expedia Group, Inc. | 1,061 | 142,609 | |||||||||
Lyft, Inc., Class A† | 10,307 | 420,938 | |||||||||
MercadoLibre, Inc.† | 6,749 | 3,720,251 | |||||||||
TripAdvisor, Inc.† | 861 | 33,303 | |||||||||
4,807,754 | |||||||||||
E-Services/Consulting — 0.0% | |||||||||||
CDW Corp. | 744 | 91,691 | |||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 2,795 | 256,637 | |||||||||
Electric-Integrated — 0.6% | |||||||||||
Alliant Energy Corp. | 1,657 | 89,362 | |||||||||
Ameren Corp. | 3,009 | 240,871 | |||||||||
CMS Energy Corp. | 1,945 | 124,383 | |||||||||
Dominion Energy, Inc. | 4,729 | 383,238 | |||||||||
Eversource Energy | 2,179 | 186,239 | |||||||||
NextEra Energy, Inc. | 5,983 | 1,393,979 | |||||||||
Pinnacle West Capital Corp. | 1,375 | 133,471 | |||||||||
WEC Energy Group, Inc. | 1,853 | 176,220 | |||||||||
Xcel Energy, Inc. | 2,888 | 187,403 | |||||||||
2,915,166 | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Garmin, Ltd. | 1,096 | 92,820 |
148
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Semiconductors — 2.0% | |||||||||||
Advanced Micro Devices, Inc.† | 13,288 | $ | 385,219 | ||||||||
Broadcom, Inc. | 4,873 | 1,345,289 | |||||||||
Intel Corp. | 36,331 | 1,872,136 | |||||||||
Marvell Technology Group, Ltd. | 36,762 | 917,947 | |||||||||
Microchip Technology, Inc. | 1,486 | 138,064 | |||||||||
NVIDIA Corp. | 20,524 | 3,572,613 | |||||||||
Skyworks Solutions, Inc. | 1,282 | 101,599 | |||||||||
Texas Instruments, Inc. | 10,136 | 1,309,977 | |||||||||
Xilinx, Inc. | 3,092 | 296,523 | |||||||||
9,939,367 | |||||||||||
Electronic Connectors — 0.4% | |||||||||||
Amphenol Corp., Class A | 20,794 | 2,006,621 | |||||||||
Electronic Forms — 1.5% | |||||||||||
Adobe, Inc.† | 27,052 | 7,473,115 | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Agilent Technologies, Inc. | 2,008 | 153,873 | |||||||||
Fortive Corp. | 4,840 | 331,830 | |||||||||
Keysight Technologies, Inc.† | 2,296 | 223,286 | |||||||||
708,989 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 583 | 60,428 | |||||||||
Enterprise Software/Service — 4.5% | |||||||||||
Atlassian Corp. PLC, Class A† | 5,476 | 686,909 | |||||||||
Constellation Software, Inc. | 6,669 | 6,660,443 | |||||||||
Coupa Software, Inc.† | 5,572 | 716,500 | |||||||||
Oracle Corp. | 13,475 | 741,529 | |||||||||
Veeva Systems, Inc., Class A† | 29,411 | 4,490,766 | |||||||||
Workday, Inc., Class A† | 52,491 | 8,921,370 | |||||||||
22,217,517 | |||||||||||
Entertainment Software — 0.4% | |||||||||||
Electronic Arts, Inc.† | 17,509 | 1,712,730 | |||||||||
Take-Two Interactive Software, Inc.† | 1,385 | 173,596 | |||||||||
1,886,326 | |||||||||||
Finance-Credit Card — 3.5% | |||||||||||
Alliance Data Systems Corp. | 501 | 64,193 | |||||||||
American Express Co. | 4,164 | 492,518 | |||||||||
Discover Financial Services | 2,532 | 205,320 | |||||||||
Mastercard, Inc., Class A | 27,214 | 7,390,506 | |||||||||
Visa, Inc., Class A | 51,159 | 8,799,860 | |||||||||
Western Union Co. | 2,179 | 50,487 | |||||||||
17,002,884 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Charles Schwab Corp. | 7,405 | 309,751 | |||||||||
E*TRADE Financial Corp. | 1,732 | 75,671 | |||||||||
385,422 | |||||||||||
Finance-Other Services — 0.6% | |||||||||||
Cboe Global Markets, Inc. | 9,986 | 1,147,491 | |||||||||
Intercontinental Exchange, Inc. | 20,427 | 1,884,799 | |||||||||
Nasdaq, Inc. | 988 | 98,158 | |||||||||
3,130,448 | |||||||||||
Food-Confectionery — 0.0% | |||||||||||
Hershey Co. | 1,112 | 172,349 |
Security Description | Shares | Value (Note 2) | |||||||||
Food-Meat Products — 0.0% | |||||||||||
Hormel Foods Corp. | 3,399 | $ | 148,638 | ||||||||
Food-Misc./Diversified — 0.5% | |||||||||||
Kellogg Co. | 3,044 | 195,881 | |||||||||
Lamb Weston Holdings, Inc. | 1,783 | 129,660 | |||||||||
McCormick & Co., Inc. | 7,434 | 1,161,934 | |||||||||
Mondelez International, Inc., Class A | 18,599 | 1,028,897 | |||||||||
2,516,372 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Sysco Corp. | 3,957 | 314,186 | |||||||||
Gas-Distribution — 0.0% | |||||||||||
Atmos Energy Corp. | 854 | 97,262 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 2,425 | 45,396 | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Worldwide Holdings, Inc. | 3,511 | 326,909 | |||||||||
Marriott International, Inc., Class A | 1,338 | 166,407 | |||||||||
493,316 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 662 | 36,847 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. | 3,097 | 122,641 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 716 | 117,997 | |||||||||
Industrial Gases — 0.6% | |||||||||||
Air Products & Chemicals, Inc. | 2,697 | 598,356 | |||||||||
Linde PLC | 11,261 | 2,181,481 | |||||||||
2,779,837 | |||||||||||
Instruments-Controls — 0.6% | |||||||||||
Honeywell International, Inc. | 17,337 | 2,933,421 | |||||||||
Mettler-Toledo International, Inc.† | 193 | 135,949 | |||||||||
3,069,370 | |||||||||||
Instruments-Scientific — 0.0% | |||||||||||
PerkinElmer, Inc. | 707 | 60,215 | |||||||||
Waters Corp.† | 490 | 109,383 | |||||||||
169,598 | |||||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon PLC | 1,819 | 352,104 | |||||||||
Arthur J. Gallagher & Co. | 1,526 | 136,684 | |||||||||
Marsh & McLennan Cos., Inc. | 3,904 | 390,595 | |||||||||
879,383 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Globe Life, Inc. | 553 | 52,955 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Cincinnati Financial Corp. | 892 | 104,070 | |||||||||
Insurance-Property/Casualty — 0.7% | |||||||||||
Berkshire Hathaway, Inc., Class B† | 11,521 | 2,396,599 | |||||||||
Markel Corp†. | 418 | 494,034 | |||||||||
Progressive Corp. | 3,793 | 293,009 | |||||||||
3,183,642 |
149
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Internet Content-Entertainment — 5.0% | |||||||||||
Facebook, Inc., Class A† | 78,140 | $ | 13,915,171 | ||||||||
Netflix, Inc.† | 5,359 | 1,434,176 | |||||||||
Twitter, Inc.† | 221,940 | 9,143,928 | |||||||||
24,493,275 | |||||||||||
Internet Content-Information/News — 1.0% | |||||||||||
Spotify Technology SA† | 43,159 | 4,920,126 | |||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 736 | 103,349 | |||||||||
Investment Management/Advisor Services — 0.1% | |||||||||||
Ameriprise Financial, Inc. | 865 | 127,242 | |||||||||
T. Rowe Price Group, Inc. | 1,442 | 164,748 | |||||||||
291,990 | |||||||||||
Machinery-Farming — 0.3% | |||||||||||
Deere & Co. | 7,953 | 1,341,512 | |||||||||
Machinery-General Industrial — 0.6% | |||||||||||
IDEX Corp. | 928 | 152,081 | |||||||||
Roper Technologies, Inc. | 8,277 | 2,951,578 | |||||||||
Wabtec Corp. | 1,025 | 73,656 | |||||||||
3,177,315 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Flowserve Corp. | 851 | 39,750 | |||||||||
Xylem, Inc. | 2,204 | 175,483 | |||||||||
215,233 | |||||||||||
Medical Information Systems — 0.1% | |||||||||||
Cerner Corp. | 3,897 | 265,658 | |||||||||
Medical Instruments — 3.6% | |||||||||||
Boston Scientific Corp.† | 69,606 | 2,832,268 | |||||||||
Edwards Lifesciences Corp.† | 6,834 | 1,502,865 | |||||||||
Intuitive Surgical, Inc.† | 21,069 | 11,375,785 | |||||||||
Medtronic PLC | 16,423 | 1,783,866 | |||||||||
17,494,784 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
IQVIA Holdings, Inc.† | 1,628 | 243,191 | |||||||||
Medical Products — 1.1% | |||||||||||
Abbott Laboratories | 21,634 | 1,810,117 | |||||||||
ABIOMED, Inc.† | 555 | 98,729 | |||||||||
Baxter International, Inc. | 2,687 | 235,032 | |||||||||
Becton Dickinson and Co. | 2,082 | 526,663 | |||||||||
Cooper Cos., Inc. | 261 | 77,517 | |||||||||
Henry Schein, Inc.† | 817 | 51,879 | |||||||||
Hologic, Inc.† | 1,800 | 90,882 | |||||||||
Stryker Corp. | 2,317 | 501,167 | |||||||||
Varian Medical Systems, Inc.† | 1,115 | 132,785 | |||||||||
West Pharmaceutical Services, Inc. | 9,074 | 1,286,875 | |||||||||
Zimmer Biomet Holdings, Inc. | 2,513 | 344,959 | |||||||||
5,156,605 | |||||||||||
Medical-Biomedical/Gene — 1.8% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 9,366 | 917,306 | |||||||||
Amgen, Inc. | 4,845 | 937,556 | |||||||||
Biogen, Inc.† | 1,219 | 283,808 | |||||||||
BioMarin Pharmaceutical, Inc.† | 12,033 | 811,024 | |||||||||
Celgene Corp.† | 4,077 | 404,846 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Guardant Health, Inc.† | 5,381 | $ | 343,469 | ||||||||
Illumina, Inc.† | 9,016 | 2,742,848 | |||||||||
Incyte Corp.† | 9,465 | 702,587 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 577 | 160,060 | |||||||||
Vertex Pharmaceuticals, Inc.† | 8,032 | 1,360,781 | |||||||||
8,664,285 | |||||||||||
Medical-Drugs — 4.3% | |||||||||||
AbbVie, Inc. | 46,258 | 3,502,656 | |||||||||
AstraZeneca PLC ADR | 38,252 | 1,704,892 | |||||||||
Bristol-Myers Squibb Co. | 10,212 | 517,850 | |||||||||
Eli Lilly & Co. | 29,128 | 3,257,384 | |||||||||
Johnson & Johnson | 19,060 | 2,465,983 | |||||||||
Merck & Co., Inc. | 31,341 | 2,638,285 | |||||||||
Pfizer, Inc. | 67,704 | 2,432,605 | |||||||||
Zoetis, Inc. | 37,561 | 4,679,725 | |||||||||
21,199,380 | |||||||||||
Medical-HMO — 0.6% | |||||||||||
Humana, Inc. | 8,021 | 2,050,729 | |||||||||
UnitedHealth Group, Inc. | 4,218 | 916,656 | |||||||||
WellCare Health Plans, Inc.† | 616 | 159,649 | |||||||||
3,127,034 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA Healthcare, Inc. | 3,256 | 392,088 | |||||||||
Universal Health Services, Inc., Class B | 567 | 84,341 | |||||||||
476,429 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. | 7,992 | 76,483 | |||||||||
Multimedia — 1.9% | |||||||||||
Walt Disney Co. | 73,259 | 9,547,113 | |||||||||
Networking Products — 1.2% | |||||||||||
Arista Networks, Inc.† | 666 | 159,121 | |||||||||
Cisco Systems, Inc. | 119,938 | 5,926,136 | |||||||||
6,085,257 | |||||||||||
Non-Hazardous Waste Disposal — 0.6% | |||||||||||
Republic Services, Inc. | 1,114 | 96,417 | |||||||||
Waste Connections, Inc. | 27,457 | 2,526,044 | |||||||||
Waste Management, Inc. | 4,777 | 549,355 | |||||||||
3,171,816 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 464 | 52,696 | |||||||||
Oil Companies-Exploration & Production — 0.5% | |||||||||||
Apache Corp. | 4,602 | 117,811 | |||||||||
Cabot Oil & Gas Corp. | 3,534 | 62,093 | |||||||||
Cimarex Energy Co. | 695 | 33,318 | |||||||||
Concho Resources, Inc. | 1,354 | 91,937 | |||||||||
ConocoPhillips | 13,589 | 774,301 | |||||||||
Devon Energy Corp. | 4,948 | 119,049 | |||||||||
Diamondback Energy, Inc. | 5,294 | 475,984 | |||||||||
Hess Corp. | 1,742 | 105,356 | |||||||||
Marathon Oil Corp. | 9,842 | 120,761 | |||||||||
Occidental Petroleum Corp. | 10,949 | 486,902 | |||||||||
2,387,512 |
150
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Integrated — 0.4% | |||||||||||
Exxon Mobil Corp. | 29,003 | $ | 2,047,902 | ||||||||
Oil Refining & Marketing — 0.3% | |||||||||||
HollyFrontier Corp. | 1,853 | 99,395 | |||||||||
Marathon Petroleum Corp. | 18,495 | 1,123,571 | |||||||||
1,222,966 | |||||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. | 2,635 | 399,967 | |||||||||
Pipelines — 0.3% | |||||||||||
Cheniere Energy, Inc.† | 19,311 | 1,217,752 | |||||||||
ONEOK, Inc. | 2,881 | 212,301 | |||||||||
1,430,053 | |||||||||||
Real Estate Investment Trusts — 1.8% | |||||||||||
American Tower Corp. | 14,118 | 3,121,913 | |||||||||
Apartment Investment & Management Co., Class A | 1,822 | 94,999 | |||||||||
AvalonBay Communities, Inc. | 1,162 | 250,213 | |||||||||
Boston Properties, Inc. | 933 | 120,973 | |||||||||
Crown Castle International Corp. | 2,087 | 290,114 | |||||||||
Digital Realty Trust, Inc. | 1,428 | 185,369 | |||||||||
Duke Realty Corp. | 2,964 | 100,687 | |||||||||
Equinix, Inc. | 3,062 | 1,766,162 | |||||||||
Equity Residential | 2,902 | 250,326 | |||||||||
Essex Property Trust, Inc. | 595 | 194,357 | |||||||||
Extra Space Storage, Inc. | 1,038 | 121,259 | |||||||||
Federal Realty Investment Trust | 410 | 55,817 | |||||||||
HCP, Inc. | 6,012 | 214,208 | |||||||||
Host Hotels & Resorts, Inc. | 4,199 | 72,601 | |||||||||
Mid-America Apartment Communities, Inc. | 782 | 101,668 | |||||||||
Public Storage | 1,838 | 450,806 | |||||||||
Realty Income Corp. | 2,844 | 218,078 | |||||||||
Regency Centers Corp. | 923 | 64,139 | |||||||||
SBA Communications Corp. | 803 | 193,643 | |||||||||
Simon Property Group, Inc. | 2,526 | 393,172 | |||||||||
UDR, Inc. | 1,972 | 95,603 | |||||||||
Vornado Realty Trust | 989 | 62,970 | |||||||||
Welltower, Inc. | 4,960 | 449,624 | |||||||||
8,868,701 | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 501 | 62,445 | |||||||||
Respiratory Products — 0.1% | |||||||||||
ResMed, Inc. | 1,759 | 237,658 | |||||||||
Retail-Apparel/Shoe — 0.4% | |||||||||||
Ross Stores, Inc. | 19,125 | 2,100,881 | |||||||||
Retail-Auto Parts — 0.2% | |||||||||||
Advance Auto Parts, Inc. | 568 | 93,947 | |||||||||
AutoZone, Inc.† | 300 | 325,386 | |||||||||
O'Reilly Automotive, Inc.† | 937 | 373,404 | |||||||||
792,737 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 912 | 80,256 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Building Products — 0.4% | |||||||||||
Home Depot, Inc. | 6,166 | $ | 1,430,635 | ||||||||
Lowe's Cos., Inc. | 4,346 | 477,886 | |||||||||
1,908,521 | |||||||||||
Retail-Discount — 0.5% | |||||||||||
Dollar General Corp. | 3,147 | 500,184 | |||||||||
Walmart, Inc. | 14,508 | 1,721,810 | |||||||||
2,221,994 | |||||||||||
Retail-Gardening Products — 0.0% | |||||||||||
Tractor Supply Co. | 1,460 | 132,042 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 599 | 55,485 | |||||||||
Retail-Major Department Stores — 0.2% | |||||||||||
Nordstrom, Inc. | 641 | 21,582 | |||||||||
TJX Cos., Inc. | 14,798 | 824,841 | |||||||||
846,423 | |||||||||||
Retail-Perfume & Cosmetics — 0.3% | |||||||||||
Ulta Beauty, Inc.† | 5,351 | 1,341,228 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Macy's, Inc. | 1,588 | 24,678 | |||||||||
Retail-Restaurants — 1.9% | |||||||||||
Chipotle Mexican Grill, Inc.† | 898 | 754,742 | |||||||||
Darden Restaurants, Inc. | 1,052 | 124,367 | |||||||||
Dunkin' Brands Group, Inc. | 15,090 | 1,197,542 | |||||||||
McDonald's Corp. | 18,265 | 3,921,678 | |||||||||
Starbucks Corp. | 34,980 | 3,092,932 | |||||||||
Yum! Brands, Inc. | 3,725 | 422,527 | |||||||||
9,513,788 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.7% | |||||||||||
Analog Devices, Inc. | 9,877 | 1,103,557 | |||||||||
Maxim Integrated Products, Inc. | 1,992 | 115,357 | |||||||||
NXP Semiconductors NV | 14,843 | 1,619,668 | |||||||||
QUALCOMM, Inc. | 7,738 | 590,255 | |||||||||
3,428,837 | |||||||||||
Semiconductor Equipment — 0.0% | |||||||||||
KLA Corp. | 1,072 | 170,930 | |||||||||
Soap & Cleaning Preparation — 0.1% | |||||||||||
Church & Dwight Co., Inc. | 3,025 | 227,601 | |||||||||
Telephone-Integrated — 0.6% | |||||||||||
Verizon Communications, Inc. | 50,627 | 3,055,846 | |||||||||
Textile-Apparel — 1.1% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 13,837 | 5,508,089 | |||||||||
Therapeutics — 0.1% | |||||||||||
Agios Pharmaceuticals, Inc.† | 13,580 | 439,992 | |||||||||
Tobacco — 0.2% | |||||||||||
Philip Morris International, Inc. | 9,713 | 737,508 | |||||||||
Tools-Hand Held — 0.1% | |||||||||||
Stanley Black & Decker, Inc. | 3,435 | 496,048 | |||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 819 | 97,207 |
151
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Transport-Rail — 2.2% | |||||||||||
CSX Corp. | 34,517 | $ | 2,390,993 | ||||||||
Kansas City Southern | 542 | 72,091 | |||||||||
Norfolk Southern Corp. | 2,225 | 399,744 | |||||||||
Union Pacific Corp. | 48,881 | 7,917,744 | |||||||||
10,780,572 | |||||||||||
Transport-Services — 0.2% | |||||||||||
Expeditors International of Washington, Inc. | 2,090 | 155,266 | |||||||||
FedEx Corp. | 1,322 | 192,443 | |||||||||
United Parcel Service, Inc., Class B | 4,274 | 512,111 | |||||||||
859,820 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. | 701 | 77,566 | |||||||||
Veterinary Diagnostics — 0.7% | |||||||||||
Elanco Animal Health, Inc.† | 136,615 | 3,632,593 | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,393 | 173,052 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
VeriSign, Inc.† | 1,275 | 240,503 | |||||||||
Web Portals/ISP — 4.6% | |||||||||||
Alphabet, Inc., Class A† | 8,057 | 9,838,725 | |||||||||
Alphabet, Inc., Class C† | 10,523 | 12,827,537 | |||||||||
22,666,262 | |||||||||||
Wireless Equipment — 0.1% | |||||||||||
Motorola Solutions, Inc. | 2,027 | 345,421 | |||||||||
Total Common Stocks (cost $383,766,709) | 481,176,266 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||||||
iShares S&P 500 Growth Index Fund (cost $1,965,824) | 10,690 | 1,924,521 | |||||||||
Total Long-Term Investment Securities (cost $385,732,533) | 483,100,787 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.6% | |||||||||||
Registered Investment Companies — 1.4% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 1.95%(1) | 4,574,795 | 4,574,795 | |||||||||
State Street Institutional U.S. Government Money Market Fund, Administration Class 1.63%(1) | 2,560,659 | 2,560,659 | |||||||||
7,135,454 | |||||||||||
U.S. Government Treasuries — 0.2% | |||||||||||
United States Treasury Bills 1.83% due 12/26/2019(2) | $ | 800,000 | 796,589 | ||||||||
Total Short-Term Investment Securities (cost $7,931,968) | 7,932,043 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35% dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $802,008 and collateralized by $780,000 of United States Treasury Notes, bearing interest at 2.63% due 12/21/2023 and having an approximate value of $818,907. (cost $802,000) | $ | 802,000 | $ | 802,000 | |||||||
TOTAL INVESTMENTS (cost $394,466,501)(3) | 100.0 | % | 491,834,830 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (107,069 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 491,727,761 |
† Non-income producing security
(1) The rate shown is the 7-day yield as of September 30, 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
152
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (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 | December 2019 | $ | 1,833,920 | $ | 1,806,500 | $ | (27,420 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 475,668,177 | $ | 5,508,089 | ** | $ | — | $ | 481,176,266 | ||||||||||
Exchange-Traded Funds | 1,924,521 | — | — | 1,924,521 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 7,135,454 | — | — | 7,135,454 | |||||||||||||||
U.S. Government Treasuries | — | 796,589 | — | 796,589 | |||||||||||||||
Repurchase Agreements | — | 802,000 | — | 802,000 | |||||||||||||||
Total Investments at Value | $ | 484,728,152 | $ | 7,106,678 | $ | — | $ | 491,834,830 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 27,420 | $ | — | $ | — | $ | 27,420 |
* 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 represent unrealized appreciation/depreciation as of the end of the reporting period.
See Notes to Financial Statements
153
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 7.1 | % | |||||
Medical-Drugs | 5.3 | ||||||
Electric-Integrated | 4.7 | ||||||
Banks-Super Regional | 4.1 | ||||||
Oil Companies-Integrated | 4.1 | ||||||
Computers | 2.9 | ||||||
Real Estate Investment Trusts | 2.8 | ||||||
Insurance-Multi-line | 2.8 | ||||||
Electronic Components-Semiconductors | 2.7 | ||||||
Cosmetics & Toiletries | 2.6 | ||||||
Diversified Manufacturing Operations | 2.5 | ||||||
Telephone-Integrated | 2.5 | ||||||
Medical Products | 2.2 | ||||||
Insurance-Property/Casualty | 2.1 | ||||||
Medical-HMO | 2.1 | ||||||
Chemicals-Diversified | 2.0 | ||||||
Food-Misc./Diversified | 1.9 | ||||||
Medical Instruments | 1.8 | ||||||
Banks-Commercial | 1.5 | ||||||
Retail-Discount | 1.4 | ||||||
Semiconductor Components-Integrated Circuits | 1.4 | ||||||
Investment Management/Advisor Services | 1.2 | ||||||
Semiconductor Equipment | 1.2 | ||||||
Cable/Satellite TV | 1.2 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Exchange-Traded Funds | 1.0 | ||||||
Beverages-Non-alcoholic | 1.0 | ||||||
Aerospace/Defense | 1.0 | ||||||
Medical-Biomedical/Gene | 0.9 | ||||||
Food-Wholesale/Distribution | 0.9 | ||||||
Oil-Field Services | 0.9 | ||||||
Banks-Fiduciary | 0.9 | ||||||
Networking Products | 0.9 | ||||||
Computers-Memory Devices | 0.9 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Building-Residential/Commercial | 0.8 | ||||||
Tobacco | 0.8 | ||||||
Multimedia | 0.8 | ||||||
Electric-Distribution | 0.7 | ||||||
Oil Refining & Marketing | 0.7 | ||||||
Building & Construction Products-Misc. | 0.7 | ||||||
Airlines | 0.7 | ||||||
Computer Services | 0.7 | ||||||
Machinery-Construction & Mining | 0.7 | ||||||
Electric Products-Misc. | 0.7 | ||||||
Pipelines | 0.6 | ||||||
Insurance-Life/Health | 0.6 | ||||||
Medical Labs & Testing Services | 0.6 | ||||||
E-Commerce/Services | 0.6 | ||||||
Retail-Building Products | 0.5 | ||||||
Auto-Cars/Light Trucks | 0.5 | ||||||
Transport-Services | 0.5 | ||||||
Enterprise Software/Service | 0.5 | ||||||
Retail-Auto Parts | 0.5 | ||||||
Containers-Paper/Plastic | 0.5 | ||||||
Electronic Connectors | 0.5 | ||||||
Building Products-Air & Heating | 0.4 | ||||||
Apparel Manufacturers | 0.4 | ||||||
Telecom Equipment-Fiber Optics | 0.4 | ||||||
Medical Information Systems | 0.4 |
Wireless Equipment | 0.4 | % | |||||
Engines-Internal Combustion | 0.4 | ||||||
Agricultural Operations | 0.4 | ||||||
Paper & Related Products | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Cruise Lines | 0.4 | ||||||
Footwear & Related Apparel | 0.4 | ||||||
Repurchase Agreements | 0.4 | ||||||
Retail-Major Department Stores | 0.3 | ||||||
Hotels/Motels | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Finance-Credit Card | 0.3 | ||||||
Machinery-General Industrial | 0.3 | ||||||
Finance-Other Services | 0.2 | ||||||
Food-Retail | 0.2 | ||||||
Auto/Truck Parts & Equipment-Original | 0.2 | ||||||
Instruments-Controls | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Athletic Footwear | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
Entertainment Software | 0.2 | ||||||
Machinery-Farming | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Retail-Drug Store | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Industrial Gases | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Retail-Apparel/Shoe | 0.1 | ||||||
Food-Meat Products | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Transport-Rail | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Agricultural Biotech | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
E-Commerce/Products | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Real Estate Management/Services | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
98.9 | % |
* Calculated as a percentage of net assets
154
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.5% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 8,311 | $ | 179,185 | ||||||||
Omnicom Group, Inc. | 4,669 | 365,583 | |||||||||
544,768 | |||||||||||
Aerospace/Defense — 1.0% | |||||||||||
General Dynamics Corp. | 5,022 | 917,670 | |||||||||
Lockheed Martin Corp. | 10,434 | 4,069,886 | |||||||||
Northrop Grumman Corp. | 3,377 | 1,265,666 | |||||||||
Raytheon Co. | 3,407 | 668,419 | |||||||||
6,921,641 | |||||||||||
Aerospace/Defense-Equipment — 0.8% | |||||||||||
Arconic, Inc. | 8,314 | 216,164 | |||||||||
L3Harris Technologies, Inc. | 2,300 | 479,872 | |||||||||
United Technologies Corp. | 39,334 | 5,369,878 | |||||||||
6,065,914 | |||||||||||
Agricultural Biotech — 0.1% | |||||||||||
Corteva, Inc. | 16,074 | 450,072 | |||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries Holdings, Inc. | 2,671 | 131,413 | |||||||||
Mosaic Co. | 4,038 | 82,779 | |||||||||
214,192 | |||||||||||
Agricultural Operations — 0.4% | |||||||||||
Archer-Daniels-Midland Co. | 71,155 | 2,922,336 | |||||||||
Airlines — 0.7% | |||||||||||
Alaska Air Group, Inc. | 2,646 | 171,752 | |||||||||
American Airlines Group, Inc. | 8,506 | 229,407 | |||||||||
Delta Air Lines, Inc. | 12,421 | 715,449 | |||||||||
Southwest Airlines Co. | 67,964 | 3,670,736 | |||||||||
United Airlines Holdings, Inc.† | 4,743 | 419,329 | |||||||||
5,206,673 | |||||||||||
Apparel Manufacturers — 0.4% | |||||||||||
Capri Holdings, Ltd.† | 3,253 | 107,869 | |||||||||
Hanesbrands, Inc. | 4,346 | 66,581 | |||||||||
PVH Corp. | 1,591 | 140,374 | |||||||||
Ralph Lauren Corp. | 1,113 | 106,258 | |||||||||
Tapestry, Inc. | 101,832 | 2,652,724 | |||||||||
Under Armour, Inc., Class A† | 1,413 | 28,175 | |||||||||
Under Armour, Inc., Class C† | 1,460 | 26,470 | |||||||||
3,128,451 | |||||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 1,364 | 216,003 | |||||||||
Athletic Footwear — 0.2% | |||||||||||
NIKE, Inc., Class B | 13,166 | 1,236,551 | |||||||||
Auto-Cars/Light Trucks — 0.5% | |||||||||||
Ford Motor Co. | 84,117 | 770,512 | |||||||||
General Motors Co. | 26,967 | 1,010,723 | |||||||||
Honda Motor Co., Ltd ADR | 81,220 | 2,118,217 | |||||||||
3,899,452 | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 7,434 | 520,454 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto/Truck Parts & Equipment-Original — 0.2% | |||||||||||
Aptiv PLC | 2,145 | $ | 187,516 | ||||||||
BorgWarner, Inc. | 34,533 | 1,266,670 | |||||||||
1,454,186 | |||||||||||
Banks-Commercial — 1.5% | |||||||||||
BB&T Corp. | 120,875 | 6,451,099 | |||||||||
Citizens Financial Group, Inc. | 9,596 | 339,411 | |||||||||
M&T Bank Corp. | 23,723 | 3,747,522 | |||||||||
Regions Financial Corp. | 21,416 | 338,801 | |||||||||
Zions Bancorp NA | 3,798 | 169,087 | |||||||||
11,045,920 | |||||||||||
Banks-Fiduciary — 0.9% | |||||||||||
Bank of New York Mellon Corp. | 127,832 | 5,779,285 | |||||||||
Northern Trust Corp. | 2,168 | 202,318 | |||||||||
State Street Corp. | 7,997 | 473,342 | |||||||||
6,454,945 | |||||||||||
Banks-Super Regional — 4.1% | |||||||||||
Comerica, Inc. | 1,731 | 114,229 | |||||||||
Fifth Third Bancorp | 15,679 | 429,291 | |||||||||
Huntington Bancshares, Inc. | 22,276 | 317,878 | |||||||||
KeyCorp | 21,534 | 384,167 | |||||||||
PNC Financial Services Group, Inc. | 94,374 | 13,227,460 | |||||||||
SunTrust Banks, Inc. | 9,529 | 655,595 | |||||||||
US Bancorp | 104,750 | 5,796,865 | |||||||||
Wells Fargo & Co. | 184,841 | 9,323,380 | |||||||||
30,248,865 | |||||||||||
Beverages-Non-alcoholic — 1.0% | |||||||||||
Coca-Cola Co. | 39,649 | 2,158,492 | |||||||||
PepsiCo, Inc. | 36,314 | 4,978,649 | |||||||||
7,137,141 | |||||||||||
Brewery — 0.0% | |||||||||||
Molson Coors Brewing Co., Class B | 4,032 | 231,840 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class A† | 3,392 | 90,329 | |||||||||
Discovery, Inc., Class C† | 7,447 | 183,345 | |||||||||
Fox Corp., Class A | 4,108 | 129,546 | |||||||||
Fox Corp., Class B | 1,882 | 59,358 | |||||||||
462,578 | |||||||||||
Building & Construction Products-Misc. — 0.7% | |||||||||||
Fortune Brands Home & Security, Inc. | 95,609 | 5,229,812 | |||||||||
Building Products-Air & Heating — 0.4% | |||||||||||
Johnson Controls International PLC | 71,929 | 3,156,964 | |||||||||
Building Products-Cement — 0.1% | |||||||||||
Martin Marietta Materials, Inc. | 576 | 157,882 | |||||||||
Vulcan Materials Co. | 1,476 | 223,230 | |||||||||
381,112 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 3,293 | 137,252 |
155
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial — 0.8% | |||||||||||
D.R. Horton, Inc. | 7,223 | $ | 380,724 | ||||||||
Lennar Corp., Class A | 60,104 | 3,356,808 | |||||||||
NVR, Inc.† | 30 | 111,521 | |||||||||
PulteGroup, Inc. | 55,273 | 2,020,228 | |||||||||
5,869,281 | |||||||||||
Cable/Satellite TV — 1.2% | |||||||||||
Charter Communications, Inc., Class A† | 1,978 | 815,173 | |||||||||
Comcast Corp., Class A | 164,299 | 7,406,599 | |||||||||
DISH Network Corp., Class A† | 5,164 | 175,938 | |||||||||
8,397,710 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
MGM Resorts International | 11,192 | 310,242 | |||||||||
Wynn Resorts, Ltd. | 2,079 | 226,029 | |||||||||
536,271 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
T-Mobile US, Inc.† | 5,089 | 400,861 | |||||||||
Chemicals-Diversified — 2.0% | |||||||||||
Celanese Corp. | 25,548 | 3,124,265 | |||||||||
Dow, Inc. | 82,689 | 3,940,131 | |||||||||
DuPont de Nemours, Inc. | 48,931 | 3,489,270 | |||||||||
Eastman Chemical Co. | 1,353 | 99,892 | |||||||||
FMC Corp. | 37,068 | 3,250,122 | |||||||||
LyondellBasell Industries NV, Class A | 5,541 | 495,753 | |||||||||
PPG Industries, Inc. | 2,739 | 324,599 | |||||||||
14,724,032 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Albemarle Corp. | 2,275 | 158,158 | |||||||||
International Flavors & Fragrances, Inc. | 2,292 | 281,205 | |||||||||
439,363 | |||||||||||
Coatings/Paint — 0.1% | |||||||||||
Sherwin-Williams Co. | 670 | 368,413 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Holdings PLC | 7,634 | 162,222 | |||||||||
Quanta Services, Inc. | 3,052 | 115,366 | |||||||||
277,588 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Equifax, Inc. | 1,012 | 142,358 | |||||||||
FleetCor Technologies, Inc.† | 743 | 213,078 | |||||||||
Global Payments, Inc. | 899 | 142,941 | |||||||||
H&R Block, Inc. | 1,637 | 38,666 | |||||||||
Moody's Corp. | 1,781 | 364,802 | |||||||||
901,845 | |||||||||||
Computer Aided Design — 0.1% | |||||||||||
Cadence Design Systems, Inc.† | 2,465 | 162,887 | |||||||||
Synopsys, Inc.† | 1,387 | 190,366 | |||||||||
353,253 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Services — 0.7% | |||||||||||
Accenture PLC, Class A | 7,385 | $ | 1,420,505 | ||||||||
Cognizant Technology Solutions Corp., Class A | 11,854 | 714,381 | |||||||||
DXC Technology Co. | 5,623 | 165,878 | |||||||||
International Business Machines Corp. | 19,014 | 2,765,016 | |||||||||
5,065,780 | |||||||||||
Computers — 2.9% | |||||||||||
Apple, Inc. | 91,180 | 20,421,585 | |||||||||
Hewlett Packard Enterprise Co. | 28,023 | 425,109 | |||||||||
HP, Inc. | 31,808 | 601,807 | |||||||||
21,448,501 | |||||||||||
Computers-Memory Devices — 0.9% | |||||||||||
NetApp, Inc. | 57,798 | 3,034,973 | |||||||||
Seagate Technology PLC | 1,829 | 98,382 | |||||||||
Western Digital Corp. | 53,253 | 3,176,009 | |||||||||
6,309,364 | |||||||||||
Consulting Services — 0.0% | |||||||||||
Verisk Analytics, Inc. | 1,088 | 172,056 | |||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Kimberly-Clark Corp. | 3,398 | 482,686 | |||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Ball Corp. | 2,352 | 171,249 | |||||||||
Containers-Paper/Plastic — 0.5% | |||||||||||
Amcor PLC† | 17,783 | 173,384 | |||||||||
Packaging Corp. of America | 2,032 | 215,595 | |||||||||
Sealed Air Corp. | 66,517 | 2,761,121 | |||||||||
WestRock Co. | 5,524 | 201,350 | |||||||||
3,351,450 | |||||||||||
Cosmetics & Toiletries — 2.6% | |||||||||||
Colgate-Palmolive Co. | 45,109 | 3,315,963 | |||||||||
Coty, Inc., Class A | 6,313 | 66,350 | |||||||||
Estee Lauder Cos., Inc., Class A | 1,519 | 302,205 | |||||||||
Procter & Gamble Co. | 86,875 | 10,805,512 | |||||||||
Unilever NV | 71,426 | 4,287,703 | |||||||||
18,777,733 | |||||||||||
Cruise Lines — 0.4% | |||||||||||
Carnival Corp. | 50,004 | 2,185,675 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 4,628 | 239,591 | |||||||||
Royal Caribbean Cruises, Ltd. | 3,688 | 399,521 | |||||||||
2,824,787 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Jack Henry & Associates, Inc. | 859 | 125,388 | |||||||||
Paychex, Inc. | 2,609 | 215,947 | |||||||||
341,335 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Align Technology, Inc.† | 764 | 138,223 | |||||||||
DENTSPLY SIRONA, Inc. | 4,812 | 256,528 | |||||||||
394,751 |
156
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Danaher Corp. | 6,030 | $ | 870,913 | ||||||||
Distribution/Wholesale — 0.0% | |||||||||||
Copart, Inc.† | 1,385 | 111,257 | |||||||||
LKQ Corp.† | 6,615 | 208,042 | |||||||||
319,299 | |||||||||||
Diversified Banking Institutions — 7.1% | |||||||||||
Bank of America Corp. | 467,443 | 13,635,312 | |||||||||
Citigroup, Inc. | 143,776 | 9,932,046 | |||||||||
Goldman Sachs Group, Inc. | 6,946 | 1,439,420 | |||||||||
JPMorgan Chase & Co. | 219,863 | 25,875,676 | |||||||||
Morgan Stanley | 26,961 | 1,150,426 | |||||||||
52,032,880 | |||||||||||
Diversified Manufacturing Operations — 2.5% | |||||||||||
3M Co. | 6,050 | 994,620 | |||||||||
A.O. Smith Corp. | 2,970 | 141,699 | |||||||||
Eaton Corp. PLC | 84,044 | 6,988,259 | |||||||||
General Electric Co. | 187,318 | 1,674,623 | |||||||||
Illinois Tool Works, Inc. | 3,791 | 593,253 | |||||||||
Ingersoll-Rand PLC | 33,721 | 4,154,764 | |||||||||
Parker-Hannifin Corp. | 2,757 | 497,942 | |||||||||
Siemens AG | 30,090 | 3,224,551 | |||||||||
Textron, Inc. | 4,939 | 241,813 | |||||||||
18,511,524 | |||||||||||
E-Commerce/Products — 0.1% | |||||||||||
eBay, Inc. | 10,492 | 408,978 | |||||||||
E-Commerce/Services — 0.6% | |||||||||||
Booking Holdings, Inc.† | 2,174 | 4,266,714 | |||||||||
Expedia Group, Inc. | 1,141 | 153,362 | |||||||||
TripAdvisor, Inc.† | 744 | 28,778 | |||||||||
4,448,854 | |||||||||||
E-Services/Consulting — 0.0% | |||||||||||
CDW Corp. | 1,802 | 222,078 | |||||||||
Electric Products-Misc. — 0.7% | |||||||||||
Emerson Electric Co. | 71,953 | 4,810,778 | |||||||||
Electric-Distribution — 0.7% | |||||||||||
CenterPoint Energy, Inc. | 10,780 | 325,340 | |||||||||
Sempra Energy | 33,411 | 4,931,798 | |||||||||
5,257,138 | |||||||||||
Electric-Integrated — 4.7% | |||||||||||
AES Corp. | 14,249 | 232,829 | |||||||||
Alliant Energy Corp. | 2,192 | 118,215 | |||||||||
American Electric Power Co., Inc. | 10,599 | 993,020 | |||||||||
CMS Energy Corp. | 2,680 | 171,386 | |||||||||
Consolidated Edison, Inc. | 7,129 | 673,477 | |||||||||
Dominion Energy, Inc. | 62,550 | 5,069,052 | |||||||||
DTE Energy Co. | 3,934 | 523,065 | |||||||||
Duke Energy Corp. | 15,639 | 1,499,155 | |||||||||
Edison International | 67,125 | 5,062,567 | |||||||||
Entergy Corp. | 4,268 | 500,892 | |||||||||
Evergy, Inc. | 5,054 | 336,394 | |||||||||
Eversource Energy | 58,076 | 4,963,756 | |||||||||
Exelon Corp. | 20,854 | 1,007,457 | |||||||||
FirstEnergy Corp. | 11,590 | 558,986 |
Security Description | Shares | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Pinnacle West Capital Corp. | 46,760 | $ | 4,538,993 | ||||||||
PPL Corp. | 15,502 | 488,158 | |||||||||
Public Service Enterprise Group, Inc. | 10,853 | 673,754 | |||||||||
Southern Co. | 22,435 | 1,385,810 | |||||||||
WEC Energy Group, Inc. | 3,521 | 334,847 | |||||||||
Xcel Energy, Inc. | 81,250 | 5,272,312 | |||||||||
34,404,125 | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Garmin, Ltd. | 1,178 | 99,765 | |||||||||
Electronic Components-Semiconductors — 2.7% | |||||||||||
Intel Corp. | 253,820 | 13,079,345 | |||||||||
IPG Photonics Corp.† | 765 | 103,734 | |||||||||
Microchip Technology, Inc. | 2,504 | 232,647 | |||||||||
Micron Technology, Inc.† | 100,592 | 4,310,367 | |||||||||
NVIDIA Corp. | 6,144 | 1,069,486 | |||||||||
Qorvo, Inc.† | 2,528 | 187,426 | |||||||||
Skyworks Solutions, Inc. | 1,437 | 113,882 | |||||||||
Texas Instruments, Inc. | 6,813 | 880,512 | |||||||||
19,977,399 | |||||||||||
Electronic Connectors — 0.5% | |||||||||||
Amphenol Corp., Class A | 3,958 | 381,947 | |||||||||
TE Connectivity, Ltd. | 31,131 | 2,900,787 | |||||||||
3,282,734 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Agilent Technologies, Inc. | 3,122 | 239,239 | |||||||||
FLIR Systems, Inc. | 2,911 | 153,090 | |||||||||
Fortive Corp. | 6,338 | 434,533 | |||||||||
826,862 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 982 | 101,784 | |||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Jacobs Engineering Group, Inc. | 2,908 | 266,082 | |||||||||
Engines-Internal Combustion — 0.4% | |||||||||||
Cummins, Inc. | 18,347 | 2,984,506 | |||||||||
Enterprise Software/Service — 0.5% | |||||||||||
Oracle Corp. | 62,448 | 3,436,513 | |||||||||
Entertainment Software — 0.2% | |||||||||||
Activision Blizzard, Inc. | 16,463 | 871,222 | |||||||||
Electronic Arts, Inc.† | 3,289 | 321,730 | |||||||||
1,192,952 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 13,101 | 446,613 | |||||||||
Finance-Credit Card — 0.3% | |||||||||||
American Express Co. | 7,301 | 863,563 | |||||||||
Capital One Financial Corp. | 10,095 | 918,443 | |||||||||
Discover Financial Services | 2,391 | 193,886 | |||||||||
Western Union Co. | 5,277 | 122,268 | |||||||||
2,098,160 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
Charles Schwab Corp. | 11,986 | 501,374 | |||||||||
E*TRADE Financial Corp. | 2,110 | 92,186 | |||||||||
TD Ameritrade Holding Corp. | 48,092 | 2,245,897 | |||||||||
2,839,457 |
157
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
CME Group, Inc. | 7,686 | $ | 1,624,359 | ||||||||
Nasdaq, Inc. | 742 | 73,718 | |||||||||
1,698,077 | |||||||||||
Food-Confectionery — 0.1% | |||||||||||
Hershey Co. | 1,247 | 193,272 | |||||||||
J.M. Smucker Co. | 2,448 | 269,329 | |||||||||
462,601 | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
Tyson Foods, Inc., Class A | 6,325 | 544,836 | |||||||||
Food-Misc./Diversified — 1.9% | |||||||||||
Campbell Soup Co. | 3,620 | 169,851 | |||||||||
Conagra Brands, Inc. | 64,584 | 1,981,437 | |||||||||
General Mills, Inc. | 12,953 | 713,969 | |||||||||
Kraft Heinz Co. | 13,355 | 373,072 | |||||||||
Mondelez International, Inc., Class A | 197,932 | 10,949,598 | |||||||||
14,187,927 | |||||||||||
Food-Retail — 0.2% | |||||||||||
Koninklijke Ahold Delhaize NV | 48,410 | 1,210,998 | |||||||||
Kroger Co. | 17,145 | 441,998 | |||||||||
1,652,996 | |||||||||||
Food-Wholesale/Distribution — 0.9% | |||||||||||
Sysco Corp. | 27,235 | 2,162,459 | |||||||||
US Foods Holding Corp.† | 107,213 | 4,406,454 | |||||||||
6,568,913 | |||||||||||
Footwear & Related Apparel — 0.4% | |||||||||||
Skechers U.S.A., Inc., Class A† | 74,300 | 2,775,105 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Atmos Energy Corp. | 1,040 | 118,445 | |||||||||
NiSource, Inc. | 8,014 | 239,779 | |||||||||
358,224 | |||||||||||
Gold Mining — 0.1% | |||||||||||
Newmont Goldcorp Corp. | 17,598 | 667,316 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 3,926 | 73,495 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 2,822 | 115,533 | |||||||||
Hotels/Motels — 0.3% | |||||||||||
Hilton Worldwide Holdings, Inc. | 21,156 | 1,969,835 | |||||||||
Marriott International, Inc., Class A | 3,521 | 437,907 | |||||||||
2,407,742 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 1,363 | 75,865 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 1,256 | 206,989 | |||||||||
Industrial Gases — 0.1% | |||||||||||
Linde PLC | 3,829 | 741,754 | |||||||||
Instruments-Controls — 0.2% | |||||||||||
Honeywell International, Inc. | 7,722 | 1,306,562 | |||||||||
Mettler-Toledo International, Inc.† | 190 | 133,836 | |||||||||
1,440,398 |
Security Description | Shares | Value (Note 2) | |||||||||
Instruments-Scientific — 0.0% | |||||||||||
PerkinElmer, Inc. | 1,144 | $ | 97,434 | ||||||||
Waters Corp.† | 573 | 127,911 | |||||||||
225,345 | |||||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon PLC | 1,873 | 362,557 | |||||||||
Arthur J. Gallagher & Co. | 1,318 | 118,053 | |||||||||
Marsh & McLennan Cos., Inc. | 4,021 | 402,301 | |||||||||
Willis Towers Watson PLC | 2,769 | 534,334 | |||||||||
1,417,245 | |||||||||||
Insurance-Life/Health — 0.6% | |||||||||||
Aflac, Inc. | 57,882 | 3,028,386 | |||||||||
Globe Life, Inc. | 1,185 | 113,476 | |||||||||
Lincoln National Corp. | 4,297 | 259,195 | |||||||||
Principal Financial Group, Inc. | 5,565 | 317,984 | |||||||||
Prudential Financial, Inc. | 8,629 | 776,179 | |||||||||
Unum Group | 4,478 | 133,086 | |||||||||
4,628,306 | |||||||||||
Insurance-Multi-line — 2.8% | |||||||||||
Allstate Corp. | 7,066 | 767,933 | |||||||||
American International Group, Inc.(1). | 18,672 | 1,040,030 | |||||||||
Assurant, Inc. | 25,612 | 3,222,502 | |||||||||
Chubb, Ltd. | 63,240 | 10,209,466 | |||||||||
Cincinnati Financial Corp. | 1,695 | 197,756 | |||||||||
Hartford Financial Services Group, Inc. | 7,761 | 470,394 | |||||||||
Loews Corp. | 5,582 | 287,361 | |||||||||
MetLife, Inc. | 86,285 | 4,069,201 | |||||||||
20,264,643 | |||||||||||
Insurance-Property/Casualty — 2.1% | |||||||||||
Berkshire Hathaway, Inc., Class B† | 56,706 | 11,795,982 | |||||||||
Progressive Corp. | 37,898 | 2,927,621 | |||||||||
Travelers Cos., Inc. | 5,589 | 831,028 | |||||||||
15,554,631 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Everest Re Group, Ltd. | 874 | 232,563 | |||||||||
Internet Security — 0.0% | |||||||||||
Symantec Corp. | 12,204 | 288,381 | |||||||||
Investment Management/Advisor Services — 1.2% | |||||||||||
Affiliated Managers Group, Inc. | 1,087 | 90,602 | |||||||||
Ameriprise Financial, Inc. | 22,782 | 3,351,232 | |||||||||
BlackRock, Inc. | 9,922 | 4,421,640 | |||||||||
Franklin Resources, Inc. | 6,054 | 174,718 | |||||||||
Invesco, Ltd. | 8,269 | 140,077 | |||||||||
Raymond James Financial, Inc. | 2,652 | 218,684 | |||||||||
T. Rowe Price Group, Inc. | 2,528 | 288,824 | |||||||||
8,685,777 | |||||||||||
Machinery-Construction & Mining — 0.7% | |||||||||||
Caterpillar, Inc. | 39,374 | 4,973,330 | |||||||||
Machinery-Farming — 0.2% | |||||||||||
Deere & Co. | 6,758 | 1,139,939 |
158
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-General Industrial — 0.3% | |||||||||||
Atlas Copco AB, Class B | 71,500 | $ | 1,940,135 | ||||||||
Wabtec Corp. | 2,111 | 151,696 | |||||||||
2,091,831 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
Dover Corp. | 3,122 | 310,826 | |||||||||
Flowserve Corp. | 1,323 | 61,798 | |||||||||
372,624 | |||||||||||
Medical Information Systems — 0.4% | |||||||||||
Cerner Corp. | 45,330 | 3,090,146 | |||||||||
Medical Instruments — 1.8% | |||||||||||
Medtronic PLC | 123,015 | 13,361,889 | |||||||||
Medical Labs & Testing Services — 0.6% | |||||||||||
IQVIA Holdings, Inc.† | 1,056 | 157,745 | |||||||||
Laboratory Corp. of America Holdings† | 2,097 | 352,296 | |||||||||
Quest Diagnostics, Inc. | 36,811 | 3,939,882 | |||||||||
4,449,923 | |||||||||||
Medical Products — 2.2% | |||||||||||
Baxter International, Inc. | 6,246 | 546,338 | |||||||||
Becton Dickinson and Co. | 2,144 | 542,346 | |||||||||
Cooper Cos., Inc. | 607 | 180,279 | |||||||||
Henry Schein, Inc.† | 1,750 | 111,125 | |||||||||
Hologic, Inc.† | 64,052 | 3,233,985 | |||||||||
Koninklijke Philips NV | 58,300 | 2,689,379 | |||||||||
Stryker Corp. | 2,824 | 610,831 | |||||||||
Zimmer Biomet Holdings, Inc. | 60,510 | 8,306,208 | |||||||||
16,220,491 | |||||||||||
Medical-Biomedical/Gene — 0.9% | |||||||||||
Amgen, Inc. | 4,376 | 846,800 | |||||||||
Biogen, Inc.† | 1,821 | 423,965 | |||||||||
Celgene Corp.† | 8,063 | 800,656 | |||||||||
Gilead Sciences, Inc. | 64,473 | 4,086,299 | |||||||||
Incyte Corp.† | 1,992 | 147,866 | |||||||||
Nektar Therapeutics† | 3,762 | 68,525 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 703 | 195,012 | |||||||||
6,569,123 | |||||||||||
Medical-Drugs — 5.3% | |||||||||||
AbbVie, Inc. | 15,232 | 1,153,367 | |||||||||
Allergan PLC | 7,041 | 1,184,930 | |||||||||
AstraZeneca PLC ADR | 64,016 | 2,853,193 | |||||||||
Bristol-Myers Squibb Co. | 17,204 | 872,415 | |||||||||
Eli Lilly & Co. | 32,533 | 3,638,165 | |||||||||
Johnson & Johnson | 82,905 | 10,726,249 | |||||||||
Pfizer, Inc. | 300,290 | 10,789,420 | |||||||||
Roche Holding AG | 8,400 | 2,449,651 | |||||||||
Roche Holding AG ADR | 112,216 | 4,090,273 | |||||||||
Zoetis, Inc. | 4,613 | 574,734 | |||||||||
38,332,397 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Mylan NV† | 11,073 | 219,024 | |||||||||
Perrigo Co. PLC | 2,920 | 163,199 | |||||||||
382,223 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-HMO — 2.1% | |||||||||||
Anthem, Inc. | 25,191 | $ | 6,048,359 | ||||||||
Centene Corp.† | 8,878 | 384,062 | |||||||||
UnitedHealth Group, Inc. | 41,141 | 8,940,762 | |||||||||
15,373,183 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
Universal Health Services, Inc., Class B | 750 | 111,563 | |||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
AmerisourceBergen Corp. | 3,264 | 268,725 | |||||||||
Cardinal Health, Inc. | 6,399 | 301,969 | |||||||||
McKesson Corp. | 3,969 | 542,403 | |||||||||
1,113,097 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. | 17,128 | 163,915 | |||||||||
Motorcycle/Motor Scooter — 0.0% | |||||||||||
Harley-Davidson, Inc. | 3,364 | 121,003 | |||||||||
Multimedia — 0.8% | |||||||||||
Viacom, Inc., Class B | 144,707 | 3,477,309 | |||||||||
Walt Disney Co. | 17,013 | 2,217,134 | |||||||||
5,694,443 | |||||||||||
Networking Products — 0.9% | |||||||||||
Cisco Systems, Inc. | 128,879 | 6,367,911 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Republic Services, Inc. | 2,590 | 224,165 | |||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Xerox Holdings Corp. | 4,085 | 122,182 | |||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 994 | 112,889 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Helmerich & Payne, Inc. | 2,349 | 94,124 | |||||||||
Oil Companies-Exploration & Production — 1.0% | |||||||||||
Cabot Oil & Gas Corp. | 2,784 | 48,915 | |||||||||
Cimarex Energy Co. | 958 | 45,927 | |||||||||
Concho Resources, Inc. | 1,942 | 131,862 | |||||||||
EOG Resources, Inc. | 53,284 | 3,954,738 | |||||||||
Hess Corp. | 2,500 | 151,200 | |||||||||
Noble Energy, Inc. | 10,265 | 230,552 | |||||||||
Pioneer Natural Resources Co. | 23,933 | 3,010,053 | |||||||||
7,573,247 | |||||||||||
Oil Companies-Integrated — 4.1% | |||||||||||
Chevron Corp. | 161,610 | 19,166,946 | |||||||||
Exxon Mobil Corp. | 39,959 | 2,821,505 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 26,410 | 1,581,959 | |||||||||
TOTAL SA ADR | 123,400 | 6,416,800 | |||||||||
29,987,210 | |||||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
National Oilwell Varco, Inc. | 8,283 | 175,600 | |||||||||
Oil Refining & Marketing — 0.7% | |||||||||||
Marathon Petroleum Corp. | 14,130 | 858,397 | |||||||||
Phillips 66 | 35,328 | 3,617,587 | |||||||||
Valero Energy Corp. | 8,895 | 758,210 | |||||||||
5,234,194 |
159
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil-Field Services — 0.9% | |||||||||||
Baker Hughes a GE Co., LLC | 86,063 | $ | 1,996,662 | ||||||||
Halliburton Co. | 18,801 | 354,399 | |||||||||
Schlumberger, Ltd. | 115,755 | 3,955,348 | |||||||||
TechnipFMC PLC | 9,008 | 217,453 | |||||||||
6,523,862 | |||||||||||
Paper & Related Products — 0.4% | |||||||||||
International Paper Co. | 8,432 | 352,626 | |||||||||
Mondi PLC | 130,010 | 2,489,498 | |||||||||
2,842,124 | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
Cigna Corp. | 3,485 | 528,988 | |||||||||
CVS Health Corp. | 27,914 | 1,760,536 | |||||||||
2,289,524 | |||||||||||
Pipelines — 0.6% | |||||||||||
Kinder Morgan, Inc. | 182,550 | 3,762,355 | |||||||||
ONEOK, Inc. | 3,811 | 280,833 | |||||||||
Williams Cos., Inc. | 26,015 | 625,921 | |||||||||
4,669,109 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp., Class A | 8,277 | 115,216 | |||||||||
News Corp., Class B | 2,614 | 37,367 | |||||||||
152,583 | |||||||||||
Real Estate Investment Trusts — 2.8% | |||||||||||
Alexandria Real Estate Equities, Inc. | 2,434 | 374,933 | |||||||||
AvalonBay Communities, Inc. | 959 | 206,502 | |||||||||
Boston Properties, Inc. | 1,450 | 188,007 | |||||||||
Crown Castle International Corp. | 5,265 | 731,888 | |||||||||
Digital Realty Trust, Inc. | 1,968 | 255,466 | |||||||||
Duke Realty Corp. | 2,560 | 86,963 | |||||||||
Equinix, Inc. | 728 | 419,910 | |||||||||
Equity Residential | 2,394 | 206,507 | |||||||||
Essex Property Trust, Inc. | 367 | 119,881 | |||||||||
Extra Space Storage, Inc. | 938 | 109,577 | |||||||||
Federal Realty Investment Trust | 778 | 105,917 | |||||||||
Gaming and Leisure Properties, Inc. | 71,600 | 2,737,984 | |||||||||
Highwoods Properties, Inc. | 59,800 | 2,687,412 | |||||||||
Host Hotels & Resorts, Inc. | 8,303 | 143,559 | |||||||||
Iron Mountain, Inc. | 6,162 | 199,587 | |||||||||
Kimco Realty Corp. | 9,060 | 189,173 | |||||||||
Macerich Co. | 2,365 | 74,710 | |||||||||
Mid-America Apartment Communities, Inc. | 1,077 | 140,021 | |||||||||
Prologis, Inc. | 13,547 | 1,154,475 | |||||||||
Realty Income Corp. | 1,844 | 141,398 | |||||||||
Regency Centers Corp. | 1,978 | 137,451 | |||||||||
SBA Communications Corp. | 1,020 | 245,973 | |||||||||
Simon Property Group, Inc. | 2,182 | 339,628 | |||||||||
SL Green Realty Corp. | 1,769 | 144,616 | |||||||||
UDR, Inc. | 2,829 | 137,150 | |||||||||
Ventas, Inc. | 7,997 | 584,021 | |||||||||
Vornado Realty Trust | 1,666 | 106,074 | |||||||||
Welltower, Inc. | 43,050 | 3,902,483 | |||||||||
Weyerhaeuser Co. | 163,059 | 4,516,734 | |||||||||
20,388,000 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Management/Services — 0.1% | |||||||||||
CBRE Group, Inc., Class A† | 7,219 | $ | 382,679 | ||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 778 | 96,970 | |||||||||
Retail-Apparel/Shoe — 0.1% | |||||||||||
Gap, Inc. | 4,598 | 79,821 | |||||||||
L Brands, Inc. | 4,983 | 97,617 | |||||||||
Ross Stores, Inc. | 3,366 | 369,755 | |||||||||
547,193 | |||||||||||
Retail-Auto Parts — 0.5% | |||||||||||
Advance Auto Parts, Inc. | 18,806 | 3,110,512 | |||||||||
Genuine Parts Co. | 3,135 | 312,215 | |||||||||
3,422,727 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 1,955 | 172,040 | |||||||||
Retail-Building Products — 0.5% | |||||||||||
Home Depot, Inc. | 12,693 | 2,945,030 | |||||||||
Lowe's Cos., Inc. | 8,946 | 983,702 | |||||||||
3,928,732 | |||||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 4,978 | 343,432 | |||||||||
Retail-Discount — 1.4% | |||||||||||
Costco Wholesale Corp. | 9,440 | 2,719,758 | |||||||||
Dollar Tree, Inc.† | 5,079 | 579,819 | |||||||||
Target Corp. | 10,967 | 1,172,482 | |||||||||
Walmart, Inc. | 50,545 | 5,998,681 | |||||||||
10,470,740 | |||||||||||
Retail-Drug Store — 0.1% | |||||||||||
Walgreens Boots Alliance, Inc. | 16,283 | 900,613 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Tiffany & Co. | 1,283 | 118,844 | |||||||||
Retail-Major Department Stores — 0.3% | |||||||||||
Nordstrom, Inc. | 1,170 | 39,394 | |||||||||
TJX Cos., Inc. | 43,600 | 2,430,264 | |||||||||
2,469,658 | |||||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Kohl's Corp. | 3,416 | 169,638 | |||||||||
Macy's, Inc. | 3,846 | 59,767 | |||||||||
229,405 | |||||||||||
Retail-Restaurants — 0.2% | |||||||||||
Darden Restaurants, Inc. | 791 | 93,512 | |||||||||
Starbucks Corp. | 12,589 | 1,113,119 | |||||||||
1,206,631 | |||||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
People's United Financial, Inc. | 8,559 | 133,820 | |||||||||
Semiconductor Components-Integrated Circuits — 1.4% | |||||||||||
Analog Devices, Inc. | 29,147 | 3,256,594 | |||||||||
Maxim Integrated Products, Inc. | 35,889 | 2,078,332 | |||||||||
QUALCOMM, Inc. | 58,953 | 4,496,935 | |||||||||
9,831,861 |
160
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Semiconductor Equipment — 1.2% | |||||||||||
Applied Materials, Inc. | 75,807 | $ | 3,782,770 | ||||||||
KLA Corp. | 24,938 | 3,976,364 | |||||||||
Lam Research Corp. | 3,102 | 716,903 | |||||||||
8,476,037 | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 887 | 187,858 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Nucor Corp. | 6,507 | 331,271 | |||||||||
Telecom Equipment-Fiber Optics — 0.4% | |||||||||||
Corning, Inc. | 109,661 | 3,127,532 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Juniper Networks, Inc. | 7,423 | 183,719 | |||||||||
Telephone-Integrated — 2.5% | |||||||||||
AT&T, Inc. | 156,837 | 5,934,712 | |||||||||
CenturyLink, Inc. | 21,071 | 262,966 | |||||||||
Verizon Communications, Inc. | 201,365 | 12,154,392 | |||||||||
18,352,070 | |||||||||||
Television — 0.0% | |||||||||||
CBS Corp., Class B | 7,024 | 283,559 | |||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 1,285 | 159,430 | |||||||||
Tobacco — 0.8% | |||||||||||
Altria Group, Inc. | 40,097 | 1,639,967 | |||||||||
British American Tobacco PLC ADR | 78,353 | 2,891,226 | |||||||||
Philip Morris International, Inc. | 16,363 | 1,242,443 | |||||||||
5,773,636 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,185 | 185,500 | |||||||||
Stanley Black & Decker, Inc. | 3,257 | 470,343 | |||||||||
655,843 | |||||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 1,083 | 128,541 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Kansas City Southern | 1,209 | 160,809 | |||||||||
Norfolk Southern Corp. | 1,753 | 314,944 | |||||||||
475,753 | |||||||||||
Transport-Services — 0.5% | |||||||||||
C.H. Robinson Worldwide, Inc. | 2,906 | 246,370 | |||||||||
FedEx Corp. | 2,833 | 412,400 | |||||||||
United Parcel Service, Inc., Class B | 24,835 | 2,975,730 | |||||||||
3,634,500 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. | 605 | 66,943 | |||||||||
Water — 0.0% | |||||||||||
American Water Works Co., Inc. | 1,435 | 178,270 | |||||||||
Water Treatment Systems — 0.0% | |||||||||||
Pentair PLC | 3,607 | 136,345 | |||||||||
Wireless Equipment — 0.4% | |||||||||||
Nokia OYJ ADR | 610,499 | 3,089,125 | |||||||||
Total Common Stocks (cost $623,633,924) | 712,803,108 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EXCHANGE-TRADED FUNDS — 1.0% | |||||||||||
iShares Russell 1000 Value ETF | 47,590 | $ | 6,103,893 | ||||||||
iShares S&P 500 Value ETF | 9,100 | 1,084,174 | |||||||||
Total Exchange-Traded Funds (cost $7,000,593) | 7,188,067 | ||||||||||
Total Long-Term Investment Securities (cost $630,634,517) | 719,991,175 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.0% | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 1.88% due 10/29/2019(2) | $ | 150,000 | 149,782 | ||||||||
1.95% due 10/15/2019(2) | 70,000 | 69,954 | |||||||||
Total Short-Term Investment Securities (cost $219,728) | 219,736 | ||||||||||
REPURCHASE AGREEMENTS — 0.4% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35%, dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $543,005 collateralized by $530,000 of United States Treasury Notes, bearing interest at 2.63% due 12/31/2023 and having an approximate value of $556,437 | 543,000 | 543,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 545,000 | 545,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 330,000 | 330,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 265,000 | 265,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 505,000 | 505,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 530,000 | 530,000 | |||||||||
Total Repurchase Agreements (cost $2,718,000) | 2,718,000 | ||||||||||
TOTAL INVESTMENTS (cost $633,572,245)(4) | 98.9 | % | 722,928,911 | ||||||||
Other assets less liabilities | 1.1 | 7,735,564 | |||||||||
NET ASSETS | 100.0 | % | $ | 730,664,475 |
† 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
ETF — Exchange-Traded Funds
161
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
4 | Long | S&P 500 Citigroup Value Index | December 2019 | $ | 1,189,170 | $ | 1,169,700 | $ | (19,470 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Bank of America, N.A. | JPY | 201,526,145 | USD | 1,879,382 | 12/30/2019 | $ | 3,298 | $ | — | ||||||||||||||
USD | 70,227 | JPY | 7,499,279 | 12/30/2019 | — | (413 | ) | ||||||||||||||||
3,298 | (413 | ) | |||||||||||||||||||||
Credit Suisse AG | EUR | 8,734,127 | USD | 9,717,254 | 12/31/2019 | 129,226 | — | ||||||||||||||||
USD | 252,309 | EUR | 229,238 | 12/31/2019 | — | (659 | ) | ||||||||||||||||
129,226 | (659 | ) | |||||||||||||||||||||
Goldman Sachs International | SEK | 17,582,472 | USD | 1,819,585 | 12/30/2019 | 22,192 | — | ||||||||||||||||
USD | 106,357 | SEK | 1,027,362 | 12/30/2019 | — | (1,334 | ) | ||||||||||||||||
22,192 | (1,334 | ) | |||||||||||||||||||||
JPMorgan Chase Bank | GBP | 2,752,556 | USD | 3,457,211 | 12/31/2019 | 59,827 | — | ||||||||||||||||
UBS AG | CHF | 2,047,038 | USD | 2,074,898 | 12/31/2019 | 7,030 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 221,573 | $ | (2,406 | ) |
CHF — Swiss Francs
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
SEK — Swedish Krona
USD — United States Dollar
162
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 701,488,275 | $ | 11,314,833 | ** | $ | — | $ | 712,803,108 | ||||||||||
Exchange-Traded Funds | 7,188,067 | — | — | 7,188,067 | |||||||||||||||
Short-Term Investment Securities | — | 219,736 | — | 219,736 | |||||||||||||||
Repurchase Agreements | — | 2,718,000 | — | 2,718,000 | |||||||||||||||
Total Investments at Value | $ | 708,676,342 | $ | 14,252,569 | $ | — | $ | 722,928,911 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 221,573 | $ | — | $ | 221,573 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 19,470 | $ | — | $ | — | $ | 19,470 | |||||||||||
Forward Foreign Currency Contracts | — | 2,406 | — | 2,406 | |||||||||||||||
Total Other Financial Instruments | $ | 19,470 | $ | 2,406 | $ | — | $ | 21,876 |
* 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 represent unrealized appreciation/depreciation as of the end of the reporting period.
See Notes to Financial Statements
163
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Enterprise Software/Service | 5.0 | % | |||||
Commercial Services-Finance | 4.6 | ||||||
Medical-Biomedical/Gene | 3.8 | ||||||
Electronic Components-Semiconductors | 3.8 | ||||||
Medical Products | 3.2 | ||||||
Data Processing/Management | 2.8 | ||||||
Computer Software | 2.8 | ||||||
Commercial Services | 2.1 | ||||||
Retail-Apparel/Shoe | 2.0 | ||||||
Applications Software | 1.9 | ||||||
E-Commerce/Services | 1.7 | ||||||
Aerospace/Defense-Equipment | 1.7 | ||||||
Semiconductor Equipment | 1.5 | ||||||
Patient Monitoring Equipment | 1.5 | ||||||
Diversified Manufacturing Operations | 1.4 | ||||||
Real Estate Investment Trusts | 1.4 | ||||||
Retail-Restaurants | 1.4 | ||||||
Food-Misc./Diversified | 1.4 | ||||||
Distribution/Wholesale | 1.3 | ||||||
Internet Content-Entertainment | 1.3 | ||||||
Web Hosting/Design | 1.3 | ||||||
Retail-Discount | 1.3 | ||||||
Computer Aided Design | 1.3 | ||||||
Electronic Measurement Instruments | 1.2 | ||||||
Resorts/Theme Parks | 1.2 | ||||||
Consulting Services | 1.2 | ||||||
Medical-Drugs | 1.2 | ||||||
Office Automation & Equipment | 1.1 | ||||||
Building-Residential/Commercial | 1.0 | ||||||
Retail-Auto Parts | 1.0 | ||||||
Internet Content-Information/News | 1.0 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Apparel Manufacturers | 1.0 | ||||||
Retail-Floor Coverings | 0.9 | ||||||
Machinery-Pumps | 0.9 | ||||||
Schools | 0.8 | ||||||
Medical-HMO | 0.8 | ||||||
Internet Security | 0.8 | ||||||
Hotels/Motels | 0.7 | ||||||
Cruise Lines | 0.7 | ||||||
Entertainment Software | 0.7 | ||||||
Computers-Memory Devices | 0.7 | ||||||
Banks-Commercial | 0.6 | ||||||
Electronic Connectors | 0.6 | ||||||
Machinery-General Industrial | 0.6 | ||||||
Drug Delivery Systems | 0.6 | ||||||
Repurchase Agreements | 0.6 | ||||||
Building Products-Cement | 0.6 | ||||||
Veterinary Diagnostics | 0.6 | ||||||
Aerospace/Defense | 0.6 | ||||||
Diagnostic Kits | 0.6 | ||||||
Retail-Misc./Diversified | 0.6 | ||||||
Recreational Centers | 0.5 | ||||||
Containers-Metal/Glass | 0.5 | ||||||
Computer Services | 0.5 | ||||||
Wireless Equipment | 0.5 | ||||||
Transport-Truck | 0.5 | ||||||
Industrial Automated/Robotic | 0.5 | ||||||
Airlines | 0.5 | ||||||
Instruments-Controls | 0.5 |
Finance-Other Services | 0.5 | % | |||||
Disposable Medical Products | 0.4 | ||||||
Internet Application Software | 0.4 | ||||||
E-Services/Consulting | 0.4 | ||||||
Exchange-Traded Funds | 0.4 | ||||||
Healthcare Safety Devices | 0.4 | ||||||
Auto/Truck Parts & Equipment-Original | 0.4 | ||||||
Soap & Cleaning Preparation | 0.4 | ||||||
Medical Information Systems | 0.4 | ||||||
Food-Confectionery | 0.4 | ||||||
Retail-Perfume & Cosmetics | 0.4 | ||||||
Finance-Investment Banker/Broker | 0.4 | ||||||
Private Equity | 0.4 | ||||||
Medical Labs & Testing Services | 0.4 | ||||||
Security Services | 0.3 | ||||||
Casino Hotels | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Beverages-Non-alcoholic | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.3 | ||||||
Therapeutics | 0.3 | ||||||
Transport-Services | 0.3 | ||||||
Electric Products-Misc. | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Decision Support Software | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Dental Supplies & Equipment | 0.3 | ||||||
Beverages-Wine/Spirits | 0.3 | ||||||
E-Commerce/Products | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Television | 0.3 | ||||||
Real Estate Management/Services | 0.3 | ||||||
Retail-Automobile | 0.2 | ||||||
Electronic Security Devices | 0.2 | ||||||
Athletic Equipment | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Retail-Gardening Products | 0.2 | ||||||
Power Converter/Supply Equipment | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Garden Products | 0.2 | ||||||
Investment Management/Advisor Services | 0.2 | ||||||
Respiratory Products | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Chemicals-Diversified | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Medical Instruments | 0.2 | ||||||
Recreational Vehicles | 0.2 | ||||||
Instruments-Scientific | 0.2 | ||||||
Telecom Equipment-Fiber Optics | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Theaters | 0.2 | ||||||
Shipbuilding | 0.2 | ||||||
Toys | 0.2 | ||||||
Insurance-Multi-line | 0.2 | ||||||
Advanced Materials | 0.2 | ||||||
Insurance-Reinsurance | 0.2 | ||||||
Non-Hazardous Waste Disposal | 0.2 | �� |
164
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Advertising Agencies | 0.2 | % | |||||
Electronic Components-Misc. | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Transport-Rail | 0.2 | ||||||
Multimedia | 0.2 | ||||||
Building-Maintenance & Services | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Machinery-Electrical | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Communications Software | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Internet Telephone | 0.1 | ||||||
Retail-Convenience Store | 0.1 | ||||||
Lighting Products & Systems | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Internet Infrastructure Software | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Telephone-Integrated | 0.1 | ||||||
Advertising Services | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Water | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Steel Pipe & Tube | 0.1 | ||||||
Lasers-System/Components | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Retail-Home Furnishings | 0.1 | ||||||
Auction Houses/Art Dealers | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
100.2 | % |
* Calculated as a percentage of net assets
165
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.5% | |||||||||||
Advanced Materials — 0.2% | |||||||||||
Hexcel Corp. | 4,833 | $ | 396,934 | ||||||||
Advertising Agencies — 0.2% | |||||||||||
Interpublic Group of Cos., Inc. | 3,477 | 74,964 | |||||||||
Omnicom Group, Inc. | 4,001 | 313,278 | |||||||||
388,242 | |||||||||||
Advertising Services — 0.1% | |||||||||||
Trade Desk, Inc., Class A† | 938 | 175,922 | |||||||||
Aerospace/Defense — 0.6% | |||||||||||
Spirit AeroSystems Holdings, Inc., Class A | 2,264 | 186,191 | |||||||||
TransDigm Group, Inc. | 2,003 | 1,042,902 | |||||||||
1,229,093 | |||||||||||
Aerospace/Defense-Equipment — 1.7% | |||||||||||
HEICO Corp. | 953 | 119,011 | |||||||||
HEICO Corp., Class A | 1,865 | 181,483 | |||||||||
L3Harris Technologies, Inc. | 16,552 | 3,453,409 | |||||||||
3,753,903 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 3,434 | 168,953 | |||||||||
Airlines — 0.5% | |||||||||||
Alaska Air Group, Inc. | 5,952 | 386,344 | |||||||||
American Airlines Group, Inc. | 6,185 | 166,809 | |||||||||
Copa Holdings SA, Class A | 1,000 | 98,750 | |||||||||
JetBlue Airways Corp.† | 646 | 10,821 | |||||||||
United Airlines Holdings, Inc.† | 4,263 | 376,892 | |||||||||
1,039,616 | |||||||||||
Apparel Manufacturers — 1.0% | |||||||||||
Capri Holdings, Ltd.† | 1,444 | 47,883 | |||||||||
Carter's, Inc. | 6,247 | 569,789 | |||||||||
Columbia Sportswear Co. | 477 | 46,217 | |||||||||
Hanesbrands, Inc. | 6,819 | 104,467 | |||||||||
PVH Corp. | 1,100 | 97,053 | |||||||||
Tapestry, Inc. | 8,200 | 213,610 | |||||||||
Under Armour, Inc., Class A† | 12,349 | 246,239 | |||||||||
Under Armour, Inc., Class C† | 43,585 | 790,196 | |||||||||
2,115,454 | |||||||||||
Applications Software — 1.7% | |||||||||||
CDK Global, Inc. | 6,373 | 306,478 | |||||||||
HubSpot, Inc.† | 973 | 147,517 | |||||||||
Medallia, Inc.† | 310 | 8,503 | |||||||||
PTC, Inc.† | 2,541 | 173,245 | |||||||||
RealPage, Inc.† | 7,666 | 481,885 | |||||||||
ServiceNow, Inc.† | 9,946 | 2,524,792 | |||||||||
Smartsheet, Inc., Class A† | 2,130 | 76,744 | |||||||||
3,719,164 | |||||||||||
Athletic Equipment — 0.2% | |||||||||||
Peloton Interactive, Inc., Class A† | 21,500 | 539,650 | |||||||||
Auction Houses/Art Dealers — 0.1% | |||||||||||
Ritchie Bros. Auctioneers, Inc. | 3,100 | 123,690 | |||||||||
Audio/Video Products — 0.0% | |||||||||||
Dolby Laboratories, Inc., Class A | 204 | 13,187 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ferrari NV | 1,040 | $ | 160,254 | ||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 1,900 | 133,019 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.4% | |||||||||||
Allison Transmission Holdings, Inc. | 2,696 | 126,847 | |||||||||
Aptiv PLC | 7,122 | 622,605 | |||||||||
WABCO Holdings, Inc.† | 1,047 | 140,036 | |||||||||
889,488 | |||||||||||
Banks-Commercial — 0.6% | |||||||||||
BankUnited, Inc. | 2,500 | 84,050 | |||||||||
CIT Group, Inc. | 193 | 8,745 | |||||||||
First Republic Bank | 5,236 | 506,321 | |||||||||
Pinnacle Financial Partners, Inc. | 1,600 | 90,800 | |||||||||
Signature Bank | 1,750 | 208,635 | |||||||||
SVB Financial Group† | 1,172 | 244,889 | |||||||||
Synovus Financial Corp. | 276 | 9,870 | |||||||||
Webster Financial Corp. | 5,000 | 234,350 | |||||||||
Western Alliance Bancorp | 251 | 11,566 | |||||||||
1,399,226 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Northern Trust Corp. | 1,300 | 121,316 | |||||||||
Banks-Super Regional — 0.1% | |||||||||||
Comerica, Inc. | 221 | 14,584 | |||||||||
Fifth Third Bancorp | 4,100 | 112,258 | |||||||||
126,842 | |||||||||||
Beverages-Non-alcoholic — 0.3% | |||||||||||
Monster Beverage Corp.† | 12,682 | 736,317 | |||||||||
Beverages-Wine/Spirits — 0.3% | |||||||||||
Brown-Forman Corp., Class A | 1,029 | 61,483 | |||||||||
Brown-Forman Corp., Class B | 9,213 | 578,392 | |||||||||
639,875 | |||||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Fox Corp., Class A | 832 | 26,237 | |||||||||
Fox Corp., Class B | 387 | 12,206 | |||||||||
38,443 | |||||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Armstrong World Industries, Inc. | 1,196 | 115,653 | |||||||||
Fortune Brands Home & Security, Inc. | 6,081 | 332,631 | |||||||||
448,284 | |||||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
Lennox International, Inc. | 781 | 189,760 | |||||||||
Building Products-Cement — 0.6% | |||||||||||
Eagle Materials, Inc. | 2,143 | 192,891 | |||||||||
Martin Marietta Materials, Inc. | 469 | 128,553 | |||||||||
Vulcan Materials Co. | 6,448 | 975,196 | |||||||||
1,296,640 | |||||||||||
Building-Maintenance & Services — 0.2% | |||||||||||
Rollins, Inc. | 9,162 | 312,149 | |||||||||
ServiceMaster Global Holdings, Inc.† | 526 | 29,404 | |||||||||
341,553 |
166
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial — 1.0% | |||||||||||
Lennar Corp., Class A | 25,945 | $ | 1,449,028 | ||||||||
Lennar Corp., Class B | 158 | 7,010 | |||||||||
NVR, Inc.† | 179 | 665,406 | |||||||||
Toll Brothers, Inc. | 2,700 | 110,835 | |||||||||
2,232,279 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Altice USA, Inc., Class A† | 12,439 | 356,751 | |||||||||
Cable One, Inc. | 107 | 134,253 | |||||||||
Sirius XM Holdings, Inc. | 33,409 | 208,973 | |||||||||
699,977 | |||||||||||
Casino Hotels — 0.3% | |||||||||||
MGM Resorts International | 9,135 | 253,222 | |||||||||
Wynn Resorts, Ltd. | 4,680 | 508,810 | |||||||||
762,032 | |||||||||||
Chemicals-Diversified — 0.2% | |||||||||||
Celanese Corp. | 1,900 | 232,351 | |||||||||
PPG Industries, Inc. | 1,700 | 201,467 | |||||||||
433,818 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Element Solutions, Inc.† | 2,115 | 21,531 | |||||||||
NewMarket Corp. | 154 | 72,702 | |||||||||
Valvoline, Inc. | 3,614 | 79,616 | |||||||||
Versum Materials, Inc. | 2,667 | 141,164 | |||||||||
W.R. Grace & Co. | 1,397 | 93,264 | |||||||||
408,277 | |||||||||||
Coatings/Paint — 0.2% | |||||||||||
Axalta Coating Systems, Ltd.† | 5,554 | 167,453 | |||||||||
RPM International, Inc. | 4,727 | 325,265 | |||||||||
492,718 | |||||||||||
Commercial Services — 2.1% | |||||||||||
Cintas Corp. | 4,393 | 1,177,763 | |||||||||
CoreLogic, Inc.† | 5,610 | 259,575 | |||||||||
CoStar Group, Inc.† | 4,980 | 2,954,136 | |||||||||
Morningstar, Inc. | 480 | 70,147 | |||||||||
Nielsen Holdings PLC | 8,986 | 190,952 | |||||||||
Quanta Services, Inc. | 792 | 29,938 | |||||||||
4,682,511 | |||||||||||
Commercial Services-Finance — 4.6% | |||||||||||
Avalara, Inc.† | 1,122 | 75,500 | |||||||||
Equifax, Inc. | 5,190 | 730,077 | |||||||||
Euronet Worldwide, Inc.† | 3,022 | 442,119 | |||||||||
FleetCor Technologies, Inc.† | 4,276 | 1,226,271 | |||||||||
Global Payments, Inc. | 14,612 | 2,323,308 | |||||||||
Green Dot Corp., Class A† | 1,400 | 35,350 | |||||||||
H&R Block, Inc. | 757 | 17,880 | |||||||||
IHS Markit, Ltd.† | 10,882 | 727,788 | |||||||||
MarketAxess Holdings, Inc. | 1,523 | 498,783 | |||||||||
Moody's Corp. | 1,040 | 213,023 | |||||||||
Sabre Corp. | 9,276 | 207,736 | |||||||||
Square, Inc., Class A† | 31,954 | 1,979,550 | |||||||||
StoneCo, Ltd., Class A† | 2,487 | 86,498 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance (continued) | |||||||||||
TransUnion | 12,675 | $ | 1,028,069 | ||||||||
WEX, Inc.† | 2,552 | 515,683 | |||||||||
10,107,635 | |||||||||||
Communications Software — 0.1% | |||||||||||
Slack Technologies, Inc., Class A† | 10,089 | 239,412 | |||||||||
Computer Aided Design — 1.3% | |||||||||||
ANSYS, Inc.† | 2,744 | 607,412 | |||||||||
Aspen Technology, Inc.† | 1,685 | 207,390 | |||||||||
Autodesk, Inc.† | 1,700 | 251,090 | |||||||||
Cadence Design Systems, Inc.† | 13,203 | 872,454 | |||||||||
Synopsys, Inc.† | 6,239 | 856,303 | |||||||||
2,794,649 | |||||||||||
Computer Data Security — 0.3% | |||||||||||
Crowdstrike Holdings, Inc., Class A† | 813 | 47,406 | |||||||||
Fortinet, Inc.† | 7,001 | 537,397 | |||||||||
Zscaler, Inc.† | 1,518 | 71,740 | |||||||||
656,543 | |||||||||||
Computer Services — 0.5% | |||||||||||
Elastic NV† | 1,082 | 89,092 | |||||||||
EPAM Systems, Inc.† | 2,168 | 395,270 | |||||||||
Genpact, Ltd. | 7,552 | 292,640 | |||||||||
Leidos Holdings, Inc. | 4,000 | 343,520 | |||||||||
1,120,522 | |||||||||||
Computer Software — 2.8% | |||||||||||
Akamai Technologies, Inc.† | 3,593 | 328,328 | |||||||||
Citrix Systems, Inc. | 2,731 | 263,596 | |||||||||
Dropbox, Inc., Class A† | 8,940 | 180,320 | |||||||||
Dynatrace, Inc.† | 5,530 | 103,245 | |||||||||
MongoDB, Inc.† | 1,020 | 122,890 | |||||||||
Splunk, Inc.† | 32,709 | 3,855,083 | |||||||||
SS&C Technologies Holdings, Inc. | 12,550 | 647,203 | |||||||||
Teradata Corp.† | 2,771 | 85,901 | |||||||||
Twilio, Inc., Class A† | 5,220 | 573,991 | |||||||||
Zoom Video Communications, Inc., Class A† | 199 | 15,164 | |||||||||
6,175,721 | |||||||||||
Computers — 0.0% | |||||||||||
Nutanix, Inc., Class A† | 3,421 | 89,801 | |||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NCR Corp.† | 2,930 | 92,471 | |||||||||
Computers-Memory Devices — 0.7% | |||||||||||
NetApp, Inc. | 5,841 | 306,711 | |||||||||
Pure Storage, Inc., Class A† | 16,952 | 287,167 | |||||||||
Western Digital Corp. | 14,072 | 839,254 | |||||||||
1,433,132 | |||||||||||
Consulting Services — 1.2% | |||||||||||
Booz Allen Hamilton Holding Corp. | 9,833 | 698,340 | |||||||||
Gartner, Inc.† | 5,636 | 805,891 | |||||||||
Verisk Analytics, Inc. | 7,043 | 1,113,780 | |||||||||
2,618,011 | |||||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 4,906 | 745,074 |
167
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Containers-Metal/Glass — 0.5% | |||||||||||
Ball Corp. | 14,475 | $ | 1,053,925 | ||||||||
Crown Holdings, Inc.† | 1,836 | 121,286 | |||||||||
1,175,211 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global Group, Inc.† | 1,237 | 48,577 | |||||||||
Sealed Air Corp. | 4,977 | 206,595 | |||||||||
255,172 | |||||||||||
Cruise Lines — 0.7% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 26,571 | 1,375,581 | |||||||||
Royal Caribbean Cruises, Ltd. | 1,800 | 194,994 | |||||||||
1,570,575 | |||||||||||
Data Processing/Management — 2.8% | |||||||||||
Broadridge Financial Solutions, Inc. | 2,777 | 345,542 | |||||||||
DocuSign, Inc.† | 11,454 | 709,232 | |||||||||
Fair Isaac Corp.† | 4,948 | 1,501,817 | |||||||||
Fidelity National Information Services, Inc. | 3,050 | 404,918 | |||||||||
Fiserv, Inc.† | 21,087 | 2,184,402 | |||||||||
Jack Henry & Associates, Inc. | 1,658 | 242,018 | |||||||||
Paychex, Inc. | 10,193 | 843,675 | |||||||||
6,231,604 | |||||||||||
Decision Support Software — 0.3% | |||||||||||
MSCI, Inc. | 3,146 | 685,041 | |||||||||
Dental Supplies & Equipment — 0.3% | |||||||||||
Align Technology, Inc.† | 3,558 | 643,713 | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Adaptive Biotechnologies Corp.† | 285 | 8,807 | |||||||||
Avantor, Inc.† | 17,422 | 256,103 | |||||||||
264,910 | |||||||||||
Diagnostic Kits — 0.6% | |||||||||||
IDEXX Laboratories, Inc.† | 3,922 | 1,066,509 | |||||||||
QIAGEN NV† | 4,900 | 161,553 | |||||||||
1,228,062 | |||||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 1,800 | 102,726 | |||||||||
Disposable Medical Products — 0.4% | |||||||||||
STERIS PLC | 1,019 | 147,236 | |||||||||
Teleflex, Inc. | 2,427 | 824,573 | |||||||||
971,809 | |||||||||||
Distribution/Wholesale — 1.3% | |||||||||||
Copart, Inc.† | 9,431 | 757,592 | |||||||||
Fastenal Co. | 15,056 | 491,880 | |||||||||
HD Supply Holdings, Inc.† | 8,000 | 313,400 | |||||||||
IAA, Inc.† | 7,458 | 311,222 | |||||||||
KAR Auction Services, Inc. | 6,858 | 168,364 | |||||||||
LKQ Corp.† | 1,086 | 34,155 | |||||||||
Pool Corp. | 2,141 | 431,840 | |||||||||
Watsco, Inc. | 800 | 135,344 | |||||||||
WW Grainger, Inc. | 1,069 | 317,653 | |||||||||
2,961,450 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Manufacturing Operations — 1.4% | |||||||||||
A.O. Smith Corp. | 4,655 | $ | 222,090 | ||||||||
Carlisle Cos., Inc. | 1,189 | 173,047 | |||||||||
Ingersoll-Rand PLC | 21,192 | 2,611,066 | |||||||||
Textron, Inc. | 3,100 | 151,776 | |||||||||
3,157,979 | |||||||||||
Drug Delivery Systems — 0.6% | |||||||||||
DexCom, Inc.† | 8,875 | 1,324,505 | |||||||||
E-Commerce/Products — 0.2% | |||||||||||
Chewy, Inc., Class A† | 2,638 | 64,842 | |||||||||
Etsy, Inc.† | 2,918 | 164,867 | |||||||||
Farfetch, Ltd., Class A† | 3,006 | 25,972 | |||||||||
Wayfair, Inc., Class A† | 2,049 | 229,734 | |||||||||
485,415 | |||||||||||
E-Commerce/Services — 1.5% | |||||||||||
Ctrip.com International, Ltd. ADR† | 3,100 | 90,799 | |||||||||
Expedia Group, Inc. | 2,933 | 394,225 | |||||||||
GrubHub, Inc.† | 2,829 | 159,018 | |||||||||
IAC/InterActiveCorp† | 2,556 | 557,131 | |||||||||
Lyft, Inc., Class A† | 86 | 3,512 | |||||||||
Match Group, Inc. | 4,338 | 309,907 | |||||||||
MercadoLibre, Inc.† | 276 | 152,139 | |||||||||
TripAdvisor, Inc.† | 21,051 | 814,253 | |||||||||
Uber Technologies, Inc.†(1) | 22,395 | 661,336 | |||||||||
Zillow Group, Inc., Class A† | 2,000 | 59,090 | |||||||||
3,201,410 | |||||||||||
E-Services/Consulting — 0.4% | |||||||||||
CDW Corp. | 7,837 | 965,832 | |||||||||
Electric Products-Misc. — 0.3% | |||||||||||
AMETEK, Inc. | 6,419 | 589,393 | |||||||||
Littelfuse, Inc. | 652 | 115,606 | |||||||||
704,999 | |||||||||||
Electronic Components-Misc. — 0.2% | |||||||||||
Jabil, Inc. | 783 | 28,008 | |||||||||
Sensata Technologies Holding PLC† | 6,936 | 347,216 | |||||||||
375,224 | |||||||||||
Electronic Components-Semiconductors — 3.8% | |||||||||||
Advanced Micro Devices, Inc.† | 128,055 | 3,712,314 | |||||||||
Cree, Inc.† | 195 | 9,555 | |||||||||
IPG Photonics Corp.† | 762 | 103,327 | |||||||||
Marvell Technology Group, Ltd. | 63,795 | 1,592,961 | |||||||||
Microchip Technology, Inc. | 9,348 | 868,523 | |||||||||
Monolithic Power Systems, Inc. | 2,722 | 423,625 | |||||||||
Skyworks Solutions, Inc. | 6,511 | 515,997 | |||||||||
Xilinx, Inc. | 11,009 | 1,055,763 | |||||||||
8,282,065 | |||||||||||
Electronic Connectors — 0.6% | |||||||||||
Amphenol Corp., Class A | 14,423 | 1,391,819 | |||||||||
Electronic Measurement Instruments — 1.2% | |||||||||||
Agilent Technologies, Inc. | 16,242 | 1,244,625 | |||||||||
FLIR Systems, Inc. | 1,477 | 77,675 | |||||||||
Fortive Corp. | 5,507 | 377,560 | |||||||||
Keysight Technologies, Inc.† | 9,580 | 931,655 |
168
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Measurement Instruments (continued) | |||||||||||
National Instruments Corp. | 175 | $ | 7,348 | ||||||||
Trimble, Inc.† | 1,051 | 40,789 | |||||||||
2,679,652 | |||||||||||
Electronic Security Devices — 0.2% | |||||||||||
ADT, Inc. | 10,600 | 66,462 | |||||||||
Allegion PLC | 4,630 | 479,900 | |||||||||
546,362 | |||||||||||
Enterprise Software/Service — 5.0% | |||||||||||
Alteryx, Inc., Class A† | 1,111 | 119,355 | |||||||||
Atlassian Corp. PLC, Class A† | 7,136 | 895,140 | |||||||||
Black Knight, Inc.† | 9,865 | 602,357 | |||||||||
Ceridian HCM Holding, Inc.† | 5,277 | 260,525 | |||||||||
Coupa Software, Inc.† | 2,595 | 336,234 | |||||||||
Datadog, Inc., Class A† | 1,317 | 44,659 | |||||||||
Datadog, Inc., Class B†(1) | 1,362 | 43,876 | |||||||||
Guidewire Software, Inc.† | 29,018 | 3,057,917 | |||||||||
Manhattan Associates, Inc.† | 1,573 | 126,894 | |||||||||
New Relic, Inc.† | 2,511 | 154,301 | |||||||||
Paycom Software, Inc.† | 2,104 | 440,767 | |||||||||
Pegasystems, Inc. | 931 | 63,354 | |||||||||
Pluralsight, Inc., Class A† | 4,001 | 67,197 | |||||||||
SolarWinds Corp.† | 315 | 5,812 | |||||||||
Tyler Technologies, Inc.† | 2,222 | 583,275 | |||||||||
Veeva Systems, Inc., Class A† | 11,947 | 1,824,187 | |||||||||
Workday, Inc., Class A† | 13,811 | 2,347,318 | |||||||||
10,973,168 | |||||||||||
Entertainment Software — 0.7% | |||||||||||
DraftKings, Inc.†(1)(2) | 74,969 | 206,914 | |||||||||
Electronic Arts, Inc.† | 1,300 | 127,166 | |||||||||
Take-Two Interactive Software, Inc.† | 8,326 | 1,043,581 | |||||||||
Zynga, Inc., Class A† | 32,517 | 189,249 | |||||||||
1,566,910 | |||||||||||
Filtration/Separation Products — 0.1% | |||||||||||
Donaldson Co., Inc. | 5,221 | 271,910 | |||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 226 | 104,256 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
LendingTree, Inc.† | 188 | 58,361 | |||||||||
Synchrony Financial | 4,387 | 149,553 | |||||||||
207,914 | |||||||||||
Finance-Credit Card — 0.2% | |||||||||||
Alliance Data Systems Corp. | 105 | 13,454 | |||||||||
Discover Financial Services | 5,824 | 472,268 | |||||||||
Western Union Co. | 2,265 | 52,480 | |||||||||
538,202 | |||||||||||
Finance-Investment Banker/Broker — 0.4% | |||||||||||
E*TRADE Financial Corp. | 4,502 | 196,692 | |||||||||
Evercore, Inc., Class A | 344 | 27,555 | |||||||||
Interactive Brokers Group, Inc., Class A | 481 | 25,868 | |||||||||
Lazard, Ltd., Class A | 6,243 | 218,505 | |||||||||
TD Ameritrade Holding Corp. | 6,400 | 298,880 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Investment Banker/Broker (continued) | |||||||||||
Tradeweb Markets, Inc. | 1,385 | $ | 51,217 | ||||||||
Virtu Financial, Inc., Class A | 536 | 8,769 | |||||||||
827,486 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 183 | 7,653 | |||||||||
Finance-Other Services — 0.5% | |||||||||||
Cboe Global Markets, Inc. | 6,469 | 743,353 | |||||||||
Nasdaq, Inc. | 2,000 | 198,700 | |||||||||
SEI Investments Co. | 1,502 | 89,001 | |||||||||
1,031,054 | |||||||||||
Food-Catering — 0.0% | |||||||||||
Aramark | 1,700 | 74,086 | |||||||||
Food-Confectionery — 0.4% | |||||||||||
Hershey Co. | 5,364 | 831,366 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
Hormel Foods Corp. | 2,300 | 100,579 | |||||||||
Tyson Foods, Inc., Class A | 2,700 | 232,578 | |||||||||
333,157 | |||||||||||
Food-Misc./Diversified — 1.4% | |||||||||||
Campbell Soup Co. | 2,323 | 108,995 | |||||||||
Conagra Brands, Inc. | 3,900 | 119,652 | |||||||||
Kellogg Co. | 2,306 | 148,391 | |||||||||
Lamb Weston Holdings, Inc. | 26,621 | 1,935,879 | |||||||||
McCormick & Co., Inc. | 4,342 | 678,655 | |||||||||
Post Holdings, Inc.† | 712 | 75,358 | |||||||||
TreeHouse Foods, Inc.† | 229 | 12,698 | |||||||||
3,079,628 | |||||||||||
Food-Retail — 0.0% | |||||||||||
Sprouts Farmers Market, Inc.† | 4,356 | 84,245 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Grocery Outlet Holding Corp.† | 73 | 2,532 | |||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 1,163 | 43,438 | |||||||||
Funeral Services & Related Items — 0.2% | |||||||||||
Service Corp. International | 8,960 | 428,378 | |||||||||
Garden Products — 0.2% | |||||||||||
Scotts Miracle-Gro Co. | 965 | 98,257 | |||||||||
Toro Co. | 5,184 | 379,987 | |||||||||
478,244 | |||||||||||
Gas-Distribution — 0.2% | |||||||||||
Atmos Energy Corp. | 2,100 | 239,169 | |||||||||
NiSource, Inc. | 3,250 | 97,240 | |||||||||
336,409 | |||||||||||
Gold Mining — 0.1% | |||||||||||
Kirkland Lake Gold, Ltd. | 3,200 | 143,360 | |||||||||
Royal Gold, Inc. | 506 | 62,344 | |||||||||
205,704 | |||||||||||
Healthcare Safety Devices — 0.4% | |||||||||||
Tandem Diabetes Care, Inc.† | 16,242 | 957,953 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Tempur Sealy International, Inc.† | 1,121 | 86,541 |
169
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Hotels/Motels — 0.7% | |||||||||||
Choice Hotels International, Inc. | 2,155 | $ | 191,709 | ||||||||
Extended Stay America, Inc. | 5,400 | 79,056 | |||||||||
Hilton Grand Vacations, Inc.† | 305 | 9,760 | |||||||||
Hilton Worldwide Holdings, Inc. | 13,849 | 1,289,480 | |||||||||
Wyndham Hotels & Resorts, Inc. | 695 | 35,959 | |||||||||
1,605,964 | |||||||||||
Human Resources — 0.2% | |||||||||||
ManpowerGroup, Inc. | 700 | 58,968 | |||||||||
Paylocity Holding Corp.† | 792 | 77,283 | |||||||||
Robert Half International, Inc. | 5,132 | 285,647 | |||||||||
421,898 | |||||||||||
Industrial Automated/Robotic — 0.5% | |||||||||||
Cognex Corp. | 7,008 | 344,303 | |||||||||
Rockwell Automation, Inc. | 4,346 | 716,221 | |||||||||
1,060,524 | |||||||||||
Instruments-Controls — 0.5% | |||||||||||
Mettler-Toledo International, Inc.† | 1,037 | 730,463 | |||||||||
Woodward, Inc. | 2,802 | 302,139 | |||||||||
1,032,602 | |||||||||||
Instruments-Scientific — 0.2% | |||||||||||
PerkinElmer, Inc. | 593 | 50,506 | |||||||||
Waters Corp.† | 1,616 | 360,739 | |||||||||
411,245 | |||||||||||
Insurance Brokers — 0.3% | |||||||||||
Arthur J. Gallagher & Co. | 953 | 85,360 | |||||||||
Brown & Brown, Inc. | 334 | 12,044 | |||||||||
Willis Towers Watson PLC | 2,700 | 521,019 | |||||||||
618,423 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
Athene Holding, Ltd., Class A† | 1,430 | 60,146 | |||||||||
Primerica, Inc. | 734 | 93,387 | |||||||||
153,533 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Assurant, Inc. | 2,900 | 364,878 | |||||||||
Kemper Corp. | 279 | 21,748 | |||||||||
Voya Financial, Inc. | 242 | 13,175 | |||||||||
399,801 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Alleghany Corp.† | 35 | 27,922 | |||||||||
Arch Capital Group, Ltd.† | 1,274 | 53,483 | |||||||||
Erie Indemnity Co., Class A | 399 | 74,074 | |||||||||
Fidelity National Financial, Inc. | 7,200 | 319,752 | |||||||||
Markel Corp.† | 27 | 31,911 | |||||||||
507,142 | |||||||||||
Insurance-Reinsurance — 0.2% | |||||||||||
Axis Capital Holdings, Ltd. | 3,500 | 233,520 | |||||||||
Everest Re Group, Ltd. | 299 | 79,561 | |||||||||
RenaissanceRe Holdings, Ltd. | 407 | 78,734 | |||||||||
391,815 |
Security Description | Shares | Value (Note 2) | |||||||||
Internet Application Software — 0.4% | |||||||||||
Anaplan, Inc.† | 2,045 | $ | 96,115 | ||||||||
Okta, Inc.† | 4,296 | 422,984 | |||||||||
Zendesk, Inc.† | 6,169 | 449,597 | |||||||||
968,696 | |||||||||||
Internet Content-Entertainment — 1.3% | |||||||||||
Pinterest, Inc., Class A† | 66,397 | 1,756,201 | |||||||||
Pinterest, Inc., Class B†(1) | 6,496 | 170,817 | |||||||||
Roku, Inc.† | 2,083 | 211,966 | |||||||||
Twitter, Inc.† | 18,393 | 757,791 | |||||||||
2,896,775 | |||||||||||
Internet Content-Information/News — 1.0% | |||||||||||
Spotify Technology SA† | 19,224 | 2,191,536 | |||||||||
Internet Infrastructure Software — 0.1% | |||||||||||
F5 Networks, Inc.† | 1,353 | 189,988 | |||||||||
Internet Security — 0.8% | |||||||||||
FireEye, Inc.† | 4,871 | 64,979 | |||||||||
Palo Alto Networks, Inc.† | 4,690 | 955,963 | |||||||||
Proofpoint, Inc.† | 3,242 | 418,380 | |||||||||
Symantec Corp. | 9,300 | 219,759 | |||||||||
1,659,081 | |||||||||||
Internet Telephone — 0.1% | |||||||||||
RingCentral, Inc., Class A† | 1,742 | 218,900 | |||||||||
Investment Management/Advisor Services — 0.2% | |||||||||||
Ameriprise Financial, Inc. | 441 | 64,871 | |||||||||
LPL Financial Holdings, Inc. | 2,000 | 163,800 | |||||||||
Raymond James Financial, Inc. | 707 | 58,299 | |||||||||
T. Rowe Price Group, Inc. | 1,625 | 185,657 | |||||||||
472,627 | |||||||||||
Lasers-System/Components — 0.1% | |||||||||||
Coherent, Inc.† | 980 | 150,646 | |||||||||
Lighting Products & Systems — 0.1% | |||||||||||
Acuity Brands, Inc. | 255 | 34,371 | |||||||||
Universal Display Corp. | 1,042 | 174,952 | |||||||||
209,323 | |||||||||||
Machine Tools & Related Products — 0.1% | |||||||||||
Lincoln Electric Holdings, Inc. | 1,364 | 118,341 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
BWX Technologies, Inc. | 5,428 | 310,536 | |||||||||
Machinery-General Industrial — 0.6% | |||||||||||
IDEX Corp. | 2,174 | 356,275 | |||||||||
Middleby Corp.† | 2,454 | 286,873 | |||||||||
Nordson Corp. | 2,474 | 361,847 | |||||||||
Roper Technologies, Inc. | 208 | 74,173 | |||||||||
Wabtec Corp. | 4,207 | 302,315 | |||||||||
1,381,483 | |||||||||||
Machinery-Pumps — 0.9% | |||||||||||
Dover Corp. | 9,524 | 948,210 | |||||||||
Flowserve Corp. | 2,092 | 97,717 | |||||||||
Graco, Inc. | 7,732 | 355,981 | |||||||||
Xylem, Inc. | 6,379 | 507,896 | |||||||||
1,909,804 |
170
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Information Systems — 0.4% | |||||||||||
Cerner Corp. | 10,136 | $ | 690,971 | ||||||||
Change Healthcare, Inc.† | 608 | 7,345 | |||||||||
Medidata Solutions, Inc.† | 1,472 | 134,688 | |||||||||
833,004 | |||||||||||
Medical Instruments — 0.2% | |||||||||||
Bio-Techne Corp. | 916 | 179,234 | |||||||||
Bruker Corp. | 4,592 | 201,726 | |||||||||
Cantel Medical Corp. | 514 | 38,447 | |||||||||
419,407 | |||||||||||
Medical Labs & Testing Services — 0.4% | |||||||||||
Catalent, Inc.† | 3,200 | 152,512 | |||||||||
Charles River Laboratories International, Inc.† | 1,177 | 155,799 | |||||||||
IQVIA Holdings, Inc.† | 3,176 | 474,431 | |||||||||
Laboratory Corp. of America Holdings† | 144 | 24,192 | |||||||||
806,934 | |||||||||||
Medical Products — 3.2% | |||||||||||
ABIOMED, Inc.† | 2,084 | 370,723 | |||||||||
Cooper Cos., Inc. | 1,938 | 575,586 | |||||||||
Haemonetics Corp.† | 21,047 | 2,654,869 | |||||||||
Henry Schein, Inc.† | 2,062 | 130,937 | |||||||||
Hill-Rom Holdings, Inc. | 845 | 88,919 | |||||||||
Hologic, Inc.† | 13,637 | 688,532 | |||||||||
ICU Medical, Inc.† | 713 | 113,795 | |||||||||
Novocure, Ltd.† | 900 | 67,302 | |||||||||
Penumbra, Inc.† | 12,755 | 1,715,420 | |||||||||
Varian Medical Systems, Inc.† | 2,223 | 264,737 | |||||||||
West Pharmaceutical Services, Inc. | 2,454 | 348,026 | |||||||||
7,018,846 | |||||||||||
Medical-Biomedical/Gene — 3.8% | |||||||||||
Alexion Pharmaceuticals, Inc.† | 1,200 | 117,528 | |||||||||
Alnylam Pharmaceuticals, Inc.† | 4,568 | 367,359 | |||||||||
Argenx SE ADR† | 513 | 58,461 | |||||||||
BioMarin Pharmaceutical, Inc.† | 8,971 | 604,645 | |||||||||
Bluebird Bio, Inc.† | 1,779 | 163,348 | |||||||||
Blueprint Medicines Corp.† | 800 | 58,776 | |||||||||
Exact Sciences Corp.† | 29,406 | 2,657,420 | |||||||||
Exelixis, Inc.† | 9,284 | 164,188 | |||||||||
FibroGen, Inc.† | 1,100 | 40,678 | |||||||||
Guardant Health, Inc.† | 892 | 56,936 | |||||||||
Immunomedics, Inc.† | 3,300 | 43,758 | |||||||||
Incyte Corp.† | 8,246 | 612,101 | |||||||||
Ionis Pharmaceuticals, Inc.† | 17,909 | 1,072,928 | |||||||||
Moderna, Inc.† | 4,494 | 71,544 | |||||||||
Nektar Therapeutics† | 2,528 | 46,047 | |||||||||
Sage Therapeutics, Inc.† | 7,830 | 1,098,471 | |||||||||
Seattle Genetics, Inc.† | 12,392 | 1,058,277 | |||||||||
Ultragenyx Pharmaceutical, Inc.† | 1,083 | 46,331 | |||||||||
8,338,796 | |||||||||||
Medical-Drugs — 1.2% | |||||||||||
Alkermes PLC† | 4,400 | 85,844 | |||||||||
Ascendis Pharma A/S ADR† | 5,803 | 558,945 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Galapagos NV† | 7,217 | $ | 1,099,691 | ||||||||
Galapagos NV ADR† | 800 | 122,128 | |||||||||
Horizon Therapeutics PLC† | 516 | 14,051 | |||||||||
Jazz Pharmaceuticals PLC† | 2,902 | 371,862 | |||||||||
Madrigal Pharmaceuticals, Inc.† | 236 | 20,348 | |||||||||
PRA Health Sciences, Inc.† | 2,919 | 289,652 | |||||||||
2,562,521 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Perrigo Co. PLC | 2,100 | 117,369 | |||||||||
Medical-HMO — 0.8% | |||||||||||
Centene Corp.† | 19,635 | 849,410 | |||||||||
Molina Healthcare, Inc.† | 3,785 | 415,290 | |||||||||
WellCare Health Plans, Inc.† | 2,076 | 538,037 | |||||||||
1,802,737 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
Acadia Healthcare Co., Inc.† | 3,846 | 119,534 | |||||||||
Universal Health Services, Inc., Class B | 1,200 | 178,500 | |||||||||
298,034 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Amedisys, Inc.† | 900 | 117,909 | |||||||||
Chemed Corp. | 380 | 158,677 | |||||||||
276,586 | |||||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
AmerisourceBergen Corp. | 3,712 | 305,609 | |||||||||
McKesson Corp. | 497 | 67,920 | |||||||||
373,529 | |||||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
AptarGroup, Inc. | 626 | 74,150 | |||||||||
Multimedia — 0.2% | |||||||||||
FactSet Research Systems, Inc. | 1,414 | 343,560 | |||||||||
Networking Products — 0.2% | |||||||||||
Arista Networks, Inc.† | 1,450 | 346,434 | |||||||||
Non-Hazardous Waste Disposal — 0.2% | |||||||||||
Republic Services, Inc. | 334 | 28,908 | |||||||||
Waste Connections, Inc. | 3,923 | 360,916 | |||||||||
389,824 | |||||||||||
Office Automation & Equipment — 1.1% | |||||||||||
Zebra Technologies Corp., Class A† | 11,946 | 2,465,296 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
Avery Dennison Corp. | 4,426 | 502,661 | |||||||||
Oil Companies-Exploration & Production — 1.0% | |||||||||||
Cabot Oil & Gas Corp. | 19,711 | 346,322 | |||||||||
Centennial Resource Development, Inc., Class A† | 14,274 | 64,447 | |||||||||
Cimarex Energy Co. | 600 | 28,764 | |||||||||
Concho Resources, Inc. | 1,417 | 96,214 | |||||||||
Continental Resources, Inc.† | 2,000 | 61,580 | |||||||||
Diamondback Energy, Inc. | 4,890 | 439,660 | |||||||||
Jagged Peak Energy, Inc.† | 12,000 | 87,120 | |||||||||
Parsley Energy, Inc., Class A | 3,760 | 63,168 | |||||||||
Pioneer Natural Resources Co. | 1,745 | 219,469 | |||||||||
Venture Global LNG, Inc., Series B†(1)(2) | 3 | 15,600 |
171
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Venture Global LNG, Inc., Series C†(1)(2) | 42 | $ | 218,400 | ||||||||
WPX Energy, Inc.† | 45,777 | 484,779 | |||||||||
2,125,523 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
HollyFrontier Corp. | 3,600 | 193,104 | |||||||||
Paper & Related Products — 0.0% | |||||||||||
International Paper Co. | 2,500 | 104,550 | |||||||||
Patient Monitoring Equipment — 1.5% | |||||||||||
CareDx, Inc.† | 10,760 | 243,284 | |||||||||
Insulet Corp.† | 17,139 | 2,826,735 | |||||||||
Masimo Corp.† | 1,151 | 171,257 | |||||||||
3,241,276 | |||||||||||
Physical Therapy/Rehabilitation Centers — 0.0% | |||||||||||
Encompass Health Corp. | 1,211 | 76,632 | |||||||||
Pipelines — 0.2% | |||||||||||
Cheniere Energy, Inc.† | 3,274 | 206,459 | |||||||||
Equitrans Midstream Corp. | 508 | 7,391 | |||||||||
ONEOK, Inc. | 3,209 | 236,471 | |||||||||
450,321 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp.† | 461 | 14,773 | |||||||||
Power Converter/Supply Equipment — 0.2% | |||||||||||
Generac Holdings, Inc.† | 1,600 | 125,344 | |||||||||
Hubbell, Inc. | 2,931 | 385,133 | |||||||||
510,477 | |||||||||||
Private Equity — 0.4% | |||||||||||
Blackstone Group, Inc., Class A | 16,901 | 825,445 | |||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 42 | 11,068 | |||||||||
Publishing-Newspapers — 0.0% | |||||||||||
New York Times Co., Class A | 744 | 21,189 | |||||||||
Real Estate Investment Trusts — 1.4% | |||||||||||
American Campus Communities, Inc. | 2,073 | 99,670 | |||||||||
American Homes 4 Rent, Class A | 2,695 | 69,774 | |||||||||
Americold Realty Trust | 4,681 | 173,525 | |||||||||
Brookfield Property REIT, Inc., Class A | 1,799 | 36,682 | |||||||||
Colony Capital, Inc. | 642 | 3,865 | |||||||||
CoreSite Realty Corp. | 699 | 85,173 | |||||||||
CubeSmart | 3,000 | 104,700 | |||||||||
Equity LifeStyle Properties, Inc. | 2,115 | 282,564 | |||||||||
Extra Space Storage, Inc. | 2,448 | 285,975 | |||||||||
Federal Realty Investment Trust | 500 | 68,070 | |||||||||
Iron Mountain, Inc. | 4,280 | 138,629 | |||||||||
Lamar Advertising Co., Class A | 2,079 | 170,332 | |||||||||
MGM Growth Properties LLC, Class A | 5,200 | 156,260 | |||||||||
Outfront Media, Inc. | 534 | 14,834 | |||||||||
SBA Communications Corp. | 4,979 | 1,200,686 | |||||||||
SL Green Realty Corp. | 1,000 | 81,750 | |||||||||
Sun Communities, Inc. | 519 | 77,045 | |||||||||
UDR, Inc. | 362 | 17,550 | |||||||||
VEREIT, Inc. | 7,501 | 73,360 | |||||||||
3,140,444 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 3,020 | $ | 160,090 | ||||||||
Jones Lang LaSalle, Inc. | 1,241 | 172,573 | |||||||||
WeWork Cos., Inc., Class A†(1)(2) | 587 | 9,997 | |||||||||
342,660 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp.† | 305 | 39,528 | |||||||||
Recreational Centers — 0.5% | |||||||||||
Planet Fitness, Inc., Class A† | 20,545 | 1,188,939 | |||||||||
Recreational Vehicles — 0.2% | |||||||||||
BRP, Inc. | 7,900 | 307,389 | |||||||||
Polaris, Inc. | 1,259 | 110,805 | |||||||||
418,194 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals, Inc.† | 1,334 | 166,270 | |||||||||
Resorts/Theme Parks — 1.2% | |||||||||||
Marriott Vacations Worldwide Corp. | 10,684 | 1,106,969 | |||||||||
Six Flags Entertainment Corp. | 181 | 9,193 | |||||||||
Vail Resorts, Inc. | 6,713 | 1,527,611 | |||||||||
2,643,773 | |||||||||||
Respiratory Products — 0.2% | |||||||||||
ResMed, Inc. | 3,472 | 469,102 | |||||||||
Retail-Apparel/Shoe — 2.0% | |||||||||||
Burlington Stores, Inc.† | 15,319 | 3,061,043 | |||||||||
L Brands, Inc. | 875 | 17,141 | |||||||||
Lululemon Athletica, Inc.† | 4,682 | 901,425 | |||||||||
Ross Stores, Inc. | 3,600 | 395,460 | |||||||||
4,375,069 | |||||||||||
Retail-Arts & Crafts — 0.0% | |||||||||||
Michaels Cos., Inc.† | 4,300 | 42,097 | |||||||||
Retail-Auto Parts — 1.0% | |||||||||||
Advance Auto Parts, Inc. | 401 | 66,325 | |||||||||
AutoZone, Inc.† | 752 | 815,634 | |||||||||
O'Reilly Automotive, Inc.† | 3,305 | 1,317,076 | |||||||||
2,199,035 | |||||||||||
Retail-Automobile — 0.2% | |||||||||||
CarMax, Inc.† | 5,420 | 476,960 | |||||||||
Carvana Co.† | 1,089 | 71,874 | |||||||||
548,834 | |||||||||||
Retail-Consumer Electronics — 0.0% | |||||||||||
Best Buy Co., Inc. | 1,149 | 79,270 | |||||||||
Retail-Convenience Store — 0.1% | |||||||||||
Casey's General Stores, Inc. | 1,325 | 213,537 | |||||||||
Retail-Discount — 1.3% | |||||||||||
Dollar General Corp. | 10,957 | 1,741,506 | |||||||||
Dollar Tree, Inc.† | 8,025 | 916,134 | |||||||||
Ollie's Bargain Outlet Holdings, Inc.† | 2,686 | 157,507 | |||||||||
2,815,147 | |||||||||||
Retail-Floor Coverings — 0.9% | |||||||||||
Floor & Decor Holdings, Inc., Class A† | 38,192 | 1,953,521 | |||||||||
Retail-Gardening Products — 0.2% | |||||||||||
Tractor Supply Co. | 5,709 | 516,322 |
172
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PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Home Furnishings — 0.1% | |||||||||||
Williams-Sonoma, Inc. | 1,852 | $ | 125,899 | ||||||||
Retail-Jewelry — 0.1% | |||||||||||
Tiffany & Co. | 2,500 | 231,575 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Nordstrom, Inc. | 2,643 | 88,990 | |||||||||
Retail-Misc./Diversified — 0.6% | |||||||||||
Five Below, Inc.† | 9,665 | 1,218,756 | |||||||||
Retail-Perfume & Cosmetics — 0.4% | |||||||||||
Ulta Beauty, Inc.† | 3,309 | 829,401 | |||||||||
Retail-Restaurants — 1.4% | |||||||||||
Chipotle Mexican Grill, Inc.† | 624 | 524,453 | |||||||||
Darden Restaurants, Inc. | 3,010 | 355,842 | |||||||||
Domino's Pizza, Inc. | 2,199 | 537,854 | |||||||||
Dunkin' Brands Group, Inc. | 6,985 | 554,330 | |||||||||
Papa John's International, Inc. | 2,100 | 109,935 | |||||||||
Restaurant Brands International LP | 20 | 1,420 | |||||||||
Restaurant Brands International, Inc. | 3,592 | 255,535 | |||||||||
Wendy's Co. | 4,536 | 90,629 | |||||||||
Yum China Holdings, Inc. | 11,546 | 524,535 | |||||||||
Yum! Brands, Inc. | 1,200 | 136,116 | |||||||||
3,090,649 | |||||||||||
Schools — 0.8% | |||||||||||
2U, Inc.† | 14,766 | 240,390 | |||||||||
Bright Horizons Family Solutions, Inc.† | 2,705 | 412,513 | |||||||||
Grand Canyon Education, Inc.† | 11,901 | 1,168,678 | |||||||||
1,821,581 | |||||||||||
Security Services — 0.3% | |||||||||||
Brink's Co. | 9,272 | 769,112 | |||||||||
Semiconductor Components-Integrated Circuits — 0.3% | |||||||||||
Maxim Integrated Products, Inc. | 12,595 | 729,376 | |||||||||
Semiconductor Equipment — 1.5% | |||||||||||
Entegris, Inc. | 11,990 | 564,250 | |||||||||
KLA Corp. | 8,193 | 1,306,374 | |||||||||
Lam Research Corp. | 5,292 | 1,223,034 | |||||||||
Teradyne, Inc. | 4,176 | 241,832 | |||||||||
3,335,490 | |||||||||||
Shipbuilding — 0.2% | |||||||||||
Huntington Ingalls Industries, Inc. | 1,919 | 406,425 | |||||||||
Soap & Cleaning Preparation — 0.4% | |||||||||||
Church & Dwight Co., Inc. | 11,118 | 836,518 | |||||||||
Steel Pipe & Tube — 0.1% | |||||||||||
Valmont Industries, Inc. | 1,100 | 152,284 | |||||||||
Telecom Equipment-Fiber Optics — 0.2% | |||||||||||
Corning, Inc. | 14,370 | 409,832 | |||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 1,434 | 22,399 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Zayo Group Holdings, Inc.† | 5,521 | 187,162 | |||||||||
Television — 0.3% | |||||||||||
AMC Networks, Inc., Class A† | 1,031 | 50,684 |
Security Description | Shares | Value (Note 2) | |||||||||
Television (continued) | |||||||||||
CBS Corp., Class B | 7,289 | $ | 294,257 | ||||||||
Nexstar Media Group, Inc., Class A | 846 | 86,555 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 1,403 | 59,964 | |||||||||
World Wrestling Entertainment, Inc., Class A | 1,075 | 76,486 | |||||||||
567,946 | |||||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 879 | 109,058 | |||||||||
Theaters — 0.2% | |||||||||||
Live Nation Entertainment, Inc.† | 6,154 | 408,256 | |||||||||
Therapeutics — 0.3% | |||||||||||
Agios Pharmaceuticals, Inc.† | 935 | 30,294 | |||||||||
GW Pharmaceuticals PLC ADR† | 400 | 46,012 | |||||||||
Neurocrine Biosciences, Inc.† | 4,792 | 431,807 | |||||||||
Sarepta Therapeutics, Inc.† | 2,825 | 212,779 | |||||||||
720,892 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 1,000 | 156,540 | |||||||||
Toys — 0.2% | |||||||||||
Hasbro, Inc. | 2,837 | 336,723 | |||||||||
Mattel, Inc.† | 5,781 | 65,846 | |||||||||
402,569 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp.† | 900 | 73,944 | |||||||||
Transport-Rail — 0.2% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 237 | 26,191 | |||||||||
Kansas City Southern | 2,400 | 319,224 | |||||||||
345,415 | |||||||||||
Transport-Services — 0.3% | |||||||||||
C.H. Robinson Worldwide, Inc. | 4,319 | 366,165 | |||||||||
Expeditors International of Washington, Inc. | 4,585 | 340,619 | |||||||||
706,784 | |||||||||||
Transport-Truck — 0.5% | |||||||||||
JB Hunt Transport Services, Inc. | 3,536 | 391,258 | |||||||||
Landstar System, Inc. | 1,670 | 188,009 | |||||||||
Old Dominion Freight Line, Inc. | 1,770 | 300,847 | |||||||||
Schneider National, Inc., Class B | 4,536 | 98,522 | |||||||||
XPO Logistics, Inc.† | 1,301 | 93,112 | |||||||||
1,071,748 | |||||||||||
Veterinary Diagnostics — 0.6% | |||||||||||
Elanco Animal Health, Inc.† | 48,629 | 1,293,045 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 377 | 14,273 | |||||||||
Water — 0.1% | |||||||||||
American Water Works Co., Inc. | 1,336 | 165,971 | |||||||||
Web Hosting/Design — 1.3% | |||||||||||
GoDaddy, Inc., Class A† | 28,662 | 1,891,119 | |||||||||
Shopify, Inc., Class A† | 867 | 270,209 | |||||||||
VeriSign, Inc.† | 3,468 | 654,169 | |||||||||
2,815,497 |
173
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Wireless Equipment — 0.5% | |||||||||||
Motorola Solutions, Inc. | 6,276 | $ | 1,069,493 | ||||||||
PagerDuty, Inc.† | 245 | 6,921 | |||||||||
Ubiquiti Networks, Inc. | 368 | 43,520 | |||||||||
1,119,934 | |||||||||||
Total Common Stocks (cost $165,447,372) | 216,848,969 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.6% | |||||||||||
Advertising Services — 0.0% | |||||||||||
Nanigans, Inc. Series B†(1)(2) | 6,300 | 7,056 | |||||||||
Applications Software — 0.2% | |||||||||||
Magic Leap, Inc. Series C†(1)(2) | 4,974 | 122,659 | |||||||||
Tanium, Inc. Series G†(1)(2) | 32,619 | 283,576 | |||||||||
406,235 | |||||||||||
E-Commerce/Products — 0.1% | |||||||||||
One Kings Lane Inc. Series E†(2) | 11,800 | 1,888 | |||||||||
The Honest Co., Inc. Series C†(1)(2) | 4,317 | 141,123 | |||||||||
143,011 | |||||||||||
E-Commerce/Services — 0.2% | |||||||||||
Airbnb, Inc. Series D†(1)(2) | 2,091 | 263,348 | |||||||||
Airbnb, Inc. Series E†(1)(2) | 2,711 | 341,432 | |||||||||
604,780 | |||||||||||
Enterprise Software/Service — 0.0% | |||||||||||
UiPath, Inc. Series D-1†(1)(2) | 1,673 | 65,835 | |||||||||
UiPath, Inc. Series D-2†(1)(2) | 281 | 11,058 | |||||||||
76,893 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
WeWork Cos., Inc. Series D-1†(1)(2) | 3,588 | 61,104 | |||||||||
WeWork Cos., Inc. Series D-2†(1)(2) | 2,819 | 48,007 | |||||||||
WeWork Cos., Inc. Series E†(1)(2) | 2,120 | 36,104 | |||||||||
145,215 | |||||||||||
Total Convertible Preferred Securities (cost $1,055,853) | 1,383,190 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.4% | |||||||||||
iShares Russell Midcap Growth Index Fund (cost $4,337,656) | 6,794 | 960,332 | |||||||||
Total Long-Term Investment Securities (cost $170,840,881) | 219,192,491 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.1% | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88%(4) | 82,014 | $ | 82,014 | ||||||||
T. Rowe Price Government Reserve Fund 2.00%(4) | 103 | 103 | |||||||||
82,117 | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 1.83% due 12/26/2019(5) | $ | 25,000 | 24,893 | ||||||||
Total Short-Term Investment Securities (cost $107,008) | 107,010 | ||||||||||
REPURCHASE AGREEMENTS — 0.6% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35% dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $274,003 and collateralized by $270,000 of United States Treasury Notes, bearing interest at 2.63% due 12/31/2023 and having an approximate value of $283,468. | 274,000 | 274,000 | |||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 260,000 | 260,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 155,000 | 155,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 125,000 | 125,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 240,000 | 240,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 250,000 | 250,000 | |||||||||
Total Repurchase Agreements (cost $1,304,000) | 1,304,000 | ||||||||||
TOTAL INVESTMENTS (cost $172,251,889)(6) | 100.2 | % | 220,603,501 | ||||||||
Liabilities in excess of other assets | (0.2 | ) | (465,263 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 220,138,238 |
† Non-income producing security
(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
174
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2019, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares/ Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
Datadog, Inc., Class B | 05/07/2019 | 1,362 | $ | 21,742 | $ | 43,876 | $ | 32.21 | 0.02 | % | |||||||||||||||||
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 | 206,914 | 2.76 | 0.09 | |||||||||||||||||||||||
Pinterest, Inc., Class B | 03/19/2015 | 6,496 | 139,921 | 170,817 | 26.30 | 0.08 | |||||||||||||||||||||
Uber Technologies, Inc. | 06/05/2014 | 22,395 | 347,415 | 661,336 | 29.53 | 0.30 | |||||||||||||||||||||
Venture Global LNG, Inc., Series B | 03/08/2018 | 3 | 9,060 | 15,600 | 5,200.00 | 0.01 | |||||||||||||||||||||
Venture Global LNG, Inc., | 10/16/2017 | 39 | 147,069 | ||||||||||||||||||||||||
Series C | 03/09/2018 | 3 | 9,060 | ||||||||||||||||||||||||
42 | 156,129 | 218,400 | 5,200.00 | 0.10 | |||||||||||||||||||||||
WeWork Cos., Inc., Class A | 05/26/2017 | 587 | 8,319 | 9,997 | 17.03 | 0.00 | |||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Airbnb, Inc., Series D | 04/16/2014 | 2,091 | 85,131 | 263,348 | 125.94 | 0.12 | |||||||||||||||||||||
Airbnb, Inc., Series E | 06/24/2015 | 2,392 | 222,682 | ||||||||||||||||||||||||
07/14/2015 | 319 | 29,697 | |||||||||||||||||||||||||
2,711 | 252,379 | 341,432 | 125.94 | 0.15 | |||||||||||||||||||||||
The Honest Co., Inc., Series C | 08/20/2014 | 4,317 | 116,806 | 141,123 | 32.69 | 0.06 | |||||||||||||||||||||
Magic Leap, Inc., Series C | 12/28/2015 | 4,974 | 114,566 | 122,659 | 24.66 | 0.06 | |||||||||||||||||||||
Nanigans, Inc., Series B | 03/16/2015 | 6,300 | 68,787 | 7,056 | 1.12 | 0.00 |
Description | Acquisition Date | Shares/ Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Tanium, Inc., Series G | 08/26/2015 | 32,619 | $ | 161,930 | $ | 283,576 | $ | 8.69 | 0.13 | % | |||||||||||||||||
UiPath, Inc., Series D-1 | 04/26/2019 | 1,673 | 65,835 | 65,835 | 39.35 | 0.03 | |||||||||||||||||||||
UiPath, Inc., Series D-2 | 04/26/2019 | 281 | 11,058 | 11,058 | 39.35 | 0.01 | |||||||||||||||||||||
WeWork Cos., Inc., Series D-1 | 12/09/2014 | 3,588 | 59,744 | 61,104 | 17.03 | 0.03 | |||||||||||||||||||||
WeWork Cos., Inc., Series D-2 | 12/09/2014 | 2,819 | 46,940 | 48,007 | 17.03 | 0.02 | |||||||||||||||||||||
WeWork Cos., Inc., Series E | 06/23/2015 | 2,120 | 69,726 | 36,104 | 17.03 | 0.02 | |||||||||||||||||||||
$ | 2,708,242 | 1.23 | % |
(2) Securities classified as Level 3 (see Note 2).
(3) See Note 2 for details of Joint Repurchase Agreements.
(4) The rate shown is the 7-day yield as of September 30, 2019.
(5) The security or 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 | December 2019 | $ | 392,338 | $ | 387,600 | $ | (4,738 | ) |
* 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.
175
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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: | |||||||||||||||||||
E-Commerce/Services | $ | 2,540,074 | $ | 661,336 | $ | — | $ | 3,201,410 | |||||||||||
Enterprise Software/Service | 10,929,292 | 43,876 | — | 10,973,168 | |||||||||||||||
Entertainment Software | 1,359,996 | — | 206,914 | 1,566,910 | |||||||||||||||
Internet Content-Entertainment | 2,725,958 | 170,817 | — | 2,896,775 | |||||||||||||||
Oil Companies-Exploration & Production | 1,891,523 | — | 234,000 | 2,125,523 | |||||||||||||||
Real Estate Management/Services | 332,663 | — | 9,997 | 342,660 | |||||||||||||||
Other Industries | 195,742,523 | — | — | 195,742,523 | |||||||||||||||
Convertible Preferred Securities | — | — | 1,383,190 | 1,383,190 | |||||||||||||||
Exchange-Traded Funds | 960,332 | — | — | 960,332 | |||||||||||||||
Short-Term Investment Securities | |||||||||||||||||||
Registered Investment Companies | 82,117 | — | — | 82,117 | |||||||||||||||
U.S. Government Treasuries | — | 24,893 | — | 24,893 | |||||||||||||||
Repurchase Agreements | — | 1,304,000 | — | 1,304,000 | |||||||||||||||
Total Investments at Value | $ | 216,564,478 | $ | 2,204,922 | $ | 1,834,101 | $ | 220,603,501 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 4,738 | $ | — | $ | — | $ | 4,738 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts 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, 2019 | $ | 526,427 | $ | 2,913,520 | |||||||
Accrued Discounts | — | — | |||||||||
Accrued Premiums | — | — | |||||||||
Realized Gain | 33,868 | — | |||||||||
Realized Loss | — | — | |||||||||
Change in unrealized appreciation(1) | — | 81,007 | |||||||||
Change in unrealized depreciation(1) | (57,382 | ) | (1,151,024 | ) | |||||||
Net purchases | — | 216,814 | |||||||||
Net sales | (52,002 | ) | (677,127 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3 | — | — | |||||||||
Balance as of September 30, 2019 | $ | 450,911 | $ | 1,383,190 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2019 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | (26,114 | ) | $ | (272,068 | ) |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2019.
See Notes to Financial Statements
176
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Real Estate Investment Trusts | 9.8 | % | |||||
Electric-Integrated | 6.6 | ||||||
Oil Companies-Exploration & Production | 3.3 | ||||||
Banks-Commercial | 2.7 | ||||||
Banks-Super Regional | 2.6 | ||||||
Insurance-Multi-line | 2.6 | ||||||
Medical Products | 2.2 | ||||||
Registered Investment Companies | 2.0 | ||||||
Banks-Fiduciary | 2.0 | ||||||
Gold Mining | 1.9 | ||||||
Chemicals-Diversified | 1.8 | ||||||
Agricultural Operations | 1.6 | ||||||
Diversified Manufacturing Operations | 1.5 | ||||||
Insurance Brokers | 1.5 | ||||||
Pipelines | 1.4 | ||||||
Investment Management/Advisor Services | 1.3 | ||||||
Food-Misc./Diversified | 1.2 | ||||||
Computer Services | 1.1 | ||||||
Electronic Components-Semiconductors | 1.0 | ||||||
Medical-Wholesale Drug Distribution | 1.0 | ||||||
Dental Supplies & Equipment | 1.0 | ||||||
Insurance-Life/Health | 1.0 | ||||||
Medical-Hospitals | 1.0 | ||||||
Electric-Distribution | 1.0 | ||||||
Oil Companies-Integrated | 1.0 | ||||||
Semiconductor Components-Integrated Circuits | 1.0 | ||||||
Containers-Paper/Plastic | 0.9 | ||||||
Electronic Measurement Instruments | 0.9 | ||||||
Medical-Generic Drugs | 0.9 | ||||||
Insurance-Property/Casualty | 0.8 | ||||||
Aerospace/Defense-Equipment | 0.8 | ||||||
Finance-Investment Banker/Broker | 0.8 | ||||||
Insurance-Reinsurance | 0.8 | ||||||
Medical Labs & Testing Services | 0.8 | ||||||
Distribution/Wholesale | 0.7 | ||||||
Airlines | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Oil-Field Services | 0.7 | ||||||
Building Products-Cement | 0.7 | ||||||
Finance-Other Services | 0.7 | ||||||
Food-Baking | 0.7 | ||||||
Publishing-Newspapers | 0.6 | ||||||
Brewery | 0.6 | ||||||
Building-Residential/Commercial | 0.6 | ||||||
Hotels/Motels | 0.6 | ||||||
Transport-Services | 0.6 | ||||||
Tools-Hand Held | 0.6 | ||||||
Machinery-Farming | 0.6 | ||||||
Apparel Manufacturers | 0.6 | ||||||
Retail-Jewelry | 0.6 | ||||||
Food-Retail | 0.6 | ||||||
Transport-Truck | 0.5 | ||||||
Semiconductor Equipment | 0.5 | ||||||
Building & Construction Products-Misc. | 0.5 | ||||||
Finance-Credit Card | 0.5 | ||||||
Medical-Biomedical/Gene | 0.5 | ||||||
Machinery-Pumps | 0.5 | ||||||
Chemicals-Specialty | 0.5 | ||||||
Gas-Distribution | 0.5 | ||||||
Engineering/R&D Services | 0.5 |
Coatings/Paint | 0.5 | % | |||||
Retail-Discount | 0.5 | ||||||
Cable/Satellite TV | 0.5 | ||||||
Auto/Truck Parts & Equipment-Original | 0.5 | ||||||
Electronic Components-Misc. | 0.5 | ||||||
Cruise Lines | 0.4 | ||||||
Medical-Drugs | 0.4 | ||||||
Steel-Producers | 0.4 | ||||||
Agricultural Biotech | 0.4 | ||||||
Wireless Equipment | 0.4 | ||||||
Oil Refining & Marketing | 0.4 | ||||||
Multimedia | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Veterinary Diagnostics | 0.4 | ||||||
Non-Ferrous Metals | 0.4 | ||||||
Auto-Heavy Duty Trucks | 0.4 | ||||||
Finance-Consumer Loans | 0.4 | ||||||
Finance-Auto Loans | 0.4 | ||||||
Building Products-Wood | 0.3 | ||||||
Savings & Loans/Thrifts | 0.3 | ||||||
Computers-Memory Devices | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Appliances | 0.3 | ||||||
Machinery-General Industrial | 0.3 | ||||||
Schools | 0.3 | ||||||
Commercial Services | 0.3 | ||||||
Metal-Copper | 0.3 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Entertainment Software | 0.3 | ||||||
Private Equity | 0.3 | ||||||
Cosmetics & Toiletries | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
Food-Meat Products | 0.3 | ||||||
Federal Home Loan Bank | 0.3 | ||||||
Food-Wholesale/Distribution | 0.3 | ||||||
Instruments-Scientific | 0.3 | ||||||
Recreational Vehicles | 0.3 | ||||||
Home Decoration Products | 0.3 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Water | 0.2 | ||||||
Beverages-Non-alcoholic | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Footwear & Related Apparel | 0.2 | ||||||
Office Automation & Equipment | 0.2 | ||||||
Transport-Marine | 0.2 | ||||||
Poultry | 0.2 | ||||||
Electronic Connectors | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Consumer Products-Misc. | 0.2 | ||||||
Batteries/Battery Systems | 0.2 | ||||||
Repurchase Agreements | 0.2 | ||||||
Shipbuilding | 0.2 | ||||||
Hazardous Waste Disposal | 0.2 | ||||||
Motorcycle/Motor Scooter | 0.2 | ||||||
Engines-Internal Combustion | 0.2 | ||||||
Textile-Home Furnishings | 0.2 | ||||||
Medical Instruments | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Exchange-Traded Funds | 0.2 |
177
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Retail-Auto Parts | 0.2 | % | |||||
Telephone-Integrated | 0.2 | ||||||
Enterprise Software/Service | 0.2 | ||||||
Casino Hotels | 0.2 | ||||||
Telecom Equipment-Fiber Optics | 0.2 | ||||||
Computers | 0.2 | ||||||
Applications Software | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Retail-Major Department Stores | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Real Estate Management/Services | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
E-Commerce/Services | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Television | 0.1 | ||||||
Retail-Gardening Products | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Telecommunication Equipment | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Radio | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Marine Services | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Retail-Catalog Shopping | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Water Treatment Systems | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
178
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.1% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Hexcel Corp. | 92 | $ | 7,556 | ||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 5,667 | 122,181 | |||||||||
Omnicom Group, Inc. | 1,637 | 128,177 | |||||||||
250,358 | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Spirit AeroSystems Holdings, Inc., Class A | 167 | 13,734 | |||||||||
Teledyne Technologies, Inc.† | 580 | 186,754 | |||||||||
TransDigm Group, Inc. | 150 | 78,101 | |||||||||
278,589 | |||||||||||
Aerospace/Defense-Equipment — 0.8% | |||||||||||
Arconic, Inc. | 6,346 | 164,996 | |||||||||
Cobham PLC† | 144,714 | 279,163 | |||||||||
L3Harris Technologies, Inc. | 6,864 | 1,432,105 | |||||||||
1,876,264 | |||||||||||
Agricultural Biotech — 0.4% | |||||||||||
Corteva, Inc. | 33,068 | 925,904 | |||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 3,640 | 179,088 | |||||||||
Mosaic Co. | 5,703 | 116,912 | |||||||||
296,000 | |||||||||||
Agricultural Operations — 1.5% | |||||||||||
Archer-Daniels-Midland Co. | 36,084 | 1,481,970 | |||||||||
Bunge, Ltd. | 33,474 | 1,895,298 | |||||||||
3,377,268 | |||||||||||
Airlines — 0.7% | |||||||||||
Alaska Air Group, Inc. | 5,538 | 359,471 | |||||||||
American Airlines Group, Inc. | 5,810 | 156,696 | |||||||||
Copa Holdings SA, Class A | 508 | 50,165 | |||||||||
Delta Air Lines, Inc. | 12,236 | 704,794 | |||||||||
JetBlue Airways Corp.† | 4,373 | 73,248 | |||||||||
United Airlines Holdings, Inc.† | 2,976 | 263,108 | |||||||||
1,607,482 | |||||||||||
Apparel Manufacturers — 0.6% | |||||||||||
Capri Holdings, Ltd.† | 1,349 | 44,733 | |||||||||
Carter's, Inc. | 399 | 36,393 | |||||||||
Columbia Sportswear Co. | 168 | 16,277 | |||||||||
Hanesbrands, Inc. | 1,305 | 19,993 | |||||||||
PVH Corp. | 5,436 | 479,618 | |||||||||
Ralph Lauren Corp. | 5,760 | 549,907 | |||||||||
Tapestry, Inc. | 4,660 | 121,393 | |||||||||
Under Armour, Inc., Class A† | 1,040 | 20,738 | |||||||||
Under Armour, Inc., Class C† | 1,073 | 19,453 | |||||||||
1,308,505 | |||||||||||
Appliances — 0.3% | |||||||||||
Whirlpool Corp. | 4,718 | 747,142 | |||||||||
Applications Software — 0.1% | |||||||||||
Covetrus, Inc.† | 19,326 | 229,786 | |||||||||
Medallia, Inc.† | 46 | 1,262 | |||||||||
Nuance Communications, Inc.† | 4,635 | 75,597 | |||||||||
306,645 |
Security Description | Shares | Value (Note 2) | |||||||||
Audio/Video Products — 0.0% | |||||||||||
Dolby Laboratories, Inc., Class A | 882 | $ | 57,012 | ||||||||
Auto-Heavy Duty Trucks — 0.4% | |||||||||||
PACCAR, Inc. | 12,108 | 847,681 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.5% | |||||||||||
Aptiv PLC | 3,894 | 340,414 | |||||||||
BorgWarner, Inc. | 3,343 | 122,621 | |||||||||
Lear Corp. | 4,617 | 544,344 | |||||||||
WABCO Holdings, Inc.† | 134 | 17,923 | |||||||||
1,025,302 | |||||||||||
Banks-Commercial — 2.7% | |||||||||||
Associated Banc-Corp. | 2,622 | 53,096 | |||||||||
Bank of Hawaii Corp. | 654 | 56,198 | |||||||||
Bank OZK | 1,968 | 53,667 | |||||||||
BankUnited, Inc. | 1,521 | 51,136 | |||||||||
BOK Financial Corp. | 524 | 41,475 | |||||||||
CIT Group, Inc. | 1,408 | 63,797 | |||||||||
Citizens Financial Group, Inc. | 7,250 | 256,433 | |||||||||
Commerce Bancshares, Inc. | 1,613 | 97,828 | |||||||||
Cullen/Frost Bankers, Inc. | 915 | 81,023 | |||||||||
East West Bancorp, Inc. | 2,351 | 104,126 | |||||||||
First Citizens BancShares, Inc., Class A | 118 | 55,643 | |||||||||
First Hawaiian, Inc. | 2,190 | 58,473 | |||||||||
First Horizon National Corp. | 5,053 | 81,859 | |||||||||
First Republic Bank | 2,207 | 213,417 | |||||||||
FNB Corp. | 5,247 | 60,498 | |||||||||
M&T Bank Corp. | 5,828 | 920,649 | |||||||||
PacWest Bancorp | 1,909 | 69,373 | |||||||||
Pinnacle Financial Partners, Inc. | 1,214 | 68,895 | |||||||||
Popular, Inc. | 4,743 | 256,501 | |||||||||
Prosperity Bancshares, Inc. | 6,934 | 489,748 | |||||||||
Regions Financial Corp. | 16,188 | 256,094 | |||||||||
Signature Bank | 5,885 | 701,610 | |||||||||
SVB Financial Group† | 780 | 162,981 | |||||||||
Synovus Financial Corp. | 2,211 | 79,065 | |||||||||
TCF Financial Corp. | 2,476 | 94,261 | |||||||||
Texas Capital Bancshares, Inc.† | 813 | 44,430 | |||||||||
Umpqua Holdings Corp. | 3,568 | 58,729 | |||||||||
Webster Financial Corp. | 1,480 | 69,368 | |||||||||
Westamerica Bancorporation | 11,599 | 721,226 | |||||||||
Western Alliance Bancorp | 1,401 | 64,558 | |||||||||
Wintrust Financial Corp. | 8,184 | 528,932 | |||||||||
Zions Bancorp NA | 2,829 | 125,947 | |||||||||
6,041,036 | |||||||||||
Banks-Fiduciary — 2.0% | |||||||||||
Northern Trust Corp. | 28,222 | 2,633,677 | |||||||||
State Street Corp. | 33,421 | 1,978,189 | |||||||||
4,611,866 | |||||||||||
Banks-Super Regional — 2.6% | |||||||||||
Comerica, Inc. | 10,996 | 725,626 | |||||||||
Fifth Third Bancorp | 60,179 | 1,647,701 | |||||||||
Huntington Bancshares, Inc. | 74,749 | 1,066,668 | |||||||||
KeyCorp | 64,021 | 1,142,135 | |||||||||
SunTrust Banks, Inc. | 20,004 | 1,376,275 | |||||||||
5,958,405 |
179
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Batteries/Battery Systems — 0.2% | |||||||||||
Energizer Holdings, Inc. | 9,981 | $ | 434,972 | ||||||||
Beverages-Non-alcoholic — 0.2% | |||||||||||
Coca-Cola European Partners PLC | 9,062 | 502,488 | |||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Brown-Forman Corp., Class A | 54 | 3,226 | |||||||||
Brown-Forman Corp., Class B | 184 | 11,552 | |||||||||
14,778 | |||||||||||
Brewery — 0.6% | |||||||||||
Carlsberg A/S, Class B | 6,806 | 1,007,000 | |||||||||
Molson Coors Brewing Co., Class B | 7,845 | 451,087 | |||||||||
1,458,087 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery, Inc., Class A† | 2,528 | 67,321 | |||||||||
Discovery, Inc., Class C† | 5,659 | 139,324 | |||||||||
Fox Corp., Class A | 8,136 | 256,569 | |||||||||
Fox Corp., Class B | 2,386 | 75,254 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series A† | 403 | 15,955 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 3,200 | 133,088 | |||||||||
687,511 | |||||||||||
Building & Construction Products-Misc. — 0.5% | |||||||||||
Fortune Brands Home & Security, Inc. | 1,539 | 84,183 | |||||||||
Owens Corning | 11,728 | 741,210 | |||||||||
Summit Materials, Inc., Class A† | 15,700 | 348,540 | |||||||||
1,173,933 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Frontdoor, Inc.† | 1,375 | 66,784 | |||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Lennox International, Inc. | 50 | 12,149 | |||||||||
Building Products-Cement — 0.7% | |||||||||||
Eagle Materials, Inc. | 116 | 10,441 | |||||||||
Martin Marietta Materials, Inc. | 701 | 192,144 | |||||||||
MDU Resources Group, Inc. | 3,186 | 89,813 | |||||||||
Vulcan Materials Co. | 8,482 | 1,282,818 | |||||||||
1,575,216 | |||||||||||
Building Products-Wood — 0.3% | |||||||||||
Masco Corp. | 18,597 | 775,123 | |||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ServiceMaster Global Holdings, Inc.† | 1,860 | 103,974 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Thor Industries, Inc. | 858 | 48,597 | |||||||||
Building-Residential/Commercial — 0.6% | |||||||||||
D.R. Horton, Inc. | 5,514 | 290,643 | |||||||||
Lennar Corp., Class A | 2,674 | 149,343 | |||||||||
Lennar Corp., Class B | 149 | 6,611 | |||||||||
PulteGroup, Inc. | 4,136 | 151,171 | |||||||||
Toll Brothers, Inc. | 20,690 | 849,324 | |||||||||
1,447,092 |
Security Description | Shares | Value (Note 2) | |||||||||
Cable/Satellite TV — 0.5% | |||||||||||
Altice USA, Inc., Class A† | 15,520 | $ | 445,113 | ||||||||
DISH Network Corp., Class A† | 11,297 | 384,889 | |||||||||
Liberty Broadband Corp., Class A† | 398 | 41,599 | |||||||||
Liberty Broadband Corp., Class C† | 1,710 | 178,986 | |||||||||
1,050,587 | |||||||||||
Casino Hotels — 0.2% | |||||||||||
Caesars Entertainment Corp.† | 9,222 | 107,528 | |||||||||
MGM Resorts International | 7,500 | 207,900 | |||||||||
Wynn Resorts, Ltd. | 273 | 29,681 | |||||||||
345,109 | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Sprint Corp.† | 9,182 | 56,653 | |||||||||
United States Cellular Corp.† | 246 | 9,245 | |||||||||
65,898 | |||||||||||
Chemicals-Diversified — 1.8% | |||||||||||
Celanese Corp. | 6,623 | 809,927 | |||||||||
Eastman Chemical Co. | 10,793 | 796,847 | |||||||||
FMC Corp. | 9,886 | 866,804 | |||||||||
Huntsman Corp. | 3,561 | 82,829 | |||||||||
Olin Corp. | 2,666 | 49,908 | |||||||||
PPG Industries, Inc. | 8,066 | 955,902 | |||||||||
Westlake Chemical Corp. | 7,287 | 477,444 | |||||||||
4,039,661 | |||||||||||
Chemicals-Specialty — 0.5% | |||||||||||
Albemarle Corp. | 1,705 | 118,532 | |||||||||
Ashland Global Holdings, Inc. | 976 | 75,201 | |||||||||
Cabot Corp. | 935 | 42,374 | |||||||||
Chemours Co. | 2,647 | 39,546 | |||||||||
Element Solutions, Inc.† | 2,259 | 22,997 | |||||||||
International Flavors & Fragrances, Inc. | 1,731 | 212,376 | |||||||||
NewMarket Corp. | 9 | 4,249 | |||||||||
Univar, Inc.† | 26,732 | 554,956 | |||||||||
Valvoline, Inc. | 3,053 | 67,258 | |||||||||
1,137,489 | |||||||||||
Coatings/Paint — 0.5% | |||||||||||
Axalta Coating Systems, Ltd.† | 23,737 | 715,671 | |||||||||
RPM International, Inc. | 5,535 | 380,863 | |||||||||
1,096,534 | |||||||||||
Commercial Services — 0.3% | |||||||||||
Cintas Corp. | 1,651 | 442,633 | |||||||||
CoreLogic, Inc.† | 1,230 | 56,912 | |||||||||
Macquarie Infrastructure Corp. | 1,189 | 46,930 | |||||||||
Nielsen Holdings PLC | 5,041 | 107,121 | |||||||||
Quanta Services, Inc. | 1,767 | 66,793 | |||||||||
720,389 | |||||||||||
Commercial Services-Finance — 0.4% | |||||||||||
Equifax, Inc. | 298 | 41,920 | |||||||||
Global Payments, Inc. | 3,330 | 529,470 | |||||||||
H&R Block, Inc. | 2,799 | 66,112 | |||||||||
IHS Markit, Ltd.† | 2,382 | 159,308 | |||||||||
Sabre Corp. | 3,675 | 82,302 | |||||||||
879,112 |
180
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computer Services — 1.1% | |||||||||||
Amdocs, Ltd. | 14,015 | $ | 926,532 | ||||||||
CACI International, Inc., Class A† | 398 | 92,041 | |||||||||
Cognizant Technology Solutions Corp., Class A | 4,731 | 285,114 | |||||||||
DXC Technology Co. | 10,423 | 307,478 | |||||||||
Leidos Holdings, Inc. | 9,891 | 849,439 | |||||||||
2,460,604 | |||||||||||
Computer Software — 0.0% | |||||||||||
Akamai Technologies, Inc.† | 224 | 20,469 | |||||||||
Citrix Systems, Inc. | 224 | 21,621 | |||||||||
Dynatrace, Inc.† | 109 | 2,035 | |||||||||
SS&C Technologies Holdings, Inc. | 344 | 17,740 | |||||||||
61,865 | |||||||||||
Computers — 0.2% | |||||||||||
Hewlett Packard Enterprise Co. | 21,759 | 330,084 | |||||||||
Computers-Memory Devices — 0.3% | |||||||||||
Western Digital Corp. | 12,953 | 772,517 | |||||||||
Consumer Products-Misc. — 0.2% | |||||||||||
Clorox Co. | 378 | 57,407 | |||||||||
Kimberly-Clark Corp. | 2,416 | 343,193 | |||||||||
Spectrum Brands Holdings, Inc. | 678 | 35,762 | |||||||||
436,362 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Crown Holdings, Inc.† | 892 | 58,926 | |||||||||
Owens-Illinois, Inc. | 2,508 | 25,757 | |||||||||
Silgan Holdings, Inc. | 1,259 | 37,814 | |||||||||
122,497 | |||||||||||
Containers-Paper/Plastic — 0.9% | |||||||||||
Ardagh Group SA | 299 | 4,688 | |||||||||
Berry Global Group, Inc.† | 10,974 | 430,949 | |||||||||
Graphic Packaging Holding Co. | 47,719 | 703,855 | |||||||||
Packaging Corp. of America | 1,517 | 160,954 | |||||||||
Sealed Air Corp. | 2,334 | 96,884 | |||||||||
Sonoco Products Co. | 1,608 | 93,602 | |||||||||
WestRock Co. | 15,157 | 552,473 | |||||||||
2,043,405 | |||||||||||
Cosmetics & Toiletries — 0.3% | |||||||||||
Coty, Inc., Class A | 4,677 | 49,155 | |||||||||
Edgewell Personal Care Co.† | 18,165 | 590,181 | |||||||||
639,336 | |||||||||||
Cruise Lines — 0.4% | |||||||||||
Norwegian Cruise Line Holdings, Ltd.† | 2,773 | 143,558 | |||||||||
Royal Caribbean Cruises, Ltd. | 7,879 | 853,532 | |||||||||
997,090 | |||||||||||
Data Processing/Management — 0.0% | |||||||||||
Jack Henry & Associates, Inc. | 146 | 21,312 | |||||||||
Dental Supplies & Equipment — 1.0% | |||||||||||
DENTSPLY SIRONA, Inc. | 24,055 | 1,282,372 | |||||||||
Envista Holdings Corp.† | 6,514 | 181,610 | |||||||||
Patterson Cos., Inc. | 49,974 | 890,537 | |||||||||
2,354,519 |
Security Description | Shares | Value (Note 2) | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Adaptive Biotechnologies Corp.† | 77 | $ | 2,379 | ||||||||
Avantor, Inc.† | 1,099 | 16,156 | |||||||||
18,535 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
QIAGEN NV† | 3,585 | 118,197 | |||||||||
Dialysis Centers — 0.1% | |||||||||||
DaVita, Inc.† | 1,986 | 113,341 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
STERIS PLC | 1,280 | 184,947 | |||||||||
Distribution/Wholesale — 0.7% | |||||||||||
Fastenal Co. | 881 | 28,782 | |||||||||
HD Supply Holdings, Inc.† | 20,511 | 803,518 | |||||||||
IAA, Inc.† | 189 | 7,887 | |||||||||
KAR Auction Services, Inc. | 189 | 4,640 | |||||||||
LKQ Corp.† | 21,746 | 683,912 | |||||||||
Resideo Technologies, Inc.† | 1,993 | 28,600 | |||||||||
Watsco, Inc. | 526 | 88,989 | |||||||||
WESCO International, Inc.† | 686 | 32,770 | |||||||||
1,679,098 | |||||||||||
Diversified Manufacturing Operations — 1.5% | |||||||||||
A.O. Smith Corp. | 1,841 | 87,834 | |||||||||
Carlisle Cos., Inc. | 122 | 17,756 | |||||||||
Eaton Corp. PLC | 8,520 | 708,438 | |||||||||
Ingersoll-Rand PLC | 230 | 28,338 | |||||||||
ITT, Inc. | 10,516 | 643,474 | |||||||||
Parker-Hannifin Corp. | 2,076 | 374,947 | |||||||||
Textron, Inc. | 32,297 | 1,581,261 | |||||||||
Trinity Industries, Inc. | 1,725 | 33,948 | |||||||||
3,475,996 | |||||||||||
E-Commerce/Services — 0.1% | |||||||||||
Expedia Group, Inc. | 296 | 39,785 | |||||||||
IAC/InterActiveCorp† | 505 | 110,075 | |||||||||
Lyft, Inc., Class A† | 471 | 19,236 | |||||||||
TripAdvisor, Inc.† | 167 | 6,459 | |||||||||
Zillow Group, Inc., Class A† | 913 | 26,975 | |||||||||
Zillow Group, Inc., Class C† | 2,001 | 59,670 | |||||||||
262,200 | |||||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 755 | 69,324 | |||||||||
Littelfuse, Inc. | 388 | 68,796 | |||||||||
138,120 | |||||||||||
Electric-Distribution — 1.0% | |||||||||||
CenterPoint Energy, Inc. | 28,968 | 874,254 | |||||||||
Sempra Energy | 9,127 | 1,347,237 | |||||||||
2,221,491 | |||||||||||
Electric-Integrated — 6.6% | |||||||||||
AES Corp. | 40,711 | 665,218 | |||||||||
Alliant Energy Corp. | 3,848 | 207,523 | |||||||||
Ameren Corp. | 3,971 | 317,879 | |||||||||
Avangrid, Inc. | 910 | 47,547 | |||||||||
CMS Energy Corp. | 18,236 | 1,166,192 | |||||||||
Consolidated Edison, Inc. | 5,402 | 510,327 | |||||||||
DTE Energy Co. | 2,962 | 393,827 |
181
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Edison International | 10,934 | $ | 824,642 | ||||||||
Entergy Corp. | 6,639 | 779,153 | |||||||||
Evergy, Inc. | 3,816 | 253,993 | |||||||||
Eversource Energy | 15,423 | 1,318,204 | |||||||||
FirstEnergy Corp. | 51,591 | 2,488,234 | |||||||||
Hawaiian Electric Industries, Inc. | 1,754 | 80,000 | |||||||||
IDACORP, Inc. | 814 | 91,713 | |||||||||
OGE Energy Corp. | 3,238 | 146,940 | |||||||||
PG&E Corp.† | 53,976 | 539,760 | |||||||||
Pinnacle West Capital Corp. | 10,040 | 974,583 | |||||||||
PPL Corp. | 11,726 | 369,252 | |||||||||
Public Service Enterprise Group, Inc. | 22,744 | 1,411,947 | |||||||||
Southern Co. | 12,749 | 787,506 | |||||||||
WEC Energy Group, Inc. | 10,956 | 1,041,916 | |||||||||
Xcel Energy, Inc. | 8,347 | 541,637 | |||||||||
14,957,993 | |||||||||||
Electronic Components-Misc. — 0.5% | |||||||||||
Garmin, Ltd. | 2,352 | 199,191 | |||||||||
Gentex Corp. | 4,147 | 114,188 | |||||||||
Jabil, Inc. | 1,894 | 67,748 | |||||||||
nVent Electric PLC | 2,456 | 54,130 | |||||||||
Sensata Technologies Holding PLC† | 11,381 | 569,733 | |||||||||
1,004,990 | |||||||||||
Electronic Components-Semiconductors — 1.0% | |||||||||||
AVX Corp. | 25,682 | 390,366 | |||||||||
Cree, Inc.† | 1,575 | 77,175 | |||||||||
IPG Photonics Corp.† | 2,130 | 288,828 | |||||||||
Marvell Technology Group, Ltd. | 35,013 | 874,275 | |||||||||
Microchip Technology, Inc. | 2,710 | 251,786 | |||||||||
ON Semiconductor Corp.† | 6,608 | 126,940 | |||||||||
Qorvo, Inc.† | 1,908 | 141,459 | |||||||||
Skyworks Solutions, Inc. | 2,656 | 210,488 | |||||||||
2,361,317 | |||||||||||
Electronic Connectors — 0.2% | |||||||||||
TE Connectivity, Ltd. | 4,933 | 459,657 | |||||||||
Electronic Measurement Instruments — 0.9% | |||||||||||
Agilent Technologies, Inc. | 4,549 | 348,590 | |||||||||
FLIR Systems, Inc. | 2,002 | 105,285 | |||||||||
Fortive Corp. | 3,716 | 254,769 | |||||||||
Keysight Technologies, Inc.† | 6,004 | 583,889 | |||||||||
National Instruments Corp. | 14,642 | 614,818 | |||||||||
Trimble, Inc.† | 3,378 | 131,100 | |||||||||
2,038,451 | |||||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Arrow Electronics, Inc.† | 1,337 | 99,713 | |||||||||
Avnet, Inc. | 1,665 | 74,068 | |||||||||
SYNNEX Corp. | 669 | 75,530 | |||||||||
249,311 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
ADT, Inc. | 1,830 | 11,474 | |||||||||
Allegion PLC | 374 | 38,765 | |||||||||
50,239 |
Security Description | Shares | Value (Note 2) | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
First Solar, Inc.† | 1,335 | $ | 77,443 | ||||||||
Engineering/R&D Services — 0.5% | |||||||||||
AECOM† | 2,525 | 94,839 | |||||||||
Fluor Corp. | 2,264 | 43,310 | |||||||||
Jacobs Engineering Group, Inc. | 2,137 | 195,536 | |||||||||
KBR, Inc. | 31,489 | 772,740 | |||||||||
1,106,425 | |||||||||||
Engines-Internal Combustion — 0.2% | |||||||||||
Cummins, Inc. | 2,494 | 405,699 | |||||||||
Gates Industrial Corp. PLC† | 743 | 7,482 | |||||||||
413,181 | |||||||||||
Enterprise Software/Service — 0.2% | |||||||||||
Ceridian HCM Holding, Inc.† | 250 | 12,342 | |||||||||
SolarWinds Corp.† | 519 | 9,576 | |||||||||
Verint Systems, Inc.† | 7,621 | 326,026 | |||||||||
347,944 | |||||||||||
Entertainment Software — 0.3% | |||||||||||
Electronic Arts, Inc.† | 4,837 | 473,155 | |||||||||
Take-Two Interactive Software, Inc.† | 977 | 122,457 | |||||||||
Zynga, Inc., Class A† | 10,742 | 62,519 | |||||||||
658,131 | |||||||||||
Finance-Auto Loans — 0.4% | |||||||||||
Ally Financial, Inc. | 22,437 | 744,011 | |||||||||
Credit Acceptance Corp.† | 20 | 9,226 | |||||||||
Santander Consumer USA Holdings, Inc. | 1,719 | 43,852 | |||||||||
797,089 | |||||||||||
Finance-Consumer Loans — 0.4% | |||||||||||
Navient Corp. | 3,286 | 42,061 | |||||||||
OneMain Holdings, Inc. | 1,056 | 38,734 | |||||||||
SLM Corp. | 6,910 | 60,981 | |||||||||
Synchrony Financial | 19,799 | 674,948 | |||||||||
816,724 | |||||||||||
Finance-Credit Card — 0.5% | |||||||||||
Alliance Data Systems Corp. | 583 | 74,700 | |||||||||
Discover Financial Services | 11,965 | 970,242 | |||||||||
Western Union Co. | 5,366 | 124,330 | |||||||||
1,169,272 | |||||||||||
Finance-Investment Banker/Broker — 0.8% | |||||||||||
E*TRADE Financial Corp. | 3,178 | 138,847 | |||||||||
Evercore, Inc., Class A | 412 | 33,001 | |||||||||
Interactive Brokers Group, Inc., Class A | 882 | 47,434 | |||||||||
Jefferies Financial Group, Inc. | 4,294 | 79,010 | |||||||||
Lazard, Ltd., Class A | 27,950 | 978,250 | |||||||||
TD Ameritrade Holding Corp. | 12,158 | 567,778 | |||||||||
Virtu Financial, Inc., Class A | 431 | 7,051 | |||||||||
1,851,371 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 1,565 | 65,448 |
182
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Finance-Other Services — 0.7% | |||||||||||
BGC Partners, Inc., Class A | 4,639 | $ | 25,515 | ||||||||
Cboe Global Markets, Inc. | 1,352 | 155,358 | |||||||||
Nasdaq, Inc. | 12,838 | 1,275,455 | |||||||||
SEI Investments Co. | 1,096 | 64,944 | |||||||||
1,521,272 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
Assured Guaranty, Ltd. | 1,564 | 69,535 | |||||||||
MGIC Investment Corp. | 5,739 | 72,197 | |||||||||
141,732 | |||||||||||
Food-Baking — 0.7% | |||||||||||
Flowers Foods, Inc. | 65,599 | 1,517,305 | |||||||||
Food-Catering — 0.1% | |||||||||||
Aramark | 3,966 | 172,838 | |||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 297 | 46,032 | |||||||||
J.M. Smucker Co. | 6,539 | 719,421 | |||||||||
765,453 | |||||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Seaboard Corp. | 4 | 17,500 | |||||||||
Food-Meat Products — 0.3% | |||||||||||
Hormel Foods Corp. | 4,504 | 196,960 | |||||||||
Tyson Foods, Inc., Class A | 4,666 | 401,929 | |||||||||
598,889 | |||||||||||
Food-Misc./Diversified — 1.2% | |||||||||||
Beyond Meat, Inc.† | 213 | 31,656 | |||||||||
Campbell Soup Co. | 12,734 | 597,479 | |||||||||
Conagra Brands, Inc. | 7,820 | 239,918 | |||||||||
Hain Celestial Group, Inc.† | 1,474 | 31,654 | |||||||||
Ingredion, Inc. | 5,580 | 456,109 | |||||||||
Kellogg Co. | 9,171 | 590,154 | |||||||||
Lamb Weston Holdings, Inc. | 1,756 | 127,696 | |||||||||
McCormick & Co., Inc. | 702 | 109,723 | |||||||||
Post Holdings, Inc.† | 3,114 | 329,586 | |||||||||
TreeHouse Foods, Inc.† | 4,764 | 264,164 | |||||||||
2,778,139 | |||||||||||
Food-Retail — 0.6% | |||||||||||
Kroger Co. | 48,130 | 1,240,791 | |||||||||
Sprouts Farmers Market, Inc.† | 1,005 | 19,437 | |||||||||
1,260,228 | |||||||||||
Food-Wholesale/Distribution — 0.3% | |||||||||||
Grocery Outlet Holding Corp.† | 259 | 8,982 | |||||||||
Sysco Corp. | 5,361 | 425,663 | |||||||||
US Foods Holding Corp.† | 3,536 | 145,330 | |||||||||
579,975 | |||||||||||
Footwear & Related Apparel — 0.2% | |||||||||||
Skechers U.S.A., Inc., Class A† | 13,326 | 497,726 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Service Corp. International | 1,839 | 87,923 | |||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
International Game Technology PLC | 1,590 | 22,594 |
Security Description | Shares | Value (Note 2) | |||||||||
Gas-Distribution — 0.5% | |||||||||||
Atmos Energy Corp. | 1,896 | $ | 215,935 | ||||||||
National Fuel Gas Co. | 1,325 | 62,169 | |||||||||
NiSource, Inc. | 22,367 | 669,221 | |||||||||
UGI Corp. | 3,377 | 169,762 | |||||||||
1,117,087 | |||||||||||
Gold Mining — 1.9% | |||||||||||
Barrick Gold Corp. | 63,176 | 1,094,840 | |||||||||
Cia de Minas Buenaventura SAA ADR | 29,592 | 449,206 | |||||||||
Franco-Nevada Corp. | 11,172 | 1,017,990 | |||||||||
Gold Fields, Ltd. ADR | 37,600 | 184,992 | |||||||||
Newmont Goldcorp Corp. | 37,967 | 1,439,709 | |||||||||
Royal Gold, Inc. | 723 | 89,081 | |||||||||
4,275,818 | |||||||||||
Hazardous Waste Disposal — 0.2% | |||||||||||
Clean Harbors, Inc.† | 835 | 64,462 | |||||||||
Stericycle, Inc.† | 6,868 | 349,787 | |||||||||
414,249 | |||||||||||
Home Decoration Products — 0.3% | |||||||||||
Newell Brands, Inc. | 29,428 | 550,892 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 2,123 | 86,916 | |||||||||
Hotels/Motels — 0.6% | |||||||||||
Choice Hotels International, Inc. | 308 | 27,400 | |||||||||
Extended Stay America, Inc. | 3,041 | 44,520 | |||||||||
Hilton Grand Vacations, Inc.† | 1,198 | 38,336 | |||||||||
Hyatt Hotels Corp., Class A | 612 | 45,086 | |||||||||
Marriott International, Inc., Class A | 4,130 | 513,648 | |||||||||
St. Joe Co.† | 16,499 | 282,628 | |||||||||
Wyndham Destinations, Inc. | 1,476 | 67,926 | |||||||||
Wyndham Hotels & Resorts, Inc. | 7,375 | 381,582 | |||||||||
1,401,126 | |||||||||||
Human Resources — 0.0% | |||||||||||
ManpowerGroup, Inc. | 965 | 81,292 | |||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 4,092 | 162,043 | |||||||||
Vistra Energy Corp. | 12,684 | 339,044 | |||||||||
501,087 | |||||||||||
Instruments-Controls — 0.0% | |||||||||||
Woodward, Inc. | 161 | 17,361 | |||||||||
Instruments-Scientific — 0.3% | |||||||||||
PerkinElmer, Inc. | 6,593 | 561,526 | |||||||||
Insurance Brokers — 1.5% | |||||||||||
Arthur J. Gallagher & Co. | 10,904 | 976,671 | |||||||||
Brown & Brown, Inc. | 26,802 | 966,480 | |||||||||
Marsh & McLennan Cos., Inc. | 5,608 | 561,081 | |||||||||
Willis Towers Watson PLC | 4,492 | 866,821 | |||||||||
3,371,053 | |||||||||||
Insurance-Life/Health — 1.0% | |||||||||||
Athene Holding, Ltd., Class A† | 14,021 | 589,723 | |||||||||
AXA Equitable Holdings, Inc. | 4,767 | 105,637 | |||||||||
Brighthouse Financial, Inc.† | 8,358 | 338,248 | |||||||||
Globe Life, Inc. | 1,756 | 168,155 |
183
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Life/Health (continued) | |||||||||||
Lincoln National Corp. | 12,572 | $ | 758,343 | ||||||||
Primerica, Inc. | 190 | 24,174 | |||||||||
Principal Financial Group, Inc. | 4,478 | 255,873 | |||||||||
Unum Group | 3,381 | 100,483 | |||||||||
2,340,636 | |||||||||||
Insurance-Multi-line — 2.6% | |||||||||||
American Financial Group, Inc. | 1,193 | 128,665 | |||||||||
Assurant, Inc. | 6,895 | 867,529 | |||||||||
Cincinnati Financial Corp. | 2,467 | 287,825 | |||||||||
CNA Financial Corp. | 19,129 | 942,103 | |||||||||
Hartford Financial Services Group, Inc. | 26,805 | 1,624,651 | |||||||||
Kemper Corp. | 7,699 | 600,137 | |||||||||
Loews Corp. | 23,761 | 1,223,217 | |||||||||
Old Republic International Corp. | 4,567 | 107,644 | |||||||||
Voya Financial, Inc. | 2,114 | 115,086 | |||||||||
5,896,857 | |||||||||||
Insurance-Property/Casualty — 0.8% | |||||||||||
Alleghany Corp.† | 203 | 161,945 | |||||||||
American National Insurance Co. | 120 | 14,847 | |||||||||
Arch Capital Group, Ltd.† | 5,367 | 225,307 | |||||||||
Erie Indemnity Co., Class A | 134 | 24,877 | |||||||||
Fidelity National Financial, Inc. | 4,281 | 190,119 | |||||||||
First American Financial Corp. | 1,768 | 104,330 | |||||||||
Hanover Insurance Group, Inc. | 4,967 | 673,227 | |||||||||
Markel Corp.† | 202 | 238,744 | |||||||||
Mercury General Corp. | 443 | 24,755 | |||||||||
White Mountains Insurance Group, Ltd. | 50 | 54,000 | |||||||||
WR Berkley Corp. | 2,330 | 168,296 | |||||||||
1,880,447 | |||||||||||
Insurance-Reinsurance — 0.8% | |||||||||||
Axis Capital Holdings, Ltd. | 1,204 | 80,331 | |||||||||
Everest Re Group, Ltd. | 3,344 | 889,805 | |||||||||
Reinsurance Group of America, Inc. | 4,328 | 691,960 | |||||||||
RenaissanceRe Holdings, Ltd. | 437 | 84,538 | |||||||||
1,746,634 | |||||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5 Networks, Inc.† | 72 | 10,110 | |||||||||
Internet Security — 0.1% | |||||||||||
Symantec Corp. | 9,394 | 221,980 | |||||||||
Investment Companies — 0.3% | |||||||||||
Groupe Bruxelles Lambert SA | 1,819 | 174,774 | |||||||||
Pargesa Holding SA | 5,894 | 453,423 | |||||||||
628,197 | |||||||||||
Investment Management/Advisor Services — 1.3% | |||||||||||
Affiliated Managers Group, Inc. | 816 | 68,013 | |||||||||
Ameriprise Financial, Inc. | 1,829 | 269,046 | |||||||||
Eaton Vance Corp. | 1,810 | 81,323 | |||||||||
Franklin Resources, Inc. | 27,194 | 784,819 | |||||||||
Invesco, Ltd. | 31,734 | 537,574 | |||||||||
Janus Henderson Group PLC | 2,607 | 58,553 |
Security Description | Shares | Value (Note 2) | |||||||||
Investment Management/Advisor Services (continued) | |||||||||||
Legg Mason, Inc. | 1,390 | $ | 53,084 | ||||||||
Raymond James Financial, Inc. | 8,669 | 714,846 | |||||||||
T. Rowe Price Group, Inc. | 2,663 | 304,248 | |||||||||
2,871,506 | |||||||||||
Lasers-System/Components — 0.0% | |||||||||||
Coherent, Inc.† | 389 | 59,797 | |||||||||
Lighting Products & Systems — 0.0% | |||||||||||
Acuity Brands, Inc. | 472 | 63,621 | |||||||||
Machine Tools & Related Products — 0.0% | |||||||||||
Colfax Corp.† | 1,503 | 43,677 | |||||||||
Lincoln Electric Holdings, Inc. | 56 | 4,859 | |||||||||
48,536 | |||||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. | 1,102 | 83,532 | |||||||||
Machinery-Electrical — 0.2% | |||||||||||
BWX Technologies, Inc. | 394 | 22,541 | |||||||||
Regal Beloit Corp. | 5,936 | 432,437 | |||||||||
454,978 | |||||||||||
Machinery-Farming — 0.6% | |||||||||||
AGCO Corp. | 14,796 | 1,120,057 | |||||||||
CNH Industrial NV | 24,180 | 246,570 | |||||||||
1,366,627 | |||||||||||
Machinery-General Industrial — 0.3% | |||||||||||
Crane Co. | 812 | 65,472 | |||||||||
IDEX Corp. | 612 | 100,294 | |||||||||
Nordson Corp. | 84 | 12,286 | |||||||||
Wabtec Corp. | 7,676 | 551,597 | |||||||||
729,649 | |||||||||||
Machinery-Pumps — 0.5% | |||||||||||
Curtiss-Wright Corp. | 689 | 89,136 | |||||||||
Dover Corp. | 1,320 | 131,419 | |||||||||
Flowserve Corp. | 1,665 | 77,772 | |||||||||
Gardner Denver Holdings, Inc.† | 2,112 | 59,749 | |||||||||
Xylem, Inc. | 9,821 | 781,948 | |||||||||
1,140,024 | |||||||||||
Machinery-Thermal Process — 0.0% | |||||||||||
GrafTech International, Ltd. | 993 | 12,710 | |||||||||
Marine Services — 0.1% | |||||||||||
SEACOR Marine Holdings, Inc.† | 10,789 | 135,618 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Change Healthcare, Inc.† | 18,967 | 229,121 | |||||||||
Medical Instruments — 0.2% | |||||||||||
Alcon, Inc.† | 5,337 | 311,480 | |||||||||
Cantel Medical Corp. | 259 | 19,373 | |||||||||
Integra LifeSciences Holdings Corp.† | 1,148 | 68,960 | |||||||||
399,813 | |||||||||||
Medical Labs & Testing Services — 0.8% | |||||||||||
Catalent, Inc.† | 2,350 | 112,001 | |||||||||
IQVIA Holdings, Inc.† | 1,668 | 249,166 | |||||||||
Laboratory Corp. of America Holdings† | 2,626 | 441,168 |
184
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Labs & Testing Services (continued) | |||||||||||
MEDNAX, Inc.† | 1,325 | $ | 29,972 | ||||||||
Quest Diagnostics, Inc. | 8,049 | 861,484 | |||||||||
1,693,791 | |||||||||||
Medical Products — 2.2% | |||||||||||
Baxter International, Inc. | 10,747 | 940,040 | |||||||||
Cooper Cos., Inc. | 682 | 202,554 | |||||||||
Henry Schein, Inc.† | 2,104 | 133,604 | |||||||||
Hill-Rom Holdings, Inc. | 523 | 55,035 | |||||||||
Hologic, Inc.† | 27,010 | 1,363,735 | |||||||||
ICU Medical, Inc.† | 216 | 34,474 | |||||||||
West Pharmaceutical Services, Inc. | 288 | 40,844 | |||||||||
Zimmer Biomet Holdings, Inc. | 16,781 | 2,303,528 | |||||||||
5,073,814 | |||||||||||
Medical-Biomedical/Gene — 0.5% | |||||||||||
Alnylam Pharmaceuticals, Inc.† | 280 | 22,518 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 344 | 114,463 | |||||||||
Bluebird Bio, Inc.† | 892 | 81,903 | |||||||||
Exelixis, Inc.† | 2,859 | 50,561 | |||||||||
Incyte Corp.† | 5,974 | 443,450 | |||||||||
Moderna, Inc.† | 324 | 5,158 | |||||||||
Nektar Therapeutics† | 2,303 | 41,949 | |||||||||
Seattle Genetics, Inc.† | 3,870 | 330,498 | |||||||||
United Therapeutics Corp.† | 700 | 55,825 | |||||||||
1,146,325 | |||||||||||
Medical-Drugs — 0.4% | |||||||||||
Alkermes PLC† | 28,449 | 555,040 | |||||||||
Horizon Therapeutics PLC† | 2,632 | 71,670 | |||||||||
Jazz Pharmaceuticals PLC† | 100 | 12,814 | |||||||||
PRA Health Sciences, Inc.† | 3,101 | 307,712 | |||||||||
947,236 | |||||||||||
Medical-Generic Drugs — 0.9% | |||||||||||
Amneal Pharmaceuticals, Inc.† | 4,550 | 13,195 | |||||||||
Mylan NV† | 20,882 | 413,046 | |||||||||
Perrigo Co. PLC | 28,517 | 1,593,815 | |||||||||
2,020,056 | |||||||||||
Medical-HMO — 0.0% | |||||||||||
Centene Corp.† | 1,088 | 47,067 | |||||||||
Molina Healthcare, Inc.† | 224 | 24,577 | |||||||||
WellCare Health Plans, Inc.† | 76 | 19,697 | |||||||||
91,341 | |||||||||||
Medical-Hospitals — 1.0% | |||||||||||
Acadia Healthcare Co., Inc.† | 1,407 | 43,730 | |||||||||
Select Medical Holdings Corp.† | 74,229 | 1,229,974 | |||||||||
Universal Health Services, Inc., Class B | 6,601 | 981,899 | |||||||||
2,255,603 | |||||||||||
Medical-Wholesale Drug Distribution — 1.0% | |||||||||||
AmerisourceBergen Corp. | 6,290 | 517,856 | |||||||||
Cardinal Health, Inc. | 21,485 | 1,013,877 | |||||||||
McKesson Corp. | 2,671 | 365,019 | |||||||||
Premier, Inc., Class A† | 15,894 | 459,654 | |||||||||
2,356,406 |
Security Description | Shares | Value (Note 2) | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Timken Co. | 1,087 | $ | 47,295 | ||||||||
Metal-Aluminum — 0.0% | |||||||||||
Alcoa Corp.† | 3,010 | 60,411 | |||||||||
Metal-Copper — 0.3% | |||||||||||
Freeport-McMoRan, Inc. | 74,561 | 713,549 | |||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
AptarGroup, Inc. | 622 | 73,676 | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Lions Gate Entertainment Corp., Class A | 814 | 7,529 | |||||||||
Lions Gate Entertainment Corp., Class B | 1,839 | 16,073 | |||||||||
23,602 | |||||||||||
Motorcycle/Motor Scooter — 0.2% | |||||||||||
Harley-Davidson, Inc. | 11,496 | 413,511 | |||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 889 | 37,809 | |||||||||
Multimedia — 0.4% | |||||||||||
Viacom, Inc., Class A | 162 | 4,254 | |||||||||
Viacom, Inc., Class B | 37,220 | 894,397 | |||||||||
898,651 | |||||||||||
Networking Products — 0.0% | |||||||||||
LogMeIn, Inc. | 795 | 56,413 | |||||||||
Non-Ferrous Metals — 0.4% | |||||||||||
Cameco Corp. | 62,616 | 594,852 | |||||||||
NAC Kazatomprom JSC GDR | 19,387 | 255,908 | |||||||||
850,760 | |||||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 3,234 | 279,903 | |||||||||
Office Automation & Equipment — 0.2% | |||||||||||
Xerox Holdings Corp. | 2,974 | 88,952 | |||||||||
Zebra Technologies Corp., Class A† | 1,974 | 407,375 | |||||||||
496,327 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 89 | 10,108 | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Helmerich & Payne, Inc. | 1,727 | 69,201 | |||||||||
Transocean, Ltd.† | 9,376 | 41,911 | |||||||||
111,112 | |||||||||||
Oil Companies-Exploration & Production — 3.3% | |||||||||||
Antero Resources Corp.† | 4,277 | 12,917 | |||||||||
Apache Corp. | 16,692 | 427,315 | |||||||||
ARC Resources, Ltd. | 26,305 | 125,286 | |||||||||
Cabot Oil & Gas Corp. | 24,666 | 433,382 | |||||||||
Canadian Natural Resources, Ltd. | 34,972 | 931,304 | |||||||||
Centennial Resource Development, Inc., Class A† | 2,961 | 13,369 | |||||||||
Chesapeake Energy Corp.† | 21,118 | 29,776 | |||||||||
Cimarex Energy Co. | 1,620 | 77,663 | |||||||||
Concho Resources, Inc. | 3,224 | 218,910 | |||||||||
Continental Resources, Inc.† | 1,408 | 43,352 | |||||||||
Devon Energy Corp. | 6,538 | 157,304 |
185
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Diamondback Energy, Inc. | 3,764 | $ | 338,421 | ||||||||
EQT Corp. | 101,995 | 1,085,227 | |||||||||
Hess Corp. | 30,028 | 1,816,093 | |||||||||
Kosmos Energy, Ltd. | 5,862 | 36,579 | |||||||||
Marathon Oil Corp. | 13,014 | 159,682 | |||||||||
Noble Energy, Inc. | 7,681 | 172,515 | |||||||||
Parsley Energy, Inc., Class A | 1,865 | 31,332 | |||||||||
Pioneer Natural Resources Co. | 6,718 | 844,923 | |||||||||
Range Resources Corp. | 3,361 | 12,839 | |||||||||
WPX Energy, Inc.† | 47,994 | 508,256 | |||||||||
7,476,445 | |||||||||||
Oil Companies-Integrated — 1.0% | |||||||||||
Imperial Oil, Ltd. | 53,829 | 1,401,169 | |||||||||
Murphy Oil Corp. | 35,095 | 775,950 | |||||||||
2,177,119 | |||||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
National Oilwell Varco, Inc. | 6,252 | 132,542 | |||||||||
Oil Refining & Marketing — 0.4% | |||||||||||
HollyFrontier Corp. | 2,470 | 132,491 | |||||||||
Marathon Petroleum Corp. | 11,822 | 718,186 | |||||||||
PBF Energy, Inc., Class A | 1,932 | 52,531 | |||||||||
903,208 | |||||||||||
Oil-Field Services — 0.7% | |||||||||||
Apergy Corp.† | 1,251 | 33,840 | |||||||||
Baker Hughes a GE Co., LLC | 10,241 | 237,591 | |||||||||
Frank's International NV† | 89,211 | 423,752 | |||||||||
Halliburton Co. | 22,215 | 418,753 | |||||||||
NOW, Inc.† | 18,721 | 214,730 | |||||||||
Patterson-UTI Energy, Inc. | 30,302 | 259,082 | |||||||||
1,587,748 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. | 1,016 | 36,383 | |||||||||
International Paper Co. | 6,373 | 266,519 | |||||||||
302,902 | |||||||||||
Physical Therapy/Rehabilitation Centers — 0.0% | |||||||||||
Encompass Health Corp. | 784 | 49,612 | |||||||||
Pipelines — 1.4% | |||||||||||
Antero Midstream Corp. | 3,653 | 27,032 | |||||||||
Cheniere Energy, Inc.† | 1,604 | 101,148 | |||||||||
Equitrans Midstream Corp. | 64,371 | 936,598 | |||||||||
ONEOK, Inc. | 4,541 | 334,626 | |||||||||
Plains GP Holdings LP, Class A | 32,327 | 686,302 | |||||||||
Targa Resources Corp. | 14,338 | 575,958 | |||||||||
Williams Cos., Inc. | 19,682 | 473,549 | |||||||||
3,135,213 | |||||||||||
Poultry — 0.2% | |||||||||||
Pilgrim's Pride Corp.† | 557 | 17,849 | |||||||||
Sanderson Farms, Inc. | 2,943 | 445,364 | |||||||||
463,213 | |||||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Hubbell, Inc. | 395 | 51,903 |
Security Description | Shares | Value (Note 2) | |||||||||
Private Equity — 0.3% | |||||||||||
Apollo Global Management, Inc. | 17,022 | $ | 643,772 | ||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Co., Class A† | 273 | 71,941 | |||||||||
Publishing-Books — 0.1% | |||||||||||
John Wiley & Sons, Inc., Class A | 716 | 31,461 | |||||||||
Scholastic Corp. | 6,091 | 229,996 | |||||||||
261,457 | |||||||||||
Publishing-Newspapers — 0.6% | |||||||||||
New York Times Co., Class A | 2,130 | 60,662 | |||||||||
News Corp., Class A | 98,404 | 1,369,784 | |||||||||
News Corp., Class B | 1,964 | 28,075 | |||||||||
1,458,521 | |||||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 1,368 | 56,868 | |||||||||
Liberty Media Corp. - Liberty SiriusXM, Series C† | 2,502 | 104,984 | |||||||||
161,852 | |||||||||||
Real Estate Investment Trusts — 9.8% | |||||||||||
AGNC Investment Corp. | 8,884 | 142,944 | |||||||||
Alexandria Real Estate Equities, Inc. | 1,809 | 278,658 | |||||||||
American Campus Communities, Inc. | 2,214 | 106,449 | |||||||||
American Homes 4 Rent, Class A | 2,378 | 61,566 | |||||||||
Annaly Capital Management, Inc. | 50,025 | 440,220 | |||||||||
Apartment Investment & Management Co., Class A | 2,393 | 124,771 | |||||||||
Apple Hospitality REIT, Inc. | 3,401 | 56,389 | |||||||||
AvalonBay Communities, Inc. | 2,258 | 486,215 | |||||||||
Boston Properties, Inc. | 2,507 | 325,058 | |||||||||
Brandywine Realty Trust | 2,822 | 42,753 | |||||||||
Brixmor Property Group, Inc. | 34,123 | 692,356 | |||||||||
Camden Property Trust | 1,513 | 167,958 | |||||||||
Chimera Investment Corp. | 3,017 | 59,013 | |||||||||
Colony Capital, Inc. | 7,315 | 44,036 | |||||||||
Columbia Property Trust, Inc. | 1,885 | 39,868 | |||||||||
CoreSite Realty Corp. | 131 | 15,962 | |||||||||
Corporate Office Properties Trust | 1,814 | 54,021 | |||||||||
Cousins Properties, Inc. | 2,359 | 88,675 | |||||||||
CubeSmart | 3,114 | 108,679 | |||||||||
CyrusOne, Inc. | 1,813 | 143,408 | |||||||||
Digital Realty Trust, Inc. | 3,369 | 437,330 | |||||||||
Douglas Emmett, Inc. | 2,689 | 115,170 | |||||||||
Duke Realty Corp. | 5,825 | 197,875 | |||||||||
Empire State Realty Trust, Inc., Class A | 2,371 | 33,834 | |||||||||
EPR Properties | 9,193 | 706,574 | |||||||||
Equity Commonwealth | 22,758 | 779,461 | |||||||||
Equity Residential | 14,950 | 1,289,587 | |||||||||
Essex Property Trust, Inc. | 1,061 | 346,576 | |||||||||
Extra Space Storage, Inc. | 381 | 44,508 | |||||||||
Federal Realty Investment Trust | 1,209 | 164,593 | |||||||||
Gaming and Leisure Properties, Inc. | 3,278 | 125,351 | |||||||||
HCP, Inc. | 7,978 | 284,256 |
186
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Healthcare Trust of America, Inc., Class A | 3,300 | $ | 96,954 | ||||||||
Highwoods Properties, Inc. | 1,653 | 74,286 | |||||||||
Host Hotels & Resorts, Inc. | 11,736 | 202,915 | |||||||||
Hudson Pacific Properties, Inc. | 2,460 | 82,312 | |||||||||
Invitation Homes, Inc. | 7,734 | 229,004 | |||||||||
Iron Mountain, Inc. | 4,100 | 132,799 | |||||||||
JBG SMITH Properties | 1,979 | 77,597 | |||||||||
Kilroy Realty Corp. | 1,603 | 124,858 | |||||||||
Kimco Realty Corp. | 6,540 | 136,555 | |||||||||
Liberty Property Trust | 2,523 | 129,506 | |||||||||
Life Storage, Inc. | 9,429 | 993,911 | |||||||||
Macerich Co. | 2,288 | 72,278 | |||||||||
Medical Properties Trust, Inc. | 37,186 | 727,358 | |||||||||
MFA Financial, Inc. | 7,270 | 53,507 | |||||||||
Mid-America Apartment Communities, Inc. | 7,791 | 1,012,908 | |||||||||
National Retail Properties, Inc. | 2,626 | 148,106 | |||||||||
New Residential Investment Corp. | 6,721 | 105,385 | |||||||||
Omega Healthcare Investors, Inc. | 3,461 | 144,635 | |||||||||
Outfront Media, Inc. | 1,931 | 53,643 | |||||||||
Paramount Group, Inc. | 3,262 | 43,548 | |||||||||
Park Hotels & Resorts, Inc. | 3,918 | 97,832 | |||||||||
Rayonier, Inc. | 43,898 | 1,237,924 | |||||||||
Realty Income Corp. | 5,165 | 396,052 | |||||||||
Regency Centers Corp. | 8,735 | 606,995 | |||||||||
Retail Properties of America, Inc., Class A | 3,450 | 42,504 | |||||||||
Service Properties Trust | 2,637 | 68,008 | |||||||||
SITE Centers Corp. | 2,263 | 34,194 | |||||||||
SL Green Realty Corp. | 1,332 | 108,891 | |||||||||
Spirit Realty Capital, Inc. | 10,364 | 496,021 | |||||||||
Starwood Property Trust, Inc. | 4,412 | 106,859 | |||||||||
STORE Capital Corp. | 3,417 | 127,830 | |||||||||
Sun Communities, Inc. | 6,424 | 953,643 | |||||||||
Taubman Centers, Inc. | 946 | 38,625 | |||||||||
Two Harbors Investment Corp. | 4,396 | 57,719 | |||||||||
UDR, Inc. | 4,456 | 216,027 | |||||||||
Ventas, Inc. | 6,042 | 441,247 | |||||||||
VEREIT, Inc. | 15,783 | 154,358 | |||||||||
VICI Properties, Inc. | 36,947 | 836,850 | |||||||||
Vornado Realty Trust | 2,801 | 178,340 | |||||||||
Weingarten Realty Investors | 1,960 | 57,095 | |||||||||
Welltower, Inc. | 6,572 | 595,752 | |||||||||
Weyerhaeuser Co. | 59,675 | 1,652,997 | |||||||||
WP Carey, Inc. | 11,813 | 1,057,263 | |||||||||
22,209,205 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
CBRE Group, Inc., Class A† | 3,424 | 181,506 | |||||||||
Jones Lang LaSalle, Inc. | 739 | 102,766 | |||||||||
284,272 | |||||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Howard Hughes Corp.† | 446 | 57,802 |
Security Description | Shares | Value (Note 2) | |||||||||
Recreational Vehicles — 0.3% | |||||||||||
Brunswick Corp. | 10,519 | $ | 548,250 | ||||||||
Polaris, Inc. | 97 | 8,537 | |||||||||
556,787 | |||||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
AMERCO | 143 | 55,776 | |||||||||
Element Fleet Management Corp. | 36,654 | 293,265 | |||||||||
United Rentals, Inc.† | 364 | 45,369 | |||||||||
394,410 | |||||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Six Flags Entertainment Corp. | 1,168 | 59,323 | |||||||||
Vail Resorts, Inc. | 70 | 15,929 | |||||||||
75,252 | |||||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
Foot Locker, Inc. | 1,768 | 76,307 | |||||||||
Gap, Inc. | 6,514 | 113,083 | |||||||||
L Brands, Inc. | 3,113 | 60,983 | |||||||||
Urban Outfitters, Inc.† | 10,487 | 294,580 | |||||||||
544,953 | |||||||||||
Retail-Auto Parts — 0.2% | |||||||||||
Advance Auto Parts, Inc. | 846 | 139,928 | |||||||||
Genuine Parts Co. | 2,279 | 226,966 | |||||||||
366,894 | |||||||||||
Retail-Automobile — 0.1% | |||||||||||
AutoNation, Inc.† | 872 | 44,210 | |||||||||
CarMax, Inc.† | 1,418 | 124,784 | |||||||||
Penske Automotive Group, Inc. | 564 | 26,666 | |||||||||
195,660 | |||||||||||
Retail-Catalog Shopping — 0.1% | |||||||||||
MSC Industrial Direct Co., Inc., Class A | 707 | 51,279 | |||||||||
Qurate Retail, Inc.† | 6,209 | 64,046 | |||||||||
115,325 | |||||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 2,953 | 203,727 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Casey's General Stores, Inc. | 443 | 71,394 | |||||||||
Retail-Discount — 0.5% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 7,390 | 191,179 | |||||||||
Dollar General Corp. | 252 | 40,053 | |||||||||
Dollar Tree, Inc.† | 7,182 | 819,897 | |||||||||
1,051,129 | |||||||||||
Retail-Gardening Products — 0.1% | |||||||||||
Tractor Supply Co. | 2,834 | 256,307 | |||||||||
Retail-Home Furnishings — 0.0% | |||||||||||
Williams-Sonoma, Inc. | 1,034 | 70,291 | |||||||||
Retail-Jewelry — 0.6% | |||||||||||
Tiffany & Co. | 14,097 | 1,305,805 | |||||||||
Retail-Major Department Stores — 0.1% | |||||||||||
Nordstrom, Inc. | 8,969 | 301,986 |
187
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Kohl's Corp. | 2,637 | $ | 130,953 | ||||||||
Macy's, Inc. | 5,007 | 77,809 | |||||||||
208,762 | |||||||||||
Retail-Restaurants — 0.2% | |||||||||||
Dunkin' Brands Group, Inc. | 88 | 6,984 | |||||||||
Wendy's Co. | 19,991 | 399,420 | |||||||||
Yum China Holdings, Inc. | 1,133 | 51,472 | |||||||||
457,876 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Dick's Sporting Goods, Inc. | 1,059 | 43,218 | |||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co. | 3,766 | 54,249 | |||||||||
Satellite Telecom — 0.0% | |||||||||||
EchoStar Corp., Class A† | 768 | 30,428 | |||||||||
Savings & Loans/Thrifts — 0.3% | |||||||||||
Capitol Federal Financial, Inc. | 36,463 | 502,460 | |||||||||
New York Community Bancorp, Inc. | 7,343 | 92,154 | |||||||||
People's United Financial, Inc. | 6,425 | 100,455 | |||||||||
Sterling Bancorp | 3,282 | 65,837 | |||||||||
TFS Financial Corp. | 788 | 14,200 | |||||||||
775,106 | |||||||||||
Schools — 0.3% | |||||||||||
2U, Inc.† | 570 | 9,280 | |||||||||
Graham Holdings Co., Class B | 68 | 45,115 | |||||||||
Grand Canyon Education, Inc.† | 697 | 68,445 | |||||||||
Strategic Education, Inc. | 4,412 | 599,502 | |||||||||
722,342 | |||||||||||
Semiconductor Components-Integrated Circuits — 1.0% | |||||||||||
Analog Devices, Inc. | 7,234 | 808,255 | |||||||||
Cypress Semiconductor Corp. | 5,977 | 139,503 | |||||||||
Maxim Integrated Products, Inc. | 13,077 | 757,289 | |||||||||
NXP Semiconductors NV | 4,066 | 443,682 | |||||||||
2,148,729 | |||||||||||
Semiconductor Equipment — 0.5% | |||||||||||
Applied Materials, Inc. | 21,137 | 1,054,736 | |||||||||
Lam Research Corp. | 286 | 66,098 | |||||||||
MKS Instruments, Inc. | 875 | 80,745 | |||||||||
1,201,579 | |||||||||||
Shipbuilding — 0.2% | |||||||||||
Huntington Ingalls Industries, Inc. | 1,967 | 416,591 | |||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
Valmont Industries, Inc. | 347 | 48,039 | |||||||||
Steel-Producers — 0.4% | |||||||||||
Nucor Corp. | 13,540 | 689,322 | |||||||||
Reliance Steel & Aluminum Co. | 1,055 | 105,141 | |||||||||
Steel Dynamics, Inc. | 3,403 | 101,409 | |||||||||
United States Steel Corp. | 2,784 | 32,155 | |||||||||
928,027 | |||||||||||
Telecom Equipment-Fiber Optics — 0.2% | |||||||||||
Ciena Corp.† | 2,510 | 98,467 | |||||||||
Corning, Inc. | 8,566 | 244,303 | |||||||||
342,770 |
Security Description | Shares | Value (Note 2) | |||||||||
Telecommunication Equipment — 0.1% | |||||||||||
CommScope Holding Co., Inc.† | 3,093 | $ | 36,373 | ||||||||
Juniper Networks, Inc. | 5,537 | 137,041 | |||||||||
173,414 | |||||||||||
Telephone-Integrated — 0.2% | |||||||||||
CenturyLink, Inc. | 17,655 | 220,335 | |||||||||
GCI Liberty, Inc., Class A† | 1,590 | 98,691 | |||||||||
Telephone & Data Systems, Inc. | 1,623 | 41,873 | |||||||||
360,899 | |||||||||||
Television — 0.1% | |||||||||||
CBS Corp., Class B | 5,992 | 241,897 | |||||||||
Nexstar Media Group, Inc., Class A | 164 | 16,779 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 59 | 2,522 | |||||||||
261,198 | |||||||||||
Textile-Home Furnishings — 0.2% | |||||||||||
Mohawk Industries, Inc.† | 3,262 | 404,716 | |||||||||
Theaters — 0.0% | |||||||||||
Cinemark Holdings, Inc. | 1,731 | 66,886 | |||||||||
Therapeutics — 0.0% | |||||||||||
Agios Pharmaceuticals, Inc.† | 746 | 24,170 | |||||||||
Tools-Hand Held — 0.6% | |||||||||||
Snap-on, Inc. | 889 | 139,164 | |||||||||
Stanley Black & Decker, Inc. | 8,659 | 1,250,446 | |||||||||
1,389,610 | |||||||||||
Toys — 0.0% | |||||||||||
Mattel, Inc.† | 1,730 | 19,705 | |||||||||
Transport-Marine — 0.2% | |||||||||||
Kirby Corp.† | 962 | 79,038 | |||||||||
SEACOR Holdings, Inc.† | 3,409 | 160,462 | |||||||||
Tidewater, Inc.† | 15,109 | 228,297 | |||||||||
467,797 | |||||||||||
Transport-Rail — 0.7% | |||||||||||
Genesee & Wyoming, Inc., Class A† | 747 | 82,551 | |||||||||
Kansas City Southern | 11,365 | 1,511,659 | |||||||||
1,594,210 | |||||||||||
Transport-Services — 0.6% | |||||||||||
C.H. Robinson Worldwide, Inc. | 10,080 | 854,582 | |||||||||
Expeditors International of Washington, Inc. | 6,692 | 497,149 | |||||||||
Ryder System, Inc. | 842 | 43,590 | |||||||||
1,395,321 | |||||||||||
Transport-Truck — 0.5% | |||||||||||
JB Hunt Transport Services, Inc. | 5,471 | 605,366 | |||||||||
Knight-Swift Transportation Holdings, Inc. | 12,398 | 450,047 | |||||||||
Landstar System, Inc. | 61 | 6,867 | |||||||||
Old Dominion Freight Line, Inc. | 607 | 103,172 | |||||||||
Schneider National, Inc., Class B | 897 | 19,483 | |||||||||
XPO Logistics, Inc.† | 622 | 44,517 | |||||||||
1,229,452 | |||||||||||
Veterinary Diagnostics — 0.4% | |||||||||||
Elanco Animal Health, Inc.† | 32,204 | 856,304 |
188
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 1,406 | $ | 53,231 | ||||||||
Water — 0.2% | |||||||||||
American Water Works Co., Inc. | 2,929 | 363,870 | |||||||||
Aqua America, Inc. | 3,498 | 156,815 | |||||||||
520,685 | |||||||||||
Water Treatment Systems — 0.1% | |||||||||||
Pentair PLC | 2,713 | 102,551 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
VeriSign, Inc.† | 532 | 100,351 | |||||||||
Wireless Equipment — 0.4% | |||||||||||
Motorola Solutions, Inc. | 4,962 | 845,574 | |||||||||
ViaSat, Inc.† | 914 | 68,843 | |||||||||
914,417 | |||||||||||
Total Common Stocks (cost $200,074,534) | 220,604,353 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.1% | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Bunge, Ltd. (cost $220,717) | 1,948 | 197,975 | |||||||||
EXCHANGE-TRADED FUNDS — 0.2% | |||||||||||
iShares Russell Midcap Value Index Fund (cost $387,140) | 4,325 | 387,953 | |||||||||
Total Long-Term Investment Securities (cost $200,682,391) | 221,190,281 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.4% | |||||||||||
Federal Home Loan Bank — 0.3% | |||||||||||
Federal Home Loan Bank Disc. Notes 1.52% due 10/01/2019 | $ | 597,000 | 597,000 | ||||||||
Registered Investment Companies — 2.0% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88%(1) | 2,578,380 | 2,578,380 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES (continued) | |||||||||||
Registered Investment Companies (continued) | |||||||||||
T. Rowe Price Government Reserve Fund 2.00%(1) | 2,042,682 | $ | 2,042,682 | ||||||||
4,621,062 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 1.96% due 11/05/2019(2) | $ | 200,000 | 199,657 | ||||||||
Total Short-Term Investment Securities (cost $5,417,681) | 5,417,719 | ||||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35%, dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $419,004 collateralized by $410,000 of United States Treasury Notes, bearing interest at 2.63% due 12/31/2023 and having an approximate value of $430,451 (cost $419,000) | 419,000 | 419,000 | |||||||||
TOTAL INVESTMENTS (cost $206,519,072)(3) | 100.0 | % | 227,027,000 | ||||||||
Other assets less liabilities | 0.0 | 41,940 | |||||||||
NET ASSETS | 100.0 | % | $ | 227,068,940 |
† Non-income producing security
(1) The rate shown is the 7-day yield as of September 30, 2019.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open contracts
(3) See Note 4 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 | December 2019 | $ | 784,677 | $ | 775,200 | $ | (9,477 | ) |
* 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.
189
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 218,131,944 | $ | 2,472,409 | ** | $ | — | $ | 220,604,353 | ||||||||||
Convertible Preferred Securities | 197,975 | — | — | 197,975 | |||||||||||||||
Exchange-Traded Funds | 387,953 | — | — | 387,953 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 4,621,062 | — | — | 4,621,062 | |||||||||||||||
Other Short-Term Investment Securities | — | 796,657 | — | 796,657 | |||||||||||||||
Repurchase Agreements | — | 419,000 | — | 419,000 | |||||||||||||||
Total Investments at Value | $ | 223,338,934 | $ | 3,688,066 | $ | — | $ | 227,027,000 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 9,477 | $ | — | $ | — | $ | 9,477 |
* 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 represent unrealized appreciation/depreciation as of the end of the reporting period.
See Notes to Financial Statements
190
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 6.5 | % | |||||
Real Estate Investment Trusts | 5.2 | ||||||
Human Resources | 4.5 | ||||||
Insurance-Property/Casualty | 3.4 | ||||||
Enterprise Software/Service | 2.1 | ||||||
Medical-Biomedical/Gene | 2.0 | ||||||
Building-Residential/Commercial | 1.9 | ||||||
Retail-Automobile | 1.8 | ||||||
Building-Mobile Home/Manufactured Housing | 1.8 | ||||||
Medical-Drugs | 1.7 | ||||||
Savings & Loans/Thrifts | 1.7 | ||||||
Aerospace/Defense-Equipment | 1.6 | ||||||
Chemicals-Specialty | 1.5 | ||||||
Auto/Truck Parts & Equipment-Original | 1.4 | ||||||
Finance-Auto Loans | 1.4 | ||||||
Computer Software | 1.4 | ||||||
Engineering/R&D Services | 1.3 | ||||||
Registered Investment Companies | 1.2 | ||||||
Consumer Products-Misc. | 1.2 | ||||||
Building & Construction-Misc. | 1.2 | ||||||
Electronic Components-Semiconductors | 1.1 | ||||||
Building Products-Wood | 1.1 | ||||||
Medical Labs & Testing Services | 1.1 | ||||||
Machinery-Farming | 1.1 | ||||||
Medical Products | 1.0 | ||||||
Building & Construction Products-Misc. | 1.0 | ||||||
Miscellaneous Manufacturing | 1.0 | ||||||
Distribution/Wholesale | 1.0 | ||||||
Retail-Restaurants | 1.0 | ||||||
B2B/E-Commerce | 1.0 | ||||||
Athletic Equipment | 1.0 | ||||||
Real Estate Management/Services | 0.9 | ||||||
Commercial Services-Finance | 0.9 | ||||||
Finance-Consumer Loans | 0.9 | ||||||
Professional Sports | 0.9 | ||||||
Veterinary Diagnostics | 0.8 | ||||||
Diversified Operations/Commercial Services | 0.8 | ||||||
Computers-Integrated Systems | 0.8 | ||||||
Electronic Components-Misc. | 0.8 | ||||||
Oil Refining & Marketing | 0.7 | ||||||
Oil-Field Services | 0.7 | ||||||
Investment Management/Advisor Services | 0.7 | ||||||
Paper & Related Products | 0.7 | ||||||
Electric-Integrated | 0.7 | ||||||
Applications Software | 0.7 | ||||||
Exchange-Traded Funds | 0.7 | ||||||
Retail-Pet Food & Supplies | 0.7 | ||||||
Oil Companies-Exploration & Production | 0.6 | ||||||
Retail-Apparel/Shoe | 0.6 | ||||||
Semiconductor Equipment | 0.6 | ||||||
Machinery-General Industrial | 0.6 | ||||||
Water | 0.5 | ||||||
Diversified Manufacturing Operations | 0.5 | ||||||
Finance-Investment Banker/Broker | 0.5 | ||||||
Consulting Services | 0.5 | ||||||
Computer Services | 0.5 | ||||||
Medical Information Systems | 0.5 | ||||||
Data Processing/Management | 0.5 | ||||||
Energy-Alternate Sources | 0.5 | ||||||
Semiconductor Components-Integrated Circuits | 0.5 |
Power Converter/Supply Equipment | 0.5 | % | |||||
Rubber/Plastic Products | 0.5 | ||||||
Schools | 0.5 | ||||||
Transport-Truck | 0.4 | ||||||
Apparel Manufacturers | 0.4 | ||||||
Television | 0.4 | ||||||
Repurchase Agreements | 0.4 | ||||||
Gas-Distribution | 0.4 | ||||||
Pastoral & Agricultural | 0.4 | ||||||
Footwear & Related Apparel | 0.4 | ||||||
Appliances | 0.4 | ||||||
Medical-Outpatient/Home Medical | 0.4 | ||||||
Medical Instruments | 0.4 | ||||||
Coal | 0.4 | ||||||
Commercial Services | 0.4 | ||||||
Oil Field Machinery & Equipment | 0.4 | ||||||
Auto-Truck Trailers | 0.4 | ||||||
Medical-HMO | 0.3 | ||||||
Batteries/Battery Systems | 0.3 | ||||||
Transport-Services | 0.3 | ||||||
Insurance-Life/Health | 0.3 | ||||||
E-Services/Consulting | 0.3 | ||||||
Retail-Sporting Goods | 0.3 | ||||||
Therapeutics | 0.3 | ||||||
Building-Heavy Construction | 0.3 | ||||||
Audio/Video Products | 0.3 | ||||||
Electronic Parts Distribution | 0.3 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.3 | ||||||
Financial Guarantee Insurance | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Telecom Services | 0.3 | ||||||
Airlines | 0.3 | ||||||
Internet Connectivity Services | 0.3 | ||||||
Electronic Measurement Instruments | �� | 0.3 | |||||
X-Ray Equipment | 0.3 | ||||||
Home Furnishings | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Building Products-Doors & Windows | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Machinery-Pumps | 0.2 | ||||||
Food-Wholesale/Distribution | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Printing-Commercial | 0.2 | ||||||
Retail-Home Furnishings | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Electronics-Military | 0.2 | ||||||
Disposable Medical Products | 0.2 | ||||||
Metal Processors & Fabrication | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Cosmetics & Toiletries | 0.2 | ||||||
Telecom Equipment-Fiber Optics | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Insurance-Multi-line | 0.2 | ||||||
Medical-Wholesale Drug Distribution | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Building-Maintenance & Services | 0.1 |
191
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Diagnostic Kits | 0.1 | % | |||||
Metal Products-Distribution | 0.1 | ||||||
Linen Supply & Related Items | 0.1 | ||||||
Transport-Marine | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Poultry | 0.1 | ||||||
Tobacco | 0.1 | ||||||
Electric-Generation | 0.1 | ||||||
Banks-Mortgage | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Auto Repair Centers | 0.1 | ||||||
Identification Systems | 0.1 | ||||||
Instruments-Controls | 0.1 | ||||||
Office Furnishings-Original | 0.1 | ||||||
Dental Supplies & Equipment | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Medical-Nursing Homes | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Oil & Gas Drilling | 0.1 | ||||||
Retail-Office Supplies | 0.1 | ||||||
Vitamins & Nutrition Products | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Communications Software | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Internet Telephone | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Beverages-Non-alcoholic | 0.1 | ||||||
Medical Imaging Systems | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Golf | 0.1 | ||||||
Electronic Security Devices | 0.1 | ||||||
Physical Therapy/Rehabilitation Centers | 0.1 | ||||||
Storage/Warehousing | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Retail-Pawn Shops | 0.1 | ||||||
Wire & Cable Products | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Banks-Super Regional | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Rubber-Tires | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Circuit Boards | 0.1 |
Agricultural Operations | 0.1 | % | |||||
Retail-Bookstores | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
99.1 | % |
* Calculated as a percentage of net assets
192
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.7% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Haynes International, Inc. | 1,376 | $ | 49,316 | ||||||||
Aerospace/Defense — 0.1% | |||||||||||
AeroVironment, Inc.† | 2,373 | 127,098 | |||||||||
National Presto Industries, Inc. | 554 | 49,356 | |||||||||
Park Aerospace Corp. | 2,141 | 37,596 | |||||||||
214,050 | |||||||||||
Aerospace/Defense-Equipment — 1.6% | |||||||||||
AAR Corp. | 3,625 | 149,386 | |||||||||
Aerojet Rocketdyne Holdings, Inc.† | 7,960 | 402,060 | |||||||||
Barnes Group, Inc. | 5,233 | 269,709 | |||||||||
HEICO Corp. | 20,624 | 2,575,525 | |||||||||
Kaman Corp. | 3,065 | 182,245 | |||||||||
Moog, Inc., Class A | 5,174 | 419,715 | |||||||||
Triumph Group, Inc. | 5,505 | 125,954 | |||||||||
4,124,594 | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Andersons, Inc. | 3,585 | 80,412 | |||||||||
Phibro Animal Health Corp., Class A | 2,231 | 47,587 | |||||||||
127,999 | |||||||||||
Airlines — 0.3% | |||||||||||
Allegiant Travel Co. | 1,452 | 217,306 | |||||||||
Hawaiian Holdings, Inc. | 5,200 | 136,552 | |||||||||
SkyWest, Inc. | 5,600 | 321,440 | |||||||||
675,298 | |||||||||||
Apparel Manufacturers — 0.4% | |||||||||||
Deckers Outdoor Corp.† | 5,500 | 810,480 | |||||||||
Kontoor Brands, Inc. | 5,129 | 180,028 | |||||||||
Oxford Industries, Inc. | 1,872 | 134,222 | |||||||||
1,124,730 | |||||||||||
Appliances — 0.4% | |||||||||||
Hamilton Beach Brands Holding Co., Class A | 2,100 | 33,957 | |||||||||
iRobot Corp.† | 15,746 | 971,056 | |||||||||
1,005,013 | |||||||||||
Applications Software — 0.7% | |||||||||||
Brightcove, Inc.† | 18,700 | 195,976 | |||||||||
Cloudflare, Inc., Class A† | 1,900 | 35,283 | |||||||||
Ebix, Inc. | 2,448 | 103,061 | |||||||||
PDF Solutions, Inc.† | 3,068 | 40,099 | |||||||||
RealPage, Inc.† | 21,127 | 1,328,043 | |||||||||
1,702,462 | |||||||||||
Athletic Equipment — 1.0% | |||||||||||
Fox Factory Holding Corp.† | 38,036 | 2,367,360 | |||||||||
Vista Outdoor, Inc.† | 6,351 | 39,313 | |||||||||
2,406,673 | |||||||||||
Audio/Video Products — 0.3% | |||||||||||
Daktronics, Inc. | 4,103 | 30,301 | |||||||||
Sonos, Inc.† | 46,800 | 627,588 | |||||||||
Universal Electronics, Inc.† | 1,526 | 77,673 | |||||||||
735,562 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto Repair Centers — 0.1% | |||||||||||
Monro, Inc. | 3,654 | $ | 288,703 | ||||||||
Auto-Truck Trailers — 0.4% | |||||||||||
Wabash National Corp. | 61,589 | 893,656 | |||||||||
Auto/Truck Parts & Equipment-Original — 1.4% | |||||||||||
American Axle & Manufacturing Holdings, Inc.† | 12,369 | 101,673 | |||||||||
Cooper-Standard Holdings, Inc.† | 1,859 | 75,996 | |||||||||
Dorman Products, Inc.† | 24,591 | 1,955,968 | |||||||||
Garrett Motion, Inc.† | 8,206 | 81,732 | |||||||||
Gentherm, Inc.† | 13,227 | 543,431 | |||||||||
Meritor, Inc.† | 9,000 | 166,500 | |||||||||
Methode Electronics, Inc. | 4,079 | 137,218 | |||||||||
Stoneridge, Inc.† | 17,000 | 526,490 | |||||||||
Telenav, Inc.† | 8,400 | 40,152 | |||||||||
Titan International, Inc. | 5,492 | 14,828 | |||||||||
3,643,988 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.3% | |||||||||||
Douglas Dynamics, Inc. | 12,300 | 548,211 | |||||||||
Motorcar Parts of America, Inc.† | 2,077 | 35,101 | |||||||||
Standard Motor Products, Inc. | 2,209 | 107,247 | |||||||||
690,559 | |||||||||||
B2B/E-Commerce — 1.0% | |||||||||||
ePlus, Inc.† | 31,634 | 2,407,031 | |||||||||
Banks-Commercial — 6.5% | |||||||||||
1st Source Corp. | 2,740 | 125,300 | |||||||||
Allegiance Bancshares, Inc.† | 19,712 | 632,558 | |||||||||
Ameris Bancorp | 7,186 | 289,165 | |||||||||
Atlantic Union Bankshares Corp. | 2,163 | 80,561 | |||||||||
BancFirst Corp. | 8,300 | 459,986 | |||||||||
BancorpSouth Bank | 11,200 | 331,632 | |||||||||
Banner Corp. | 12,502 | 702,237 | |||||||||
Cadence BanCorp | 14,854 | 260,539 | |||||||||
Cathay General Bancorp | 4,400 | 152,834 | |||||||||
Central Pacific Financial Corp. | 16,740 | 475,416 | |||||||||
Central Valley Community Bancorp | 1,000 | 20,350 | |||||||||
City Holding Co. | 1,803 | 137,479 | |||||||||
Columbia Banking System, Inc. | 18,921 | 698,185 | |||||||||
Community Bank System, Inc. | 5,674 | 350,029 | |||||||||
Customers Bancorp, Inc.† | 3,159 | 65,518 | |||||||||
CVB Financial Corp. | 32,741 | 683,305 | |||||||||
Eagle Bancorp, Inc. | 3,799 | 169,511 | |||||||||
Enterprise Financial Services Corp. | 2,600 | 105,950 | |||||||||
First BanCorp./Puerto Rico | 23,898 | 238,502 | |||||||||
First Commonwealth Financial Corp. | 29,132 | 386,873 | |||||||||
First Community Bankshares, Inc. | 1,200 | 38,844 | |||||||||
First Financial Bancorp | 10,840 | 265,309 | |||||||||
First Hawaiian, Inc. | 3,900 | 104,130 | |||||||||
First Interstate BancSystem, Inc., Class A | 2,800 | 112,672 | |||||||||
First Midwest Bancorp, Inc. | 12,149 | 236,662 | |||||||||
Franklin Financial Network, Inc. | 1,464 | 44,227 | |||||||||
Glacier Bancorp, Inc. | 9,420 | 381,133 | |||||||||
Great Western Bancorp, Inc. | 7,562 | 249,546 | |||||||||
Hanmi Financial Corp. | 3,401 | 63,871 | |||||||||
Heritage Financial Corp. | 4,056 | 109,350 |
193
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Home BancShares, Inc. | 65,240 | $ | 1,226,186 | ||||||||
HomeStreet, Inc.† | 2,683 | 73,300 | |||||||||
Hope Bancorp, Inc. | 22,891 | 328,257 | |||||||||
IBERIABANK Corp. | 1,600 | 120,864 | |||||||||
Independent Bank Corp./ Massachusetts | 4,379 | 326,892 | |||||||||
Independent Bank Corp./Michigan | 5,200 | 110,838 | |||||||||
LegacyTexas Financial Group, Inc. | 5,370 | 233,756 | |||||||||
Meta Financial Group, Inc. | 3,832 | 124,962 | |||||||||
NBT Bancorp, Inc. | 4,814 | 176,144 | |||||||||
OFG Bancorp | 5,647 | 123,669 | |||||||||
Old National Bancorp | 18,940 | 325,863 | |||||||||
Opus Bank | 2,392 | 52,074 | |||||||||
PacWest Bancorp | 3,000 | 109,020 | |||||||||
Preferred Bank | 1,531 | 80,194 | |||||||||
S&T Bancorp, Inc. | 3,787 | 138,339 | |||||||||
Seacoast Banking Corp. of Florida† | 5,659 | 143,229 | |||||||||
ServisFirst Bancshares, Inc. | 5,063 | 167,838 | |||||||||
Simmons First National Corp., Class A | 15,796 | 393,320 | |||||||||
South State Corp. | 600 | 45,180 | |||||||||
Southside Bancshares, Inc. | 3,489 | 119,010 | |||||||||
TCF Financial Corp. | 5,738 | 218,446 | |||||||||
Tompkins Financial Corp. | 1,361 | 110,418 | |||||||||
Triumph Bancorp, Inc.† | 2,651 | 84,540 | |||||||||
TrustCo Bank Corp. | 10,657 | 86,855 | |||||||||
Trustmark Corp. | 27,400 | 934,614 | |||||||||
UMB Financial Corp. | 2,700 | 174,366 | |||||||||
United Bankshares, Inc. | 8,000 | 302,960 | |||||||||
United Community Banks, Inc. | 8,696 | 246,532 | |||||||||
Veritex Holdings, Inc. | 38,460 | 933,232 | |||||||||
Webster Financial Corp. | 2,600 | 121,862 | |||||||||
West Bancorporation, Inc. | 1,750 | 38,045 | |||||||||
Westamerica Bancorporation | 13,167 | 818,724 | |||||||||
16,461,203 | |||||||||||
Banks-Mortgage — 0.1% | |||||||||||
Flagstar Bancorp, Inc. | 3,106 | 116,009 | |||||||||
Walker & Dunlop, Inc. | 3,143 | 175,788 | |||||||||
291,797 | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
National Bank Holdings Corp., Class A | 4,424 | 151,257 | |||||||||
Batteries/Battery Systems — 0.3% | |||||||||||
EnerSys | 12,621 | 832,229 | |||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Coca-Cola Consolidated, Inc. | 510 | 154,974 | |||||||||
National Beverage Corp. | 1,282 | 56,869 | |||||||||
211,843 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
MGP Ingredients, Inc. | 1,460 | 72,533 | |||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Hemisphere Media Group, Inc.† | 11,500 | 140,530 | |||||||||
Building & Construction Products-Misc. — 1.0% | |||||||||||
American Woodmark Corp.† | 1,712 | 152,214 | |||||||||
Builders FirstSource, Inc.† | 20,100 | 413,558 |
Security Description | Shares | Value (Note 2) | |||||||||
Building & Construction Products-Misc. (continued) | |||||||||||
Gibraltar Industries, Inc.† | 3,544 | $ | 162,811 | ||||||||
Louisiana-Pacific Corp. | 7,900 | 194,182 | |||||||||
Patrick Industries, Inc.† | 29,991 | 1,286,014 | |||||||||
Simpson Manufacturing Co., Inc. | 4,471 | 310,153 | |||||||||
2,518,932 | |||||||||||
Building & Construction-Misc. — 1.2% | |||||||||||
Comfort Systems USA, Inc. | 9,753 | 431,375 | |||||||||
EMCOR Group, Inc. | 13,525 | 1,164,773 | |||||||||
MYR Group, Inc.† | 7,230 | 226,227 | |||||||||
NV5 Global, Inc.† | 11,128 | 759,709 | |||||||||
TopBuild Corp.† | 3,770 | 363,541 | |||||||||
2,945,625 | |||||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
AAON, Inc. | 4,470 | 205,352 | |||||||||
Building Products-Cement — 0.2% | |||||||||||
Continental Building Products, Inc.† | 14,700 | 401,163 | |||||||||
US Concrete, Inc.† | 1,740 | 96,187 | |||||||||
497,350 | |||||||||||
Building Products-Doors & Windows — 0.2% | |||||||||||
Apogee Enterprises, Inc. | 2,916 | 113,695 | |||||||||
Griffon Corp. | 4,683 | 98,202 | |||||||||
Masonite International Corp.† | 5,200 | 301,600 | |||||||||
PGT Innovations, Inc.† | 6,443 | 111,271 | |||||||||
624,768 | |||||||||||
Building Products-Wood — 1.1% | |||||||||||
Boise Cascade Co. | 9,186 | 299,372 | |||||||||
Universal Forest Products, Inc. | 60,455 | 2,410,945 | |||||||||
2,710,317 | |||||||||||
Building-Heavy Construction — 0.3% | |||||||||||
Aegion Corp.† | 3,397 | 72,628 | |||||||||
Arcosa, Inc. | 5,321 | 182,031 | |||||||||
MasTec, Inc.† | 5,800 | 376,594 | |||||||||
Sterling Construction Co., Inc.† | 8,000 | 105,200 | |||||||||
736,453 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ABM Industries, Inc. | 10,104 | 366,977 | |||||||||
Building-Mobile Home/Manufactured Housing — 1.8% | |||||||||||
Cavco Industries, Inc.† | 9,567 | 1,837,725 | |||||||||
LCI Industries | 26,875 | 2,468,469 | |||||||||
Winnebago Industries, Inc. | 3,477 | 133,343 | |||||||||
4,439,537 | |||||||||||
Building-Residential/Commercial — 1.9% | |||||||||||
Century Communities, Inc.† | 2,879 | 88,184 | |||||||||
Installed Building Products, Inc.† | 32,675 | 1,873,585 | |||||||||
KB Home | 28,900 | 982,600 | |||||||||
LGI Homes, Inc.† | 2,195 | 182,887 | |||||||||
M/I Homes, Inc.† | 3,037 | 114,343 | |||||||||
MDC Holdings, Inc. | 5,451 | 234,938 | |||||||||
Meritage Homes Corp.† | 3,957 | 278,375 | |||||||||
TRI Pointe Group, Inc.† | 67,500 | 1,015,200 | |||||||||
William Lyon Homes, Class A† | 3,631 | 73,927 | |||||||||
4,844,039 |
194
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
WideOpenWest, Inc.† | 23,000 | $ | 141,680 | ||||||||
Capacitors — 0.0% | |||||||||||
KEMET Corp. | 6,381 | 116,007 | |||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 7,300 | 174,835 | |||||||||
Cellular Telecom — 0.0% | |||||||||||
ATN International, Inc. | 1,197 | 69,869 | |||||||||
Chemicals-Diversified — 0.3% | |||||||||||
AdvanSix, Inc.† | 3,059 | 78,677 | |||||||||
Innophos Holdings, Inc. | 2,165 | 70,276 | |||||||||
Innospec, Inc. | 2,693 | 240,054 | |||||||||
Koppers Holdings, Inc.† | 2,274 | 66,424 | |||||||||
Quaker Chemical Corp. | 1,418 | 224,242 | |||||||||
679,673 | |||||||||||
Chemicals-Fibers — 0.0% | |||||||||||
Rayonier Advanced Materials, Inc. | 5,495 | 23,793 | |||||||||
Chemicals-Other — 0.0% | |||||||||||
American Vanguard Corp. | 2,923 | 45,891 | |||||||||
Chemicals-Plastics — 0.0% | |||||||||||
A. Schulman, Inc. CVR†(1) | 3,640 | 1,086 | |||||||||
PolyOne Corp. | 2,100 | 68,565 | |||||||||
69,651 | |||||||||||
Chemicals-Specialty — 1.5% | |||||||||||
Balchem Corp. | 23,751 | 2,355,862 | |||||||||
Ferro Corp.† | 9,010 | 106,859 | |||||||||
GCP Applied Technologies, Inc.† | 5,914 | 113,845 | |||||||||
H.B. Fuller Co. | 5,599 | 260,689 | |||||||||
Hawkins, Inc. | 1,044 | 44,370 | |||||||||
Kraton Corp.† | 3,487 | 112,595 | |||||||||
Materion Corp. | 2,243 | 137,630 | |||||||||
Minerals Technologies, Inc. | 3,700 | 196,433 | |||||||||
Rogers Corp.† | 2,041 | 279,025 | |||||||||
Stepan Co. | 2,208 | 214,309 | |||||||||
3,821,617 | |||||||||||
Circuit Boards — 0.1% | |||||||||||
TTM Technologies, Inc.† | 10,789 | 131,572 | |||||||||
Coal — 0.4% | |||||||||||
Arch Coal, Inc., Class A | 4,200 | 311,640 | |||||||||
CONSOL Energy, Inc.† | 2,999 | 46,874 | |||||||||
Peabody Energy Corp. | 8,400 | 123,648 | |||||||||
SunCoke Energy, Inc.† | 10,030 | 56,569 | |||||||||
Warrior Met Coal, Inc. | 19,971 | 389,834 | |||||||||
928,565 | |||||||||||
Commercial Services — 0.4% | |||||||||||
Care.com, Inc.† | 3,099 | 32,385 | |||||||||
Forrester Research, Inc. | 1,163 | 37,379 | |||||||||
Harsco Corp.† | 12,728 | 241,323 | |||||||||
HMS Holdings Corp.† | 9,606 | 331,071 | |||||||||
Medifast, Inc. | 2,002 | 207,467 | |||||||||
Team, Inc.† | 3,331 | 60,124 | |||||||||
909,749 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 0.9% | |||||||||||
Cardtronics PLC, Class A† | 4,035 | $ | 122,019 | ||||||||
Euronet Worldwide, Inc.† | 900 | 131,670 | |||||||||
EVERTEC, Inc. | 6,565 | 204,959 | |||||||||
Green Dot Corp., Class A† | 2,300 | 58,075 | |||||||||
WEX, Inc.† | 8,960 | 1,810,547 | |||||||||
2,327,270 | |||||||||||
Communications Software — 0.1% | |||||||||||
Avaya Holdings Corp.† | 22,200 | 227,106 | |||||||||
Computer Aided Design — 0.1% | |||||||||||
Aspen Technology, Inc.† | 2,350 | 289,238 | |||||||||
Computer Data Security — 0.2% | |||||||||||
OneSpan, Inc.† | 3,593 | 52,099 | |||||||||
Qualys, Inc.† | 7,511 | 567,606 | |||||||||
619,705 | |||||||||||
Computer Graphics — 0.0% | |||||||||||
Monotype Imaging Holdings, Inc. | 4,543 | 89,997 | |||||||||
Computer Services — 0.5% | |||||||||||
CACI International, Inc., Class A† | 1,350 | 312,201 | |||||||||
ExlService Holdings, Inc.† | 3,758 | 251,636 | |||||||||
Insight Enterprises, Inc.† | 6,536 | 363,990 | |||||||||
Sykes Enterprises, Inc.† | 4,254 | 130,343 | |||||||||
TTEC Holdings, Inc. | 1,585 | 75,890 | |||||||||
Unisys Corp.† | 7,694 | 57,166 | |||||||||
Virtusa Corp.† | 3,326 | 119,802 | |||||||||
1,311,028 | |||||||||||
Computer Software — 1.4% | |||||||||||
Box, Inc., Class A† | 15,100 | 250,056 | |||||||||
Dynatrace, Inc.† | 11,600 | 216,572 | |||||||||
Envestnet, Inc.† | 35,181 | 1,994,763 | |||||||||
j2 Global, Inc. | 3,800 | 345,116 | |||||||||
TiVo Corp. | 88,932 | 677,217 | |||||||||
3,483,724 | |||||||||||
Computers-Integrated Systems — 0.8% | |||||||||||
Agilysys, Inc.† | 2,239 | 57,341 | |||||||||
Cubic Corp. | 24,716 | 1,740,748 | |||||||||
Diebold Nixdorf, Inc.† | 8,440 | 94,528 | |||||||||
MTS Systems Corp. | 1,977 | 109,229 | |||||||||
2,001,846 | |||||||||||
Computers-Other — 0.0% | |||||||||||
3D Systems Corp.† | 12,993 | 105,893 | |||||||||
Consulting Services — 0.5% | |||||||||||
FTI Consulting, Inc.† | 4,128 | 437,527 | |||||||||
Huron Consulting Group, Inc.† | 10,900 | 668,606 | |||||||||
Kelly Services, Inc., Class A | 3,647 | 88,330 | |||||||||
Navigant Consulting, Inc. | 4,211 | 117,697 | |||||||||
1,312,160 | |||||||||||
Consumer Products-Misc. — 1.2% | |||||||||||
Central Garden & Pet Co.† | 1,135 | 33,176 | |||||||||
Central Garden & Pet Co., Class A† | 4,544 | 125,982 | |||||||||
Helen of Troy, Ltd.† | 16,175 | 2,550,151 | |||||||||
Quanex Building Products Corp. | 3,747 | 67,754 | |||||||||
WD-40 Co. | 1,510 | 277,145 | |||||||||
3,054,208 |
195
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging Holding Co. | 5,900 | $ | 87,025 | ||||||||
Matthews International Corp., Class A | 3,463 | 122,556 | |||||||||
209,581 | |||||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
Avon Products, Inc.† | 48,753 | 214,513 | |||||||||
Edgewell Personal Care Co.† | 2,400 | 77,976 | |||||||||
Inter Parfums, Inc. | 1,937 | 135,532 | |||||||||
428,021 | |||||||||||
Data Processing/Management — 0.5% | |||||||||||
Bottomline Technologies, Inc.† | 4,199 | 165,231 | |||||||||
CommVault Systems, Inc.† | 21,300 | 952,323 | |||||||||
CSG Systems International, Inc. | 3,630 | 187,598 | |||||||||
1,305,152 | |||||||||||
Dental Supplies & Equipment — 0.1% | |||||||||||
Patterson Cos., Inc. | 15,400 | 274,428 | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Adaptive Biotechnologies Corp.† | 3,300 | 101,970 | |||||||||
BioTelemetry, Inc.† | 3,727 | 151,801 | |||||||||
253,771 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
Genomic Health, Inc.† | 2,378 | 161,276 | |||||||||
Meridian Bioscience, Inc. | 16,097 | 152,761 | |||||||||
OraSure Technologies, Inc.† | 6,788 | 50,706 | |||||||||
364,743 | |||||||||||
Disposable Medical Products — 0.2% | |||||||||||
CONMED Corp. | 3,111 | 299,123 | |||||||||
Merit Medical Systems, Inc.† | 6,068 | 184,831 | |||||||||
483,954 | |||||||||||
Distribution/Wholesale — 1.0% | |||||||||||
Anixter International, Inc.† | 3,301 | 228,165 | |||||||||
Core-Mark Holding Co., Inc. | 9,745 | 312,961 | |||||||||
Fossil Group, Inc.† | 26,806 | 335,343 | |||||||||
G-III Apparel Group, Ltd.† | 4,725 | 121,763 | |||||||||
H&E Equipment Services, Inc. | 40,131 | 1,158,180 | |||||||||
ScanSource, Inc.† | 2,776 | 84,807 | |||||||||
Titan Machinery, Inc.† | 8,800 | 126,192 | |||||||||
Veritiv Corp.† | 5,099 | 92,190 | |||||||||
2,459,601 | |||||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
Actuant Corp., Class A | 6,815 | 149,521 | |||||||||
EnPro Industries, Inc. | 4,865 | 333,982 | |||||||||
Fabrinet† | 9,053 | 473,472 | |||||||||
Federal Signal Corp. | 6,637 | 217,295 | |||||||||
LSB Industries, Inc.† | 2,406 | 12,463 | |||||||||
Lydall, Inc.† | 1,928 | 48,027 | |||||||||
Standex International Corp. | 1,370 | 99,928 | |||||||||
1,334,688 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Livent Corp.† | 16,053 | 107,395 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Operations/Commercial Services — 0.8% | |||||||||||
Colliers International Group, Inc. | 24,676 | $ | 1,851,934 | ||||||||
Viad Corp. | 2,234 | 150,013 | |||||||||
2,001,947 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Assertio Therapeutics, Inc.† | 7,093 | 9,079 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Etsy, Inc.† | 1,300 | 73,450 | |||||||||
E-Commerce/Services — 0.3% | |||||||||||
Groupon, Inc.† | 26,600 | 70,756 | |||||||||
Shutterstock, Inc.† | 2,096 | 75,707 | |||||||||
Stamps.com, Inc.† | 6,593 | 490,849 | |||||||||
637,312 | |||||||||||
E-Marketing/Info — 0.1% | |||||||||||
Liquidity Services, Inc.† | 2,960 | 21,904 | |||||||||
New Media Investment Group, Inc. | 13,151 | 115,860 | |||||||||
QuinStreet, Inc.† | 5,044 | 63,504 | |||||||||
201,268 | |||||||||||
E-Services/Consulting — 0.3% | |||||||||||
Perficient, Inc.† | 20,812 | 802,927 | |||||||||
Electric Products-Misc. — 0.0% | |||||||||||
Graham Corp. | 1,800 | 35,748 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Spark Energy, Inc., Class A | 13,800 | 145,590 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Atlantic Power Corp.† | 128,000 | 299,520 | |||||||||
Electric-Integrated — 0.7% | |||||||||||
Avista Corp. | 7,270 | 352,159 | |||||||||
Black Hills Corp. | 4,100 | 314,593 | |||||||||
El Paso Electric Co. | 4,486 | 300,921 | |||||||||
IDACORP, Inc. | 800 | 90,136 | |||||||||
PNM Resources, Inc. | 3,900 | 203,112 | |||||||||
Portland General Electric Co. | 8,900 | 501,693 | |||||||||
1,762,614 | |||||||||||
Electronic Components-Misc. — 0.8% | |||||||||||
Advanced Energy Industries, Inc.† | 4,213 | 241,868 | |||||||||
Applied Optoelectronics, Inc.† | 2,092 | 23,472 | |||||||||
Bel Fuse, Inc., Class B | 1,115 | 16,759 | |||||||||
Benchmark Electronics, Inc. | 6,738 | 195,806 | |||||||||
Comtech Telecommunications Corp. | 2,654 | 86,255 | |||||||||
Knowles Corp.† | 9,419 | 191,583 | |||||||||
OSI Systems, Inc.† | 7,463 | 757,942 | |||||||||
Plexus Corp.† | 3,220 | 201,282 | |||||||||
Sanmina Corp.† | 7,654 | 245,770 | |||||||||
SMART Global Holdings, Inc.† | 1,447 | 36,870 | |||||||||
1,997,607 | |||||||||||
Electronic Components-Semiconductors — 1.1% | |||||||||||
Amkor Technology, Inc.† | 47,700 | 434,070 | |||||||||
CEVA, Inc.† | 2,415 | 72,112 | |||||||||
CTS Corp. | 3,593 | 116,270 | |||||||||
Diodes, Inc.† | 4,542 | 182,361 | |||||||||
DSP Group, Inc.† | 2,521 | 35,508 | |||||||||
Photronics, Inc.† | 7,390 | 80,403 | |||||||||
Rambus, Inc.† | 74,721 | 980,713 |
196
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Rudolph Technologies, Inc.† | 3,422 | $ | 90,204 | ||||||||
Synaptics, Inc.† | 8,000 | 319,600 | |||||||||
Xperi Corp. | 24,526 | 507,198 | |||||||||
2,818,439 | |||||||||||
Electronic Measurement Instruments — 0.3% | |||||||||||
Badger Meter, Inc. | 3,202 | 171,947 | |||||||||
FARO Technologies, Inc.† | 1,907 | 92,203 | |||||||||
Itron, Inc.† | 3,862 | 285,634 | |||||||||
Mesa Laboratories, Inc. | 441 | 104,857 | |||||||||
654,641 | |||||||||||
Electronic Parts Distribution — 0.3% | |||||||||||
Tech Data Corp.† | 7,000 | 729,680 | |||||||||
Electronic Security Devices — 0.1% | |||||||||||
Alarm.com Holdings, Inc.† | 3,999 | 186,513 | |||||||||
Electronics-Military — 0.2% | |||||||||||
Mercury Systems, Inc.† | 6,100 | 495,137 | |||||||||
Energy-Alternate Sources — 0.5% | |||||||||||
FutureFuel Corp. | 12,838 | 153,286 | |||||||||
Green Plains, Inc. | 3,947 | 41,818 | |||||||||
Renewable Energy Group, Inc.† | 8,984 | 134,805 | |||||||||
REX American Resources Corp.† | 6,291 | 480,192 | |||||||||
SolarEdge Technologies, Inc.† | 5,275 | 441,623 | |||||||||
1,251,724 | |||||||||||
Engineering/R&D Services — 1.3% | |||||||||||
Exponent, Inc. | 45,822 | 3,202,958 | |||||||||
KBR, Inc. | 4,100 | 100,614 | |||||||||
VSE Corp. | 2,400 | 81,816 | |||||||||
3,385,388 | |||||||||||
Engines-Internal Combustion — 0.0% | |||||||||||
Briggs & Stratton Corp. | 4,625 | 28,027 | |||||||||
Enterprise Software/Service — 2.1% | |||||||||||
ACI Worldwide, Inc.† | 26,000 | 814,450 | |||||||||
Donnelley Financial Solutions, Inc.† | 9,532 | 117,434 | |||||||||
Evolent Health, Inc., Class A† | 34,300 | 246,617 | |||||||||
LivePerson, Inc.† | 6,702 | 239,261 | |||||||||
Manhattan Associates, Inc.† | 2,200 | 177,474 | |||||||||
ManTech International Corp., Class A | 2,948 | 210,517 | |||||||||
MicroStrategy, Inc., Class A† | 1,802 | 267,363 | |||||||||
Omnicell, Inc.† | 16,713 | 1,207,849 | |||||||||
Progress Software Corp. | 4,918 | 187,179 | |||||||||
SPS Commerce, Inc.† | 3,836 | 180,561 | |||||||||
Tyler Technologies, Inc.† | 6,633 | 1,741,162 | |||||||||
5,389,867 | |||||||||||
Filtration/Separation Products — 0.1% | |||||||||||
ESCO Technologies, Inc. | 2,857 | 227,303 | |||||||||
Finance-Auto Loans — 1.4% | |||||||||||
Credit Acceptance Corp.† | 7,685 | 3,545,167 | |||||||||
Finance-Consumer Loans — 0.9% | |||||||||||
Encore Capital Group, Inc.† | 3,040 | 101,308 | |||||||||
Enova International, Inc.† | 3,739 | 77,584 | |||||||||
Nelnet, Inc., Class A | 650 | 41,340 | |||||||||
PRA Group, Inc.† | 59,718 | 2,017,871 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Consumer Loans (continued) | |||||||||||
World Acceptance Corp.† | 696 | $ | 88,747 | ||||||||
2,326,850 | |||||||||||
Finance-Investment Banker/Broker — 0.5% | |||||||||||
Cowen, Inc., Class A† | 3,700 | 56,943 | |||||||||
Diamond Hill Investment Group, Inc. | 5,314 | 734,023 | |||||||||
Greenhill & Co., Inc. | 1,749 | 22,947 | |||||||||
Houlihan Lokey, Inc. | 7,300 | 329,230 | |||||||||
INTL. FCStone, Inc.† | 1,791 | 73,538 | |||||||||
Piper Jaffray Cos. | 1,562 | 117,900 | |||||||||
1,334,581 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
Deluxe Corp. | 5,400 | 265,464 | |||||||||
Financial Guarantee Insurance — 0.3% | |||||||||||
MBIA, Inc.† | 3,200 | 29,536 | |||||||||
MGIC Investment Corp. | 20,900 | 262,922 | |||||||||
NMI Holdings, Inc., Class A† | 10,152 | 266,591 | |||||||||
Radian Group, Inc. | 5,300 | 121,052 | |||||||||
680,101 | |||||||||||
Firearms & Ammunition — 0.0% | |||||||||||
Sturm Ruger & Co., Inc. | 1,827 | 76,296 | |||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 1,755 | 54,721 | |||||||||
Food-Dairy Products — 0.0% | |||||||||||
Dean Foods Co. | 10,106 | 11,723 | |||||||||
Food-Misc./Diversified — 0.3% | |||||||||||
B&G Foods, Inc. | 7,189 | 135,944 | |||||||||
Cal-Maine Foods, Inc. | 3,331 | 133,090 | |||||||||
J&J Snack Foods Corp. | 1,637 | 314,304 | |||||||||
John B. Sanfilippo & Son, Inc. | 967 | 93,412 | |||||||||
676,750 | |||||||||||
Food-Wholesale/Distribution — 0.2% | |||||||||||
Calavo Growers, Inc. | 1,799 | 171,229 | |||||||||
Chefs' Warehouse, Inc.† | 2,798 | 112,815 | |||||||||
Fresh Del Monte Produce, Inc. | 3,350 | 114,268 | |||||||||
Grocery Outlet Holding Corp.† | 2,200 | 76,296 | |||||||||
SpartanNash Co. | 3,996 | 47,273 | |||||||||
United Natural Foods, Inc.† | 5,796 | 66,770 | |||||||||
588,651 | |||||||||||
Footwear & Related Apparel — 0.4% | |||||||||||
Crocs, Inc.† | 15,690 | 435,554 | |||||||||
Steven Madden, Ltd. | 8,585 | 307,257 | |||||||||
Weyco Group, Inc. | 154 | 3,482 | |||||||||
Wolverine World Wide, Inc. | 9,375 | 264,938 | |||||||||
1,011,231 | |||||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Monarch Casino & Resort, Inc.† | 1,310 | 54,614 | |||||||||
Gas-Distribution — 0.4% | |||||||||||
New Jersey Resources Corp. | 800 | 36,222 | |||||||||
Northwest Natural Holding Co. | 4,648 | 331,588 | |||||||||
ONE Gas, Inc. | 1,038 | 99,850 | |||||||||
South Jersey Industries, Inc. | 10,160 | 334,366 | |||||||||
Southwest Gas Holdings, Inc. | 2,600 | 236,704 | |||||||||
1,038,730 |
197
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Golf — 0.1% | |||||||||||
Callaway Golf Co. | 10,347 | $ | 200,835 | ||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
US Ecology, Inc. | 2,429 | 155,310 | |||||||||
Health Care Cost Containment — 0.0% | |||||||||||
CorVel Corp.† | 995 | 75,321 | |||||||||
Home Furnishings — 0.3% | |||||||||||
Ethan Allen Interiors, Inc. | 2,690 | 51,379 | |||||||||
Sleep Number Corp.† | 14,225 | 587,777 | |||||||||
639,156 | |||||||||||
Hotels/Motels — 0.1% | |||||||||||
Marcus Corp. | 2,528 | 93,561 | |||||||||
Red Lion Hotels Corp.† | 9,300 | 60,264 | |||||||||
153,825 | |||||||||||
Housewares — 0.0% | |||||||||||
Tupperware Brands Corp. | 5,366 | 85,158 | |||||||||
Human Resources — 4.5% | |||||||||||
AMN Healthcare Services, Inc.† | 47,519 | 2,735,194 | |||||||||
ASGN, Inc.† | 38,779 | 2,437,648 | |||||||||
Barrett Business Services, Inc. | 8,596 | 763,497 | |||||||||
Cross Country Healthcare, Inc.† | 24,757 | 254,997 | |||||||||
Heidrick & Struggles International, Inc. | 3,304 | 90,199 | |||||||||
Insperity, Inc. | 26,939 | 2,656,724 | |||||||||
Kforce, Inc. | 7,200 | 272,412 | |||||||||
Korn Ferry | 13,356 | 516,076 | |||||||||
Resources Connection, Inc. | 3,292 | 55,931 | |||||||||
TrueBlue, Inc.† | 12,606 | 265,987 | |||||||||
Willdan Group, Inc.† | 35,468 | 1,244,217 | |||||||||
11,292,882 | |||||||||||
Identification Systems — 0.1% | |||||||||||
Brady Corp., Class A | 5,439 | 288,539 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy, Inc., Class A | 4,900 | 84,966 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Ichor Holdings, Ltd.† | 2,468 | 59,676 | |||||||||
Instruments-Controls — 0.1% | |||||||||||
Watts Water Technologies, Inc., Class A | 3,040 | 284,939 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
eHealth, Inc.† | 2,207 | 147,406 | |||||||||
Insurance-Life/Health — 0.3% | |||||||||||
American Equity Investment Life Holding Co. | 10,905 | 263,901 | |||||||||
CNO Financial Group, Inc. | 8,900 | 140,887 | |||||||||
Primerica, Inc. | 3,250 | 413,497 | |||||||||
818,285 | |||||||||||
Insurance-Multi-line — 0.2% | |||||||||||
Horace Mann Educators Corp. | 4,531 | 209,921 | |||||||||
Kemper Corp. | 900 | 70,155 | |||||||||
United Fire Group, Inc. | 2,361 | 110,920 | |||||||||
390,996 |
Security Description | Shares | Value (Note 2) | |||||||||
Insurance-Property/Casualty — 3.4% | |||||||||||
Ambac Financial Group, Inc.† | 5,809 | $ | 113,566 | ||||||||
AMERISAFE, Inc. | 21,036 | 1,390,690 | |||||||||
Employers Holdings, Inc. | 3,510 | 152,966 | |||||||||
First American Financial Corp. | 1,800 | 106,218 | |||||||||
HCI Group, Inc. | 720 | 30,269 | |||||||||
James River Group Holdings, Ltd. | 3,341 | 171,193 | |||||||||
Kinsale Capital Group, Inc. | 4,300 | 444,233 | |||||||||
National General Holdings Corp. | 93,027 | 2,141,482 | |||||||||
ProAssurance Corp. | 5,912 | 238,076 | |||||||||
RLI Corp. | 37,417 | 3,476,414 | |||||||||
Safety Insurance Group, Inc. | 1,607 | 162,837 | |||||||||
Stewart Information Services Corp. | 2,608 | 101,164 | |||||||||
United Insurance Holdings Corp. | 2,282 | 31,925 | |||||||||
Universal Insurance Holdings, Inc. | 3,456 | 103,645 | |||||||||
8,664,678 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Global Indemnity, Ltd. | 1,000 | 24,970 | |||||||||
Third Point Reinsurance, Ltd.† | 11,814 | 118,022 | |||||||||
142,992 | |||||||||||
Internet Connectivity Services — 0.3% | |||||||||||
Cogent Communications Holdings, Inc. | 11,982 | 660,208 | |||||||||
Internet Content-Information/News — 0.2% | |||||||||||
HealthStream, Inc.† | 14,713 | 380,920 | |||||||||
TechTarget, Inc.† | 2,524 | 56,853 | |||||||||
Yelp, Inc.† | 4,200 | 145,950 | |||||||||
583,723 | |||||||||||
Internet Security — 0.1% | |||||||||||
Proofpoint, Inc.† | 1,975 | 254,874 | |||||||||
Internet Telephone — 0.1% | |||||||||||
8x8, Inc.† | 10,919 | 226,242 | |||||||||
Investment Management/Advisor Services — 0.7% | |||||||||||
Artisan Partners Asset Management, Inc., Class A | 35,092 | 990,998 | |||||||||
Blucora, Inc.† | 5,372 | 116,250 | |||||||||
Boston Private Financial Holdings, Inc. | 9,227 | 107,541 | |||||||||
Brightsphere Investment Group, Inc. | 3,300 | 32,703 | |||||||||
Stifel Financial Corp. | 4,950 | 284,031 | |||||||||
Virtus Investment Partners, Inc. | 718 | 79,389 | |||||||||
Waddell & Reed Financial, Inc., Class A | 8,036 | 138,058 | |||||||||
WisdomTree Investments, Inc. | 12,963 | 67,732 | |||||||||
1,816,702 | |||||||||||
Lasers-System/Components — 0.0% | |||||||||||
II-VI, Inc.† | 2,930 | 103,149 | |||||||||
Linen Supply & Related Items — 0.1% | |||||||||||
UniFirst Corp. | 1,689 | 329,558 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Astec Industries, Inc. | 2,478 | 77,066 | |||||||||
Machinery-Electrical — 0.2% | |||||||||||
Bloom Energy Corp. Class A† | 600 | 1,950 | |||||||||
Franklin Electric Co., Inc. | 4,229 | 202,189 | |||||||||
SPX Corp.† | 4,842 | 193,728 | |||||||||
397,867 |
198
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Farming — 1.1% | |||||||||||
Alamo Group, Inc. | 21,800 | $ | 2,566,296 | ||||||||
Lindsay Corp. | 1,186 | 110,120 | |||||||||
2,676,416 | |||||||||||
Machinery-General Industrial — 0.6% | |||||||||||
Albany International Corp., Class A | 3,376 | 304,380 | |||||||||
Applied Industrial Technologies, Inc. | 4,244 | 241,059 | |||||||||
Chart Industries, Inc.† | 3,936 | 245,449 | |||||||||
DXP Enterprises, Inc.† | 7,762 | 269,497 | |||||||||
Kadant, Inc. | 2,400 | 210,696 | |||||||||
Tennant Co. | 2,002 | 141,541 | |||||||||
1,412,622 | |||||||||||
Machinery-Pumps — 0.2% | |||||||||||
CSW Industrials, Inc. | 6,000 | 414,180 | |||||||||
SPX FLOW, Inc.† | 4,681 | 184,712 | |||||||||
598,892 | |||||||||||
Medical Imaging Systems — 0.1% | |||||||||||
Lantheus Holdings, Inc.† | 8,397 | 210,471 | |||||||||
Medical Information Systems — 0.5% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 98,100 | 1,077,138 | |||||||||
Computer Programs & Systems, Inc. | 1,373 | 31,044 | |||||||||
NextGen Healthcare, Inc.† | 5,321 | 83,380 | |||||||||
Tabula Rasa HealthCare, Inc.† | 2,162 | 118,780 | |||||||||
1,310,342 | |||||||||||
Medical Instruments — 0.4% | |||||||||||
AngioDynamics, Inc.† | 19,618 | 361,364 | |||||||||
Natus Medical, Inc.† | 3,747 | 119,304 | |||||||||
NuVasive, Inc.† | 7,100 | 449,998 | |||||||||
930,666 | |||||||||||
Medical Labs & Testing Services — 1.1% | |||||||||||
Medpace Holdings, Inc.† | 31,504 | 2,647,596 | |||||||||
Personalis, Inc.† | 3,700 | 54,298 | |||||||||
2,701,894 | |||||||||||
Medical Laser Systems — 0.0% | |||||||||||
Cutera, Inc.† | 1,558 | 45,540 | |||||||||
Medical Products — 1.0% | |||||||||||
Cardiovascular Systems, Inc.† | 3,878 | 184,283 | |||||||||
CryoLife, Inc.† | 4,123 | 111,939 | |||||||||
Inogen, Inc.† | 2,002 | 95,916 | |||||||||
Integer Holdings Corp.† | 16,215 | 1,225,205 | |||||||||
Invacare Corp. | 3,703 | 27,772 | |||||||||
LeMaitre Vascular, Inc. | 1,790 | 61,182 | |||||||||
Luminex Corp. | 4,607 | 95,135 | |||||||||
Nevro Corp.† | 3,800 | 326,686 | |||||||||
Orthofix Medical, Inc.† | 4,643 | 246,172 | |||||||||
Surmodics, Inc.† | 1,484 | 67,878 | |||||||||
Tactile Systems Technology, Inc.† | 2,086 | 88,280 | |||||||||
2,530,448 | |||||||||||
Medical-Biomedical/Gene — 2.0% | |||||||||||
10X Genomics, Inc., Class A† | 1,400 | 70,560 | |||||||||
ACADIA Pharmaceuticals, Inc.† | 10,100 | 363,499 | |||||||||
Achillion Pharmaceuticals, Inc.† | 26,968 | 97,085 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Acorda Therapeutics, Inc.† | 5,287 | $ | 15,174 | ||||||||
Alder Biopharmaceuticals, Inc.† | 11,600 | 218,776 | |||||||||
AMAG Pharmaceuticals, Inc.† | 4,928 | 56,918 | |||||||||
Amicus Therapeutics, Inc.† | 18,600 | 149,172 | |||||||||
ANI Pharmaceuticals, Inc.† | 1,022 | 74,483 | |||||||||
Arena Pharmaceuticals, Inc.† | 5,730 | 262,262 | |||||||||
Arrowhead Pharmaceuticals, Inc.† | 10,480 | 295,326 | |||||||||
Atara Biotherapeutics, Inc.† | 6,300 | 88,956 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 7,000 | 292,040 | |||||||||
Bluebird Bio, Inc.† | 900 | 82,638 | |||||||||
Bridgebio Pharma, Inc.† | 4,600 | 98,762 | |||||||||
Cambrex Corp.† | 3,705 | 220,448 | |||||||||
CytomX Therapeutics, Inc.† | 6,400 | 47,232 | |||||||||
Eiger BioPharmaceuticals, Inc.† | 16,000 | 164,000 | |||||||||
Emergent BioSolutions, Inc.† | 4,823 | 252,146 | |||||||||
Forty Seven, Inc.† | 11,900 | 76,398 | |||||||||
Homology Medicines, Inc.† | 3,900 | 70,590 | |||||||||
Innoviva, Inc.† | 7,351 | 77,480 | |||||||||
Intercept Pharmaceuticals, Inc.† | 3,650 | 242,214 | |||||||||
Livongo Health, Inc.† | 3,300 | 57,552 | |||||||||
Medicines Co.† | 8,115 | 405,750 | |||||||||
Menlo Therapeutics, Inc.† | 5,100 | 22,848 | |||||||||
Mersana Therapeutics, Inc.† | 38,887 | 61,441 | |||||||||
Myriad Genetics, Inc.† | 11,323 | 324,178 | |||||||||
NeoGenomics, Inc.† | 11,421 | 218,370 | |||||||||
Puma Biotechnology, Inc.† | 4,400 | 47,366 | |||||||||
REGENXBIO, Inc.† | 9,115 | 324,494 | |||||||||
resTORbio, Inc.† | 3,700 | 32,708 | |||||||||
Sangamo Therapeutics, Inc.† | 3,600 | 32,580 | |||||||||
Solid Biosciences, Inc.† | 5,900 | 61,006 | |||||||||
Synlogic, Inc.† | 12,100 | 27,709 | |||||||||
TCR2 Therapeutics, Inc.† | 4,700 | 70,641 | |||||||||
Y-mAbs Therapeutics, Inc.† | 600 | 15,636 | |||||||||
5,018,438 | |||||||||||
Medical-Drugs — 1.7% | |||||||||||
Aimmune Therapeutics, Inc.† | 6,100 | 127,734 | |||||||||
Akorn, Inc.† | 10,404 | 39,535 | |||||||||
Alector, Inc.† | 2,400 | 34,608 | |||||||||
Amphastar Pharmaceuticals, Inc.† | 3,791 | 75,176 | |||||||||
Athenex, Inc.† | 14,900 | 181,258 | |||||||||
Clovis Oncology, Inc.† | 8,500 | 33,405 | |||||||||
Corcept Therapeutics, Inc.† | 11,252 | 159,047 | |||||||||
Cytokinetics, Inc.† | 6,453 | 73,435 | |||||||||
Eagle Pharmaceuticals, Inc.† | 2,612 | 147,761 | |||||||||
Enanta Pharmaceuticals, Inc.† | 1,753 | 105,320 | |||||||||
Global Blood Therapeutics, Inc.† | 6,100 | 295,972 | |||||||||
Gritstone Oncology, Inc.† | 2,800 | 24,178 | |||||||||
Horizon Therapeutics PLC† | 15,300 | 416,619 | |||||||||
Lannett Co., Inc.† | 26,388 | 295,546 | |||||||||
MyoKardia, Inc.† | 6,500 | 338,975 | |||||||||
Pacira BioSciences, Inc.† | 4,579 | 174,323 | |||||||||
Paratek Pharmaceuticals, Inc.† | 14,900 | 64,368 | |||||||||
Prestige Consumer Healthcare, Inc.† | 9,700 | 336,493 | |||||||||
Principia Biopharma, Inc.† | 6,800 | 192,032 | |||||||||
Progenics Pharmaceuticals, Inc.† | 9,504 | 48,043 |
199
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Drugs (continued) | |||||||||||
Protagonist Therapeutics, Inc.† | 14,700 | $ | 176,547 | ||||||||
Reata Pharmaceuticals, Inc., Class A† | 2,768 | 222,243 | |||||||||
Seres Therapeutics, Inc.† | 30,900 | 123,909 | |||||||||
Spectrum Pharmaceuticals, Inc.† | 12,411 | 102,949 | |||||||||
Supernus Pharmaceuticals, Inc.† | 5,768 | 158,505 | |||||||||
Sutro Biopharma, Inc.† | 2,200 | 19,998 | |||||||||
TG Therapeutics, Inc.† | 13,100 | 73,556 | |||||||||
Vanda Pharmaceuticals, Inc.† | 15,359 | 203,967 | |||||||||
Voyager Therapeutics, Inc.† | 10,100 | 173,821 | |||||||||
4,419,323 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Arvinas, Inc.† | 200 | 4,310 | |||||||||
Endo International PLC† | 22,158 | 71,127 | |||||||||
Momenta Pharmaceuticals, Inc.† | 10,855 | 140,681 | |||||||||
216,118 | |||||||||||
Medical-HMO — 0.3% | |||||||||||
Magellan Health, Inc.† | 12,288 | 763,085 | |||||||||
Tivity Health, Inc.† | 4,734 | 78,726 | |||||||||
Triple-S Management Corp., Class B† | 484 | 6,486 | |||||||||
848,297 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
Community Health Systems, Inc.† | 28,882 | 103,975 | |||||||||
Select Medical Holdings Corp.† | 11,931 | 197,697 | |||||||||
Surgery Partners, Inc.† | 7,300 | 53,910 | |||||||||
Tenet Healthcare Corp.† | 4,000 | 88,480 | |||||||||
444,062 | |||||||||||
Medical-Nursing Homes — 0.1% | |||||||||||
Ensign Group, Inc. | 5,519 | 261,766 | |||||||||
Medical-Outpatient/Home Medical — 0.4% | |||||||||||
Addus HomeCare Corp.† | 1,445 | 114,560 | |||||||||
Amedisys, Inc.† | 3,050 | 399,580 | |||||||||
LHC Group, Inc.† | 3,257 | 369,865 | |||||||||
Providence Service Corp.† | 1,270 | 75,514 | |||||||||
959,519 | |||||||||||
Medical-Wholesale Drug Distribution — 0.2% | |||||||||||
Diplomat Pharmacy, Inc.† | 34,338 | 168,256 | |||||||||
Owens & Minor, Inc. | 37,923 | 220,333 | |||||||||
388,589 | |||||||||||
Metal Processors & Fabrication — 0.2% | |||||||||||
AZZ, Inc. | 2,876 | 125,279 | |||||||||
CIRCOR International, Inc.† | 2,189 | 82,197 | |||||||||
LB Foster Co., Class A† | 1,200 | 26,004 | |||||||||
Mueller Industries, Inc. | 6,232 | 178,734 | |||||||||
Tredegar Corp. | 2,714 | 52,977 | |||||||||
465,191 | |||||||||||
Metal Products-Distribution — 0.1% | |||||||||||
Olympic Steel, Inc. | 995 | 14,328 | |||||||||
Worthington Industries, Inc. | 8,800 | 317,240 | |||||||||
331,568 |
Security Description | Shares | Value (Note 2) | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Century Aluminum Co.† | 5,474 | $ | 36,320 | ||||||||
Kaiser Aluminum Corp. | 2,360 | 233,569 | |||||||||
269,889 | |||||||||||
Miscellaneous Manufacturing — 1.0% | |||||||||||
Hillenbrand, Inc. | 16,941 | 523,138 | |||||||||
John Bean Technologies Corp. | 19,918 | 1,980,447 | |||||||||
2,503,585 | |||||||||||
Multimedia — 0.0% | |||||||||||
E.W. Scripps Co., Class A | 5,989 | 79,534 | |||||||||
Networking Products — 0.2% | |||||||||||
Extreme Networks, Inc.† | 50,782 | 369,439 | |||||||||
NeoPhotonics Corp.† | 13,400 | 81,606 | |||||||||
NETGEAR, Inc.† | 3,421 | 110,225 | |||||||||
561,270 | |||||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Pitney Bowes, Inc. | 18,794 | 85,889 | |||||||||
Office Furnishings-Original — 0.1% | |||||||||||
HNI Corp. | 5,300 | 188,150 | |||||||||
Interface, Inc. | 6,426 | 92,791 | |||||||||
280,941 | |||||||||||
Office Supplies & Forms — 0.2% | |||||||||||
ACCO Brands Corp. | 58,600 | 578,382 | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Diamond Offshore Drilling, Inc.† | 7,117 | 39,570 | |||||||||
Nabors Industries, Ltd. | 37,171 | 69,510 | |||||||||
Noble Corp. PLC† | 27,402 | 34,800 | |||||||||
Valaris PLC | 21,760 | 104,666 | |||||||||
248,546 | |||||||||||
Oil Companies-Exploration & Production — 0.6% | |||||||||||
Bonanza Creek Energy, Inc.† | 2,042 | 45,720 | |||||||||
Callon Petroleum Co.† | 25,106 | 108,960 | |||||||||
Carrizo Oil & Gas, Inc.† | 10,178 | 87,378 | |||||||||
Denbury Resources, Inc.† | 51,648 | 61,461 | |||||||||
Gulfport Energy Corp.† | 61,951 | 167,887 | |||||||||
HighPoint Resources Corp.† | 11,996 | 19,074 | |||||||||
Jagged Peak Energy, Inc.† | 6,571 | 47,705 | |||||||||
Laredo Petroleum, Inc.† | 19,847 | 47,831 | |||||||||
PDC Energy, Inc.† | 6,476 | 179,709 | |||||||||
Penn Virginia Corp.† | 1,479 | 42,995 | |||||||||
QEP Resources, Inc. | 26,163 | 96,803 | |||||||||
Range Resources Corp. | 22,944 | 87,646 | |||||||||
Ring Energy, Inc.† | 6,562 | 10,762 | |||||||||
SM Energy Co. | 11,666 | 113,044 | |||||||||
SRC Energy, Inc.† | 26,778 | 124,785 | |||||||||
Unit Corp.† | 6,107 | 20,642 | |||||||||
W&T Offshore, Inc.† | 66,500 | 290,605 | |||||||||
Whiting Petroleum Corp.† | 10,040 | 80,621 | |||||||||
1,633,628 | |||||||||||
Oil Field Machinery & Equipment — 0.4% | |||||||||||
Dril-Quip, Inc.† | 15,582 | 781,905 | |||||||||
Exterran Corp.† | 3,260 | 42,576 | |||||||||
US Silica Holdings, Inc. | 8,092 | 77,359 | |||||||||
901,840 |
200
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Refining & Marketing — 0.7% | |||||||||||
CVR Energy, Inc. | 1,000 | $ | 44,030 | ||||||||
Delek US Holdings, Inc. | 16,600 | 602,580 | |||||||||
Murphy USA, Inc.† | 13,505 | 1,151,976 | |||||||||
Par Pacific Holdings, Inc.† | 4,039 | 92,332 | |||||||||
1,890,918 | |||||||||||
Oil-Field Services — 0.7% | |||||||||||
Archrock, Inc. | 14,039 | 139,969 | |||||||||
C&J Energy Services, Inc.† | 7,261 | 77,911 | |||||||||
DMC Global, Inc. | 1,611 | 70,852 | |||||||||
Era Group, Inc.† | 2,171 | 22,926 | |||||||||
FTS International, Inc.† | 6,900 | 15,456 | |||||||||
Gulf Island Fabrication, Inc.† | 1,391 | 7,442 | |||||||||
Helix Energy Solutions Group, Inc.† | 15,542 | 125,268 | |||||||||
KLX Energy Services Holdings, Inc.† | 2,310 | 19,970 | |||||||||
Matrix Service Co.† | 22,684 | 388,804 | |||||||||
McDermott International, Inc.† | 19,985 | 40,370 | |||||||||
MRC Global, Inc.† | 22,800 | 276,564 | |||||||||
Newpark Resources, Inc.† | 9,904 | 75,468 | |||||||||
NOW, Inc.† | 29,000 | 332,630 | |||||||||
Oil States International, Inc.† | 6,654 | 88,498 | |||||||||
ProPetro Holding Corp.† | 9,055 | 82,310 | |||||||||
RPC, Inc. | 5,663 | 31,769 | |||||||||
TETRA Technologies, Inc.† | 13,810 | 27,758 | |||||||||
1,823,965 | |||||||||||
Paper & Related Products — 0.7% | |||||||||||
Clearwater Paper Corp.† | 1,816 | 38,354 | |||||||||
Domtar Corp. | 2,100 | 75,201 | |||||||||
Mercer International, Inc. | 4,403 | 55,214 | |||||||||
Neenah, Inc. | 18,394 | 1,197,817 | |||||||||
P.H. Glatfelter Co. | 4,857 | 74,749 | |||||||||
Schweitzer-Mauduit International, Inc. | 3,398 | 127,221 | |||||||||
Verso Corp., Class A† | 18,800 | 232,744 | |||||||||
1,801,300 | |||||||||||
Pastoral & Agricultural — 0.4% | |||||||||||
Darling Ingredients, Inc.† | 54,217 | 1,037,171 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.1% | |||||||||||
U.S. Physical Therapy, Inc. | 1,405 | 183,423 | |||||||||
Poultry — 0.1% | |||||||||||
Sanderson Farms, Inc. | 2,000 | 302,660 | |||||||||
Power Converter/Supply Equipment — 0.5% | |||||||||||
Generac Holdings, Inc.† | 12,200 | 955,748 | |||||||||
Powell Industries, Inc. | 5,567 | 217,948 | |||||||||
Vicor Corp.† | 2,007 | 59,247 | |||||||||
1,232,943 | |||||||||||
Printing-Commercial — 0.2% | |||||||||||
Ennis, Inc. | 15,300 | 309,213 | |||||||||
Quad/Graphics, Inc. | 20,800 | 218,608 | |||||||||
RR Donnelley & Sons Co. | 7,786 | 29,353 | |||||||||
557,174 | |||||||||||
Professional Sports — 0.9% | |||||||||||
Madison Square Garden Co., Class A† | 8,590 | 2,263,637 |
Security Description | Shares | Value (Note 2) | |||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 3,100 | $ | 16,523 | ||||||||
Scholastic Corp. | 3,392 | 128,082 | |||||||||
144,605 | |||||||||||
Publishing-Newspapers — 0.1% | |||||||||||
Gannett Co., Inc. | 12,605 | 135,378 | |||||||||
Real Estate Investment Trusts — 5.2% | |||||||||||
Acadia Realty Trust | 9,287 | 265,422 | |||||||||
Agree Realty Corp. | 4,615 | 337,587 | |||||||||
Alexander & Baldwin, Inc. | 2,256 | 55,295 | |||||||||
American Assets Trust, Inc. | 19,354 | 904,606 | |||||||||
Americold Realty Trust | 22,500 | 834,075 | |||||||||
Apollo Commercial Real Estate Finance, Inc. | 15,702 | 301,007 | |||||||||
Armada Hoffler Properties, Inc. | 5,826 | 105,392 | |||||||||
ARMOUR Residential REIT, Inc. | 6,509 | 109,026 | |||||||||
Ashford Hospitality Trust, Inc. | 32,400 | 107,244 | |||||||||
Blackstone Mtg. Trust, Inc., Class A | 4,700 | 168,495 | |||||||||
Capstead Mtg. Corp. | 14,452 | 106,222 | |||||||||
CareTrust REIT, Inc. | 10,508 | 246,991 | |||||||||
CBL & Associates Properties, Inc. | 19,077 | 24,609 | |||||||||
Cedar Realty Trust, Inc. | 9,450 | 28,350 | |||||||||
Chatham Lodging Trust | 5,160 | 93,654 | |||||||||
Cherry Hill Mtg. Investment Corp. | 5,600 | 73,360 | |||||||||
Community Healthcare Trust, Inc. | 2,006 | 89,367 | |||||||||
CoreSite Realty Corp. | 5,800 | 706,730 | |||||||||
CubeSmart | 3,500 | 122,150 | |||||||||
DiamondRock Hospitality Co. | 51,616 | 529,064 | |||||||||
Easterly Government Properties, Inc. | 9,932 | 211,722 | |||||||||
EastGroup Properties, Inc. | 1,800 | 225,036 | |||||||||
Equity LifeStyle Properties, Inc. | 1,300 | 173,680 | |||||||||
First Industrial Realty Trust, Inc. | 5,400 | 213,624 | |||||||||
Four Corners Property Trust, Inc. | 7,524 | 212,779 | |||||||||
Franklin Street Properties Corp. | 11,792 | 99,760 | |||||||||
Front Yard Residential Corp. | 2,100 | 24,276 | |||||||||
GEO Group, Inc. | 23,100 | 400,554 | |||||||||
Getty Realty Corp. | 5,253 | 168,411 | |||||||||
Gladstone Commercial Corp. | 1,000 | 23,500 | |||||||||
Global Net Lease, Inc. | 9,291 | 181,175 | |||||||||
Granite Point Mtg. Trust, Inc. | 6,032 | 113,040 | |||||||||
Hersha Hospitality Trust | 8,216 | 122,254 | |||||||||
Highwoods Properties, Inc. | 1,900 | 85,386 | |||||||||
Independence Realty Trust, Inc. | 9,918 | 141,927 | |||||||||
Innovative Industrial Properties, Inc. | 1,243 | 114,816 | |||||||||
Invesco Mtg. Capital, Inc. | 23,404 | 358,315 | |||||||||
iStar, Inc. | 6,495 | 84,760 | |||||||||
Kite Realty Group Trust | 9,235 | 149,145 | |||||||||
Lexington Realty Trust | 45,246 | 463,771 | |||||||||
LTC Properties, Inc. | 4,371 | 223,883 | |||||||||
Mack-Cali Realty Corp. | 4,700 | 101,802 | |||||||||
National Retail Properties, Inc. | 600 | 33,840 | |||||||||
National Storage Affiliates Trust | 6,521 | 217,606 | |||||||||
New York Mortgage Trust, Inc. | 28,881 | 175,885 | |||||||||
Office Properties Income Trust | 5,291 | 162,116 | |||||||||
Pebblebrook Hotel Trust | 13,600 | 378,352 | |||||||||
Pennsylvania Real Estate Investment Trust | 6,567 | 37,563 |
201
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
PennyMac Mtg. Investment Trust | 9,656 | $ | 214,653 | ||||||||
Piedmont Office Realty Trust, Inc., Class A | 11,300 | 235,944 | |||||||||
PS Business Parks, Inc. | 700 | 127,365 | |||||||||
Redwood Trust, Inc. | 12,326 | 202,270 | |||||||||
Retail Opportunity Investments Corp. | 12,571 | 229,169 | |||||||||
RLJ Lodging Trust | 2,900 | 49,271 | |||||||||
RPT Realty | 8,837 | 119,741 | |||||||||
Saul Centers, Inc. | 3,790 | 206,593 | |||||||||
Service Properties Trust | 5,300 | 136,687 | |||||||||
Summit Hotel Properties, Inc. | 11,561 | 134,108 | |||||||||
Sunstone Hotel Investors, Inc. | 21,600 | 296,784 | |||||||||
Taubman Centers, Inc. | 900 | 36,747 | |||||||||
Terreno Realty Corp. | 1,100 | 56,199 | |||||||||
Two Harbors Investment Corp. | 15,418 | 202,438 | |||||||||
UMH Properties, Inc. | 300 | 4,197 | |||||||||
Universal Health Realty Income Trust | 1,392 | 143,098 | |||||||||
Urstadt Biddle Properties, Inc., Class A | 3,287 | 77,902 | |||||||||
Washington Prime Group, Inc. | 20,519 | 84,949 | |||||||||
Washington Real Estate Investment Trust | 8,807 | 240,960 | |||||||||
Whitestone REIT | 4,425 | 60,888 | |||||||||
Xenia Hotels & Resorts, Inc. | 14,587 | 308,077 | |||||||||
13,275,664 | |||||||||||
Real Estate Management/Services — 0.9% | |||||||||||
FirstService Corp. | 20,392 | 2,091,607 | |||||||||
Marcus & Millichap, Inc.† | 2,579 | 91,529 | |||||||||
RE/MAX Holdings, Inc., Class A | 1,961 | 63,066 | |||||||||
Realogy Holdings Corp. | 12,572 | 83,981 | |||||||||
2,330,183 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Rent-A-Center, Inc. | 5,371 | 138,518 | |||||||||
Retail-Apparel/Shoe — 0.6% | |||||||||||
Abercrombie & Fitch Co., Class A | 44,444 | 693,326 | |||||||||
Boot Barn Holdings, Inc.† | 3,132 | 109,307 | |||||||||
Buckle, Inc. | 3,140 | 64,684 | |||||||||
Caleres, Inc. | 4,643 | 108,693 | |||||||||
Cato Corp., Class A | 2,403 | 42,317 | |||||||||
Chico's FAS, Inc. | 12,963 | 52,241 | |||||||||
Children's Place, Inc. | 1,712 | 131,807 | |||||||||
Designer Brands, Inc. | 6,068 | 103,884 | |||||||||
Express, Inc.† | 7,397 | 25,446 | |||||||||
Genesco, Inc.† | 1,567 | 62,711 | |||||||||
Guess?, Inc. | 4,690 | 86,906 | |||||||||
Shoe Carnival, Inc. | 1,018 | 32,993 | |||||||||
Tailored Brands, Inc. | 16,556 | 72,846 | |||||||||
Vera Bradley, Inc.† | 2,596 | 26,220 | |||||||||
1,613,381 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 4,498 | 111,820 | |||||||||
Retail-Arts & Crafts — 0.0% | |||||||||||
Michaels Cos., Inc.† | 8,879 | 86,925 | |||||||||
Retail-Automobile — 1.8% | |||||||||||
America's Car-Mart, Inc.† | 16,749 | 1,535,883 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Automobile (continued) | |||||||||||
Asbury Automotive Group, Inc.† | 2,128 | $ | 217,758 | ||||||||
Group 1 Automotive, Inc. | 1,920 | 177,235 | |||||||||
Lithia Motors, Inc., Class A | 19,049 | 2,521,707 | |||||||||
Sonic Automotive, Inc., Class A | 2,668 | 83,802 | |||||||||
4,536,385 | |||||||||||
Retail-Bookstores — 0.1% | |||||||||||
Barnes & Noble Education, Inc.† | 40,988 | 127,883 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
BMC Stock Holdings, Inc.† | 6,300 | 164,934 | |||||||||
GMS, Inc.† | 4,579 | 131,509 | |||||||||
Tile Shop Holdings, Inc. | 4,031 | 12,859 | |||||||||
309,302 | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Big Lots, Inc. | 4,290 | 105,105 | |||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp.† | 12,370 | 85,971 | |||||||||
Retail-Floor Coverings — 0.0% | |||||||||||
Lumber Liquidators Holdings, Inc.† | 3,156 | 31,150 | |||||||||
Retail-Hair Salons — 0.0% | |||||||||||
Regis Corp.† | 2,697 | 54,533 | |||||||||
Retail-Home Furnishings — 0.2% | |||||||||||
Haverty Furniture Cos., Inc. | 1,998 | 40,499 | |||||||||
La-Z-Boy, Inc. | 5,128 | 172,250 | |||||||||
RH† | 1,758 | 300,319 | |||||||||
513,068 | |||||||||||
Retail-Jewelry — 0.1% | |||||||||||
Movado Group, Inc. | 1,805 | 44,872 | |||||||||
Signet Jewelers, Ltd. | 5,747 | 96,320 | |||||||||
141,192 | |||||||||||
Retail-Leisure Products — 0.0% | |||||||||||
MarineMax, Inc.† | 2,381 | 36,858 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
J.C. Penney Co., Inc.† | 32,855 | 29,205 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
Five Below, Inc.† | 625 | 78,813 | |||||||||
GameStop Corp., Class A | 9,927 | 54,797 | |||||||||
PriceSmart, Inc. | 2,452 | 174,337 | |||||||||
307,947 | |||||||||||
Retail-Office Supplies — 0.1% | |||||||||||
Office Depot, Inc. | 134,385 | 235,846 | |||||||||
Retail-Pawn Shops — 0.1% | |||||||||||
EZCORP, Inc., Class A† | 5,771 | 37,252 | |||||||||
FirstCash, Inc. | 1,500 | 137,505 | |||||||||
174,757 | |||||||||||
Retail-Pet Food & Supplies — 0.7% | |||||||||||
PetIQ, Inc.† | 59,973 | 1,634,864 | |||||||||
PetMed Express, Inc. | 2,219 | 39,986 | |||||||||
1,674,850 | |||||||||||
Retail-Restaurants — 1.0% | |||||||||||
BJ's Restaurants, Inc. | 2,250 | 87,390 | |||||||||
Bloomin' Brands, Inc. | 36,749 | 695,659 |
202
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
Brinker International, Inc. | 13,200 | $ | 563,244 | ||||||||
Chuy's Holdings, Inc.† | 1,826 | 45,212 | |||||||||
Dave & Buster's Entertainment, Inc. | 3,390 | 132,040 | |||||||||
Dine Brands Global, Inc. | 1,889 | 143,299 | |||||||||
El Pollo Loco Holdings, Inc.† | 2,269 | 24,868 | |||||||||
Fiesta Restaurant Group, Inc.† | 2,357 | 24,560 | |||||||||
Red Robin Gourmet Burgers, Inc.† | 1,426 | 47,429 | |||||||||
Ruth's Hospitality Group, Inc. | 3,048 | 62,225 | |||||||||
Shake Shack, Inc., Class A† | 3,364 | 329,806 | |||||||||
Wingstop, Inc. | 3,238 | 282,613 | |||||||||
2,438,345 | |||||||||||
Retail-Sporting Goods — 0.3% | |||||||||||
Hibbett Sports, Inc.† | 14,066 | 322,111 | |||||||||
Zumiez, Inc.† | 14,438 | 457,324 | |||||||||
779,435 | |||||||||||
Retail-Vitamins & Nutrition Supplements — 0.0% | |||||||||||
Vitamin Shoppe, Inc.† | 1,694 | 11,045 | |||||||||
Rubber-Tires — 0.1% | |||||||||||
Cooper Tire & Rubber Co. | 5,518 | 144,130 | |||||||||
Rubber/Plastic Products — 0.5% | |||||||||||
Myers Industries, Inc. | 9,403 | 165,963 | |||||||||
Proto Labs, Inc.† | 2,956 | 301,808 | |||||||||
Raven Industries, Inc. | 3,951 | 132,200 | |||||||||
Trinseo SA | 14,571 | 625,824 | |||||||||
1,225,795 | |||||||||||
Satellite Telecom — 0.1% | |||||||||||
Iridium Communications, Inc.† | 10,646 | 226,547 | |||||||||
Savings & Loans/Thrifts — 1.7% | |||||||||||
Axos Financial, Inc.† | 5,859 | 162,001 | |||||||||
Banc of California, Inc. | 4,933 | 69,753 | |||||||||
BankFinancial Corp. | 4,300 | 51,170 | |||||||||
Berkshire Hills Bancorp, Inc. | 4,814 | 141,002 | |||||||||
Brookline Bancorp, Inc. | 19,879 | 292,818 | |||||||||
Capitol Federal Financial, Inc. | 1,000 | 13,780 | |||||||||
Dime Community Bancshares, Inc. | 3,401 | 72,815 | |||||||||
First Defiance Financial Corp. | 2,000 | 57,930 | |||||||||
Flushing Financial Corp. | 3,700 | 74,759 | |||||||||
Investors Bancorp, Inc. | 12,300 | 139,728 | |||||||||
Meridian Bancorp, Inc. | 26,800 | 502,500 | |||||||||
Northfield Bancorp, Inc. | 31,066 | 498,920 | |||||||||
Northwest Bancshares, Inc. | 11,024 | 180,683 | |||||||||
Oritani Financial Corp. | 4,215 | 74,584 | |||||||||
Pacific Premier Bancorp, Inc. | 25,725 | 802,363 | |||||||||
People's United Financial, Inc. | 6,106 | 95,467 | |||||||||
Provident Financial Services, Inc. | 6,667 | 163,542 | |||||||||
Washington Federal, Inc. | 23,100 | 854,469 | |||||||||
4,248,284 | |||||||||||
Schools — 0.5% | |||||||||||
American Public Education, Inc.† | 1,765 | 39,430 | |||||||||
Career Education Corp.† | 7,710 | 122,512 | |||||||||
K12, Inc.† | 26,100 | 689,040 | |||||||||
Strategic Education, Inc. | 2,414 | 328,014 | |||||||||
1,178,996 |
Security Description | Shares | Value (Note 2) | |||||||||
Seismic Data Collection — 0.0% | |||||||||||
Geospace Technologies Corp.† | 1,499 | $ | 23,040 | ||||||||
Semiconductor Components-Integrated Circuits — 0.5% | |||||||||||
Cirrus Logic, Inc.† | 14,800 | 792,984 | |||||||||
MaxLinear, Inc.† | 7,127 | 159,502 | |||||||||
Power Integrations, Inc. | 3,226 | 291,727 | |||||||||
1,244,213 | |||||||||||
Semiconductor Equipment — 0.6% | |||||||||||
Axcelis Technologies, Inc.† | 3,556 | 60,772 | |||||||||
Brooks Automation, Inc. | 7,942 | 294,092 | |||||||||
Cabot Microelectronics Corp. | 3,193 | 450,884 | |||||||||
Cohu, Inc. | 4,519 | 61,029 | |||||||||
FormFactor, Inc.† | 8,268 | 154,157 | |||||||||
Kulicke & Soffa Industries, Inc. | 6,973 | 163,726 | |||||||||
Nanometrics, Inc.† | 2,594 | 84,616 | |||||||||
Ultra Clean Holdings, Inc.† | 4,349 | 63,648 | |||||||||
Veeco Instruments, Inc.† | 21,785 | 254,449 | |||||||||
1,587,373 | |||||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
TimkenSteel Corp.† | 4,386 | 27,588 | |||||||||
Steel-Producers — 0.0% | |||||||||||
AK Steel Holding Corp.† | 34,793 | 78,980 | |||||||||
Storage/Warehousing — 0.1% | |||||||||||
Mobile Mini, Inc. | 4,915 | 181,167 | |||||||||
Telecom Equipment-Fiber Optics — 0.2% | |||||||||||
Harmonic, Inc.† | 9,854 | 64,839 | |||||||||
Viavi Solutions, Inc.† | 25,167 | 352,464 | |||||||||
417,303 | |||||||||||
Telecom Services — 0.3% | |||||||||||
Consolidated Communications Holdings, Inc. | 77,536 | 369,071 | |||||||||
Spok Holdings, Inc. | 1,967 | 23,486 | |||||||||
Vonage Holdings Corp.† | 25,026 | 282,794 | |||||||||
675,351 | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
ADTRAN, Inc. | 5,258 | 59,652 | |||||||||
Digi International, Inc.† | 3,094 | 42,140 | |||||||||
101,792 | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
Cincinnati Bell, Inc.† | 5,545 | 28,113 | |||||||||
Frontier Communications Corp.† | 11,588 | 10,047 | |||||||||
38,160 | |||||||||||
Television — 0.4% | |||||||||||
Nexstar Media Group, Inc., Class A | 3,700 | 378,547 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 15,500 | 662,470 | |||||||||
1,041,017 | |||||||||||
Textile-Apparel — 0.0% | |||||||||||
Unifi, Inc.† | 1,606 | 35,204 | |||||||||
Therapeutics — 0.3% | |||||||||||
Anika Therapeutics, Inc.† | 1,516 | 83,213 | |||||||||
Flexion Therapeutics, Inc.† | 6,500 | 89,083 | |||||||||
La Jolla Pharmaceutical Co.† | 6,000 | 52,800 |
203
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Therapeutics (continued) | |||||||||||
Sarepta Therapeutics, Inc.† | 1,650 | $ | 124,278 | ||||||||
Xencor, Inc.† | 12,617 | 425,571 | |||||||||
774,945 | |||||||||||
Tobacco — 0.1% | |||||||||||
Universal Corp. | 2,746 | 150,508 | |||||||||
Vector Group, Ltd. | 12,678 | 150,992 | |||||||||
301,500 | |||||||||||
Traffic Management Sys — 0.0% | |||||||||||
Arlo Technologies, Inc.† | 8,233 | 28,075 | |||||||||
Transactional Software — 0.0% | |||||||||||
Synchronoss Technologies, Inc.† | 13,800 | 74,520 | |||||||||
Transport-Air Freight — 0.0% | |||||||||||
Atlas Air Worldwide Holdings, Inc.† | 2,843 | 71,729 | |||||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
Greenbrier Cos., Inc. | 3,572 | 107,589 | |||||||||
Transport-Marine — 0.1% | |||||||||||
Dorian LPG, Ltd.† | 276 | 2,859 | |||||||||
SEACOR Holdings, Inc.† | 6,522 | 306,991 | |||||||||
309,850 | |||||||||||
Transport-Services — 0.3% | |||||||||||
Echo Global Logistics, Inc.† | 12,400 | 280,860 | |||||||||
Forward Air Corp. | 3,114 | 198,424 | |||||||||
Hub Group, Inc., Class A† | 3,675 | 170,887 | |||||||||
Matson, Inc. | 4,713 | 176,785 | |||||||||
826,956 | |||||||||||
Transport-Truck — 0.4% | |||||||||||
ArcBest Corp. | 17,206 | 523,923 | |||||||||
Covenant Transportation Group, Inc., Class A† | 1,500 | 24,660 | |||||||||
Heartland Express, Inc. | 5,139 | 110,540 | |||||||||
Marten Transport, Ltd. | 4,266 | 88,647 | |||||||||
Saia, Inc.† | 2,849 | 266,951 | |||||||||
Schneider National, Inc., Class B | 2,600 | 56,472 | |||||||||
YRC Worldwide, Inc.† | 18,400 | 55,568 | |||||||||
1,126,761 | |||||||||||
Veterinary Diagnostics — 0.8% | |||||||||||
Heska Corp.† | 772 | 54,711 | |||||||||
Neogen Corp.† | 28,635 | 1,950,330 | |||||||||
2,005,041 | |||||||||||
Vitamins & Nutrition Products — 0.1% | |||||||||||
Herbalife Nutrition, Ltd.† | 1,800 | 68,148 | |||||||||
USANA Health Sciences, Inc.† | 2,420 | 165,504 | |||||||||
233,652 | |||||||||||
Water — 0.5% | |||||||||||
American States Water Co. | 12,150 | 1,091,799 | |||||||||
California Water Service Group | 5,294 | 280,211 | |||||||||
1,372,010 | |||||||||||
Web Hosting/Design — 0.2% | |||||||||||
NIC, Inc. | 19,264 | 397,802 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Wire & Cable Products — 0.1% | |||||||||||
Encore Wire Corp. | 2,299 | $ | 129,388 | ||||||||
Insteel Industries, Inc. | 2,011 | 41,286 | |||||||||
170,674 | |||||||||||
Wireless Equipment — 0.2% | |||||||||||
CalAmp Corp.† | 3,698 | 42,601 | |||||||||
Cambium Networks Corp.† | 9,897 | 96,001 | |||||||||
InterDigital, Inc. | 4,500 | 236,115 | |||||||||
374,717 | |||||||||||
X-Ray Equipment — 0.3% | |||||||||||
Varex Imaging Corp.† | 22,523 | 642,806 | |||||||||
Total Common Stocks (cost $204,710,115) | 244,759,575 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.7% | |||||||||||
iShares Core S&P Small-Cap ETF (cost $1,658,243) | 21,831 | 1,699,325 | |||||||||
Total Long-Term Investment Securities (cost $206,368,358) | 246,458,900 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.3% | |||||||||||
Registered Investment Companies — 1.2% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Investor Class 1.86%(2) | 3,089,807 | 3,089,807 | |||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 1.83% due 12/26/19(3) | $ | 100,000 | 99,574 | ||||||||
Total Short-Term Investment Securities (cost $3,189,372) | 3,189,381 | ||||||||||
REPURCHASE AGREEMENTS — 0.4% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35%, dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $1,040,010 and collateralized by $1,015,000 of United States Treasury Notes, bearing interest at 2.63% due 12/31/2023 and having an approximate value of $1,065,629 (cost $1,040,000) | 1,040,000 | 1,040,000 | |||||||||
TOTAL INVESTMENTS (cost $210,597,730)(4) | 99.1 | % | 250,688,281 | ||||||||
Other assets less liabilities | 0.9 | 2,286,290 | |||||||||
NET ASSETS | 100.0 | % | $ | 252,974,571 |
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) The rate shown is the 7-day yield as of September 30, 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
204
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
51 | Long | E-Mini Russell 2000 Index | December 2019 | $ | 4,032,874 | $ | 3,888,750 | $ | (144,124 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 68,565 | $ | — | $ | 1,086 | $ | 69,651 | |||||||||||
Other Industries | 244,689,924 | — | — | 244,689,924 | |||||||||||||||
Exchange-Traded Funds | 1,699,325 | — | — | 1,699,325 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 3,089,807 | — | — | 3,089,807 | |||||||||||||||
U.S. Government Treasuries | — | 99,574 | — | 99,574 | |||||||||||||||
Repurchase Agreements | — | 1,040,000 | — | 1,040,000 | |||||||||||||||
Total Investments at Value | $ | 249,547,621 | $ | 1,139,574 | $ | 1,086 | $ | 250,688,281 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 144,124 | $ | — | $ | — | $ | 144,124 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts 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
205
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Medical-Drugs | 9.5 | % | |||||
Banks-Commercial | 6.9 | ||||||
Diversified Banking Institutions | 3.7 | ||||||
Food-Misc./Diversified | 3.3 | ||||||
Oil Companies-Integrated | 3.3 | ||||||
Insurance-Life/Health | 3.2 | ||||||
Cosmetics & Toiletries | 3.1 | ||||||
Auto-Cars/Light Trucks | 2.8 | ||||||
Medical Products | 2.3 | ||||||
Telephone-Integrated | 2.2 | ||||||
Insurance-Multi-line | 1.9 | ||||||
Repurchase Agreements | 1.7 | ||||||
Industrial Automated/Robotic | 1.6 | ||||||
Chemicals-Diversified | 1.6 | ||||||
Electronic Components-Semiconductors | 1.5 | ||||||
Semiconductor Equipment | 1.4 | ||||||
Apparel Manufacturers | 1.4 | ||||||
Diversified Manufacturing Operations | 1.3 | ||||||
Food-Retail | 1.2 | ||||||
Beverages-Wine/Spirits | 1.2 | ||||||
Enterprise Software/Service | 1.1 | ||||||
Semiconductor Components-Integrated Circuits | 1.1 | ||||||
Audio/Video Products | 1.0 | ||||||
Electronic Components-Misc. | 1.0 | ||||||
Rubber-Tires | 1.0 | ||||||
Machinery-Electrical | 0.9 | ||||||
Food-Dairy Products | 0.9 | ||||||
Insurance-Property/Casualty | 0.9 | ||||||
Import/Export | 0.9 | ||||||
Retail-Apparel/Shoe | 0.8 | ||||||
Diversified Minerals | 0.8 | ||||||
E-Commerce/Products | 0.8 | ||||||
Auto/Truck Parts & Equipment-Original | 0.8 | ||||||
Real Estate Investment Trusts | 0.7 | ||||||
Human Resources | 0.7 | ||||||
Chemicals-Specialty | 0.7 | ||||||
Real Estate Management/Services | 0.7 | ||||||
Commercial Services | 0.7 | ||||||
Toys | 0.7 | ||||||
Electric-Generation | 0.7 | ||||||
Building-Residential/Commercial | 0.7 | ||||||
Cellular Telecom | 0.7 | ||||||
Metal-Diversified | 0.7 | ||||||
Medical-Biomedical/Gene | 0.6 | ||||||
Insurance-Reinsurance | 0.6 | ||||||
Dialysis Centers | 0.6 | ||||||
Power Converter/Supply Equipment | 0.6 | ||||||
Brewery | 0.6 | ||||||
Transport-Rail | 0.5 | ||||||
Retail-Jewelry | 0.5 | ||||||
Machinery-General Industrial | 0.5 | ||||||
Gas-Distribution | 0.5 | ||||||
Aerospace/Defense | 0.5 | ||||||
Energy-Alternate Sources | 0.5 | ||||||
Investment Companies | 0.5 | ||||||
Optical Supplies | 0.5 | ||||||
Metal-Copper | 0.5 | ||||||
Medical Instruments | 0.5 | ||||||
Real Estate Operations & Development | 0.4 | ||||||
Electric-Integrated | 0.4 |
Multimedia | 0.4 | % | |||||
Medical Labs & Testing Services | 0.4 | ||||||
Finance-Leasing Companies | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Wire & Cable Products | 0.4 | ||||||
Internet Content-Information/News | 0.4 | ||||||
Athletic Footwear | 0.4 | ||||||
Electronic Security Devices | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Finance-Other Services | 0.4 | ||||||
Tobacco | 0.4 | ||||||
Hotels/Motels | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Investment Management/Advisor Services | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Miscellaneous Manufacturing | 0.3 | ||||||
Instruments-Controls | 0.3 | ||||||
Metal-Aluminum | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Agricultural Chemicals | 0.3 | ||||||
Diversified Operations | 0.3 | ||||||
Aerospace/Defense-Equipment | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Machinery-Farming | 0.3 | ||||||
Wireless Equipment | 0.3 | ||||||
Advertising Agencies | 0.3 | ||||||
Web Portals/ISP | 0.3 | ||||||
Tools-Hand Held | 0.3 | ||||||
Steel Pipe & Tube | 0.3 | ||||||
Computer Data Security | 0.3 | ||||||
Textile-Apparel | 0.3 | ||||||
Networking Products | 0.3 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Paper & Related Products | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Entertainment Software | 0.2 | ||||||
Diversified Operations/Commercial Services | 0.2 | ||||||
Shipbuilding | 0.2 | ||||||
Electric Products-Misc. | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Non-Ferrous Metals | 0.2 | ||||||
Satellite Telecom | 0.2 | ||||||
Photo Equipment & Supplies | 0.2 | ||||||
Oil-Field Services | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Machinery-Construction & Mining | 0.2 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Advertising Services | 0.1 | ||||||
Soap & Cleaning Preparation | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Retail-Drug Store | 0.1 | ||||||
Oil Companies-Exploration & Production | 0.1 | ||||||
Internet Content-Entertainment | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Office Automation & Equipment | 0.1 |
206
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Public Thoroughfares | 0.1 | % | |||||
Commercial Services-Finance | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
Security Services | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Exchange-Traded Funds | 0.1 | ||||||
Publishing-Periodicals | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
99.3 | % | ||||||
Country Allocation* | |||||||
Japan | 22.0 | % | |||||
United Kingdom | 15.2 | ||||||
Switzerland | 10.9 | ||||||
France | 8.9 | ||||||
Germany | 8.8 | ||||||
Netherlands | 4.7 | ||||||
Australia | 4.0 | ||||||
United States | 2.7 | ||||||
Hong Kong | 2.1 | ||||||
Cayman Islands | 1.8 | ||||||
Sweden | 1.7 | ||||||
Norway | 1.6 | ||||||
Spain | 1.6 | ||||||
Denmark | 1.4 | ||||||
Italy | 1.4 | ||||||
Canada | 1.4 | ||||||
Singapore | 1.3 | ||||||
South Korea | 1.1 | ||||||
Belgium | 0.8 | ||||||
Finland | 0.7 | ||||||
Taiwan | 0.7 | ||||||
Luxembourg | 0.6 | ||||||
China | 0.6 | ||||||
Jersey | 0.6 | ||||||
Austria | 0.5 | ||||||
Ireland | 0.4 | ||||||
Israel | 0.4 | ||||||
Bermuda | 0.3 | ||||||
New Zealand | 0.3 | ||||||
Indonesia | 0.2 | ||||||
SupraNational | 0.2 | ||||||
Turkey | 0.2 | ||||||
India | 0.1 | ||||||
Brazil | 0.1 | ||||||
99.3 | % |
* Calculated as a percentage of net assets
207
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.3% | |||||||||||
Australia — 4.0% | |||||||||||
AGL Energy, Ltd. | 5,138 | $ | 66,400 | ||||||||
Alumina, Ltd. | 20,099 | 32,177 | |||||||||
AMP, Ltd. | 26,416 | 32,603 | |||||||||
APA Group | 8,997 | 69,689 | |||||||||
Aristocrat Leisure, Ltd. | 4,519 | 93,707 | |||||||||
ASX, Ltd. | 1,533 | 84,014 | |||||||||
Aurizon Holdings, Ltd. | 16,215 | 64,641 | |||||||||
AusNet Services | 12,970 | 15,878 | |||||||||
Australia & New Zealand Banking Group, Ltd. | 62,641 | 1,210,480 | |||||||||
Bank of Queensland, Ltd. | 2,961 | 19,847 | |||||||||
Bendigo & Adelaide Bank, Ltd. | 3,662 | 28,415 | |||||||||
BGP Holdings PLC†(1) | 98,723 | 0 | |||||||||
BHP Group, Ltd. | 32,288 | 799,371 | |||||||||
BlueScope Steel, Ltd. | 4,442 | 36,044 | |||||||||
Boral, Ltd. | 8,916 | 29,260 | |||||||||
Brambles, Ltd. | 94,539 | 728,340 | |||||||||
Caltex Australia, Ltd. | 2,143 | 38,219 | |||||||||
Challenger, Ltd. | 98,599 | 492,447 | |||||||||
CIMIC Group, Ltd. | 827 | 17,594 | |||||||||
Coca-Cola Amatil, Ltd. | 3,968 | 28,552 | |||||||||
Cochlear, Ltd. | 465 | 65,433 | |||||||||
Coles Group, Ltd. | 8,905 | 92,675 | |||||||||
Commonwealth Bank of Australia | 13,981 | 765,042 | |||||||||
Computershare, Ltd. | 3,730 | 40,911 | |||||||||
Crown Resorts, Ltd. | 2,864 | 23,307 | |||||||||
CSL, Ltd. | 12,790 | 2,021,065 | |||||||||
Dexus | 8,621 | 69,457 | |||||||||
Flight Centre Travel Group, Ltd. | 423 | 13,607 | |||||||||
Fortescue Metals Group, Ltd. | 10,942 | 65,624 | |||||||||
Goodman Group | 12,775 | 122,241 | |||||||||
GPT Group | 15,259 | 63,516 | |||||||||
Harvey Norman Holdings, Ltd. | 4,493 | 13,751 | |||||||||
Incitec Pivot, Ltd. | 13,412 | 30,733 | |||||||||
Independence Group NL | 135,904 | 591,677 | |||||||||
Insurance Australia Group, Ltd. | 18,445 | 98,451 | |||||||||
LendLease Group | 4,420 | 52,475 | |||||||||
Macquarie Group, Ltd. | 12,268 | 1,087,039 | |||||||||
Magellan Financial Group, Ltd. | 977 | 33,963 | |||||||||
Medibank Private, Ltd. | 21,977 | 50,580 | |||||||||
Mirvac Group | 29,359 | 60,720 | |||||||||
National Australia Bank, Ltd. | 22,151 | 445,657 | |||||||||
Newcrest Mining, Ltd. | 5,943 | 138,558 | |||||||||
Orica, Ltd. | 2,978 | 45,364 | |||||||||
Origin Energy, Ltd. | 13,644 | 73,832 | |||||||||
QBE Insurance Group, Ltd. | 10,535 | 89,530 | |||||||||
Ramsay Health Care, Ltd. | 1,203 | 52,730 | |||||||||
REA Group, Ltd. | 425 | 31,171 | |||||||||
Rio Tinto, Ltd. | 7,836 | 492,831 | |||||||||
Santos, Ltd. | 14,554 | 76,302 | |||||||||
Scentre Group | 211,812 | 562,384 | |||||||||
SEEK, Ltd. | 2,631 | 38,189 | |||||||||
Sonic Healthcare, Ltd. | 3,394 | 64,412 | |||||||||
South32, Ltd. | 220,364 | 391,610 | |||||||||
Stockland | 18,674 | 57,386 | |||||||||
Suncorp Group, Ltd. | 10,009 | 92,259 |
Security Description | Shares | Value (Note 2) | |||||||||
Australia (continued) | |||||||||||
Sydney Airport | 8,550 | $ | 46,414 | ||||||||
Tabcorp Holdings, Ltd. | 15,577 | 51,028 | |||||||||
Telstra Corp., Ltd. | 88,322 | 209,524 | |||||||||
TPG Telecom, Ltd. | 2,617 | 12,278 | |||||||||
Transurban Group | 21,128 | 209,731 | |||||||||
Treasury Wine Estates, Ltd. | 5,685 | 71,356 | |||||||||
Vicinity Centres | 26,932 | 46,748 | |||||||||
Washington H. Soul Pattinson & Co., Ltd. | 844 | 11,988 | |||||||||
Wesfarmers, Ltd. | 8,905 | 239,577 | |||||||||
Westpac Banking Corp. | 27,228 | 545,368 | |||||||||
Woodside Petroleum, Ltd. | 7,352 | 161,383 | |||||||||
Woolworths Group, Ltd. | 9,917 | 249,853 | |||||||||
WorleyParsons, Ltd. | 59,922 | 530,062 | |||||||||
14,287,470 | |||||||||||
Austria — 0.5% | |||||||||||
ANDRITZ AG | 579 | 23,683 | |||||||||
Erste Group Bank AG | 47,973 | 1,588,184 | |||||||||
OMV AG | 1,177 | 63,056 | |||||||||
Raiffeisen Bank International AG | 1,138 | 26,452 | |||||||||
Verbund AG | 533 | 29,155 | |||||||||
voestalpine AG | 899 | 20,688 | |||||||||
1,751,218 | |||||||||||
Belgium — 0.8% | |||||||||||
Ageas | 1,407 | 78,081 | |||||||||
Anheuser-Busch InBev SA NV | 6,018 | 572,914 | |||||||||
Colruyt SA | 472 | 25,863 | |||||||||
Groupe Bruxelles Lambert SA | 647 | 62,166 | |||||||||
KBC Group NV | 1,946 | 126,632 | |||||||||
Proximus SADP | 1,211 | 35,979 | |||||||||
Solvay SA | 577 | 59,829 | |||||||||
Telenet Group Holding NV | 420 | 19,825 | |||||||||
UCB SA | 1,012 | 73,485 | |||||||||
Umicore SA | 43,378 | 1,639,008 | |||||||||
2,693,782 | |||||||||||
Bermuda — 0.3% | |||||||||||
CK Infrastructure Holdings, Ltd. | 5,000 | 33,537 | |||||||||
Dairy Farm International Holdings, Ltd. | 2,674 | 16,856 | |||||||||
Hongkong Land Holdings, Ltd. | 9,100 | 51,273 | |||||||||
Jardine Matheson Holdings, Ltd. | 1,703 | 91,343 | |||||||||
Jardine Strategic Holdings, Ltd. | 31,342 | 938,306 | |||||||||
Kerry Properties, Ltd. | 5,000 | 15,474 | |||||||||
NWS Holdings, Ltd. | 12,000 | 18,604 | |||||||||
Shangri-La Asia, Ltd. | 10,000 | 10,224 | |||||||||
Yue Yuen Industrial Holdings, Ltd. | 6,000 | 16,469 | |||||||||
1,192,086 | |||||||||||
Brazil — 0.1% | |||||||||||
B3 SA - Brasil Bolsa Balcao | 38,340 | 402,598 | |||||||||
Canada — 1.4% | |||||||||||
Element Fleet Management Corp. | 100,234 | 801,963 | |||||||||
Magna International, Inc. | 18,527 | 988,045 | |||||||||
National Bank of Canada | 17,200 | 855,813 |
208
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Canada (continued) | |||||||||||
Nutrien, Ltd. | 19,558 | $ | 974,320 | ||||||||
Sun Life Financial, Inc. | 26,900 | 1,202,820 | |||||||||
4,822,961 | |||||||||||
Cayman Islands — 1.8% | |||||||||||
Alibaba Group Holding, Ltd. ADR† | 10,390 | 1,737,520 | |||||||||
ASM Pacific Technology, Ltd. | 2,200 | 27,026 | |||||||||
Baidu, Inc. ADR† | 2,400 | 246,624 | |||||||||
BeiGene, Ltd. ADR† | 283 | 34,656 | |||||||||
China Mengniu Dairy Co., Ltd. | 144,000 | 537,455 | |||||||||
CK Asset Holdings, Ltd. | 20,360 | 138,643 | |||||||||
CK Hutchison Holdings, Ltd. | 105,024 | 923,306 | |||||||||
Meituan Dianping, Class B† | 63,267 | 645,147 | |||||||||
Melco Resorts & Entertainment, Ltd. ADR | 1,635 | 31,735 | |||||||||
MGM China Holdings, Ltd. | 7,600 | 11,949 | |||||||||
Sands China, Ltd. | 18,800 | 85,837 | |||||||||
Tencent Holdings, Ltd. | 29,800 | 1,264,703 | |||||||||
WH Group, Ltd.* | 75,500 | 68,322 | |||||||||
Wharf Real Estate Investment Co., Ltd. | 10,000 | 54,824 | |||||||||
Wynn Macau, Ltd. | 12,000 | 23,593 | |||||||||
YY, Inc. ADR† | 7,155 | 402,326 | |||||||||
6,233,666 | |||||||||||
China — 0.6% | |||||||||||
China Pacific Insurance Group Co., Ltd. | 126,000 | 465,552 | |||||||||
PICC Property & Casualty Co., Ltd. | 528,000 | 619,867 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 88,000 | 1,018,398 | |||||||||
2,103,817 | |||||||||||
Denmark — 1.4% | |||||||||||
AP Moller - Maersk A/S, Series A | 30 | 32,073 | |||||||||
AP Moller - Maersk A/S, Series B | 51 | 57,823 | |||||||||
Ascendis Pharma A/S ADR† | 1,700 | 163,744 | |||||||||
Carlsberg A/S, Class B | 825 | 122,065 | |||||||||
Chr. Hansen Holding A/S | 833 | 70,724 | |||||||||
Coloplast A/S, Class B | 936 | 112,839 | |||||||||
Danske Bank A/S | 32,428 | 451,451 | |||||||||
Demant A/S† | 860 | 22,050 | |||||||||
DSV A/S | 1,719 | 163,740 | |||||||||
Genmab A/S† | 512 | 104,070 | |||||||||
GN Store Nord A/S | 11,196 | 454,971 | |||||||||
H. Lundbeck A/S | 538 | 17,851 | |||||||||
ISS A/S | 1,288 | 31,872 | |||||||||
Novo Nordisk A/S, Class B | 24,775 | 1,279,258 | |||||||||
Novozymes A/S, Class B | 1,720 | 72,311 | |||||||||
Orsted A/S* | 1,462 | 135,788 | |||||||||
Pandora A/S | 855 | 34,360 | |||||||||
Tryg A/S | 952 | 27,280 | |||||||||
Vestas Wind Systems A/S | 20,346 | 1,580,626 | |||||||||
4,934,896 | |||||||||||
Finland — 0.7% | |||||||||||
Elisa Oyj | 1,156 | 59,596 | |||||||||
Fortum Oyj | 3,570 | 84,453 | |||||||||
Kone Oyj, Class B | 2,670 | 152,093 |
Security Description | Shares | Value (Note 2) | |||||||||
Finland (continued) | |||||||||||
Metso Oyj | 896 | $ | 33,456 | ||||||||
Neste Oyj | 3,341 | 110,391 | |||||||||
Nokia Oyj | 44,095 | 223,462 | |||||||||
Nokian Renkaat Oyj | 913 | 25,777 | |||||||||
Nordea Bank Abp | 25,528 | 181,227 | |||||||||
Orion Oyj, Class B | 822 | 30,654 | |||||||||
Sampo Oyj, Class A | 3,525 | 140,235 | |||||||||
Stora Enso Oyj, Class R | 62,117 | 749,224 | |||||||||
UPM-Kymmene Oyj | 4,095 | 121,182 | |||||||||
Wartsila Oyj Abp | 63,156 | 708,453 | |||||||||
2,620,203 | |||||||||||
France — 8.9% | |||||||||||
Accor SA | 1,475 | 61,545 | |||||||||
Aeroports de Paris | 233 | 41,439 | |||||||||
Air Liquide SA | 9,161 | 1,305,287 | |||||||||
Alstom SA | 1,450 | 60,124 | |||||||||
Amundi SA* | 12,435 | 868,040 | |||||||||
Arkema SA | 528 | 49,291 | |||||||||
Atos SE | 774 | 54,628 | |||||||||
AXA SA | 70,337 | 1,797,847 | |||||||||
BioMerieux | 312 | 25,823 | |||||||||
BNP Paribas SA | 30,956 | 1,509,315 | |||||||||
Bollore SA | 6,903 | 28,626 | |||||||||
Bouygues SA | 1,709 | 68,520 | |||||||||
Bureau Veritas SA | 2,264 | 54,593 | |||||||||
Capgemini SE | 1,239 | 146,148 | |||||||||
Carrefour SA | 4,635 | 81,118 | |||||||||
Casino Guichard Perrachon SA | 448 | 21,376 | |||||||||
Cie de Saint-Gobain | 3,845 | 151,035 | |||||||||
Cie Generale des Etablissements Michelin SCA | 1,328 | 148,404 | |||||||||
CNP Assurances | 1,350 | 26,104 | |||||||||
Covivio | 357 | 37,783 | |||||||||
Credit Agricole SA | 8,962 | 108,975 | |||||||||
Danone SA | 28,329 | 2,495,104 | |||||||||
Dassault Aviation SA | 20 | 28,286 | |||||||||
Dassault Systemes SE | 1,018 | 145,022 | |||||||||
Edenred | 1,845 | 88,599 | |||||||||
Eiffage SA | 612 | 63,490 | |||||||||
Electricite de France SA | 4,597 | 51,446 | |||||||||
Engie SA | 88,342 | 1,443,319 | |||||||||
EssilorLuxottica SA | 10,834 | 1,562,883 | |||||||||
Eurazeo SE | 317 | 23,596 | |||||||||
Eutelsat Communications SA | 29,722 | 553,431 | |||||||||
Faurecia SA | 591 | 28,098 | |||||||||
Gecina SA | 359 | 56,409 | |||||||||
Getlink SE | 3,467 | 52,093 | |||||||||
Hermes International | 247 | 170,842 | |||||||||
ICADE | 263 | 23,520 | |||||||||
Iliad SA | 211 | 19,815 | |||||||||
Imerys SA | 283 | 11,388 | |||||||||
Ingenico Group SA | 473 | 46,178 | |||||||||
Ipsen SA | 288 | 27,337 | |||||||||
JCDecaux SA | 533 | 14,438 | |||||||||
Kering SA | 1,953 | 997,030 | |||||||||
Klepierre SA | 1,600 | 54,331 |
209
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
France (continued) | |||||||||||
L'Oreal SA | 6,178 | $ | 1,731,128 | ||||||||
Legrand SA | 8,924 | 637,415 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 2,194 | 873,365 | |||||||||
Natixis SA | 7,489 | 31,102 | |||||||||
Orange SA | 15,622 | 245,209 | |||||||||
Pernod Ricard SA | 1,656 | 294,801 | |||||||||
Peugeot SA | 4,556 | 113,790 | |||||||||
Publicis Groupe SA | 1,658 | 81,516 | |||||||||
Remy Cointreau SA | 178 | 23,624 | |||||||||
Renault SA | 1,487 | 85,444 | |||||||||
Safran SA | 2,585 | 407,503 | |||||||||
Sanofi | 24,529 | 2,274,538 | |||||||||
Sartorius Stedim Biotech | 216 | 30,222 | |||||||||
Schneider Electric SE | 22,072 | 1,935,725 | |||||||||
SCOR SE | 1,318 | 54,468 | |||||||||
SEB SA | 174 | 26,436 | |||||||||
Societe BIC SA | 228 | 15,314 | |||||||||
Societe Generale SA | 5,944 | 163,075 | |||||||||
Sodexo SA | 717 | 80,544 | |||||||||
Suez | 2,864 | 45,043 | |||||||||
Teleperformance | 462 | 100,239 | |||||||||
Thales SA | 826 | 95,066 | |||||||||
TOTAL SA | 103,240 | 5,374,665 | |||||||||
Ubisoft Entertainment SA† | 659 | 47,661 | |||||||||
Valeo SA | 1,814 | 58,923 | |||||||||
Veolia Environnement SA | 4,221 | 107,081 | |||||||||
Vinci SA | 4,021 | 433,416 | |||||||||
Vivendi SA | 51,233 | 1,406,978 | |||||||||
Wendel SA | 220 | 30,378 | |||||||||
Worldline SA†* | 649 | 40,993 | |||||||||
31,448,338 | |||||||||||
Germany — 8.8% | |||||||||||
1&1 Drillisch AG | 411 | 12,811 | |||||||||
adidas AG | 4,301 | 1,338,568 | |||||||||
Allianz SE | 3,344 | 779,807 | |||||||||
Axel Springer SE† | 383 | 26,298 | |||||||||
BASF SE | 18,075 | 1,264,415 | |||||||||
Bayer AG | 27,762 | 1,957,413 | |||||||||
Bayerische Motoren Werke AG | 19,246 | 1,353,751 | |||||||||
Bayerische Motoren Werke AG (Preference Shares) | 434 | 24,083 | |||||||||
Beiersdorf AG | 10,608 | 1,251,631 | |||||||||
Brenntag AG | 1,249 | 60,444 | |||||||||
Carl Zeiss Meditec AG | 318 | 36,233 | |||||||||
Commerzbank AG | 31,465 | 182,603 | |||||||||
Continental AG | 8,402 | 1,078,599 | |||||||||
Covestro AG* | 11,345 | 561,368 | |||||||||
Daimler AG | 7,142 | 354,749 | |||||||||
Delivery Hero SE†* | 888 | 39,447 | |||||||||
Deutsche Bank AG | 15,368 | 115,122 | |||||||||
Deutsche Boerse AG | 1,515 | 236,826 | |||||||||
Deutsche Lufthansa AG | 1,848 | 29,368 | |||||||||
Deutsche Post AG | 7,794 | 260,337 | |||||||||
Deutsche Telekom AG | 26,110 | 438,322 |
Security Description | Shares | Value (Note 2) | |||||||||
Germany (continued) | |||||||||||
Deutsche Wohnen SE | 51,045 | $ | 1,863,994 | ||||||||
E.ON SE | 17,383 | 168,933 | |||||||||
Evonik Industries AG | 1,472 | 36,338 | |||||||||
Fraport AG Frankfurt Airport Services Worldwide | 326 | 27,651 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 14,924 | 1,003,008 | |||||||||
Fresenius SE & Co. KGaA | 21,986 | 1,027,848 | |||||||||
Fuchs Petrolub SE (Preference Shares) | 548 | 20,566 | |||||||||
GEA Group AG | 39,669 | 1,071,112 | |||||||||
Hannover Rueck SE | 479 | 81,014 | |||||||||
HeidelbergCement AG | 1,142 | 82,563 | |||||||||
Henkel AG & Co. KGaA | 793 | 72,623 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 1,381 | 136,741 | |||||||||
HOCHTIEF AG | 195 | 22,210 | |||||||||
HUGO BOSS AG | 531 | 28,469 | |||||||||
Infineon Technologies AG | 67,075 | 1,205,742 | |||||||||
KION Group AG | 550 | 28,892 | |||||||||
Knorr-Bremse AG | 11,506 | 1,081,541 | |||||||||
LANXESS AG | 735 | 44,868 | |||||||||
Merck KGaA | 1,002 | 112,909 | |||||||||
METRO AG | 1,384 | 21,837 | |||||||||
MTU Aero Engines AG | 410 | 108,940 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 6,458 | 1,670,831 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 1,227 | 79,824 | |||||||||
Puma SE | 670 | 51,848 | |||||||||
RWE AG | 4,320 | 135,170 | |||||||||
SAP SE | 24,361 | 2,863,987 | |||||||||
Sartorius AG (Preference Shares) | 280 | 51,086 | |||||||||
Siemens AG | 33,043 | 3,541,005 | |||||||||
Siemens Healthineers AG* | 16,165 | 635,952 | |||||||||
Stroeer SE & Co. KGaA | 6,452 | 491,339 | |||||||||
Symrise AG | 998 | 96,994 | |||||||||
Telefonica Deutschland Holding AG | 194,106 | 541,149 | |||||||||
thyssenkrupp AG | 3,188 | 44,179 | |||||||||
TUI AG | 3,420 | 39,801 | |||||||||
Uniper SE | 1,563 | 51,254 | |||||||||
United Internet AG | 984 | 35,098 | |||||||||
Volkswagen AG | 251 | 43,141 | |||||||||
Volkswagen AG (Preference Shares) | 1,453 | 247,157 | |||||||||
Vonovia SE | 4,001 | 202,962 | |||||||||
Wirecard AG | 925 | 147,828 | |||||||||
Zalando SE†* | 10,027 | 457,625 | |||||||||
31,078,224 | |||||||||||
Hong Kong — 2.1% | |||||||||||
AIA Group, Ltd. | 435,000 | 4,081,674 | |||||||||
Bank of East Asia, Ltd. | 9,400 | 23,187 | |||||||||
Beijing Enterprises Holdings, Ltd. | 66,000 | 304,307 | |||||||||
BOC Hong Kong Holdings, Ltd. | 361,500 | 1,233,514 | |||||||||
CLP Holdings, Ltd. | 13,000 | 136,119 | |||||||||
Galaxy Entertainment Group, Ltd. | 17,000 | 106,658 | |||||||||
Hang Lung Properties, Ltd. | 16,000 | 36,368 |
210
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Hong Kong (continued) | |||||||||||
Hang Seng Bank, Ltd. | 6,000 | $ | 129,809 | ||||||||
Henderson Land Development Co., Ltd. | 11,062 | 51,574 | |||||||||
Hong Kong & China Gas Co., Ltd. | 80,668 | 156,679 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 9,300 | 274,510 | |||||||||
Hysan Development Co., Ltd. | 5,000 | 20,229 | |||||||||
Link REIT | 16,500 | 181,144 | |||||||||
MTR Corp., Ltd. | 12,500 | 69,813 | |||||||||
New World Development Co., Ltd. | 47,000 | 61,398 | |||||||||
PCCW, Ltd. | 30,000 | 16,850 | |||||||||
Power Assets Holdings, Ltd. | 11,000 | 73,934 | |||||||||
Sino Land Co., Ltd. | 24,000 | 36,223 | |||||||||
SJM Holdings, Ltd. | 18,000 | 17,228 | |||||||||
Sun Hung Kai Properties, Ltd. | 12,500 | 180,713 | |||||||||
Swire Pacific, Ltd., Class A | 4,000 | 37,276 | |||||||||
Swire Properties, Ltd. | 9,400 | 29,630 | |||||||||
Techtronic Industries Co., Ltd. | 11,000 | 77,197 | |||||||||
Vitasoy International Holdings, Ltd. | 6,000 | 24,327 | |||||||||
Wharf Holdings, Ltd. | 11,000 | 24,081 | |||||||||
Wheelock & Co., Ltd. | 6,000 | 34,199 | |||||||||
7,418,641 | |||||||||||
India — 0.1% | |||||||||||
HDFC Bank, Ltd. ADR | 9,460 | 539,693 | |||||||||
Indonesia — 0.2% | |||||||||||
Bank Central Asia Tbk PT | 324,200 | 693,450 | |||||||||
Ireland — 0.4% | |||||||||||
AIB Group PLC | 6,299 | 18,740 | |||||||||
Bank of Ireland Group PLC | 7,348 | 29,204 | |||||||||
CRH PLC | 6,408 | 219,943 | |||||||||
DCC PLC | 8,831 | 770,226 | |||||||||
Flutter Entertainment PLC | 616 | 57,606 | |||||||||
James Hardie Industries PLC CDI | 3,596 | 60,392 | |||||||||
Kerry Group PLC, Class A | 1,227 | 144,020 | |||||||||
Kingspan Group PLC | 1,199 | 58,779 | |||||||||
Smurfit Kappa Group PLC | 1,769 | 52,622 | |||||||||
1,411,532 | |||||||||||
Isle of Man — 0.0% | |||||||||||
GVC Holdings PLC | 4,254 | 38,926 | |||||||||
Israel — 0.4% | |||||||||||
Azrieli Group, Ltd. | 297 | 23,327 | |||||||||
Bank Hapoalim B.M.† | 8,938 | 70,462 | |||||||||
Bank Leumi Le-Israel B.M. | 11,365 | 80,895 | |||||||||
Check Point Software Technologies, Ltd.† | 7,711 | 844,355 | |||||||||
CyberArk Software, Ltd.† | 294 | 29,347 | |||||||||
Elbit Systems, Ltd. | 177 | 29,337 | |||||||||
Israel Chemicals, Ltd. | 5,654 | 28,176 | |||||||||
Israel Discount Bank, Ltd., Class A | 9,193 | 40,440 | |||||||||
Mizrahi Tefahot Bank, Ltd. | 1,181 | 29,357 | |||||||||
NICE, Ltd.† | 480 | 69,101 |
Security Description | Shares | Value (Note 2) | |||||||||
Israel (continued) | |||||||||||
Teva Pharmaceutical Industries, Ltd. ADR† | 8,605 | $ | 59,202 | ||||||||
Wix.com, Ltd.† | 373 | 43,544 | |||||||||
1,347,543 | |||||||||||
Italy — 1.4% | |||||||||||
Assicurazioni Generali SpA | 8,653 | 167,807 | |||||||||
Atlantia SpA | 3,855 | 93,343 | |||||||||
Davide Campari-Milano SpA | 4,407 | 39,849 | |||||||||
Enel SpA | 63,878 | 477,289 | |||||||||
Eni SpA | 19,980 | 305,149 | |||||||||
FinecoBank Banca Fineco SpA | 4,798 | 50,860 | |||||||||
Intesa Sanpaolo SpA | 326,877 | 776,007 | |||||||||
Leonardo SpA | 3,234 | 38,076 | |||||||||
Mediobanca Banca di Credito Finanziario SpA | 4,873 | 53,269 | |||||||||
Moncler SpA | 19,443 | 693,531 | |||||||||
Pirelli & C SpA* | 3,081 | 18,259 | |||||||||
Poste Italiane SpA* | 4,028 | 45,849 | |||||||||
Prysmian SpA | 67,449 | 1,449,699 | |||||||||
Recordati SpA | 818 | 35,111 | |||||||||
Snam SpA | 16,438 | 83,110 | |||||||||
Telecom Italia SpA† | 72,041 | 41,147 | |||||||||
Telecom Italia SpA (RSP) | 559,336 | 306,043 | |||||||||
Terna Rete Elettrica Nazionale SpA | 11,052 | 70,979 | |||||||||
UniCredit SpA | 15,837 | 187,098 | |||||||||
4,932,475 | |||||||||||
Japan — 22.0% | |||||||||||
ABC-Mart, Inc. | 300 | 19,074 | |||||||||
Acom Co., Ltd. | 3,200 | 12,607 | |||||||||
Advantest Corp. | 1,600 | 70,767 | |||||||||
Aeon Co., Ltd. | 5,200 | 95,646 | |||||||||
AEON Financial Service Co., Ltd. | 1,100 | 16,644 | |||||||||
Aeon Mall Co., Ltd. | 800 | 12,668 | |||||||||
AGC, Inc. | 1,500 | 46,805 | |||||||||
Air Water, Inc. | 1,300 | 23,377 | |||||||||
Aisin Seiki Co., Ltd. | 12,200 | 385,860 | |||||||||
Ajinomoto Co., Inc. | 3,600 | 68,112 | |||||||||
Alfresa Holdings Corp. | 1,500 | 33,656 | |||||||||
Alps Alpine Co., Ltd. | 1,625 | 30,525 | |||||||||
Amada Holdings Co., Ltd. | 2,500 | 27,137 | |||||||||
ANA Holdings, Inc. | 900 | 30,267 | |||||||||
Aozora Bank, Ltd. | 900 | 22,586 | |||||||||
Asahi Group Holdings, Ltd. | 2,900 | 143,576 | |||||||||
Asahi Intecc Co., Ltd. | 1,600 | 42,340 | |||||||||
Asahi Kasei Corp. | 87,900 | 871,563 | |||||||||
Astellas Pharma, Inc. | 127,500 | 1,822,175 | |||||||||
Bandai Namco Holdings, Inc. | 1,600 | 99,680 | |||||||||
Bank of Kyoto, Ltd. | 400 | 15,746 | |||||||||
Benesse Holdings, Inc. | 600 | 15,638 | |||||||||
Bridgestone Corp. | 41,100 | 1,598,217 | |||||||||
Brother Industries, Ltd. | 1,800 | 32,851 | |||||||||
Calbee, Inc. | 600 | 18,709 | |||||||||
Canon, Inc. | 7,900 | 210,894 | |||||||||
Casio Computer Co., Ltd. | 1,500 | 23,250 | |||||||||
Central Japan Railway Co. | 4,400 | 908,184 | |||||||||
Chiba Bank, Ltd. | 4,700 | 24,318 |
211
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Chubu Electric Power Co., Inc. | 5,100 | $ | 73,868 | ||||||||
Chugai Pharmaceutical Co., Ltd. | 1,800 | 140,319 | |||||||||
Chugoku Electric Power Co., Inc. | 2,400 | 30,825 | |||||||||
Coca-Cola Bottlers Japan Holdings, Inc. | 938 | 21,151 | |||||||||
Concordia Financial Group, Ltd. | 8,500 | 32,787 | |||||||||
Credit Saison Co., Ltd. | 1,200 | 16,186 | |||||||||
CyberAgent, Inc. | 10,151 | 392,188 | |||||||||
Dai Nippon Printing Co., Ltd. | 2,000 | 51,982 | |||||||||
Dai-ichi Life Holdings, Inc. | 8,400 | 127,648 | |||||||||
Daicel Corp. | 2,300 | 19,569 | |||||||||
Daifuku Co., Ltd. | 748 | 38,927 | |||||||||
Daiichi Sankyo Co., Ltd. | 4,500 | 283,793 | |||||||||
Daikin Industries, Ltd. | 2,000 | 262,619 | |||||||||
Daito Trust Construction Co., Ltd. | 600 | 76,925 | |||||||||
Daiwa House Industry Co., Ltd. | 4,500 | 146,622 | |||||||||
Daiwa House REIT Investment Corp. | 14 | 39,367 | |||||||||
Daiwa Securities Group, Inc. | 12,000 | 53,749 | |||||||||
Denso Corp. | 3,400 | 150,208 | |||||||||
Dentsu, Inc. | 1,700 | 60,185 | |||||||||
Disco Corp. | 200 | 38,271 | |||||||||
East Japan Railway Co. | 2,400 | 229,591 | |||||||||
Eisai Co., Ltd. | 2,000 | 102,148 | |||||||||
Electric Power Development Co., Ltd. | 24,900 | 570,281 | |||||||||
FamilyMart Co., Ltd. | 2,100 | 51,379 | |||||||||
FANUC Corp. | 1,500 | 284,550 | |||||||||
Fast Retailing Co., Ltd. | 500 | 298,072 | |||||||||
Fuji Electric Co., Ltd. | 1,000 | 30,855 | |||||||||
FUJIFILM Holdings Corp. | 2,800 | 123,397 | |||||||||
Fujitsu, Ltd. | 1,500 | 120,474 | |||||||||
Fukuoka Financial Group, Inc. | 1,400 | 26,626 | |||||||||
GMO Payment Gateway, Inc. | 300 | 20,048 | |||||||||
Hakuhodo DY Holdings, Inc. | 1,800 | 26,174 | |||||||||
Hamamatsu Photonics KK | 12,200 | 456,366 | |||||||||
Hankyu Hanshin Holdings, Inc. | 1,800 | 69,672 | |||||||||
Hikari Tsushin, Inc. | 200 | 43,444 | |||||||||
Hino Motors, Ltd. | 2,000 | 16,573 | |||||||||
Hirose Electric Co., Ltd. | 225 | 27,758 | |||||||||
Hisamitsu Pharmaceutical Co., Inc. | 400 | 17,602 | |||||||||
Hitachi Chemical Co., Ltd. | 800 | 26,167 | |||||||||
Hitachi Construction Machinery Co., Ltd. | 800 | 19,439 | |||||||||
Hitachi High-Technologies Corp. | 500 | 28,890 | |||||||||
Hitachi Metals, Ltd. | 1,800 | 19,549 | |||||||||
Hitachi, Ltd. | 7,600 | 284,614 | |||||||||
Honda Motor Co., Ltd. | 25,800 | 671,681 | |||||||||
Hoshizaki Corp. | 400 | 31,561 | |||||||||
Hoya Corp. | 3,000 | 244,910 | |||||||||
Hulic Co., Ltd. | 2,300 | 23,611 | |||||||||
Idemitsu Kosan Co., Ltd. | 1,579 | 44,404 | |||||||||
IHI Corp. | 1,200 | 26,250 | |||||||||
Iida Group Holdings Co., Ltd. | 1,300 | 21,274 | |||||||||
Inpex Corp. | 7,900 | 72,064 | |||||||||
Isetan Mitsukoshi Holdings, Ltd. | 2,600 | 20,826 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Isuzu Motors, Ltd. | 4,200 | $ | 46,611 | ||||||||
ITOCHU Corp. | 10,600 | 219,734 | |||||||||
Itochu Techno-Solutions Corp. | 800 | 21,194 | |||||||||
J. Front Retailing Co., Ltd. | 1,800 | 21,161 | |||||||||
Japan Airlines Co., Ltd. | 1,000 | 29,722 | |||||||||
Japan Airport Terminal Co., Ltd. | 400 | 17,421 | |||||||||
Japan Exchange Group, Inc. | 4,100 | 64,876 | |||||||||
Japan Post Bank Co., Ltd. | 3,100 | 30,132 | |||||||||
Japan Post Holdings Co., Ltd. | 12,300 | 113,591 | |||||||||
Japan Prime Realty Investment Corp. | 6 | 28,481 | |||||||||
Japan Real Estate Investment Corp. | 10 | 67,057 | |||||||||
Japan Retail Fund Investment Corp. | 20 | 42,287 | |||||||||
Japan Tobacco, Inc. | 9,500 | 208,172 | |||||||||
JFE Holdings, Inc. | 4,000 | 48,421 | |||||||||
JGC Corp. | 1,700 | 22,416 | |||||||||
JSR Corp. | 1,600 | 25,767 | |||||||||
JTEKT Corp. | 1,800 | 20,805 | |||||||||
JXTG Holdings, Inc. | 25,450 | 115,436 | |||||||||
Kajima Corp. | 3,400 | 44,846 | |||||||||
Kakaku.com, Inc. | 1,200 | 29,667 | |||||||||
Kamigumi Co., Ltd. | 800 | 18,124 | |||||||||
Kaneka Corp. | 400 | 12,548 | |||||||||
Kansai Electric Power Co., Inc. | 5,600 | 62,630 | |||||||||
Kansai Paint Co., Ltd. | 1,300 | 30,385 | |||||||||
Kao Corp. | 3,800 | 281,820 | |||||||||
Kawasaki Heavy Industries, Ltd. | 1,200 | 26,745 | |||||||||
KDDI Corp. | 53,900 | 1,408,953 | |||||||||
Keihan Holdings Co., Ltd. | 800 | 35,693 | |||||||||
Keikyu Corp. | 1,700 | 33,100 | |||||||||
Keio Corp. | 800 | 49,960 | |||||||||
Keisei Electric Railway Co., Ltd. | 1,000 | 41,279 | |||||||||
Keyence Corp. | 2,200 | 1,370,682 | |||||||||
Kikkoman Corp. | 1,100 | 52,809 | |||||||||
Kintetsu Group Holdings Co., Ltd. | 1,400 | 73,118 | |||||||||
Kirin Holdings Co., Ltd. | 26,600 | 564,690 | |||||||||
Kobayashi Pharmaceutical Co., Ltd. | 399 | 30,498 | |||||||||
Kobe Steel, Ltd. | 2,500 | 13,422 | |||||||||
Koito Manufacturing Co., Ltd. | 800 | 39,442 | |||||||||
Komatsu, Ltd. | 7,300 | 168,232 | |||||||||
Konami Holdings Corp. | 700 | 33,913 | |||||||||
Konica Minolta, Inc. | 3,600 | 25,173 | |||||||||
Kose Corp. | 240 | 40,556 | |||||||||
Kubota Corp. | 57,800 | 879,147 | |||||||||
Kuraray Co., Ltd. | 2,600 | 32,161 | |||||||||
Kurita Water Industries, Ltd. | 900 | 24,236 | |||||||||
Kyocera Corp. | 2,500 | 156,134 | |||||||||
Kyowa Kirin Co., Ltd. | 2,000 | 38,839 | |||||||||
Kyushu Electric Power Co., Inc. | 2,900 | 27,374 | |||||||||
Kyushu Railway Co. | 1,300 | 41,575 | |||||||||
Lawson, Inc. | 400 | 20,489 | |||||||||
LINE Corp.† | 500 | 17,904 | |||||||||
Lion Corp. | 1,800 | 35,510 | |||||||||
LIXIL Group Corp. | 2,100 | 36,926 | |||||||||
M3, Inc. | 3,500 | 84,751 | |||||||||
Makita Corp. | 28,800 | 914,108 | |||||||||
Marubeni Corp. | 12,300 | 82,097 |
212
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Marui Group Co., Ltd. | 1,600 | $ | 33,926 | ||||||||
Maruichi Steel Tube, Ltd. | 400 | 10,621 | |||||||||
Mazda Motor Corp. | 4,500 | 40,251 | |||||||||
McDonald's Holdings Co. Japan, Ltd. | 500 | 24,192 | |||||||||
Mebuki Financial Group, Inc. | 7,300 | 18,067 | |||||||||
Medipal Holdings Corp. | 1,300 | 29,063 | |||||||||
MEIJI Holdings Co., Ltd. | 900 | 65,705 | |||||||||
Mercari, Inc.† | 600 | 14,992 | |||||||||
Minebea Mitsumi, Inc. | 3,000 | 47,938 | |||||||||
MISUMI Group, Inc. | 2,200 | 52,264 | |||||||||
Mitsubishi Chemical Holdings Corp. | 10,000 | 71,670 | |||||||||
Mitsubishi Corp. | 41,600 | 1,024,383 | |||||||||
Mitsubishi Electric Corp. | 107,900 | 1,441,597 | |||||||||
Mitsubishi Estate Co., Ltd. | 9,300 | 180,080 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 1,300 | 17,473 | |||||||||
Mitsubishi Heavy Industries, Ltd. | 2,500 | 98,339 | |||||||||
Mitsubishi Materials Corp. | 900 | 24,431 | |||||||||
Mitsubishi Motors Corp. | 5,200 | 22,694 | |||||||||
Mitsubishi Tanabe Pharma Corp. | 1,800 | 19,819 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 572,400 | 2,917,342 | |||||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 73,300 | 425,492 | |||||||||
Mitsui & Co., Ltd. | 13,000 | 213,604 | |||||||||
Mitsui Chemicals, Inc. | 1,500 | 33,809 | |||||||||
Mitsui Fudosan Co., Ltd. | 44,400 | 1,105,010 | |||||||||
Mitsui Mining & Smelting Co., Ltd. | 10,500 | 250,197 | |||||||||
Mitsui OSK Lines, Ltd. | 900 | 22,917 | |||||||||
Mizuho Financial Group, Inc. | 189,500 | 291,363 | |||||||||
MonotaRO Co., Ltd. | 1,100 | 28,991 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 3,700 | 120,369 | |||||||||
Murata Manufacturing Co., Ltd. | 37,900 | 1,834,846 | |||||||||
Nabtesco Corp. | 34,800 | 1,087,901 | |||||||||
Nagoya Railroad Co., Ltd. | 1,500 | 44,967 | |||||||||
NEC Corp. | 2,000 | 84,755 | |||||||||
Nexon Co., Ltd.† | 56,500 | 685,715 | |||||||||
NGK Insulators, Ltd. | 2,100 | 30,082 | |||||||||
NGK Spark Plug Co., Ltd. | 1,300 | 24,949 | |||||||||
NH Foods, Ltd. | 600 | 24,128 | |||||||||
Nidec Corp. | 1,800 | 243,916 | |||||||||
Nikon Corp. | 2,600 | 32,667 | |||||||||
Nintendo Co., Ltd. | 6,100 | 2,271,099 | |||||||||
Nippon Building Fund, Inc. | 11 | 84,472 | |||||||||
Nippon Electric Glass Co., Ltd. | 600 | 13,443 | |||||||||
Nippon Express Co., Ltd. | 600 | 30,611 | |||||||||
Nippon Paint Holdings Co., Ltd. | 1,200 | 62,599 | |||||||||
Nippon Prologis REIT, Inc. | 16 | 43,816 | |||||||||
Nippon Steel Corp. | 6,200 | 86,895 | |||||||||
Nippon Telegraph & Telephone Corp. | 50,400 | 2,410,567 | |||||||||
Nippon Yusen KK | 1,300 | 21,882 | |||||||||
Nissan Chemical Corp. | 1,000 | 41,806 | |||||||||
Nissan Motor Co., Ltd. | 18,000 | 112,713 | |||||||||
Nisshin Seifun Group, Inc. | 1,600 | 29,686 | |||||||||
Nissin Foods Holdings Co., Ltd. | 500 | 36,239 | |||||||||
Nitori Holdings Co., Ltd. | 600 | 87,784 | |||||||||
Nitto Denko Corp. | 1,200 | 58,161 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Nomura Holdings, Inc. | 26,100 | $ | 110,371 | ||||||||
Nomura Real Estate Holdings, Inc. | 1,000 | 21,686 | |||||||||
Nomura Real Estate Master Fund, Inc. | 32 | 57,780 | |||||||||
Nomura Research Institute, Ltd. | 2,700 | 53,911 | |||||||||
NSK, Ltd. | 3,000 | 25,460 | |||||||||
NTT Data Corp. | 5,000 | 64,856 | |||||||||
NTT DOCOMO, Inc. | 10,400 | 265,560 | |||||||||
Obayashi Corp. | 4,800 | 48,045 | |||||||||
OBIC Co., Ltd. | 500 | 57,221 | |||||||||
Odakyu Electric Railway Co., Ltd. | 2,200 | 52,863 | |||||||||
Oji Holdings Corp. | 6,900 | 32,385 | |||||||||
Olympus Corp. | 9,200 | 124,521 | |||||||||
Omron Corp. | 11,700 | 645,663 | |||||||||
Ono Pharmaceutical Co., Ltd. | 3,000 | 54,560 | |||||||||
Oracle Corp. Japan | 300 | 26,154 | |||||||||
Oriental Land Co., Ltd. | 1,600 | 243,408 | |||||||||
ORIX Corp. | 71,200 | 1,065,548 | |||||||||
Osaka Gas Co., Ltd. | 2,900 | 55,671 | |||||||||
Otsuka Corp. | 800 | 32,057 | |||||||||
Otsuka Holdings Co., Ltd. | 17,800 | 665,798 | |||||||||
Pan Pacific International Holdings Corp | 3,600 | 60,109 | |||||||||
Panasonic Corp. | 80,100 | 652,458 | |||||||||
Park24 Co., Ltd. | 1,000 | 23,209 | |||||||||
PeptiDream, Inc.† | 700 | 33,404 | |||||||||
Persol Holdings Co., Ltd. | 1,301 | 24,765 | |||||||||
Pigeon Corp. | 900 | 37,086 | |||||||||
Pola Orbis Holdings, Inc. | 9,744 | 219,320 | |||||||||
Rakuten, Inc. | 6,700 | 66,075 | |||||||||
Recruit Holdings Co., Ltd. | 82,100 | 2,509,358 | |||||||||
Renesas Electronics Corp.† | 45,721 | 297,342 | |||||||||
Resona Holdings, Inc. | 16,400 | 70,635 | |||||||||
Ricoh Co., Ltd. | 5,300 | 47,979 | |||||||||
Rinnai Corp. | 300 | 20,271 | |||||||||
Rohm Co., Ltd. | 700 | 53,981 | |||||||||
Ryohin Keikaku Co., Ltd. | 1,900 | 35,656 | |||||||||
Sankyo Co., Ltd. | 400 | 13,797 | |||||||||
Santen Pharmaceutical Co., Ltd. | 84,200 | 1,468,992 | |||||||||
SBI Holdings, Inc. | 1,800 | 38,750 | |||||||||
Secom Co., Ltd. | 1,700 | 155,621 | |||||||||
Sega Sammy Holdings, Inc. | 1,500 | 21,097 | |||||||||
Seibu Holdings, Inc. | 1,600 | 27,961 | |||||||||
Seiko Epson Corp. | 2,200 | 31,110 | |||||||||
Sekisui Chemical Co., Ltd. | 78,900 | 1,229,877 | |||||||||
Sekisui House, Ltd. | 4,900 | 96,714 | |||||||||
Seven & i Holdings Co., Ltd. | 30,300 | 1,162,757 | |||||||||
Seven Bank, Ltd. | 4,700 | 12,911 | |||||||||
SG Holdings Co., Ltd. | 1,172 | 28,694 | |||||||||
Sharp Corp. | 1,800 | 20,094 | |||||||||
Shimadzu Corp. | 1,800 | 45,749 | |||||||||
Shimamura Co., Ltd. | 200 | 15,901 | |||||||||
Shimano, Inc. | 600 | 90,754 | |||||||||
Shimizu Corp. | 4,700 | 42,739 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 2,900 | 312,466 | |||||||||
Shinsei Bank, Ltd. | 1,400 | 20,474 | |||||||||
Shionogi & Co., Ltd. | 2,100 | 117,161 |
213
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Shiseido Co., Ltd. | 3,200 | $ | 255,651 | ||||||||
Shizuoka Bank, Ltd. | 3,400 | 25,472 | |||||||||
Showa Denko KK | 1,100 | 28,992 | |||||||||
SMC Corp. | 4,800 | 2,065,211 | |||||||||
Softbank Corp. | 13,100 | 177,416 | |||||||||
SoftBank Group Corp. | 23,900 | 938,723 | |||||||||
Sohgo Security Services Co., Ltd. | 600 | 31,562 | |||||||||
Sompo Holdings, Inc. | 2,600 | 109,321 | |||||||||
Sony Corp. | 48,900 | 2,873,389 | |||||||||
Sony Financial Holdings, Inc. | 1,300 | 28,315 | |||||||||
Stanley Electric Co., Ltd. | 20,800 | 554,350 | |||||||||
Subaru Corp. | 4,900 | 138,511 | |||||||||
SUMCO Corp. | 1,912 | 25,945 | |||||||||
Sumitomo Chemical Co., Ltd. | 11,300 | 51,060 | |||||||||
Sumitomo Corp. | 90,000 | 1,411,852 | |||||||||
Sumitomo Dainippon Pharma Co., Ltd. | 1,300 | 21,485 | |||||||||
Sumitomo Electric Industries, Ltd. | 5,800 | 74,076 | |||||||||
Sumitomo Heavy Industries, Ltd. | 1,000 | 29,845 | |||||||||
Sumitomo Metal Mining Co., Ltd. | 1,900 | 59,256 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 10,500 | 360,654 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 17,500 | 634,330 | |||||||||
Sumitomo Realty & Development Co., Ltd. | 2,600 | 99,371 | |||||||||
Sumitomo Rubber Industries, Ltd. | 23,300 | 277,909 | |||||||||
Sundrug Co., Ltd. | 696 | 21,896 | |||||||||
Suntory Beverage & Food, Ltd. | 1,100 | 47,047 | |||||||||
Suzuken Co., Ltd. | 600 | 32,378 | |||||||||
Suzuki Motor Corp. | 37,800 | 1,605,650 | |||||||||
Sysmex Corp. | 1,300 | 87,381 | |||||||||
T&D Holdings, Inc. | 4,200 | 44,846 | |||||||||
Taiheiyo Cement Corp. | 1,100 | 29,571 | |||||||||
Taisei Corp. | 1,600 | 62,297 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 300 | 21,907 | |||||||||
Taiyo Nippon Sanso Corp. | 1,100 | 22,334 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 58,600 | 2,007,769 | |||||||||
Takeda Pharmaceutical Co., Ltd. ADR | 15,601 | 268,337 | |||||||||
TDK Corp. | 1,000 | 90,393 | |||||||||
TechnoPro Holdings, Inc. | 5,100 | 302,370 | |||||||||
Teijin, Ltd. | 1,300 | 25,095 | |||||||||
Terumo Corp. | 33,900 | 1,092,120 | |||||||||
THK Co., Ltd. | 27,100 | 718,478 | |||||||||
Tobu Railway Co., Ltd. | 1,500 | 48,772 | |||||||||
Toho Co., Ltd. | 900 | 39,543 | |||||||||
Toho Gas Co., Ltd. | 600 | 23,022 | |||||||||
Tohoku Electric Power Co., Inc. | 3,300 | 32,291 | |||||||||
Tokio Marine Holdings, Inc. | 26,500 | 1,422,755 | |||||||||
Tokyo Century Corp. | 300 | 13,970 | |||||||||
Tokyo Electric Power Co. Holdings, Inc.† | 11,700 | 57,282 | |||||||||
Tokyo Electron, Ltd. | 5,200 | 998,820 | |||||||||
Tokyo Gas Co., Ltd. | 3,000 | 75,847 | |||||||||
Tokyu Corp. | 4,000 | 75,321 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Tokyu Fudosan Holdings Corp. | 4,700 | $ | 30,119 | ||||||||
Toppan Printing Co., Ltd. | 2,200 | 39,163 | |||||||||
Toray Industries, Inc. | 11,200 | 83,619 | |||||||||
Toshiba Corp. | 4,100 | 125,565 | |||||||||
Tosoh Corp. | 10,400 | 138,445 | |||||||||
TOTO, Ltd. | 1,100 | 41,462 | |||||||||
Toyo Seikan Group Holdings, Ltd. | 1,300 | 20,299 | |||||||||
Toyo Suisan Kaisha, Ltd. | 700 | 28,052 | |||||||||
Toyoda Gosei Co., Ltd. | 500 | 10,077 | |||||||||
Toyota Industries Corp. | 1,200 | 69,263 | |||||||||
Toyota Motor Corp. | 65,000 | 4,359,823 | |||||||||
Toyota Tsusho Corp. | 1,700 | 55,131 | |||||||||
Trend Micro, Inc. | 1,000 | 47,779 | |||||||||
Tsuruha Holdings, Inc. | 287 | 31,381 | |||||||||
Unicharm Corp. | 3,200 | 101,426 | |||||||||
United Urban Investment Corp. | 22 | 42,135 | |||||||||
USS Co., Ltd. | 1,800 | 35,107 | |||||||||
Welcia Holdings Co., Ltd. | 7,500 | 378,851 | |||||||||
West Japan Railway Co. | 1,300 | 110,120 | |||||||||
Yahoo Japan Corp. | 111,700 | 316,057 | |||||||||
Yakult Honsha Co., Ltd. | 900 | 50,370 | |||||||||
Yamada Denki Co., Ltd. | 5,400 | 26,134 | |||||||||
Yamaha Corp. | 1,100 | 49,764 | |||||||||
Yamaha Motor Co., Ltd. | 2,200 | 40,122 | |||||||||
Yamato Holdings Co., Ltd. | 2,400 | 36,292 | |||||||||
Yamazaki Baking Co., Ltd. | 1,100 | 19,629 | |||||||||
Yaskawa Electric Corp. | 1,900 | 70,576 | |||||||||
Yokogawa Electric Corp. | 1,800 | 32,953 | |||||||||
Yokohama Rubber Co., Ltd. | 900 | 18,124 | |||||||||
ZOZO, Inc. | 1,730 | 39,913 | |||||||||
77,782,153 | |||||||||||
Jersey — 0.6% | |||||||||||
Amcor PLC CDI | 47,174 | 454,035 | |||||||||
Experian PLC | 7,155 | 228,592 | |||||||||
Ferguson PLC | 1,815 | 132,605 | |||||||||
Glencore PLC | 86,502 | 260,609 | |||||||||
WPP PLC | 75,626 | 946,706 | |||||||||
2,022,547 | |||||||||||
Luxembourg — 0.6% | |||||||||||
ArcelorMittal | 5,142 | 72,481 | |||||||||
Aroundtown SA | 7,165 | 58,603 | |||||||||
Eurofins Scientific SE | 85 | 39,541 | |||||||||
Millicom International Cellular SA SDR | 526 | 25,519 | |||||||||
RTL Group SA | 302 | 14,536 | |||||||||
Samsonite International SA* | 455,400 | 970,511 | |||||||||
SES SA FDR | 2,806 | 51,175 | |||||||||
Tenaris SA | 84,364 | 895,067 | |||||||||
2,127,433 | |||||||||||
Mauritius — 0.0% | |||||||||||
Golden Agri-Resources, Ltd. | 55,600 | 9,067 | |||||||||
Netherlands — 4.7% | |||||||||||
Aalberts NV | 19,728 | 782,635 | |||||||||
ABN AMRO Group NV CVA* | 38,069 | 671,233 | |||||||||
Adyen NV†* | 82 | 54,067 |
214
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Netherlands (continued) | |||||||||||
Aegon NV | 13,514 | $ | 56,200 | ||||||||
AerCap Holdings NV† | 983 | 53,819 | |||||||||
Airbus SE | 4,599 | 598,032 | |||||||||
Akzo Nobel NV | 15,708 | 1,401,334 | |||||||||
ASML Holding NV | 16,106 | 3,997,541 | |||||||||
CNH Industrial NV | 7,858 | 80,130 | |||||||||
EXOR NV | 849 | 56,965 | |||||||||
Ferrari NV | 951 | 146,874 | |||||||||
Fiat Chrysler Automobiles NV | 8,498 | 110,109 | |||||||||
Heineken Holding NV | 929 | 92,555 | |||||||||
Heineken NV | 2,014 | 217,783 | |||||||||
ING Groep NV | 116,044 | 1,216,447 | |||||||||
Koninklijke Ahold Delhaize NV | 9,349 | 233,870 | |||||||||
Koninklijke DSM NV | 1,421 | 170,933 | |||||||||
Koninklijke KPN NV | 28,214 | 88,022 | |||||||||
Koninklijke Philips NV | 84,075 | 3,897,276 | |||||||||
Koninklijke Vopak NV | 563 | 28,908 | |||||||||
NN Group NV | 2,437 | 86,516 | |||||||||
NXP Semiconductors NV | 11,547 | 1,260,009 | |||||||||
Prosus NV† | 3,830 | 281,153 | |||||||||
QIAGEN NV† | 1,790 | 58,605 | |||||||||
Randstad NV | 923 | 45,343 | |||||||||
STMicroelectronics NV | 5,341 | 103,485 | |||||||||
Unilever NV | 11,511 | 691,674 | |||||||||
Wolters Kluwer NV | 2,209 | 161,338 | |||||||||
16,642,856 | |||||||||||
New Zealand — 0.3% | |||||||||||
a2 Milk Co., Ltd.† | 5,730 | 47,602 | |||||||||
Auckland International Airport, Ltd. | 7,331 | 41,910 | |||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 4,355 | 47,054 | |||||||||
Fletcher Building, Ltd. | 6,844 | 22,045 | |||||||||
Meridian Energy, Ltd. | 10,128 | 32,984 | |||||||||
Ryman Healthcare, Ltd. | 3,085 | 25,627 | |||||||||
Spark New Zealand, Ltd. | 14,926 | 41,246 | |||||||||
Xero, Ltd.† | 19,695 | 829,836 | |||||||||
1,088,304 | |||||||||||
Norway — 1.6% | |||||||||||
Aker BP ASA | 850 | 22,650 | |||||||||
DNB ASA | 147,023 | 2,595,718 | |||||||||
Equinor ASA | 55,605 | 1,054,756 | |||||||||
Gjensidige Forsikring ASA | 1,583 | 31,416 | |||||||||
Mowi ASA | 3,464 | 79,918 | |||||||||
Norsk Hydro ASA | 299,535 | 1,057,429 | |||||||||
Orkla ASA | 6,035 | 54,947 | |||||||||
Schibsted ASA, Class B | 697 | 19,552 | |||||||||
Storebrand ASA | 97,650 | 617,723 | |||||||||
Telenor ASA | 5,803 | 116,437 | |||||||||
Yara International ASA | 1,442 | 62,210 | |||||||||
5,712,756 | |||||||||||
Papua New Guinea — 0.0% | |||||||||||
Oil Search, Ltd. | 10,743 | 53,333 |
Security Description | Shares | Value (Note 2) | |||||||||
Portugal — 0.0% | |||||||||||
Banco Espirito Santo SA†(1) | 59,101 | $ | 0 | ||||||||
EDP - Energias de Portugal SA | 20,223 | 78,553 | |||||||||
Galp Energia SGPS SA | 3,869 | 58,196 | |||||||||
Jeronimo Martins SGPS SA | 2,013 | 33,958 | |||||||||
170,707 | |||||||||||
Singapore — 1.3% | |||||||||||
Ascendas Real Estate Investment Trust | 20,700 | 46,764 | |||||||||
CapitaLand Commercial Trust | 20,700 | 30,978 | |||||||||
CapitaLand Mall Trust | 19,000 | 36,173 | |||||||||
CapitaLand, Ltd. | 20,200 | 51,740 | |||||||||
City Developments, Ltd. | 3,600 | 25,660 | |||||||||
ComfortDelGro Corp., Ltd. | 15,700 | 27,305 | |||||||||
DBS Group Holdings, Ltd. | 43,900 | 791,233 | |||||||||
Genting Singapore, Ltd. | 48,700 | 31,018 | |||||||||
Jardine Cycle & Carriage, Ltd. | 900 | 19,591 | |||||||||
Keppel Corp., Ltd. | 11,700 | 50,351 | |||||||||
Oversea-Chinese Banking Corp., Ltd. | 183,500 | 1,446,139 | |||||||||
SATS, Ltd. | 5,000 | 17,537 | |||||||||
Sembcorp Industries, Ltd. | 7,400 | 11,165 | |||||||||
Singapore Airlines, Ltd. | 4,000 | 26,481 | |||||||||
Singapore Exchange, Ltd. | 6,500 | 39,890 | |||||||||
Singapore Press Holdings, Ltd. | �� | 11,600 | 17,501 | ||||||||
Singapore Technologies Engineering, Ltd. | 11,600 | 32,237 | |||||||||
Singapore Telecommunications, Ltd. | 63,910 | 143,513 | |||||||||
Suntec Real Estate Investment Trust | 16,700 | 22,950 | |||||||||
United Overseas Bank, Ltd. | 53,100 | 983,692 | |||||||||
UOL Group, Ltd. | 3,900 | 21,171 | |||||||||
Venture Corp., Ltd. | 2,148 | 23,808 | |||||||||
Wilmar International, Ltd. | 222,500 | 601,866 | |||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 16,000 | 11,119 | |||||||||
4,509,882 | |||||||||||
South Korea — 1.1% | |||||||||||
KT Corp. | 12,588 | 288,906 | |||||||||
NAVER Corp. | 2,497 | 328,390 | |||||||||
Samsung Electronics Co., Ltd. | 62,332 | 2,543,141 | |||||||||
Samsung SDI Co., Ltd. | 3,952 | 737,134 | |||||||||
3,897,571 | |||||||||||
Spain — 1.6% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 2,062 | 82,491 | |||||||||
Aena SME SA* | 539 | 98,783 | |||||||||
Amadeus IT Group SA | 3,440 | 246,694 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 303,528 | 1,583,602 | |||||||||
Banco de Sabadell SA | 43,947 | 42,696 | |||||||||
Banco Santander SA | 132,425 | 539,974 | |||||||||
Bankia SA | 9,677 | 18,299 | |||||||||
Bankinter SA | 5,385 | 34,045 | |||||||||
CaixaBank SA | 27,632 | 72,677 | |||||||||
Cellnex Telecom SA* | 1,534 | 63,367 | |||||||||
Enagas SA | 1,736 | 40,257 | |||||||||
Endesa SA | 2,509 | 66,008 | |||||||||
Ferrovial SA | 3,731 | 107,803 |
215
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Spain (continued) | |||||||||||
Grifols SA | 2,397 | $ | 70,628 | ||||||||
Iberdrola SA | 47,423 | 492,830 | |||||||||
Industria de Diseno Textil SA | 46,304 | 1,434,325 | |||||||||
Mapfre SA | 7,454 | 20,095 | |||||||||
Naturgy Energy Group SA | 2,371 | 62,900 | |||||||||
Red Electrica Corp. SA | 3,455 | 70,140 | |||||||||
Repsol SA | 11,634 | 181,470 | |||||||||
Siemens Gamesa Renewable Energy SA | 1,850 | 25,137 | |||||||||
Telefonica SA | 36,567 | 279,224 | |||||||||
5,633,445 | |||||||||||
SupraNational — 0.2% | |||||||||||
HK Electric Investments & HK Electric Investments, Ltd. | 20,000 | 19,064 | |||||||||
HKT Trust & HKT, Ltd. | 30,000 | 47,698 | |||||||||
Unibail-Rodamco-Westfield | 3,813 | 555,863 | |||||||||
622,625 | |||||||||||
Sweden — 1.7% | |||||||||||
Alfa Laval AB | 2,485 | 49,094 | |||||||||
Assa Abloy AB, Class B | 62,618 | 1,394,934 | |||||||||
Atlas Copco AB, Class A | 5,210 | 160,393 | |||||||||
Atlas Copco AB, Class B | 3,005 | 81,540 | |||||||||
Boliden AB | 2,190 | 50,393 | |||||||||
Electrolux AB, Series B | 1,777 | 42,167 | |||||||||
Elekta AB, Series B | 41,426 | 546,106 | |||||||||
Epiroc AB, Class A | 5,210 | 56,563 | |||||||||
Epiroc AB, Class B | 3,005 | 31,100 | |||||||||
Essity AB, Class B | 4,729 | 137,981 | |||||||||
Hennes & Mauritz AB, Class B | 6,345 | 123,135 | |||||||||
Hexagon AB, Class B | 2,054 | 99,250 | |||||||||
Husqvarna AB, Class B | 3,277 | 24,958 | |||||||||
ICA Gruppen AB | 713 | 32,946 | |||||||||
Industrivarden AB, Class C | 1,317 | 28,854 | |||||||||
Investor AB, Class B | 3,541 | 173,193 | |||||||||
Kinnevik AB, Class B | 1,889 | 49,716 | |||||||||
L E Lundbergforetagen AB, Class B | 557 | 20,969 | |||||||||
Lundin Petroleum AB | 1,451 | 43,406 | |||||||||
Sandvik AB | 8,720 | 135,793 | |||||||||
Securitas AB, Class B | 2,483 | 38,062 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 12,719 | 116,994 | |||||||||
Skanska AB, Class B | 2,638 | 53,464 | |||||||||
SKF AB, Class B | 2,926 | 48,422 | |||||||||
Svenska Handelsbanken AB, Class A | 111,611 | 1,046,471 | |||||||||
Swedbank AB, Class A | 7,085 | 102,072 | |||||||||
Swedish Match AB | 1,381 | 57,129 | |||||||||
Tele2 AB, Class B | 3,909 | 58,134 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 107,522 | 859,383 | |||||||||
Telia Co AB | 21,948 | 98,309 | |||||||||
Volvo AB, Class B | 11,730 | 164,953 | |||||||||
5,925,884 |
Security Description | Shares | Value (Note 2) | |||||||||
Switzerland — 10.9% | |||||||||||
ABB, Ltd. | 56,695 | $ | 1,113,562 | ||||||||
Adecco Group AG | 1,298 | 71,796 | |||||||||
Alcon, Inc.† | 8,741 | 510,145 | |||||||||
Baloise Holding AG | 382 | 68,469 | |||||||||
Barry Callebaut AG | 18 | 37,182 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 82,760 | |||||||||
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate) | 9 | 66,454 | |||||||||
Cie Financiere Richemont SA | 24,360 | 1,790,253 | |||||||||
Clariant AG | 1,564 | 30,460 | |||||||||
Coca-Cola HBC AG | 1,587 | 51,845 | |||||||||
Credit Suisse Group AG | 20,012 | 245,706 | |||||||||
Dufry AG | 340 | 28,465 | |||||||||
EMS-Chemie Holding AG | 65 | 40,509 | |||||||||
GAM Holding AG† | 17,157 | 68,817 | |||||||||
Geberit AG | 295 | 140,847 | |||||||||
Givaudan SA | 72 | 200,954 | |||||||||
Julius Baer Group, Ltd. | 1,729 | 76,698 | |||||||||
Kuehne & Nagel International AG | 433 | 63,819 | |||||||||
LafargeHolcim, Ltd. | 3,801 | 187,327 | |||||||||
Lonza Group AG | 4,333 | 1,466,224 | |||||||||
Nestle SA | 98,810 | 10,718,325 | |||||||||
Novartis AG | 75,265 | 6,534,154 | |||||||||
Pargesa Holding SA | 302 | 23,233 | |||||||||
Partners Group Holding AG | 148 | 113,530 | |||||||||
Roche Holding AG | 27,692 | 8,075,683 | |||||||||
Schindler Holding AG (Participation Certificate) | 5,393 | 1,206,988 | |||||||||
Schindler Holding AG | 159 | 35,453 | |||||||||
SGS SA | 452 | 1,120,131 | |||||||||
Sika AG | 1,017 | 148,857 | |||||||||
Sonova Holding AG | 433 | 100,694 | |||||||||
Straumann Holding AG | 683 | 558,635 | |||||||||
Swatch Group AG (TRQX) | 403 | 20,283 | |||||||||
Swatch Group AG (XEGT) | 239 | 63,557 | |||||||||
Swiss Life Holding AG | 269 | 128,563 | |||||||||
Swiss Prime Site AG | 598 | 58,554 | |||||||||
Swiss Re AG | 2,386 | 249,002 | |||||||||
Swisscom AG | 205 | 101,110 | |||||||||
Temenos AG | 505 | 84,628 | |||||||||
UBS Group AG | 116,261 | 1,321,674 | |||||||||
Vifor Pharma AG | 377 | 60,268 | |||||||||
Zurich Insurance Group AG | 4,029 | 1,541,718 | |||||||||
38,607,332 | |||||||||||
Taiwan — 0.7% | |||||||||||
Largan Precision Co., Ltd. | 3,000 | 433,608 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 195,000 | 1,717,840 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 8,022 | 372,863 | |||||||||
2,524,311 | |||||||||||
Turkey — 0.2% | |||||||||||
Turkiye Garanti Bankasi AS† | 322,726 | 583,858 |
216
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
United Kingdom — 15.2% | |||||||||||
3i Group PLC | 7,827 | $ | 112,232 | ||||||||
Admiral Group PLC | 1,568 | 40,843 | |||||||||
Anglo American PLC | 8,247 | 189,990 | |||||||||
Antofagasta PLC | 140,247 | 1,553,446 | |||||||||
Ashtead Group PLC | 3,680 | 102,400 | |||||||||
ASOS PLC† | 13,982 | 425,490 | |||||||||
Associated British Foods PLC | 2,755 | 77,999 | |||||||||
AstraZeneca PLC | 10,335 | 918,416 | |||||||||
Auto Trader Group PLC* | 7,800 | 48,903 | |||||||||
Aviva PLC | 139,490 | 684,072 | |||||||||
BAE Systems PLC | 25,233 | 176,810 | |||||||||
Barclays PLC | 135,841 | 251,041 | |||||||||
Barclays PLC ADR | 13,200 | 96,888 | |||||||||
Barratt Developments PLC | 7,887 | 62,859 | |||||||||
Berkeley Group Holdings PLC | 1,009 | 51,844 | |||||||||
BHP Group PLC | 99,128 | 2,120,040 | |||||||||
BP PLC | 160,002 | 1,011,628 | |||||||||
British American Tobacco PLC | 18,115 | 669,741 | |||||||||
British Land Co. PLC | 7,276 | 52,346 | |||||||||
BT Group PLC | 65,683 | 144,320 | |||||||||
Bunzl PLC | 39,334 | 1,028,366 | |||||||||
Burberry Group PLC | 64,822 | 1,733,808 | |||||||||
Carnival PLC | 1,358 | 56,287 | |||||||||
Centrica PLC | 44,180 | 40,055 | |||||||||
Close Brothers Group PLC | 7,073 | 122,592 | |||||||||
Coca-Cola European Partners PLC | 1,873 | 103,858 | |||||||||
Compass Group PLC | 42,195 | 1,085,665 | |||||||||
Croda International PLC | 1,030 | 61,581 | |||||||||
Diageo PLC | 94,051 | 3,848,581 | |||||||||
Direct Line Insurance Group PLC | 186,153 | 686,635 | |||||||||
easyJet PLC | 1,275 | 18,025 | |||||||||
Evraz PLC | 3,990 | 22,959 | |||||||||
Fresnillo PLC | 1,791 | 15,069 | |||||||||
G4S PLC | 12,475 | 29,050 | |||||||||
GlaxoSmithKline PLC | 118,761 | 2,542,149 | |||||||||
GlaxoSmithKline PLC ADR | 28,300 | 1,207,844 | |||||||||
Great Portland Estates PLC | 50,181 | 462,744 | |||||||||
Halma PLC | 2,998 | 72,636 | |||||||||
Hargreaves Lansdown PLC | 2,234 | 57,087 | |||||||||
HSBC Holdings PLC | 161,632 | 1,240,153 | |||||||||
Imperial Brands PLC | 7,430 | 166,907 | |||||||||
Informa PLC | 9,823 | 102,882 | |||||||||
InterContinental Hotels Group PLC | 1,317 | 82,190 | |||||||||
Intertek Group PLC | 1,302 | 87,668 | |||||||||
Investec PLC | 5,058 | 26,032 | |||||||||
ITV PLC | 28,065 | 43,350 | |||||||||
J Sainsbury PLC | 13,704 | 37,035 | |||||||||
John Wood Group PLC | 5,233 | 24,378 | |||||||||
Johnson Matthey PLC | 44,064 | 1,657,750 | |||||||||
Kingfisher PLC | 250,416 | 636,584 | |||||||||
Land Securities Group PLC | 5,550 | 58,441 | |||||||||
Legal & General Group PLC | 46,620 | 142,347 | |||||||||
Lloyds Banking Group PLC | 3,300,781 | 2,201,211 | |||||||||
London Stock Exchange Group PLC | 2,484 | 223,078 | |||||||||
Marks & Spencer Group PLC | 15,364 | 34,843 | |||||||||
Meggitt PLC | 143,633 | 1,122,343 |
Security Description | Shares | Value (Note 2) | |||||||||
United Kingdom (continued) | |||||||||||
Melrose Industries PLC | 340,744 | $ | 844,131 | ||||||||
Merlin Entertainments PLC* | 5,244 | 29,179 | |||||||||
Micro Focus International PLC | 2,819 | 39,772 | |||||||||
Mondi PLC | 3,826 | 73,262 | |||||||||
National Grid PLC | 88,521 | 959,806 | |||||||||
Next PLC | 10,470 | 796,374 | |||||||||
NMC Health PLC | 819 | 27,279 | |||||||||
Ocado Group PLC† | 51,124 | 832,152 | |||||||||
Pearson PLC | 6,097 | 55,269 | |||||||||
Persimmon PLC | 24,269 | 647,758 | |||||||||
Prudential PLC | 178,349 | 3,238,988 | |||||||||
Reckitt Benckiser Group PLC | 5,588 | 435,802 | |||||||||
RELX PLC | 15,479 | 367,249 | |||||||||
Rentokil Initial PLC | 14,605 | 83,987 | |||||||||
Rio Tinto PLC | 9,003 | 467,634 | |||||||||
Rolls-Royce Holdings PLC | 13,505 | 131,524 | |||||||||
Royal Bank of Scotland Group PLC | 37,785 | 96,542 | |||||||||
Royal Dutch Shell PLC, Class A | 34,298 | 1,002,505 | |||||||||
Royal Dutch Shell PLC, Class B | 29,580 | 868,973 | |||||||||
Royal Dutch Shell PLC, Class B ADR | 20,019 | 1,199,138 | |||||||||
RSA Insurance Group PLC | 75,525 | 495,982 | |||||||||
Sage Group PLC | 8,571 | 72,918 | |||||||||
Schroders PLC | 1,009 | 38,148 | |||||||||
Segro PLC | 8,565 | 85,387 | |||||||||
Severn Trent PLC | 1,908 | 50,810 | |||||||||
Smith & Nephew PLC | 57,144 | 1,376,491 | |||||||||
Smiths Group PLC | 3,190 | 61,558 | |||||||||
Spirax-Sarco Engineering PLC | 581 | 56,040 | |||||||||
SSE PLC | 8,144 | 124,777 | |||||||||
St James's Place PLC | 4,135 | 49,782 | |||||||||
Standard Chartered PLC | 87,004 | 731,448 | |||||||||
Standard Life Aberdeen PLC | 18,624 | 65,444 | |||||||||
Taylor Wimpey PLC | 25,849 | 51,328 | |||||||||
Tesco PLC | 76,154 | 225,828 | |||||||||
Unilever PLC | 90,594 | 5,447,272 | |||||||||
United Utilities Group PLC | 5,440 | 55,217 | |||||||||
Vodafone Group PLC | 211,028 | 420,260 | |||||||||
Vodafone Group PLC ADR | 53,900 | 1,073,149 | |||||||||
Weir Group PLC | 1,886 | 33,097 | |||||||||
Whitbread PLC | 21,408 | 1,130,124 | |||||||||
WM Morrison Supermarkets PLC | 18,704 | 46,063 | |||||||||
53,761,938 | |||||||||||
United States — 0.7% | |||||||||||
Autoliv, Inc. SDR | 6,584 | 513,740 | |||||||||
Booking Holdings, Inc.† | 479 | 940,090 | |||||||||
Broadcom, Inc. | 3,200 | 883,424 | |||||||||
International Flavors & Fragrances, Inc. | 0 | 13 | |||||||||
2,337,267 | |||||||||||
Total Common Stocks (cost $324,936,985) | 343,964,788 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.1% | |||||||||||
iShares MSCI EAFE ETF (cost $203,343) | 3,200 | 208,672 |
217
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
RIGHTS — 0.0% | |||||||||||
Australia — 0.0% | |||||||||||
Harvey Norman Holdings, Ltd.† expires 10/11/2019 (cost $0) | 264 | $ | 320 | ||||||||
Total Long-Term Investment Securities (cost $325,140,328) | 344,173,780 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.2% | |||||||||||
Registered Investment Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88%(2) | 260,050 | 260,050 | |||||||||
T. Rowe Price Government Reserve Fund 2.00%(2) | 154 | 154 | |||||||||
260,204 | |||||||||||
U.S Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 1.95% due 10/15/2019(3) | $ | 130,000 | 129,914 | ||||||||
1.96% due 11/05/2019(3) | 390,000 | 389,331 | |||||||||
519,245 | |||||||||||
Total Short-Term Investment Securities (cost $779,364) | 779,449 | ||||||||||
REPURCHASE AGREEMENTS — 1.7% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35%, dated 09/30/2019, to be repurchased 10/01/2019 in the amount of $5,932,058 collateralized by $5,765,000 of United States Treasury Notes, bearing interest at 2.63% due 12/31/2023 and having an approximate value of $6,052,564 (cost $5,932,000) | 5,932,000 | 5,932,000 | |||||||||
TOTAL INVESTMENTS (cost $331,851,692)(4) | 99.3 | % | 350,885,229 | ||||||||
Other assets less liabilities | 0.7 | 2,481,809 | |||||||||
NET ASSETS | 100.0 | % | $ | 353,367,038 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $4,807,686 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 September 30, 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.
ADR — American Depositary Receipt
CDI — Chess Depositary Interest
CVA — Certification Van Aandelen (Dutch Cert.)
ETF — Exchange Traded Funds
FDR — Fiduciary Depositary Receipt
RSP — Risparmio Shares-Savings Shares on the Italian Stock Exchange
SDR — Swedish Depositary Receipt
TRQX — Turquoise Stock Exchange
XEGT — Equivalent Stock Exchange
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
80 | Long | MSCI EAFE Index | December 2019 | $ | 7,640,538 | $ | 7,593,600 | $ | (46,938 | ) |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
218
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | — | $ | 14,287,470 | ** | $ | 0 | $ | 14,287,470 | ||||||||||
Portugal | — | 170,707 | ** | 0 | 170,707 | ||||||||||||||
Other countries | 17,098,877 | 312,407,734 | ** | — | 329,506,611 | ||||||||||||||
Exchange-Traded Funds | 208,672 | — | — | 208,672 | |||||||||||||||
Rights | 320 | — | — | 320 | |||||||||||||||
Short-Term Investment Securities | |||||||||||||||||||
Registered Investment Companies | 260,204 | — | — | 260,204 | |||||||||||||||
U.S Government Treasuries | — | 519,245 | — | 519,245 | |||||||||||||||
Repurchase Agreements | — | 5,932,000 | — | 5,932,000 | |||||||||||||||
Total Investments at Value | $ | 17,568,073 | $ | 333,317,156 | $ | 0 | $ | 350,885,229 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 46,938 | $ | — | $ | — | $ | 46,938 |
* 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 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
219
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 28.2 | % | |||||
Diversified Financial Services | 13.7 | ||||||
Uniform Mtg. Backed Securities | 12.7 | ||||||
United States Treasury Bonds | 9.9 | ||||||
Federal National Mtg. Assoc. | 6.5 | ||||||
Diversified Banking Institutions | 6.2 | ||||||
Government National Mtg. Assoc. | 5.8 | ||||||
Federal Home Loan Mtg. Corp. | 3.1 | ||||||
Electric-Integrated | 1.9 | ||||||
Pipelines | 1.7 | ||||||
Telephone-Integrated | 1.5 | ||||||
Cable/Satellite TV | 1.3 | ||||||
Oil Companies-Exploration & Production | 1.2 | ||||||
Repurchase Agreements | 1.2 | ||||||
Banks-Commercial | 1.1 | ||||||
Banks-Super Regional | 1.0 | ||||||
Tobacco | 0.9 | ||||||
SupraNational Banks | 0.9 | ||||||
Brewery | 0.8 | ||||||
Sovereign | 0.7 | ||||||
Auto-Cars/Light Trucks | 0.7 | ||||||
Pharmacy Services | 0.7 | ||||||
Medical-Drugs | 0.7 | ||||||
Medical-HMO | 0.7 | ||||||
Registered Investment Companies | 0.6 | ||||||
Electronic Components-Semiconductors | 0.6 | ||||||
Computer Services | 0.6 | ||||||
Municipal Bonds & Notes | 0.5 | ||||||
Cellular Telecom | 0.5 | ||||||
Computers | 0.4 | ||||||
Broadcast Services/Program | 0.4 | ||||||
Real Estate Investment Trusts | 0.4 | ||||||
Electric-Distribution | 0.4 | ||||||
Insurance Brokers | 0.4 | ||||||
E-Commerce/Products | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Transport-Rail | 0.3 | ||||||
Paper & Related Products | 0.3 | ||||||
Internet Content-Information/News | 0.3 | ||||||
Oil Companies-Integrated | 0.3 | ||||||
Aerospace/Defense | 0.2 | ||||||
Diversified Minerals | 0.2 | ||||||
Aerospace/Defense-Equipment | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Chemicals-Diversified | 0.2 | ||||||
Multimedia | 0.2 | ||||||
Applications Software | 0.2 | ||||||
Medical Products | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Medical-Biomedical/Gene | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Retail-Restaurants | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Television | 0.2 | ||||||
Banks-Special Purpose | 0.2 | ||||||
Medical-Hospitals | 0.2 |
Enterprise Software/Service | 0.2 | % | |||||
Medical Labs & Testing Services | 0.2 | ||||||
Insurance-Life/Health | 0.1 | ||||||
Medical Instruments | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Metal-Diversified | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Beverages-Wine/Spirits | 0.1 | ||||||
Federal Home Loan Bank | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Tennessee Valley Authority | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Central Bank | 0.1 | ||||||
Savings & Loans/Thrifts | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Electric-Transmission | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Water | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Finance-Leasing Companies | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Beverages-Non-alcoholic | 0.1 | ||||||
117.8 | % | ||||||
Credit Quality†# | |||||||
Aaa | 62.6 | % | |||||
Aa | 1.2 | ||||||
A | 8.8 | ||||||
Baa | 14.0 | ||||||
Ba | 3.6 | ||||||
B | 1.3 | ||||||
Caa | 0.5 | �� | |||||
Ca | 0.2 | ||||||
Not Rated## | 7.8 | ||||||
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.
220
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 13.6% | |||||||||||
Diversified Financial Services — 13.6% | |||||||||||
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 2.52% (1 ML+0.50%) due 01/25/2036(1) | $ | 107,386 | $ | 101,765 | |||||||
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 2.56% (1 ML+0.54%) due 11/25/2035(1) | 110,132 | 109,942 | |||||||||
Alternative Loan Trust Series 2005-64CB, Class 3A1 5.50% due 12/25/2035(1) | 152,431 | 133,308 | |||||||||
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 3.42% (12 MTA+0.94%) due 10/25/2046(1) | 52,635 | 47,346 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 545,000 | 545,575 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-1, Class A3 2.97% due 11/20/2023 | 200,000 | 202,918 | |||||||||
Angel Oak Mtg. Trust VRS Series 2019-3, Class A1 2.93% due 05/25/2059*(1)(2) | 1,586,555 | 1,596,857 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-4, Class A1 2.99% due 07/26/2049*(1)(2) | 669,054 | 672,704 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(1)(2) | 386,264 | 391,651 | |||||||||
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1 3.75% (3 ML+1.47%) due 04/24/2029*(3) | 1,080,000 | 1,079,790 | |||||||||
Apidos CLO FRS Series 2013-16A, Class A1R 3.28% (3 ML+0.98%) due 01/19/2025*(3) | 75,309 | 75,297 | |||||||||
Avery Point IV CLO, Ltd. FRS Series 2014-1A, Class AR 3.38% (3 ML+1.10%) due 04/25/2026*(3) | 653,776 | 653,815 | |||||||||
BA Credit Card Trust Series 2019-A1, Class A1 1.74% due 01/15/2025 | 100,000 | 99,653 | |||||||||
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023 | 129,000 | 131,195 | |||||||||
Babson CLO, Ltd. FRS Series 2014-IA, Class A1R 3.43% (3 ML+1.15%) due 07/20/2025*(3) | 151,724 | 151,751 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 2.08% (1 ML+0.06%) due 01/25/2037(1) | $ | 11,436 | $ | 9,541 | |||||||
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 2.27% (1 ML+0.23%) due 02/20/2047(1) | 267,866 | 263,681 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.67% due 09/15/2060(2)(4)(5) | 9,655,795 | 348,898 | |||||||||
BANK VRS Series 2019-BN20, Class XA 0.84% due 09/15/2061(2)(4)(5) | 4,605,000 | 319,684 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.88% due 11/15/2050(2)(4)(5) | 8,596,038 | 436,033 | |||||||||
BANK VRS Series 2019-BN18, Class XA 1.05% due 05/15/2062(2)(4)(5) | 2,923,388 | 212,802 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(4) | 470,000 | 506,745 | |||||||||
BANK Series 2019-BN16, Class A2 3.93% due 02/15/2052(4) | 239,000 | 255,054 | |||||||||
BANK VRS Series 2018-BN13, Class A5 4.22% due 08/15/2061(2)(4) | 1,055,000 | 1,199,550 | |||||||||
Barclays Commercial Mtg. Trust Series 2019-C4, Class A5 2.92% due 08/15/2052(4) | 1,175,000 | 1,216,930 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(2) | 1,279,594 | 1,303,593 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(2) | 905,032 | 919,721 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(2) | 719,256 | 731,454 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(2) | 1,127,785 | 1,149,848 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(2) | 1,045,458 | 1,075,748 |
221
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
BCAP LLC Trust FRS Series 2006-AA2, Class A1 2.19% (1 ML+0.17%) due 01/25/2037(1) | $ | 16,418 | $ | 15,742 | |||||||
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 2.50% (1 ML+0.48%) due 02/25/2036(1) | 50,723 | 50,742 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 2.52% (1 ML+0.50%) due 01/25/2036(1) | 136,047 | 148,166 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 2.20% (1 ML+0.18%) due 10/25/2036(1) | 78,383 | 75,050 | |||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 2.22% (1 ML+0.20%) due 02/25/2037(1) | 163,865 | 175,667 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-2A, Class M1A 2.97% (1 ML+0.95%) due 08/25/2028*(1) | 554,365 | 554,528 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-3A, Class M1A 3.12% (1 ML + 1.10%) due 07/25/2029*(1) | 405,000 | 405,173 | |||||||||
Bellemeade Re, Ltd. FRS Series 2018-3A, Class M1A 3.22% (1 ML + 1.20%) due 10/25/2027*(1) | 1,118,149 | 1,118,808 | |||||||||
Bellemeade Re, Ltd. FRS Series 2019-1A, Class M1A 3.32% (1 ML+ 1.30%) due 03/25/2029*(1) | 741,187 | 741,639 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.66% due 01/15/2051(2)(4)(5) | 2,637,458 | 92,877 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.69% due 07/15/2051(2)(4)(5) | 4,587,841 | 163,969 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.83% due 01/15/2052(2)(4)(5) | 9,251,699 | 468,052 | |||||||||
Benchmark Mtg. Trust VRS Series 2019-B12, Class XA 1.21% due 08/15/2052(2)(4)(5) | 2,039,556 | 156,608 | |||||||||
Benchmark Mtg. Trust Series 2019-B11, Class A2 3.41% due 05/15/2052(4) | 1,165,000 | 1,226,214 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(4) | $ | 432,000 | $ | 448,566 | |||||||
Benchmark Mtg. Trust Series 2019-B9, Class AAB 3.93% due 03/15/2052(4) | 300,000 | 328,570 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(2)(4) | 1,000,000 | 1,128,124 | |||||||||
Benefit Street Partners CLO X, Ltd. FRS Series 2016-10A, Class A1R 3.44% (3 ML + 1.14%) due 01/15/2029*(3) | 680,000 | 679,871 | |||||||||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.88% due 07/25/2049*(1)(6) | 1,619,618 | 1,629,972 | |||||||||
BX Commercial Mtg. Trust FRS Series 2019-IMC, Class A 3.03% (1 ML+1.00%) due 04/15/2034*(4) | 200,000 | 200,125 | |||||||||
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 4.58% (1 ML + 2.55%) due 12/15/2037*(4) | 675,000 | 680,472 | |||||||||
Capital One Prime Auto Receivables Trust Series 2019-2, Class A3 1.92% due 05/15/2024 | 100,000 | 100,062 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2015-2A, Class A1R 3.04% (3 ML+0.78%) due 04/27/2027*(3) | 1,317,621 | 1,316,742 | |||||||||
CarMax Auto Owner Trust Series 2019-3, Class A3 2.18% due 08/15/2024 | 160,000 | 160,882 | |||||||||
CarMax Auto Owner Trust Series 2019-2, Class A3 2.68% due 03/15/2024 | 95,000 | 96,533 | |||||||||
CarMax Auto Owner Trust Series 2018-4, Class A3 3.36% due 09/15/2023 | 250,000 | 255,783 | |||||||||
CD Commercial Mtg. Trust VRS Series 2016-CD2, Class A4 3.53% due 11/10/2049(2)(4) | 1,300,000 | 1,400,659 | |||||||||
Chase Mtg. Finance Corp. VRS Series 2016-SH2, Class M2 3.75% due 12/25/2045*(1)(2) | 229,805 | 239,476 | |||||||||
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 4.26% due 12/25/2035(1)(2) | 117,579 | 115,226 | |||||||||
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(1) | 206,933 | 204,136 |
222
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 3.86% due 09/25/2047(1)(2) | $ | 140,907 | $ | 133,897 | |||||||
CIFC Funding, Ltd. FRS Series 2012-2RA, Class A1 3.08% (3 ML+0.80%) due 01/20/2028*(3) | 1,601,000 | 1,595,624 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(1)(2) | 1,177,950 | 1,181,844 | |||||||||
Cirrus Funding, Ltd. Series 2018-1A, Class A 4.80% due 01/25/2037*(3) | 975,000 | 1,022,501 | |||||||||
Citibank Credit Card Issuance Trust Series 2018-A1, Class A1 2.49% due 01/20/2023 | 100,000 | 100,736 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 1.11% due 07/10/2047(2)(4)(5) | 3,558,053 | 145,953 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29, Class XA 1.24% due 04/10/2048(2)(4)(5) | 3,505,568 | 150,434 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(4) | 1,029,000 | 1,107,899 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-GC35, Class A4 3.82% due 11/10/2048(4) | 1,235,000 | 1,340,457 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2019-IMC1, Class A1 2.72% due 07/25/2049*(1)(2) | 455,729 | 455,058 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2018-RP3, Class A1 3.25% due 03/25/2061*(1)(2) | 1,155,209 | 1,170,380 | |||||||||
Colombia Cent, Ltd. FRS Series 2018-27A, Class A1 3.43% (3 ML+1.15%) due 10/25/2028*(3) | 720,000 | 719,817 | |||||||||
COLT Funding LLC VRS Series 2019-4, Class A1 2.58% due 11/25/2049*(1)(2) | 1,000,000 | 999,993 | |||||||||
COLT Mtg. Loan Trust VRS Series 2019-2, Class A1 3.34% due 05/25/2049*(1)(2) | 746,026 | 758,867 | |||||||||
COLT Mtg. Loan Trust VRS Series 2018-3, Class A1 3.69% due 10/26/2048*(1)(2) | 794,778 | 799,940 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(4) | 845,000 | 905,217 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 2.34% (1 ML+0.32%) due 11/25/2035(1) | $ | 41,125 | $ | 37,866 | |||||||
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 2.56% (1 ML+0.54%) due 01/25/2036(1) | 109,247 | 107,143 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 2.82% (1 ML+0.80%) due 12/25/2035(1) | 92,898 | 81,238 | |||||||||
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(1) | 148,876 | 106,428 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 2.70% (1 ML+0.68%) due 03/25/2035(1) | 47,805 | 44,552 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 3.78% due 11/20/2035(1)(2) | 28,976 | 26,451 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 4.15% due 06/20/2035(1)(2) | 73,811 | 75,524 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.92% due 06/15/2057(2)(4)(5) | 9,534,683 | 332,757 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.94% due 01/15/2049(2)(4)(5) | 2,760,620 | 222,046 | |||||||||
CSAIL Commercial Mtg. Trust Series 2019-C17, Class A2 3.00% due 09/15/2052(4) | 225,000 | 232,629 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(4) | 740,022 | 780,781 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(4) | 1,448,000 | 1,534,729 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A4 3.72% due 08/15/2048(4) | 703,000 | 754,097 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(1)(2) | 596,137 | 598,783 |
223
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CSMC Trust VRS Series 2016-NXSR, Class A4 3.79% due 12/15/2049(2)(4) | $ | 1,536,000 | $ | 1,667,700 | |||||||
CSMC Trust Series 2015-GLPA, Class A 3.88% due 11/15/2037*(4) | 358,947 | 392,796 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2017-2A, Class 2A 2.45% due 06/25/2047*(1)(2) | 219,150 | 218,441 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2019-3A, Class A1 2.96% due 07/25/2059*(1)(2) | 1,602,400 | 1,609,510 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2019-2A, Class A1 3.56% due 04/25/2059*(1)(2) | 755,588 | 762,372 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 2.17% (1 ML+0.15%) due 12/25/2036(1) | 171,569 | 153,653 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 2.17% (1 ML+0.15%) due 03/25/2037(1) | 14,538 | 13,774 | |||||||||
Discover Card Execution Note Trust Series 2019-A1, Class A1 3.04% due 07/15/2024 | 100,000 | 102,621 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 750,500 | 779,109 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 470,000 | 470,124 | |||||||||
Dryden Senior Loan Fund FRS Series 2017-50A, Class X 3.10% (3 ML+0.80%) due 07/15/2030*(3) | 306,000 | 305,847 | |||||||||
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 3.37% (12 MTA+0.92%) due 03/19/2046(1) | 316,982 | 293,292 | |||||||||
Eagle RE, Ltd. FRS Series 2018-1, Class M1 3.72% (1 ML+1.70%) due 11/25/2028*(1) | 605,628 | 607,105 | |||||||||
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 2.33% (1 ML+0.31%) due 09/25/2036 | 495,000 | 453,501 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Ford Credit Auto Owner Trust Series 2018-2, Class A 3.47% due 01/15/2030* | $ | 100,000 | $ | 104,676 | |||||||
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023* | 100,000 | 100,227 | |||||||||
GM Financial Consumer Automobile Receivables Trust Series 2019-3, Class A3 2.18% due 04/16/2024 | 125,000 | 125,745 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 3.94% due 09/19/2035(1)(2) | 26,100 | 26,027 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 4.18% due 04/19/2036(1)(2) | 189,502 | 177,375 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2007-AR1, Class 3A2 2.18% (1 ML+0.16%) due 02/25/2037(1) | 31,981 | 31,957 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 3.85% (12 MTA+1.40%) due 10/25/2045(1) | 155,625 | 134,350 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(4) | 1,285,000 | 1,315,960 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(4) | 155,000 | 178,430 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(4) | 1,225,000 | 1,260,359 | |||||||||
GS Mtg. Securities Trust Series 2016-GS4, Class A3 3.18% due 11/10/2049(4) | 1,140,000 | 1,202,477 | |||||||||
GS Mtg. Securities Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(4) | 1,307,000 | 1,414,699 | |||||||||
GSAA Home Equity Trust Series 2005-7, Class AF4 5.06% due 05/25/2035(6) | 349,831 | 365,457 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 2.07% (1 ML+0.05%) due 12/25/2046 | 35,283 | 23,197 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 2.09% (1 ML+0.07%) due 12/25/2046 | 71,950 | 35,109 | |||||||||
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 2.10% (1 ML+0.08%) due 02/25/2037 | 368,070 | 177,062 |
224
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GSAA Home Equity Trust FRS Series 2006-19, Class A1 2.11% (1 ML+0.09%) due 12/25/2036 | $ | 13,032 | $ | 5,798 | |||||||
GSAA Home Equity Trust FRS Series 2007-4, Class A1 2.12% (1 ML+0.10%) due 03/25/2037 | 408,282 | 190,773 | |||||||||
GSAA Home Equity Trust FRS Series 2006-17, Class A3A 2.26% (1 ML+0.24%) due 11/25/2036 | 90,573 | 48,909 | |||||||||
GSAA Home Equity Trust FRS Series 2006-3, Class A3 2.32% (1 ML+0.30%) due 03/25/2036 | 17,820 | 12,511 | |||||||||
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 2.34% (1 ML+0.32%) due 04/25/2047 | 145,788 | 94,826 | |||||||||
GSAA Home Equity Trust Series 2006-15, Class AF6 5.88% due 09/25/2036(6) | 99,812 | 46,473 | |||||||||
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(2) | 323,286 | 145,014 | |||||||||
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 2.32% (1 ML+0.30%) due 01/25/2037(1) | 466,114 | 203,070 | |||||||||
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 4.30% due 10/25/2035(1)(2) | 78,247 | 64,364 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 4.38% due 01/25/2036(1)(2) | 7,684 | 7,820 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 4.38% due 01/25/2036(1)(2) | 99,448 | 100,751 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 2.25% (1 ML+0.19%) due 01/19/2038(1) | 10,325 | 9,975 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 2.30% (1 ML+0.24%) due 12/19/2036(1) | 230,915 | 219,542 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 3.75% (1 ML + 1.60%) due 10/25/2028*(1) | 615,395 | 615,739 | |||||||||
Homeward Opportunities Fund I Trust VRS Series 2019-2, Class A1 2.70% due 09/25/2059*(1)(2) | 592,196 | 591,436 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Honda Auto Receivables Owner Trust Series 2019-1, Class A3 2.83% due 03/20/2023 | $ | 47,000 | $ | 47,829 | |||||||
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 2.29% (1 ML+0.27%) due 02/25/2036 | 200,000 | 198,439 | |||||||||
ILPT Trust Series 2019-SURF, Class A 4.15% due 02/11/2041*(4) | 475,000 | 537,758 | |||||||||
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 2.30% (1 ML+0.28%) due 07/25/2035(1) | 5,050 | 4,575 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.94% due 04/25/2037(1)(2) | 146,127 | 113,120 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 4.31% due 12/25/2036(1)(2) | 192,958 | 184,036 | |||||||||
JP Morgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(4) | 949,005 | 972,528 | |||||||||
JP Morgan Mtg. Trust VRS Series 2017-6, Class A6 3.00% due 12/25/2048*(1)(2) | 771,188 | 775,104 | |||||||||
JP Morgan Mtg. Trust VRS Series 2006-A3, Class 3A2 4.19% due 05/25/2036(1)(2) | 95,968 | 95,359 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(4) | 290,000 | 309,718 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C22, Class A4 3.80% due 09/15/2047(4) | 1,355,000 | 1,449,786 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(4) | 1,110,000 | 1,167,342 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(1)(6) | 855,330 | 856,039 | |||||||||
Legacy Mtg. Asset Trust Series 2018-GS1, Class A1 4.00% due 03/25/2058*(6) | 1,617,755 | 1,630,288 | |||||||||
Lehman XS Trust FRS Series 2006-16N, Class A4A 2.21% (1 ML+0.19%) due 11/25/2046(1) | 327,167 | 310,775 |
225
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
LSTAR Securities Investment Trust FRS Series 2019-2A, Class A1 3.53% (1 ML+1.50%) due 04/01/2024*(1) | $ | 172,250 | $ | 172,265 | |||||||
LSTAR Securities Investment Trust FRS Series 2019-1, Class A1 3.73% (1 ML+1.70%) due 03/01/2024*(1) | 567,526 | 581,215 | |||||||||
LSTAR Securities Investment, Ltd. FRS Series 2019-4, Class A1 3.53% (1 ML + 1.50%) due 05/01/2024*(1) | 1,135,033 | 1,139,153 | |||||||||
Madison Park Funding XII, Ltd. FRS Series 2014-12A, Class AR 3.54% (3 ML+1.26%) due 07/20/2026*(3) | 763,487 | 764,292 | |||||||||
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 4.73% due 11/21/2034(1)(2) | 58,193 | 59,759 | |||||||||
Mercedes-Benz Auto Lease Trust Series 2019-A, Class A4 3.25% due 10/15/2024 | 16,000 | 16,301 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 4.49% due 07/25/2035(1)(2) | 166,425 | 130,168 | |||||||||
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(1)(2) | 402,313 | 406,737 | |||||||||
MFRA Trust VRS Series 2017-RPL1, Class A1 2.59% due 02/25/2057*(1)(2) | 288,213 | 286,377 | |||||||||
MFRA Trust Series 2017-NPL1, Class A1 3.35% due 11/25/2047*(6) | 940,863 | 945,468 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2018-3, Class A1 3.50% due 08/25/2058*(2) | 1,039,784 | 1,068,239 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 2.17% (1 ML+0.15%) due 06/25/2036 | 5,536 | 4,743 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 1.16% due 12/15/2047(2)(4)(5) | 1,978,939 | 81,493 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(4) | 500,000 | 500,587 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(4) | $ | 791,000 | $ | 828,007 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C22, Class A4 3.31% due 04/15/2048(4) | 1,857,000 | 1,952,825 | |||||||||
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(4) | 52,000 | 51,972 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.60% due 06/15/2050(2)(4)(5) | 1,744,921 | 133,614 | |||||||||
Morgan Stanley Capital I Trust Series 2016-BNK2, Class A4 3.05% due 11/15/2049(4) | 1,475,000 | 1,541,746 | |||||||||
Morgan Stanley Capital I Trust Series 2014-MP, Class A 3.47% due 08/11/2033*(4) | 755,000 | 773,384 | |||||||||
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 2.19% (1 ML+0.17%) due 11/25/2036 | 247,733 | 100,982 | |||||||||
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class A 2.93% (1 ML+0.90%) due 12/15/2033*(4) | 300,000 | 300,000 | |||||||||
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class D 3.83% (1 ML+1.80%) due 12/15/2033*(4) | 575,000 | 575,360 | |||||||||
Neuberger Berman CLO XX, Ltd. FRS Series 2015-20A, Class AR 3.10% (3 ML+0.80%) due 01/15/2028*(3) | 1,535,000 | 1,532,361 | |||||||||
New Residential Advance Receivables Trust Series 2019-T3, Class AT3 2.51% due 10/20/2052* | 1,135,000 | 1,137,405 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-NQM4, Class A1 2.49% due 09/25/2059*(1)(2) | 520,000 | 520,118 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 2.77% (1 ML + 0.75%) due 01/25/2048*(1) | 1,267,908 | 1,264,144 |
226
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 3.52% (1 ML+1.50%) due 06/25/2057*(1) | $ | 1,130,989 | $ | 1,147,561 | |||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(1)(2) | 939,436 | 969,946 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(1)(2) | 849,611 | 877,882 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(1)(2) | 1,601,709 | 1,663,550 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(1)(2) | 1,629,156 | 1,696,778 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(1)(2) | 1,333,321 | 1,381,498 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(1)(2) | 1,066,463 | 1,112,418 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(1)(2) | 1,325,863 | 1,382,000 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-5A, Class A1 4.75% due 12/25/2057*(1)(2) | 1,005,384 | 1,054,851 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 4.52% due 06/25/2036(1)(2) | 135,210 | 119,204 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS1, Class A 3.19% due 01/25/2023* | 832,317 | 836,374 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2018-PLS2, Class A 3.27% due 02/25/2023* | 521,732 | 525,388 | |||||||||
Oak Hill Advisors Residential Loan Trust Series 2017-NPL1, Class A1 3.00% due 06/25/2057*(6) | 38,822 | 38,820 | |||||||||
OBX Trust VRS Series 2018-EXP2, Class 1A1 4.00% due 11/25/2048*(1)(2) | 1,296,809 | 1,311,213 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
OCP CLO, Ltd. FRS Series 2015-8A, Class A1R 3.15% (3 ML+0.85%) due 04/17/2027*(3) | $ | 1,063,487 | $ | 1,063,328 | |||||||
One Bryant Park Trust Series 2019-OBP, Class A 2.52% due 09/15/2054*(4) | 320,000 | 321,610 | |||||||||
OneMain Financial Issuance Trust Series 2017-1A, Class A1 2.37% due 09/14/2032* | 1,910,000 | 1,908,535 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 3.32% (3 ML+1.05%) due 04/30/2027*(3) | 2,095,000 | 2,093,554 | |||||||||
OZLM, Ltd. FRS Series 2014-7RA, Class A1R 3.31% (3 ML+1.01%) due 07/17/2029*(3) | 330,000 | 328,115 | |||||||||
PMT Credit Risk Transfer Trust FRS Series 2019-1R, Class A 4.14% (1 ML+2.00%) due 03/27/2024*(1) | 769,637 | 769,349 | |||||||||
Preston Ridge Partners Mtg. Series 2019-3A, Class A1 3.35% due 07/25/2024*(6) | 412,033 | 412,785 | |||||||||
Pretium Mtg. Credit Partners I Series 2019-CFL1, Class A1 3.72% due 01/25/2059*(6) | 674,344 | 672,912 | |||||||||
Pretium Mtg. Credit Partners I LLC Series 2019-NPL3, Class A1 3.10% due 07/27/2059*(6) | 1,190,000 | 1,190,801 | |||||||||
RALI Series Trust FRS Series 2006-QA3, Class A2 2.32% (1 ML+0.30%) due 04/25/2036(1) | 344,448 | 331,998 | |||||||||
RALI Series Trust VRS Series 2007-QH9, Class A1 3.65% due 11/25/2037(1)(2) | 58,967 | 55,059 | |||||||||
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(1) | 71,326 | 70,153 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(6) | 339,067 | 158,244 | |||||||||
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(6) | 155,965 | 89,898 | |||||||||
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 4.90% due 04/25/2037(1)(2) | 21,737 | 20,453 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 2.11% (1 ML+0.09%) due 07/25/2036 | 178,769 | 92,010 |
227
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Seneca Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.42% (3 ML+1.12%) due 07/17/2026*(3) | $ | 504,674 | $ | 505,431 | |||||||
Shellpoint Co-Originator Trust VRS Series 2017-2, Class A1 3.50% due 10/25/2047*(1)(2) | 331,946 | 334,565 | |||||||||
Skopos Auto Receivables Trust Series 2018-1A, Class A 3.19% due 09/15/2021* | 114,611 | 114,675 | |||||||||
Sofi Consumer Loan Program LLC Series 2017-3, Class A 2.77% due 05/25/2026* | 106,732 | 107,058 | |||||||||
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 2.20% (1 ML+0.18%) due 07/25/2037 | 41,953 | 38,471 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 2.27% (1 ML+0.25%) due 11/25/2036 | 290,000 | 271,119 | |||||||||
SPS Servicer Advance Receivables Trust Series 2016-T2, Class AT2 2.75% due 11/15/2049* | 1,050,000 | 1,049,447 | |||||||||
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.49% (1 ML+0.30%) due 09/25/2034(1)(2) | 21,350 | 20,455 | |||||||||
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 2.25% (1 ML+0.23%) due 02/25/2036(1) | 109,690 | 100,419 | |||||||||
Symphony CLO, Ltd. FRS Series 2014-14A, Class A2R 3.58% (3 ML+1.28%) due 07/14/2026*(3) | 940,194 | 936,611 | |||||||||
Thacher Park CLO, Ltd. FRS Series 2014-1A, Class AR 3.44% (3 ML+1.16%) due 10/20/2026*(3) | 623,040 | 623,445 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 2.62% (1 ML+0.60%) due 02/25/2057* | 1,083,819 | 1,079,651 | |||||||||
Towd Point Mtg. Trust VRS Series 2015-4, Class A1B 2.75% due 04/25/2055*(2) | 209,577 | 209,468 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(2) | 606,324 | 608,719 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(2) | $ | 1,601,864 | $ | 1,616,481 | |||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(2) | 432,435 | 435,718 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(2) | 1,249,904 | 1,259,580 | |||||||||
Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56% due 11/25/2031* | 100,000 | 102,212 | |||||||||
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024 | 150,000 | 154,217 | |||||||||
Vericrest Opportunity Loan Trust Series 2019-NPL3, Class A1 3.97% due 03/25/2049*(6) | 520,779 | 523,689 | |||||||||
Verus Securitization Trust Series 2019-3, Class A1 2.78% due 07/25/2059*(1)(6) | 1,172,722 | 1,172,988 | |||||||||
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(4) | 1,195,000 | 1,222,770 | |||||||||
VOLT LXII LLC Series 2017-NPL9, Class A1 3.13% due 09/25/2047*(6) | 210,713 | 210,830 | |||||||||
VOLT LXIV LLC Series 2017-NP11, Class 1A 3.38% due 10/25/2047*(6) | 673,745 | 674,774 | |||||||||
VOLT LXX LLC Series 2018-NPL6, Class A1A 4.11% due 09/25/2048*(6) | 672,045 | 673,994 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048*(6) | 285,002 | 286,375 | |||||||||
VOLT LXXX LLC Series 2019-NPL6, Class A1A 3.23% due 10/25/2049*(6) | 1,225,000 | 1,225,797 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 2.66% (COFI 11+1.50%) due 11/25/2046(1) | 66,533 | 66,809 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 3.30% (12 MTA+0.82%) due 12/25/2046(1) | 411,230 | 382,285 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 3.33% (12 MTA+0.88%) due 10/25/2046(1) | 160,310 | 151,930 |
228
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 3.73% due 06/25/2037(1)(2) | $ | 137,936 | $ | 131,124 | |||||||
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-5, Class 1A1 2.62% (1 ML+0.60%) due 07/25/2036(1) | 74,897 | 50,068 | |||||||||
Washington Mutual Mtg. Pass- Through Certs. Trust FRS Series 2006-AR9, Class 1A 3.28% (12 MTA+0.83%) due 11/25/2046(1) | 126,758 | 118,705 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.27% due 05/15/2048(2)(4)(5) | 3,615,554 | 146,646 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 1.28% due 09/15/2057(2)(4)(5) | 9,395,363 | 358,206 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.24% due 05/15/2048(2)(4) | 75,000 | 76,864 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 4.50% due 10/25/2036(1)(2) | 78,741 | 78,807 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2005-AR16, Class 4A8 4.90% due 10/25/2035(1)(2) | 499,922 | 513,343 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 442,125 | 454,730 | |||||||||
Westlake Automobile Receivables Trust Series 2017-2A, Class D 3.28% due 12/15/2022* | 1,215,000 | 1,224,755 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C2, Class XA 0.97% due 02/15/2044*(2)(4)(5) | 451,634 | 3,647 | |||||||||
Wingstop Funding LLC Series 2018-1, Class A2 4.97% due 12/05/2048* | 412,925 | 428,806 | |||||||||
World Financial Network Credit Card Master Trust Series 2019-C, Class M 2.71% due 07/15/2026 | 100,000 | 99,920 | |||||||||
Total Asset Backed Securities (cost $131,719,612) | 133,768,179 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES — 26.2% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024 | $ | 83,000 | $ | 89,015 | |||||||
Interpublic Group of Cos., Inc. Senior Notes 5.40% due 10/01/2048 | 3,000 | 3,571 | |||||||||
92,586 | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
BAE Systems Holdings, Inc. Company Guar. Notes 3.85% due 12/15/2025* | 267,000 | 280,735 | |||||||||
Boeing Co. Senior Notes 3.25% due 02/01/2035 | 1,020,000 | 1,056,940 | |||||||||
General Dynamics Corp. Company Guar. Notes 2.88% due 05/11/2020 | 189,000 | 189,984 | |||||||||
Lockheed Martin Corp. Senior Notes 4.09% due 09/15/2052 | 703,000 | 826,816 | |||||||||
2,354,475 | |||||||||||
Aerospace/Defense-Equipment — 0.2% | |||||||||||
United Technologies Corp. Senior Notes 2.80% due 05/04/2024 | 60,000 | 61,695 | |||||||||
United Technologies Corp. Senior Notes 3.75% due 11/01/2046 | 160,000 | 176,060 | |||||||||
United Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 785,000 | 860,010 | |||||||||
United Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 495,000 | 588,555 | |||||||||
United Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 195,000 | 243,460 | |||||||||
1,929,780 | |||||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Mosaic Co. Senior Notes 5.63% due 11/15/2043 | 72,000 | 79,817 | |||||||||
Airlines — 0.0% | |||||||||||
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2020(8) | 6,488 | 6,526 | |||||||||
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024 | 56,396 | 58,128 | |||||||||
64,654 |
229
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Applications Software — 0.2% | |||||||||||
CDK Global, Inc. Senior Notes 5.88% due 06/15/2026 | $ | 79,000 | $ | 84,036 | |||||||
Microsoft Corp. Senior Notes 3.70% due 08/08/2046 | 1,045,000 | 1,189,340 | |||||||||
Microsoft Corp. Senior Notes 4.45% due 11/03/2045 | 365,000 | 460,948 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 84,000 | 87,782 | |||||||||
1,822,106 | |||||||||||
Auction Houses/Art Dealers — 0.0% | |||||||||||
BidFair MergeRight, Inc. Senior Sec. Notes 7.38% due 10/15/2027* | 85,000 | 86,600 | |||||||||
Auto-Cars/Light Trucks — 0.7% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.10% due 04/12/2021* | 181,000 | 183,836 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021* | 150,000 | 149,118 | |||||||||
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020* | 287,000 | 287,641 | |||||||||
Ford Motor Co. Senior Notes 4.35% due 12/08/2026 | 120,000 | 120,319 | |||||||||
Ford Motor Co. Senior Notes 5.29% due 12/08/2046 | 415,000 | 383,413 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 3.10% due 05/04/2023 | 314,000 | 308,242 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 3.82% due 11/02/2027 | 245,000 | 232,278 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 4.54% due 08/01/2026 | 650,000 | 649,397 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 5.11% due 05/03/2029 | 280,000 | 281,509 | |||||||||
General Motors Co. Senior Notes 4.00% due 04/01/2025 | 500,000 | 513,591 | |||||||||
General Motors Co. Senior Notes 4.88% due 10/02/2023 | 940,000 | 1,008,342 | |||||||||
General Motors Co. Senior Notes 5.20% due 04/01/2045 | 550,000 | 543,150 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Auto-Cars/Light Trucks (continued) | |||||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | $ | 265,000 | $ | 283,922 | |||||||
General Motors Co. Senior Notes 6.25% due 10/02/2043 | 240,000 | 262,928 | |||||||||
General Motors Co. Senior Notes 6.75% due 04/01/2046 | 515,000 | 589,117 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 3.70% due 05/09/2023 | 190,000 | 194,383 | |||||||||
Hyundai Capital America Senior Notes 3.40% due 06/20/2024* | 245,000 | 249,435 | |||||||||
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022* | 228,000 | 229,184 | |||||||||
Toyota Motor Credit Corp. Senior Notes 3.45% due 09/20/2023 | 197,000 | 208,369 | |||||||||
Volkswagen Group of America Finance LLC Company Guar. Notes 2.50% due 09/24/2021* | 200,000 | 200,496 | |||||||||
6,878,670 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024* | 76,000 | 77,662 | |||||||||
PACCAR Financial Corp. Senior Notes 2.00% due 09/26/2022 | 99,000 | 99,133 | |||||||||
176,795 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Lear Corp. Senior Notes 5.25% due 05/15/2049 | 145,000 | 149,149 | |||||||||
Banks-Commercial — 0.3% | |||||||||||
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025 | 533,000 | 581,881 | |||||||||
Citizens Financial Group, Inc. Sub. Notes 4.30% due 12/03/2025 | 93,000 | 99,441 | |||||||||
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037 | 288,000 | 411,079 | |||||||||
Santander Holdings USA, Inc. Senior Notes 3.70% due 03/28/2022 | 660,000 | 678,533 | |||||||||
SunTrust Bank Senior Notes 3.20% due 04/01/2024 | 392,000 | 407,515 |
230
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
SunTrust Bank Senior Notes 3.50% due 08/02/2022 | $ | 137,000 | $ | 140,030 | |||||||
Webster Financial Corp. Senior Notes 4.10% due 03/25/2029 | 262,000 | 279,799 | |||||||||
2,598,278 | |||||||||||
Banks-Fiduciary — 0.0% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 1.95% due 08/23/2022 | 138,000 | 138,075 | |||||||||
Banks-Super Regional — 1.0% | |||||||||||
Bank of America NA Senior Notes 3.34% due 01/25/2023 | 250,000 | 256,654 | |||||||||
KeyCorp Senior Notes 2.55% due 10/01/2029 | 910,000 | 890,114 | |||||||||
Wachovia Corp. Sub. Notes 5.50% due 08/01/2035 | 600,000 | 744,249 | |||||||||
Wells Fargo & Co. Senior Notes 2.63% due 07/22/2022 | 1,395,000 | 1,410,488 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 914,000 | 937,177 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 935,000 | 960,234 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 01/24/2023 | 1,000,000 | 1,018,345 | |||||||||
Wells Fargo & Co. Senior Notes 3.55% due 09/29/2025 | 435,000 | 459,740 | |||||||||
Wells Fargo & Co. Senior Notes 3.58% due 05/22/2028 | 985,000 | 1,043,484 | |||||||||
Wells Fargo & Co. Senior Notes 3.75% due 01/24/2024 | 720,000 | 761,861 | |||||||||
Wells Fargo & Co. Sub. Notes 4.65% due 11/04/2044 | 233,000 | 269,225 | |||||||||
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043 | 275,000 | 344,999 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 290,000 | 375,331 | |||||||||
Wells Fargo Bank NA Senior Notes 2.08% due 09/09/2022 | 357,000 | 356,178 | |||||||||
9,828,079 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026* | $ | 150,000 | $ | 160,671 | |||||||
EnerSys Company Guar. Notes 5.00% due 04/30/2023* | 111,000 | 113,775 | |||||||||
274,446 | |||||||||||
Beverages-Non-alcoholic — 0.1% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025 | 224,000 | 243,792 | |||||||||
PepsiCo., Inc. Senior Notes 2.75% due 04/30/2025 | 146,000 | 152,117 | |||||||||
395,909 | |||||||||||
Beverages-Wine/Spirits — 0.1% | |||||||||||
Constellation Brands, Inc. Company Guar. Notes 2.65% due 11/07/2022 | 425,000 | 429,740 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029 | 104,000 | 105,973 | |||||||||
Constellation Brands, Inc. Company Guar. Bonds 3.60% due 02/15/2028 | 335,000 | 353,689 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 40,000 | 44,225 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 5.25% due 11/15/2048 | 80,000 | 100,162 | |||||||||
1,033,789 | |||||||||||
Brewery — 0.8% | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046 | 52,000 | 62,048 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 1,185,000 | 1,366,710 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 90,000 | 104,603 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 1,114,000 | 1,304,838 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 2,730,000 | 3,451,156 |
231
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049 | $ | 363,000 | $ | 475,064 | |||||||
Molson Coors Brewing Co. Company Guar. Notes 3.00% due 07/15/2026 | 670,000 | 677,019 | |||||||||
7,441,438 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 643,000 | 670,593 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025 | 509,000 | 534,712 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.00% due 09/20/2037 | 475,000 | 510,626 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 260,000 | 287,313 | |||||||||
Discovery Communications LLC Company Guar. Notes 6.35% due 06/01/2040 | 600,000 | 734,138 | |||||||||
Fox Corp. Senior Notes 5.48% due 01/25/2039* | 105,000 | 128,696 | |||||||||
Fox Corp. Senior Notes 5.58% due 01/25/2049* | 129,000 | 163,242 | |||||||||
3,029,320 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Fortune Brands Home & Security, Inc. Senior Notes 3.25% due 09/15/2029 | 97,000 | 96,338 | |||||||||
Owens Corning Senior Notes 4.30% due 07/15/2047 | 268,000 | 243,382 | |||||||||
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025* | 94,000 | 98,555 | |||||||||
438,275 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
Frontdoor, Inc. Senior Notes 6.75% due 08/15/2026* | 78,000 | 85,412 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Martin Marietta Materials, Inc. Senior Notes 3.50% due 12/15/2027 | 143,000 | 146,741 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025* | 73,000 | 70,810 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028 | $ | 117,000 | $ | 120,803 | |||||||
Cable/Satellite TV — 1.2% | |||||||||||
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025* | 103,000 | 107,377 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028* | 36,000 | 37,215 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 05/01/2025* | 85,000 | 88,188 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 28,000 | 29,327 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital FRS Senior Sec. Notes 3.90% (3 ML+1.65%) due 02/01/2024 | 81,000 | 83,014 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.05% due 03/30/2029 | 125,000 | 139,846 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038 | 23,000 | 25,692 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 270,000 | 294,183 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035 | 78,000 | 94,445 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 1,610,000 | 1,959,091 | |||||||||
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026 | 242,000 | 253,394 |
232
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | $ | 895,000 | $ | 915,654 | |||||||
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038 | 58,000 | 64,047 | |||||||||
Comcast Corp. Company Guar. Notes 3.95% due 10/15/2025 | 395,000 | 429,942 | |||||||||
Comcast Corp. Company Guar. Notes 3.97% due 11/01/2047 | 54,000 | 59,304 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 264,000 | 294,441 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 10/15/2030 | 785,000 | 892,932 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 541,000 | 646,279 | |||||||||
Comcast Corp. Company Guar. Notes 4.95% due 10/15/2058 | 290,000 | 368,577 | |||||||||
Comcast Corp. Company Guar. Notes 6.40% due 05/15/2038 | 57,000 | 80,721 | |||||||||
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033 | 179,000 | 257,751 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 1,192,000 | 1,220,730 | |||||||||
Cox Communications, Inc. Senior Notes 4.80% due 02/01/2035* | 480,000 | 521,865 | |||||||||
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024 | 60,000 | 64,500 | |||||||||
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027* | 270,000 | 285,495 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 300,000 | 303,090 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 310,000 | 305,055 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 125,000 | 139,798 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037 | 1,100,000 | 1,320,561 | |||||||||
11,282,514 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Casino Hotels — 0.1% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | $ | 455,000 | $ | 462,219 | |||||||
Casino Services — 0.0% | |||||||||||
Eldorado Resorts, Inc. Company Guar. Notes 6.00% due 09/15/2026 | 110,000 | 120,450 | |||||||||
Cellular Telecom — 0.2% | |||||||||||
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023 | 435,000 | 477,830 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC Senior Sec. Notes 4.74% due 09/20/2029* | 210,000 | 223,232 | |||||||||
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 | 1,296,575 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025 | 35,000 | 36,259 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024 | 41,000 | 42,530 | |||||||||
2,076,426 | |||||||||||
Chemicals-Diversified — 0.2% | |||||||||||
Dow Chemical Co. Senior Notes 5.55% due 11/30/2048* | 127,000 | 154,055 | |||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 1,560,000 | 1,671,720 | |||||||||
FMC Corp. Senior Notes 3.45% due 10/01/2029 | 107,000 | 108,708 | |||||||||
LYB International Finance III LLC Company Guar. Notes 4.20% due 10/15/2049 | 103,000 | 102,040 | |||||||||
2,036,523 | |||||||||||
Chemicals-Plastics — 0.0% | |||||||||||
Neon Holdings, Inc. Senior Sec. Notes 10.13% due 04/01/2026* | 66,000 | 66,495 | |||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022 | 197,000 | 198,698 | |||||||||
Huntsman International LLC Senior Notes 4.50% due 05/01/2029 | 103,000 | 108,290 |
233
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Specialty (continued) | |||||||||||
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034 | $ | 96,000 | $ | 136,689 | |||||||
443,677 | |||||||||||
Coal — 0.0% | |||||||||||
SunCoke Energy Partners LP/ SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025* | 91,000 | 80,990 | |||||||||
Coatings/Paint — 0.2% | |||||||||||
Sherwin-Williams Co. Senior Notes 2.95% due 08/15/2029 | 986,000 | 987,864 | |||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 530,000 | 554,286 | |||||||||
1,542,150 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Harsco Corp. Company Guar. Notes 5.75% due 07/31/2027* | 53,000 | 55,189 | |||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022* | 95,000 | 95,266 | |||||||||
150,455 | |||||||||||
Commercial Services-Finance — 0.3% | |||||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 305,000 | 309,298 | |||||||||
IHS Markit, Ltd. Senior Notes 4.13% due 08/01/2023 | 2,315,000 | 2,436,074 | |||||||||
PayPal Holdings, Inc. Senior Notes 2.85% due 10/01/2029 | 70,000 | 70,436 | |||||||||
2,815,808 | |||||||||||
Computer Services — 0.5% | |||||||||||
IBM Credit LLC Senior Notes 3.00% due 02/06/2023 | 580,000 | 596,640 | |||||||||
International Business Machines Corp. Senior Notes 2.50% due 01/27/2022 | 135,000 | 136,507 | |||||||||
International Business Machines Corp. Senior Notes 3.00% due 05/15/2024 | 615,000 | 637,636 | |||||||||
International Business Machines Corp. Senior Notes 3.30% due 05/15/2026 | 1,475,000 | 1,555,419 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Computer Services (continued) | |||||||||||
International Business Machines Corp. Senior Notes 3.50% due 05/15/2029 | $ | 1,475,000 | $ | 1,583,006 | |||||||
4,509,208 | |||||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024* | 105,000 | 96,590 | |||||||||
Computers — 0.4% | |||||||||||
Apple, Inc. Senior Notes 2.05% due 09/11/2026 | 125,000 | 123,570 | |||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 2,600,000 | 2,554,631 | |||||||||
Apple, Inc. Senior Notes 2.85% due 05/06/2021 | 153,000 | 155,393 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 160,000 | 169,589 | |||||||||
Apple, Inc. Senior Notes 4.45% due 05/06/2044 | 475,000 | 576,797 | |||||||||
Dell International LLC/ EMC Corp. Senior Sec. Notes 8.10% due 07/15/2036* | 132,000 | 168,374 | |||||||||
Dell International LLC/ EMC Corp. Senior Sec. Notes 6.02% due 06/15/2026* | 195,000 | 219,293 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035 | 79,000 | 93,727 | |||||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 115,000 | 134,136 | |||||||||
4,195,510 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024 | 106,000 | 99,640 | |||||||||
NCR Corp. Company Guar. Notes 5.75% due 09/01/2027* | 19,000 | 19,665 | |||||||||
NCR Corp. Company Guar. Notes 6.13% due 09/01/2029* | 57,000 | 60,081 | |||||||||
179,386 | |||||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Central Garden & Pet Co. Company Guar. Notes 5.13% due 02/01/2028 | 75,000 | 76,500 |
234
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Crown Americas LLC/Crown Americas Capital Corp. Company Guar. Notes 4.50% due 01/15/2023 | $ | 25,000 | $ | 26,250 | |||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 44,000 | 53,460 | |||||||||
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025* | 105,000 | 107,625 | |||||||||
Silgan Holdings, Inc. Senior Notes 4.75% due 03/15/2025 | 75,000 | 76,687 | |||||||||
264,022 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024* | 73,000 | 78,110 | |||||||||
WRKCo, Inc. Company Guar. Notes 4.65% due 03/15/2026 | 1,045,000 | 1,147,201 | |||||||||
1,225,311 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. Company Guar. Notes 6.50% due 04/15/2026* | 75,000 | 72,750 | |||||||||
First Quality Finance Co., Inc. Company Guar. Notes 5.00% due 07/01/2025* | 76,000 | 78,567 | |||||||||
151,317 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Fidelity National Information Services, Inc. Senior Notes 4.25% due 05/15/2028 | 290,000 | 323,475 | |||||||||
Fiserv, Inc. Senior Notes 4.40% due 07/01/2049 | 158,000 | 176,300 | |||||||||
499,775 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 3.00% due 04/15/2023 | 175,000 | 180,088 | |||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.00% due 05/01/2025 | 25,000 | 24,902 | |||||||||
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024 | 125,000 | 127,031 | |||||||||
151,933 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
Anixter, Inc. Company Guar. Notes 6.00% due 12/01/2025 | $ | 59,000 | $ | 65,195 | |||||||
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025 | 111,000 | 114,263 | |||||||||
179,458 | |||||||||||
Diversified Banking Institutions — 4.6% | |||||||||||
Bank of America Corp. Senior Notes 2.50% due 10/21/2022 | 1,090,000 | 1,097,410 | |||||||||
Bank of America Corp. Senior Notes 3.00% due 12/20/2023 | 1,525,000 | 1,557,433 | |||||||||
Bank of America Corp. Senior Notes 3.19% due 07/23/2030 | 1,065,000 | 1,098,357 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 2,210,000 | 2,298,703 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 950,000 | 992,181 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 192,000 | 204,207 | |||||||||
Bank of America Corp. Senior Notes 3.86% due 07/23/2024 | 194,000 | 204,365 | |||||||||
Bank of America Corp. Senior Bonds 3.95% due 01/23/2049 | 1,000,000 | 1,122,821 | |||||||||
Bank of America Corp. Senior Notes 3.97% due 02/07/2030 | 865,000 | 945,284 | |||||||||
Bank of America Corp. Senior Notes 4.10% due 07/24/2023 | 715,000 | 762,847 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 114,000 | 123,065 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 440,000 | 521,992 | |||||||||
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037 | 694,000 | 908,965 | |||||||||
Citigroup, Inc. FRS Senior Notes 3.22% (3 ML+1.10%) due 05/17/2024 | 1,940,000 | 1,956,904 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 100,000 | 103,611 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 530,000 | 554,269 |
235
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | $ | 385,000 | $ | 407,580 | |||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 1,220,000 | 1,295,547 | |||||||||
Citigroup, Inc. Senior Notes 3.98% due 03/20/2030 | 2,058,000 | 2,237,795 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 1,270,000 | 1,382,836 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 770,000 | 829,473 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 206,000 | 224,761 | |||||||||
Citigroup, Inc. Senior Notes 4.65% due 07/30/2045 | 93,000 | 112,037 | |||||||||
Citigroup, Inc. Sub. Notes 5.50% due 09/13/2025 | 335,000 | 379,783 | |||||||||
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033 | 94,000 | 115,925 | |||||||||
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033 | 88,000 | 109,995 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021 | 1,405,000 | 1,406,475 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.88% due 10/31/2022 | 755,000 | 763,616 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 1,610,000 | 1,631,625 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.69% due 06/05/2028 | 1,198,000 | 1,256,599 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024 | 375,000 | 399,609 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 215,000 | 231,505 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 840,000 | 916,936 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025 | 182,000 | 194,759 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.75% due 10/21/2045 | 230,000 | 275,966 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | $ | 610,000 | $ | 842,247 | |||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 654,000 | 882,824 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.74% due 10/15/2030 | 222,000 | 220,441 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.21% due 04/01/2023 | 437,000 | 447,649 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 1,105,000 | 1,144,043 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 1,230,000 | 1,300,158 | |||||||||
JPMorgan Chase & Co. FRS Senior Notes 3.51% (3 ML+1.23%) due 10/24/2023 | 460,000 | 467,293 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 1,000,000 | 1,071,490 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 990,000 | 1,044,126 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038 | 129,000 | 142,526 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | 375,000 | 409,588 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.35% due 08/15/2021 | 450,000 | 468,116 | |||||||||
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038 | 650,000 | 990,704 | |||||||||
Morgan Stanley Senior Notes 2.50% due 04/21/2021 | 275,000 | 276,844 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 1,445,000 | 1,489,225 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 1,270,000 | 1,338,802 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 450,000 | 476,480 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 510,000 | 540,024 | |||||||||
Morgan Stanley Senior Notes 3.88% due 01/27/2026 | 810,000 | 869,439 |
236
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Sub. Notes 3.95% due 04/23/2027 | $ | 550,000 | $ | 581,757 | |||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 980,000 | 1,057,204 | |||||||||
Morgan Stanley Sub. Notes 4.35% due 09/08/2026 | 170,000 | 184,097 | |||||||||
Morgan Stanley Senior Notes 5.50% due 07/24/2020 | 246,000 | 252,628 | |||||||||
45,122,941 | |||||||||||
Diversified Financial Services — 0.0% | |||||||||||
USAA Capital Corp. Senior Notes 2.63% due 06/01/2021* | 158,000 | 159,679 | |||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
Illinois Tool Works, Inc. Senior Notes 3.50% due 03/01/2024 | 127,000 | 134,465 | |||||||||
Ingersoll-Rand Global Holding Co., Ltd. Company Guar. Notes 2.90% due 02/21/2021 | 485,000 | 488,959 | |||||||||
623,424 | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 1,030,000 | 1,185,043 | |||||||||
Amazon.com, Inc. Senior Notes 4.80% due 12/05/2034 | 84,000 | 105,097 | |||||||||
Amazon.com, Inc. Senior Notes 4.95% due 12/05/2044 | 185,000 | 244,893 | |||||||||
1,535,033 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Expedia Group, Inc. Company Guar. Notes 3.25% due 02/15/2030* | 98,000 | 97,720 | |||||||||
GrubHub Holdings, Inc. Company Guar. Notes 5.50% due 07/01/2027* | 79,000 | 80,604 | |||||||||
178,324 | |||||||||||
Electric-Distribution — 0.4% | |||||||||||
CenterPoint Energy, Inc. Senior Notes 2.95% due 03/01/2030 | 106,000 | 105,608 | |||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 465,000 | 502,299 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 240,000 | 274,632 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Electric-Distribution (continued) | |||||||||||
Connecticut Light & Power Co. 1st Mtg. Notes 4.00% due 04/01/2048 | $ | 210,000 | $ | 242,086 | |||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.85% due 01/27/2025 | 440,000 | 453,490 | |||||||||
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 07/15/2024* | 75,000 | 77,250 | |||||||||
Oglethorpe Power Corp. 1st Mtg. Notes 5.05% due 10/01/2048 | 689,000 | 833,671 | |||||||||
Sempra Energy Senior Notes 2.40% due 02/01/2020 | 750,000 | 750,039 | |||||||||
Sempra Energy Senior Notes 3.40% due 02/01/2028 | 211,000 | 217,954 | |||||||||
3,457,029 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Basin Electric Power Cooperative 1st Mtg. Notes 4.75% due 04/26/2047* | 31,000 | 36,146 | |||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 142,000 | 164,350 | |||||||||
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027* | 130,000 | 133,858 | |||||||||
334,354 | |||||||||||
Electric-Integrated — 1.9% | |||||||||||
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065 | 410,000 | 544,844 | |||||||||
AEP Texas, Inc. Senior Notes 4.15% due 05/01/2049 | 65,000 | 74,795 | |||||||||
Ameren Corp. Senior Notes 2.50% due 09/15/2024 | 105,000 | 105,521 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 3.25% due 04/15/2028 | 345,000 | 363,355 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.13% due 04/01/2036 | 197,000 | 272,860 | |||||||||
Black Hills Corp. Senior Notes 3.88% due 10/15/2049 | 83,000 | 83,807 | |||||||||
CenterPoint Energy Houston Electric LLC General Refunding Mtg. 4.25% due 02/01/2049 | 205,000 | 246,112 |
237
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029* | $ | 555,000 | $ | 555,537 | |||||||
Cleco Corporate Holdings LLC Senior Notes 4.97% due 05/01/2046 | 35,000 | 40,063 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 4.45% due 06/15/2020 | 168,000 | 170,876 | |||||||||
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033 | 265,000 | 320,925 | |||||||||
DPL, Inc. Senior Notes 4.35% due 04/15/2029* | 48,000 | 47,412 | |||||||||
DTE Electric Co. General Refunding Mtg. 3.95% due 03/01/2049 | 265,000 | 303,669 | |||||||||
DTE Energy Co. Senior Notes 1.50% due 10/01/2019 | 750,000 | 750,000 | |||||||||
DTE Energy Co. Senior Notes 3.40% due 06/15/2029 | 101,000 | 105,258 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042 | 80,000 | 89,517 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038 | 40,000 | 55,097 | |||||||||
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037 | 50,000 | 68,317 | |||||||||
Duke Energy Corp. Senior Notes 3.75% due 04/15/2024 | 470,000 | 498,436 | |||||||||
Duke Energy Florida LLC 1st Mtg. Notes 3.40% due 10/01/2046 | 785,000 | 810,680 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 3.25% due 10/01/2049 | 500,000 | 498,611 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043 | 195,000 | 243,987 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022 | 143,000 | 145,710 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044 | 900,000 | 1,030,020 | |||||||||
Edison International Senior Notes 4.13% due 03/15/2028 | 150,000 | 153,813 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Entergy Texas, Inc. 1st Mtg. Notes 3.55% due 09/30/2049 | $ | 74,000 | $ | 76,948 | |||||||
Entergy Texas, Inc. 1st Mtg. Notes 4.50% due 03/30/2039 | 312,000 | 367,316 | |||||||||
Evergy, Inc. Senior Notes 4.85% due 06/01/2021 | 91,000 | 94,125 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 335,000 | 334,741 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 480,000 | 477,573 | |||||||||
Exelon Corp. Senior Notes 2.45% due 04/15/2021 | 240,000 | 240,538 | |||||||||
Exelon Corp. Senior Notes 2.85% due 06/15/2020 | 565,000 | 567,363 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 340,000 | 364,049 | |||||||||
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031 | 336,000 | 475,408 | |||||||||
Florida Power & Light Co. 1st Mtg. Bonds 3.99% due 03/01/2049 | 340,000 | 396,865 | |||||||||
Georgia Power Co. Senior Notes 2.00% due 09/08/2020 | 869,000 | 867,983 | |||||||||
Georgia Power Co. Senior Notes 4.75% due 09/01/2040 | 350,000 | 405,815 | |||||||||
Interstate Power & Light Co. Senior Notes 3.50% due 09/30/2049 | 104,000 | 104,505 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 740,000 | 766,265 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 240,000 | 261,585 | |||||||||
Mississippi Power Co. Senior Notes 4.25% due 03/15/2042 | 162,000 | 175,397 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 3.15% due 04/01/2024 | 630,000 | 650,680 | |||||||||
Northern States Power Co. 1st Mtg. Bonds 2.90% due 03/01/2050 | 255,000 | 246,529 | |||||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 170,000 | 198,483 |
238
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
PECO Energy Co. 1st Mtg. Bonds 3.00% due 09/15/2049 | $ | 113,000 | $ | 110,546 | |||||||
Public Service Co. of Colorado 1st Mtg. Bonds 3.70% due 06/15/2028 | 170,000 | 187,805 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048 | 117,000 | 136,658 | |||||||||
Public Service Electric & Gas Co. 1st Mtg. Bonds 3.80% due 03/01/2046 | 330,000 | 368,051 | |||||||||
Public Service Enterprise Group, Inc. Senior Notes 2.88% due 06/15/2024 | 430,000 | 441,183 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 505,000 | 516,892 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 535,000 | 539,669 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 330,000 | 353,900 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 655,000 | 668,498 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 595,000 | 613,605 | |||||||||
Southern Co. Senior Notes 4.40% due 07/01/2046 | 15,000 | 16,713 | |||||||||
Talen Energy Supply LLC Senior Sec. Notes 6.63% due 01/15/2028* | 82,000 | 80,565 | |||||||||
Talen Energy Supply LLC Senior Sec. Notes 7.25% due 05/15/2027* | 33,000 | 33,538 | |||||||||
Union Electric Co. 1st Mtg. Notes 4.00% due 04/01/2048 | 210,000 | 238,834 | |||||||||
18,957,847 | |||||||||||
Electric-Transmission — 0.1% | |||||||||||
AEP Transmission Co. LLC Senior Notes 3.15% due 09/15/2049 | 73,000 | 71,811 | |||||||||
Oncor Electric Delivery Co. LLC 1st Mtg. Bonds 3.10% due 09/15/2049* | 295,000 | 295,606 | |||||||||
Oncor Electric Delivery Co. LLC Senior Sec. Notes 5.75% due 03/15/2029 | 160,000 | 202,485 | |||||||||
569,902 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors — 0.6% | |||||||||||
Amkor Technology, Inc. Senior Notes 6.63% due 09/15/2027* | $ | 73,000 | $ | 79,570 | |||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.13% due 01/15/2025 | 920,000 | 913,549 | |||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 1,785,000 | 1,792,533 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.75% due 04/15/2029* | 465,000 | 491,585 | |||||||||
Intel Corp. Senior Notes 3.73% due 12/08/2047 | 260,000 | 289,948 | |||||||||
Intel Corp. Senior Notes 4.10% due 05/19/2046 | 160,000 | 186,504 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 865,000 | 908,403 | |||||||||
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026 | 1,230,000 | 1,324,941 | |||||||||
Texas Instruments, Inc. Senior Notes 2.25% due 09/04/2029 | 70,000 | 68,914 | |||||||||
6,055,947 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Trimble, Inc. Senior Notes 4.75% due 12/01/2024 | 18,000 | 19,320 | |||||||||
Trimble, Inc. Senior Notes 4.90% due 06/15/2028 | 269,000 | 291,860 | |||||||||
311,180 | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Arrow Electronics, Inc. Senior Notes 4.00% due 04/01/2025 | 96,000 | 100,066 | |||||||||
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024 | 138,000 | 142,962 | |||||||||
243,028 | |||||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Hanwha Energy USA Holdings Corp. Company Guar. Notes 2.38% due 07/30/2022* | 210,000 | 210,282 | |||||||||
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024* | 110,000 | 112,612 | |||||||||
322,894 |
239
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
Fluor Corp. Senior Notes 4.25% due 09/15/2028 | $ | 1,235,000 | $ | 1,241,177 | |||||||
Enterprise Software/Service — 0.1% | |||||||||||
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024 | 119,000 | 123,463 | |||||||||
Oracle Corp. Senior Notes 2.95% due 11/15/2024 | 130,000 | 134,752 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 450,000 | 503,597 | |||||||||
761,812 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026* | 70,000 | 74,900 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024* | 117,000 | 109,103 | |||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 62,000 | 56,343 | |||||||||
SLM Corp. Senior Notes 5.63% due 08/01/2033 | 96,000 | 81,060 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025 | 125,000 | 137,734 | |||||||||
Synchrony Financial Senior Notes 2.85% due 07/25/2022 | 60,000 | 60,505 | |||||||||
Synchrony Financial Senior Notes 4.25% due 08/15/2024 | 343,000 | 361,550 | |||||||||
Synchrony Financial Senior Notes 4.50% due 07/23/2025 | 93,000 | 99,248 | |||||||||
905,543 | |||||||||||
Finance-Credit Card — 0.1% | |||||||||||
American Express Co. Senior Notes 3.40% due 02/22/2024 | 120,000 | 125,500 | |||||||||
American Express Co. Senior Notes 4.20% due 11/06/2025 | 96,000 | 105,498 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 755,000 | 797,660 | |||||||||
1,028,658 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
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* | 83,000 | 86,320 | |||||||||
86,343 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025* | 125,000 | 128,906 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
NBM US Holdings, Inc. Company Guar. Notes 7.00% due 05/14/2026* | 1,200,000 | 1,258,500 | |||||||||
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021* | 73,000 | 72,301 | |||||||||
Smithfield Foods, Inc. Senior Notes 5.20% due 04/01/2029* | 57,000 | 62,729 | |||||||||
1,393,530 | |||||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 455,000 | 488,357 | |||||||||
Conagra Brands, Inc. Senior Notes 4.60% due 11/01/2025 | 125,000 | 137,465 | |||||||||
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048 | 186,000 | 220,660 | |||||||||
Conagra Brands, Inc. Senior Notes 7.00% due 10/01/2028 | 158,000 | 198,699 | |||||||||
General Mills, Inc. Senior Notes 4.55% due 04/17/2038 | 74,000 | 84,222 | |||||||||
General Mills, Inc. Senior Notes 4.70% due 04/17/2048 | 147,000 | 172,028 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.63% due 10/01/2039* | 73,000 | 73,379 | |||||||||
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025* | 134,000 | 137,950 | |||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.63% due 11/01/2024* | 100,000 | 105,240 | |||||||||
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025* | 184,000 | 197,461 |
240
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Food-Misc./Diversified (continued) | |||||||||||
Post Holdings, Inc. Company Guar. Notes 5.50% due 03/01/2025* | $ | 115,000 | $ | 120,462 | |||||||
1,935,923 | |||||||||||
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 | 89,466 | |||||||||
Albertsons Cos. LLC/Safeway, Inc./New Albertsons LP/ Albertson's LLC Company Guar. Notes 5.88% due 02/15/2028* | 45,000 | 47,630 | |||||||||
Kroger Co. Senior Notes 4.65% due 01/15/2048 | 104,000 | 111,298 | |||||||||
248,394 | |||||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Twin River Worldwide Holdings, Inc. Senior Notes 6.75% due 06/01/2027* | 48,000 | 50,400 | |||||||||
Waterford Gaming LLC/ Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(8) | 1,320 | 80 | |||||||||
50,480 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
NiSource, Inc. Senior Notes 2.95% due 09/01/2029 | 162,000 | 162,877 | |||||||||
NiSource, Inc. Senior Notes 5.65% due 02/01/2045 | 97,000 | 125,000 | |||||||||
Washington Gas Light Co. Senior Notes 3.65% due 09/15/2049 | 147,000 | 150,381 | |||||||||
438,258 | |||||||||||
Gold Mining — 0.0% | |||||||||||
Newmont Goldcorp Corp. Senior Notes 2.80% due 10/01/2029 | 121,000 | 119,582 | |||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Clean Harbors, Inc. Senior Notes 4.88% due 07/15/2027* | 73,000 | 76,194 | |||||||||
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 | 52,062 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Hotels/Motels (continued) | |||||||||||
Wyndham Worldwide Corp. Senior Sec. Notes 5.40% due 04/01/2024 | $ | 39,000 | $ | 41,145 | |||||||
Wyndham Worldwide Corp. Senior Sec. Notes 5.75% due 04/01/2027 | 45,000 | 48,600 | |||||||||
141,807 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy Operating LLC Company Guar. Notes 5.75% due 10/15/2025* | 73,000 | 76,832 | |||||||||
NRG Yield Operating LLC Company Guar. Notes 5.00% due 09/15/2026 | 23,000 | 23,518 | |||||||||
100,350 | |||||||||||
Insurance Brokers — 0.4% | |||||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 12/29/2020 | 89,000 | 90,420 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 290,000 | 306,577 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 615,000 | 654,922 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023 | 295,000 | 314,000 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 390,000 | 441,089 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 435,000 | 524,960 | |||||||||
Willis North America, Inc. Company Guar. Notes 2.95% due 09/15/2029 | 245,000 | 241,138 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 610,000 | 633,885 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.88% due 09/15/2049 | 103,000 | 100,736 | |||||||||
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048 | 102,000 | 119,154 | |||||||||
3,426,881 | |||||||||||
Insurance-Life/Health — 0.1% | |||||||||||
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047 | 151,000 | 134,709 | |||||||||
Prudential Financial, Inc. Senior Notes 3.70% due 03/13/2051 | 211,000 | 218,454 | |||||||||
Unum Group Senior Notes 4.00% due 06/15/2029 | 310,000 | 322,228 |
241
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Life/Health (continued) | |||||||||||
Unum Group Senior Notes 4.50% due 12/15/2049 | $ | 242,000 | $ | 233,441 | |||||||
908,832 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Assurant, Inc. Senior Notes 3.70% due 02/22/2030 | 82,000 | 82,097 | |||||||||
Assurant, Inc. Senior Notes 6.75% due 02/15/2034 | 20,000 | 24,581 | |||||||||
106,678 | |||||||||||
Insurance-Mutual — 0.1% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 8.88% due 06/01/2039* | 114,000 | 194,019 | |||||||||
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024* | 200,000 | 204,647 | |||||||||
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020* | 324,000 | 323,985 | |||||||||
722,651 | |||||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
ACE INA Holdings, Inc. Company Guar. Notes 2.88% due 11/03/2022 | 166,000 | 170,157 | |||||||||
AmWINS Group, Inc. Company Guar. Notes 7.75% due 07/01/2026* | 85,000 | 91,375 | |||||||||
261,532 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.20% due 08/15/2048 | 515,000 | 603,705 | |||||||||
Internet Connectivity Services — 0.0% | |||||||||||
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022* | 135,000 | 140,400 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Netflix, Inc. Senior Notes 4.38% due 11/15/2026 | 133,000 | 134,736 | |||||||||
Netflix, Inc. Senior Notes 5.88% due 02/15/2025 | 100,000 | 109,814 | |||||||||
244,550 | |||||||||||
Investment Companies — 0.0% | |||||||||||
FS Energy & Power Fund Senior Sec. Notes 7.50% due 08/15/2023* | 65,000 | 65,650 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
Ameriprise Financial, Inc. Senior Notes 3.00% due 03/22/2022 | $ | 146,000 | $ | 148,707 | |||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022 | 123,000 | 125,157 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 3.15% due 09/07/2021 | 83,000 | 84,717 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 3.45% due 05/15/2023 | 174,000 | 182,507 | |||||||||
Terex Corp. Company Guar. Notes 5.63% due 02/01/2025* | 64,000 | 65,680 | |||||||||
458,061 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023 | 214,000 | 223,149 | |||||||||
Machinery-Farming — 0.1% | |||||||||||
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024 | 261,000 | 275,408 | |||||||||
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021 | 128,000 | 128,744 | |||||||||
John Deere Capital Corp. Senior Notes 2.80% due 07/18/2029 | 98,000 | 100,623 | |||||||||
John Deere Capital Corp. Senior Notes 2.95% due 04/01/2022 | 271,000 | 277,731 | |||||||||
John Deere Capital Corp. Senior Notes 3.45% due 01/10/2024 | 177,000 | 186,482 | |||||||||
John Deere Capital Corp. Senior Notes 3.65% due 10/12/2023 | 89,000 | 94,821 | |||||||||
1,063,809 | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Roper Technologies, Inc. Senior Notes 2.95% due 09/15/2029 | 69,000 | 69,167 | |||||||||
Roper Technologies, Inc. Senior Notes 4.20% due 09/15/2028 | 150,000 | 164,732 | |||||||||
233,899 | |||||||||||
Medical Instruments — 0.1% | |||||||||||
Alcon Finance Corp. Company Guar. Notes 3.00% due 09/23/2029* | 560,000 | 566,296 |
242
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Instruments (continued) | |||||||||||
Boston Scientific Corp. Senior Notes 4.00% due 03/01/2028 | $ | 725,000 | $ | 794,641 | |||||||
1,360,937 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Catalent Pharma Solutions, Inc. Company Guar. Notes 5.00% due 07/15/2027* | 38,000 | 39,425 | |||||||||
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024 | 207,000 | 214,411 | |||||||||
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045 | 76,000 | 84,623 | |||||||||
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022* | 204,000 | 202,988 | |||||||||
541,447 | |||||||||||
Medical Products — 0.0% | |||||||||||
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025* | 50,000 | 51,250 | |||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Amgen, Inc. Senior Notes 2.65% due 05/11/2022 | 700,000 | 709,184 | |||||||||
Amgen, Inc. Senior Notes 4.66% due 06/15/2051 | 72,000 | 84,300 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 24,000 | 24,629 | |||||||||
Celgene Corp. Senior Notes 3.63% due 05/15/2024 | 194,000 | 204,862 | |||||||||
Celgene Corp. Senior Notes 4.63% due 05/15/2044 | 119,000 | 141,321 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024 | 515,000 | 545,166 | |||||||||
1,709,462 | |||||||||||
Medical-Drugs — 0.4% | |||||||||||
Bayer US Finance II LLC Company Guar. Notes 4.25% due 12/15/2025* | 1,060,000 | 1,132,457 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029* | 510,000 | 544,742 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 4.13% due 06/15/2039* | 101,000 | 114,456 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023 | $ | 131,000 | $ | 136,775 | |||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 1,475,000 | 1,583,148 | |||||||||
3,511,578 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Allergan Finance LLC Company Guar. Notes 4.63% due 10/01/2042 | 395,000 | 409,822 | |||||||||
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028 | 137,000 | 145,409 | |||||||||
555,231 | |||||||||||
Medical-HMO — 0.6% | |||||||||||
Aetna, Inc. Senior Notes 2.80% due 06/15/2023 | 375,000 | 379,527 | |||||||||
Anthem, Inc. Senior Notes 3.50% due 08/15/2024 | 535,000 | 560,711 | |||||||||
Anthem, Inc. Senior Notes 4.63% due 05/15/2042 | 400,000 | 442,768 | |||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 555,000 | 646,418 | |||||||||
Centene Corp. Senior Notes 4.75% due 01/15/2025 | 25,000 | 25,662 | |||||||||
Humana, Inc. Senior Notes 3.95% due 08/15/2049 | 91,000 | 91,210 | |||||||||
MPH Acquisition Holdings LLC Company Guar. Notes 7.13% due 06/01/2024* | 75,000 | 69,094 | |||||||||
UnitedHealth Group, Inc. Senior Bonds 2.38% due 10/15/2022 | 596,000 | 602,159 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.38% due 08/15/2024 | 610,000 | 614,877 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.88% due 08/15/2029 | 550,000 | 561,346 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 461,000 | 479,896 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 12/15/2025 | 65,000 | 69,981 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.70% due 08/15/2049 | 150,000 | 158,814 |
243
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | $ | 505,000 | $ | 542,989 | |||||||
UnitedHealth Group, Inc. Senior Notes 4.75% due 07/15/2045 | 494,000 | 600,390 | |||||||||
5,845,842 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 285,000 | 288,153 | |||||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 650,000 | 681,645 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 112,000 | 124,714 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2049 | 81,000 | 88,358 | |||||||||
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025 | 200,000 | 218,500 | |||||||||
1,401,370 | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021* | 75,000 | 77,088 | |||||||||
Cardinal Health, Inc. Senior Notes 4.60% due 03/15/2043 | 193,000 | 189,274 | |||||||||
266,362 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023 | 99,000 | 99,742 | |||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 5.25% due 09/01/2029 | 48,000 | 47,850 | |||||||||
147,592 | |||||||||||
Metal-Diversified — 0.1% | |||||||||||
Glencore Funding LLC Company Guar. Notes 4.13% due 03/12/2024* | 200,000 | 209,791 | |||||||||
Glencore Funding LLC Company Guar. Notes 4.88% due 03/12/2029* | 780,000 | 842,853 | |||||||||
1,052,644 | |||||||||||
Metal-Iron — 0.0% | |||||||||||
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025 | 77,000 | 75,653 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Multimedia — 0.2% | |||||||||||
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025* | $ | 128,000 | $ | 128,320 | |||||||
Viacom, Inc. Senior Notes 4.25% due 09/01/2023 | 1,140,000 | 1,208,880 | |||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 642,000 | 662,139 | |||||||||
1,999,339 | |||||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Waste Management, Inc. Company Guar. Notes 3.20% due 06/15/2026 | 615,000 | 648,499 | |||||||||
Waste Management, Inc. Company Guar. Notes 3.45% due 06/15/2029 | 195,000 | 210,586 | |||||||||
Waste Management, Inc. Company Guar. Notes 4.15% due 07/15/2049 | 207,000 | 241,225 | |||||||||
1,100,310 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. Senior Notes 4.88% due 12/06/2028 | 80,000 | 91,123 | |||||||||
Oil Companies-Exploration & Production — 0.9% | |||||||||||
Apache Corp. Senior Notes 4.75% due 04/15/2043 | 233,000 | 223,237 | |||||||||
Brazos Valley Longhorn LLC/ Brazos Valley Longhorn Finance Corp. Company Guar. Notes 6.88% due 02/01/2025 | 95,000 | 81,700 | |||||||||
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026 | 85,000 | 82,947 | |||||||||
Centennial Resource Production LLC Company Guar. Notes 6.88% due 04/01/2027* | 75,000 | 74,813 | |||||||||
Chaparral Energy, Inc. Senior Notes 8.75% due 07/15/2023* | 136,000 | 53,040 | |||||||||
Cimarex Energy Co. Senior Notes 3.90% due 05/15/2027 | 270,000 | 274,905 | |||||||||
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029 | 903,000 | 950,321 | |||||||||
Concho Resources, Inc. Company Guar. Notes 4.85% due 08/15/2048 | 70,000 | 80,209 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028 | 735,000 | 759,094 |
244
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Devon Energy Corp. Senior Notes 5.00% due 06/15/2045 | $ | 102,000 | $ | 117,945 | |||||||
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026* | 100,000 | 61,250 | |||||||||
Hess Corp. Senior Notes 5.60% due 02/15/2041 | 80,000 | 89,257 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 604,000 | 753,788 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 900,000 | 1,132,491 | |||||||||
Hess Corp. Senior Notes 7.88% due 10/01/2029 | 230,000 | 290,571 | |||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024* | 119,000 | 111,265 | |||||||||
Lonestar Resources America, Inc. Company Guar. Notes 11.25% due 01/01/2023* | 169,000 | 138,158 | |||||||||
Marathon Oil Corp. Senior Notes 3.85% due 06/01/2025 | 579,000 | 601,998 | |||||||||
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037 | 83,000 | 105,175 | |||||||||
Marathon Oil Corp. Senior Notes 6.80% due 03/15/2032 | 106,000 | 132,632 | |||||||||
Noble Energy, Inc. Senior Notes 4.20% due 10/15/2049 | 188,000 | 184,985 | |||||||||
Noble Energy, Inc. Senior Notes 4.95% due 08/15/2047 | 155,000 | 169,178 | |||||||||
Noble Energy, Inc. Senior Notes 5.05% due 11/15/2044 | 835,000 | 910,863 | |||||||||
Occidental Petroleum Corp. Senior Notes 3.50% due 08/15/2029 | 450,000 | 456,390 | |||||||||
Occidental Petroleum Corp. Senior Notes 4.50% due 07/15/2044 | 115,000 | 117,287 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.45% due 09/15/2036 | 248,000 | 306,799 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.95% due 07/01/2024 | 375,000 | 439,883 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026 | $ | 38,000 | $ | 33,155 | |||||||
8,733,336 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Chevron Corp. Senior Notes 2.90% due 03/03/2024 | 488,000 | 506,336 | |||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Hi-Crush Partners LP Company Guar. Notes 9.50% due 08/01/2026* | 147,000 | 85,260 | |||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 3.80% due 04/01/2028 | 220,000 | 229,235 | |||||||||
Valero Energy Corp. Senior Notes 4.00% due 04/01/2029 | 265,000 | 281,828 | |||||||||
511,063 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Calfrac Holdings LP Company Guar. Notes 8.50% due 06/15/2026* | 85,000 | 37,825 | |||||||||
Nine Energy Service, Inc. Senior Notes 8.75% due 11/01/2023* | 48,000 | 38,880 | |||||||||
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022 | 93,000 | 32,550 | |||||||||
Schlumberger Holdings Corp. Senior Notes 4.00% due 12/21/2025* | 137,000 | 146,250 | |||||||||
SESI LLC Company Guar. Notes 7.75% due 09/15/2024 | 100,000 | 56,500 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026 | 45,000 | 46,687 | |||||||||
358,692 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044 | 255,000 | 285,769 | |||||||||
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023* | 351,000 | 368,684 | |||||||||
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020* | 112,000 | 115,855 | |||||||||
International Paper Co. Senior Notes 7.30% due 11/15/2039 | 115,000 | 155,766 | |||||||||
926,074 |
245
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Petrochemicals — 0.0% | |||||||||||
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023* | $ | 128,000 | $ | 131,430 | |||||||
Pharmacy Services — 0.7% | |||||||||||
Cigna Corp. Company Guar. Notes 4.38% due 10/15/2028 | 2,865,000 | 3,130,517 | |||||||||
Cigna Corp. Company Guar. Notes 4.80% due 08/15/2038 | 148,000 | 165,871 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 576,000 | 630,826 | |||||||||
CVS Health Corp. Senior Notes 5.05% due 03/25/2048 | 1,110,000 | 1,259,771 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 1,140,000 | 1,292,145 | |||||||||
6,479,130 | |||||||||||
Pipelines — 1.4% | |||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. Company Guar. Notes 5.75% due 03/01/2027* | 100,000 | 83,375 | |||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.88% due 03/31/2025 | 130,000 | 144,642 | |||||||||
Cheniere Energy Partners LP Senior Notes 4.50% due 10/01/2029* | 19,000 | 19,451 | |||||||||
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025 | 62,000 | 64,325 | |||||||||
Enable Midstream Partners LP Senior Notes 4.15% due 09/15/2029 | 98,000 | 94,607 | |||||||||
Enable Midstream Partners LP Senior Notes 4.95% due 05/15/2028 | 129,000 | 133,977 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.20% due 09/15/2023 | 390,000 | 409,862 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.50% due 04/15/2024 | 639,000 | 681,136 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 4.90% due 03/15/2035 | 191,000 | 197,294 | |||||||||
Energy Transfer Operating LP Company Guar. Notes 5.25% due 04/15/2029 | 985,000 | 1,111,793 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Energy Transfer Operating LP Company Guar. Notes 6.25% due 04/15/2049 | $ | 225,000 | $ | 273,247 | |||||||
EnLink Midstream LLC Company Guar. Notes 5.38% due 06/01/2029 | 110,000 | 105,050 | |||||||||
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026 | 54,000 | 51,300 | |||||||||
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045 | 46,000 | 36,800 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.13% due 07/31/2029 | 595,000 | 609,279 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 287,000 | 266,931 | |||||||||
EQM Midstream Partners LP Senior Notes 5.50% due 07/15/2028 | 610,000 | 610,072 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024 | 74,000 | 70,855 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.00% due 05/15/2023 | 50,000 | 50,187 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 6.00% due 08/01/2024* | 80,000 | 83,500 | |||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.00% due 08/15/2042 | 130,000 | 142,477 | |||||||||
MPLX LP Senior Notes 4.25% due 12/01/2027* | 560,000 | 592,474 | |||||||||
MPLX LP Senior Notes 4.70% due 04/15/2048 | 325,000 | 339,208 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 310,000 | 344,301 | |||||||||
MPLX LP Senior Notes 5.20% due 12/01/2047* | 155,000 | 169,011 | |||||||||
MPLX LP Senior Notes 5.50% due 02/15/2049 | 95,000 | 110,173 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.40% due 09/01/2029 | 455,000 | 452,001 | |||||||||
Phillips 66 Partners LP Senior Notes 2.45% due 12/15/2024 | 620,000 | 617,476 |
246
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Phillips 66 Partners LP Senior Notes 3.15% due 12/15/2029 | $ | 305,000 | $ | 300,567 | |||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 320,000 | 338,595 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 03/01/2025 | 235,000 | 263,867 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 07/15/2022 | 55,000 | 55,826 | |||||||||
SemGroup Corp./Rose Rock Finance Corp. Company Guar. Notes 5.63% due 11/15/2023 | 75,000 | 76,687 | |||||||||
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022 | 55,000 | 50,187 | |||||||||
Sunoco Logistics Partners Operations LP Company Guar. Notes 4.00% due 10/01/2027 | 490,000 | 507,235 | |||||||||
Texas Eastern Transmission LP Senior Notes 2.80% due 10/15/2022* | 510,000 | 514,532 | |||||||||
Texas Eastern Transmission LP Senior Notes 3.50% due 01/15/2028* | 275,000 | 285,957 | |||||||||
Valero Energy Partners LP Company Guar. Notes 4.50% due 03/15/2028 | 1,065,000 | 1,164,604 | |||||||||
Western Midstream Operating LP Senior Notes 4.50% due 03/01/2028 | 1,125,000 | 1,086,304 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 660,000 | 649,573 | |||||||||
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048 | 156,000 | 138,843 | |||||||||
Williams Cos., Inc. Senior Notes 5.10% due 09/15/2045 | 545,000 | 600,015 | |||||||||
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044 | 125,000 | 144,250 | |||||||||
14,041,846 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp. Company Guar. Notes 5.88% due 09/30/2027* | 80,000 | 85,920 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Radio — 0.0% | |||||||||||
Sirius XM Radio, Inc. Company Guar. Notes 4.63% due 07/15/2024* | $ | 155,000 | $ | 160,709 | |||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.38% due 07/15/2026* | 54,000 | 56,692 | |||||||||
217,401 | |||||||||||
Real Estate Investment Trusts — 0.4% | |||||||||||
American Tower Corp. Senior Notes 4.00% due 06/01/2025 | 126,000 | 134,672 | |||||||||
AvalonBay Communities, Inc. Senior Notes 3.30% due 06/01/2029 | 96,000 | 101,324 | |||||||||
Camden Property Trust Senior Notes 3.35% due 11/01/2049 | 35,000 | 35,256 | |||||||||
Columbia Property Trust Operating Partnership LP Company Guar. Notes 4.15% due 04/01/2025 | 203,000 | 211,412 | |||||||||
Crown Castle International Corp. Senior Notes 5.20% due 02/15/2049 | 135,000 | 166,768 | |||||||||
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025 | 88,000 | 90,860 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 4.63% due 10/01/2027* | 45,000 | 45,169 | |||||||||
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025* | 77,000 | 79,618 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 635,000 | 699,903 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026 | 120,000 | 131,983 | |||||||||
HAT Holdings I LLC/HAT Holdings II LLC Company Guar. Notes 5.25% due 07/15/2024* | 78,000 | 81,998 | |||||||||
HCP, Inc. Senior Notes 3.50% due 07/15/2029 | 71,000 | 73,770 | |||||||||
Healthcare Trust of America Holdings LP Company Guar. Notes 3.10% due 02/15/2030 | 140,000 | 139,561 | |||||||||
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2027* | 90,000 | 92,041 |
247
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
iStar, Inc. Senior Notes 5.25% due 09/15/2022 | $ | 106,000 | $ | 108,253 | |||||||
iStar, Inc. Senior Notes 6.00% due 04/01/2022 | 48,000 | 49,421 | |||||||||
MGM Growth Properties Operating Partnership LP/ MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.75% due 02/01/2027* | 75,000 | 84,210 | |||||||||
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027 | 105,000 | 109,987 | |||||||||
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026 | 104,000 | 111,170 | |||||||||
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 3.90% due 10/15/2029 | 144,000 | 141,840 | |||||||||
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 4.80% due 06/01/2024 | 96,000 | 101,300 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 550,000 | 550,706 | |||||||||
Simon Property Group LP Senior Notes 2.45% due 09/13/2029 | 98,000 | 95,879 | |||||||||
Simon Property Group LP Senior Notes 4.13% due 12/01/2021 | 183,000 | 190,146 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 100,000 | 103,430 | |||||||||
3,730,677 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
Newmark Group, Inc. Senior Notes 6.13% due 11/15/2023 | 80,000 | 86,787 | |||||||||
Real Estate Operations & Development — 0.0% | |||||||||||
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024 | 135,000 | 138,502 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023* | 88,000 | 74,909 | |||||||||
Capitol Investment Merger Sub 2 LLC Sec. Notes 10.00% due 08/01/2024* | 80,000 | 83,000 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Rental Auto/Equipment (continued) | |||||||||||
Herc Holdings, Inc. Company Guar. Notes 5.50% due 07/15/2027* | $ | 57,000 | $ | 59,280 | |||||||
217,189 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc. Company Guar. Notes 7.25% due 07/15/2022 | 101,000 | 102,010 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
Lithia Motors, Inc. Company Guar. Notes 5.25% due 08/01/2025* | 75,000 | 78,188 | |||||||||
Retail-Building Products — 0.2% | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.38% due 09/15/2025 | 1,495,000 | 1,569,707 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.70% due 04/15/2046 | 215,000 | 216,501 | |||||||||
1,786,208 | |||||||||||
Retail-Discount — 0.1% | |||||||||||
Walmart, Inc. Senior Notes 3.05% due 07/08/2026 | 197,000 | 208,707 | |||||||||
Walmart, Inc. Senior Notes 3.70% due 06/26/2028 | 355,000 | 393,446 | |||||||||
Walmart, Inc. Senior Notes 3.95% due 06/28/2038 | 490,000 | 574,011 | |||||||||
1,176,164 | |||||||||||
Retail-Drug Store — 0.0% | |||||||||||
Walgreens Boots Alliance, Inc. Senior Notes 4.80% due 11/18/2044 | 78,000 | 82,373 | |||||||||
Retail-Mail Order — 0.0% | |||||||||||
QVC, Inc. Senior Sec. Notes 4.85% due 04/01/2024 | 363,000 | 383,117 | |||||||||
Retail-Petroleum Products — 0.0% | |||||||||||
Murphy Oil USA, Inc. Company Guar. Notes 4.75% due 09/15/2029 | 55,000 | 56,238 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Kohl's Corp. Senior Notes 5.55% due 07/17/2045 | 174,000 | 178,954 | |||||||||
Retail-Restaurants — 0.2% | |||||||||||
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024* | 83,000 | 87,150 | |||||||||
Darden Restaurants, Inc. Senior Notes 4.55% due 02/15/2048 | 247,000 | 260,851 |
248
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | $ | 710,000 | $ | 740,998 | |||||||
McDonald's Corp. Senior Notes 3.63% due 09/01/2049 | 142,000 | 143,535 | |||||||||
McDonald's Corp. Senior Notes 4.45% due 03/01/2047 | 88,000 | 101,044 | |||||||||
McDonald's Corp. Senior Notes 4.45% due 09/01/2048 | 138,000 | 159,523 | |||||||||
McDonald's Corp. Senior Notes 4.88% due 12/09/2045 | 95,000 | 114,870 | |||||||||
Yum! Brands, Inc. Senior Notes 4.75% due 01/15/2030* | 58,000 | 59,894 | |||||||||
1,667,865 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026 | 96,000 | 104,204 | |||||||||
Savings & Loans/Thrifts — 0.1% | |||||||||||
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021 | 294,000 | 323,946 | |||||||||
New York Community Bancorp, Inc. Sub. Notes 5.90% due 11/06/2028 | 297,000 | 310,963 | |||||||||
634,909 | |||||||||||
Security Services — 0.0% | |||||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.25% due 04/15/2024* | 99,000 | 101,628 | |||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.75% due 04/15/2026* | 75,000 | 78,098 | |||||||||
179,726 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
QUALCOMM, Inc. Senior Notes 4.30% due 05/20/2047 | 67,000 | 74,897 | |||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
Advanced Drainage Systems, Inc. Senior Sec. Notes 5.00% due 09/30/2027* | 11,000 | 11,151 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Steel-Producers — 0.0% | |||||||||||
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026 | $ | 57,000 | $ | 58,425 | |||||||
Telephone-Integrated — 1.2% | |||||||||||
AT&T, Inc. Senior Notes 2.95% due 07/15/2026 | 545,000 | 551,443 | |||||||||
AT&T, Inc. Senior Notes 3.80% due 02/15/2027 | 590,000 | 624,417 | |||||||||
AT&T, Inc. Senior Notes 4.30% due 02/15/2030 | 1,773,000 | 1,950,793 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 140,000 | 154,628 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 405,000 | 444,362 | |||||||||
AT&T, Inc. Senior Notes 4.55% due 03/09/2049 | 999,000 | 1,079,909 | |||||||||
AT&T, Inc. Senior Notes 4.85% due 07/15/2045 | 132,000 | 147,235 | |||||||||
AT&T, Inc. Senior Notes 4.90% due 08/15/2037 | 391,000 | 443,459 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 03/15/2042 | 220,000 | 252,094 | |||||||||
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024 | 190,000 | 212,487 | |||||||||
Frontier Communications Corp. Senior Notes 7.63% due 04/15/2024 | 152,000 | 66,880 | |||||||||
Frontier Communications Corp. Senior Notes 8.75% due 04/15/2022 | 120,000 | 53,400 | |||||||||
Level 3 Financing, Inc. Company Guar. Notes 4.63% due 09/15/2027* | 71,000 | 71,643 | |||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 02/08/2029 | 115,000 | 126,197 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 180,000 | 202,400 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 70,000 | 80,076 | |||||||||
Verizon Communications, Inc. Senior Notes 4.50% due 08/10/2033 | 2,125,000 | 2,467,424 | |||||||||
Verizon Communications, Inc. Senior Notes 4.81% due 03/15/2039 | 1,115,000 | 1,336,387 |
249
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037 | $ | 1,298,000 | $ | 1,607,005 | |||||||
11,872,239 | |||||||||||
Television — 0.1% | |||||||||||
Belo Corp. Company Guar. Notes 7.25% due 09/15/2027 | 45,000 | 51,075 | |||||||||
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027 | 102,000 | 117,555 | |||||||||
CBS Corp. Company Guar. Notes 3.70% due 06/01/2028 | 293,000 | 305,392 | |||||||||
CBS Corp. Company Guar. Notes 4.20% due 06/01/2029 | 515,000 | 558,819 | |||||||||
Gray Television, Inc. Company Guar. Notes 5.13% due 10/15/2024* | 56,000 | 58,030 | |||||||||
1,090,871 | |||||||||||
Tobacco — 0.9% | |||||||||||
Altria Group, Inc. Company Guar. Notes 2.63% due 09/16/2026 | 990,000 | 955,107 | |||||||||
Altria Group, Inc. Company Guar. Notes 3.88% due 09/16/2046 | 895,000 | 820,222 | |||||||||
Altria Group, Inc. Company Guar. Notes 4.40% due 02/14/2026 | 475,000 | 507,941 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.38% due 01/31/2044 | 625,000 | 694,770 | |||||||||
Altria Group, Inc. Company Guar. Notes 5.80% due 02/14/2039 | 965,000 | 1,117,611 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 2,545,000 | 2,522,980 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.22% due 08/15/2024 | 380,000 | 384,161 | |||||||||
BAT Capital Corp. Company Guar. Notes 3.46% due 09/06/2029 | 720,000 | 704,399 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.39% due 08/15/2037 | 515,000 | 499,005 | |||||||||
Philip Morris International, Inc. Senior Notes 4.13% due 03/04/2043 | 475,000 | 507,647 | |||||||||
8,713,843 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. Senior Notes 3.40% due 03/01/2026 | $ | 120,000 | $ | 127,017 | |||||||
Transport-Equipment & Leasing — 0.0% | |||||||||||
GATX Corp. Senior Notes 4.35% due 02/15/2024 | 228,000 | 243,867 | |||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp. Senior Notes 4.20% due 03/01/2028 | 135,000 | 144,275 | |||||||||
Transport-Rail — 0.3% | |||||||||||
CSX Corp. Senior Notes 2.40% due 02/15/2030 | 815,000 | 798,288 | |||||||||
CSX Corp. Senior Notes 3.25% due 06/01/2027 | 945,000 | 992,194 | |||||||||
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048 | 76,000 | 90,767 | |||||||||
Norfolk Southern Corp. Senior Notes 4.10% due 05/15/2049 | 170,000 | 190,093 | |||||||||
Union Pacific Corp. Senior Notes 4.38% due 09/10/2038 | 1,000,000 | 1,150,908 | |||||||||
3,222,250 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
JB Hunt Transport Services, Inc. Company Guar. Notes 3.88% due 03/01/2026 | 99,000 | 104,978 | |||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.35% due 11/01/2029* | 115,000 | 114,558 | |||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 142,000 | 145,130 | |||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.45% due 07/01/2024* | 535,000 | 555,988 | |||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.95% due 03/10/2025* | 214,000 | 226,041 | |||||||||
1,041,717 | |||||||||||
Water — 0.1% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 455,000 | 522,104 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $241,577,008) | 256,852,128 |
250
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 6.1% | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025* | $ | 150,000 | $ | 150,375 | |||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 205,000 | 225,809 | |||||||||
Nutrien, Ltd. Senior Notes 4.90% due 06/01/2043 | 200,000 | 219,620 | |||||||||
Syngenta Finance NV Company Guar. Notes 4.89% due 04/24/2025* | 445,000 | 471,279 | |||||||||
1,067,083 | |||||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
International Airport Finance SA Senior Sec. Notes 12.00% due 03/15/2033* | 950,000 | 1,053,312 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025* | 95,000 | 84,075 | |||||||||
Banks-Commercial — 0.4% | |||||||||||
Canadian Imperial Bank of Commerce Senior Notes 2.10% due 10/05/2020 | 316,000 | 316,378 | |||||||||
Danske Bank A/S Senior Notes 3.88% due 09/12/2023* | 200,000 | 207,349 | |||||||||
Danske Bank A/S Senior Notes 5.00% due 01/12/2022* | 435,000 | 457,337 | |||||||||
Danske Bank A/S Senior Notes 5.38% due 01/12/2024* | 665,000 | 730,457 | |||||||||
DBS Group Holdings, Ltd. Senior Notes 2.85% due 04/16/2022* | 203,000 | 205,621 | |||||||||
Intesa Sanpaolo SpA Senior Notes 4.70% due 09/23/2049* | 200,000 | 202,471 | |||||||||
Intesa Sanpaolo SpA Sub. Notes 5.71% due 01/15/2026* | 265,000 | 281,542 | |||||||||
Royal Bank of Canada Senior Notes 2.55% due 07/16/2024 | 765,000 | 775,361 | |||||||||
Shinhan Bank Co., Ltd. Sub. Notes 4.00% due 04/23/2029* | 200,000 | 212,979 | |||||||||
Westpac Banking Corp. Sub. Notes 4.11% due 07/24/2034 | 104,000 | 108,574 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Westpac Banking Corp. Sub. Notes 4.42% due 07/24/2039 | $ | 87,000 | $ | 96,073 | |||||||
3,594,142 | |||||||||||
Banks-Special Purpose — 0.2% | |||||||||||
BNG Bank NV Senior Notes 1.90% due 11/26/2025 | AUD | 1,690,000 | 1,175,760 | ||||||||
Kreditanstalt fuer Wiederaufbau Government Guar. Notes 1.63% due 03/15/2021 | 298,000 | 297,385 | |||||||||
1,473,145 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024* | 720,000 | 765,554 | |||||||||
Building Societies — 0.0% | |||||||||||
Nationwide Building Society Sub. Notes 4.13% due 10/18/2032* | 250,000 | 249,141 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Altice Financing SA Senior Sec. Notes 7.50% due 05/15/2026* | 200,000 | 212,498 | |||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 270,000 | 302,866 | |||||||||
UPCB Finance IV, Ltd. Senior Sec. Notes 5.38% due 01/15/2025* | 200,000 | 205,500 | |||||||||
720,864 | |||||||||||
Cellular Telecom — 0.2% | |||||||||||
Numericable-SFR SA Senior Sec. Notes 7.38% due 05/01/2026* | 200,000 | 214,442 | |||||||||
Telefonica Celular del Paraguay SA Senior Notes 5.88% due 04/15/2027* | 535,000 | 571,781 | |||||||||
Vodafone Group PLC Senior Notes 4.25% due 09/17/2050 | 415,000 | 422,715 | |||||||||
Vodafone Group PLC Senior Notes 4.88% due 06/19/2049 | 133,000 | 148,088 | |||||||||
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048 | 133,000 | 154,165 | |||||||||
1,511,191 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Methanex Corp. Senior Notes 4.25% due 12/01/2024 | 755,000 | 760,857 | |||||||||
Methanex Corp. Senior Notes 5.65% due 12/01/2044 | 253,000 | 244,437 | |||||||||
1,005,294 |
251
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025 | $ | 85,000 | $ | 88,103 | |||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Trivium Packaging Finance BV Company Guar. Notes 8.50% due 08/15/2027* | 200,000 | 216,250 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Intertape Polymer Group, Inc. Company Guar. Notes 7.00% due 10/15/2026* | 80,000 | 83,400 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Fiserv, Inc. Senior Notes 3.20% due 07/01/2026 | 805,000 | 833,091 | |||||||||
Diversified Banking Institutions — 0.9% | |||||||||||
Banco Santander SA Senior Notes 3.31% due 06/27/2029 | 200,000 | 206,626 | |||||||||
Barclays PLC Senior Notes 3.93% due 05/07/2025 | 470,000 | 485,780 | |||||||||
BNP Paribas SA Senior Notes 4.71% due 01/10/2025* | 248,000 | 268,077 | |||||||||
Deutsche Bank AG Senior Notes 4.25% due 02/04/2021 | 151,000 | 152,687 | |||||||||
HSBC Holdings PLC Senior Notes 3.03% due 11/22/2023 | 1,630,000 | 1,654,041 | |||||||||
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021 | 863,000 | 876,580 | |||||||||
HSBC Holdings PLC Senior Notes 4.58% due 06/19/2029 | 440,000 | 487,332 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 1,935,000 | 2,092,233 | |||||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 3.41% due 03/07/2024 | 481,000 | 500,746 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 3.15% due 07/16/2030 | 202,000 | 206,368 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 3.92% due 09/11/2024 | 283,000 | 297,837 | |||||||||
NatWest Markets PLC Senior Notes 3.63% due 09/29/2022* | 200,000 | 205,323 | |||||||||
Royal Bank of Scotland Group PLC Senior Notes 4.27% due 03/22/2025 | 202,000 | 211,294 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Royal Bank of Scotland Group PLC Senior Notes 4.52% due 06/25/2024 | $ | 200,000 | $ | 210,327 | |||||||
UniCredit SpA Sub. Notes 5.86% due 06/19/2032* | 340,000 | 349,610 | |||||||||
UniCredit SpA Senior Notes 6.57% due 01/14/2022* | 610,000 | 654,330 | |||||||||
UniCredit SpA Sub. Notes 7.30% due 04/02/2034* | 259,000 | 292,299 | |||||||||
9,151,490 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
Fairstone Financial, Inc. Senior Notes 7.88% due 07/15/2024* | 50,000 | 52,219 | |||||||||
GE Capital International Funding Co. ULC Company Guar. Notes 3.37% due 11/15/2025 | 400,000 | 408,074 | |||||||||
460,293 | |||||||||||
Diversified Minerals — 0.2% | |||||||||||
Anglo American Capital PLC Company Guar. Notes 4.50% due 03/15/2028* | 415,000 | 440,574 | |||||||||
Anglo American Capital PLC Company Guar. Notes 4.75% due 04/10/2027* | 455,000 | 490,667 | |||||||||
Anglo American Capital PLC Company Guar. Notes 4.88% due 05/14/2025* | 1,170,000 | 1,270,718 | |||||||||
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 4.50% due 09/15/2027* | 100,000 | 97,650 | |||||||||
2,299,609 | |||||||||||
E-Commerce/Products — 0.2% | |||||||||||
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027 | 1,030,000 | 1,072,031 | |||||||||
Alibaba Group Holding, Ltd. Senior Notes 4.00% due 12/06/2037 | 980,000 | 1,068,692 | |||||||||
2,140,723 | |||||||||||
Electric-Integrated — 0.0% | |||||||||||
Fortis, Inc. Senior Notes 2.10% due 10/04/2021 | 340,000 | 338,880 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
NXP BV/NXP Funding LLC/NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029* | 169,000 | 180,542 |
252
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | $ | 355,000 | $ | 367,176 | |||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023* | �� | 75,000 | 79,575 | ||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.25% due 05/15/2024* | 12,000 | 12,850 | |||||||||
459,601 | |||||||||||
Food-Meat Products — 0.0% | |||||||||||
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025* | 20,000 | 20,836 | |||||||||
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024* | 96,000 | 98,885 | |||||||||
119,721 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Athene Holding, Ltd. Senior Notes 4.13% due 01/12/2028 | 157,000 | 161,419 | |||||||||
Manulife Financial Corp. Sub. Notes 4.06% due 02/24/2032 | 90,000 | 93,707 | |||||||||
255,126 | |||||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Enstar Group, Ltd. Senior Notes 4.95% due 06/01/2029 | 273,000 | 288,221 | |||||||||
Internet Content-Information/News — 0.3% | |||||||||||
Tencent Holdings, Ltd. Senior Notes 2.99% due 01/19/2023* | 240,000 | 243,744 | |||||||||
Tencent Holdings, Ltd. Senior Notes 3.60% due 01/19/2028* | 695,000 | 724,920 | |||||||||
Tencent Holdings, Ltd. Senior Notes 3.98% due 04/11/2029* | 1,275,000 | 1,364,259 | |||||||||
2,332,923 | |||||||||||
Machinery-Farming — 0.0% | |||||||||||
CNH Industrial NV Senior Notes 4.50% due 08/15/2023 | 112,000 | 118,676 | |||||||||
Medical Products — 0.2% | |||||||||||
Becton Dickinson and Co. Senior Notes 3.36% due 06/06/2024 | 1,825,000 | 1,903,636 | |||||||||
Medical-Drugs — 0.3% | |||||||||||
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037 | 315,000 | 444,509 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025* | $ | 190,000 | $ | 196,888 | |||||||
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021 | 189,000 | 192,746 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 2.40% due 09/23/2021 | 1,160,000 | 1,165,374 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026 | 298,000 | 307,475 | |||||||||
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026 | 750,000 | 524,925 | |||||||||
2,831,917 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Mylan NV Company Guar. Notes 5.25% due 06/15/2046 | 40,000 | 42,620 | |||||||||
Metal-Copper — 0.0% | |||||||||||
First Quantum Minerals, Ltd. Company Guar. Notes 6.50% due 03/01/2024* | 200,000 | 190,750 | |||||||||
Metal-Iron — 0.1% | |||||||||||
Mineral Resources, Ltd. Senior Notes 8.13% due 05/01/2027* | 75,000 | 77,197 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 310,000 | 357,275 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.88% due 11/10/2039 | 555,000 | 706,937 | |||||||||
1,141,409 | |||||||||||
Non-Ferrous Metals — 0.0% | |||||||||||
Codelco, Inc. Senior Notes 3.70% due 01/30/2050* | 309,000 | 307,248 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026* | 27,000 | 19,440 | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027 | 470,000 | 494,770 | |||||||||
Canadian Natural Resources, Ltd. Senior Notes 3.90% due 02/01/2025 | 144,000 | 151,772 | |||||||||
Encana Corp. Company Guar. Notes 3.90% due 11/15/2021 | 650,000 | 665,890 |
253
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Medco Oak Tree Pte, Ltd. Senior Sec. Notes 7.38% due 05/14/2026* | $ | 440,000 | $ | 443,520 | |||||||
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025* | 123,000 | 125,460 | |||||||||
Saudi Arabian Oil Co. Senior Notes 2.88% due 04/16/2024* | 400,000 | 404,470 | |||||||||
Tullow Oil PLC Company Guar. Notes 7.00% due 03/01/2025* | 540,000 | 548,910 | |||||||||
2,834,792 | |||||||||||
Oil Companies-Integrated — 0.2% | |||||||||||
BP Capital Markets PLC Company Guar. Notes 3.51% due 03/17/2025 | 413,000 | 438,258 | |||||||||
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027 | 177,000 | 184,024 | |||||||||
Petro-Canada Senior Notes 5.95% due 05/15/2035 | 77,000 | 98,574 | |||||||||
Petroleos Mexicanos Company Guar. Notes 6.84% due 01/23/2030* | 225,000 | 233,077 | |||||||||
Petroleos Mexicanos Company Guar. Notes 7.69% due 01/23/2050* | 219,000 | 228,307 | |||||||||
Total Capital International SA Company Guar. Notes 3.46% due 07/12/2049 | 154,000 | 162,332 | |||||||||
YPF SA Senior Notes 16.50% due 05/09/2022* | ARS | 22,904,817 | 159,058 | ||||||||
1,503,630 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Valero Energy Corp. Senior Notes 4.35% due 06/01/2028 | 50,000 | 54,276 | |||||||||
Paper & Related Products — 0.2% | |||||||||||
Cascades, Inc. Company Guar. Notes 5.50% due 07/15/2022* | 60,000 | 60,750 | |||||||||
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023* | 31,000 | 31,388 | |||||||||
Suzano Austria GmbH Company Guar. Notes 5.00% due 01/15/2030 | 1,335,000 | 1,338,604 | |||||||||
Suzano Austria GmbH Company Guar. Notes 6.00% due 01/15/2029 | 575,000 | 625,025 | |||||||||
2,055,767 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Petrochemicals — 0.0% | |||||||||||
Alpek SAB de CV Senior Notes 4.25% due 09/18/2029* | $ | 345,000 | $ | 347,933 | |||||||
Pipelines — 0.2% | |||||||||||
EQM Midstream Partners LP Senior Notes 4.75% due 07/15/2023 | 490,000 | 491,511 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.63% due 03/01/2034 | 840,000 | 954,360 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 4.75% due 05/15/2038 | 345,000 | 393,583 | |||||||||
TransCanada PipeLines, Ltd. Senior Notes 6.10% due 06/01/2040 | 125,000 | 161,333 | |||||||||
2,000,787 | |||||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
HCP, Inc. Senior Notes 3.25% due 07/15/2026 | 260,000 | 267,471 | |||||||||
Retail-Petroleum Products — 0.0% | |||||||||||
eG Global Finance PLC Senior Sec. Notes 6.75% due 02/07/2025* | 200,000 | 195,250 | |||||||||
Satellite Telecom — 0.0% | |||||||||||
Intelsat Jackson Holdings SA Company Guar. Notes 5.50% due 08/01/2023 | 119,000 | 111,015 | |||||||||
Telesat Canada/Telesat LLC Senior Notes 6.50% due 10/15/2027* | 36,000 | 36,585 | |||||||||
Telesat Canada/Telesat LLC Company Guar. Notes 8.88% due 11/15/2024* | 75,000 | 80,363 | |||||||||
227,963 | |||||||||||
Security Services — 0.0% | |||||||||||
Garda World Security Corp. Senior Notes 8.75% due 05/15/2025* | 105,000 | 107,846 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 1,345,000 | 1,457,843 | |||||||||
SupraNational Banks — 0.9% | |||||||||||
Asian Development Bank Senior Notes 3.00% due 01/17/2023 | NZD | 3,545,000 | 2,342,581 | ||||||||
Inter-American Development Bank Senior Notes 1.70% due 10/10/2024 | CAD | 3,285,000 | 2,471,616 | ||||||||
Inter-American Development Bank Senior Notes 2.75% due 10/30/2025 | AUD | 3,215,000 | 2,347,734 |
254
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
SupraNational Banks (continued) | |||||||||||
International Bank for Reconstruction & Development Senior Notes 3.13% due 11/20/2025 | $ | 184,000 | $ | 199,478 | |||||||
International Finance Corp. Notes 1.38% due 09/13/2024 | CAD | 1,655,000 | 1,226,850 | ||||||||
8,588,259 | |||||||||||
Telephone-Integrated — 0.3% | |||||||||||
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038 | 90,000 | 108,900 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038 | 700,000 | 767,846 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048 | 225,000 | 251,163 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.21% due 03/08/2047 | 205,000 | 238,458 | |||||||||
Telefonica Emisiones SAU Company Guar. Notes 5.52% due 03/01/2049 | 1,065,000 | 1,296,543 | |||||||||
2,662,910 | |||||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115 | 99,000 | 147,990 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $58,620,915) | 59,780,187 | ||||||||||
U.S. GOVERNMENT AGENCIES — 28.3% | |||||||||||
Federal Home Loan Bank — 0.1% | |||||||||||
1.88% due 12/09/2022 | 1,000,000 | 1,007,917 | |||||||||
Federal Home Loan Mtg. Corp. — 3.1% | |||||||||||
1.25% due 10/02/2019 | 1,272,000 | 1,271,961 | |||||||||
2.38% due 01/13/2022 | 1,097,000 | 1,113,892 | |||||||||
2.50% due 01/01/2028 | 112,801 | 114,327 | |||||||||
2.50% due 04/01/2028 | 361,150 | 366,038 | |||||||||
2.50% due 03/01/2031 | 213,820 | 215,996 | |||||||||
2.50% due 10/01/2032 | 305,505 | 308,619 | |||||||||
2.50% due 11/01/2032 | 1,009,334 | 1,024,921 | |||||||||
3.00% due 08/01/2027 | 247,938 | 254,751 | |||||||||
3.00% due 10/01/2042 | 230,470 | 238,622 | |||||||||
3.00% due 11/01/2042 | 263,922 | 272,108 | |||||||||
3.00% due 02/01/2043 | 515,459 | 527,014 | |||||||||
3.00% due 04/01/2043 | 282,148 | 291,055 | |||||||||
3.00% due 08/01/2043 | 1,094,391 | 1,128,199 | |||||||||
3.00% due 07/01/2045 | 965,058 | 988,993 | |||||||||
3.00% due 10/01/2045 | 504,395 | 516,887 | |||||||||
3.00% due 08/01/2046 | 600,644 | 615,549 | |||||||||
3.00% due October 30 TBA | 6,000,000 | 6,093,281 | |||||||||
3.50% due 01/01/2032 | 687,644 | 713,967 | |||||||||
3.50% due 11/01/2041 | 250,428 | 263,155 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
3.50% due 03/01/2042 | $ | 115,928 | $ | 121,842 | |||||||
3.50% due 08/01/2042 | 217,970 | 229,078 | |||||||||
3.50% due 09/01/2043 | 70,263 | 73,280 | |||||||||
3.50% due 03/01/2045 | 717,186 | 747,788 | |||||||||
3.50% due 07/01/2045 | 1,580,790 | 1,648,459 | |||||||||
3.50% due 08/01/2045 | 362,070 | 379,119 | |||||||||
3.50% due 10/01/2045 | 659,711 | 687,519 | |||||||||
3.50% due 11/01/2045 | 834,040 | 869,722 | |||||||||
3.50% due 01/01/2046 | 30,182 | 31,473 | |||||||||
3.50% due 11/01/2047 | 869,726 | 897,921 | |||||||||
4.00% due 09/01/2040 | 183,986 | 196,600 | |||||||||
4.00% due 07/01/2044 | 318,074 | 336,345 | |||||||||
4.00% due 10/01/2045 | 302,472 | 319,240 | |||||||||
4.02% (6 ML+1.49%) due 02/01/2037 FRS | 18,066 | 18,672 | |||||||||
4.50% due 04/01/2044 | 63,711 | 68,545 | |||||||||
4.50% due 05/01/2048 | 726,160 | 767,091 | |||||||||
4.78% (12 ML+1.88%) due 11/01/2037 FRS | 160,579 | 169,924 | |||||||||
5.00% due 11/01/2043 | 335,741 | 370,895 | |||||||||
5.00% due October 30 TBA | 2,000,000 | 2,143,203 | |||||||||
5.50% due 01/01/2036 | 118,342 | 133,729 | |||||||||
6.00% due 03/01/2040 | 9,742 | 11,219 | |||||||||
6.25% due 07/15/2032 | 206,000 | 304,090 | |||||||||
6.75% due 03/15/2031 | 100,000 | 148,891 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K013, Class X1VRS 0.66% due 01/25/2021(2)(4)(5) | 1,968,795 | 11,541 | |||||||||
Series K064, Class X1 VRS 0.74% due 03/25/2027(2)(4)(5) | 5,142,543 | 205,316 | |||||||||
Series K068, Class A2 3.24% due 08/25/2027(4) | 1,113,000 | 1,200,932 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 3883, Class PB 3.00% due 05/15/2041(1) | 265,180 | 274,300 | |||||||||
Series 4740, Class BA 3.00% due 09/15/2045(1) | 428,269 | 440,399 | |||||||||
Series 3820, Class DA 4.00% due 11/15/2035(1) | 24,828 | 24,862 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(1) | 248,540 | 265,479 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2017-HQA1, Class M1 3.22% (1 ML+1.20%) due 08/25/2029(1) | 168,493 | 168,744 | |||||||||
Series 2018-HRP1, Class M2 3.67% (1 ML+1.65%) due 04/25/2043*(1) | 140,953 | 141,346 |
255
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2015-DNA1, Class M2 3.87% (1 ML+1.85%) due 10/25/2027(1) | $ | 63,680 | $ | 64,095 | |||||||
Series 2014-DN1, Class M2 4.22% (1 ML+2.20%) due 02/25/2024(1) | 144,651 | 146,342 | |||||||||
Series 2014-HQ2, Class M2 4.22% (1 ML+2.20%) due 09/25/2024(1) | 247,973 | 251,227 | |||||||||
Series 2015-HQA2, Class M2 4.82% (1 ML+2.80%) due 05/25/2028(1) | 85,908 | 86,467 | |||||||||
30,275,030 | |||||||||||
Federal National Mtg. Assoc. — 6.5% | |||||||||||
zero coupon due 10/09/2019 | 7,452,000 | 7,448,111 | |||||||||
1.88% due 09/24/2026 | 837,000 | 847,390 | |||||||||
2.50% due 04/01/2028 | 239,847 | 242,967 | |||||||||
2.50% due 08/01/2031 | 789,522 | 797,148 | |||||||||
2.50% due 01/01/2032 | 913,691 | 922,526 | |||||||||
2.63% due 09/06/2024 | 2,025,000 | 2,121,603 | |||||||||
3.00% due 10/01/2027 | 283,612 | 291,088 | |||||||||
3.00% due 10/01/2030 | 335,928 | 344,778 | |||||||||
3.00% due 03/01/2042 | 480,504 | 495,150 | |||||||||
3.00% due 12/01/2042 | 138,543 | 142,766 | |||||||||
3.00% due 05/01/2043 | 327,310 | 337,281 | |||||||||
3.00% due 02/01/2045 | 279,956 | 286,717 | |||||||||
3.00% due 08/01/2046 | 427,374 | 438,550 | |||||||||
3.00% due 09/01/2046 | 303,041 | 310,400 | |||||||||
3.00% due 12/01/2046 | 475,322 | 486,857 | |||||||||
3.00% due 01/01/2047 | 203,183 | 208,119 | |||||||||
3.00% due 04/01/2047 | 1,407,515 | 1,441,405 | |||||||||
3.00% due 09/01/2048 | 743,084 | 761,050 | |||||||||
3.50% due 08/01/2026 | 109,381 | 113,083 | |||||||||
3.50% due 09/01/2026 | 142,039 | 147,700 | |||||||||
3.50% due 08/01/2027 | 23,659 | 24,466 | |||||||||
3.50% due 10/01/2028 | 51,117 | 53,403 | |||||||||
3.50% due 03/01/2042 | 280,218 | 294,346 | |||||||||
3.50% due 08/01/2042 | 668,236 | 697,059 | |||||||||
3.50% due 07/01/2045 | 218,768 | 227,881 | |||||||||
3.50% due 08/01/2045 | 531,702 | 554,140 | |||||||||
3.50% due 09/01/2045 | 497,889 | 518,675 | |||||||||
3.50% due 10/01/2045 | 433,011 | 455,372 | |||||||||
3.50% due 11/01/2045 | 472,577 | 492,982 | |||||||||
3.50% due 12/01/2045 | 704,828 | 734,030 | |||||||||
3.50% due 02/01/2046 | 299,966 | 312,394 | |||||||||
3.50% due 03/01/2046 | 463,688 | 482,145 | |||||||||
3.50% due 07/01/2046 | 737,315 | 771,549 | |||||||||
3.50% due 12/01/2047 | 3,182,854 | 3,311,355 | |||||||||
3.50% due 04/01/2048 | 2,530,398 | 2,626,119 | |||||||||
3.85% (6 ML+1.54%) due 09/01/2035 FRS | 152,708 | 157,999 | |||||||||
4.00% due 03/01/2039 | 572,399 | 598,712 | |||||||||
4.00% due 10/01/2040 | 127,913 | 136,625 | |||||||||
4.00% due 11/01/2040 | 237,667 | 253,829 | |||||||||
4.00% due 10/01/2041 | 212,428 | 226,929 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 11/01/2041 | $ | 185,704 | $ | 198,390 | |||||||
4.00% due 01/01/2043 | 715,716 | 764,543 | |||||||||
4.00% due 10/01/2044 | 414,542 | 437,988 | |||||||||
4.00% due 02/01/2045 | 692,080 | 737,394 | |||||||||
4.00% due 02/01/2046 | 45,670 | 48,141 | |||||||||
4.00% due 01/01/2047 | 790,103 | 829,597 | |||||||||
4.00% due 05/01/2047 | 185,215 | 194,193 | |||||||||
4.00% due 07/01/2047 | 1,997,783 | 2,086,814 | |||||||||
4.00% due 08/01/2047 | 373,897 | 391,648 | |||||||||
4.00% due 06/01/2048 | 1,067,223 | 1,125,916 | |||||||||
4.00% due 09/01/2048 | 913,606 | 955,777 | |||||||||
4.00% due 01/01/2049 | 747,214 | 778,017 | |||||||||
4.00% due 03/01/2049 | 509,543 | 528,057 | |||||||||
4.07% (12 ML+1.82%) due 10/01/2040 FRS | 33,739 | 35,484 | |||||||||
4.35% (12 ML+1.57%) due 05/01/2037 FRS | 30,787 | 32,181 | |||||||||
4.50% due 10/01/2024 | 30,565 | 31,497 | |||||||||
4.50% due 08/01/2045 | 798,184 | 876,987 | |||||||||
4.50% due 06/01/2048 | 1,204,655 | 1,271,770 | |||||||||
4.50% due 11/01/2048 | 915,639 | 966,143 | |||||||||
4.50% due 12/01/2048 | 1,343,437 | 1,414,125 | |||||||||
4.52% (12 ML+1.66%) due 07/01/2039 FRS | 110,910 | 116,173 | |||||||||
4.54% (12 ML+1.83%) due 10/01/2040 FRS | 66,669 | 69,770 | |||||||||
4.58% (1 Yr USTYCR+2.21%) due 10/01/2035 FRS | 155,936 | 164,594 | |||||||||
4.64% (12 ML+1.91%) due 08/01/2035 FRS | 96,292 | 101,701 | |||||||||
4.69% (1 Yr USTYCR+2.26%) due 11/01/2036 FRS | 54,057 | 57,152 | |||||||||
4.71% (12 ML+1.76%) due 05/01/2040 FRS | 143,462 | 151,150 | |||||||||
5.00% due 05/01/2040 | 209,349 | 231,306 | |||||||||
5.00% due 06/01/2040 | 19,072 | 21,077 | |||||||||
5.00% due 07/01/2040 | 415,025 | 458,659 | |||||||||
5.00% due 02/01/2045 | 501,300 | 551,817 | |||||||||
5.50% due 12/01/2029 | 28,569 | 30,891 | |||||||||
5.50% due 08/01/2037 | 119,233 | 134,531 | |||||||||
5.50% due 06/01/2038 | 66,820 | 75,365 | |||||||||
6.00% due 11/01/2038 | 7,481 | 8,611 | |||||||||
6.00% due 06/01/2040 | 61,188 | 70,428 | |||||||||
6.50% due 10/01/2037 | 624 | 709 | |||||||||
6.63% due 11/15/2030 | 871,000 | 1,275,549 | |||||||||
7.25% due 05/15/2030 | 2,260,000 | 3,407,436 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2018-C05, Class 1M1 2.74% (1 ML+0.72%) due 01/25/2031(1) | 633,929 | 634,174 | |||||||||
Series 2016-C07, Class 2M2 6.37% (1 ML+4.35%) due 05/25/2029(1) | 873,075 | 920,255 | |||||||||
Series 2014-C04, Class 1M2 6.92% (1 ML+4.90%) due 11/25/2024(1) | 282,048 | 307,850 |
256
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2015-C04, Class 1M2 7.72% (1 ML+5.70%) due 04/25/2028(1) | $ | 137,537 | $ | 151,012 | |||||||
Series 2016-C02, Class 1M2 8.02% (1 ML+6.00%) due 09/25/2028(1) | 100,592 | 109,672 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2012-21, Class PQ 2.00% due 09/25/2041(1) | 232,319 | 231,066 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(1) | 448,360 | 445,827 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(1) | 462,694 | 467,774 | |||||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(1) | 670,679 | 674,125 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(1) | 624,756 | 639,135 | |||||||||
Series 2017-72, Class B 3.00% due 09/25/2047(1) | 578,696 | 595,458 | |||||||||
Series 2017-72, Class CD 3.00% due 09/25/2047(1) | 598,452 | 615,815 | |||||||||
Series 2018-27, Class EA 3.00% due 05/25/2048(1) | 655,016 | 673,426 | |||||||||
Series 2018-35, Class CD 3.00% due 05/25/2048(1) | 448,492 | 456,076 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(1) | 879,512 | 904,802 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(1) | 659,782 | 679,089 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(1) | 246,062 | 257,534 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(1) | 636,525 | 650,265 | |||||||||
Series 2018-77, Class PA 3.50% due 02/25/2048(1) | 303,302 | 314,842 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(1) | 550,169 | 576,744 | |||||||||
Series 2018-72, Class BA 3.50% due 07/25/2054(1) | 809,459 | 839,240 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(1) | 601,416 | 634,540 | |||||||||
63,525,001 | |||||||||||
Government National Mtg. Assoc. — 5.8% | |||||||||||
3.00% due 02/20/2045 | 248,095 | 257,932 | |||||||||
3.00% due 05/20/2045 | 199,905 | 206,672 | |||||||||
3.00% due 07/20/2045 | 45,137 | 46,540 | |||||||||
3.00% due 05/20/2046 | 742,894 | 764,634 | |||||||||
3.00% due October 30 TBA | 20,300,000 | 20,830,496 | |||||||||
3.50% due 03/20/2045 | 164,059 | 171,598 | |||||||||
3.50% due 04/20/2045 | 252,016 | 263,588 | |||||||||
3.50% due 07/20/2045 | 78,314 | 81,916 | |||||||||
3.50% due 03/20/2047 | 419,604 | 437,337 | |||||||||
3.50% due October 30 TBA | 14,300,000 | 14,824,433 | |||||||||
4.00% due 03/15/2039 | 85,960 | 91,797 | |||||||||
4.00% due 04/15/2039 | 6,896 | 7,292 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
4.00% due 05/15/2039 | $ | 34,842 | $ | 36,678 | |||||||
4.00% due 08/15/2039 | 7,960 | 8,491 | |||||||||
4.00% due 10/15/2039 | 35,555 | 37,929 | |||||||||
4.00% due 03/15/2040 | 30,443 | 32,455 | |||||||||
4.00% due 09/15/2040 | 25,769 | 27,197 | |||||||||
4.00% due 10/15/2040 | 18,438 | 19,681 | |||||||||
4.00% due 12/15/2040 | 13,589 | 14,386 | |||||||||
4.00% due 02/15/2041 | 6,232 | 6,549 | |||||||||
4.00% due 06/15/2041 | 107,613 | 116,092 | |||||||||
4.00% due 07/15/2041 | 24,253 | 25,878 | |||||||||
4.00% due 08/15/2041 | 256,913 | 271,653 | |||||||||
4.00% due 09/15/2041 | 54,786 | 58,449 | |||||||||
4.00% due 10/15/2041 | 121,779 | 129,435 | |||||||||
4.00% due 11/15/2041 | 120,139 | 126,900 | |||||||||
4.00% due 12/15/2041 | 124,591 | 131,854 | |||||||||
4.00% due 01/15/2042 | 23,487 | 24,818 | |||||||||
4.00% due 02/15/2042 | 3,857 | 4,041 | |||||||||
4.00% due 03/15/2042 | 96,257 | 102,696 | |||||||||
4.00% due 04/15/2042 | 4,153 | 4,352 | |||||||||
4.00% due 03/20/2044 | 112,650 | 120,101 | |||||||||
4.00% due 07/20/2045 | 315,160 | 334,905 | |||||||||
4.00% due 05/20/2048 | 50,670 | 52,697 | |||||||||
4.00% due 07/20/2049 | 6,499,938 | 6,778,417 | |||||||||
4.50% due 09/15/2033 | 51,415 | 55,234 | |||||||||
4.50% due 03/15/2039 | 71,479 | 77,849 | |||||||||
4.50% due 05/15/2039 | 39,388 | 42,879 | |||||||||
4.50% due 07/15/2039 | 22,301 | 24,277 | |||||||||
4.50% due 10/15/2039 | 80,307 | 87,458 | |||||||||
4.50% due 01/15/2040 | 21,680 | 23,419 | |||||||||
4.50% due 02/15/2040 | 37,521 | 40,362 | |||||||||
4.50% due 03/15/2040 | 21,587 | 22,988 | |||||||||
4.50% due 04/15/2040 | 1,313 | 1,429 | |||||||||
4.50% due 05/15/2040 | 5,772 | 6,267 | |||||||||
4.50% due 07/15/2040 | 26,197 | 28,665 | |||||||||
4.50% due 04/15/2041 | 10,122 | 10,779 | |||||||||
4.50% due 05/15/2041 | 121,612 | 131,590 | |||||||||
4.50% due 06/15/2041 | 12,166 | 13,226 | |||||||||
4.50% due 07/15/2041 | 100,018 | 108,158 | |||||||||
4.50% due 08/15/2041 | 50,017 | 54,312 | |||||||||
4.50% due 04/20/2047 | 190,978 | 200,996 | |||||||||
4.50% due October 30 TBA | 6,800,000 | 7,105,904 | |||||||||
5.00% due 06/15/2033 | 1,906 | 2,113 | |||||||||
5.00% due 08/15/2033 | 14,996 | 16,613 | |||||||||
5.00% due 09/15/2033 | 30,936 | 34,299 | |||||||||
5.00% due 10/15/2033 | 14,836 | 16,447 | |||||||||
5.00% due 11/15/2033 | 3,415 | 3,768 | |||||||||
5.00% due 06/15/2034 | 41,806 | 45,484 | |||||||||
5.00% due 05/15/2035 | 2,622 | 2,805 | |||||||||
5.00% due 09/15/2035 | 2,033 | 2,285 | |||||||||
5.00% due 11/15/2035 | 86,237 | 92,265 | |||||||||
5.00% due 02/15/2036 | 24,140 | 25,827 | |||||||||
5.00% due 02/20/2036 | 76,209 | 84,372 | |||||||||
5.00% due 05/15/2036 | 61,866 | 66,612 | |||||||||
5.00% due 06/15/2036 | 18,817 | 20,132 | |||||||||
5.00% due 08/15/2038 | 252,680 | 274,276 | |||||||||
5.50% due 02/15/2032 | 460 | 496 |
257
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
5.50% due 03/15/2032 | $ | 3,296 | $ | 3,676 | |||||||
5.50% due 12/15/2032 | 1,851 | 1,997 | |||||||||
5.50% due 01/15/2033 | 1,868 | 2,121 | |||||||||
5.50% due 02/15/2033 | 9,820 | 10,774 | |||||||||
5.50% due 03/15/2033 | 41,598 | 45,226 | |||||||||
5.50% due 04/15/2033 | 38,624 | 43,200 | |||||||||
5.50% due 06/15/2033 | 38,420 | 42,589 | |||||||||
5.50% due 07/15/2033 | 188,971 | 208,953 | |||||||||
5.50% due 08/15/2033 | 39,816 | 43,691 | |||||||||
5.50% due 09/15/2033 | 7,326 | 8,024 | |||||||||
5.50% due 12/15/2033 | 1,388 | 1,497 | |||||||||
5.50% due 01/15/2034 | 61,106 | 68,605 | |||||||||
5.50% due 02/15/2034 | 28,558 | 30,797 | |||||||||
6.00% due 04/15/2028 | 69,131 | 78,139 | |||||||||
6.00% due 01/15/2029 | 13,985 | 15,458 | |||||||||
6.00% due 03/15/2029 | 19,097 | 21,109 | |||||||||
6.00% due 11/15/2031 | 3,326 | 3,676 | |||||||||
6.00% due 12/15/2031 | 3,201 | 3,538 | |||||||||
6.00% due 04/15/2032 | 11,021 | 12,642 | |||||||||
6.00% due 09/15/2032 | 9,094 | 10,432 | |||||||||
6.00% due 10/15/2032 | 58,087 | 66,624 | |||||||||
6.00% due 11/15/2032 | 15,419 | 17,688 | |||||||||
6.00% due 01/15/2033 | 2,204 | 2,527 | |||||||||
6.00% due 02/15/2033 | 21,515 | 24,677 | |||||||||
6.00% due 03/15/2033 | 8,016 | 9,023 | |||||||||
6.00% due 09/15/2033 | 12,799 | 14,150 | |||||||||
6.00% due 01/15/2034 | 74,850 | 82,736 | |||||||||
6.00% due 03/15/2034 | 13,982 | 15,456 | |||||||||
6.00% due 05/15/2034 | 1,842 | 2,036 | |||||||||
6.00% due 07/15/2034 | 3,864 | 4,273 | |||||||||
6.00% due 08/15/2034 | 73,511 | 81,657 | |||||||||
6.00% due 09/15/2034 | 1,796 | 1,993 | |||||||||
6.00% due 11/15/2034 | 65,962 | 72,985 | |||||||||
6.00% due 03/15/2035 | 39,917 | 44,153 | |||||||||
6.00% due 08/15/2035 | 37,757 | 42,215 | |||||||||
6.00% due 01/15/2036 | 23,020 | 26,350 | |||||||||
6.00% due 02/15/2036 | 14,678 | 16,225 | |||||||||
6.00% due 04/15/2036 | 41,732 | 46,148 | |||||||||
6.00% due 05/15/2036 | 25,786 | 29,104 | |||||||||
6.00% due 06/15/2036 | 39,266 | 44,558 | |||||||||
6.00% due 07/15/2036 | 3,895 | 4,306 | |||||||||
6.00% due 08/15/2036 | 43,846 | 49,938 | |||||||||
6.00% due 09/15/2036 | 12,178 | 13,487 | |||||||||
6.00% due 10/15/2036 | 144,002 | 160,695 | |||||||||
6.00% due 11/15/2036 | 40,234 | 46,209 | |||||||||
6.00% due 12/15/2036 | 10,639 | 11,877 | |||||||||
6.50% due 09/15/2028 | 3,086 | 3,415 | |||||||||
6.50% due 09/15/2031 | 6,011 | 6,653 | |||||||||
6.50% due 10/15/2031 | 2,317 | 2,564 | |||||||||
6.50% due 11/15/2031 | 1,111 | 1,230 | |||||||||
6.50% due 12/15/2031 | 3,677 | 4,069 | |||||||||
7.50% due 09/15/2030 | 15,859 | 16,085 | |||||||||
56,794,725 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Tennessee Valley Authority — 0.1% | |||||||||||
4.25% due 09/15/2065 | $ | 577,000 | $ | 797,332 | |||||||
Uniform Mtg. Backed Securities — 12.7% | |||||||||||
2.50% due October 15 TBA | 10,700,000 | 10,756,732 | |||||||||
3.00% due October 15 TBA | 13,700,000 | 14,003,969 | |||||||||
3.00% due October 30 TBA | 34,700,000 | 35,220,500 | |||||||||
3.50% due October 30 TBA | 49,600,000 | 50,874,875 | |||||||||
4.00% due October 30 TBA | 10,300,000 | 10,687,457 | |||||||||
4.50% due October 30 TBA | 1,300,000 | 1,368,841 | |||||||||
5.50% due October 30 TBA | 1,900,000 | 2,056,676 | |||||||||
124,969,050 | |||||||||||
Total U.S. Government Agencies (cost $274,929,505) | 277,369,055 | ||||||||||
U.S. GOVERNMENT TREASURIES — 38.1% | |||||||||||
United States Treasury Bonds — 9.9% | |||||||||||
1.00% due 02/15/2049 TIPS(11) | 820,746 | 921,034 | |||||||||
2.25% due 08/15/2046 | 2,722,000 | 2,791,326 | |||||||||
2.25% due 08/15/2049 | 1,100,000 | 1,131,324 | |||||||||
2.50% due 02/15/2045 | 2,076,000 | 2,233,809 | |||||||||
2.50% due 02/15/2046 | 3,038,000 | 3,270,834 | |||||||||
2.50% due 05/15/2046 | 3,258,000 | 3,508,713 | |||||||||
2.75% due 08/15/2042 | 439,000 | 492,880 | |||||||||
2.75% due 11/15/2042 | 1,026,000 | 1,151,324 | |||||||||
2.75% due 08/15/2047 | 568,000 | 642,905 | |||||||||
2.75% due 11/15/2047 | 1,004,000 | 1,137,148 | |||||||||
2.88% due 05/15/2043 | 1,774,000 | 2,033,933 | |||||||||
2.88% due 08/15/2045 | 2,423,000 | 2,792,034 | |||||||||
2.88% due 11/15/2046 | 499,000 | 577,398 | |||||||||
2.88% due 05/15/2049 | 3,661,000 | 4,269,784 | |||||||||
3.00% due 05/15/2042 | 875,000 | 1,023,066 | |||||||||
3.00% due 05/15/2045 | 787,000 | 926,600 | |||||||||
3.00% due 11/15/2045 | 4,773,000 | 5,630,089 | |||||||||
3.00% due 02/15/2047 | 648,000 | 768,159 | |||||||||
3.00% due 05/15/2047 | 3,224,000 | 3,820,314 | |||||||||
3.00% due 02/15/2048 | 5,055,000 | 6,001,825 | |||||||||
3.00% due 02/15/2049 | 1,783,000 | 2,125,879 | |||||||||
3.13% due 02/15/2043 | 1,267,000 | 1,511,145 | |||||||||
3.13% due 08/15/2044 | 11,169,000 | 13,382,294 | |||||||||
3.13% due 05/15/2048 | 1,701,000 | 2,067,512 | |||||||||
3.38% due 05/15/2044 | 869,000 | 1,082,414 | |||||||||
3.38% due 11/15/2048 | 1,188,000 | 1,513,726 | |||||||||
3.63% due 08/15/2043 | 2,652,000 | 3,420,355 | |||||||||
3.63% due 02/15/2044 | 2,145,000 | 2,772,915 | |||||||||
3.75% due 11/15/2043 | 1,604,000 | 2,109,824 | |||||||||
3.88% due 08/15/2040 | 640,000 | 846,050 | |||||||||
4.25% due 11/15/2040 | 1,100,000 | 1,526,551 | |||||||||
4.38% due 11/15/2039 | 1,082,000 | 1,517,801 | |||||||||
4.38% due 05/15/2040 | 953,000 | 1,340,342 | |||||||||
4.50% due 02/15/2036 | 1,034,000 | 1,425,385 | |||||||||
4.63% due 02/15/2040 | 1,159,000 | 1,677,788 | |||||||||
4.75% due 02/15/2041 | 1,123,000 | 1,660,110 | |||||||||
5.25% due 11/15/2028 | 1,045,000 | 1,361,113 | |||||||||
5.25% due 02/15/2029 | 1,966,000 | 2,575,844 | |||||||||
5.38% due 02/15/2031 | 1,289,000 | 1,777,007 | |||||||||
6.13% due 11/15/2027 | 544,000 | 729,258 | |||||||||
6.25% due 08/15/2023 | 1,613,000 | 1,895,716 |
258
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Bonds (continued) | |||||||||||
6.38% due 08/15/2027 | $ | 1,217,000 | $ | 1,642,570 | |||||||
6.75% due 08/15/2026 | 377,000 | 502,839 | |||||||||
7.88% due 02/15/2021 | 1,267,000 | 1,371,280 | |||||||||
96,960,217 | |||||||||||
United States Treasury Notes — 28.2% | |||||||||||
0.38% due 07/15/2027 TIPS(11)(13)(16) | 15,313,529 | 15,543,087 | |||||||||
0.88% due 01/15/2029 TIPS(11) | 2,555,391 | 2,710,099 | |||||||||
1.13% due 02/28/2021 | 2,872,000 | 2,846,758 | |||||||||
1.13% due 07/31/2021 | 2,131,000 | 2,109,773 | |||||||||
1.13% due 08/31/2021 | 3,679,000 | 3,641,779 | |||||||||
1.13% due 09/30/2021 | 2,760,000 | 2,731,753 | |||||||||
1.25% due 10/31/2021 | 7,625,000 | 7,563,047 | |||||||||
1.38% due 10/31/2020 | 2,717,000 | 2,704,476 | |||||||||
1.38% due 05/31/2021 | 2,443,000 | 2,429,258 | |||||||||
1.38% due 08/31/2023 | 1,688,000 | 1,675,999 | |||||||||
1.50% due 01/31/2022 | 12,752,000 | 12,717,629 | |||||||||
1.50% due 02/28/2023 | 6,709,000 | 6,691,441 | |||||||||
1.50% due 09/30/2024 | 270,000 | 269,325 | |||||||||
1.50% due 08/15/2026 | 5,356,000 | 5,313,319 | |||||||||
1.63% due 08/15/2022 | 3,220,000 | 3,224,277 | |||||||||
1.63% due 11/15/2022 | 4,550,000 | 4,556,221 | |||||||||
1.63% due 02/15/2026 | 3,744,000 | 3,745,463 | |||||||||
1.63% due 05/15/2026 | 4,204,000 | 4,205,971 | |||||||||
1.63% due 08/15/2029 | 1,100,000 | 1,094,844 | |||||||||
1.75% due 10/31/2020 | 3,343,000 | 3,340,780 | |||||||||
1.75% due 07/31/2021 | 325,000 | 325,457 | |||||||||
1.75% due 05/15/2022 | 4,480,000 | 4,498,200 | |||||||||
1.75% due 05/15/2023 | 9,605,000 | 9,660,904 | |||||||||
1.88% due 11/30/2021 | 8,203,000 | 8,246,258 | |||||||||
1.88% due 03/31/2022 | 1,086,000 | 1,093,381 | |||||||||
1.88% due 10/31/2022 | 3,569,000 | 3,600,368 | |||||||||
1.88% due 08/31/2024 | 4,617,000 | 4,684,812 | |||||||||
2.00% due 05/31/2021 | 3,075,000 | 3,089,294 | |||||||||
2.00% due 11/15/2021 | 4,434,000 | 4,467,428 | |||||||||
2.00% due 11/30/2022 | 6,690,000 | 6,774,148 | |||||||||
2.00% due 02/15/2023 | 7,666,000 | 7,770,210 | |||||||||
2.00% due 02/15/2025 | 8,867,000 | 9,053,692 | |||||||||
2.00% due 08/15/2025 | 3,825,000 | 3,909,867 | |||||||||
2.00% due 11/15/2026 | 1,496,000 | 1,534,160 | |||||||||
2.13% due 06/30/2021 | 4,986,000 | 5,023,006 | |||||||||
2.13% due 08/15/2021 | 6,481,000 | 6,533,405 | |||||||||
2.13% due 02/29/2024 | 2,824,000 | 2,891,070 | |||||||||
2.13% due 03/31/2024 | 4,502,000 | 4,610,857 | |||||||||
2.13% due 07/31/2024 | 4,388,000 | 4,499,928 | |||||||||
2.13% due 09/30/2024 | 1,983,000 | 2,035,131 | |||||||||
2.13% due 05/15/2025 | 3,749,000 | 3,855,026 | |||||||||
2.25% due 07/31/2021 | 3,756,000 | 3,794,000 | |||||||||
2.25% due 11/15/2024 | 3,725,000 | 3,846,790 | |||||||||
2.25% due 12/31/2024 | 3,515,000 | 3,633,082 | |||||||||
2.25% due 11/15/2025 | 2,574,000 | 2,669,419 | |||||||||
2.25% due 02/15/2027 | 1,843,000 | 1,922,839 | |||||||||
2.25% due 08/15/2027 | 1,496,000 | 1,563,963 | |||||||||
2.25% due 11/15/2027 | 3,771,000 | 3,944,672 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
United States Treasury Notes (continued) | |||||||||||
2.38% due 04/30/2020 | $ | 300,000 | $ | 300,855 | |||||||
2.38% due 03/15/2022 | 788,000 | 803,021 | |||||||||
2.38% due 08/15/2024 | 5,657,000 | 5,867,812 | |||||||||
2.38% due 05/15/2027 | 4,460,000 | 4,699,551 | |||||||||
2.50% due 08/15/2023 | 6,555,000 | 6,782,633 | |||||||||
2.50% due 01/31/2024 | 260,000 | 270,065 | |||||||||
2.63% due 05/15/2021 | 4,907,000 | 4,977,730 | |||||||||
2.63% due 03/31/2025 | 3,886,000 | 4,096,239 | |||||||||
2.63% due 02/15/2029 | 9,415,000 | 10,189,899 | |||||||||
2.75% due 08/15/2021 | 1,473,000 | 1,501,827 | |||||||||
2.75% due 02/15/2028 | 3,272,000 | 3,552,421 | |||||||||
2.88% due 07/31/2025 | 5,045,000 | 5,400,909 | |||||||||
2.88% due 05/15/2028 | 4,290,000 | 4,708,610 | |||||||||
3.13% due 11/15/2028 | 5,500,000 | 6,174,609 | |||||||||
3.63% due 02/15/2021 | 8,096,000 | 8,300,614 | |||||||||
276,273,461 | |||||||||||
Total U.S. Government Treasuries (cost $353,946,272) | 373,233,678 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.5% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 160,000 | 176,531 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 355,000 | 392,893 | |||||||||
City of Chicago, IL Series B General Obligation Bonds 7.38% due 01/01/2033 | 409,000 | 487,737 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 434,000 | 598,972 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 1,260,000 | 1,605,542 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 781,091 | 817,638 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 70,000 | 73,252 | |||||||||
State of Illinois General Obligation Bonds 5.56% due 02/01/2021 | 150,000 | 155,807 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 220,000 | 235,831 | |||||||||
Total Municipal Bonds & Notes (cost $4,281,032) | 4,544,203 |
259
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(12) — 1.2% | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Clear Channel Outdoor Holdings, Inc. BTL 5.54% (1 ML+ 3.50%) due 08/21/2026 | $ | 140,000 | $ | 140,350 | |||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
TransDigm, Inc. FRS BTL-E 4.54% (1 ML+ 2.50%) due 05/30/2025 | 205,846 | 204,881 | |||||||||
Airlines — 0.0% | |||||||||||
WestJet Airlines, Ltd. FRS BTL-B coupon TBD due 08/07/2026 | 100,000 | 100,679 | |||||||||
Applications Software — 0.0% | |||||||||||
SS&C European Holdings SARL FRS BTL-B4 4.29% (1 ML+ 2.25%) due 04/16/2025 | 21,427 | 21,503 | |||||||||
SS&C Technologies, Inc. FRS BTL-B3 4.29% (1 ML+ 2.25%) due 04/16/2025 | 32,440 | 32,555 | |||||||||
SS&C Technologies, Inc. FRS BTL-B5 4.29% (1 ML+ 2.25%) due 04/16/2025 | 98,988 | 99,375 | |||||||||
153,433 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Panther BF Aggregator 2 LP FRS BTL-B 3.75% (1 ME+ 3.75%) due 04/30/2026 | EUR | 100,000 | 109,363 | ||||||||
Panther BF Aggregator 2 LP FRS BTL-B 5.54% (1 ML+ 3.50%) due 04/30/2026 | 115,000 | 113,850 | |||||||||
223,213 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Adient US LLC FRS BTL-B 6.46%-6.89% (3 ML+ 4.25%) due 05/06/2024 | 99,750 | 97,963 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Nexstar Broadcasting, Inc. FRS BTL-B4 coupon TBD due 09/18/2026 | 100,000 | 100,458 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Broadcast Services/Program (continued) | |||||||||||
Univision Communications, Inc. FRS 1st Lien 4.79% (1 ML+ 2.75%) due 03/15/2024 | $ | 158,056 | $ | 153,427 | |||||||
253,885 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
NCI Building Systems, Inc. FRS BTL 5.79% (1 ML+ 3.75%) due 04/12/2025 | 98,750 | 96,405 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS 1st Lien 4.79% (1 ML+ 2.75%) due 11/15/2023 | 125,000 | 124,427 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
Brand Industrial Services, Inc. FRS BTL 6.34%-6.50%(3 ML+ 4.25%) due 06/21/2024 | 155,794 | 151,639 | |||||||||
Brand Industrial Services, Inc. FRS BTL 6.52%(2 ML+ 4.25%) due 06/21/2024 | 137,456 | 133,791 | |||||||||
PowerTeam Services LLC FRS BTL 5.35% (3 ML+ 3.25%) due 03/06/2025 | 237,095 | 198,567 | |||||||||
483,997 | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Altice Financing SA FRS 1st Lien 4.81% (1 ML+ 2.75%) due 01/31/2026 | 98,250 | 95,548 | |||||||||
CSC Holdings LLC FRS BTL-B 4.28% (1 ML+ 2.25%) due 07/17/2025 | 147,541 | 147,246 | |||||||||
242,794 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Boyd Gaming Corp. FRS BTL-B 4.17% (1 WL+ 2.25%) due 09/15/2023 | 108,790 | 109,062 | |||||||||
Caesars Resort Collection LLC FRS BTL-B 4.79% (1 ML+ 2.75%) due 12/23/2024 | 145,790 | 144,801 | |||||||||
253,863 |
260
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(12) (continued) | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Numericable Group SA FRS BTL-B 5.72% (1 ML+ 3.69%) due 01/31/2026 | $ | 98,250 | $ | 97,390 | |||||||
Sprint Communications, Inc. FRS BTL-B 4.56% (1 ML+ 2.50%) due 02/02/2024 | 316,875 | 314,261 | |||||||||
411,651 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Starfruit US HoldCo. LLC FRS BTL-B coupon TBD due 10/01/2025 | 145,813 | 142,577 | |||||||||
W.R. Grace & Co. FRS BTL-B1 3.85% (3 ML+ 1.75%) due 04/03/2025 | 36,474 | 36,611 | |||||||||
W.R. Grace & Co. FRS BTL-B2 3.85% (3 ML+ 1.75%) due 04/03/2025 | 62,526 | 62,761 | |||||||||
241,949 | |||||||||||
Coal — 0.0% | |||||||||||
Foresight Energy LLC FRS 1st Lien 7.87% (3 ML+ 5.75%) due 03/28/2022 | 184,254 | 105,485 | |||||||||
Commercial Services — 0.1% | |||||||||||
AVSC Holding Corp. FRS BTL-B 5.29%-5.35% (1 ML+ 3.25%) due 03/03/2025 | 167,854 | 162,818 | |||||||||
AVSC Holding Corp. FRS BTL-B 5.35% (3 ML+ 3.25%) due 03/03/2025 | 4,706 | 4,565 | |||||||||
Brightview Landscapes LLC FRS BTL-B 4.56%-4.94% (1 ML+ 2.50%) due 08/15/2025 | 247,246 | 247,865 | |||||||||
Techem Verwaltungsgesellschaft mbH FRS BTL-B 3.50% (6 ME+ 3.50%) due 07/31/2025 | EUR | 141,948 | 156,015 | ||||||||
571,263 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Financial & Risk US Holdings, Inc. FRS BTL 5.79% (1 ML+ 3.75%) due 10/01/2025 | 104,213 | 104,766 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Commercial Services-Finance (continued) | |||||||||||
WEX, Inc. FRS BTL-B3 4.29% (1 ML+ 2.25%) due 05/15/2026 | $ | 290,291 | $ | 291,525 | |||||||
396,291 | |||||||||||
Computer Services — 0.1% | |||||||||||
Tempo Acquisition LLC FRS BTL-B 5.04% (1 ML+ 3.00%) due 05/01/2024 | 215,050 | 215,642 | |||||||||
Xerox Business Services LLC FRS BTL-B 4.54% (1 ML+ 2.50%) due 12/07/2023 | 126,425 | 122,790 | |||||||||
338,432 | |||||||||||
Consulting Services — 0.0% | |||||||||||
AlixPartners LLP FRS BTL 4.79% (1 ML+ 2.75%) due 04/04/2024 | 97,500 | 97,535 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. FRS BTL-U 4.55% (1 ML+ 2.50%) due 07/01/2026 | 99,750 | 100,170 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.32% (3 ML+ 3.00%) due 12/29/2023 | 95,561 | 91,670 | |||||||||
Reynolds Group Holdings, Inc. FRS BTL 4.79% (1 ML+ 2.75%) due 02/05/2023 | 241,785 | 241,974 | |||||||||
433,814 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc. FRS BTL-B 4.29% (1 ML+ 2.25%) due 04/07/2025 | 108,353 | 104,832 | |||||||||
Sunshine Luxembourg VII SARL BTL coupon TBD due 09/23/2026 | 165,000 | 165,619 | |||||||||
270,451 | |||||||||||
Data Processing/Management — 0.0% | |||||||||||
Dun & Bradstreet Corp. FRS BTL 7.05% (1 ML+ 5.00%) due 02/06/2026 | 200,000 | 201,250 |
261
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(12) (continued) | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
LifeScan Global Corp. FRS BTL-B 8.66% (3 ML+ 6.00%) due 10/01/2024 | $ | 94,750 | $ | 84,920 | |||||||
Direct Marketing — 0.0% | |||||||||||
Acosta, Inc. FRS BTL 7.25% (USFRBPLR+ 2.25%) due 09/26/2021 | 123,853 | 38,456 | |||||||||
Distribution/Wholesale — 0.0% | |||||||||||
Univar USA, Inc. FRS BTL-B3 4.29% (1 ML+ 2.25%) due 07/01/2024 | 101,838 | 102,056 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
Microchip Technology, Inc. FRS BTL-B 4.05% (1 ML+ 2.00%) due 05/29/2025 | 57,489 | 57,705 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Digicert Holdings, Inc. FRS BTL-B coupon TBD due 08/07/2026 | 135,000 | 134,606 | |||||||||
Finastra USA, Inc. FRS BTL-B 5.70% (3 ML+ 3.50%) due 06/13/2024 | 223,451 | 217,107 | |||||||||
351,713 | |||||||||||
Finance-Credit Card — 0.0% | |||||||||||
Blackhawk Network Holdings, Inc. FRS 1st Lien 5.04% (1 ML+ 3.00%) due 06/15/2025 | 98,750 | 98,338 | |||||||||
Food-Baking — 0.0% | |||||||||||
Hostess Brands LLC FRS BTL-B 4.43% (3 ML+ 2.25%) due 08/03/2022 | 144,440 | 144,259 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Post Holdings, Inc. FRS BTL 4.04% (1 ML+ 2.00%) due 05/24/2024 | 124,998 | 125,232 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
US Foods, Inc. FRS BTL-B coupon TBD due 09/13/2026 | 135,000 | 135,401 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CEOC LLC FRS BTL-B 4.04% (1 ML+ 2.00%) due 10/07/2024 | 130,533 | 130,425 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Gambling (Non-Hotel) (continued) | |||||||||||
Golden Entertainment, Inc. FRS 1st Lien 5.06% (1 ML+ 3.00%) due 10/21/2024 | $ | 202,650 | $ | 203,157 | |||||||
Scientific Games International, Inc. FRS BTL-B5 4.79% (1 ML+ 2.75%) due 08/14/2024 | 21,983 | 21,775 | |||||||||
Scientific Games International, Inc. FRS BTL-B5 4.90% (2 ML+ 2.75%) due 08/14/2024 | 91,009 | 90,147 | |||||||||
445,504 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
UGI Energy Services LLC FRS BTL-B 5.79% (1 ML+ 3.75%) due 08/13/2026 | 149,625 | 150,560 | |||||||||
Insurance Brokers — 0.0% | |||||||||||
HUB International, Ltd. FRS BTL-B 5.27% (3 ML+ 3.00%) due 04/25/2025 | 172,813 | 170,733 | |||||||||
USI, Inc. FRS BTL 5.10% (3 ML+ 3.00%) due 05/16/2024 | 107,800 | 105,869 | |||||||||
276,602 | |||||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Asurion LLC FRS BTL-B6 5.04% (1 ML+ 3.00%) due 11/03/2023 | 289,660 | 290,686 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL 5.29% (1 ML+ 3.25%) due 12/31/2025 | 99,250 | 97,588 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL-B coupon TBD due 09/03/2026 | 164,587 | 164,587 | |||||||||
552,861 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Brookfield WEC Holdings, Inc. FRS 1st Lien 5.54% (1 ML+ 3.50%) due 08/01/2025 | 99,250 | 99,474 |
262
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(12) (continued) | |||||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Gardner Denver, Inc. FRS BTL-B 4.79% (1 ML+ 2.75%) due 07/30/2024 | $ | 122,491 | $ | 122,761 | |||||||
RBS Global, Inc. FRS BTL-B 4.04% (1 ML+ 2.00%) due 08/21/2024 | 84,769 | 85,216 | |||||||||
207,977 | |||||||||||
Medical Information Systems — 0.0% | |||||||||||
Zelis Healthcare Corp. FRS BTL-B coupon TBD due 09/25/2026 | 200,000 | 198,250 | |||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Envision Healthcare Corp. FRS 1st Lien 5.79% (1 ML+ 3.75%) due 10/10/2025 | 114,138 | 92,974 | |||||||||
Jaguar Holding Co. II FRS BTL 4.54% (1 ML+ 2.50%) due 08/18/2022 | 216,692 | 216,855 | |||||||||
Syneos Health, Inc. FRS BTL-B 4.04% (1 ML+ 2.00%) due 08/01/2024 | 129,385 | 129,142 | |||||||||
438,971 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
Bausch Health Americas, Inc. FRS BTL 5.04% (1 ML+ 3.00%) due 06/02/2025 | 86,131 | 86,438 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.31% (1 ML+ 4.25%) due 04/29/2024 | 180,838 | 164,020 | |||||||||
Medical-HMO — 0.1% | |||||||||||
MPH Acquisition Holdings LLC FRS BTL-B 4.85% (3 ML+ 2.75%) due 06/07/2023 | 321,799 | 305,709 | |||||||||
One Call Corp. FRS 1st Lien 7.41% (3 ML+ 5.25%) due 11/27/2022 | 134,623 | 107,699 | |||||||||
413,408 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
CIRCOR International, Inc. FRS 1st Lien 5.54% (1 ML+ 3.50%) due 12/11/2024 | 83,293 | 83,371 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Motion Pictures & Services — 0.0% | |||||||||||
Delta 2 Lux SARL FRS BTL-B3 4.54% (1 ML+ 2.50%) due 02/01/2024 | $ | 153,800 | $ | 151,686 | |||||||
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 8.53% (1 ML+ 6.50%) due 03/30/2023 | 16,667 | 16,000 | |||||||||
California Resources Corp. FRS BTL 12.42% (1 ML+ 10.38%) due 12/31/2021 | 130,000 | 113,100 | |||||||||
129,100 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL 4.54% (1 ML+ 2.50%) due 03/01/2024 | 117,449 | 116,806 | |||||||||
Private Equity — 0.0% | |||||||||||
Victory Capital Holdings, Inc. FRS BTL-B 5.57% (2 ML+ 3.25%) due 07/01/2026 | 94,273 | 94,626 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 7.12% (3 ML+ 5.00%) due 04/16/2026 | 128,054 | 126,053 | |||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Bass Pro Group LLC FRS BTL 7.04% (1 ML+ 5.00%) due 09/25/2024 | 122,500 | 117,791 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Gates Global LLC FRS BTL-B2 4.79% (1 ML+ 2.75%) due 04/01/2024 | 122,823 | 120,980 | |||||||||
Security Services — 0.0% | |||||||||||
APX Group, Inc. FRS BTL-B 7.05% (1 ML+ 5.00%) due 04/01/2024 | 98,889 | 96,911 | |||||||||
APX Group, Inc. FRS BTL-B 9.00% (USFRBPLR+ 4.00%) due 04/01/2024 | 111 | 109 | |||||||||
97,020 |
263
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
LOANS(9)(10)(12) (continued) | |||||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Diamond BC BV FRS BTL 5.26% (3 ML+ 3.00%) due 09/06/2024 | $ | 112,988 | $ | 107,479 | |||||||
Telecom Services — 0.0% | |||||||||||
Telenet Financing USD LLC FRS BTL-AN 4.28% (1 ML+ 2.25%) due 08/15/2026 | 100,000 | 100,021 | |||||||||
Telephone-Integrated — 0.0% | |||||||||||
CenturyLink, Inc. FRS BTL-B 4.79% (1 ML+ 2.75%) due 01/31/2025 | 99,242 | 98,477 | |||||||||
Television — 0.1% | |||||||||||
Gray Television, Inc. FRS BTL-C 4.83% (3 ML+ 2.50%) due 01/02/2026 | 99,250 | 99,569 | |||||||||
Ion Media Networks, Inc. FRS BTL-B1 5.06% (1 ML+ 3.00%) due 12/18/2024 | 267,646 | 266,977 | |||||||||
366,546 | |||||||||||
Theaters — 0.0% | |||||||||||
Cineworld, Ltd. FRS BTL 4.29% (1 ML+ 2.25%) due 02/28/2025 | 86,057 | 85,497 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Savage Enterprises LLC FRS BTL 6.04% (1 ML+ 4.00%) due 08/01/2025 | 84,568 | 85,399 | |||||||||
Total Loans (cost $11,836,569) | 11,497,008 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.8% | |||||||||||
Central Bank — 0.1% | |||||||||||
Banque Centrale de Tunisie Senior Notes 6.38% due 07/15/2026* | EUR | 655,000 | 689,858 | ||||||||
Sovereign — 0.7% | |||||||||||
Arab Republic of Egypt Senior Notes 8.50% due 01/31/2047 | 200,000 | 211,541 | |||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049* | 1,110,000 | 1,182,161 | |||||||||
Emirate of Abu Dhabi Senior Notes 3.13% due 09/30/2049* | 1,295,000 | 1,254,531 | |||||||||
Government of Egypt Bonds 16.10% due 05/07/2029 | EGP | 11,455,000 | 763,858 |
Security Description | Shares/ Principal Amount(7) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Government of Romania Senior Notes 3.88% due 10/29/2035 | EUR | 180,000 | $ | 235,429 | |||||||
Government of Romania Senior Notes 4.63% due 04/03/2049* | EUR | 277,000 | 391,434 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 1,000,000 | 1,413,121 | ||||||||
Government of Romania Senior Notes 6.13% due 01/22/2044 | 268,000 | 349,936 | |||||||||
Republic of Argentina Senior Notes 5.25% due 01/15/2028 | EUR | 385,000 | 161,566 | ||||||||
Republic of Ghana Senior Notes 7.63% due 05/16/2029 | 490,000 | 489,672 | |||||||||
Republic of Senegal Notes 6.25% due 05/23/2033 | 480,000 | 483,096 | |||||||||
United Mexican States Senior Notes 4.50% due 04/22/2029 | 207,000 | 224,856 | |||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 100,000 | 108,250 | |||||||||
7,269,451 | |||||||||||
Sovereign Agency — 0.0% | |||||||||||
Kommunalbanken AS Senior Notes 1.75% due 09/15/2020* | 236,000 | 235,525 | |||||||||
Total Foreign Government Obligations (cost $8,220,491) | 8,194,834 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Mr. Cooper Group, Inc.† | 165 | 1,752 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Paragon Offshore Litigation Trust Class A†(14) | 162 | 33 | |||||||||
Paragon Offshore Litigation Trust Class B†(14) | 81 | 1,215 | |||||||||
1,248 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources – Marcellus LLC†(8)(14) | 11,973 | 26,939 | |||||||||
TE Holdcorp LLC, Class A†(8)(14) | 2,426 | 0 | |||||||||
26,939 | |||||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(8)(14) | 22 | 16,995 | |||||||||
Total Common Stocks (cost $126,741) | 46,934 |
264
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
PREFERRED SECURITIES — 0.0% | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
Entergy Louisiana LLC 4.70% (cost $190,121) | $ | 7,606 | $ | 194,562 | |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 1.2% | |||||||||||
Banks-Commercial — 0.4% | |||||||||||
Banco Bilbao Vizcaya Argentaria SA 6.13% due 11/16/2027(15) | 1,000,000 | 958,750 | |||||||||
Banco Bilbao Vizcaya Argentaria SA 8.88% due 04/14/2021(15) | EUR | 200,000 | 240,879 | ||||||||
Banco de Sabadell SA 6.50% due 05/18/2022(15) | EUR | 400,000 | 435,134 | ||||||||
CaixaBank SA 6.75% due 06/13/2024(15) | EUR | 400,000 | 478,379 | ||||||||
Danske Bank A/S 5.88% due 04/06/2022(15) | EUR | 200,000 | 230,829 | ||||||||
DNB Bank ASA 6.50% due 03/26/2022(15) | 200,000 | 209,250 | |||||||||
Intesa Sanpaolo SpA 7.70% due 09/17/2025*(15) | 550,000 | 572,688 | |||||||||
Intesa Sanpaolo SpA 7.75% due 01/11/2027(15) | EUR | 200,000 | 256,399 | ||||||||
Standard Chartered PLC 7.50% due 04/02/2022(15) | 405,000 | 427,781 | |||||||||
3,810,089 | |||||||||||
Banks-Fiduciary — 0.0% | |||||||||||
State Street Corp. FRS 3.12% (3 ML+1.00%) due 06/01/2077 | 300,000 | 230,223 | |||||||||
Banks-Money Center — 0.0% | |||||||||||
BBVA Bancomer SA 5.13% due 01/18/2033* | 200,000 | 190,500 | |||||||||
Banks-Super Regional — 0.0% | |||||||||||
Wells Fargo Capital X 5.95% due 12/01/2086 | 74,000 | 91,517 | |||||||||
Diversified Banking Institutions — 0.7% | |||||||||||
Bank of Nova Scotia 4.65% due 10/12/2022(15) | 298,000 | 295,840 | |||||||||
BNP Paribas SA 5.13% due 11/15/2027*(15) | 285,000 | 277,057 | |||||||||
BNP Paribas SA 7.38% due 08/19/2025*(15) | 200,000 | 223,500 | |||||||||
BNP Paribas SA 7.63% due 03/30/2021*(15) | 270,000 | 284,513 | |||||||||
Credit Agricole SA 8.13% due 12/23/2025*(15) | 650,000 | 764,562 | |||||||||
Credit Suisse Group AG 6.25% due 12/18/2024*(15) | 1,210,000 | 1,279,575 | |||||||||
Credit Suisse Group AG 6.38% due 08/21/2026*(15) | 355,000 | 367,425 | |||||||||
HSBC Holdings PLC 6.00% due 05/22/2027(15) | 981,000 | 1,008,978 | |||||||||
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(15) | 170,000 | 184,207 |
Security Description | Principal Amount(7) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Societe Generale SA 7.38% due 09/13/2021*(15) | $ | 500,000 | $ | 526,050 | |||||||
UBS Group AG 6.88% due 03/22/2021(15) | 450,000 | 466,875 | |||||||||
UBS Group AG 7.00% due 02/19/2025(15) | 450,000 | 493,479 | |||||||||
UBS Group Funding Switzerland AG 7.00% due 01/31/2024*(15) | 200,000 | 212,400 | |||||||||
UniCredit SpA 8.00% due 06/03/2024(15) | 400,000 | 415,120 | |||||||||
6,799,581 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043 | 126,000 | 128,340 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
Dominion Resources, Inc. 5.75% due 10/01/2054 | 109,000 | 115,663 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(8) | 58,000 | 6 | |||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.63% due 06/15/2043 | 148,000 | 159,086 | |||||||||
Prudential Financial, Inc. 5.70% due 09/15/2048 | 122,000 | 135,225 | |||||||||
294,311 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Voya Financial, Inc. 4.70% due 01/23/2048 | 111,000 | 104,145 | |||||||||
Pipelines — 0.1% | |||||||||||
EnLink Midstream Partners LP 6.00% due 12/15/2022(15) | 124,000 | 88,660 | |||||||||
Enterprise Products Operating LLC 5.25% due 08/16/2077 | 96,000 | 95,181 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 99,000 | 98,505 | |||||||||
TransCanada Trust 5.63% due 05/20/2075 | 73,000 | 75,008 | |||||||||
357,354 | |||||||||||
Total Preferred Securities/Capital Securities (cost $11,572,847) | 12,121,729 | ||||||||||
WARRANTS† — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC(8)(14) (cost $295) | 3,100 | 93 | |||||||||
Total Long-Term Investment Securities (cost $1,097,021,408) | 1,137,602,590 |
265
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Shares/ Principal Amount(7) | Value (Note 2) | |||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.6% | |||||||||||
Registered Investment Companies — 0.6% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.88%(17) (cost $6,364,737) | 6,364,737 | $ | 6,364,737 | ||||||||
REPURCHASE AGREEMENTS — 1.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(18) | $ | 2,845,000 | 2,845,000 | ||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(18) | 1,770,000 | 1,770,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(18) | 1,415,000 | 1,415,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(18) | 2,705,000 | 2,705,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(18) | 2,830,000 | 2,830,000 | |||||||||
Total Repurchase Agreements (cost $11,565,000) | 11,565,000 | ||||||||||
TOTAL INVESTMENTS (cost $1,114,951,145)(19) | 117.8 | % | 1,155,532,327 | ||||||||
Liabilities in excess of other assets | (17.8 | ) | (174,871,853 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 980,660,474 |
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $144,450,457 representing 14.7% of net assets.
† Non-income producing security
(1) Collateralized Mortgage Obligation
(2) 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.
(3) Collateralized Loan Obligation
(4) Commercial Mortgage Backed Security
(5) Interest Only
(6) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2019.
(7) Denominated in United States dollars unless otherwise indicated.
(8) Securities classified as Level 3 (see Note 2).
(9) The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank 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.
(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) Principal amount of security is adjusted for inflation.
(12) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(14) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 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 | $ | 26,939 | $ | 2.25 | 0.00 | % | |||||||||||||||||
ION Media Networks, Inc. | 03/05/2014 | 22 | 0 | 16,995 | 772.50 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class A | 07/11/2014 | 162 | 92 | 33 | 0.20 | 0.00 | |||||||||||||||||||||
Paragon Offshore Litigation Trust, Class B | 07/14/2014 | 81 | 1,377 | 1,215 | 15.00 | 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 | |||||||||||||||||||||
$ | 45,275 | 0.00 | % |
(15) Perpetual maturity — maturity date reflects the next call date.
(16) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(17) The rate shown is the 7-day yield as of September 30, 2019.
(18) See Note 2 for details of Joint Repurchase Agreements.
(19) See Note 4 for cost of investments on a tax basis.
ARS — Argentine Peso
AUD — Australian Dollar
BTL — Bank Term Loan
CAD — Canadian Dollar
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EGP — Egyptian Pound
EUR — Euro Currency
NZD — New Zealand Dollar
266
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
REMIC — Real Estate Mortgage Investment Conduit
SCRT — Structured Credit Risk Transfer
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TBD — Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on the FRS and VRS are the current interest rates at September 30, 2019 and unless otherwise, the dates shown are the original maturity dates.
Index Legend
1 ME — 1 Month Euribor
1 ML — 1 Month USD LIBOR
1 WL — 1 Week USD LIBOR
2 ML — 2 Month USD LIBOR
3 ML — 3 Month USD LIBOR
6 ME — 6 Month Euribor
6 ML — 6 Month USD LIBOR
12 ML — 12 Month USD LIBOR
12 MTA — 12 Month USD Treasury Average Index
1 Yr USTYCR — 1 Year US Treasury Yield Curve Rate
COFI — 11th District Cost of Funds
USFRBPLR — US Federal Reserve Bank Prime Loan Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
47 | Long | Canadian 10 Year Bonds | December 2019 | $ | 5,037,182 | $ | 5,058,837 | $ | 21,655 | ||||||||||||||||||
2 | Short | Euro Buxl 30 Year Bonds | December 2019 | 485,307 | 474,128 | 11,179 | |||||||||||||||||||||
32 | Long | U.S. Treasury Long Bonds | December 2019 | 5,179,169 | 5,194,000 | 14,831 | |||||||||||||||||||||
381 | Short | U.S. Treasury 10 Year Notes | December 2019 | 50,029,982 | 49,649,063 | 380,919 | |||||||||||||||||||||
165 | Short | U.S. Treasury 10 Year Ultra Bonds | December 2019 | 23,765,156 | 23,497,031 | 268,125 | |||||||||||||||||||||
8 | Long | U.S. Treasury Ultra Bonds | December 2019 | 1,527,094 | 1,535,250 | 8,156 | |||||||||||||||||||||
$ | 704,865 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
66 | Short | U.S. Treasury 2 Year Notes | December 2019 | $ | 14,202,595 | $ | 14,223,000 | $ | (20,405 | ) | |||||||||||||||||
103 | Short | U.S. Treasury 5 Year Notes | December 2019 | 12,235,793 | 12,272,289 | (36,496 | ) | ||||||||||||||||||||
$ | (56,901 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 647,964 |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Citibank N.A. | EUR | 1,768,000 | USD | 1,950,360 | 10/31/2019 | $ | 19,117 | $ | — | ||||||||||||||
USD | 109,674 | EUR | 99,000 | 12/18/2019 | — | (1,127 | ) | ||||||||||||||||
19,117 | (1,127 | ) | |||||||||||||||||||||
Goldman Sachs International | AUD | 5,166,000 | USD | 3,491,555 | 10/31/2019 | 1,210 | — | ||||||||||||||||
JPMorgan Chase Bank | EUR | 2,661,000 | USD | 2,953,750 | 12/18/2019 | 36,126 | — | ||||||||||||||||
NZD | 3,775,000 | USD | 2,371,644 | 11/29/2019 | 4,553 | — | |||||||||||||||||
40,679 | — | ||||||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 224,000 | USD | 246,641 | 12/18/2019 | 1,039 | — | ||||||||||||||||
NatWest Markets PLC | CAD | 1,640,000 | USD | 1,243,133 | 11/05/2019 | 4,565 | — | ||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 66,610 | $ | (1,127 | ) |
267
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
NZD — New Zealand Dollar
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 | $ | (102,120 | ) | $ | (1,044,193 | ) | |||||||||||||
USD | 6,540 | 04/09/2024 | USD-LIBOR-BBA/Quarterly | 2.36%/Semi-annually | — | (242,665 | ) | ||||||||||||||||
USD | 6,130 | 04/09/2024 | USD-LIBOR-BBA/Quarterly | 2.36%/Semi-annually | — | (227,183 | ) | ||||||||||||||||
USD | 8,730 | 04/09/2024 | USD-LIBOR-BBA/Quarterly | 2.36%/Semi-annually | — | (323,159 | ) | ||||||||||||||||
USD | 6,375 | 04/09/2024 | USD-LIBOR-BBA/Quarterly | 2.36%/Semi-annually | — | (237,240 | ) | ||||||||||||||||
$ | (102,120 | ) | $ | (2,074,440 | ) |
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)
Value(4) | |||||||||||||||||||||||||||
Reference Obligation | Fixed Deal (Pay) Rate | Termination Date | Implied Credit Spread at September 30, 2019(2) | Notional Amount (000's)(3) | Upfront Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Markit CDX North America Investment Grade Index | (1.00 | )% | 06/20/2024 | 0.55 | % | USD | 2,135 | $ | (43,407 | ) | $ | (1,578 | ) |
BBA — British Bankers' Association
LIBOR — London Interbank Offered Rate
USD — United States Dollar
(1) If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation.
(3) The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
(4) The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
268
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | — | $ | 133,768,179 | $ | — | $ | 133,768,179 | |||||||||||
U.S. Corporate Bonds & Notes: | |||||||||||||||||||
Airlines | — | 58,128 | 6,526 | 64,654 | |||||||||||||||
Finance-Investment Banker/Broker | — | 86,320 | 23 | 86,343 | |||||||||||||||
Gambling (Non-Hotel) | — | 50,400 | 80 | 50,480 | |||||||||||||||
Other Industries | — | 256,650,651 | — | 256,650,651 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 59,780,187 | — | 59,780,187 | |||||||||||||||
U.S. Government Agencies | — | 277,369,055 | — | 277,369,055 | |||||||||||||||
U.S. Government Treasuries | — | 373,233,678 | — | 373,233,678 | |||||||||||||||
Municipal Bond & Notes | — | 4,544,203 | — | 4,544,203 | |||||||||||||||
Loans: | |||||||||||||||||||
Oil & Gas Drilling | — | — | 0 | 0 | |||||||||||||||
Other Industries | — | 11,497,008 | — | 11,497,008 | |||||||||||||||
Foreign Government Obligations | — | 8,194,834 | — | 8,194,834 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Oil Companies-Exploration & Production | — | — | 26,939 | 26,939 | |||||||||||||||
Television | — | — | 16,995 | 16,995 | |||||||||||||||
Other Industries | 1,752 | 1,248 | — | 3,000 | |||||||||||||||
Preferred Securities | 194,562 | — | — | 194,562 | |||||||||||||||
Preferred Securities/Capital Securities: | |||||||||||||||||||
Finance-Investment Banker/Broker | — | — | 6 | 6 | |||||||||||||||
Other Industries | — | 12,121,723 | — | 12,121,723 | |||||||||||||||
Warrants | — | — | 93 | 93 | |||||||||||||||
Short-Term Investment Securities | 6,364,737 | — | — | 6,364,737 | |||||||||||||||
Repurchase Agreements | — | 11,565,000 | — | 11,565,000 | |||||||||||||||
Total Investments at Value | $ | 6,561,051 | $ | 1,148,920,614 | $ | 50,662 | $ | 1,155,532,327 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 704,865 | $ | — | $ | — | $ | 704,865 | |||||||||||
Forward Foreign Currency Contracts | — | 66,610 | — | 66,610 | |||||||||||||||
Total Other Financial Instruments | $ | 704,865 | $ | 66,610 | $ | — | $ | 771,475 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 56,901 | $ | — | $ | — | $ | 56,901 | |||||||||||
Forward Foreign Currency Contracts | — | 1,127 | — | 1,127 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 2,074,440 | — | 2,074,440 | |||||||||||||||
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection | — | 1,578 | — | 1,578 | |||||||||||||||
Total Other Financial Instruments | $ | 56,901 | $ | 2,077,145 | $ | — | $ | 2,134,046 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts 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
269
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 34.7 | % | |||||
Sovereign | 34.3 | ||||||
United States Treasury Bonds | 16.2 | ||||||
Uniform Mtg. Backed Securities | 9.4 | ||||||
Diversified Financial Services | 4.7 | ||||||
Federal National Mtg. Assoc. | 2.9 | ||||||
Repurchase Agreements | 1.3 | ||||||
SupraNational Banks | 0.5 | ||||||
Federal Home Loan Mtg. Corp. | 0.4 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Television | 0.2 | ||||||
Airlines | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Semiconductor Equipment | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Commercial Services-Finance | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Medical-Drugs | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Applications Software | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Theaters | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Retail-Restaurants | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Computer Services | 0.1 | ||||||
Food-Catering | 0.1 | ||||||
Textile-Products | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Enterprise Software/Service | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Protection/Safety | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Cosmetics & Toiletries | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Food-Baking | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Advertising Sales | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
109.4 | % |
Credit Quality†# | |||||||
Aaa | 65.1 | % | |||||
Aa | 16.3 | ||||||
A | 3.2 | ||||||
Baa | 5.1 | ||||||
Ba | 1.7 | ||||||
B | 2.3 | ||||||
Not Rated## | 6.3 | ||||||
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.
270
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS(1) — 34.3% | |||||||||||
Sovereign — 34.3% | |||||||||||
Commonwealth of Australia Senior Notes 3.00% due 09/20/2025 | AUD | 3,535,918 | $ | 2,864,248 | |||||||
Federal Republic of Germany Bonds 0.10% due 04/15/2023 | EUR | 25,470,974 | 29,173,021 | ||||||||
Government of Canada Bonds 2.00% due 12/01/2041 | CAD | 13,061,118 | 13,358,354 | ||||||||
Government of Canada Bonds 4.25% due 12/01/2021 | CAD | 14,674,231 | 11,999,120 | ||||||||
Government of France Bonds 0.10% due 03/01/2025 | EUR | 5,015,162 | 5,837,930 | ||||||||
Government of France Bonds 0.25% due 07/25/2024 | EUR | 14,965,754 | 17,649,311 | ||||||||
Government of France Bonds 1.10% due 07/25/2022 | EUR | 16,486,605 | 19,297,065 | ||||||||
Government of France Bonds 2.10% due 07/25/2023 | EUR | 6,820,582 | 8,406,223 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2025 | JPY | 471,873,500 | 4,499,437 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2027 | JPY | 2,089,860,912 | 20,120,649 | ||||||||
Government of Japan Senior Notes 0.10% due 03/10/2028 | JPY | 362,977,200 | 3,499,688 | ||||||||
Government of New Zealand Senior Notes 2.00% due 09/20/2025 | NZD | 2,508,153 | 1,754,420 | ||||||||
Republic of Italy Senior Notes 2.35% due 09/15/2024* | EUR | 18,130,937 | 22,386,190 | ||||||||
Republic of Italy Senior Notes 2.60% due 09/15/2023* | EUR | 8,823,677 | 10,786,977 | ||||||||
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2024 | GBP | 9,314,994 | 13,211,924 | ||||||||
United Kingdom Gilt Treasury Bonds 0.13% due 03/22/2026 | GBP | 5,585,071 | 8,431,482 | ||||||||
United Kingdom Gilt Treasury Bonds 1.88% due 11/22/2022 | GBP | 3,702,225 | 5,324,099 | ||||||||
United Kingdom Gilt Treasury Bonds 2.50% due 04/16/2020 | GBP | 12,679,143 | 16,116,340 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
United Kingdom Gilt Treasury Bonds 2.50% due 07/17/2024 | GBP | 10,668,677 | $ | 16,657,495 | |||||||
Total Foreign Government Obligations (cost $245,055,908) | 231,373,973 | ||||||||||
Foreign Corporate Bonds & Notes — 0.5% | |||||||||||
SupraNational Banks — 0.5% | |||||||||||
Asian Development Bank Senior Notes 3.00% due 01/17/2023 (cost $3,598,447) | NZD | 5,285,000 | 3,492,395 | ||||||||
U.S. GOVERNMENT AGENCIES — 12.7% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.4% | |||||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HQA1, Class M2 4.32% (1 ML+2.30%) due 09/25/2030(2) | 3,000,000 | 3,029,123 | |||||||||
Federal National Mtg. Assoc. — 2.9% | |||||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2018-C03, Class 1M2 4.17% (1 ML+ 2.15%) due 10/25/2030(2) | 3,715,000 | 3,743,470 | |||||||||
Series 2018-C02, Class 2M2 4.22% (1 ML+ 2.20%) due 08/25/2030(2) | 3,700,000 | 3,726,508 | |||||||||
Series 2018-C01, Class 1M2 4.27% (1 ML+ 2.25%) due 07/25/2030(2) | 3,500,000 | 3,532,339 | |||||||||
Series 2018-C05, Class 1M2 4.37% (1 ML+ 2.35%) due 01/25/2031(2) | 3,690,000 | 3,731,865 | |||||||||
Series 2018-R07, Class 1M2 4.42% (1 ML+2.40%) due 04/25/2031*(2) | 750,000 | 757,293 | |||||||||
Series 2018-C04, Class 2M2 4.57% (1 ML+ 2.55%) due 12/25/2030(2) | 3,500,000 | 3,560,134 | |||||||||
19,051,609 | |||||||||||
Uniform Mtg. Backed Securities — 9.4% | |||||||||||
Uniform Mtg. Backed Securities 3.50% due October TBA | 62,100,000 | 63,696,165 | |||||||||
Total U.S. Government Agencies (cost $86,011,396) | 85,776,897 | ||||||||||
U.S. GOVERNMENT TREASURIES — 50.9% | |||||||||||
United States Treasury Bonds(1) — 16.2% | |||||||||||
0.75% due 02/15/2045 TIPS | 1,699,620 | 1,774,048 | |||||||||
1.00% due 02/15/2049 TIPS | 1,223,472 | 1,372,970 | |||||||||
2.38% due 01/15/2025 TIPS(12) | 48,858,330 | 54,346,611 | |||||||||
2.50% due 01/15/2029 TIPS | 42,860,825 | 51,714,037 | |||||||||
109,207,666 |
271
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes — 34.7% | |||||||||||
0.13% due 07/15/2026 TIPS(1) | $ | 30,075,992 | $ | 29,979,911 | |||||||
0.25% due 01/15/2025 TIPS(1) | 12,329,838 | 12,354,589 | |||||||||
0.25% due 07/15/2029 TIPS(1) | 11,649,613 | 11,738,590 | |||||||||
0.38% due 07/15/2025 TIPS(1) | 41,608,336 | 42,130,265 | |||||||||
0.38% due 07/15/2027 TIPS(1) | 13,587,204 | 13,790,884 | |||||||||
0.50% due 01/15/2028 TIPS(1) | 33,111,584 | 33,845,487 | |||||||||
0.63% due 01/15/2026 TIPS(1) | 39,779,413 | 40,747,857 | |||||||||
0.75% due 07/15/2028 TIPS(1) | 36,978,493 | 38,795,837 | |||||||||
0.88% due 01/15/2029 TIPS(1) | 2,255,653 | 2,392,215 | |||||||||
2.63% due 02/15/2029 | 7,810,000 | 8,452,800 | |||||||||
234,228,435 | |||||||||||
Total U.S. Government Treasuries (cost $335,296,625) | 343,436,101 | ||||||||||
ASSET BACKED SECURITIES — 4.7% | |||||||||||
Diversified Financial Services — 4.7% | |||||||||||
Atlas Senior Loan Fund, Ltd. FRS Series 2018-9A, Class A 3.15% (3 ML+0.87%) due 04/20/2028*(4) | 3,700,000 | 3,687,420 | |||||||||
Atrium XIII FRS Series 13A, Class A1 3.44% (3 ML+1.18%) due 11/21/2030*(4) | 3,700,000 | 3,698,520 | |||||||||
Bear Stearns ARM Trust VRS Series 2005-6, Class 3A1 4.52% due 08/25/2035(2)(3) | 1,338,259 | 1,344,510 | |||||||||
Carlyle Global Market Strategies CLO, Ltd. FRS Series 2013-4A, Class A1RR 3.30% (3 ML+1.00%) due 01/15/2031*(4) | 2,000,000 | 1,982,500 | |||||||||
CSMC Trust VRS Series 2018-RPL8, Class A1 4.13% due 07/25/2058*(3) | 1,357,388 | 1,369,106 | |||||||||
Dryden Senior Loan Fund FRS Series 2015-41A, Class AR 3.27% (3 ML+0.97%) due 04/15/2031*(4) | 2,045,000 | 2,024,755 | |||||||||
Dryden Senior Loan Fund FRS Series 2015-37A, Class AR 3.40% (3 ML+1.10%) due 01/15/2031*(4) | 2,500,000 | 2,492,075 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
LCM XX LP FRS Series -20A, Class AR 3.32% (3 ML+1.04%) due 10/20/2027*(4) | $ | 1,625,000 | $ | 1,625,000 | |||||||
Magnetite, Ltd. FRS Series 2012-7A, Class A1R2 3.10% (3 ML+0.80%) due 01/15/2028*(4) | 2,000,000 | 1,992,000 | |||||||||
Neuberger Berman CLO XIX, Ltd. FRS Series 2015-19A, Class A1R2 3.10% (3 ML+0.80%) due 07/15/2027*(4) | 2,500,000 | 2,496,975 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2018-NPL4, Class A1 4.83% due 09/25/2058*(5) | 696,278 | 700,083 | |||||||||
PRPM LLC VRS Series 2018-3A, Class A1 4.48% due 10/25/2023*(3) | 2,043,696 | 2,066,088 | |||||||||
Venture CLO, Ltd. FRS Series 2017-29A, Class A 3.44% (3 ML+1.28%) due 09/07/2030*(4) | 1,110,000 | 1,109,234 | |||||||||
VOLT LXX LLC Series 2018-NPL6, Class A1A 4.11% due 09/25/2048* | 992,439 | 995,317 | |||||||||
VOLT LXXI LLC Series 2018-NPL7, Class A1A 3.97% due 09/25/2048* | 418,734 | 420,751 | |||||||||
VOLT LXXII LLC Series 2018-NPL8, Class A1A 4.21% due 10/26/2048* | 2,051,349 | 2,058,480 | |||||||||
VOLT LXXIII LLC Series 2018-NPL9, Class A1A 4.46% due 10/25/2048* | 1,716,072 | 1,724,661 | |||||||||
Total Asset Backed Securities (cost $31,766,236) | 31,787,475 | ||||||||||
LOANS(7)(8)(9) — 5.0% | |||||||||||
Advertising Sales — 0.1% | |||||||||||
Clear Channel Outdoor Holdings, Inc. FRS BTL-B 5.54% (1 ML+ 3.50%) due 08/21/2026 | 285,000 | 285,713 | |||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
TransDigm, Inc. FRS BTL-F 4.54% (1 ML+ 2.50%) due 06/09/2023 | 296,985 | 296,150 |
272
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Airlines — 0.2% | |||||||||||
American Airlines, Inc. FRS BTL 4.05% (1 ML+ 2.00%) due 10/10/2021 | $ | 890,721 | $ | 890,721 | |||||||
WestJet Ailrlines, Ltd. FRS BTL-B coupon TBD due 08/06/2026 | 155,000 | 156,052 | |||||||||
1,046,773 | |||||||||||
Applications Software — 0.1% | |||||||||||
SS&C Technologies, Inc. FRS BTL-B5 4.29% (1 ML+ 2.25%) due 04/16/2025 | 638,475 | 640,969 | |||||||||
Auto Repair Centers — 0.0% | |||||||||||
Belron Finance US LLC FRS BTL-B 4.43% (3 ML+ 2.25%) due 11/13/2025 | 188,575 | 189,282 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Panther BF Aggregator 2 LP FRS BTL-B 3.75% (1 ME+ 3.75%) due 04/30/2026 | EUR | 250,000 | 273,407 | ||||||||
Panther BF Aggregator 2 LP FRS BTL-B 5.54% (1 ML+ 3.50%) due 04/30/2026 | 200,000 | 198,000 | |||||||||
471,407 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Adient US LLC FRS BTL-B 6.46% (3 ML+ 4.25%) due 05/06/2024 | 38,750 | 38,055 | |||||||||
Adient US LLC FRS BTL-B 6.89% (3 ML+ 4.25%) due 05/06/2024 | 115,863 | 113,787 | |||||||||
151,842 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
NEP Group, Inc. FRS BTL 5.29% (1 ML+ 3.25%) due 10/20/2025 | 109,175 | 106,923 | |||||||||
Nexstar Broadcasting, Inc. FRS BTL-B3 4.29% (1 ML+ 2.25%) due 01/17/2024 | 85,235 | 85,235 | |||||||||
Nexstar Broadcasting, Inc. FRS BTL-B4 coupon TBD due 09/18/2026 | 195,000 | 195,894 | |||||||||
388,052 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
NCI Building Systems, Inc. FRS BTL 5.79% (1 ML+ 3.75%) due 04/12/2025 | $ | 900,877 | $ | 879,481 | |||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS 1st Lein 4.79% (1 ML+ 2.75%) due 11/15/2023 | 150,000 | 149,313 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
PowerTeam Services LLC FRS BTL 5.35% (3 ML+ 3.25%) due 03/06/2025 | 300,000 | 251,250 | |||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
Allied Universal Holdco LLC FRS Delayed Draw 2.13% due 07/10/2026(14) | 11,944 | 11,952 | |||||||||
Allied Universal Holdco LLC FRS BTL-B 6.51% (3 ML+ 4.25%) due 07/10/2026 | 120,632 | 120,707 | |||||||||
132,659 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
CSC Holdings LLC FRS BTL 4.28% (1 ML+ 2.25%) due 01/15/2026 | 621,875 | 620,709 | |||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. FRS BTL-B 4.17% (1 WL+ 2.25%) due 09/15/2023 | 344,262 | 345,122 | |||||||||
Caesars Resort Collection LLC FRS BTL-B 4.79% (1 ML+ 2.75%) due 12/22/2024 | 346,474 | 344,123 | |||||||||
689,245 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Numericable Group SA FRS BTL-B 5.72% (1 ML+ 3.69%) due 01/31/2026 | 198,485 | 196,748 | |||||||||
Sprint Communications, Inc. FRS BTL-B 4.56% (1 ML+ 2.50%) due 02/02/2024 | 247,462 | 245,420 | |||||||||
Sprint Communications, Inc. FRS BTL-B 5.06% (1 ML+ 3.00%) due 02/02/2024 | 148,875 | 148,441 | |||||||||
590,609 |
273
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Platform Specialty Products Corp. FRS BTL 4.29% (1 ML+ 2.25%) due 01/30/2026 | $ | 168,725 | $ | 169,199 | |||||||
Starfruit Finco BV FRS BTL-B 3.75% (3 ME+ 3.75%) due 10/01/2025 | EUR | 100,000 | 109,151 | ||||||||
Starfruit US HoldCo. LLC FRS BTL-B 5.29% (1 ML+ 3.25%) due 10/01/2025 | 129,350 | 126,480 | |||||||||
404,830 | |||||||||||
Commercial Services — 0.1% | |||||||||||
AVSC Holding Corp. FRS BTL-B coupon TBD due 03/03/2025 | 199,494 | 193,509 | |||||||||
Brightview Landscapes LLC FRS BTL-B 4.56-4.94% (1 ML+ 2.50%) due 08/15/2025 | 173,681 | 174,115 | |||||||||
367,624 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
EVO Payments International LLC FRS BTL 5.31% (1 ML+ 3.25%) due 12/22/2023 | 198,489 | 199,109 | |||||||||
Financial & Risk US Holdings, Inc. FRS BTL 5.79% (1 ML+ 3.75%) due 10/01/2025 | 312,638 | 314,298 | |||||||||
WEX, Inc. FRS BTL-B3 4.29% (1 ML+ 2.25%) due 05/15/2026 | 346,469 | 347,941 | |||||||||
861,348 | |||||||||||
Computer Services — 0.1% | |||||||||||
Science Applications International Corp. FRS BTL-B 3.79% (1 ML+ 1.75%) due 10/31/2025 | 377,150 | 376,973 | |||||||||
Tempo Acquisition LLC FRS BTL-B 5.04% (1 ML+ 3.00%) due 05/01/2024 | 148,481 | 148,889 | |||||||||
525,862 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Consulting Services — 0.1% | |||||||||||
AlixPartners LLP FRS BTL 4.79% (1 ML+2.75%) due 04/04/2024 | $ | 396,443 | $ | 396,584 | |||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Berlin Packaging LLC FRS 1st Lien 5.05-5.11% (1 ML+ 3.00%) due 11/07/2025 | 194,351 | 190,707 | |||||||||
Berlin Packaging LLC FRS 1st Lien 5.11% (3 ML+ 3.00%) due 11/07/2025 | 3,644 | 3,576 | |||||||||
194,283 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. FRS BTL-Q 4.30% (1 ML+ 2.25%) due 10/01/2022 | 175,000 | 175,656 | |||||||||
Berry Global, Inc. FRS BTL-U 4.55% (1 ML+ 2.50%) due 07/01/2026 | 199,500 | 200,339 | |||||||||
Flex Acquisition Co, Inc. FRS BTL 5.32% (3 ML+ 3.00%) due 12/29/2023 | 291,790 | 279,910 | |||||||||
Reynolds Group Holdings, Inc. FRS BTL 4.79% (1 ML+ 2.75%) due 02/05/2023 | 197,964 | 198,119 | |||||||||
854,024 | |||||||||||
Cosmetics & Toiletries — 0.1% | |||||||||||
Sunshine Luxembourg VII SARL FRS BTL coupon TBD due 09/23/2026 | 360,000 | 361,350 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Dun & Bradstreet Corp. FRS BTL 7.05% (1 ML+ 5.00%) due 02/06/2026 | 265,000 | 266,656 | |||||||||
Evertec Group LLC FRS BTL-B 5.54% (1 ML+ 3.50%) due 11/27/2024 | 347,375 | 348,244 | |||||||||
614,900 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Avantor, Inc. FRS BTL 5.04% (1 ML+ 3.00%) due 11/21/2024 | 80,776 | 81,280 |
274
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Distribution/Wholesale — 0.1% | |||||||||||
American Builders & Contractors Supply Co., Inc. FRS BTL-B2 4.04% (1 ML+ 2.00%) due 10/31/2023 | $ | 272,901 | $ | 272,525 | |||||||
HD Supply, Inc. FRS BTL-B5 3.79% (1 ML+ 1.75%) due 10/17/2023 | 195,489 | 195,587 | |||||||||
Resideo Funding, Inc. FRS BTL 4.11% (3 ML+ 2.00%) due 10/24/2025 | 297,750 | 298,122 | |||||||||
Univar USA, Inc. FRS BTL-B 4.54% (1 ML+ 2.5%) due 07/01/2024 | 81,679 | 81,904 | |||||||||
848,138 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
Go Daddy Operating Co. LLC FRS BTL-B 4.04% (1 ML+ 2.00%) due 02/15/2024 | 112,232 | 112,357 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
Microchip Technology, Inc. FRS BTL-B 4.05% (1 ML+ 2.00%) due 05/29/2025 | 238,390 | 239,284 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
MA FinanceCo. LLC FRS BTL-B 4.54% (1 ML+ 2.50%) due 06/21/2024 | 24,851 | 24,515 | |||||||||
Seattle SpinCo, Inc. FRS BTL-B3 4.54% (1 ML+ 2.50%) due 06/21/2024 | 167,821 | 165,514 | |||||||||
Digicert Holdings, Inc. FRS BTL-B coupon TBD due 08/07/2026 | 205,000 | 204,402 | |||||||||
Ultimate Software Group, Inc. FRS 1st Lien 5.79% (1 ML+ 3.75%) due 05/04/2026 | 100,000 | 100,450 | |||||||||
494,881 | |||||||||||
Finance-Credit Card — 0.1% | |||||||||||
Blackhawk Network Holdings, Inc. FRS 1st Lien 5.04% (1 ML+ 3.00%) due 06/15/2025 | 297,739 | 296,498 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Food-Baking — 0.1% | |||||||||||
Hostess Brands LLC FRS BTL-B 4.29% (1 ML+ 2.25%) due 08/03/2022 | $ | 91,249 | $ | 91,135 | |||||||
Hostess Brands LLC FRS BTL-B 4.37-4.51% (3 ML+ 2.25%) due 08/03/2022 | 205,728 | 205,471 | |||||||||
296,606 | |||||||||||
Food-Catering — 0.1% | |||||||||||
8th Avenue Food & Provisions, Inc. FRS BTL 5.79% (1 ML+3.75%) due 10/01/2025 | 148,875 | 149,185 | |||||||||
Aramark Services, Inc. FRS BTL-B1 3.79% (1 ML+ 1.75%) due 03/11/2025 | 375,000 | 375,703 | |||||||||
524,888 | |||||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Post Holdings, Inc. FRS BTL 4.04% (1 ML+ 2.00%) due 05/24/2024 | 275,000 | 275,516 | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
US Foods, Inc. FRS BTL-B 4.04% (1 ML+ 2.00%) due 06/27/2023 | 346,419 | 347,357 | |||||||||
US Foods, Inc. FRS BTL-B coupon TBD due 09/13/2026 | 170,000 | 170,505 | |||||||||
517,862 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CEOC LLC FRS BTL-B 4.04% (1 ML+ 2.00%) due 10/07/2024 | 410,999 | 410,657 | |||||||||
Golden Entertainment, Inc. FRS 1st Lien 5.06% (1 ML+ 3.00%) due 10/21/2024 | 97,229 | 97,472 | |||||||||
508,129 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
UGI Energy Services LLC FRS BTL-B 5.79% (1 ML+ 3.75%) due 08/13/2026 | 304,238 | 306,139 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Hilton Worldwide Finance LLC FRS BTL-B 3.77% (1 ML+ 1.75%) due 06/22/2026 | 136,839 | 137,638 |
275
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Industrial Gases — 0.0% | |||||||||||
Messer Industries USA, Inc. FRS BTL 4.60% (3 ML+ 2.50%) due 03/01/2026 | $ | 218,900 | $ | 218,170 | |||||||
Insurance Brokers — 0.1% | |||||||||||
HUB International, Ltd. FRS BTL-B 5.27% (3 ML+ 3.00%) due 04/25/2025 | 272,243 | 268,968 | |||||||||
USI, Inc. FRS BTL 5.10% (3 ML+ 3.00%) due 05/16/2024 | 272,911 | 268,021 | |||||||||
536,989 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Asurion LLC FRS BTL-B4 5.04% (1 ML+ 3.00%) due 08/04/2022 | 164,672 | 165,125 | |||||||||
Asurion LLC FRS 2nd Lien 8.54% (1 ML+ 6.50%) due 08/04/2025 | 300,000 | 304,625 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL 5.29% (1 ML+ 3.25%) due 12/31/2025 | 530,988 | 522,093 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL-B coupon TBD due 09/03/2026 | 199,500 | 199,500 | |||||||||
1,191,343 | |||||||||||
Investment Companies — 0.0% | |||||||||||
Messer Industries GmbH FRS BTL-B 2.75% (3 ME+ 2.75%) due 03/02/2026 | EUR | 100,000 | 109,222 | ||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
NFP Corp. FRS BTL-B 5.04% (1 ML+ 3.00%) due 01/08/2024 | 128,677 | 126,361 | |||||||||
Leisure Products — 0.0% | |||||||||||
Hayward Industries, Inc. FRS 1st Lien 5.54% (1 ML+ 3.50%) due 08/05/2024 | 143,535 | 138,556 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
Brookfield WEC Holdings, Inc. FRS 1st Lien 5.54% (1 ML+ 3.50%) due 08/01/2025 | 99,749 | 99,974 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Altra Industrial Motion Corp. FRS BTL-B 4.04% (1 ML+ 2.00%) due 10/01/2025 | $ | 224,888 | $ | 224,513 | |||||||
Machinery-Pumps — 0.1% | |||||||||||
NN, Inc. FRS BTL-B 5.79% (1 ML+ 3.75%) due 10/19/2022 | 370,958 | 364,467 | |||||||||
Medical Information Systems — 0.1% | |||||||||||
Quintiles IMS, Inc. FRS BTL-B 4.10% (3 ML+ 2.00%) due 03/07/2024 | 200,000 | 200,583 | |||||||||
Zelis Healthcare Corp. FRS BTL-B coupon TBD due 09/25/2026 | 400,000 | 396,500 | |||||||||
597,083 | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Envision Healthcare Corp. FRS 1st Lien 5.79% (1 ML+ 3.75%) due 10/10/2025 | 684,825 | 557,847 | |||||||||
Syneos Health, Inc. FRS BTL-B 4.04% (1 ML+ 2.00%) due 08/01/2024 | 211,932 | 211,535 | |||||||||
769,382 | |||||||||||
Medical Products — 0.0% | |||||||||||
Agiliti Health, Inc. FRS BTL-B 5.13% (1 ML+ 3.00%) due 01/04/2026 | 124,375 | 124,064 | |||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Americas, Inc. FRS BTL 4.79% (1 ML+ 2.75%) due 11/27/2025 | 752,500 | 753,629 | |||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL-B 6.30% (1 ML+ 4.25%) due 04/29/2024 | 173,228 | 157,118 | |||||||||
Medical-Hospitals — 0.1% | |||||||||||
Surgery Center Holdings, Inc. FRS BTL 5.30% (1 ML+ 3.25%) due 09/02/2024 | 341,515 | 333,298 |
276
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Medical-Hospitals (continued) | |||||||||||
Universal Health Services, Inc. FRS BTL-B 3.79% (1 ML+ 1.75%) due 10/31/2025 | $ | 550,838 | $ | 553,247 | |||||||
886,545 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
CIRCOR International, Inc. FRS 1st Lien 5.54% (1 ML+ 3.50%) due 12/11/2024 | 252,403 | 252,640 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Delta 2 Lux SARL FRS BTL-B3 4.54% (1 ML+ 2.50%) due 02/01/2024 | 750,000 | 739,688 | |||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL 4.54% (1 ML+ 2.50%) due 03/01/2024 | 81,350 | 80,905 | |||||||||
Pipelines — 0.2% | |||||||||||
BCP Raptor II LLC FRS BTL 6.79% (1 ML+ 4.75%) due 11/03/2025 | 334,163 | 300,329 | |||||||||
BCP Renaissance Parent LLC FRS BTL-B 5.76% (3 ML+ 3.50%) due 10/31/2024 | 173,246 | 164,728 | |||||||||
Grizzly Acquisitions, Inc. FRS BTL-B 5.57% (3 ML+ 3.25%) due 10/01/2025 | 232,650 | 229,160 | |||||||||
Lower Cadence Holdings LLC FRS BTL-B 6.05% (1 ML+ 4.00%) due 05/22/2026 | 99,750 | 96,882 | |||||||||
Medallion Midland Acquisition LLC FRS BTL 5.29% (1 ML+ 3.25%) due 10/30/2024 | 148,489 | 143,910 | |||||||||
Traverse Midstream Partners LLC FRS BTL 6.05% (1 ML+ 4.00%) due 09/27/2024 | 99,000 | 86,872 | |||||||||
1,021,881 |
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
Private Equity — 0.0% | |||||||||||
Victory Capital Holdings, Inc. FRS BTL-B 5.97% (3 ML+ 3.25%) due 07/01/2026 | $ | 98,986 | $ | 99,358 | |||||||
Protection/Safety — 0.1% | |||||||||||
Verisure Holdings AB FRS BTL-B 3.50% (3 ME+ 3.50%) due 10/21/2022 | EUR | 340,000 | 371,973 | ||||||||
Publishing-Books — 0.0% | |||||||||||
Houghton Mifflin Harcourt Publishers, Inc. FRS BTL 5.04% (1 ML+ 3.00%) due 05/28/2021 | 99,481 | 96,310 | |||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc. FRS BTL-B 4.29% (1 ML+ 2.25%) due 10/15/2025 | 223,313 | 224,250 | |||||||||
Real Estate Investment Trusts — 0.0% | |||||||||||
VICI Properties 1 LLC FRS BTL 4.05% (1 ML+ 2.00%) due 12/20/2024 | 150,000 | 150,312 | |||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
United Rentals North America, Inc. FRS 3.79% (1 ML+ 1.75%) due 10/31/2025 | 1,376,100 | 1,381,834 | |||||||||
Research & Development — 0.0% | |||||||||||
PAREXEL International Corp. FRS BTL 4.79% (1 ML+ 2.75%) due 09/27/2024 | 208,541 | 197,749 | |||||||||
Retail-Auto Parts — 0.0% | |||||||||||
Harbor Freight Tools USA, Inc. FRS BTL 4.54% (1 ML+ 2.50%) due 08/18/2023 | 125,000 | 121,302 | |||||||||
Retail-Building Products — 0.0% | |||||||||||
Beacon Roofing Supply, Inc. FRS BTL-B 4.29% (1 ML+ 2.25%) due 01/02/2025 | 272,236 | 271,401 | |||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 7.12% (3 ML+ 5.00%) due 04/16/2026 | 199,500 | 196,383 |
277
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
IRB Holding Corp. FRS BTL-B 5.55% (3 ML+ 3.25%) due 02/05/2025 | $ | 292,035 | $ | 290,514 | |||||||
Restaurant Brands International FRS BTL-B3 4.29% (1 ML+ 2.25%) due 02/16/2024 | 287,349 | 288,008 | |||||||||
578,522 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Bass Pro Group LLC FRS BTL 7.04% (1 ML+ 5.00%) due 09/25/2024 | 732,525 | 704,368 | |||||||||
Semiconductor Equipment — 0.1% | |||||||||||
Cabot Microelectronics Corp. FRS BTL-B 4.31% (1 ML+ 2.25%) due 11/14/2025 | 408,865 | 410,057 | |||||||||
Entegris, Inc. FRS BTL-B 4.04% (1 ML+ 2.00%) due 11/06/2025 | 521,063 | 523,668 | |||||||||
933,725 | |||||||||||
Soap & Cleaning Preparation — 0.0% | |||||||||||
Diamond BC BV FRS BTL 5.26% (3 ML+ 3.00%) due 09/06/2024 | 197,985 | 188,333 | |||||||||
Telecom Services — 0.0% | |||||||||||
MTN Infrastructure TopCo, Inc. FRS BTL 5.04% (1 ML+ 3.00%) due 11/15/2024 | 173,678 | 171,724 | |||||||||
Telephone-Integrated — 0.0% | |||||||||||
CenturyLink, Inc. FRS BTL-B 4.79% (1 ML+ 2.75%) due 01/31/2025 | 198,485 | 196,955 | |||||||||
Television — 0.2% | |||||||||||
Gray Television, Inc. FRS BTL-C 4.83% (3 ML+ 2.50%) due 01/02/2026 | 650,088 | 652,177 | |||||||||
Ion Media Networks, Inc. FRS BTL-B 5.06% (1 ML+ 3.00%) due 12/18/2024 | 407,834 | 406,814 |
Security Description | Shares/ Principal Amount(6) | Value (Note 2) | |||||||||
Television (continued) | |||||||||||
Mission Broadcasting, Inc. FRS BTL-B3 4.35% (1 ML+ 2.25%) due 01/17/2024 | $ | 16,980 | $ | 16,980 | |||||||
1,075,971 | |||||||||||
Textile-Products — 0.1% | |||||||||||
ASP Unifrax Holdings, Inc. FRS BTL-B1 5.85% (1 ML+ 3.75%) due 12/12/2025 | 570,688 | 522,179 | |||||||||
Theaters — 0.1% | |||||||||||
Cineworld, Ltd. FRS BTL 4.29% (1 ML+ 2.25%) due 02/28/2025 | 616,230 | 612,225 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Savage Enterprises LLC FRS BTL 6.04% (1 ML+ 4.00%) due 08/01/2025 | 261,908 | 264,480 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
NVA Holdings, Inc. FRS BTL-B3 4.79% (1 ML+ 2.75%) due 02/02/2025 | 207,900 | 207,704 | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
Web.com Group, Inc. FRS BTL 5.78% (1 ML+ 3.75%) due 10/10/2025 | 358,927 | 352,197 | |||||||||
Total Loans (cost $33,580,138) | 33,315,260 | ||||||||||
COMMON STOCKS — 0.0% | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Quad/Graphics, Inc. | 56 | 589 | |||||||||
Television — 0.0% | |||||||||||
ION Media Networks, Inc.†(10)(11) | 233 | 62,332 | |||||||||
Total Common Stocks (cost $2) | 62,921 | ||||||||||
Total Long-Term Investment Securities (cost $735,308,752) | 729,245,022 | ||||||||||
REPURCHASE AGREEMENTS — 1.3% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(13) | 2,175,000 | 2,175,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(13) | 1,345,000 | 1,345,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(13) | 1,075,000 | 1,075,000 |
278
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Security Description | Principal Amount(6) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
Deutsche Bank AG Joint Repurchase Agreement(13) | $ | 2,060,000 | $ | 2,060,000 | |||||||
RBS Securities, Inc. Joint Repurchase Agreement(13) | 2,155,000 | 2,155,000 | |||||||||
Total Repurchase Agreements (cost $8,810,000) | 8,810,000 | ||||||||||
TOTAL INVESTMENTS (cost $744,118,752)(15) | 109.4 | % | 738,055,022 | ||||||||
Liabilities in excess of other assets | (9.4 | ) | (63,466,218 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 674,588,804 |
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2019, the aggregate value of these securities was $64,373,425 representing 9.5% of net assets.
† Non-income producing security
(1) Principal amount of security is adjusted for inflation.
(2) Collateralized Mortgage Obligation
(3) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(4) Collateralized Loan Obligation
(5) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2019.
(6) Denominated in United States dollars unless otherwise indicated.
(7) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(8) 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.
(9) 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.
(10) Securities classified as Level 3 (see Note 2).
(11) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may
not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 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 | $ | 62,332 | $ | 267.52 | 0.01 | % |
(12) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(13) See Note 2 for details of Joint Repurchase Agreements.
(14) All or a portion of this holding is subject to unfunded loan commitments (see Note 13).
(15) 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 and maturity date will be determined upon settlement date.
TBD — Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on the FRS and VRS are the current interest rates at September 30, 2019 and unless otherwise, the dates shown are the original maturity dates.
Index Legend |
1 ME — 1 Month Euribor
1 ML — 1 Month USD LIBOR
1 WL — 1 Week USD LIBOR
3 ME — 3 Month Euribor
3 ML — 3 Month USD LIBOR
279
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
65 | Long | Canadian 10 Year Bonds | December 2019 | $ | 6,965,765 | $ | 6,996,264 | $ | 30,499 | ||||||||||||||||||
35 | Long | U.S. Treasury Long Bonds | December 2019 | 5,614,845 | 5,680,937 | 66,092 | |||||||||||||||||||||
11 | Long | U.S. Treasury 10 Year Notes | December 2019 | 1,420,739 | 1,433,438 | 12,699 | |||||||||||||||||||||
38 | Short | U.S. Treasury 10 Year Ultra Notes | December 2019 | 5,426,368 | 5,411,438 | 14,930 | |||||||||||||||||||||
70 | Short | U.S. Treasury Ultra Bonds | December 2019 | 13,789,291 | 13,433,438 | 355,853 | |||||||||||||||||||||
$ | 480,073 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
91 | Short | U.S. Treasury 2 Year Notes | December 2019 | $ | 19,582,201 | $ | 19,610,500 | $ | (28,299 | ) | |||||||||||||||||
142 | Short | U.S. Treasury 5 Year Notes | December 2019 | 16,868,396 | 16,919,078 | (50,682 | ) | ||||||||||||||||||||
$ | (78,981 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 401,092 |
* 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 Montreal | CAD | 33,848,000 | USD | 25,532,711 | 10/31/2019 | $ | — | $ | (28,358 | ) | |||||||||||||||||||||
BNP Paribas SA | USD | 532,085 | EUR | 487,000 | 10/31/2019 | — | (119 | ) | |||||||||||||||||||||||
Citibank N.A. | EUR | 105,660,519 | USD | 116,558,873 | 10/31/2019 | 1,142,497 | — | ||||||||||||||||||||||||
Goldman Sachs International | AUD | 4,446,170 | USD | 3,005,042 | 10/31/2019 | 1,041 | — | ||||||||||||||||||||||||
HSBC Bank USA | GBP | 48,755,000 | USD | 60,760,431 | 10/31/2019 | 742,983 | — | ||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | NZD | 8,235,000 | USD | 5,170,477 | 10/31/2019 | 10,388 | — | ||||||||||||||||||||||||
Toronto Dominion Bank | JPY | 3,027,283,000 | USD | 28,234,049 | 10/31/2019 | 183,117 | — | ||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 2,080,026 | $ | (28,477 | ) |
AUD — Australian Dollar
CAD — Canadian Dollar
EUR — Euro Currency
GBP — Pound Sterling
JPY — Japanese Yen
NZD — New Zealand Dollar
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | — | $ | 231,373,973 | $ | — | $ | 231,373,973 | |||||||||||
Foreign Corporate Bonds & Notes | — | 3,492,395 | — | 3,492,395 | |||||||||||||||
U.S. Government Agencies | — | 85,776,897 | — | 85,776,897 | |||||||||||||||
U.S. Government Treasuries | — | 343,436,101 | — | 343,436,101 | |||||||||||||||
Asset Backed Securities | — | 31,787,475 | — | 31,787,475 | |||||||||||||||
Loans | — | 33,315,260 | — | 33,315,260 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Printing-Commercial | 589 | — | — | 589 | |||||||||||||||
Television | — | — | 62,332 | 62,332 | |||||||||||||||
Repurchase Agreements | — | 8,810,000 | — | 8,810,000 | |||||||||||||||
Total Investments at Value | $ | 589 | $ | 737,992,101 | $ | 62,332 | $ | 738,055,022 |
280
Seasons Series Trust SA Wellington Real Return Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
Level 1 — Unadjusted Quoted Prices | Level 2 — Other Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 480,073 | $ | — | $ | — | $ | 480,073 | |||||||||||
Forward Foreign Currency Contracts | — | 2,080,026 | — | 2,080,026 | |||||||||||||||
$ | 480,073 | $ | 2,080,026 | $ | — | $ | 2,560,099 | ||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 78,981 | $ | — | $ | — | $ | 78,981 | |||||||||||
Forward Foreign Currency Contracts | — | 28,477 | — | 28,477 | |||||||||||||||
Total Other Financial Instruments | $ | 78,981 | $ | 28,477 | $ | — | $ | 107,458 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
† Amounts 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
281
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 12.5 | % | |||||
Electric-Integrated | 5.4 | ||||||
Telephone-Integrated | 5.4 | ||||||
Oil Refining & Marketing | 4.4 | ||||||
Chemicals-Diversified | 4.1 | ||||||
Telecom Equipment-Fiber Optics | 3.7 | ||||||
Transport-Rail | 3.7 | ||||||
Medical-Drugs | 3.7 | ||||||
Semiconductor Components-Integrated Circuits | 3.4 | ||||||
Tobacco | 3.4 | ||||||
Pharmacy Services | 3.4 | ||||||
Medical Products | 3.3 | ||||||
Medical-HMO | 3.3 | ||||||
Insurance-Multi-line | 3.3 | ||||||
Banks-Super Regional | 3.2 | ||||||
Aerospace/Defense-Equipment | 3.0 | ||||||
Computer Software | 2.9 | ||||||
Food-Meat Products | 2.9 | ||||||
Instruments-Controls | 2.8 | ||||||
Gold Mining | 2.7 | ||||||
Oil-Field Services | 2.6 | ||||||
Semiconductor Equipment | 2.6 | ||||||
Metal-Copper | 2.5 | ||||||
Retail-Building Products | 2.5 | ||||||
Oil Companies-Integrated | 2.1 | ||||||
Retail-Catalog Shopping | 2.0 | ||||||
Pipelines | 1.9 | ||||||
Insurance-Life/Health | 1.9 | ||||||
Repurchase Agreements | 1.2 | ||||||
Diversified Minerals | 0.3 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
282
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.9% | |||||||||||
Aerospace/Defense-Equipment — 3.0% | |||||||||||
United Technologies Corp. | 63,000 | $ | 8,600,760 | ||||||||
Banks-Super Regional — 3.2% | |||||||||||
Wells Fargo & Co. | 185,000 | 9,331,400 | |||||||||
Chemicals-Diversified — 4.1% | |||||||||||
FMC Corp. | 135,000 | 11,836,800 | |||||||||
Computer Software — 2.9% | |||||||||||
Teradata Corp.† | 271,100 | 8,404,100 | |||||||||
Diversified Banking Institutions — 12.5% | |||||||||||
Bank of America Corp. | 325,000 | 9,480,250 | |||||||||
Citigroup, Inc. | 145,000 | 10,016,600 | |||||||||
JPMorgan Chase & Co. | 80,000 | 9,415,200 | |||||||||
Morgan Stanley | 167,500 | 7,147,225 | |||||||||
36,059,275 | |||||||||||
Diversified Minerals — 0.3% | |||||||||||
Livent Corp.† | 124,655 | 833,942 | |||||||||
Electric-Integrated — 5.4% | |||||||||||
AES Corp. | 425,000 | 6,944,500 | |||||||||
NextEra Energy, Inc. | 37,100 | 8,643,929 | |||||||||
15,588,429 | |||||||||||
Food-Meat Products — 2.9% | |||||||||||
Tyson Foods, Inc., Class A | 97,000 | 8,355,580 | |||||||||
Gold Mining — 2.7% | |||||||||||
Barrick Gold Corp. | 450,000 | 7,798,500 | |||||||||
Instruments-Controls — 2.8% | |||||||||||
Honeywell International, Inc. | 47,500 | 8,037,000 | |||||||||
Insurance-Life/Health — 1.9% | |||||||||||
Unum Group | 180,000 | 5,349,600 | |||||||||
Insurance-Multi-line — 3.3% | |||||||||||
MetLife, Inc. | 200,000 | 9,432,000 | |||||||||
Medical Products — 3.3% | |||||||||||
Baxter International, Inc. | 110,000 | 9,621,700 | |||||||||
Medical-Drugs — 3.7% | |||||||||||
Bristol-Myers Squibb Co. | 208,500 | 10,573,035 | |||||||||
Medical-HMO — 3.3% | |||||||||||
Humana, Inc. | 37,500 | 9,587,625 | |||||||||
Metal-Copper — 2.5% | |||||||||||
Freeport-McMoRan, Inc. | 750,000 | 7,177,500 | |||||||||
Oil Companies-Integrated — 2.1% | |||||||||||
Chevron Corp. | 50,904 | 6,037,214 | |||||||||
Oil Refining & Marketing — 4.4% | |||||||||||
Marathon Petroleum Corp. | 122,000 | 7,411,500 | |||||||||
Valero Energy Corp. | 59,800 | 5,097,352 | |||||||||
12,508,852 | |||||||||||
Oil-Field Services — 2.6% | |||||||||||
Halliburton Co. | 188,500 | 3,553,225 | |||||||||
TechnipFMC PLC | 162,100 | 3,913,094 | |||||||||
7,466,319 | |||||||||||
Pharmacy Services — 3.4% | |||||||||||
Cigna Corp. | 63,500 | 9,638,665 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Pipelines — 1.9% | |||||||||||
Williams Cos., Inc. | 231,500 | $ | 5,569,890 | ||||||||
Retail-Building Products — 2.5% | |||||||||||
Lowe's Cos., Inc. | 65,000 | 7,147,400 | |||||||||
Retail-Catalog Shopping — 2.0% | |||||||||||
Qurate Retail, Inc.† | 543,000 | 5,601,045 | |||||||||
Semiconductor Components-Integrated Circuits — 3.4% | |||||||||||
QUALCOMM, Inc. | 130,000 | 9,916,400 | |||||||||
Semiconductor Equipment — 2.6% | |||||||||||
Applied Materials, Inc. | 147,000 | 7,335,300 | |||||||||
Telecom Equipment-Fiber Optics — 3.7% | |||||||||||
Corning, Inc. | 375,800 | 10,717,816 | |||||||||
Telephone-Integrated — 5.4% | |||||||||||
Verizon Communications, Inc. | 257,000 | 15,512,520 | |||||||||
Tobacco — 3.4% | |||||||||||
Philip Morris International, Inc. | 129,600 | 9,840,528 | |||||||||
Transport-Rail — 3.7% | |||||||||||
CSX Corp. | 90,000 | 6,234,300 | |||||||||
Union Pacific Corp. | 27,100 | 4,389,658 | |||||||||
10,623,958 | |||||||||||
Total Long-Term Investment Securities (cost $234,560,617) | 284,503,153 | ||||||||||
REPURCHASE AGREEMENTS — 1.2% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.35% dated 09/30/2019, to be purchased 10/01/2019 in the amount of $3,453,034 and collateralized by $3,360,000 of United States Treasury Notes, bearing interest at 2.75% due 07/31/2023 and having an approximate value of $3,522,063 (cost $3,453,000) | $ | 3,453,000 | 3,453,000 | ||||||||
TOTAL INVESTMENTS (cost $238,013,617)(1) | 100.1 | % | 287,956,153 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (243,965 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 287,712,188 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
283
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 284,503,153 | $ | — | $ | — | $ | 284,503,153 | |||||||||||
Repurchase Agreements | — | 3,453,000 | — | 3,453,000 | |||||||||||||||
Total Investments at Value | $ | 284,503,153 | $ | 3,453,000 | $ | — | $ | 287,956,153 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
284
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 60.8 | % | |||||
Domestic Fixed Income Investment Companies | 20.2 | ||||||
International Equity Investment Companies | 19.1 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
285
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1% | |||||||||||
Domestic Equity Investment Companies — 60.8% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 980,891 | $ | 14,811,458 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,090,655 | 17,308,689 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 132,548 | 2,605,894 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 191,289 | 3,110,366 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 196,841 | 2,627,833 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 126,538 | 6,161,114 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 108,733 | 1,573,367 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 74,431 | 1,525,833 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 195,159 | 1,838,395 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1† | 171,128 | 2,743,178 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 249,784 | 9,371,880 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 139,448 | 2,716,456 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 301,585 | 5,232,499 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 575,067 | 13,818,870 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 304,827 | 5,023,555 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 180,286 | 3,849,114 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 565,436 | 7,774,751 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 262,517 | 2,924,437 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 310,799 | 7,372,151 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 495,704 | 5,383,341 | |||||||||
Total Domestic Equity Investment Companies (cost $113,147,311) | 117,773,181 | ||||||||||
Domestic Fixed Income Investment Companies — 20.2% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 289,484 | 4,585,430 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 481,421 | 5,902,219 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 497,408 | $ | 4,874,600 | ||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 35,907 | 387,792 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 244,645 | 3,434,814 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 917,961 | 9,904,794 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 145,266 | 1,504,958 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 718,505 | 6,811,431 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 305,306 | 1,761,613 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $37,376,189) | 39,167,651 | ||||||||||
International Equity Investment Companies — 19.1% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,431,577 | 13,070,301 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 165,022 | 2,227,802 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1† | 248,002 | 3,841,555 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 518,731 | 5,648,985 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 292,493 | 2,301,918 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 554,624 | 5,623,887 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 432,236 | 4,261,849 | |||||||||
Total International Equity Investment Companies (cost $37,346,607) | 36,976,297 | ||||||||||
TOTAL INVESTMENTS (cost $187,870,107)(2) | 100.1 | % | 193,917,129 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (112,617 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 193,804,512 |
# 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.
286
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 193,917,129 | $ | — | $ | — | $ | 193,917,129 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
287
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 49.9 | % | |||||
Domestic Fixed Income Investment Companies | 35.1 | ||||||
International Equity Investment Companies | 15.0 | ||||||
100.0 | % |
288
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 49.9% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,919,683 | $ | 28,987,220 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 2,148,903 | 34,103,083 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 232,162 | 4,564,298 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 375,770 | 6,110,024 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 364,029 | 4,859,792 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 240,550 | 11,712,389 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 225,256 | 3,259,456 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 185,348 | 3,799,624 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 406,536 | 3,829,567 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1† | 302,831 | 4,854,382 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 487,574 | 18,293,768 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 281,570 | 5,484,988 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 505,838 | 8,776,291 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 1,240,678 | 29,813,485 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 488,627 | 8,052,578 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 373,164 | 7,967,059 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 1,195,930 | 16,444,031 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 416,825 | 4,643,433 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 582,740 | 13,822,587 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 973,849 | 10,576,001 | |||||||||
Total Domestic Equity Investment Companies (cost $215,315,490) | 229,954,056 | ||||||||||
Domestic Fixed Income Investment Companies — 35.1% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 1,063,454 | 16,845,117 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,909,015 | 47,924,526 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,983,395 | 19,437,268 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 205,104 | $ | 2,215,119 | ||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 696,201 | 9,774,655 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 2,263,234 | 24,420,300 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 628,565 | 6,511,932 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,900,489 | 27,496,632 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,192,399 | 6,880,141 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $153,738,960) | 161,505,690 | ||||||||||
International Equity Investment Companies — 15.0% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 2,569,584 | 23,460,303 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 310,319 | 4,189,312 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1† | 500,465 | 7,752,202 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 927,317 | 10,098,483 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 579,817 | 4,563,157 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 1,245,797 | 12,632,386 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 652,880 | 6,437,392 | |||||||||
Total International Equity Investment Companies (cost $68,028,648) | 69,133,235 | ||||||||||
TOTAL INVESTMENTS (cost $437,083,098)(2) | 100.0 | % | 460,592,981 | ||||||||
Liabilities in excess of other assets | 0.0 | (212,693 | ) | ||||||||
NET ASSETS | 100.0 | % | $ | 460,380,288 |
# 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.
289
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 460,592,981 | $ | — | $ | — | $ | 460,592,981 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
290
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 45.3 | % | |||||
Domestic Equity Investment Companies | 44.0 | ||||||
International Equity Investment Companies | 10.8 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
291
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1% | |||||||||||
Domestic Equity Investment Companies — 44.0% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,246,825 | $ | 18,827,058 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,214,796 | 19,278,809 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 151,431 | 2,977,138 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 224,745 | 3,654,351 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 202,954 | 2,709,430 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 139,414 | 6,788,057 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 133,345 | 1,929,507 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 55,358 | 1,134,848 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 157,819 | 1,486,650 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1† | 140,303 | 2,249,055 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 271,152 | 10,173,610 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 146,011 | 2,844,290 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 268,817 | 4,663,977 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 625,603 | 15,033,244 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 250,081 | 4,121,341 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 275,617 | 5,884,415 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 639,600 | 8,794,498 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 193,285 | 2,153,190 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 341,620 | 8,103,238 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 618,820 | 6,720,387 | |||||||||
Total Domestic Equity Investment Companies (cost $121,631,331) | 129,527,093 | ||||||||||
Domestic Fixed Income Investment Companies — 45.3% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 878,623 | 13,917,392 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,215,305 | 39,419,644 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies (continued) | |||||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,590,270 | $ | 15,584,642 | ||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 139,750 | 1,509,304 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 572,181 | 8,033,425 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,876,220 | 20,244,410 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 730,093 | 7,563,760 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,258,427 | 21,409,891 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 965,772 | 5,572,502 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $127,078,536) | 133,254,970 | ||||||||||
International Equity Investment Companies — 10.8% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,355,111 | 12,372,163 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 177,523 | 2,396,562 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1† | 300,693 | 4,657,735 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 156,314 | 1,702,254 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 279,300 | 2,198,088 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 575,013 | 5,830,632 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 278,983 | 2,750,773 | |||||||||
Total International Equity Investment Companies (cost $31,442,497) | 31,908,207 | ||||||||||
TOTAL INVESTMENTS (cost $280,152,364)(2) | 100.1 | % | 294,690,270 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (151,651 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 294,538,619 |
# 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.
† 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 Moderate Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 294,690,270 | $ | — | $ | — | $ | 294,690,270 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
293
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO PROFILE — September 30, 2019 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 60.0 | % | |||||
Domestic Equity Investment Companies | 32.2 | ||||||
International Equity Investment Companies | 7.9 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
294
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1% | |||||||||||
Domestic Equity Investment Companies — 32.2% | |||||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 613,590 | $ | 9,265,206 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 623,880 | 9,900,981 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 86,857 | 1,707,613 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 120,314 | 1,956,307 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 114,492 | 1,528,465 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 80,434 | 3,916,329 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 70,323 | 1,017,575 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 33,206 | 680,716 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 123,033 | 1,158,975 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | 75,807 | 1,215,184 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 147,635 | 5,539,272 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 83,267 | 1,622,040 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 204,075 | 3,540,696 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 325,263 | 7,816,078 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 213,409 | 3,516,982 | |||||||||
SunAmerica Series Trust SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 132,011 | 2,818,442 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 364,715 | 5,014,834 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 102,181 | 1,138,300 | |||||||||
SunAmerica Series Trust SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 185,723 | 4,405,361 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 355,449 | 3,860,177 | |||||||||
Total Domestic Equity Investment Companies (cost $67,680,163) | 71,619,533 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies — 60.0% | |||||||||||
Anchor Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 838,459 | $ | 13,281,188 | ||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,442,153 | 42,200,798 | |||||||||
Seasons Series Trust SA Wellington Real Return Portfolio, Class 1 | 1,613,879 | 15,816,018 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 151,187 | 1,632,822 | |||||||||
SunAmerica Series Trust SA Federated Corporate Bond Portfolio, Class 1 | 643,110 | 9,029,268 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,845,657 | 19,914,638 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 583,037 | 6,040,260 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,158,889 | 20,466,270 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 884,233 | 5,102,023 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $127,334,811) | 133,483,285 | ||||||||||
International Equity Investment Companies — 7.9% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 604,037 | 5,514,860 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 104,443 | 1,409,975 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1† | 180,360 | 2,793,772 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 135,712 | 1,477,908 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 140,890 | 1,108,805 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 356,631 | 3,616,241 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 178,682 | 1,761,808 | |||||||||
Total International Equity Investment Companies (cost $17,600,425) | 17,683,369 | ||||||||||
TOTAL INVESTMENTS (cost $212,615,399)(2) | 100.1 | % | 222,786,187 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (124,789 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 222,661,398 |
295
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2019 (unaudited) (continued)
# 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.
The following is a summary of the inputs used to value the Portfolio's net assets as of September 30, 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 | $ | 222,786,187 | $ | — | $ | — | $ | 222,786,187 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
296
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
September 30, 2019 (unaudited)
SA Multi- Managed Growth Portfolio | SA Multi- Managed Moderate Growth Portfolio | SA Multi- Managed Income/ Equity Portfolio | SA Multi- Managed Income Portfolio | SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 50,011,968 | $ | 86,900,973 | $ | 64,679,233 | $ | 53,732,376 | $ | 170,068,879 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 115,000 | 955,000 | 745,000 | 855,000 | 3,041,000 | ||||||||||||||||||
Cash | 274,786 | 314,905 | 5,535 | 4,702 | — | ||||||||||||||||||
Foreign cash* | 82 | 30 | — | — | 137,928 | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | 53,245 | 146,972 | 101,253 | 61,188 | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 911 | 1,211 | 24,721 | 29,212 | 487,391 | ||||||||||||||||||
Dividends and interest | 85,679 | 206,216 | 214,668 | 213,966 | 466,498 | ||||||||||||||||||
Investments sold | 464,643 | 626,197 | 393,883 | 198,979 | 111,852 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | 415,516 | 415,516 | 19,175 | ||||||||||||||||||
Receipts on swap contracts | 95 | 248 | 288 | 213 | 17,305 | ||||||||||||||||||
Prepaid expenses and other assets | 6,472 | 6,847 | 5,845 | 5,784 | 6,314 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 2,727 | 3,242 | 1,824 | 1,075 | 21,048 | ||||||||||||||||||
Variation margin on futures contracts | 1,026 | 2,524 | 1,766 | 2,718 | 53,967 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 973 | 6,140 | 6,554 | 4,697 | 5,290 | ||||||||||||||||||
Swap premiums paid | — | — | — | 7,532 | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | 220,731 | ||||||||||||||||||
Total assets | 51,017,607 | 89,170,505 | 66,596,086 | 55,532,958 | 174,657,378 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 23,453 | 19,468 | 11,516 | 10,973 | 86,336 | ||||||||||||||||||
Investments purchased | 427,789 | 969,741 | 600,085 | 499,901 | 124,693 | ||||||||||||||||||
Investments purchased on an extended settlement basis | 3,323,969 | 9,791,652 | 10,483,188 | 11,352,494 | 2,087,249 | ||||||||||||||||||
Payments on swap contracts | 1,003 | 2,623 | 3,048 | 2,276 | 10,885 | ||||||||||||||||||
Investment advisory and management fees | 34,673 | 55,105 | 36,934 | 27,595 | 119,274 | ||||||||||||||||||
Service fees — Class 2 | 2,101 | 4,764 | 3,710 | 2,968 | 6,122 | ||||||||||||||||||
Service fees — Class 3 | 4,353 | 6,442 | 3,601 | 2,956 | 21,889 | ||||||||||||||||||
Transfer agent fees and expenses | 100 | 100 | 100 | 125 | 526 | ||||||||||||||||||
Trustees' fees and expenses | 308 | 504 | 348 | 276 | 1,033 | ||||||||||||||||||
Other accrued expenses | 146,821 | 160,841 | 133,188 | 132,857 | 234,360 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | 8,740 | ||||||||||||||||||
Variation margin on futures contracts | 413 | 1,269 | 1,697 | 1,253 | 17,651 | ||||||||||||||||||
Due to custodian | — | — | — | — | 76,801 | ||||||||||||||||||
Due to custodian for foreign cash | — | — | 23 | 42 | — | ||||||||||||||||||
Due to broker | — | — | — | — | 60,345 | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 1,229 | — | 70,886 | ||||||||||||||||||
Swap premiums received | 2,746 | 7,181 | 8,343 | 6,231 | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | 29,405 | 76,975 | 89,563 | 64,744 | 249,369 | ||||||||||||||||||
Commitments (Note 13) | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 3,997,134 | 11,096,665 | 11,376,573 | 12,104,691 | 3,176,159 | ||||||||||||||||||
NET ASSETS | $ | 47,020,473 | $ | 78,073,840 | $ | 55,219,513 | $ | 43,428,267 | $ | 171,481,219 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 47,131,660 | $ | 82,296,808 | $ | 62,454,161 | $ | 51,964,293 | $ | 156,071,521 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | — | ||||||||||||||
Foreign cash | $ | 94 | $ | 21 | $ | (32 | ) | $ | (42 | ) | $ | 138,091 |
See Notes to Financial Statements
297
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
SA Multi- Managed Growth Portfolio | SA Multi- Managed Moderate Growth Portfolio | SA Multi- Managed Income/ Equity Portfolio | SA Multi- Managed Income Portfolio | SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 33,598,639 | $ | 59,356,777 | $ | 45,352,569 | $ | 37,704,935 | $ | 149,779,005 | |||||||||||||
Total accumulated earnings (loss) | 13,421,834 | 18,717,063 | 9,866,944 | 5,723,332 | 21,702,214 | ||||||||||||||||||
NET ASSETS | $ | 47,020,473 | $ | 78,073,840 | $ | 55,219,513 | $ | 43,428,267 | $ | 171,481,219 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 9,105,070 | $ | 8,834,487 | $ | 7,812,320 | $ | 5,078,513 | $ | 14,486,572 | |||||||||||||
Shares of beneficial interest issued and outstanding | 536,013 | 673,743 | 666,295 | 436,518 | 1,203,162 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.99 | $ | 13.11 | $ | 11.73 | $ | 11.63 | $ | 12.04 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 16,901,711 | $ | 38,368,517 | $ | 29,925,177 | $ | 24,005,018 | $ | 49,532,862 | |||||||||||||
Shares of beneficial interest issued and outstanding | 996,352 | 2,932,574 | 2,557,270 | 2,067,409 | 4,116,240 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.96 | $ | 13.08 | $ | 11.70 | $ | 11.61 | $ | 12.03 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 21,013,692 | $ | 30,870,836 | $ | 17,482,016 | $ | 14,344,736 | $ | 107,461,785 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,241,818 | 2,363,181 | 1,493,761 | 1,236,050 | 8,961,144 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.92 | $ | 13.06 | $ | 11.70 | $ | 11.61 | $ | 11.99 |
See Notes to Financial Statements
298
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
SA T. Rowe Price Growth Stock Portfolio | SA Multi- Managed Large Cap Growth Portfolio | SA Multi- Managed Large Cap Value Portfolio | SA Multi- Managed Mid Cap Growth Portfolio | SA Multi- Managed Mid Cap Value Portfolio | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 390,052,859 | $ | 491,032,830 | $ | 719,170,881 | $ | 219,299,501 | $ | 226,608,000 | |||||||||||||
Investments at value (affiliated)* | — | — | 1,040,030 | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | — | 802,000 | 2,718,000 | 1,304,000 | 419,000 | ||||||||||||||||||
Cash | — | 532,949 | 7,428,389 | 14,349 | 5,208 | ||||||||||||||||||
Foreign cash* | — | — | 2 | 1 | 26,633 | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | 11 | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 17,215 | 22,319 | 12,529 | 64,025 | 5,355 | ||||||||||||||||||
Dividends and interest | 108,101 | 238,642 | 950,859 | 63,387 | 430,863 | ||||||||||||||||||
Investments sold | 531,297 | 2,864,941 | 11,736,667 | 44,058 | 222,674 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,989 | 6,846 | 7,185 | 5,897 | 5,874 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 30,652 | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | 10,800 | 7,000 | 2,660 | 5,320 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 221,573 | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 390,715,461 | 495,541,979 | 743,293,115 | 220,797,878 | 227,728,938 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 216,277 | 416,738 | 764,397 | 171,434 | 211,076 | ||||||||||||||||||
Investments purchased | 280,321 | 2,901,119 | 11,180,484 | 167,827 | 105,338 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | 5,368 | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 271,087 | 316,569 | 448,951 | 156,707 | 158,255 | ||||||||||||||||||
Service fees — Class 2 | 4,876 | 3,932 | 2,899 | 2,721 | 2,649 | ||||||||||||||||||
Service fees — Class 3 | 6,667 | 3,525 | 2,563 | 2,976 | 2,818 | ||||||||||||||||||
Transfer agent fees and expenses | 459 | 301 | 276 | 376 | 376 | ||||||||||||||||||
Trustees' fees and expenses | 2,520 | 3,114 | 4,662 | 1,404 | 1,456 | ||||||||||||||||||
Other accrued expenses | 141,255 | 168,891 | 221,971 | 156,190 | 172,662 | ||||||||||||||||||
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 | 5 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 2,406 | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Commitments (Note 13) | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 923,462 | 3,814,218 | 12,628,640 | 659,640 | 659,998 | ||||||||||||||||||
NET ASSETS | $ | 389,791,999 | $ | 491,727,761 | $ | 730,664,475 | $ | 220,138,238 | $ | 227,068,940 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 278,794,766 | $ | 393,664,501 | $ | 629,803,006 | $ | 170,947,889 | $ | 206,100,072 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | 1,051,239 | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | — | $ | 2 | $ | 1 | $ | 26,726 |
See Notes to Financial Statements
299
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
SA T. Rowe Price Growth Stock Portfolio | SA Multi- Managed Large Cap Growth Portfolio | SA Multi- Managed Large Cap Value Portfolio | SA Multi- Managed Mid Cap Growth Portfolio | SA Multi- Managed Mid Cap Value Portfolio | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 234,906,681 | $ | 287,939,601 | $ | 584,296,191 | $ | 133,581,372 | $ | 188,266,532 | |||||||||||||
Total accumulated earnings (loss) | 154,885,318 | 203,788,160 | 146,368,284 | 86,556,866 | 38,802,408 | ||||||||||||||||||
NET ASSETS | $ | 389,791,999 | $ | 491,727,761 | $ | 730,664,475 | $ | 220,138,238 | $ | 227,068,940 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 318,872,804 | $ | 443,220,553 | $ | 694,679,164 | $ | 184,203,813 | $ | 191,857,397 | |||||||||||||
Shares of beneficial interest issued and outstanding | 13,713,936 | 29,350,997 | 43,762,907 | 9,368,805 | 11,796,675 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 23.25 | $ | 15.10 | $ | 15.87 | $ | 19.66 | $ | 16.26 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 39,007,163 | $ | 31,508,970 | $ | 23,519,802 | $ | 21,681,445 | $ | 21,464,982 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,744,876 | 2,138,237 | 1,484,298 | 1,162,146 | 1,324,717 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 22.36 | $ | 14.74 | $ | 15.85 | $ | 18.66 | $ | 16.20 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 31,912,032 | $ | 16,998,238 | $ | 12,465,509 | $ | 14,252,980 | $ | 13,746,561 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,462,933 | 1,167,892 | 787,195 | 787,715 | 850,471 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.81 | $ | 14.55 | $ | 15.84 | $ | 18.09 | $ | 16.16 |
See Notes to Financial Statements
300
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
SA Multi- Managed Small Cap Portfolio | SA Multi- Managed International Equity Portfolio | SA Multi- Managed Diversified Fixed Income Portfolio | SA Wellington Real Return Portfolio | SA Columbia Focused Value Portfolio | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 249,648,281 | $ | 344,953,229 | $ | 1,143,967,327 | $ | 729,245,022 | $ | 284,503,153 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 1,040,000 | 5,932,000 | 11,565,000 | 8,810,000 | 3,453,000 | ||||||||||||||||||
Cash | 2,605,012 | 767,971 | 57,261 | 38,235 | 382 | ||||||||||||||||||
Foreign cash* | — | 411,352 | 5,388 | 8,317 | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | 214,025 | 15 | 2,426,360 | 6,567 | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 20,378 | 95,695 | 4,320 | 13,335 | 3,281 | ||||||||||||||||||
Dividends and interest | 166,467 | 2,532,380 | 6,015,762 | 1,704,100 | 278,634 | ||||||||||||||||||
Investments sold | 258,264 | 240,694 | 5,172,970 | 104,824 | — | ||||||||||||||||||
Investments sold on an extended settlement basis | 474,267 | — | 3,407,099 | 396,430 | — | ||||||||||||||||||
Receipts on swap contracts | — | — | 153,323 | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 11,041 | 6,308 | 8,271 | 6,227 | 11,180 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 11,597 | — | 27,882 | 76,411 | ||||||||||||||||||
Variation margin on futures contracts | 2,295 | 26,400 | 48,352 | 10,688 | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 66,610 | 2,080,026 | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 254,440,030 | 354,977,641 | 1,172,898,043 | 742,451,653 | 288,326,041 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 239,480 | 282,150 | 858,042 | 1,422,701 | 258,104 | ||||||||||||||||||
Investments purchased | 770,501 | 628,717 | 2,977,478 | — | — | ||||||||||||||||||
Investments purchased on an extended settlement basis | 108,832 | 16,370 | 184,902,887 | 65,699,850 | — | ||||||||||||||||||
Payments on swap contracts | — | — | 351,098 | — | — | ||||||||||||||||||
Investment advisory and management fees | 177,593 | 271,172 | 507,066 | 327,195 | 234,735 | ||||||||||||||||||
Service fees — Class 2 | 1,829 | 2,140 | 2,456 | — | 1,626 | ||||||||||||||||||
Service fees — Class 3 | 2,081 | 2,632 | 2,544 | 78,297 | 1,816 | ||||||||||||||||||
Transfer agent fees and expenses | 276 | 351 | 326 | 401 | 175 | ||||||||||||||||||
Trustees' fees and expenses | 1,656 | 2,798 | 5,907 | 4,435 | 1,883 | ||||||||||||||||||
Other accrued expenses | 163,211 | 404,273 | 392,612 | 264,577 | 115,514 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | 14,481 | 24,972 | — | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 1,127 | 28,477 | — | ||||||||||||||||||
Swap premiums received | — | — | 145,527 | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | 2,076,018 | — | — | ||||||||||||||||||
Commitments (Note 13) | — | — | — | 11,944 | — | ||||||||||||||||||
Total liabilities | 1,465,459 | 1,610,603 | 192,237,569 | 67,862,849 | 613,853 | ||||||||||||||||||
NET ASSETS | $ | 252,974,571 | $ | 353,367,038 | $ | 980,660,474 | $ | 674,588,804 | $ | 287,712,188 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 209,557,730 | $ | 325,919,692 | $ | 1,103,386,145 | $ | 735,308,752 | $ | 234,560,617 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | 411,844 | $ | 5,310 | $ | 8,337 | $ | — |
See Notes to Financial Statements
301
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
SA Multi- Managed Small Cap Portfolio | SA Multi- Managed International Equity Portfolio | SA Multi- Managed Diversified Fixed Income Portfolio | SA Wellington Real Return Portfolio | SA Columbia Focused Value Portfolio | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 190,161,053 | $ | 287,899,777 | $ | 905,580,330 | $ | 681,586,843 | $ | 223,468,784 | |||||||||||||
Total accumulated earnings (loss) | 62,813,518 | 65,467,261 | 75,080,144 | (6,998,039 | ) | 64,243,404 | |||||||||||||||||
NET ASSETS | $ | 252,974,571 | $ | 353,367,038 | $ | 980,660,474 | $ | 674,588,804 | $ | 287,712,188 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 228,123,394 | $ | 323,030,774 | $ | 948,449,853 | $ | 295,310,144 | $ | 265,667,038 | |||||||||||||
Shares of beneficial interest issued and outstanding | 17,084,568 | 35,394,578 | 77,356,243 | 30,122,364 | 14,740,592 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.35 | $ | 9.13 | $ | 12.26 | $ | 9.80 | $ | 18.02 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 14,759,348 | $ | 17,443,199 | $ | 19,867,193 | $ | — | $ | 13,209,313 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,137,736 | 1,908,818 | 1,622,750 | — | 731,005 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 12.97 | $ | 9.14 | $ | 12.24 | $ | — | $ | 18.07 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 10,091,829 | $ | 12,893,065 | $ | 12,343,428 | $ | 379,278,660 | $ | 8,835,837 | |||||||||||||
Shares of beneficial interest issued and outstanding | 792,642 | 1,415,861 | 1,013,861 | 38,984,679 | 488,710 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 12.73 | $ | 9.11 | $ | 12.17 | $ | 9.73 | $ | 18.08 |
See Notes to Financial Statements
302
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
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)* | 193,917,129 | 460,592,981 | 294,690,270 | 222,786,187 | |||||||||||||||
Repurchase agreements (cost approximates value) | — | — | — | — | |||||||||||||||
Cash | — | — | — | — | |||||||||||||||
Foreign cash* | — | — | — | — | |||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | |||||||||||||||
Due from broker | — | — | — | — | |||||||||||||||
Receivable for: | |||||||||||||||||||
Fund shares sold | 161,705 | 111,326 | 67 | 33,734 | |||||||||||||||
Dividends and interest | — | — | — | — | |||||||||||||||
Investments sold | — | 440,848 | 313,825 | 256,646 | |||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | |||||||||||||||
Receipts on swap contracts | — | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 5,789 | 6,043 | 5,912 | 5,853 | |||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 1,576 | 3,781 | 2,426 | 1,832 | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | |||||||||||||||
Swap premiums paid | — | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | |||||||||||||||
Total assets | 194,086,199 | 461,154,979 | 295,012,500 | 223,084,252 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||
Payable for: | |||||||||||||||||||
Fund shares redeemed | 17,688 | 552,160 | 313,883 | 290,373 | |||||||||||||||
Investments purchased | 144,011 | — | — | — | |||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | |||||||||||||||
Payments on swap contracts | — | — | — | — | |||||||||||||||
Investment advisory and management fees | 15,762 | 37,807 | 24,268 | 18,317 | |||||||||||||||
Service fees — Class 2 | — | — | — | — | |||||||||||||||
Service fees — Class 3 | 39,373 | 94,400 | 60,625 | 45,763 | |||||||||||||||
Transfer agent fees and expenses | 175 | 200 | 200 | 200 | |||||||||||||||
Trustees' fees and expenses | 1,008 | 2,884 | 1,833 | 1,338 | |||||||||||||||
Other accrued expenses | 63,670 | 87,240 | 73,072 | 66,863 | |||||||||||||||
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 | — | — | — | — | |||||||||||||||
Commitments (Note 13) | — | — | — | — | |||||||||||||||
Total liabilities | 281,687 | 774,691 | 473,881 | 422,854 | |||||||||||||||
NET ASSETS | $ | 193,804,512 | $ | 460,380,288 | $ | 294,538,619 | $ | 222,661,398 | |||||||||||
* Cost | |||||||||||||||||||
Investments (unaffiliated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Investments (affiliated) | $ | 187,870,107 | $ | 437,083,098 | $ | 280,152,364 | $ | 212,615,399 | |||||||||||
Foreign cash | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
303
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
September 30, 2019 (unaudited)
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||
Capital paid-in | $ | 182,834,021 | $ | 423,512,505 | $ | 273,856,229 | $ | 210,908,229 | |||||||||||
Total accumulated earnings (loss) | 10,970,491 | 36,867,783 | 20,682,390 | 11,753,169 | |||||||||||||||
NET ASSETS | $ | 193,804,512 | $ | 460,380,288 | $ | 294,538,619 | $ | 222,661,398 | |||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||
Net assets | $ | 154,119 | $ | 572,391 | $ | 221,875 | $ | 143,504 | |||||||||||
Shares of beneficial interest issued and outstanding | 11,146 | 54,408 | 20,809 | 14,190 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.83 | $ | 10.52 | $ | 10.66 | $ | 10.11 | |||||||||||
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 | $ | 193,650,393 | $ | 459,807,897 | $ | 294,316,744 | $ | 222,517,894 | |||||||||||
Shares of beneficial interest issued and outstanding | 14,047,633 | 43,760,508 | 27,645,793 | 22,027,856 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.79 | $ | 10.51 | $ | 10.65 | $ | 10.10 |
See Notes to Financial Statements
304
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
For the Six Months Ended September 30, 2019 (unaudited)
SA Multi- Managed Growth Portfolio | SA Multi- Managed Moderate Growth Portfolio | SA Multi- Managed Income/ Equity Portfolio | SA Multi- Managed Income Portfolio | SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 133,288 | $ | 184,112 | $ | 44,540 | $ | 18,184 | $ | 1,736,253 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 221,535 | 585,927 | 664,248 | 660,444 | 925,200 | ||||||||||||||||||
Total investment income* | 354,823 | 770,039 | 708,788 | 678,628 | 2,661,453 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 216,678 | 342,927 | 228,010 | 171,112 | 719,718 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 13,229 | 29,520 | 22,937 | 18,554 | 37,851 | ||||||||||||||||||
Class 3 | 27,133 | 40,260 | 22,123 | 18,148 | 130,179 | ||||||||||||||||||
Transfer agent fees and expenses | 305 | 305 | 305 | 382 | 1,602 | ||||||||||||||||||
Custodian and accounting fees | 43,758 | 51,109 | 40,241 | 40,440 | 82,673 | ||||||||||||||||||
Reports to shareholders | 2,850 | 4,754 | 3,396 | 2,614 | 9,188 | ||||||||||||||||||
Audit and tax fees | 41,505 | 41,505 | 38,482 | 38,482 | 45,041 | ||||||||||||||||||
Legal fees | 12,290 | 14,139 | 13,146 | 12,982 | 10,778 | ||||||||||||||||||
Trustees' fees and expenses | 592 | 969 | 667 | 534 | 2,077 | ||||||||||||||||||
Interest expense | 403 | 491 | 162 | 58 | — | ||||||||||||||||||
Other expenses | 13,555 | 13,669 | 9,547 | 9,497 | 14,584 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 372,298 | 539,648 | 379,016 | 312,803 | 1,053,691 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (15,814 | ) | (18,834 | ) | (10,797 | ) | (6,301 | ) | (127,009 | ) | |||||||||||||
Fees paid indirectly (Note 5) | (593 | ) | (881 | ) | (53 | ) | (23 | ) | (138 | ) | |||||||||||||
Net expenses | 355,891 | 519,933 | 368,166 | 306,479 | 926,544 | ||||||||||||||||||
Net investment income (loss) | (1,068 | ) | 250,106 | 340,622 | 372,149 | 1,734,909 | |||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 6,074,475 | 7,595,425 | 4,309,976 | 2,134,535 | (379,810 | ) | |||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (22,139 | ) | (70,697 | ) | (27,869 | ) | (119,676 | ) | (651,512 | ) | |||||||||||||
Forward contracts | 6,736 | 29,900 | 35,559 | 28,596 | (98,251 | ) | |||||||||||||||||
Swap contracts | (17,443 | ) | (42,776 | ) | (48,182 | ) | (48,600 | ) | 188,462 | ||||||||||||||
Written options contracts | — | — | — | — | 7,327 | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | (1,743 | ) | (3,961 | ) | (3,927 | ) | (2,870 | ) | (6,321 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 6,039,886 | 7,507,891 | 4,265,557 | 1,991,985 | (940,105 | ) | |||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (4,211,669 | ) | (4,529,956 | ) | (1,725,623 | ) | (80,985 | ) | 3,689,832 | ||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (2,410 | ) | (16,697 | ) | (20,402 | ) | 14,717 | (58,549 | ) | ||||||||||||||
Forward contracts | (1,433 | ) | (3,294 | ) | (6,186 | ) | (5,872 | ) | (45,065 | ) | |||||||||||||
Swap contracts | (27,066 | ) | (71,759 | ) | (84,108 | ) | (73,177 | ) | (29,562 | ) | |||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | (195 | ) | (433 | ) | (272 | ) | (472 | ) | (184 | ) | |||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | (4,778 | ) | |||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (4,242,773 | ) | (4,622,139 | ) | (1,836,591 | ) | (145,789 | ) | 3,551,694 | ||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 1,797,113 | 2,885,752 | 2,428,966 | 1,846,196 | 2,611,589 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,796,045 | $ | 3,135,858 | $ | 2,769,588 | $ | 2,218,345 | $ | 4,346,498 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 1,257 | $ | 2,554 | $ | 2,459 | $ | 2,235 | $ | 61,154 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
305
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Six Months Ended September 30, 2019 (unaudited)
SA T. Rowe Price Growth Stock Portfolio | SA Multi- Managed Large Cap Growth Portfolio | SA Multi- Managed Large Cap Value Portfolio | SA Multi- Managed Mid Cap Growth Portfolio | SA Multi- Managed Mid Cap Value Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 1,536,118 | $ | 2,500,932 | $ | 9,708,549 | $ | 780,524 | $ | 2,530,302 | |||||||||||||
Dividends (affiliated) | — | — | 11,973 | — | — | ||||||||||||||||||
Interest (unaffiliated) | 31,519 | 51,528 | 34,547 | 37,654 | 60,879 | ||||||||||||||||||
Total investment income* | 1,567,637 | 2,552,460 | 9,755,069 | 818,178 | 2,591,181 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 1,674,627 | 1,947,149 | 2,760,186 | 971,174 | 974,198 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 30,275 | 24,217 | 17,741 | 16,908 | 16,297 | ||||||||||||||||||
Class 3 | 41,274 | 21,988 | 15,965 | 18,607 | 17,456 | ||||||||||||||||||
Transfer agent fees and expenses | 1,408 | 916 | 839 | 1,145 | 1,145 | ||||||||||||||||||
Custodian and accounting fees | 33,536 | 40,525 | 56,518 | 26,740 | 34,775 | ||||||||||||||||||
Reports to shareholders | 21,307 | 29,905 | 37,699 | 12,484 | 11,613 | ||||||||||||||||||
Audit and tax fees | 29,738 | 32,739 | 32,002 | 32,768 | 33,549 | ||||||||||||||||||
Legal fees | 12,935 | 23,553 | 18,188 | 10,580 | 10,300 | ||||||||||||||||||
Trustees' fees and expenses | 4,919 | 5,991 | 8,980 | 2,746 | 2,794 | ||||||||||||||||||
Interest expense | — | 1,238 | 1,425 | — | — | ||||||||||||||||||
Other expenses | 10,395 | 14,508 | 16,422 | 30,655 | 31,629 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 1,860,414 | 2,142,729 | 2,965,965 | 1,123,807 | 1,133,756 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | (181,402 | ) | — | — | — | |||||||||||||||||
Fees paid indirectly (Note 5) | — | (515 | ) | (948 | ) | (41 | ) | — | |||||||||||||||
Net expenses | 1,860,414 | 1,960,812 | 2,965,017 | 1,123,766 | 1,133,756 | ||||||||||||||||||
Net investment income (loss) | (292,777 | ) | 591,648 | 6,790,052 | (305,588 | ) | 1,457,425 | ||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 10,971,656 | 45,602,676 | 2,834,379 | 16,410,201 | 4,933,028 | ||||||||||||||||||
Investments (affiliated) | — | — | (2,991 | ) | — | — | |||||||||||||||||
Futures contracts | — | 125,320 | 71,870 | 12,535 | 25,069 | ||||||||||||||||||
Forward contracts | — | — | 536,926 | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | 1,751 | (4,113 | ) | (3,272 | ) | 345 | 420 | ||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 10,973,407 | 45,723,883 | 3,436,912 | 16,423,081 | 4,958,517 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (822,318 | ) | (21,112,779 | ) | 31,819,193 | (7,953,385 | ) | 1,652,171 | |||||||||||||||
Investments (affiliated) | — | — | 243,606 | — | — | ||||||||||||||||||
Futures contracts | — | (54,700 | ) | (16,800 | ) | (6,434 | ) | (12,869 | ) | ||||||||||||||
Forward contracts | — | — | 72,089 | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | 1 | 2 | (326 | ) | (99 | ) | (186 | ) | |||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (822,317 | ) | (21,167,477 | ) | 32,117,762 | (7,959,918 | ) | 1,639,116 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 10,151,090 | 24,556,406 | 35,554,674 | 8,463,163 | 6,597,633 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 9,858,313 | $ | 25,148,054 | $ | 42,344,726 | $ | 8,157,575 | $ | 8,055,058 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 13,065 | $ | 4,835 | $ | 85,384 | $ | 1,192 | $ | 12,340 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
306
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Six Months Ended September 30, 2019 (unaudited)
SA Multi- Managed Small Cap Portfolio | SA Multi- Managed International Equity Portfolio | SA Multi- Managed Diversified Fixed Income Portfolio | SA Wellington Real Return Portfolio | SA Columbia Focused Value Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 1,543,422 | $ | 7,392,932 | $ | 11,783 | $ | 78,008 | $ | 3,666,912 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 36,505 | 16,179 | 15,947,476 | 13,835,889 | 7,007 | ||||||||||||||||||
Total investment income* | 1,579,927 | 7,409,111 | 15,959,259 | 13,913,897 | 3,673,919 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 1,096,877 | 1,771,413 | 3,033,094 | 2,080,711 | 1,453,926 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 11,278 | 13,204 | 14,873 | — | 10,064 | ||||||||||||||||||
Class 3 | 12,958 | 16,520 | 15,597 | 477,598 | 11,406 | ||||||||||||||||||
Transfer agent fees and expenses | 839 | 1,068 | 992 | 1,196 | 510 | ||||||||||||||||||
Custodian and accounting fees | 44,857 | 158,726 | 129,185 | 69,146 | 26,428 | ||||||||||||||||||
Reports to shareholders | 12,798 | 16,659 | 51,451 | 38,489 | 14,710 | ||||||||||||||||||
Audit and tax fees | 33,788 | 57,879 | 39,639 | 40,018 | 27,466 | ||||||||||||||||||
Legal fees | 10,273 | 12,216 | 24,555 | 24,434 | 11,781 | ||||||||||||||||||
Trustees' fees and expenses | 3,164 | 5,325 | 11,597 | 8,673 | 3,599 | ||||||||||||||||||
Interest expense | — | 1,350 | — | 10,518 | 91 | ||||||||||||||||||
Other expenses | 19,342 | 27,461 | 12,103 | 11,620 | 9,903 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 1,246,174 | 2,081,821 | 3,333,086 | 2,762,403 | 1,569,884 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | (75,952 | ) | — | (177,792 | ) | (472,605 | ) | |||||||||||||||
Fees paid indirectly (Note 5) | (4,461 | ) | — | — | — | (5,259 | ) | ||||||||||||||||
Net expenses | 1,241,713 | 2,005,869 | 3,333,086 | 2,584,611 | 1,092,020 | ||||||||||||||||||
Net investment income (loss) | 338,214 | 5,403,242 | 12,626,173 | 11,329,286 | 2,581,899 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 5,069,726 | 7,790,669 | 10,345,973 | (2,503,387 | ) | 9,548,670 | |||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (58,828 | ) | 122,251 | (3,845,853 | ) | (3,109,112 | ) | — | |||||||||||||||
Forward contracts | — | — | 368,847 | 11,357,346 | — | ||||||||||||||||||
Swap contracts | — | — | 6,575 | — | — | ||||||||||||||||||
Written options contracts | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | (1,634 | ) | (14,015 | ) | (214,237 | ) | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 5,010,898 | 7,911,286 | 6,861,527 | 5,530,610 | 9,548,670 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | 599,715 | (8,096,669 | ) | 31,615,806 | 3,949,637 | (5,657,641 | ) | ||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (148,531 | ) | (61,282 | ) | 1,356,714 | 1,677,281 | — | ||||||||||||||||
Forward contracts | — | — | 38,827 | (301,916 | ) | — | |||||||||||||||||
Swap contracts | — | — | (2,014,209 | ) | — | — | |||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | — | (10,105 | ) | (7,294 | ) | (1,408 | ) | — | |||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 451,184 | (8,168,056 | ) | 30,989,844 | 5,323,594 | (5,657,641 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 5,462,082 | (256,770 | ) | 37,851,371 | 10,854,204 | 3,891,029 | |||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,800,296 | $ | 5,146,472 | $ | 50,477,544 | $ | 22,183,490 | $ | 6,472,928 | |||||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 1,365 | $ | 784,504 | $ | 28,452 | $ | (14 | ) | $ | 5,100 | ||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
307
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Six Months Ended September 30, 2019 (unaudited)
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividends (unaffiliated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Dividends (affiliated) | — | — | — | — | |||||||||||||||
Interest (unaffiliated) | — | — | — | — | |||||||||||||||
Total investment income* | — | — | — | — | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory and management fees | 89,616 | 230,857 | 147,830 | 110,032 | |||||||||||||||
Service Fees: | |||||||||||||||||||
Class 2 | — | — | — | — | |||||||||||||||
Class 3 | 223,850 | 576,466 | 369,302 | 274,904 | |||||||||||||||
Transfer agent fees and expenses | 522 | 635 | 672 | 621 | |||||||||||||||
Custodian and accounting fees | 8,250 | 8,250 | 8,250 | 8,250 | |||||||||||||||
Reports to shareholders | 10,825 | 24,461 | 15,696 | 12,095 | |||||||||||||||
Audit and tax fees | 22,226 | 22,226 | 22,226 | 22,226 | |||||||||||||||
Legal fees | 9,509 | 13,817 | 11,160 | 10,071 | |||||||||||||||
Trustees' fees and expenses | 2,083 | 5,593 | 3,596 | 2,633 | |||||||||||||||
Interest expense | — | — | — | — | |||||||||||||||
Other expenses | 7,248 | 7,207 | 7,100 | 7,104 | |||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 374,129 | 889,512 | 585,832 | 447,936 | |||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (8,962 | ) | (23,086 | ) | (14,783 | ) | (11,003 | ) | |||||||||||
Fees paid indirectly (Note 5) | — | — | — | — | |||||||||||||||
Net expenses | 365,167 | 866,426 | 571,049 | 436,933 | |||||||||||||||
Net investment income (loss) | (365,167 | ) | (866,426 | ) | (571,049 | ) | (436,933 | ) | |||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investments (unaffiliated)** | — | — | — | — | |||||||||||||||
Investments (affiliated) | 314,035 | 786,334 | 454,933 | 244,779 | |||||||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Forward contracts | — | — | — | — | |||||||||||||||
Swap contracts | — | — | — | — | |||||||||||||||
Written options contracts | — | — | — | — | |||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 314,035 | 786,334 | 454,933 | 244,779 | |||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investments (unaffiliated) | — | — | — | — | |||||||||||||||
Investments (affiliated) | 7,060,054 | 19,544,233 | 12,928,102 | 9,946,295 | |||||||||||||||
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 | 7,060,054 | 19,544,233 | 12,928,102 | 9,946,295 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 7,374,089 | 20,330,567 | 13,383,035 | 10,191,074 | |||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 7,008,922 | $ | 19,464,141 | $ | 12,811,986 | $ | 9,754,141 | |||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | — | $ | — | $ | — | $ | — | |||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
308
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
SA Multi-Managed Growth | SA Multi-Managed Moderate Growth | SA Multi-Managed Income/Equity | |||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,068 | ) | $ | 192,130 | $ | 250,106 | $ | 725,316 | $ | 340,622 | $ | 892,091 | ||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 6,039,886 | 4,588,014 | 7,507,891 | 6,198,517 | 4,265,557 | 2,444,572 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (4,242,773 | ) | (1,263,314 | ) | (4,622,139 | ) | (1,807,332 | ) | (1,836,591 | ) | 151,728 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,796,045 | 3,516,830 | 3,135,858 | 5,116,501 | 2,769,588 | 3,488,391 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | — | (956,510 | ) | — | (754,889 | ) | — | (546,115 | ) | ||||||||||||||||||
Distributable earnings — Class 2 | — | (1,799,882 | ) | — | (3,243,043 | ) | — | (1,976,441 | ) | ||||||||||||||||||
Distributable earnings — Class 3 | — | (2,159,048 | ) | — | (2,588,998 | ) | — | (1,102,882 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (4,915,440 | ) | — | (6,586,930 | ) | — | (3,625,438 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (3,912,664 | ) | (2,446,803 | ) | (5,810,151 | ) | (5,727,302 | ) | (2,977,631 | ) | (5,072,504 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (2,116,619 | ) | (3,845,413 | ) | (2,674,293 | ) | (7,197,731 | ) | (208,043 | ) | (5,209,551 | ) | |||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 49,137,092 | 52,982,505 | 80,748,133 | 87,945,864 | 55,427,556 | 60,637,107 | |||||||||||||||||||||
End of period | $ | 47,020,473 | $ | 49,137,092 | $ | 78,073,840 | $ | 80,748,133 | $ | 55,219,513 | $ | 55,427,556 |
See Notes to Financial Statements
309
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Income | SA Putnam Asset Allocation Diversified Growth | SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 372,149 | $ | 893,261 | $ | 1,734,909 | $ | 2,033,716 | $ | (292,777 | ) | $ | (32,850 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 1,991,985 | 987,103 | (940,105 | ) | 5,448,107 | 10,973,407 | 33,908,545 | ||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (145,789 | ) | 377,200 | 3,551,694 | (3,668,025 | ) | (822,317 | ) | 6,819,112 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 2,218,345 | 2,257,564 | 4,346,498 | 3,813,798 | 9,858,313 | 40,694,807 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | — | (262,717 | ) | — | (837,278 | ) | — | (77,540,085 | ) | ||||||||||||||||||
Distributable earnings — Class 2 | — | (1,232,788 | ) | — | (2,792,694 | ) | — | (9,974,040 | ) | ||||||||||||||||||
Distributable earnings — Class 3 | — | (747,492 | ) | — | (5,032,322 | ) | — | (8,275,256 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (2,242,997 | ) | — | (8,662,294 | ) | — | (95,789,381 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (3,897,962 | ) | (4,412,546 | ) | 1,004,115 | 22,205,678 | (21,810,746 | ) | 44,373,973 | ||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (1,679,617 | ) | (4,397,979 | ) | 5,350,613 | 17,357,182 | (11,952,433 | ) | (10,720,601 | ) | |||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 45,107,884 | 49,505,863 | 166,130,606 | 148,773,424 | 401,744,432 | 412,465,033 | |||||||||||||||||||||
End of period | $ | 43,428,267 | $ | 45,107,884 | $ | 171,481,219 | $ | 166,130,606 | $ | 389,791,999 | $ | 401,744,432 |
See Notes to Financial Statements
310
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Large Cap Growth | SA Multi-Managed Large Cap Value | SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 591,648 | $ | 2,048,377 | $ | 6,790,052 | $ | 14,736,928 | $ | (305,588 | ) | $ | (222,044 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 45,723,883 | 58,618,768 | 3,436,912 | 41,235,361 | 16,423,081 | 22,769,887 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (21,167,477 | ) | (9,268,564 | ) | 32,117,762 | (24,087,555 | ) | (7,959,918 | ) | 4,371,468 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 25,148,054 | 51,398,581 | 42,344,726 | 31,884,734 | 8,157,575 | 26,919,311 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | — | (69,755,898 | ) | — | (97,896,896 | ) | — | (19,737,962 | ) | ||||||||||||||||||
Distributable earnings — Class 2 | — | (5,057,440 | ) | — | (3,390,043 | ) | — | (2,500,958 | ) | ||||||||||||||||||
Distributable earnings — Class 3 | — | (2,832,651 | ) | — | (1,848,688 | ) | — | (1,721,940 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (77,645,989 | ) | — | (103,135,627 | ) | — | (23,960,860 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (28,931,596 | ) | 9,843,766 | (51,253,656 | ) | (56,978,057 | ) | (12,836,347 | ) | (8,066,139 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (3,783,542 | ) | (16,403,642 | ) | (8,908,930 | ) | (128,228,950 | ) | (4,678,772 | ) | (5,107,688 | ) | |||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 495,511,303 | 511,914,945 | 739,573,405 | 867,802,355 | 224,817,010 | 229,924,698 | |||||||||||||||||||||
End of period | $ | 491,727,761 | $ | 495,511,303 | $ | 730,664,475 | $ | 739,573,405 | $ | 220,138,238 | $ | 224,817,010 |
See Notes to Financial Statements
311
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Mid Cap Value | SA Multi-Managed Small Cap | SA Multi-Managed International Equity | |||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,457,425 | $ | 2,553,273 | $ | 338,214 | $ | 488,665 | $ | 5,403,242 | $ | 11,039,560 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 4,958,517 | 11,783,994 | 5,010,898 | 18,890,499 | 7,911,286 | 30,511,662 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 1,639,116 | (10,386,673 | ) | 451,184 | (21,064,947 | ) | (8,168,056 | ) | (62,377,985 | ) | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 8,055,058 | 3,950,594 | 5,800,296 | (1,685,783 | ) | 5,146,472 | (20,826,763 | ) | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | — | (15,528,212 | ) | — | (18,466,090 | ) | — | (11,751,350 | ) | ||||||||||||||||||
Distributable earnings — Class 2 | — | (1,750,242 | ) | — | (1,197,875 | ) | — | (485,644 | ) | ||||||||||||||||||
Distributable earnings — Class 3 | — | (1,110,901 | ) | — | (847,374 | ) | — | (358,050 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (18,389,355 | ) | — | (20,511,339 | ) | — | (12,595,044 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (13,350,149 | ) | (5,757,996 | ) | (15,229,650 | ) | (739,834 | ) | (93,747,462 | ) | (140,720,843 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (5,295,091 | ) | (20,196,757 | ) | (9,429,354 | ) | (22,936,956 | ) | (88,600,990 | ) | (174,142,650 | ) | |||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 232,364,031 | 252,560,788 | 262,403,925 | 285,340,881 | 441,968,028 | 616,110,678 | |||||||||||||||||||||
End of period | $ | 227,068,940 | $ | 232,364,031 | $ | 252,974,571 | $ | 262,403,925 | $ | 353,367,038 | $ | 441,968,028 |
See Notes to Financial Statements
312
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 six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 12,626,173 | $ | 26,650,817 | $ | 11,329,286 | $ | 8,315,489 | $ | 2,581,899 | $ | 9,112,204 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 6,861,527 | (5,071,831 | ) | 5,530,610 | 25,931,418 | 9,548,670 | 10,460,732 | ||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 30,989,844 | 15,739,856 | 5,323,594 | (18,344,152 | ) | (5,657,641 | ) | (14,059,997 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 50,477,544 | 37,318,842 | 22,183,490 | 15,902,755 | 6,472,928 | 5,512,939 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | — | (28,725,661 | ) | — | (12,751,810 | ) | — | (38,558,899 | ) | ||||||||||||||||||
Distributable earnings — Class 2 | — | (557,493 | ) | — | — | — | (1,793,836 | ) | |||||||||||||||||||
Distributable earnings — Class 3 | — | (363,804 | ) | — | (13,319,152 | ) | — | (1,208,476 | ) | ||||||||||||||||||
Total distributions to shareholders | — | (29,646,958 | ) | — | (26,070,962 | ) | — | (41,561,211 | ) | ||||||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (31,163,577 | ) | (108,871,000 | ) | (72,356,088 | ) | (42,515,857 | ) | (15,221,178 | ) | 19,615,435 | ||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 19,313,967 | (101,199,116 | ) | (50,172,598 | ) | (52,684,064 | ) | (8,748,250 | ) | (16,432,837 | ) | ||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 961,346,507 | 1,062,545,623 | 724,761,402 | 777,445,466 | 296,460,438 | 312,893,275 | |||||||||||||||||||||
End of period | $ | 980,660,474 | $ | 961,346,507 | $ | 674,588,804 | $ | 724,761,402 | $ | 287,712,188 | $ | 296,460,438 |
See Notes to Financial Statements
313
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Growth | SA Allocation Moderate Growth | ||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | (365,167 | ) | $ | 2,165,801 | $ | (866,426 | ) | $ | 7,976,007 | |||||||||
Net realized gain (loss) on investments and foreign currencies | 314,035 | 8,829,590 | 786,334 | 25,810,861 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 7,060,054 | (5,312,230 | ) | 19,544,233 | (15,211,589 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 7,008,922 | 5,683,161 | 19,464,141 | 18,575,279 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||
Distributable earnings — Class 1 | — | (28,926 | ) | — | (24,207 | ) | |||||||||||||
Distributable earnings — Class 2 | — | — | — | — | |||||||||||||||
Distributable earnings — Class 3 | — | (15,620,036 | ) | — | (74,578,805 | ) | |||||||||||||
Total distributions to shareholders | — | (15,648,962 | ) | — | (74,603,012 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 25,665,302 | 49,657,673 | (21,950,758 | ) | 11,134,217 | ||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 32,674,224 | 39,691,872 | (2,486,617 | ) | (44,893,516 | ) | |||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 161,130,288 | 121,438,416 | 462,866,905 | 507,760,421 | |||||||||||||||
End of period | $ | 193,804,512 | $ | 161,130,288 | $ | 460,380,288 | $ | 462,866,905 |
See Notes to Financial Statements
314
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Moderate | SA Allocation Balanced | ||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | (571,049 | ) | $ | 5,377,236 | $ | (436,933 | ) | $ | 4,393,021 | |||||||||
Net realized gain (loss) on investments and foreign currencies | 454,933 | 13,334,070 | 244,779 | 6,625,673 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | 12,928,102 | (6,253,407 | ) | 9,946,295 | (2,507,575 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 12,811,986 | 12,457,899 | 9,754,141 | 8,511,119 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||
Distributable earnings — Class 1 | — | (17,134 | ) | — | �� | (15,311 | ) | ||||||||||||
Distributable earnings — Class 2 | — | — | — | — | |||||||||||||||
Distributable earnings — Class 3 | — | (42,807,399 | ) | — | (28,786,501 | ) | |||||||||||||
Total distributions to shareholders | — | (42,824,533 | ) | — | (28,801,812 | ) | |||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (13,342,733 | ) | 11,028,703 | (2,899,708 | ) | 10,239,339 | |||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (530,747 | ) | (19,337,931 | ) | 6,854,433 | (10,051,354 | ) | ||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 295,069,366 | 314,407,297 | 215,806,965 | 225,858,319 | |||||||||||||||
End of period | $ | 294,538,619 | $ | 295,069,366 | $ | 222,661,398 | $ | 215,806,965 |
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 September 30, 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, SA Putnam Asset Allocation Diversified Growth 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 and SA Multi-Managed Diversified Fixed Income used interest rate swap agreements, including cross-currency swaps, to manage exposure to fluctuations in interest rates and to make active interest rate anticipation decisions.
Interest rate swaps involve the exchange by a Portfolio with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Since interest rate swaps are individually negotiated, a Portfolio expects to achieve an acceptable degree of correlation between their respective portfolio investments and their interest rate positions. A Portfolio will enter into interest rate swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolios receiving or paying, as the case may be, only the net amount of the two payments.
A cross-currency swap is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.
Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio's risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary portfolio securities transactions.
Interest rate swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.
Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset's perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss, which may be in excess of the amount reflected on the statement of assets and liabilities.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements ("Master Agreements") with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio's net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when the Portfolio's net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline the Portfolio's net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty's long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty's credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio's counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could
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be material to a Portfolio's financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables represent the value of derivatives held as of September 30, 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 six months ended September 30, 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 September 30, 2019, please refer to a schedule at the end of each Portfolio's Portfolio of Investments.
Futures Contracts(1)(8) | Swap Contracts(2) | Options Purchased(3) | Foreign Forward Exchange Contracts(4) | Futures Contracts(1)(8) | Swap Contracts(5) | Options Written(6) | Foreign Forward Exchange Contracts(7) | ||||||||||||||||||||||||||||
Interest Rate Contracts | |||||||||||||||||||||||||||||||||||
Portfolio | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 891 | $ | — | $ | — | $ | — | $ | 413 | $ | 29,405 | $ | — | $ | — | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 2,344 | — | — | — | 1,269 | 76,975 | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | 1,766 | — | — | — | 1,697 | 89,563 | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 2,718 | — | — | — | 1,253 | 64,744 | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 3,672 | — | — | — | 5,156 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 48,352 | — | — | — | 14,481 | 2,074,440 | — | — | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 10,688 | — | — | — | 24,972 | — | — | — | |||||||||||||||||||||||||||
Equity Contracts | |||||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 135 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 180 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 50,295 | 220,731 | — | — | 12,495 | 249,369 | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 10,800 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 7,000 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 2,660 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 5,320 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 2,295 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 26,400 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Credit Contracts | |||||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 1,578 | $ | — | $ | — |
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Futures Contracts(1)(8) | Swap Contracts(2) | Options Purchased(3) | Foreign Forward Exchange Contracts(4) | Futures Contracts(1)(8) | Swap Contracts(5) | Options Written(6) | Foreign Forward Exchange Contracts(7) | ||||||||||||||||||||||||||||
Foreign Exchange Contracts | |||||||||||||||||||||||||||||||||||
Portfolio | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | — | $ | — | $ | — | $ | 973 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | — | — | — | 6,140 | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity Portfolio | — | — | — | 6,554 | — | — | — | 1,229 | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | — | — | — | 4,697 | — | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | — | — | — | 5,290 | — | — | — | 70,886 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | 221,573 | — | — | — | 2,406 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | — | — | — | 66,610 | — | — | — | 1,127 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | — | — | — | 2,080,026 | — | — | — | 28,477 |
Statement of Assets and Liabilities Location:
(1) Variation margin on futures contracts
(2) Unrealized appreciation on swap contracts
(3) Investments at value (unaffiliated)
(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 Fund's Portfolio of Investments in the following amounts:
Fund | Cumulative Appreciation/ (Depreciation) | ||||||
SA Multi-Managed Growth Portfolio | $ | 7,223 | |||||
SA Multi-Managed Moderate Growth Portfolio | 18,786 | ||||||
SA Multi-Managed Income/Equity Portfolio | 36,574 | ||||||
SA Multi-Managed Income Portfolio | 31,792 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (271,157 | ) | |||||
SA Multi-Managed Large Cap Growth Portfolio | (27,420 | ) | |||||
SA Multi-Managed Large Cap Value Portfolio | (19,470 | ) | |||||
SA Multi-Managed Mid Cap Growth Portfolio | (4,738 | ) | |||||
SA Multi-Managed Mid Cap Value Portfolio | (9,477 | ) | |||||
SA Multi-Managed Small Cap Portfolio | (144,124 | ) | |||||
SA Multi-Managed International Equity Portfolio | (46,938 | ) | |||||
SA Multi-Managed Diversified Fixed Income Portfolio | 647,964 | ||||||
SA Wellington Real Return Portfolio | 401,092 |
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Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||
Portfolio | Futures Contracts(1) | Swap Contracts(2) | Written Options(3) | Purchased Options(4) | Foreign Forward Exchange Contracts(5) | ||||||||||||||||||
Interest Rate Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | (31,152 | ) | $ | (17,443 | ) | $ | — | $ | (7,930 | ) | $ | — | ||||||||||
SA Multi-Managed Moderate Growth Portfolio | (57,549 | ) | (42,776 | ) | — | (20,890 | ) | — | |||||||||||||||
SA Multi-Managed Income/Equity Portfolio | (27,869 | ) | (48,182 | ) | — | (23,307 | ) | — | |||||||||||||||
SA Multi-Managed Income Portfolio | (119,676 | ) | (48,600 | ) | — | (23,611 | ) | — | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (715,853 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | (3,845,853 | ) | 13,114 | — | (301,414 | ) | — | ||||||||||||||||
SA Wellington Real Return Portfolio | (3,109,112 | ) | — | — | — | — | |||||||||||||||||
Equity Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 9,013 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio | (13,148 | ) | — | — | — | — | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 64,341 | 188,462 | 7,327 | — | — | ||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 125,320 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 71,870 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 12,535 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 25,069 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | (58,828 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed International Equity Portfolio | 122,251 | — | — | — | — | ||||||||||||||||||
Credit Contracts | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | $ | — | $ | (6,539 | ) | $ | — | $ | — | $ | — | ||||||||||||
Foreign Exchange Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | — | $ | — | $ | — | $ | — | $ | 6,736 | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio | — | — | — | — | 29,900 | ||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | — | — | — | — | 35,559 | ||||||||||||||||||
SA Multi-Managed Income Portfolio | — | — | — | — | 28,596 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | — | — | — | — | (98,251 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | — | 536,926 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | — | — | — | — | 368,847 | ||||||||||||||||||
SA Wellington Real Return Portfolio | — | — | — | — | 11,357,346 | ||||||||||||||||||
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||
Portfolio | Futures Contracts(6) | Swap Contracts(7) | Written Options(8) | Purchased Options(9) | Foreign Forward Exchange Contracts(10) | ||||||||||||||||||
Interest Rate Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | 6,168 | $ | (27,066 | ) | $ | — | $ | 7,369 | $ | — | ||||||||||||
SA Multi-Managed Moderate Growth Portfolio | (7,372 | ) | (71,759 | ) | — | 19,410 | — | ||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | (20,402 | ) | (84,108 | ) | — | 21,648 | — | ||||||||||||||||
SA Multi-Managed Income Portfolio | 14,717 | (73,177 | ) | — | 21,928 | — |
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Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |||||||||||||||||||||||
Portfolio | Futures Contracts(6) | Swap Contracts(7) | Written Options(8) | Purchased Options(9) | Foreign Forward Exchange Contracts(10) | ||||||||||||||||||
Interest Rate Contracts | |||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | $ | 133,992 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 1,356,714 | (2,012,632 | ) | — | 279,634 | — | |||||||||||||||||
SA Wellington Real Return Portfolio | 1,677,281 | — | — | — | — | ||||||||||||||||||
Equity Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | (8,578 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
SA Multi-Managed Moderate Growth Portfolio | (9,325 | ) | — | — | — | — | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | (192,541 | ) | (29,562 | ) | — | — | — | ||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | (54,700 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | (16,800 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | (6,434 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | (12,869 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Small Cap Portfolio | (148,531 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed International Equity Portfolio | (61,282 | ) | — | — | — | — | |||||||||||||||||
Credit Contracts | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | $ | — | $ | (1,577 | ) | $ | — | $ | — | $ | — | ||||||||||||
Foreign Exchange Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth Portfolio | $ | — | $ | — | $ | — | $ | — | $ | (1,433 | ) | ||||||||||||
SA Multi-Managed Moderate Growth Portfolio | — | — | — | — | (3,294 | ) | |||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | — | — | — | — | (6,186 | ) | |||||||||||||||||
SA Multi-Managed Income Portfolio | — | — | — | — | (5,872 | ) | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | — | — | — | — | (45,065 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | — | — | — | — | 72,089 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | — | — | — | — | 38,827 | ||||||||||||||||||
SA Wellington Real Return Portfolio | — | — | — | — | (301,916 | ) |
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 written options contracts
(4) Net realized gain (loss) on investments
(5) Net realized gain (loss) on forward contracts
(6) Change in unrealized appreciation (depreciation) on futures contracts
(7) Change in unrealized appreciation (depreciation) on swap contracts
(8) Change in unrealized appreciation (depreciation) on written options contracts
(9) Change in unrealized appreciation (depreciation) on investments
(10) Change in unrealized appreciation (depreciation) on forward contracts
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The following table represents the average monthly balances of derivatives held during the six months ended September 30, 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 | $ | 3,619,907 | $ | 280,076 | $ | 384 | $ | 273,333 | $ | — | $ | — | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 8,689,846 | 1,177,950 | 1,015 | 716,667 | — | — | |||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 9,288,844 | 1,207,157 | 1,143 | 834,167 | — | — | |||||||||||||||||||||
SA Multi-Managed Income Portfolio | 9,178,108 | 825,105 | 1,162 | 849,167 | — | — | |||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 35,808,474 | 7,214,370 | 21,095 | — | — | 16,018,172 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 1,788,267 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 1,139,467 | 20,389,778 | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 384,037 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 768,073 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 4,030,240 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 7,997,929 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 120,391,753 | 7,635,537 | 15,209 | 32,965,833 | 266,667 | — | |||||||||||||||||||||
SA Wellington Real Return Portfolio | 115,183,515 | 274,113,741 | — | — | — | — |
(1) Amounts represent notional amounts in US dollars.
(2) Amounts represent values in US dollars.
The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of September 30, 2019. The repurchase agreements held by the Portfolios as of September 30, 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) | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | $ | 32 | $ | — | $ | — | $ | 32 | $ | — | $ | — | $ | — | $ | — | $ | 32 | $ | — | $ | 32 | |||||||||||||||||||||||||
JPMorgan Chase Bank | 816 | — | — | 816 | — | — | — | — | 816 | — | 816 | ||||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 125 | — | — | 125 | — | — | — | — | 125 | — | 125 | ||||||||||||||||||||||||||||||||||||
Total | $ | 973 | $ | — | $ | — | $ | 973 | $ | — | $ | — | $ | — | $ | — | $ | 973 | $ | — | $ | 973 |
(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 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. | $ | 2,141 | $ | — | $ | — | $ | 2,141 | $ | — | $ | — | $ | — | $ | — | $ | 2,141 | $ | — | $ | 2,141 | |||||||||||||||||||||||||
Goldman Sachs International | 85 | — | — | 85 | — | — | — | — | 85 | — | 85 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 3,611 | — | — | 3,611 | — | — | — | — | 3,611 | — | 3,611 | ||||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 303 | — | — | 303 | — | — | — | — | 303 | — | 303 | ||||||||||||||||||||||||||||||||||||
Total | $ | 6,140 | $ | — | $ | — | $ | 6,140 | $ | — | $ | — | $ | — | $ | — | $ | 6,140 | $ | — | $ | 6,140 |
(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. | $ | 2,098 | $ | — | $ | — | $ | 2,098 | $ | 1,229 | $ | — | $ | — | $ | 1,229 | $ | 869 | $ | — | $ | 869 | |||||||||||||||||||||||||
Goldman Sachs International | 96 | — | — | 96 | — | — | — | — | 96 | — | 96 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 3,947 | — | — | 3,947 | — | — | — | — | 3,947 | — | 3,947 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | 56 | — | — | 56 | — | — | — | — | 56 | — | 56 | ||||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 357 | — | — | 357 | — | — | — | — | 357 | — | 357 | ||||||||||||||||||||||||||||||||||||
Total | $ | 6,554 | $ | — | $ | — | $ | 6,554 | $ | 1,229 | $ | — | $ | — | $ | 1,229 | $ | 5,325 | $ | — | $ | 5,325 |
(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. | $ | 2,152 | $ | — | $ | — | $ | 2,152 | $ | — | $ | — | $ | — | $ | — | $ | 2,152 | $ | — | $ | 2,152 | |||||||||||||||||||||||||
Goldman Sachs International | 94 | — | — | 94 | — | — | — | — | 94 | — | 94 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 2,050 | — | — | 2,050 | — | — | — | — | 2,050 | — | 2,050 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | 56 | — | — | 56 | — | — | — | — | 56 | — | 56 | ||||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 345 | — | — | 345 | — | — | — | — | 345 | — | 345 | ||||||||||||||||||||||||||||||||||||
Total | $ | 4,697 | $ | — | $ | — | $ | 4,697 | $ | — | $ | — | $ | — | $ | — | $ | 4,697 | $ | — | $ | 4,697 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | — | $ | — | $ | — | $ | — | $ | 2,752 | $ | — | $ | — | $ | 2,752 | $ | (2,752 | ) | $ | — | $ | (2,752 | ) | |||||||||||||||||||||||
Barclays Bank PLC | 520 | — | — | 520 | — | — | — | — | 520 | — | 520 | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | 1,512 | 220,731 | — | 222,243 | — | 249,369 | — | 249,369 | (27,126 | ) | — | (27,126 | ) | ||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | — | — | 2,354 | — | — | 2,354 | (2,354 | ) | — | (2,354 | ) | ||||||||||||||||||||||||||||||||||
HSBC Bank USA | — | — | — | — | 24,712 | — | — | 24,712 | (24,712 | ) | — | (24,712 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 1,214 | — | — | 1,214 | 24,846 | — | — | 24,846 | (23,632 | ) | — | (23,632 | ) | ||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 1,780 | — | — | 1,780 | — | — | — | — | 1,780 | — | 1,780 | ||||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | 264 | — | — | 264 | 2,454 | — | — | 2,454 | (2,190 | ) | — | (2,190 | ) | ||||||||||||||||||||||||||||||||||
UBS AG | — | — | — | — | 13,551 | — | — | 13,551 | (13,551 | ) | — | (13,551 | ) | ||||||||||||||||||||||||||||||||||
Westpac Banking Corp. | — | — | — | — | 217 | — | — | 217 | (217 | ) | — | (217 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 5,290 | $ | 220,731 | $ | — | $ | 226,021 | $ | 70,886 | $ | 249,369 | $ | — | $ | 320,255 | $ | (94,234 | ) | $ | — | $ | (94,234 | ) |
(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. | $ | 3,298 | $ | — | $ | — | $ | 3,298 | $ | 413 | $ | — | $ | — | $ | 413 | $ | 2,885 | $ | — | $ | 2,885 | |||||||||||||||||||||||||
Credit Suisse AG | 129,226 | — | — | 129,226 | 659 | — | — | 659 | 128,567 | — | 128,567 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | 22,192 | — | — | 22,192 | 1,334 | — | — | 1,334 | 20,858 | — | 20,858 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 59,827 | — | — | 59,827 | — | — | — | 59,827 | — | 59,827 | |||||||||||||||||||||||||||||||||||||
UBS AG | 7,030 | — | — | 7,030 | — | — | — | 7,030 | — | 7,030 | |||||||||||||||||||||||||||||||||||||
Total | $ | 221,573 | $ | — | $ | — | $ | 221,573 | $ | 2,406 | $ | — | $ | — | $ | 2,406 | $ | 219,167 | $ | — | $ | 219,167 |
(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. | $ | 19,117 | $ | — | $ | — | $ | 19,117 | $ | 1,127 | $ | — | $ | — | $ | 1,127 | $ | 17,990 | $ | — | $ | 17,990 | |||||||||||||||||||||||||
Goldman Sachs International | 1,210 | — | — | 1,210 | — | — | — | — | 1,210 | — | 1,210 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 40,679 | — | — | 40,679 | — | — | — | — | 40,679 | — | 40,679 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | 1,039 | — | — | 1,039 | — | — | — | — | 1,039 | — | 1,039 | ||||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 4,565 | — | — | 4,565 | — | — | — | — | 4,565 | — | 4,565 | ||||||||||||||||||||||||||||||||||||
Total | $ | 66,610 | $ | — | $ | — | $ | 66,610 | $ | 1,127 | $ | — | $ | — | $ | 1,127 | $ | 65,483 | $ | — | $ | 65,483 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
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SA 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) | ||||||||||||||||||||||||||||||||||||
Bank of Montreal | $ | — | $ | — | $ | — | $ | — | $ | 28,358 | $ | — | $ | — | $ | 28,358 | $ | (28,358 | ) | $ | — | $ | (28,358 | ) | |||||||||||||||||||||||
BNP Paribas SA | — | — | — | — | 119 | — | — | 119 | (119 | ) | — | (119 | ) | ||||||||||||||||||||||||||||||||||
Citibank N.A. | 1,142,497 | — | — | 1,142,497 | — | — | — | — | 1,142,497 | — | 1,142,497 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | 1,041 | — | — | 1,041 | — | — | — | — | 1,041 | — | 1,041 | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | 742,983 | — | — | 742,983 | — | — | — | — | 742,983 | — | 742,983 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 10,388 | — | — | 10,388 | — | — | — | — | 10,388 | — | 10,388 | ||||||||||||||||||||||||||||||||||||
Toronto Dominion Bank | 183,117 | — | — | 183,117 | — | — | — | — | 183,117 | — | 183,117 | ||||||||||||||||||||||||||||||||||||
Total | $ | 2,080,026 | $ | — | $ | — | $ | 2,080,026 | $ | 28,477 | $ | — | $ | — | $ | 28,477 | $ | 2,051,549 | $ | — | $ | 2,051,549 |
(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
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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.
As of September 30, 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 | 0.10 | % | $ | 40,000 | |||||||
SA Multi-Managed Moderate Growth | 0.61 | 245,000 | |||||||||
SA Multi-Managed Income/Equity | 0.49 | 195,000 | |||||||||
SA Multi-Managed Income | 0.55 | 220,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.36 | 545,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.65 | 260,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 7.11 | 2,845,000 | |||||||||
SA Wellington Real return | 5.44 | 2,175,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated September 30, 2019, bearing interest at a rate of 2.29% per annum, with a principal amount of $40,000,000, a repurchase price of $40,002,544, and a maturity date of October 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Bonds | 2.88 | % | 08/15/2045 | $ | 35,440,000 | $ | 40,956,735 |
As of September 30, 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 | 0.06 | % | $ | 15,000 | |||||||
SA Multi-Managed Moderate Growth | 0.58 | 145,000 | |||||||||
SA Multi-Managed Income/Equity | 0.44 | 110,000 | |||||||||
SA Multi-Managed Income | 0.52 | 130,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.32 | 330,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.62 | 155,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 7.08 | 1,770,000 | |||||||||
SA Wellington Real return | 5.38 | 1,345,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated September 30, 2019, bearing interest at a rate of 2.30% per annum, with a principal amount of $25,000,000, a repurchase price of $25,001,597, and a maturity date of October 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Bonds | 3.13 | % | 08/15/2044 | $ | 21,295,000 | $ | 25,593,241 |
As of September 30, 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 | 0.05 | % | $ | 10,000 | |||||||
SA Multi-Managed Moderate Growth | 0.58 | 115,000 | |||||||||
SA Multi-Managed Income/Equity | 0.45 | 90,000 |
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Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Income | 0.50 | % | $ | 100,000 | |||||||
SA Multi-Managed Large Cap Value | 1.33 | 265,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.63 | 125,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 7.08 | 1,415,000 | |||||||||
SA Wellington Real return | 5.38 | 1,075,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated September 30, 2019, bearing interest at a rate of 2.35% per annum, with a principal amount of $20,000,000, a repurchase price of $20,001,306, and a maturity date of October 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.38 | % | 04/30/2026 | $ | 19,314,000 | $ | 20,424,883 |
As of September 30, 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 | 0.07 | % | $ | 25,000 | |||||||
SA Multi-Managed Moderate Growth | 0.58 | 220,000 | |||||||||
SA Multi-Managed Income/Equity | 0.44 | 170,000 | |||||||||
SA Multi-Managed Income | 0.52 | 200,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.32 | 505,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.63 | 240,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 7.07 | 2,705,000 | |||||||||
SA Wellington Real return | 5.39 | 2,060,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated September 30, 2019, bearing interest at a rate of 2.34% per annum, with a principal amount of $38,250,000, a repurchase price of $38,252,486, and a maturity date of October 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 | % | 05/15/2022 | $ | 38,532,000 | $ | 39,351,525 |
As of September 30, 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 | 0.06 | % | $ | 25,000 | |||||||
SA Multi-Managed Moderate Growth | 0.58 | 230,000 | |||||||||
SA Multi-Managed Income/Equity | 0.45 | 180,000 | |||||||||
SA Multi-Managed Income | 0.51 | 205,000 | |||||||||
SA Multi-Managed Large Cap Value | 1.33 | 530,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.63 | 250,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 7.08 | 2,830,000 | |||||||||
SA Wellington Real return | 5.39 | 2,155,000 |
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As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated September 30, 2019, bearing interest at a rate of 2.34% per annum, with a principal amount of $40,000,000, a repurchase price of $40,002,600, and a maturity date of October 1, 2019. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 1.13 | % | 09/30/2021 | $ | 41,230,000 | $ | 40,796,420 |
Stripped Mortgage-Backed Securities: Stripped Mortgage-Backed Securities ("SMBS") are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Portfolio invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the "principal only" class) from the mortgage pool, while the other class will receive all or most of the interest (the "interest only" class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Portfolio's yield.
Mortgage-Backed Dollar Rolls: 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.
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Loans: Certain Portfolios may invest in senior loans which generally consist of direct debt obligations of companies (collectively, "Borrowers"), primarily U.S. companies and their affiliates, undertaken to finance the growth of the Borrower's business internally and externally, or to finance a capital restructuring. Transactions in senior loans may settle on a delayed basis. Unsettled loans at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.
Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders: Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities.
Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations.
Portfolios which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and other countries' tax regulations require that taxes be paid on capital gains realized by a Portfolio.
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.
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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 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.
Effective April 1, 2019, the Portfolios are subject to ASU 2017-08, "Premium Amortization on Purchased Callable Debt Securities", which requires the premiums on certain purchased debt securities with non-contingent call features to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount is not impacted. Adoption of the ASU had no material impact on the Fund.
Note 3. Investment Advisory and Management Agreement, and Service Agreement (12b-1 Plan): SAAMCo serves as investment adviser for all of the Portfolios of the Trust. The Trust, on behalf of each Portfolio, entered into an Investment Advisory and Management Agreement (the "Agreement") with SAAMCo to handle the Trust's day-to-day affairs, to provide investment advisory services, office space, and other facilities for the management of the affairs of the Trust, and to pay the compensation of certain officers of the Trust who are affiliated persons of SAAMCo. Pursuant to the Agreement entered into between the Adviser and the Trust, each Portfolio pays the Adviser a fee equal to the following percentage of average daily net assets:
Portfolio | Assets | Management Fees | |||||||||
SA Multi-Managed Growth(1) | 0-$250 million | 0.89 | % | ||||||||
| >$250 million | 0.84 | % | ||||||||
| >$500 million | 0.79 | % | ||||||||
SA Multi-Managed Moderate Growth(2) | 0-$250 million | 0.85 | % | ||||||||
>$250 million | 0.80 | % | |||||||||
>$500 million | 0.75 | % | |||||||||
SA Multi-Managed Income/Equity(3) | 0-$250 million | 0.81 | % | ||||||||
>$250 million | 0.76 | % | |||||||||
>$500 million | 0.71 | % | |||||||||
SA Multi-Managed Income(4) | 0-$250 million | 0.77 | % | ||||||||
>$250 million | 0.72 | % | |||||||||
>$500 million | 0.67 | % | |||||||||
SA Putnam Asset Allocation Diversified Growth(5) | 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(6), 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 | >$250 million | 0.80 | % | ||||||||
>$500 million | 0.75 | % |
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Portfolio | Assets | Management Fees | |||||||||
SA Multi-Managed International Equity(7) | 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(8) | 0-$500 million | 0.60 | % | ||||||||
>$500 million | 0.55 | % | |||||||||
SA Columbia Focused Value(9) | 0-$250 million | 1.00 | % | ||||||||
>$250 million | 0.95 | % | |||||||||
>$500 million | 0.90 | % | |||||||||
SA Allocation Growth(10), SA Allocation Moderate Growth(10), | |||||||||||
SA Allocation Moderate(10), SA Allocation Balanced(10) | >0 | 0.10 | % |
(1) Effective May 1, 2019, the Advisor has contractually agreed to waive its advisory fee for 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. Prior to May 1, 2019, the Adviser contractually agreed to waive its advisory fee so that the advisory fee on average daily net assets payable to SunAmerica equals 0.85% on the first $250 million, 0.80% on the next $250 million, and 0.75% above $500 million. For the six months ended September 30, 2019, the amount of advisory fees waived was $15,814.
(2) Effective May 1, 2019, the Advisor has contractually agreed to waive its advisory fee for 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. Prior to May 1, 2019, the Adviser contractually agreed to waive its advisory fee so that the advisory fee on average daily net assets payable to SunAmerica equals 0.82% on the first $250 million, 0.77% on the next $250 million, and 0.72% above $500 million. For the six months ended September 30, 2019, the amount of advisory fees waived was $18,834.
(3) Effective May 1, 2019, the Advisor has contractually agreed to waive its advisory fee for 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. Prior to May 1, 2019, the Adviser contractually agreed to waive its advisory fee so that the advisory fee on average daily net assets payable to SunAmerica equals 0.78% on the first $250 million, 0.73% on the next $250 million, and 0.68% above $500 million. For the six months ended September 30, 2019, the amount of advisory fees waived was $10,797.
(4) Effective May 1, 2019, the Advisor has contractually agreed to waive its advisory fee for 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. Prior to May 1, 2019, the Adviser contractually agreed to waive its advisory fee so that the advisory fee on average daily net assets payable to SunAmerica equals 0.75% on the first $250 million, 0.70% on the next $250 million, and 0.65% above $500 million. For the six months ended September 30, 2019, the amount of advisory fees waived was $6,301.
(5) 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. For the six months ended September 30, 2019, the amount of advisory fees waived was $127,009.
(6) Effective May 1, 2019, the Advisor has contractually agreed to waive its advisory fee for 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. Prior to May 1, 2019, the Adviser contractually agreed to waive its advisory fee so that the advisory fee on average daily net assets payable to SunAmerica equals 0.75% on the first $250 million, 0.69% on the next $250 million, and 0.60% above $500 million. For the six months ended September 30, 2019, the amount of advisory fees waived was $181,402.
(7) The Adviser contractually agreed to waive 0.04% of advisory fees for the SA Multi-Managed International Equity Portfolio. For the six months ended September 30, 2019, the amount of advisory fees waived was $75,952.
(8) The Adviser voluntarily agreed to waive 0.05% of advisory fees for the SA Wellington Real Return Portfolio. For the six months ended September 30, 2019, the amount of advisory fees waived was $177,792.
(9) The Adviser contractually agreed to waive its advisory fee for the SA Columbia Focused Value Portfolio so that the advisory fee payable to SAAMCo equals 0.67% of average daily net assets. For the six months ended September 30, 2019, the amount of advisory fees waived was $472,605.
(10) The Adviser contractually agreed to waive its advisory fee for the SA Allocation Growth, SA Allocation Moderate Growth, SA Allocation Moderate and SA Allocation Balanced Portfolios so that the advisory fee payable to SAAMCo equals 0.09% of average daily net assets. For the six months ended September 30, 2019, the amount of advisory fees waived was $8,962, $23,086, $14,783 and $11,003, respectively.
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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 | Morgan Stanley(1) J.P. Morgan WMC | ||||||
SA Multi-Managed Moderate Growth | Morgan Stanley(1) J.P. Morgan WMC | ||||||
SA Multi-Managed Income/Equity | Morgan Stanley(1) WMC | ||||||
SA Multi-Managed Income | Morgan Stanley(1) WMC | ||||||
SA Putnam Asset Allocation Diversified Growth | Putnam Investment Management, LLC | ||||||
SA T. Rowe Price Growth Stock | T. Rowe Price Associates, Inc. ("T. Rowe Price") | ||||||
SA Multi-Managed Large Cap Growth | Goldman Sachs Asset Management, L.P. Morgan Stanley(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 six months ended September 30, 2019, transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.
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Class 2 and Class 3 shares of each Portfolio are subject to Rule 12b-1 plans that provide for service fees payable at the annual rate of 0.15% and 0.25%, respectively, of the average daily net assets of Class 2 and Class 3 shares. The service fees are used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. For the six months ended September 30, 2019, service fees were paid (see Statement of Operations) based on the aforementioned rates.
Note 4. Federal Income Taxes: The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statement of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, investments in partnerships, straddle loss deferrals, inflation securities, treatment of defaulted securities and derivative transactions.
Distributable Earnings | Tax Distributions | ||||||||||||||||||||||
For the year ended March 31, 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 |
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Tax Distributions | |||||||||||
For the year ended March 31, 2018 | |||||||||||
Portfolio | Ordinary Income | Long-Term Capital Gains | |||||||||
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 |
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 | — | — |
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 | — | — | — |
342
Portfolio | Deferred Late Year Ordinary Losses | Deferred Post-October Short-Term Capital Loss | Deferred Post-October Long-Term Capital Loss | ||||||||||||
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 | — | — |
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 | $ | 4,168,879 | $ | (1,515,933 | ) | $ | 2,652,946 | $ | 47,439,332 | ||||||||||
SA Multi-Managed Moderate Growth | 6,322,772 | (2,198,612 | ) | 4,124,160 | 83,624,782 | ||||||||||||||
SA Multi-Managed Income/Equity | 2,791,147 | (787,502 | ) | 2,003,645 | 63,301,552 | ||||||||||||||
SA Multi-Managed Income | 2,059,696 | (508,508 | ) | 1,551,188 | 52,957,370 | ||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 18,819,010 | (5,147,327 | ) | 13,671,683 | 159,404,353 | ||||||||||||||
SA T. Rowe Price Growth Stock | 118,046,683 | (7,659,676 | ) | 110,387,007 | 279,665,852 | ||||||||||||||
SA Multi-Managed Large Cap Growth | 104,857,926 | (8,698,169 | ) | 96,159,757 | 395,620,373 | ||||||||||||||
SA Multi-Managed Large Cap Value | 105,961,196 | (26,435,596 | ) | 79,525,600 | 643,461,601 | ||||||||||||||
SA Multi-Managed Mid Cap Growth | 59,671,800 | (12,006,506 | ) | 47,665,294 | 172,945,657 | ||||||||||||||
SA Multi-Managed Mid Cap Value | 35,909,516 | (18,203,115 | ) | 17,706,401 | 209,317,207 | ||||||||||||||
SA Multi-Managed Small Cap | 56,924,411 | (18,753,532 | ) | 38,170,879 | 212,368,871 | ||||||||||||||
SA Multi-Managed International Equity | 43,069,689 | (31,353,375 | ) | 11,716,314 | 339,107,633 | ||||||||||||||
SA Multi-Managed Diversified Fixed Income | 45,758,255 | (6,771,454 | ) | 38,986,801 | 1,115,817,527 | ||||||||||||||
SA Wellington Real Return | 11,688,568 | (18,218,059 | ) | (6,529,491 | ) | 745,889,236 | |||||||||||||
SA Columbia Focused Value | 64,944,836 | (18,441,123 | ) | 46,503,713 | 241,452,440 | ||||||||||||||
SA Allocation Growth | 6,707,043 | (1,557,545 | ) | 5,149,498 | 188,767,631 | ||||||||||||||
SA Allocation Moderate Growth | 24,492,761 | (2,957,151 | ) | 21,535,610 | 439,057,371 | ||||||||||||||
SA Allocation Moderate | 13,764,738 | (1,606,070 | ) | 12,158,668 | 282,531,602 | ||||||||||||||
SA Allocation Balanced | 8,932,263 | (1,139,682 | ) | 7,792,581 | 214,993,606 |
Note 5. Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the six months ended September 30, 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 six months ended September 30, 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 | $ | 29,611,746 | $ | 34,892,125 | $ | 1,679,077 | $ | 1,075,764 | |||||||||||
SA Multi-Managed Moderate Growth | 40,039,049 | 48,789,978 | 3,841,804 | 2,195,276 | |||||||||||||||
SA Multi-Managed Income/ Equity | 24,222,806 | 29,618,501 | 6,194,711 | 3,611,848 | |||||||||||||||
SA Multi-Managed Income | 12,807,243 | 20,142,416 | 6,963,520 | 3,655,927 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 50,423,902 | 47,118,291 | 11,139,902 | 12,477,721 |
343
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 T. Rowe Price Growth Stock | $ | 45,188,499 | $ | 64,070,301 | $ | — | $ | — | |||||||||||
SA Multi-Managed Large Cap Growth | 193,276,298 | 226,371,835 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Value | 151,002,957 | 193,263,231 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 50,364,320 | 58,699,199 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Value | 36,767,634 | 47,252,041 | — | — | |||||||||||||||
SA Multi-Managed Small Cap | 37,387,191 | 52,959,651 | — | — | |||||||||||||||
SA Multi-Managed International Equity | 32,781,123 | 124,487,935 | — | — | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 155,642,018 | 188,159,381 | 76,791,650 | 70,504,087 | |||||||||||||||
SA Wellington Real Return | 7,738,666 | 67,929,198 | 76,355,302 | 61,764,693 | |||||||||||||||
SA Columbia Focused Value Portfolio | 20,072,189 | 35,608,432 | — | — | |||||||||||||||
SA Allocation Growth | 36,959,673 | 11,633,901 | — | — | |||||||||||||||
SA Allocation Moderate Growth | 27,410,165 | 50,213,193 | — | — | |||||||||||||||
SA Allocation Moderate | 20,381,420 | 34,280,706 | — | — | |||||||||||||||
SA Allocation Balanced | 20,368,038 | 23,687,590 | — | — |
Note 7. Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 5,101 | $ | 88,235 | 6,228 | $ | 101,305 | 4,933 | $ | 84,228 | 25,941 | $ | 432,808 | |||||||||||||||||||||||
Reinvested dividends | — | — | 62,151 | 956,510 | — | — | 116,951 | 1,799,882 | |||||||||||||||||||||||||||
Shares redeemed | (40,185 | ) | (679,753 | ) | (83,372 | ) | (1,403,935 | ) | (103,593 | ) | (1,758,227 | ) | (179,739 | ) | (3,048,048 | ) | |||||||||||||||||||
Net increase (decrease) | (35,084 | ) | $ | (591,518 | ) | (14,993 | ) | $ | (346,120 | ) | (98,660 | ) | $ | (1,673,999 | ) | (36,847 | ) | $ | (815,358 | ) | |||||||||||||||
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 12,920 | $ | 222,523 | 32,945 | $ | 547,417 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 140,471 | 2,159,048 | |||||||||||||||||||||||||||||||
Shares redeemed | (110,586 | ) | (1,869,670 | ) | (233,530 | ) | (3,991,790 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (97,666 | ) | $ | (1,647,147 | ) | (60,114 | ) | $ | (1,285,325 | ) |
344
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 4,645 | $ | 61,778 | 21,759 | $ | 280,877 | 8,468 | $ | 110,225 | 51,092 | $ | 664,261 | |||||||||||||||||||||||
Reinvested dividends | — | — | 63,489 | 754,889 | — | — | 272,983 | 3,243,043 | |||||||||||||||||||||||||||
Shares redeemed | (61,248 | ) | (800,442 | ) | (87,355 | ) | (1,100,991 | ) | (203,019 | ) | (2,642,648 | ) | (508,596 | ) | (6,467,864 | ) | |||||||||||||||||||
Net increase (decrease) | (56,603 | ) | $ | (738,664 | ) | (2,107 | ) | $ | (65,225 | ) | (194,551 | ) | $ | (2,532,423 | ) | (184,521 | ) | $ | (2,560,560 | ) | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 |
| ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 59,082 | $ | 762,404 | 144,139 | $ | 1,876,855 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 218,113 | 2,588,998 | |||||||||||||||||||||||||||||||
Shares redeemed | (254,141 | ) | (3,301,468 | ) | (589,230 | ) | (7,567,370 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (195,059 | ) | $ | (2,539,064 | ) | (226,978 | ) | $ | (3,101,517 | ) | |||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 10,513 | $ | 121,135 | 33,216 | $ | 370,878 | 65,275 | $ | 743,126 | 187,985 | $ | 2,093,734 | |||||||||||||||||||||||
Reinvested dividends | — | — | 51,863 | 546,115 | — | — | 187,875 | 1,976,441 | |||||||||||||||||||||||||||
Shares redeemed | (69,081 | ) | (797,102 | ) | (129,993 | ) | (1,406,747 | ) | (228,375 | ) | (2,639,080 | ) | (619,583 | ) | (6,821,283 | ) | |||||||||||||||||||
Net increase (decrease) | (58,568 | ) | $ | (675,967 | ) | (44,914 | ) | $ | (489,754 | ) | (163,100 | ) | $ | (1,895,954 | ) | (243,723 | ) | $ | (2,751,108 | ) | |||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 69,251 | $ | 781,903 | 73,189 | $ | 824,460 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 104,737 | 1,102,882 | |||||||||||||||||||||||||||||||
Shares redeemed | (102,677 | ) | (1,187,613 | ) | (341,313 | ) | (3,758,984 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (33,426 | ) | $ | (405,710 | ) | (163,387 | ) | $ | (1,831,642 | ) |
345
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 13,431 | $ | 150,434 | 21,061 | $ | 233,708 | 25,291 | $ | 288,338 | 151,254 | $ | 1,670,173 | |||||||||||||||||||||||
Reinvested dividends | — | — | 24,973 | 262,717 | — | — | 117,297 | 1,232,788 | |||||||||||||||||||||||||||
Shares redeemed | (39,911 | ) | (457,040 | ) | (84,120 | ) | (915,524 | ) | (200,367 | ) | (2,302,727 | ) | (478,139 | ) | (5,196,698 | ) | |||||||||||||||||||
Net increase (decrease) | (26,480 | ) | $ | (306,606 | ) | (38,086 | ) | $ | (419,099 | ) | (175,076 | ) | $ | (2,014,389 | ) | (209,588 | ) | $ | (2,293,737 | ) | |||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 33,179 | $ | 380,782 | 113,045 | $ | 1,252,941 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 71,122 | 747,492 | |||||||||||||||||||||||||||||||
Shares redeemed | (173,302 | ) | (1,957,749 | ) | (339,986 | ) | (3,700,143 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (140,123 | ) | $ | (1,576,967 | ) | (155,819 | ) | $ | (1,699,710 | ) | |||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 34,798 | $ | 415,385 | 60,835 | $ | 693,406 | 113,031 | $ | 1,351,837 | 236,858 | $ | 2,695,080 | |||||||||||||||||||||||
Reinvested dividends | — | — | 75,025 | 837,278 | — | — | 250,017 | 2,792,694 | |||||||||||||||||||||||||||
Shares redeemed | (97,387 | ) | (1,158,602 | ) | (164,936 | ) | (1,964,824 | ) | (322,247 | ) | (3,845,623 | ) | (728,564 | ) | (8,790,378 | ) | |||||||||||||||||||
Net increase (decrease) | (62,589 | ) | $ | (743,217 | ) | (29,076 | ) | $ | (434,140 | ) | (209,216 | ) | $ | (2,493,786 | ) | (241,689 | ) | $ | (3,302,604 | ) | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
| ||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 786,080 | $ | 9,345,757 | 2,513,467 | $ | 30,082,273 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 451,734 | 5,032,322 | |||||||||||||||||||||||||||||||
Shares redeemed | (430,666 | ) | (5,104,639 | ) | (762,335 | ) | (9,172,173 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 355,414 | $ | 4,241,118 | 2,202,866 | $ | 25,942,422 |
346
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 8,797 | $ | 205,971 | 67,530 | $ | 1,623,284 | 30,406 | $ | 683,943 | 106,900 | $ | 2,206,889 | |||||||||||||||||||||||
Reinvested dividends | — | — | 3,685,365 | 77,540,085 | — | — | 492,545 | 9,974,040 | |||||||||||||||||||||||||||
Shares redeemed | (767,867 | ) | (17,929,102 | ) | (1,477,991 | ) | (39,204,305 | ) | (131,989 | ) | (2,973,393 | ) | (386,486 | ) | (9,594,777 | ) | |||||||||||||||||||
Net increase (decrease) | (759,070 | ) | $ | (17,723,131 | ) | 2,274,904 | $ | 39,959,064 | (101,583 | ) | $ | (2,289,450 | ) | 212,959 | $ | 2,586,152 | |||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 35,533 | $ | 781,928 | 96,150 | $ | 2,056,397 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 418,365 | 8,275,256 | |||||||||||||||||||||||||||||||
Shares redeemed | (117,883 | ) | (2,580,093 | ) | (343,951 | ) | (8,502,896 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (82,350 | ) | $ | (1,798,165 | ) | 170,564 | $ | 1,828,757 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 193,281 | $ | 2,907,817 | 3,826,931 | $ | 63,606,138 | 17,827 | $ | 265,856 | 48,861 | $ | 745,961 | |||||||||||||||||||||||
Reinvested dividends | — | — | 5,248,751 | 69,755,898 | — | — | 389,333 | 5,057,440 | |||||||||||||||||||||||||||
Shares redeemed | (1,884,218 | ) | (28,255,742 | ) | (7,964,084 | ) | (122,106,830 | ) | (156,320 | ) | (2,285,360 | ) | (485,244 | ) | (7,340,987 | ) | |||||||||||||||||||
Net increase (decrease) | (1,690,937 | ) | $ | (25,347,925 | ) | 1,111,598 | $ | 11,255,206 | (138,493 | ) | $ | (2,019,504 | ) | (47,050 | ) | $ | (1,537,586 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 5,139 | $ | 74,453 | 47,960 | $ | 737,223 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 220,611 | 2,832,651 | |||||||||||||||||||||||||||||||
Shares redeemed | (112,559 | ) | (1,638,620 | ) | (231,974 | ) | (3,443,728 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (107,420 | ) | $ | (1,564,167 | ) | 36,597 | $ | 126,146 |
347
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 231,896 | $ | 3,570,716 | 498,863 | $ | 7,961,570 | 1,436 | $ | 22,314 | 27,647 | $ | 456,167 | |||||||||||||||||||||||
Reinvested dividends | — | — | 6,803,120 | 97,896,896 | — | — | 235,747 | 3,390,043 | |||||||||||||||||||||||||||
Shares redeemed | (3,349,378 | ) | (51,380,912 | ) | (9,810,830 | ) | (161,893,601 | ) | (134,197 | ) | (2,068,946 | ) | (273,429 | ) | (4,448,967 | ) | |||||||||||||||||||
Net increase (decrease) | (3,117,482 | ) | $ | (47,810,196 | ) | (2,508,847 | ) | $ | (56,035,135 | ) | (132,761 | ) | $ | (2,046,632 | ) | (10,035 | ) | $ | (602,757 | ) | |||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 4,601 | $ | 70,360 | 47,316 | $ | 796,818 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 128,560 | 1,848,688 | |||||||||||||||||||||||||||||||
Shares redeemed | (95,053 | ) | (1,467,188 | ) | (183,684 | ) | (2,985,671 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (90,452 | ) | $ | (1,396,828 | ) | (7,808 | ) | $ | (340,165 | ) | |||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 24,227 | $ | 481,863 | 499,470 | $ | 9,839,476 | 4,126 | $ | 77,482 | 36,680 | $ | 688,041 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,163,109 | 19,737,962 | — | — | 155,146 | 2,500,958 | |||||||||||||||||||||||||||
Shares redeemed | (539,432 | ) | (10,714,398 | ) | (1,859,927 | ) | (36,130,090 | ) | (85,153 | ) | (1,600,738 | ) | (235,919 | ) | (4,293,891 | ) | |||||||||||||||||||
Net increase (decrease) | (515,205 | ) | $ | (10,232,535 | ) | (197,348 | ) | $ | (6,552,652 | ) | (81,027 | ) | $ | (1,523,256 | ) | (44,093 | ) | $ | (1,104,892 | ) | |||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 7,479 | $ | 135,811 | 38,865 | $ | 702,564 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 110,028 | 1,721,940 | |||||||||||||||||||||||||||||||
Shares redeemed | (66,350 | ) | (1,216,367 | ) | (160,575 | ) | (2,833,099 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (58,871 | ) | $ | (1,080,556 | ) | (11,682 | ) | $ | (408,595 | ) |
348
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 38,282 | $ | 611,165 | 109,769 | $ | 1,761,192 | 8,730 | $ | 140,540 | 22,732 | $ | 342,457 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,029,722 | 15,528,212 | — | — | 116,295 | 1,750,242 | |||||||||||||||||||||||||||
Shares redeemed | (717,250 | ) | (11,429,754 | ) | (1,241,435 | ) | (20,464,284 | ) | (107,640 | ) | (1,722,047 | ) | (210,065 | ) | (3,444,934 | ) | |||||||||||||||||||
Net increase (decrease) | (678,968 | ) | $ | (10,818,589 | ) | (101,944 | ) | $ | (3,174,880 | ) | (98,910 | ) | $ | (1,581,507 | ) | (71,038 | ) | $ | (1,352,235 | ) | |||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 4,625 | $ | 73,433 | 49,321 | $ | 794,876 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 73,961 | 1,110,901 | |||||||||||||||||||||||||||||||
Shares redeemed | (64,342 | ) | (1,023,486 | ) | (191,066 | ) | (3,136,658 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (59,717 | ) | $ | (950,053 | ) | (67,784 | ) | $ | (1,230,881 | ) | |||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 38,728 | $ | 514,457 | 1,106,310 | $ | 16,659,926 | 6,685 | $ | 87,184 | 50,342 | $ | 645,222 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,465,563 | 18,466,090 | — | — | 97,706 | 1,197,875 | |||||||||||||||||||||||||||
Shares redeemed | (1,055,177 | ) | (13,975,574 | ) | (2,343,519 | ) | (33,956,134 | ) | (83,238 | ) | (1,078,583 | ) | (208,679 | ) | (2,963,214 | ) | |||||||||||||||||||
Net increase (decrease) | (1,016,449 | ) | $ | (13,461,117 | ) | 228,354 | $ | 1,169,882 | (76,553 | ) | $ | (991,399 | ) | (60,631 | ) | $ | (1,120,117 | ) | |||||||||||||||||
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 5,705 | $ | 72,516 | 67,604 | $ | 892,123 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 70,380 | 847,374 | |||||||||||||||||||||||||||||||
Shares redeemed | (67,152 | ) | (849,650 | ) | (182,843 | ) | (2,529,096 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (61,447 | ) | $ | (777,134 | ) | (44,859 | ) | $ | (789,599 | ) |
349
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 287,626 | $ | 2,605,515 | 1,688,091 | $ | 14,845,106 | 21,949 | $ | 201,067 | 111,832 | $ | 1,030,164 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,407,347 | 11,751,350 | — | — | 58,022 | 485,644 | |||||||||||||||||||||||||||
Shares redeemed | (10,595,695 | ) | (94,559,213 | ) | (16,986,040 | ) | (163,000,447 | ) | (109,423 | ) | (994,523 | ) | (424,419 | ) | (3,942,664 | ) | |||||||||||||||||||
Net increase (decrease) | (10,308,069 | ) | $ | (91,953,698 | ) | (13,890,602 | ) | $ | (136,403,991 | ) | (87,474 | ) | $ | (793,456 | ) | (254,565 | ) | $ | (2,426,856 | ) | |||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 15,637 | $ | 142,663 | 91,543 | $ | 839,706 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 42,880 | 358,050 | |||||||||||||||||||||||||||||||
Shares redeemed | (125,962 | ) | (1,142,971 | ) | (336,401 | ) | (3,087,752 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (110,325 | ) | $ | (1,000,308 | ) | (201,978 | ) | $ | (1,889,996 | ) | |||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 4,647,309 | $ | 57,144,227 | 3,139,890 | $ | 36,016,159 | 55,697 | $ | 662,631 | 63,785 | $ | 729,517 | |||||||||||||||||||||||
Reinvested dividends | — | — | 2,578,605 | 28,725,661 | — | — | 50,044 | 557,493 | |||||||||||||||||||||||||||
Shares redeemed | (7,152,951 | ) | (86,255,645 | ) | (14,649,145 | ) | (166,779,276 | ) | (143,026 | ) | (1,700,811 | ) | (505,431 | ) | (5,768,231 | ) | |||||||||||||||||||
Net increase (decrease) | (2,505,642 | ) | $ | (29,111,418 | ) | (8,930,650 | ) | $ | (102,037,456 | ) | (87,329 | ) | $ | (1,038,180 | ) | (391,602 | ) | $ | (4,481,221 | ) | |||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 20,354 | $ | 244,470 | 41,075 | $ | 469,692 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 32,805 | 363,804 | |||||||||||||||||||||||||||||||
Shares redeemed | (105,963 | ) | (1,258,449 | ) | (281,047 | ) | (3,185,819 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (85,609 | ) | $ | (1,013,979 | ) | (207,167 | ) | $ | (2,352,323 | ) |
350
SA Wellington Real Return Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 163,041 | $ | 1,588,163 | 1,157,894 | $ | 11,125,252 | 780,151 | $ | 7,502,284 | 5,372,170 | $ | 51,083,592 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,371,162 | 12,751,810 | — | — | 1,439,908 | 13,319,152 | |||||||||||||||||||||||||||
Shares redeemed | (5,585,146 | ) | (54,697,189 | ) | (4,842,227 | ) | (46,449,162 | ) | (2,792,864 | ) | (26,749,346 | ) | (8,947,434 | ) | (84,346,501 | ) | |||||||||||||||||||
Net increase (decrease) | (5,422,105 | ) | $ | (53,109,026 | ) | (2,313,171 | ) | $ | (22,572,100 | ) | (2,012,713 | ) | $ | (19,247,062 | ) | (2,135,356 | ) | $ | (19,943,757 | ) | |||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 112,571 | $ | 2,000,398 | 427,897 | $ | 8,858,772 | 6,448 | $ | 118,111 | 25,474 | $ | 453,231 | |||||||||||||||||||||||
Reinvested dividends | — | — | 2,378,715 | 38,558,899 | — | — | 110,495 | 1,793,836 | |||||||||||||||||||||||||||
Shares redeemed | (891,571 | ) | (15,962,973 | ) | (1,408,948 | ) | (27,780,511 | ) | (40,603 | ) | (729,975 | ) | (101,495 | ) | (2,023,959 | ) | |||||||||||||||||||
Net increase (decrease) | (779,000 | ) | $ | (13,962,575 | ) | 1,397,664 | $ | 19,637,160 | (34,155 | ) | $ | (611,864 | ) | 34,474 | $ | 223,108 | |||||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 3,614 | $ | 65,286 | 19,564 | $ | 348,238 | |||||||||||||||||||||||||||||
Reinvested dividends | — | — | 74,480 | 1,208,476 | |||||||||||||||||||||||||||||||
Shares redeemed | (39,760 | ) | (712,025 | ) | (90,299 | ) | (1,801,547 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (36,146 | ) | $ | (646,739 | ) | 3,745 | $ | (244,833 | ) | ||||||||||||||||||||||||||
SA Allocation Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | — | $ | — | 7,841 | $ | 116,733 | 2,423,541 | $ | 32,932,400 | 3,667,506 | $ | 51,769,854 | |||||||||||||||||||||||
Reinvested dividends | — | — | 2,458 | 28,926 | — | — | 1,328,234 | 15,620,036 | |||||||||||||||||||||||||||
Shares redeemed | (158 | ) | (2,172 | ) | (9,574 | ) | (113,209 | ) | (536,710 | ) | (7,264,926 | ) | (1,252,717 | ) | (17,764,667 | ) | |||||||||||||||||||
Net increase (decrease) | (158 | ) | $ | (2,172 | ) | 725 | $ | 32,450 | 1,886,831 | $ | 25,667,474 | 3,743,023 | $ | 49,625,223 |
351
SA Allocation Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 17,476 | $ | 180,000 | 24,275 | $ | 233,304 | 1,076,000 | $ | 11,137,316 | 2,174,989 | $ | 24,310,642 | |||||||||||||||||||||||
Reinvested dividends | — | — | 2,666 | 24,207 | — | — | 8,204,489 | 74,578,805 | |||||||||||||||||||||||||||
Shares redeemed | (197 | ) | (2,049 | ) | (2,362 | ) | (27,847 | ) | (3,221,791 | ) | (33,266,025 | ) | (7,793,728 | ) | (87,984,894 | ) | |||||||||||||||||||
Net increase (decrease) | 17,279 | $ | 177,951 | 24,579 | $ | 229,664 | (2,145,791 | ) | $ | (22,128,709 | ) | 2,585,750 | $ | 10,904,553 | |||||||||||||||||||||
SA Allocation Moderate Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | — | $ | — | 9,307 | $ | 90,000 | 741,146 | $ | 7,723,259 | 1,674,533 | $ | 18,516,223 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,846 | 17,134 | — | — | 4,612,866 | 42,807,399 | |||||||||||||||||||||||||||
Shares redeemed | (72 | ) | (757 | ) | (7 | ) | (72 | ) | (2,016,444 | ) | (21,065,235 | ) | (4,518,169 | ) | (50,401,981 | ) | |||||||||||||||||||
Net increase (decrease) | (72 | ) | $ | (757 | ) | 11,146 | $ | 107,062 | (1,275,298 | ) | $ | (13,341,976 | ) | 1,769,230 | $ | 10,921,641 | |||||||||||||||||||
SA Allocation Balanced Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | For the six months ended September 30, 2019 (unaudited) | For the year ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 2,372 | $ | 23,129 | — | $ | — | 1,180,237 | $ | 11,688,892 | 2,056,722 | $ | 21,522,039 | |||||||||||||||||||||||
Reinvested dividends | — | — | 1,715 | 15,311 | — | — | 3,223,572 | 28,786,501 | |||||||||||||||||||||||||||
Shares redeemed | (4 | ) | (45 | ) | — | — | (1,478,403 | ) | (14,611,684 | ) | (3,852,341 | ) | (40,084,512 | ) | |||||||||||||||||||||
Net increase (decrease) | 2,368 | $ | 23,084 | 1,715 | $ | 15,311 | (298,166 | ) | $ | (2,922,792 | ) | 1,427,953 | $ | 10,224,028 |
Note 8. Transactions with Affiliates: The following Portfolio incurred brokerage commissions with affiliated brokers for the six months ended September 30, 2019:
Portfolio | Goldman Sachs & Co. | Morgan Stanley | |||||||||
SA Multi-Managed Moderate Growth | $ | — | $ | 147 | |||||||
SA Multi-Managed Income/Equity | — | 62 | |||||||||
SA Multi-Managed Income | — | 32 | |||||||||
SA Multi-Managed Large Cap Growth | 100 | 626 |
As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust, SunAmerica Series Trust or Anchor Series Trust and securities issued by American International Group, Inc.("AIG") or an affiliate thereof. For the six months ended September 30, 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, 2019 | Cost of Purchases | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
American International Group, Inc. | $ | 11,973 | $ | — | $ | 841,091 | $ | 15,813 | $ | 57,489 | $ | (2,991 | ) | $ | 243,606 | $ | 1,040,030 |
352
SA Allocation Growth Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 2,510,367 | $ | 1,957,502 | $ | 57,205 | $ | 1,824 | $ | 172,942 | $ | 4,585,430 | |||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 4,856,754 | 837,289 | 77,517 | 2,121 | 283,572 | 5,902,219 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 14,047,295 | 2,080,141 | 3,219,341 | 260,334 | (98,128 | ) | 13,070,301 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 12,848,864 | 2,162,999 | 860,252 | 81,915 | 577,932 | 14,811,458 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 16,823,145 | 2,736,350 | 3,197,427 | (187,550 | ) | 1,134,171 | 17,308,689 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 2,201,914 | 362,827 | 33,591 | 6,992 | 67,752 | 2,605,894 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 2,593,604 | 460,509 | 42,634 | (912 | ) | 99,799 | 3,110,366 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 2,222,977 | 390,735 | 36,175 | 6,382 | 43,914 | 2,627,833 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 4,090,617 | 711,698 | 65,890 | (139 | ) | 138,314 | 4,874,600 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 5,220,935 | 837,290 | 177,517 | 16,522 | 263,884 | 6,161,114 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 333,130 | 55,820 | 5,168 | 85 | 3,925 | 387,792 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | 1,995,871 | 348,872 | 32,299 | (4,098 | ) | (80,544 | ) | 2,227,802 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 3,085,128 | 488,675 | 344,095 | (16,892 | ) | 221,998 | 3,434,814 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | — | — | — | 1,538,038 | 2,439 | 34 | 37,734 | 1,573,367 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | — | — | — | 3,746,078 | 49,988 | 1,212 | 144,253 | 3,841,555 | |||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 8,099,838 | 1,395,484 | 129,195 | 5,860 | 532,807 | 9,904,794 | |||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 1,252,033 | 223,277 | 20,671 | 941 | 49,378 | 1,504,958 | |||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 1,239,000 | 237,231 | 21,963 | (5,119 | ) | 76,684 | 1,525,833 | ||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 4,772,328 | 837,291 | 77,517 | (5,539 | ) | 122,422 | 5,648,985 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 1,577,992 | 279,096 | 25,839 | 2,926 | 4,220 | 1,838,395 |
353
SA Allocation Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | $ | — | $ | — | $ | 2,206,946 | $ | 376,781 | $ | 34,883 | $ | 5,638 | $ | 188,696 | $ | 2,743,178 | |||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 2,477,701 | 356,233 | 461,260 | 44,413 | (115,169 | ) | 2,301,918 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 8,148,347 | 1,356,452 | 723,834 | 22,097 | 568,818 | 9,371,880 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 2,984,967 | 3,620,853 | 84,824 | 2,134 | 288,301 | 6,811,431 | |||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 2,543,479 | 404,691 | 337,467 | 32,441 | 73,312 | 2,716,456 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 4,333,150 | 739,605 | 68,473 | 8,378 | 219,839 | 5,232,499 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 11,349,168 | 1,953,677 | 180,873 | 17,903 | 678,995 | 13,818,870 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 4,405,692 | 728,483 | 415,696 | 19,182 | 285,894 | 5,023,555 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 3,212,530 | 558,193 | 51,678 | (2,671 | ) | 132,740 | 3,849,114 | ||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 6,454,450 | 1,116,387 | 103,356 | 9,688 | 297,582 | 7,774,751 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 2,451,027 | 446,555 | 41,342 | 2,144 | 66,053 | 2,924,437 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 4,825,527 | 837,291 | 77,517 | (4,290 | ) | 42,876 | 5,623,887 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 6,002,665 | 1,046,613 | 96,896 | 4,081 | 415,688 | 7,372,151 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 1,776,228 | 265,399 | 343,424 | (9,309 | ) | 72,719 | 1,761,613 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 3,609,309 | 627,968 | 58,138 | (7,763 | ) | 90,473 | 4,261,849 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 4,664,290 | 837,290 | 77,517 | 3,070 | (43,792 | ) | 5,383,341 | ||||||||||||||||||||||||||
$ | — | $ | — | $ | 161,217,268 | $ | 36,959,673 | $ | 11,633,901 | $ | 314,035 | $ | 7,060,054 | $ | 193,917,129 |
† Includes reinvestment of distributions paid.
SA Allocation Moderate Growth Portfolio
Security | Net Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 12,057,200 | $ | 4,907,211 | $ | 823,895 | $ | 8,855 | $ | 695,746 | $ | 16,845,117 | |||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 47,780,997 | 307,562 | 2,674,965 | 9,202 | 2,501,730 | 47,924,526 |
354
SA Allocation Moderate Growth Portfolio (continued)
Security | Net Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | $ | — | $ | — | $ | 30,197,392 | $ | 157,390 | $ | 7,244,600 | $ | 142,813 | $ | 207,308 | $ | 23,460,303 | |||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 30,600,596 | 191,371 | 3,350,764 | 424,605 | 1,121,412 | 28,987,220 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 39,037,694 | 231,536 | 7,210,737 | (128,195 | ) | 2,172,785 | 34,103,083 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 4,624,815 | 29,902 | 257,932 | 20,484 | 147,029 | 4,564,298 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 6,213,614 | 41,862 | 361,105 | 15,662 | 199,991 | 6,110,024 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 5,012,417 | 34,387 | 296,622 | (3,571 | ) | 113,181 | 4,859,792 | ||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 19,808,004 | 128,576 | 1,109,107 | (27,008 | ) | 636,803 | 19,437,268 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 12,051,142 | 74,754 | 1,019,830 | 88,988 | 517,335 | 11,712,389 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 2,303,928 | 14,951 | 128,966 | 2,002 | 23,204 | 2,215,119 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | 4,587,495 | 29,902 | 257,932 | (22,022 | ) | (148,131 | ) | 4,189,312 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 16,340,022 | 67,594 | 7,387,483 | (317,126 | ) | 1,071,648 | 9,774,655 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | — | — | — | 3,207,254 | 26,716 | 215 | 78,703 | 3,259,456 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | — | — | — | 7,767,602 | 324,112 | 7,019 | 301,693 | 7,752,202 | |||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 24,177,551 | 155,489 | 1,341,246 | 25,242 | 1,403,264 | 24,420,300 | |||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 6,593,704 | 41,862 | 361,105 | 12,253 | 225,218 | 6,511,932 | |||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 3,806,645 | 25,416 | 219,242 | (47,851 | ) | 234,656 | 3,799,624 | ||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 10,371,690 | 67,279 | 580,347 | (23,230 | ) | 263,091 | 10,098,483 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 3,979,587 | 25,416 | 219,242 | 23,363 | 20,443 | 3,829,567 | |||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 4,696,483 | 29,902 | 257,932 | 38,487 | 347,442 | 4,854,382 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 5,716,643 | 30,377 | 1,044,751 | 110,283 | (249,395 | ) | 4,563,157 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 18,496,520 | 117,045 | 1,568,400 | 50,656 | 1,197,947 | 18,293,768 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 18,603,391 | 8,873,232 | 1,355,662 | 2,635 | 1,373,036 | 27,496,632 |
355
SA Allocation Moderate Growth Portfolio (continued)
Security | Net Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | $ | — | $ | — | $ | 5,502,701 | $ | 32,892 | $ | 283,725 | $ | 27,064 | $ | 206,056 | $ | 5,484,988 | |||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 8,759,261 | 55,318 | 477,174 | 58,168 | 380,718 | 8,776,291 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 29,568,504 | 188,380 | 1,624,971 | 165,552 | 1,516,020 | 29,813,485 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 8,523,073 | 51,475 | 1,057,182 | 52,599 | 482,613 | 8,052,578 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 8,068,038 | 52,328 | 451,381 | (13,955 | ) | 312,029 | 7,967,059 | ||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 16,486,888 | 104,656 | 902,762 | 84,459 | 670,790 | 16,444,031 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 4,746,958 | 29,902 | 257,932 | 17,467 | 107,038 | 4,643,433 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 13,166,497 | 83,724 | 722,209 | (24,614 | ) | 128,988 | 12,632,386 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 14,083,596 | 89,705 | 1,273,796 | 44,584 | 878,498 | 13,822,587 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 9,264,773 | 45,802 | 2,720,537 | 14,445 | 275,658 | 6,880,141 | |||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 6,626,786 | 43,357 | 374,001 | (38,315 | ) | 179,565 | 6,437,392 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 11,210,837 | 74,754 | 644,830 | (14,881 | ) | (49,879 | ) | 10,576,001 | |||||||||||||||||||||||||
$ | — | $ | — | $ | 463,065,442 | $ | 27,410,165 | $ | 50,213,193 | $ | 786,334 | $ | 19,544,233 | $ | 460,592,981 |
† Includes reinvestment of distributions paid.
SA Allocation Moderate Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 9,601,795 | $ | 4,430,016 | $ | 691,350 | $ | 9,614 | $ | 567,317 | $ | 13,917,392 | |||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 39,202,919 | 422,012 | 2,275,807 | 9,815 | 2,060,705 | 39,419,644 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 16,680,179 | 143,794 | 4,626,123 | 92,394 | 81,919 | 12,372,163 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 19,625,652 | 205,817 | 1,999,271 | 275,618 | 719,242 | 18,827,058 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 22,209,571 | 224,904 | 4,316,921 | (74,845 | ) | 1,236,100 | 19,278,809 |
356
SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | $ | — | $ | — | $ | 3,007,393 | $ | 31,665 | $ | 170,657 | $ | 21,412 | $ | 87,325 | $ | 2,977,138 | |||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 3,698,986 | 39,580 | 213,321 | (29,556 | ) | 158,662 | 3,654,351 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 2,787,002 | 31,665 | 170,657 | 15,287 | 46,133 | 2,709,430 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | — | — | 15,844,966 | 170,987 | 921,548 | (20,769 | ) | 511,006 | 15,584,642 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 6,758,747 | 71,244 | 383,978 | 31,877 | 310,167 | 6,788,057 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 1,568,532 | 17,415 | 93,861 | 1,496 | 15,722 | 1,509,304 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | 2,619,136 | 28,497 | 153,591 | (13,566 | ) | (83,914 | ) | 2,396,562 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 13,384,418 | 103,534 | 6,077,215 | (257,343 | ) | 880,031 | 8,033,425 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | — | — | — | 1,904,126 | 21,481 | 227 | 46,635 | 1,929,507 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | — | — | — | 4,656,921 | 196,156 | 4,436 | 192,534 | 4,657,735 | |||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 19,995,320 | 213,732 | 1,151,935 | 25,762 | 1,161,531 | 20,244,410 | |||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 7,648,643 | 82,326 | 443,708 | 16,169 | 260,330 | 7,563,760 | |||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 1,134,293 | 12,666 | 68,263 | (14,710 | ) | 70,862 | 1,134,848 | ||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 1,745,323 | 18,998 | 102,394 | (5,262 | ) | 45,589 | 1,702,254 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 1,539,339 | 15,832 | 85,329 | 9,027 | 7,781 | 1,486,650 | |||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 2,318,431 | 23,748 | 277,993 | 12,762 | 172,107 | 2,249,055 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 2,935,661 | 25,114 | 690,008 | 72,355 | (145,034 | ) | 2,198,088 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 10,305,944 | 108,889 | 937,535 | 30,288 | 666,024 | 10,173,610 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 14,817,491 | 6,609,125 | 1,098,055 | 5,928 | 1,075,402 | 21,409,891 | |||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 3,005,434 | 31,664 | 320,657 | 30,599 | 97,250 | 2,844,290 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 4,639,454 | 47,496 | 255,986 | 31,111 | 201,902 | 4,663,977 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 14,879,266 | 158,320 | 853,285 | 87,147 | 761,796 | 15,033,244 |
357
SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | $ | — | $ | — | $ | 4,540,048 | $ | 44,592 | $ | 741,338 | $ | 36,374 | $ | 241,665 | $ | 4,121,341 | |||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 5,941,928 | 63,328 | 341,314 | (10,892 | ) | 231,365 | 5,884,415 | ||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 9,045,524 | 94,993 | 761,971 | 74,338 | 341,614 | 8,794,498 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 2,199,474 | 23,749 | 127,993 | 8,605 | 49,355 | 2,153,190 | |||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 6,061,150 | 63,329 | 341,314 | (12,467 | ) | 59,934 | 5,830,632 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 8,147,687 | 87,077 | 669,307 | 23,964 | 513,817 | 8,103,238 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 7,378,355 | 63,440 | 2,103,084 | (3,595 | ) | 237,386 | 5,572,502 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 2,829,550 | 31,664 | 170,657 | (17,935 | ) | 78,151 | 2,750,773 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 7,108,910 | 79,161 | 426,643 | (10,732 | ) | (30,309 | ) | 6,720,387 | |||||||||||||||||||||||||
$ | — | $ | — | $ | 295,206,521 | $ | 20,381,420 | $ | 34,280,706 | $ | 454,933 | $ | 12,928,102 | $ | 294,690,270 |
† Includes reinvestment of distributions paid.
SA Allocation Balanced Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
Anchor Series Trust | |||||||||||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | $ | — | $ | — | $ | 9,288,277 | $ | 4,004,730 | $ | 564,673 | $ | 7,603 | $ | 545,251 | $ | 13,281,188 | |||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 40,650,734 | 1,448,617 | 2,084,231 | 40,610 | 2,145,068 | 42,200,798 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 8,426,223 | 217,356 | 3,195,151 | 196,263 | (129,831 | ) | 5,514,860 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 9,421,725 | 323,979 | 955,060 | 118,973 | 355,589 | 9,265,206 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 11,426,639 | 376,743 | 2,491,176 | (57,675 | ) | 646,450 | 9,900,981 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 1,673,164 | 57,172 | 82,069 | 10,003 | 49,343 | 1,707,613 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 1,918,944 | 68,606 | 98,483 | (13,856 | ) | 81,096 | 1,956,307 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 1,520,330 | 57,172 | 82,069 | 5,833 | 27,199 | 1,528,465 |
358
SA Allocation Balanced Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio, Class 1 | $ | — | $ | — | $ | 15,575,099 | $ | 567,917 | $ | 815,223 | $ | (19,062 | ) | $ | 507,287 | $ | 15,816,018 | ||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 3,925,454 | 133,402 | 341,495 | 29,685 | 169,283 | 3,916,329 | |||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 1,639,425 | 57,171 | 82,069 | 1,308 | 16,987 | 1,632,822 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | — | — | 1,490,964 | 53,361 | 76,598 | (7,551 | ) | (50,201 | ) | 1,409,975 | |||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | — | — | 13,040,730 | 357,773 | 5,022,201 | (217,452 | ) | 870,418 | 9,029,268 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | — | — | — | 1,003,935 | 11,026 | 109 | 24,557 | 1,017,575 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | — | — | — | 2,780,782 | 106,097 | 1,599 | 117,488 | 2,793,772 | |||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 19,053,580 | 670,826 | 962,948 | 20,746 | 1,132,434 | 19,914,638 | |||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 5,914,071 | 209,634 | 300,922 | 5,200 | 212,277 | 6,040,260 | |||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 657,479 | 22,869 | 32,828 | (7,076 | ) | 40,272 | 680,716 | ||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | — | — | 1,467,404 | 53,361 | 76,598 | (4,256 | ) | 37,997 | 1,477,908 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 1,164,437 | 38,115 | 54,713 | 5,579 | 5,557 | 1,158,975 | |||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 1,137,289 | 38,116 | 54,713 | 8,089 | 86,403 | 1,215,184 | |||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 1,483,957 | 42,037 | 379,623 | (1,592 | ) | (35,974 | ) | 1,108,805 | |||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 5,693,995 | 189,862 | 723,498 | 22,025 | 356,888 | 5,539,272 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 14,404,600 | 5,937,128 | 910,376 | 3,614 | 1,031,304 | 20,466,270 | |||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 1,796,149 | 57,173 | 307,069 | 28,912 | 46,875 | 1,622,040 | |||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 3,418,495 | 114,347 | 164,139 | 19,479 | 152,514 | 3,540,696 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 7,500,093 | 262,995 | 377,519 | 37,387 | 393,122 | 7,816,078 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 3,341,261 | 109,819 | 158,601 | 8,345 | 216,158 | 3,516,982 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | — | — | 2,757,279 | 95,288 | 136,782 | (4,886 | ) | 107,543 | 2,818,442 | ||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 4,864,824 | 167,708 | 240,737 | 21,696 | 201,343 | 5,014,834 |
359
SA Allocation Balanced Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2019 | Cost of Purchases† | Proceeds of Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at September 30, 2019 | |||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | $ | — | $ | — | $ | 1,125,432 | $ | 38,115 | $ | 54,713 | $ | 3,527 | $ | 25,939 | $ | 1,138,300 | |||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 3,504,404 | 260,780 | 180,553 | (7,548 | ) | 39,158 | 3,616,241 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | — | — | 4,456,227 | 152,461 | 493,852 | 16,116 | 274,409 | 4,405,361 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 6,473,533 | 189,054 | 1,768,864 | (11,288 | ) | 219,588 | 5,102,023 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 1,752,846 | 64,796 | 93,012 | (10,095 | ) | 47,273 | 1,761,808 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 3,949,602 | 144,838 | 207,909 | (5,585 | ) | (20,769 | ) | 3,860,177 | |||||||||||||||||||||||||
$ | — | $ | — | $ | 215,914,665 | $ | 20,368,038 | $ | 23,687,590 | $ | 244,779 | $ | 9,946,295 | $ | 222,786,187 |
† 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 September 30, 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 | 1.75 | % | 98.25 | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 0.54 | 99.46 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 0.57 | 99.43 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | 0.92 | 99.08 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 3.04 | 96.96 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | 0.21 | 21.74 | — | — | — | — | 78.05 | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 0.15 | 10.81 | 1.88 | 3.00 | 5.88 | 3.82 | 41.61 | 32.85 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 0.05 | 5.36 | 1.36 | 2.37 | 4.67 | 2.64 | 47.82 | 35.73 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 0.30 | 18.24 | 0.77 | 1.17 | 2.05 | 1.34 | 42.44 | 33.69 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 0.21 | 16.50 | 0.86 | 1.37 | 2.69 | 1.61 | 58.38 | 18.38 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 0.19 | 10.53 | 0.60 | 1.03 | 1.91 | 1.07 | 34.10 | 50.57 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 0.18 | 8.72 | 1.56 | 3.70 | 6.64 | 3.50 | 51.42 | 24.28 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 0.06 | 3.43 | 4.30 | 0.60 | 4.89 | 4.02 | 65.05 | 17.65 | |||||||||||||||||||||||||||
SA Wellington Real Return Portfolio | 3.06 | 53.35 | 2.34 | 0.72 | 2.87 | 2.30 | 26.07 | 9.29 | |||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio | 0.10 | 7.55 | — | — | — | — | 60.49 | 31.86 | |||||||||||||||||||||||||||
SA Allocation Growth Portfolio | 6.13 | 93.87 | — | — | — | — | — | — |
360
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 Allocation Moderate Growth Portfolio | 6.14 | % | 93.86 | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||
SA Allocation Moderate Portfolio | 7.29 | 92.71 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Balanced Portfolio | 9.16 | 90.84 | — | — | — | — | — | — |
Note 9. Investment Concentration: The International Equity Portfolio invests internationally, including in "emerging market" countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.
Each Portfolio may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities of such issuer might not be able to recover its investment from the U.S. Government. As a result of the SA Multi-Managed Moderate Growth, SA Multi-Managed Income/Equity, SA Multi-Managed Income, and SA Multi-Managed Diversified Fixed Income Portfolios' concentration in such investments, these funds may be subject to risks associated with U.S. Government agencies or instrumentalities.
Note 10. Line of Credit: The Trust has access to a $75 million committed unsecured line of credit and, along with certain other funds managed by the Adviser, a $50 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company ("State Street"), the Trust's custodian. Interest is currently payable on the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street's discretionary bid rate on the uncommitted line of credit. The Trust, on behalf of each of the Portfolios, has paid State Street for its own account, such Portfolio's ratable portion of an upfront fee in an amount equal to $25,000 in the aggregate for the uncommitted line of credit made available by State Street to certain other funds managed by the Adviser, which are also party to the uncommitted line of credit. There is also a commitment fee of 25 basis points per annum on the daily unused portion of the committed line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000. For the six months ended September 30, 2019, the following Portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | |||||||||||||||
SA Multi-Managed Growth | 7 | $ | 403 | $ | 564,286 | 3.22 | % | ||||||||||||
SA Multi-Managed Moderate Growth | 11 | 491 | 438,636 | 3.69 | |||||||||||||||
SA Multi-Managed Income/Equity | 4 | 162 | 400,000 | 3.65 | |||||||||||||||
SA Multi-Managed Income | 4 | 58 | 143,751 | 3.65 | |||||||||||||||
SA Multi-Managed Large Cap Growth | 26 | 1,238 | 467,540 | 3.65 | |||||||||||||||
SA Multi-Managed Large Cap Value | 16 | 1,425 | 929,688 | 3.55 | |||||||||||||||
SA Multi-Managed International Equity | 6 | 1,350 | 2,195,833 | 3.69 | |||||||||||||||
SA Wellington Real Return | 4 | 10,518 | 28,006,250 | 3.38 | |||||||||||||||
SA Columbia Focused Value | 2 | 91 | 437,500 | 3.73 |
As of September 30, 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
361
other remuneration is paid in connection with such transactions. For the six months ended September 30, 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 | $ | 335,773 | $ | — | $ | — | |||||||||
SA Multi-Managed Large Cap Value | 1,330,720 | 1,108,692 | 61,259 | ||||||||||||
SA Multi-Managed Mid Cap Value | 126,333 | 111,827 | 60,023 |
Note 12. Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the six months ended September 30, 2019, none of the Portfolios participated in this program.
Note 13. Unfunded Loan Commitments: At September 30, 2019, the SA Wellington Real Return Portfolio had the following unfunded loan commitment which could be extended at the option of the Borrower:
Borrower | Principal Type | Maturity Date | Amount | Value | |||||||||||||||
Allied Universal Holdco. LLC | Delayed Draw | 7/10/2026 | $ | 11,944 | $ | 11,952 |
362
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 16.37 | 0.01 | 0.61 | 0.62 | — | — | — | 16.99 | 3.79 | 9,105 | 1.30 | #(2) | 0.16 | #(2) | 62 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 16.36 | — | 0.60 | 0.60 | — | — | — | 16.96 | 3.67 | 16,902 | 1.45 | #(2) | 0.01 | #(2) | 62 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 16.33 | (0.01 | ) | 0.60 | 0.59 | — | — | — | 16.92 | 3.61 | 21,014 | 1.55 | #(2) | (0.09 | )#(2) | 62 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 03/31/19 | 09/30/19#@ | |||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 0.04 | % | 0.07 | % | |||||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | 0.04 | 0.06 | ||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.04 | 0.06 |
See Notes to Financial Statements
363
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 12.61 | 0.05 | 0.45 | 0.50 | — | — | — | 13.11 | 3.97 | 8,834 | 1.12 | #(2) | 0.79 | #(2) | 50 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 12.59 | 0.04 | 0.45 | 0.49 | — | — | — | 13.08 | 3.89 | 38,369 | 1.27 | #(2) | 0.64 | #(2) | 50 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 12.58 | 0.04 | 0.44 | 0.48 | — | — | — | 13.06 | 3.82 | 30,871 | 1.37 | #(2) | 0.54 | #(2) | 50 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 03/31/19 | 09/30/19#@ | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | 0.03 | % | 0.05 | % | |||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.00 | 0.03 | 0.05 | ||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 | 0.03 | 0.05 |
See Notes to Financial Statements
364
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.16 | 0.08 | 0.49 | 0.57 | — | — | — | 11.73 | 5.11 | 7,812 | 1.15 | #(2) | 1.37 | #(2) | 48 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.14 | 0.07 | 0.49 | 0.56 | — | — | — | 11.70 | 5.03 | 29,925 | 1.30 | #(2) | 1.22 | #(2) | 48 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.15 | 0.06 | 0.49 | 0.55 | — | — | — | 11.70 | 4.93 | 17,482 | 1.40 | #(2) | 1.12 | #(2) | 48 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/19 | 09/30/19#@ | ||||||||||
Multi-Managed Income/Equity Portfolio Class 1 | 0.03 | % | 0.04 | % | |||||||
Multi-Managed Income/Equity Portfolio Class 2 | 0.03 | 0.04 | |||||||||
Multi-Managed Income/Equity Portfolio Class 3 | 0.03 | 0.04 |
See Notes to Financial Statements
365
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.06 | 0.11 | 0.46 | 0.57 | — | — | — | 11.63 | 5.15 | 5,079 | 1.22 | #(2) | 1.84 | #(2) | 37 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.05 | 0.10 | 0.46 | 0.56 | — | — | — | 11.61 | 5.07 | 24,005 | 1.36 | #(2) | 1.69 | #(2) | 37 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.05 | 0.09 | 0.47 | 0.56 | — | — | — | 11.61 | 5.07 | 14,345 | 1.46 | #(2) | 1.59 | #(2) | 37 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||||
SA Multi-Managed Income Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/19 | 09/30/19#@ | ||||||||||
Multi-Managed Income Portfolio Class 1 | 0.02 | % | 0.03 | % | |||||||
Multi-Managed Income Portfolio Class 2 | 0.02 | 0.03 | |||||||||
Multi-Managed Income Portfolio Class 3 | 0.02 | 0.03 |
See Notes to Financial Statements
366
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.72 | 0.13 | 0.19 | 0.32 | — | — | — | 12.04 | 2.73 | 14,487 | 0.90 | # | 2.25 | # | 38 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.72 | 0.13 | 0.18 | 0.31 | — | — | — | 12.03 | 2.65 | 49,533 | 1.05 | # | 2.10 | # | 38 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.69 | 0.12 | 0.18 | 0.30 | — | — | — | 11.99 | 2.57 | 107,462 | 1.15 | # | 2.00 | # | 38 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.12 | % | 0.15 | % | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | 0.10 | 0.10 | 0.10 | 0.10 | 0.12 | 0.15 | |||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | 0.10 | 0.10 | 0.10 | 0.10 | 0.12 | 0.15 |
(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
367
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 | ||||||||||||||||||||||||||||||||||||||||
09/30/19@ | 22.70 | (0.01 | ) | 0.56 | 0.55 | — | — | — | 23.25 | 2.42 | 318,873 | 0.89 | # | (0.11 | )# | 11 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 21.84 | (0.03 | ) | 0.55 | 0.52 | — | — | — | 22.36 | 2.38 | 39,007 | 1.04 | # | (0.26 | )# | 11 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 21.32 | (0.04 | ) | 0.53 | 0.49 | — | — | — | 21.81 | 2.30 | 31,912 | 1.14 | # | (0.36 | )# | 11 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 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
368
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 14.36 | 0.02 | 0.72 | 0.74 | — | — | — | 15.10 | 5.15 | 443,221 | 0.76 | #(2) | 0.25 | #(2) | 39 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 14.03 | 0.01 | 0.70 | 0.71 | — | — | — | 14.74 | 5.06 | 31,509 | 0.91 | #(2) | 0.10 | #(2) | 39 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 13.86 | 0.00 | 0.69 | 0.69 | — | — | — | 14.55 | 4.98 | 16,998 | 1.01 | #(2) | 0.00 | #(2) | 39 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/19 | 09/30/19#@ | ||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.05 | % | 0.07 | % | |||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.05 | 0.07 | |||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.05 | 0.07 |
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 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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 14.98 | 0.14 | 0.75 | 0.89 | — | — | — | 15.87 | 5.94 | 694,679 | 0.80 | # | 1.86 | # | 21 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 14.96 | 0.13 | 0.76 | 0.89 | — | — | — | 15.85 | 5.95 | 23,520 | 0.95 | # | 1.71 | # | 21 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 14.96 | 0.12 | 0.76 | 0.88 | — | — | — | 15.84 | 5.88 | 12,466 | 1.05 | # | 1.61 | # | 21 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 18.98 | (0.02 | ) | 0.70 | 0.68 | — | — | — | 19.66 | 3.58 | 184,204 | 0.95 | # | (0.24 | )# | 23 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 18.02 | (0.04 | ) | 0.68 | 0.64 | — | — | — | 18.66 | 3.55 | 21,681 | 1.10 | # | (0.39 | )# | 23 | |||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 17.49 | (0.04 | ) | 0.64 | 0.60 | — | — | — | 18.09 | 3.43 | 14,253 | 1.20 | # | (0.49 | )# | 23 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 1 | 0.00 | % | 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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
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 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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 15.70 | 0.10 | 0.46 | 0.56 | — | — | — | 16.26 | 3.57 | 191,857 | 0.96 | # | 1.30 | # | 16 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 15.65 | 0.09 | 0.46 | 0.55 | — | — | — | 16.20 | 3.51 | 21,465 | 1.11 | # | 1.15 | # | 16 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 15.62 | 0.08 | 0.46 | 0.54 | — | — | — | 16.16 | 3.46 | 13,747 | 1.21 | # | 1.05 | # | 16 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
09/30/19@ | 13.06 | 0.02 | 0.27 | 0.29 | — | — | — | 13.35 | 2.22 | 228,123 | 0.94 | # | 0.28 | # | 15 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
09/30/19@ | 12.69 | 0.01 | 0.27 | 0.28 | — | — | — | 12.97 | 2.21 | 14,759 | 1.09 | # | 0.13 | # | 15 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||
09/30/19@ | 12.47 | 0.00 | 0.26 | 0.26 | — | — | — | 12.73 | 2.09 | 10,092 | 1.19 | # | 0.03 | # | 15 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) 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 | 09/30/19#@ | ||||||||||||||||||||||
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 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/18 | 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
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 | 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 | |||||||||||||||||||||||||||||||||||
09/30/19@ | 8.98 | 0.13 | 0.02 | 0.15 | — | — | — | 9.13 | 1.67 | 323,031 | 1.04 | #(2) | 2.87 | #(2) | 9 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
09/30/19@ | 9.00 | 0.12 | 0.02 | 0.14 | — | — | — | 9.14 | 1.56 | 17,443 | 1.19 | #(2) | 2.57 | #(2) | 9 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||
09/30/19@ | 8.97 | 0.11 | 0.03 | 0.14 | — | — | — | 9.11 | 1.56 | 12,893 | 1.29 | #(2) | 2.48 | #(2) | 9 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.63 | 0.16 | 0.47 | 0.63 | — | — | — | 12.26 | 5.42 | 948,450 | 0.69 | # | 2.63 | # | 21 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.62 | 0.15 | 0.47 | 0.62 | — | — | — | 12.24 | 5.34 | 19,867 | 0.84 | # | 2.48 | # | 21 | ||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
09/30/19@ | 11.56 | 0.14 | 0.47 | 0.61 | — | — | — | 12.17 | 5.28 | 12,343 | 0.94 | # | 2.39 | # | 21 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 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 | 09/30/19#@ | ||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.01 | % | 0.04 | % | 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 | 0.04 | |||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.01 | 0.04 | 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
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 | 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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 9.50 | 0.16 | 0.14 | 0.30 | — | — | — | 9.80 | 3.16 | 295,310 | 0.59 | #(1) | 3,34 | #(1) | 11 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 9.44 | 0.15 | 0.14 | 0.29 | — | — | — | 9.73 | 3.07 | 379,279 | 0.84 | #(1) | 3.05 | #(1) | 11 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||
SA Wellington Real Return Portfolio Class 1 | 0.02 | % | 0.05 | % | 0.05 | % | 0.05 | % | |||||||||||
SA Wellington Real Return Portfolio Class 3 | 0.02 | 0.05 | 0.05 | 0.05 |
See Notes to Financial Statements
373
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
Select data for a share of beneficial interest outstanding throughout each period
Period ended | Net Asset Value beginning of period | Net investment income (loss)* | Net realized & unrealized gain (loss) on investments | Total from investment operations | Dividends from net invest- ment income | Dividends from net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return** | Net Assets end of period (000's) | Ratio of expenses to average net assets(1)(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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 17.63 | 0.16 | 0.23 | 0.39 | — | — | — | 18.02 | 2.21 | 265,667 | 0.73 | # | 1.77 | # | 7 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 17.69 | 0.15 | 0.23 | 0.38 | — | — | — | 18.07 | 2.15 | 13,209 | 0.88 | # | 1.63 | # | 7 | ||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
09/30/19@ | 17.71 | 0.14 | 0.23 | 0.37 | — | — | — | 18.08 | 2.09 | 8,836 | 0.98 | # | 1.53 | # | 7 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# Annualized
@ Unaudited
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.00 | % | 0.01 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.00 | 0.01 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/15 | 03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | ||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.05 | % | 0.23 | % | 0.31 | % | 0.32 | % | 0.32 | % | 0.32 | % | |||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.05 | 0.22 | 0.31 | 0.32 | 0.32 | 0.32 | |||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.05 | 0.22 | 0.31 | 0.32 | 0.32 | 0.32 |
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 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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 13.26 | (0.01 | ) | 0.58 | 0.57 | — | — | — | 13.83 | 4.30 | 154 | 0.16 | #(2) | (0.16 | )#(2) | 7 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 13.24 | (0.03 | ) | 0.58 | 0.55 | — | — | — | 13.79 | 4.15 | 193,650 | 0.41 | #(2) | (0.41 | )#(2) | 7 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 10.07 | (0.01 | ) | 0.46 | 0.45 | — | — | — | 10.52 | 4.47 | 572 | 0.13 | #(2) | (0.13 | )#(2) | 6 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 10.07 | (0.02 | ) | 0.46 | 0.44 | — | — | — | 10.51 | 4.37 | 459,808 | 0.38 | #(2) | (0.38 | )#(2) | 6 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 10.20 | (0.01 | ) | 0.47 | 0.46 | — | — | — | 10.66 | 4.51 | 222 | 0.14 | #(2) | (0.14 | )#(2) | 7 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 10.20 | (0.02 | ) | 0.47 | 0.45 | — | — | — | 10.65 | 4.41 | 294,317 | 0.39 | #(2) | (0.39 | )#(2) | 7 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 9.66 | (0.01 | ) | 0.46 | 0.45 | — | — | — | 10.11 | 4.66 | 144 | 0.15 | #(2) | (0.15 | )#(2) | 9 | |||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||
09/30/19@ | 9.66 | (0.02 | ) | 0.46 | 0.44 | — | — | — | 10.10 | 4.55 | 222,518 | 0.40 | #(2) | (0.40 | )#(2) | 9 |
* Calculated based upon average shares outstanding
** Total return is not annualized and does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.
# Annualized.
## Commencement of operations.
@ Unaudited
(1) Does not include underlying fund expenses that the Portfolios bear indirectly.
(2) Net of the following expense reimbursements, waivers and (recoupments) (based on average net assets):
03/31/16 | 03/31/17 | 03/31/18 | 03/31/19 | 09/30/19#@ | |||||||||||||||||||
SA Allocation Growth Portfolio Class 1 | N/A | 0.01 | %# | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||||
SA Allocation Growth Portfolio Class 3 | 0.01 | % | 0.01 | 0.01 | 0.01 | 0.01 | |||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 | N/A | 0.01 | # | 0.01 | 0.01 | 0.01 | |||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||||||
SA Allocation Moderate Portfolio Class 1 | N/A | 0.01 | # | 0.01 | 0.01 | 0.01 | |||||||||||||||||
SA Allocation Moderate Portfolio Class 3 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||||||
SA Allocation Balanced Portfolio Class 1 | N/A | 0.01 | # | 0.01 | 0.01 | 0.01 | |||||||||||||||||
SA Allocation Balanced Portfolio Class 3 | 0.01 | 0.01 | 0.04 | 0.01 | 0.01 |
See Notes to Financial Statements
375
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 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.
The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.
376
Filed under Rules 497(e) and 497(k)
Registration No. 333-08653
SEASONS SERIES TRUST
Supplement to the Prospectus
SA Multi-Managed Large Cap Value Portfolio (the "Portfolio")
Supplement dated August 29, 2019
to the Portfolio's Summary Prospectus and Prospectus dated July 26, 2019,
as supplemented and amended to date
Effective immediately, in the section of the Summary Prospectus entitled "Investment Adviser" and in the section of the Prospectus entitled "Portfolio Summary: SA Multi-Managed Large Cap Value Portfolio — Investment Adviser," in the table under the heading "Portfolio Managers" the following information is added under "Wellington Management":
Name and Title | Portfolio Manager of the Portfolio Since |
Adam H. Illfelder
Managing Director and Equity Portfolio Manager | 2019 |
In the section of the Prospectus entitled "Management," under the heading "Information about the Subadvisers," the fourth paragraph under "Wellington Management Company LLP ("Wellington Management")" is deleted in its entirety and replaced with the following:
A portion of the SA Multi-Managed Large Cap Value Portfolio is managed by Ian R. Link, CFA, and Adam H. Illfelder, CFA. Mr. Link, Senior Managing Director and Equity Portfolio Manager affiliated with Wellington Management, joined the firm as an investment professional in 2006. Mr. Illfelder, Managing Director and Equity Portfolio Manager of Wellington Management, joined the firm as an investment professional in 2005.
Also, effective December 31, 2019, Ian R. Link will no longer act as Portfolio Manager of the Portfolio.
Capitalized terms used but not defined herein shall have the meanings assigned to them by the Prospectus.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
377
Filed Pursuant to Rule 497(k)
Registration No.: 033-08653
SEASONS SERIES TRUST
Supplement to the Prospectus
SA Multi-Managed Small Cap Portfolio (the "Portfolio")
Supplement dated October 7, 2019
to the Portfolio's Summary Prospectus dated July 26, 2019,
as supplemented and amended to date
At an in-person meeting held on October 3, 2019, the Board of Trustees (the "Board") of Seasons Series Trust (the "Trust") approved the termination of PNC Capital Advisors, LLC ("PNC Advisors") as a subadviser to the Portfolio and the appointment of Schroder Investment Management North America Inc. ("SIMNA") as a subadviser to the portion of the Portfolio previously managed by PNC Advisors. At the meeting, the Board approved a new Subadvisory Agreement between SunAmerica Asset Management, LLC ("SunAmerica") and SIMNA (the "Subadvisory Agreement") to include the Portfolio.
With respect to the Subadvisory Agreement, the Board has authority, pursuant to an exemptive order granted by the Securities and Exchange Commission, to enter into subadvisory agreements without a shareholder vote. An information statement explaining the subadviser change will be mailed to shareholders of the Portfolio. The effective date of the Subadvisory Agreement will be on or about November 7, 2019 (the "Effective Date"). The following changes will take place upon the Effective Date:
The second paragraph of the section entitled "Portfolio Summary: SA Multi-Managed Small Cap Portfolio — Performance Information" is revised and restated as follows:
Effective November 7, 2019, Schroder Investment Management North America Inc. ("SIMNA") assumed management of a portion of the Portfolio, which was previously managed by PNC Capital Advisors, LLC. Prior to December 21, 2015, ClearBridge Investments, LLC managed such portion. December 1, 2009, SunAmerica assumed management of the passively-managed portion of the Portfolio, which was previously managed by AIG Global Investment Corp.
The first sentence and the table under the section entitled "Portfolio Summary: SA Multi-Managed Small Cap Portfolio — Investment Adviser" are revised and restated as follows:
The Portfolio's investment adviser is SunAmerica. The Portfolio is subadvised by SIMNA and J.P. Morgan Investment Management, Inc. ("JPMorgan"). SunAmerica passively manages a portion of the Portfolio. The portfolio managers are noted below.
Portfolio Managers
Name and Title | Portfolio Manager of the Portfolio Since | ||||||
SunAmerica |
Timothy Campion
Senior Vice President and Lead Portfolio Manager | 2012 |
Elizabeth Mauro
Co-Portfolio Manager | 2019 | ||||||
JPMorgan |
Dennis S. Ruhl, CFA
Managing Director and Co-Portfolio Manager | 2013 |
Phillip D. Hart, CFA
Managing Director and Co-Portfolio Manager | 2013 |
378
Portfolio Managers
Name and Title | Portfolio Manager of the Portfolio Since | ||||||
SIMNA |
Robert Kaynor, CFA
Head of US Small and SMID Cap Equities and Portfolio Manager | 2019 |
Capitalized terms used herein but not defined shall have the meanings assigned to them in the Summary Prospectus.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
379
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TOPPAN MERRILL
ANNUITY SERVICE CENTER
P.O. BOX 15570
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CHANGE SERVICE REQUESTED
J1906SAR.16 (11/19)
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Included in Item 1 to the Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by Item 22(b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the most recent fiscal-half year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) (1) Not applicable.
(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(3) Not applicable.
(4) Not applicable.
(b) Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Seasons Series Trust | ||
| ||
By: | /s/ John T. Genoy |
|
John T. Genoy | ||
President | ||
Date: December 6, 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: December 6, 2019 | ||
| ||
| ||
By: | /s/ Gregory R. Kingston |
|
Gregory R. Kingston | ||
Treasurer | ||
Date: December 6, 2019 |