UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number | 811-07725 | |||||||
SEASONS SERIES TRUST | ||||||||
(Exact name of registrant as specified in charter) | ||||||||
21650 Oxnard Street, Woodland Hills, CA | 91367 | |||||||
(Address of principal executive offices) | (Zip code) | |||||||
John T. Genoy President SunAmerica Asset Management, LLC Harborside 5, 185 Hudson Street, Suite 3300 Jersey City, NJ 07311 | ||||||||
(Name and address of agent for service) | ||||||||
Registrant’s telephone number, including area code: | (201) 324-6414 | |||||||
Date of fiscal year end: | March 31 | |||||||
Date of reporting period: | March 31, 2022 | |||||||
Item 1. Reports to Stockholders
SEASONS SERIES TRUST
ANNUAL REPORT
MARCH 31, 2022
Table of Contents
Shareholder Letter | 2 | ||||||
Expense Example | 3 | ||||||
Seasons Strategies | |||||||
SA Multi-Managed Growth Portfolio | 6 | ||||||
SA Multi-Managed Moderate Growth Portfolio | 35 | ||||||
SA Multi-Managed Income/Equity Portfolio | 69 | ||||||
SA Multi-Managed Income Portfolio | 95 | ||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | 121 | ||||||
SA T. Rowe Price Growth Stock Portfolio | 167 | ||||||
Seasons Select | |||||||
SA Multi-Managed Large Cap Growth Portfolio | 173 | ||||||
SA Multi-Managed Large Cap Value Portfolio | 181 | ||||||
SA Multi-Managed Mid Cap Growth Portfolio | 192 | ||||||
SA Multi-Managed Mid Cap Value Portfolio | 204 | ||||||
SA Multi-Managed Small Cap Portfolio | 219 | ||||||
SA Multi-Managed International Equity Portfolio | 235 | ||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 248 | ||||||
SA American Century Inflation Protection Portfolio | 305 | ||||||
Seasons Focused | |||||||
SA Columbia Focused Value Portfolio | 315 | ||||||
Seasons Managed Allocation | |||||||
SA Allocation Growth Portfolio | 318 | ||||||
SA Allocation Moderate Growth Portfolio | 321 | ||||||
SA Allocation Moderate Portfolio | 324 | ||||||
SA Allocation Balanced Portfolio | 327 | ||||||
Statements of Assets and Liabilities | 330 | ||||||
Statements of Operations | 338 | ||||||
Statements of Changes in Net Assets | 342 | ||||||
Notes to Financial Statements | 349 | ||||||
Financial Highlights | 395 | ||||||
Report of Independent Registered Public Accounting Firm | 409 | ||||||
Approval of Advisory and Subadvisory Agreements | 411 | ||||||
Trustees and Officers Information | 424 | ||||||
Shareholders Tax Information | 427 | ||||||
Comparisons: Portfolios vs Indexes | 429 | ||||||
Supplements to the Prospectus | 463 | ||||||
Results of Special Shareholders Meeting | 464 |
Dear Seasons Series Trust Investor:
We are pleased to present the annual report for the Seasons Series Trust, the underlying investment for the Seasons family of variable annuities issued by our affiliated life companies.
This report contains the investment information and the financial statements of the Seasons Series Trust portfolios for the reporting period ended March 31, 2022.
If you have any questions regarding your investment, please contact your investment representative, or you may contact us directly at 1-800-445-SUN2.
Sincerely,
John T. Genoy
President
Seasons Series Trust
Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Securities listed may or may not be a part of the current portfolio construction. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 591/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.
Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and "junk bonds" are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer's creditworthiness.
Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.
There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.
Investments are not guaranteed or endorsed by any bank, is not a deposit or obligation of any bank, and is not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank of Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
2
SEASONS SERIES TRUST
EXPENSE EXAMPLE March 31, 2022
(unaudited)
Disclosure of Portfolio Expenses in Shareholder Reports
As a shareholder of a Portfolio in the Seasons Series Trust (the "Trust''), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at October 1, 2021 and held until March 31, 2022. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies ("Variable Contracts'') offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust's investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the Variable Contract.
Actual Expenses
The "Actual" section of the table provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled "Expenses Paid During the Six Months Ended March 31, 2022" to estimate the expenses you paid on your account during this period. The "Expenses Paid During the Six Months Ended March 31, 2022" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2022" column would have been higher and the "Ending Account Value" column would have been lower.
Hypothetical Example for Comparison Purposes
The "Hypothetical" section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio's actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The "Expenses Paid During the Six Months Ended March 31, 2022" column and the "Annualized Expense Ratio" column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the "Expenses Paid During the Six Months Ended March 31, 2022" column would have been higher and the "Ending Account Value" column would have been lower.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts. Please refer to your variable contract prospectus for more information. Therefore, the "Hypothetical" example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.
3
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) March 31, 2022
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2021 | Ending Account Value Using Actual Return at March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | Beginning Account Value at October 1, 2021 | Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 817.02 | $ | 5.89 | $ | 1,000.00 | $ | 1,018.45 | $ | 6.54 | 1.30 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 816.84 | $ | 6.57 | $ | 1,000.00 | $ | 1,017.70 | $ | 7.29 | 1.45 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 815.92 | $ | 7.02 | $ | 1,000.00 | $ | 1,017.20 | $ | 7.80 | 1.55 | % | |||||||||||||||||
SA Multi-Managed Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 845.60 | $ | 5.02 | $ | 1,000.00 | $ | 1,019.50 | $ | 5.49 | 1.09 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 845.22 | $ | 5.70 | $ | 1,000.00 | $ | 1,018.75 | $ | 6.24 | 1.24 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 845.12 | $ | 6.16 | $ | 1,000.00 | $ | 1,018.25 | $ | 6.74 | 1.34 | % | |||||||||||||||||
SA Multi-Managed Income/ Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 853.26 | $ | 5.41 | $ | 1,000.00 | $ | 1,019.10 | $ | 5.89 | 1.17 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 853.12 | $ | 6.10 | $ | 1,000.00 | $ | 1,018.35 | $ | 6.64 | 1.32 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 851.65 | $ | 6.56 | $ | 1,000.00 | $ | 1,017.85 | $ | 7.14 | 1.42 | % | |||||||||||||||||
SA Multi-Managed Income# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 888.48 | $ | 5.84 | $ | 1,000.00 | $ | 1,018.75 | $ | 6.24 | 1.24 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 887.77 | $ | 6.54 | $ | 1,000.00 | $ | 1,018.00 | $ | 6.99 | 1.39 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 887.60 | $ | 7.01 | $ | 1,000.00 | $ | 1,017.50 | $ | 7.49 | 1.49 | % | |||||||||||||||||
SA Putnam Asset Allocation: Diversified Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,001.38 | $ | 4.24 | $ | 1,000.00 | $ | 1,020.69 | $ | 4.28 | 0.85 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,000.64 | $ | 4.99 | $ | 1,000.00 | $ | 1,019.95 | $ | 5.04 | 1.00 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,000.03 | $ | 5.49 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.54 | 1.10 | % | |||||||||||||||||
SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 882.62 | $ | 4.13 | $ | 1,000.00 | $ | 1,020.54 | $ | 4.43 | 0.88 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 882.17 | $ | 4.83 | $ | 1,000.00 | $ | 1,019.80 | $ | 5.19 | 1.03 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 881.56 | $ | 5.30 | $ | 1,000.00 | $ | 1,019.30 | $ | 5.69 | 1.13 | % | |||||||||||||||||
SA Multi-Managed Large Cap Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 903.97 | $ | 3.51 | $ | 1,000.00 | $ | 1,021.24 | $ | 3.73 | 0.74 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 903.37 | $ | 4.22 | $ | 1,000.00 | $ | 1,020.49 | $ | 4.48 | 0.89 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 902.57 | $ | 4.70 | $ | 1,000.00 | $ | 1,020.00 | $ | 4.99 | 0.99 | % | |||||||||||||||||
SA Multi-Managed Large Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,084.34 | $ | 4.11 | $ | 1,000.00 | $ | 1,020.99 | $ | 3.98 | 0.79 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,083.63 | $ | 4.88 | $ | 1,000.00 | $ | 1,020.24 | $ | 4.73 | 0.94 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,082.48 | $ | 5.40 | $ | 1,000.00 | $ | 1,019.75 | $ | 5.24 | 1.04 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 879.66 | $ | 4.45 | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 879.08 | $ | 5.15 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.54 | 1.10 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 878.43 | $ | 5.62 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.04 | 1.20 | % | |||||||||||||||||
SA Multi-Managed Mid Cap Value | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,084.46 | $ | 4.99 | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,083.38 | $ | 5.77 | $ | 1,000.00 | $ | 1,019.40 | $ | 5.59 | 1.11 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,082.56 | $ | 6.28 | $ | 1,000.00 | $ | 1,018.90 | $ | 6.09 | 1.21 | % |
4
SEASONS SERIES TRUST
EXPENSE EXAMPLE — (continued) March 31, 2022
(unaudited)
Actual | Hypothetical | ||||||||||||||||||||||||||||||
Portfolio | Beginning Account Value at October 1, 2021 | Ending Account Value Using Actual Return at March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | Beginning Account Value at October 1, 2021 | Ending Account Value Using a Hypothetical 5% Annual Return at March 31, 2022 | Expenses Paid During the Six Months Ended March 31, 2022* | Annualized Expense Ratio* | ||||||||||||||||||||||||
SA Multi-Managed Small Cap | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 993.50 | $ | 4.72 | $ | 1,000.00 | $ | 1,020.19 | $ | 4.78 | 0.95 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 991.93 | $ | 5.46 | $ | 1,000.00 | $ | 1,019.45 | $ | 5.54 | 1.10 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 991.66 | $ | 5.96 | $ | 1,000.00 | $ | 1,018.95 | $ | 6.04 | 1.20 | % | |||||||||||||||||
SA Multi-Managed International Equity# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 953.25 | $ | 5.16 | $ | 1,000.00 | $ | 1,019.65 | $ | 5.34 | 1.06 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 952.00 | $ | 5.89 | $ | 1,000.00 | $ | 1,018.90 | $ | 6.09 | 1.21 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 951.81 | $ | 6.37 | $ | 1,000.00 | $ | 1,018.40 | $ | 6.59 | 1.31 | % | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 935.74 | $ | 3.28 | $ | 1,000.00 | $ | 1,021.54 | $ | 3.43 | 0.68 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 934.85 | $ | 4.00 | $ | 1,000.00 | $ | 1,020.79 | $ | 4.18 | 0.83 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 935.02 | $ | 4.49 | $ | 1,000.00 | $ | 1,020.29 | $ | 4.68 | 0.93 | % | |||||||||||||||||
SA American Century Inflation Protection#@ | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,007.67 | $ | 2.95 | $ | 1,000.00 | $ | 1,021.99 | $ | 2.97 | 0.59 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,005.78 | $ | 4.20 | $ | 1,000.00 | $ | 1,020.74 | $ | 4.23 | 0.84 | % | |||||||||||||||||
SA Columbia Focused Value# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 1,113.37 | $ | 3.74 | $ | 1,000.00 | $ | 1,021.39 | $ | 3.58 | 0.71 | % | |||||||||||||||||
Class 2 | $ | 1,000.00 | $ | 1,112.60 | $ | 4.53 | $ | 1,000.00 | $ | 1,020.64 | $ | 4.33 | 0.86 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 1,111.51 | $ | 5.05 | $ | 1,000.00 | $ | 1,020.14 | $ | 4.84 | 0.96 | % | |||||||||||||||||
SA Allocation Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 987.47 | $ | 0.59 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | 0.12 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 985.77 | $ | 1.83 | $ | 1,000.00 | $ | 1,023.09 | $ | 1.87 | 0.37 | % | |||||||||||||||||
SA Allocation Moderate Growth# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 979.24 | $ | 0.54 | $ | 1,000.00 | $ | 1,024.38 | $ | 0.56 | 0.11 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 977.79 | $ | 1.78 | $ | 1,000.00 | $ | 1,023.14 | $ | 1.82 | 0.36 | % | |||||||||||||||||
SA Allocation Moderate# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 974.06 | $ | 0.59 | $ | 1,000.00 | $ | 1,024.33 | $ | 0.61 | 0.12 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 973.37 | $ | 1.82 | $ | 1,000.00 | $ | 1,023.09 | $ | 1.87 | 0.37 | % | |||||||||||||||||
SA Allocation Balanced# | |||||||||||||||||||||||||||||||
Class 1 | $ | 1,000.00 | $ | 966.34 | $ | 0.64 | $ | 1,000.00 | $ | 1,024.28 | $ | 0.66 | 0.13 | % | |||||||||||||||||
Class 3 | $ | 1,000.00 | $ | 965.08 | $ | 1.86 | $ | 1,000.00 | $ | 1,023.04 | $ | 1.92 | 0.38 | % |
* Expenses are equal to each Portfolio's annualized expense ratio multiplied by the average account value over the period, multiplied by 182 days then divided by 365 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies.
# During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the "Actual/Hypothetical Ending Account Value" would have been lower and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2022" and "Annualized Expense Ratio" would have been higher. If these fees and expenses had not been recouped, the "Actual/Hypothetical Ending Account Value" would have been higher and the "Actual/Hypothetical Expenses Paid During the Six Months Ended March 31, 2022" and the "Annualized Expense Ratio" would have been lower.
@ See Note 1
5
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Computer Software | 11.3 | % | |||||
E-Commerce/Services | 8.0 | ||||||
Uniform Mtg. Backed Securities | 7.1 | ||||||
Diversified Financial Services | 5.2 | ||||||
Enterprise Software/Service | 4.8 | ||||||
United States Treasury Notes | 4.6 | ||||||
Entertainment Software | 4.2 | ||||||
Medical-Biomedical/Gene | 3.8 | ||||||
United States Treasury Bonds | 3.2 | ||||||
Commercial Services-Finance | 3.2 | ||||||
Internet Application Software | 3.1 | ||||||
Semiconductor Equipment | 3.1 | ||||||
Internet Content-Entertainment | 3.0 | ||||||
E-Commerce/Products | 2.9 | ||||||
Advertising Services | 2.9 | ||||||
Real Estate Investment Trusts | 1.8 | ||||||
Government National Mtg. Assoc. | 1.7 | ||||||
Banks-Commercial | 1.5 | ||||||
Repurchase Agreements | 1.5 | ||||||
Internet Content-Information/News | 1.5 | ||||||
Registered Investment Companies | 1.4 | ||||||
Communications Software | 1.4 | ||||||
Diversified Banking Institutions | 1.3 | ||||||
Medical Instruments | 1.1 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Finance-Other Services | 1.0 | ||||||
Federal National Mtg. Assoc. | 0.9 | ||||||
Electric-Integrated | 0.9 | ||||||
Medical-Drugs | 0.8 | ||||||
Electronic Components-Semiconductors | 0.7 | ||||||
Sovereign | 0.6 | ||||||
Medical Products | 0.6 | ||||||
Municipal Bonds & Notes | 0.6 | ||||||
Electronic Components-Misc. | 0.5 | ||||||
Building & Construction-Misc. | 0.5 | ||||||
Federal Home Loan Mtg. Corp. | 0.4 | ||||||
Pharmacy Services | 0.4 | ||||||
Cable/Satellite TV | 0.4 | ||||||
Savings & Loans/Thrifts | 0.3 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Oil-Field Services | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Medical Labs & Testing Services | 0.3 | ||||||
Rental Auto/Equipment | 0.3 | ||||||
Networking Products | 0.3 | ||||||
Banks-Super Regional | 0.2 | ||||||
Applications Software | 0.2 | ||||||
Commercial Services | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Computer Data Security | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Retail-Apparel/Shoe | 0.2 | ||||||
Linen Supply & Related Items | 0.2 | ||||||
Oil Companies-Integrated | 0.2 | ||||||
Environmental Consulting & Engineering | 0.2 | ||||||
Computer Services | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Vitamins & Nutrition Products | 0.2 | ||||||
Retail-Automobile | 0.2 |
Building-Heavy Construction | 0.2 | % | |||||
Retail-Restaurants | 0.2 | ||||||
Motion Pictures & Services | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Investment Management/Advisor Services | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Medical-HMO | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Water | 0.2 | ||||||
Consulting Services | 0.2 | ||||||
Telephone-Integrated | 0.2 | ||||||
Tobacco | 0.2 | ||||||
Gas-Distribution | 0.1 | ||||||
Building & Construction Products-Misc. | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Computers-Integrated Systems | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Schools | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Finance-Credit Card | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Retail-Petroleum Products | 0.1 | ||||||
Television | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Funeral Services & Related Items | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Computers | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Retail-Pawn Shops | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Building Products-Wood | 0.1 | ||||||
Coal | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Office Furnishings-Original | 0.1 | ||||||
Brewery | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
Airlines | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Finance-Mortgage Loan/Banker | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 |
6
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Machinery-Electrical | 0.1 | % | |||||
Theaters | 0.1 | ||||||
Real Estate Operations & Development | 0.1 | ||||||
X-Ray Equipment | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Auto-Truck Trailers | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Real Estate Management/Services | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Retail-Office Supplies | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Investment Companies | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Optical Supplies | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Music | 0.1 | ||||||
Multilevel Direct Selling | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Metal Processors & Fabrication | 0.1 | ||||||
Internet Security | 0.1 | ||||||
108.4 | % |
* Calculated as a percentage of net assets
7
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 72.0% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Materion Corp. | 105 | $ | 9,003 | ||||||||
Advertising Services — 2.9% | |||||||||||
National CineMedia, Inc. | 1,225 | 3,111 | |||||||||
Trade Desk, Inc., Class A† | 18,235 | 1,262,774 | |||||||||
1,265,885 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
AAR Corp.† | 300 | 14,529 | |||||||||
Astronics Corp.† | 950 | 12,283 | |||||||||
Barnes Group, Inc. | 125 | 5,024 | |||||||||
Moog, Inc., Class A | 75 | 6,585 | |||||||||
38,421 | |||||||||||
Agricultural Operations — 0.0% | |||||||||||
Andersons, Inc. | 375 | 18,848 | |||||||||
Airlines — 0.1% | |||||||||||
Allegiant Travel Co.† | 75 | 12,179 | |||||||||
SkyWest, Inc.† | 850 | 24,523 | |||||||||
36,702 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Deckers Outdoor Corp.† | 90 | 24,639 | |||||||||
Appliances — 0.0% | |||||||||||
Traeger, Inc.† | 179 | 1,332 | |||||||||
Applications Software — 0.1% | |||||||||||
Alkami Technology, Inc.† | 96 | 1,374 | |||||||||
DigitalOcean Holdings, Inc.† | 451 | 26,091 | |||||||||
JFrog, Ltd.† | 75 | 2,021 | |||||||||
Sprout Social, Inc., Class A† | 260 | 20,831 | |||||||||
50,317 | |||||||||||
Audio/Video Products — 0.0% | |||||||||||
Sonos, Inc.† | 675 | 19,049 | |||||||||
Auto-Truck Trailers — 0.1% | |||||||||||
Wabash National Corp. | 2,100 | 31,164 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Lear Corp. | 75 | 10,694 | |||||||||
Meritor, Inc.† | 450 | 16,007 | |||||||||
26,701 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Douglas Dynamics, Inc. | 357 | 12,349 | |||||||||
Banks-Commercial — 1.5% | |||||||||||
1st Source Corp. | 125 | 5,781 | |||||||||
Atlantic Union Bankshares Corp. | 116 | 4,256 | |||||||||
Banner Corp. | 425 | 24,875 | |||||||||
Business First Bancshares, Inc. | 275 | 6,691 | |||||||||
Byline Bancorp, Inc. | 550 | 14,674 | |||||||||
Cadence Bank | 1,535 | 44,914 | |||||||||
Cathay General Bancorp | 465 | 20,809 | |||||||||
Central Pacific Financial Corp. | 675 | 18,832 | |||||||||
Columbia Banking System, Inc. | 700 | 22,589 | |||||||||
ConnectOne Bancorp, Inc. | 375 | 12,004 | |||||||||
CVB Financial Corp. | 975 | 22,630 | |||||||||
Eastern Bankshares, Inc. | 3,075 | 66,235 | |||||||||
Enterprise Financial Services Corp. | 200 | 9,462 | |||||||||
Equity Bancshares, Inc., Class A | 150 | 4,847 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Financial Institutions, Inc. | 50 | $ | 1,507 | ||||||||
First Bancshares, Inc. | 50 | 1,683 | |||||||||
First Citizens BancShares, Inc., Class A | 12 | 7,987 | |||||||||
First Commonwealth Financial Corp. | 900 | 13,644 | |||||||||
First Community Bankshares, Inc. | 49 | 1,382 | |||||||||
First Hawaiian, Inc. | 150 | 4,184 | |||||||||
First Interstate BancSystem, Inc., Class A | 126 | 4,633 | |||||||||
First Merchants Corp. | 575 | 23,920 | |||||||||
Glacier Bancorp, Inc. | 235 | 11,816 | |||||||||
Hancock Whitney Corp. | 450 | 23,467 | |||||||||
HarborOne Bancorp, Inc. | 250 | 3,505 | |||||||||
Heritage Commerce Corp. | 350 | 3,938 | |||||||||
Home BancShares, Inc. | 1,025 | 23,165 | |||||||||
HomeStreet, Inc. | 300 | 14,214 | |||||||||
Hope Bancorp, Inc. | 2,055 | 33,044 | |||||||||
Independent Bank Corp. | 275 | 22,465 | |||||||||
Independent Bank Corp. | 250 | 5,500 | |||||||||
Luther Burbank Corp. | 173 | 2,299 | |||||||||
Merchants Bancorp | 37 | 1,013 | |||||||||
Meta Financial Group, Inc. | 225 | 12,357 | |||||||||
Nicolet Bankshares, Inc.† | 25 | 2,339 | |||||||||
Old National Bancorp | 1,700 | 27,846 | |||||||||
Old Second Bancorp, Inc. | 144 | 2,089 | |||||||||
Origin Bancorp, Inc. | 50 | 2,115 | |||||||||
Peapack-Gladstone Financial Corp. | 75 | 2,606 | |||||||||
Peoples Bancorp, Inc. | 75 | 2,348 | |||||||||
Pinnacle Financial Partners, Inc. | 225 | 20,718 | |||||||||
Premier Financial Corp. | 100 | 3,033 | |||||||||
QCR Holdings, Inc. | 85 | 4,810 | |||||||||
RBB Bancorp | 73 | 1,715 | |||||||||
Republic Bancorp, Inc., Class A | 25 | 1,124 | |||||||||
Sandy Spring Bancorp, Inc. | 225 | 10,107 | |||||||||
Simmons First National Corp., Class A | 175 | 4,589 | |||||||||
South Plains Financial, Inc. | 21 | 558 | |||||||||
Trustmark Corp. | 575 | 17,474 | |||||||||
UMB Financial Corp. | 200 | 19,432 | |||||||||
United Community Banks, Inc. | 250 | 8,700 | |||||||||
Valley National Bancorp | 500 | 6,510 | |||||||||
Veritex Holdings, Inc. | 250 | 9,542 | |||||||||
Webster Financial Corp. | 400 | 22,448 | |||||||||
Westamerica BanCorp | 250 | 15,125 | |||||||||
679,550 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
Independent Bank Group, Inc. | 120 | 8,539 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 700 | 3,199 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Louisiana-Pacific Corp. | 245 | 15,219 | |||||||||
Building & Construction-Misc. — 0.5% | |||||||||||
Comfort Systems USA, Inc. | 650 | 57,857 | |||||||||
EMCOR Group, Inc. | 475 | 53,499 | |||||||||
MYR Group, Inc.† | 650 | 61,126 |
8
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building & Construction-Misc. (continued) | |||||||||||
TopBuild Corp.† | 195 | $ | 35,371 | ||||||||
207,853 | |||||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Cornerstone Building Brands, Inc.† | 475 | 11,552 | |||||||||
Building Products-Wood — 0.1% | |||||||||||
Boise Cascade Co. | 300 | 20,841 | |||||||||
UFP Industries, Inc. | 260 | 20,062 | |||||||||
40,903 | |||||||||||
Building-Heavy Construction — 0.2% | |||||||||||
Granite Construction, Inc. | 500 | 16,400 | |||||||||
MasTec, Inc.† | 485 | 42,243 | |||||||||
Primoris Services Corp. | 1,175 | 27,989 | |||||||||
86,632 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ABM Industries, Inc. | 950 | 43,738 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Winnebago Industries, Inc. | 25 | 1,351 | |||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
Meritage Homes Corp.† | 75 | 5,942 | |||||||||
Tri Pointe Homes, Inc.† | 4,650 | 93,372 | |||||||||
99,314 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 500 | 32,890 | |||||||||
Chemicals-Diversified — 0.1% | |||||||||||
AdvanSix, Inc. | 300 | 15,327 | |||||||||
Koppers Holdings, Inc. | 75 | 2,064 | |||||||||
Trinseo PLC | 130 | 6,230 | |||||||||
23,621 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Cabot Corp. | 425 | 29,074 | |||||||||
Ecovyst, Inc. | 250 | 2,890 | |||||||||
H.B. Fuller Co. | 275 | 18,169 | |||||||||
Ingevity Corp.† | 340 | 21,784 | |||||||||
Minerals Technologies, Inc. | 100 | 6,615 | |||||||||
Tronox Holdings PLC, Class A | 800 | 15,832 | |||||||||
Zymergen, Inc.† | 1,175 | 3,396 | |||||||||
97,760 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc.† | 825 | 12,227 | |||||||||
Coal — 0.1% | |||||||||||
Arch Resources, Inc. | 170 | 23,355 | |||||||||
Peabody Energy Corp.† | 250 | 6,132 | |||||||||
SunCoke Energy, Inc. | 1,100 | 9,801 | |||||||||
Warrior Met Coal, Inc. | 25 | 928 | |||||||||
40,216 | |||||||||||
Commercial Services — 0.2% | |||||||||||
John Wiley & Sons, Inc., Class A | 1,475 | 78,219 | |||||||||
LiveRamp Holdings, Inc.† | 300 | 11,217 | |||||||||
Medifast, Inc. | 50 | 8,539 | |||||||||
97,975 |
Security Description | Shares | Value (Note 2) | |||||||||
Commercial Services-Finance — 3.1% | |||||||||||
Adyen NV†* | 277 | $ | 547,233 | ||||||||
Block, Inc., Class A† | 5,965 | 808,854 | |||||||||
EVERTEC, Inc. | 305 | 12,484 | |||||||||
HealthEquity, Inc.† | 175 | 11,802 | |||||||||
Marathon Digital Holdings, Inc.† | 250 | 6,987 | |||||||||
Riot Blockchain, Inc.† | 225 | 4,763 | |||||||||
1,392,123 | |||||||||||
Communications Software — 1.4% | |||||||||||
Zoom Video Communications, Inc., Class A† | 5,195 | 609,010 | |||||||||
Computer Data Security — 0.2% | |||||||||||
Ping Identity Holding Corp.† | 1,000 | 27,430 | |||||||||
Qualys, Inc.† | 30 | 4,272 | |||||||||
Rapid7, Inc.† | 375 | 41,715 | |||||||||
Varonis Systems, Inc.† | 650 | 30,901 | |||||||||
104,318 | |||||||||||
Computer Services — 0.1% | |||||||||||
CACI International, Inc., Class A† | 75 | 22,594 | |||||||||
Insight Enterprises, Inc.† | 50 | 5,366 | |||||||||
KBR, Inc. | 200 | 10,946 | |||||||||
38,906 | |||||||||||
Computer Software — 11.3% | |||||||||||
Cloudflare, Inc., Class A† | 7,076 | 846,997 | |||||||||
Datadog, Inc., Class A† | 7,824 | 1,185,101 | |||||||||
Simulations Plus, Inc. | 350 | 17,843 | |||||||||
Snowflake, Inc., Class A† | 6,347 | 1,454,288 | |||||||||
Twilio, Inc., Class A† | 1,891 | 311,656 | |||||||||
Xperi Holding Corp. | 1,175 | 20,351 | |||||||||
ZoomInfo Technologies, Inc.† | 19,043 | 1,137,629 | |||||||||
Zuora, Inc., Class A† | 1,550 | 23,219 | |||||||||
4,997,084 | |||||||||||
Computers-Integrated Systems — 0.1% | |||||||||||
NetScout Systems, Inc.† | 1,900 | 60,952 | |||||||||
Consulting Services — 0.1% | |||||||||||
Huron Consulting Group, Inc.† | 475 | 21,760 | |||||||||
Kelly Services, Inc., Class A | 1,175 | 25,485 | |||||||||
47,245 | |||||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Central Garden & Pet Co., Class A† | 175 | 7,136 | |||||||||
Helen of Troy, Ltd.† | 40 | 7,834 | |||||||||
Quanex Building Products Corp. | 425 | 8,921 | |||||||||
23,891 | |||||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Greif, Inc., Class A | 255 | 16,590 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Graphic Packaging Holding Co. | 220 | 4,409 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
CommVault Systems, Inc.† | 425 | 28,199 | |||||||||
CSG Systems International, Inc. | 90 | 5,721 | |||||||||
33,920 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Adaptive Biotechnologies Corp.† | 150 | 2,082 |
9
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Distribution/Wholesale — 0.3% | |||||||||||
Avient Corp. | 625 | $ | 30,000 | ||||||||
G-III Apparel Group, Ltd.† | 325 | 8,791 | |||||||||
ScanSource, Inc.† | 1,175 | 40,878 | |||||||||
Titan Machinery, Inc.† | 325 | 9,185 | |||||||||
Veritiv Corp.† | 150 | 20,038 | |||||||||
WESCO International, Inc.† | 150 | 19,521 | |||||||||
128,413 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
EnPro Industries, Inc. | 75 | 7,330 | |||||||||
Fabrinet† | 250 | 26,282 | |||||||||
33,612 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Heron Therapeutics, Inc.† | 1,325 | 7,579 | |||||||||
Drug Detection Systems — 0.0% | |||||||||||
Rapid Micro Biosystems, Inc., Class A† | 936 | 6,355 | |||||||||
E-Commerce/Products — 2.9% | |||||||||||
Chewy, Inc., Class A† | 15,255 | 622,099 | |||||||||
Farfetch, Ltd., Class A† | 15,980 | 241,617 | |||||||||
Wayfair, Inc., Class A† | 3,951 | 437,692 | |||||||||
1,301,408 | |||||||||||
E-Commerce/Services — 7.9% | |||||||||||
Airbnb, Inc., Class A† | 6,682 | 1,147,700 | |||||||||
EverQuote, Inc., Class A† | 150 | 2,427 | |||||||||
Match Group, Inc.† | 2,309 | 251,081 | |||||||||
MercadoLibre, Inc.† | 433 | 515,045 | |||||||||
Uber Technologies, Inc.† | 44,117 | 1,574,094 | |||||||||
Upwork, Inc.† | 450 | 10,458 | |||||||||
3,500,805 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
QuinStreet, Inc.† | 1,425 | 16,530 | |||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 700 | 77,063 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Unitil Corp. | 50 | 2,494 | |||||||||
Via Renewables, Inc. | 1,125 | 9,270 | |||||||||
11,764 | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
ALLETE, Inc. | 65 | 4,354 | |||||||||
IDACORP, Inc. | 200 | 23,072 | |||||||||
PNM Resources, Inc. | 200 | 9,534 | |||||||||
Portland General Electric Co. | 750 | 41,362 | |||||||||
78,322 | |||||||||||
Electronic Components-Misc. — 0.5% | |||||||||||
Atkore, Inc.† | 400 | 39,376 | |||||||||
Benchmark Electronics, Inc. | 1,925 | 48,202 | |||||||||
Kimball Electronics, Inc.† | 175 | 3,498 | |||||||||
Knowles Corp.† | 1,050 | 22,607 | |||||||||
OSI Systems, Inc.† | 760 | 64,691 | |||||||||
Sanmina Corp.† | 300 | 12,126 | |||||||||
Vishay Intertechnology, Inc. | 1,100 | 21,560 | |||||||||
212,060 |
Security Description | Shares | Value (Note 2) | |||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Ambarella, Inc.† | 50 | $ | 5,246 | ||||||||
Amkor Technology, Inc. | 575 | 12,489 | |||||||||
Diodes, Inc.† | 85 | 7,394 | |||||||||
Lattice Semiconductor Corp.† | 155 | 9,447 | |||||||||
MACOM Technology Solutions Holdings, Inc.† | 125 | 7,484 | |||||||||
Rambus, Inc.† | 1,475 | 47,038 | |||||||||
Semtech Corp.† | 115 | 7,974 | |||||||||
Silicon Laboratories, Inc.† | 225 | 33,795 | |||||||||
SiTime Corp.† | 50 | 12,391 | |||||||||
Synaptics, Inc.† | 50 | 9,975 | |||||||||
153,233 | |||||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
FutureFuel Corp. | 675 | 6,568 | |||||||||
Green Plains, Inc.† | 350 | 10,853 | |||||||||
REX American Resources Corp.† | 75 | 7,470 | |||||||||
SunPower Corp.† | 325 | 6,981 | |||||||||
Sunrun, Inc.† | 625 | 18,981 | |||||||||
50,853 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Fluor Corp.† | 175 | 5,021 | |||||||||
Enterprise Software/Service — 4.6% | |||||||||||
American Software, Inc., Class A | 322 | 6,711 | |||||||||
Blackline, Inc.† | 410 | 30,020 | |||||||||
Cardlytics, Inc.† | 400 | 21,992 | |||||||||
Coupa Software, Inc.† | 5,526 | 561,607 | |||||||||
Donnelley Financial Solutions, Inc.† | 300 | 9,978 | |||||||||
eGain Corp.† | 2,296 | 26,588 | |||||||||
HireRight Holdings Corp.† | 1,200 | 20,520 | |||||||||
ManTech International Corp., Class A | 85 | 7,326 | |||||||||
Momentive Global, Inc.† | 1,750 | 28,455 | |||||||||
PagerDuty, Inc.† | 800 | 27,352 | |||||||||
Paycor HCM, Inc.† | 425 | 12,372 | |||||||||
SPS Commerce, Inc.† | 30 | 3,936 | |||||||||
Veeva Systems, Inc., Class A† | 5,865 | 1,246,078 | |||||||||
Workiva, Inc.† | 465 | 54,870 | |||||||||
2,057,805 | |||||||||||
Entertainment Software — 4.2% | |||||||||||
ROBLOX Corp., Class A† | 19,651 | 908,662 | |||||||||
Unity Software, Inc.† | 9,441 | 936,642 | |||||||||
1,845,304 | |||||||||||
Environmental Consulting & Engineering — 0.2% | |||||||||||
Tetra Tech, Inc. | 555 | 91,542 | |||||||||
Finance-Commercial — 0.0% | |||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 300 | 14,229 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. | 250 | 4,260 | |||||||||
Nelnet, Inc., Class A | 25 | 2,125 | |||||||||
6,385 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cowen, Inc., Class A | 400 | 10,840 |
10
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Finance-Investment Banker/Broker (continued) | |||||||||||
Houlihan Lokey, Inc. | 75 | $ | 6,585 | ||||||||
Piper Sandler Cos. | 75 | 9,844 | |||||||||
27,269 | |||||||||||
Finance-Mortgage Loan/Banker — 0.1% | |||||||||||
Mr. Cooper Group, Inc.† | 440 | 20,095 | |||||||||
PennyMac Financial Services, Inc. | 275 | 14,630 | |||||||||
34,725 | |||||||||||
Finance-Other Services — 0.9% | |||||||||||
Coinbase Global, Inc., Class A† | 2,037 | 386,745 | |||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MGIC Investment Corp. | 825 | 11,179 | |||||||||
NMI Holdings, Inc., Class A† | 225 | 4,639 | |||||||||
Radian Group, Inc. | 1,475 | 32,760 | |||||||||
48,578 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 225 | 11,597 | |||||||||
Food-Catering — 0.0% | |||||||||||
Healthcare Services Group, Inc. | 450 | 8,357 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
John B. Sanfilippo & Son, Inc. | 150 | 12,516 | |||||||||
Food-Retail — 0.1% | |||||||||||
Sprouts Farmers Market, Inc.† | 725 | 23,186 | |||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
Performance Food Group Co.† | 381 | 19,397 | |||||||||
SpartanNash Co. | 50 | 1,649 | |||||||||
21,046 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Steven Madden, Ltd. | 500 | 19,320 | |||||||||
Gambling (Non-Hotel) — 0.2% | |||||||||||
Red Rock Resorts, Inc., Class A | 1,568 | 76,142 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
New Jersey Resources Corp. | 925 | 42,420 | |||||||||
Northwest Natural Holding Co. | 300 | 15,516 | |||||||||
57,936 | |||||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Heritage-Crystal Clean, Inc.† | 150 | 4,442 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Ethan Allen Interiors, Inc. | 275 | 7,169 | |||||||||
Hooker Furniture Corp. | 119 | 2,254 | |||||||||
Sleep Number Corp.† | 200 | 10,142 | |||||||||
19,565 | |||||||||||
Human Resources — 0.2% | |||||||||||
AMN Healthcare Services, Inc.† | 125 | 13,041 | |||||||||
Barrett Business Services, Inc. | 100 | 7,747 | |||||||||
Heidrick & Struggles International, Inc. | 50 | 1,979 | |||||||||
Kforce, Inc. | 350 | 25,889 | |||||||||
Korn Ferry | 250 | 16,235 | |||||||||
TriNet Group, Inc.† | 85 | 8,361 | |||||||||
TrueBlue, Inc.† | 900 | 26,001 | |||||||||
99,253 |
Security Description | Shares | Value (Note 2) | |||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy, Inc., Class A | 250 | $ | 8,330 | ||||||||
Clearway Energy, Inc., Class C | 50 | 1,826 | |||||||||
10,156 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
American Equity Investment Life Holding Co. | 159 | 6,346 | |||||||||
CNO Financial Group, Inc. | 200 | 5,018 | |||||||||
11,364 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Employers Holdings, Inc. | 149 | 6,112 | |||||||||
First American Financial Corp. | 75 | 4,862 | |||||||||
Kinsale Capital Group, Inc. | 120 | 27,362 | |||||||||
RLI Corp. | 265 | 29,317 | |||||||||
Selective Insurance Group, Inc. | 165 | 14,744 | |||||||||
Stewart Information Services Corp. | 125 | 7,576 | |||||||||
89,973 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Essent Group, Ltd. | 750 | 30,907 | |||||||||
Internet Application Software — 3.1% | |||||||||||
Okta, Inc.† | 1,904 | 287,428 | |||||||||
Shopify, Inc., Class A† | 1,614 | 1,090,999 | |||||||||
1,378,427 | |||||||||||
Internet Content-Entertainment — 3.0% | |||||||||||
Snap, Inc., Class A† | 10,512 | 378,327 | |||||||||
Spotify Technology SA† | 2,621 | 395,823 | |||||||||
Twitter, Inc.† | 14,574 | 563,868 | |||||||||
1,338,018 | |||||||||||
Internet Content-Information/News — 1.5% | |||||||||||
IAC/InterActiveCorp† | 5,591 | 560,665 | |||||||||
Vimeo, Inc.† | 6,095 | 72,409 | |||||||||
Yelp, Inc.† | 750 | 25,583 | |||||||||
658,657 | |||||||||||
Investment Management/Advisor Services — 0.2% | |||||||||||
AssetMark Financial Holdings, Inc.† | 225 | 5,006 | |||||||||
Blucora, Inc.† | 1,100 | 21,505 | |||||||||
Federated Hermes, Inc. | 50 | 1,703 | |||||||||
Focus Financial Partners, Inc., Class A† | 525 | 24,014 | |||||||||
Stifel Financial Corp. | 257 | 17,450 | |||||||||
Virtus Investment Partners, Inc. | 50 | 12,000 | |||||||||
81,678 | |||||||||||
Linen Supply & Related Items — 0.2% | |||||||||||
UniFirst Corp. | 500 | 92,140 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Manitowoc Co, Inc.† | 775 | 11,687 | |||||||||
Terex Corp. | 125 | 4,458 | |||||||||
16,145 | |||||||||||
Machinery-Electrical — 0.1% | |||||||||||
Argan, Inc. | 825 | 33,487 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Altra Industrial Motion Corp. | 500 | 19,465 | |||||||||
Kadant, Inc. | 100 | 19,419 | |||||||||
38,884 |
11
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
SPX FLOW, Inc. | 75 | $ | 6,466 | ||||||||
Watts Water Technologies, Inc., Class A | 45 | 6,282 | |||||||||
12,748 | |||||||||||
Medical Information Systems — 0.1% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 825 | 18,579 | |||||||||
NextGen Healthcare, Inc.† | 1,500 | 31,365 | |||||||||
49,944 | |||||||||||
Medical Instruments — 1.1% | |||||||||||
AngioDynamics, Inc.† | 1,550 | 33,387 | |||||||||
Intuitive Surgical, Inc.† | 1,133 | 341,803 | |||||||||
Natus Medical, Inc.† | 650 | 17,082 | |||||||||
NuVasive, Inc.† | 1,650 | 93,555 | |||||||||
485,827 | |||||||||||
Medical Labs & Testing Services — 0.3% | |||||||||||
Fulgent Genetics, Inc.† | 425 | 26,524 | |||||||||
LifeStance Health Group, Inc.† | 1,725 | 17,440 | |||||||||
Medpace Holdings, Inc.† | 275 | 44,987 | |||||||||
OPKO Health, Inc.† | 3,500 | 12,040 | |||||||||
Personalis, Inc.† | 1,025 | 8,395 | |||||||||
109,386 | |||||||||||
Medical Products — 0.5% | |||||||||||
Accuray, Inc.† | 13,575 | 44,933 | |||||||||
Bioventus, Inc., Class A† | 750 | 10,575 | |||||||||
Cardiovascular Systems, Inc.† | 1,950 | 44,070 | |||||||||
Inspire Medical Systems, Inc.† | 110 | 28,236 | |||||||||
Integer Holdings Corp.† | 470 | 37,868 | |||||||||
LivaNova PLC† | 625 | 51,144 | |||||||||
SeaSpine Holdings Corp.† | 150 | 1,824 | |||||||||
Zynex, Inc. | 1,262 | 7,862 | |||||||||
226,512 | |||||||||||
Medical-Biomedical/Gene — 3.7% | |||||||||||
2seventy Bio, Inc.† | 54 | 921 | |||||||||
ACADIA Pharmaceuticals, Inc.† | 425 | 10,294 | |||||||||
Amicus Therapeutics, Inc.† | 4,000 | 37,880 | |||||||||
Arrowhead Pharmaceuticals, Inc.† | 400 | 18,396 | |||||||||
Atara Biotherapeutics, Inc.† | 2,275 | 21,135 | |||||||||
Beam Therapeutics, Inc.† | 225 | 12,893 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 125 | 14,821 | |||||||||
Black Diamond Therapeutics, Inc.† | 1,350 | 3,740 | |||||||||
Bluebird Bio, Inc.† | 137 | 664 | |||||||||
Bridgebio Pharma, Inc.† | 225 | 2,284 | |||||||||
CytomX Therapeutics, Inc.† | 2,025 | 5,407 | |||||||||
Decibel Therapeutics, Inc.† | 26 | 79 | |||||||||
Eiger BioPharmaceuticals, Inc.† | 700 | 5,810 | |||||||||
Emergent BioSolutions, Inc.† | 50 | 2,053 | |||||||||
Esperion Therapeutics, Inc.† | 100 | 464 | |||||||||
Fate Therapeutics, Inc.† | 725 | 28,108 | |||||||||
Global Blood Therapeutics, Inc.† | 850 | 29,444 | |||||||||
Homology Medicines, Inc.† | 175 | 532 | |||||||||
Illumina, Inc.† | 733 | 256,110 | |||||||||
Insmed, Inc.† | 115 | 2,703 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Intercept Pharmaceuticals, Inc.† | 1,250 | $ | 20,337 | ||||||||
iTeos Therapeutics, Inc.† | 600 | 19,308 | |||||||||
Ligand Pharmaceuticals, Inc.† | 175 | 19,686 | |||||||||
Puma Biotechnology, Inc.† | 925 | 2,664 | |||||||||
Royalty Pharma PLC, Class A | 26,742 | 1,041,868 | |||||||||
Sana Biotechnology, Inc.† | 13 | 107 | |||||||||
Sensei Biotherapeutics, Inc.† | 1,075 | 2,483 | |||||||||
Sigilon Therapeutics, Inc.† | 650 | 956 | |||||||||
Sutro Biopharma, Inc.† | 100 | 822 | |||||||||
TG Therapeutics, Inc.† | 1,275 | 12,125 | |||||||||
Travere Therapeutics, Inc.† | 525 | 13,529 | |||||||||
Turning Point Therapeutics, Inc.† | 90 | 2,417 | |||||||||
Tyra Biosciences, Inc.† | 1,700 | 18,190 | |||||||||
UroGen Pharma, Ltd.† | 375 | 3,266 | |||||||||
Wave Life Sciences, Ltd.† | 1,175 | 2,350 | |||||||||
Xencor, Inc.† | 1,225 | 32,683 | |||||||||
1,646,529 | |||||||||||
Medical-Drugs — 0.6% | |||||||||||
Amphastar Pharmaceuticals, Inc.† | 425 | 15,257 | |||||||||
Athenex, Inc.† | 600 | 498 | |||||||||
Catalyst Pharmaceuticals, Inc.† | 5,275 | 43,730 | |||||||||
Coherus Biosciences, Inc.† | 3,325 | 42,926 | |||||||||
Corcept Therapeutics, Inc.† | 600 | 13,512 | |||||||||
Eagle Pharmaceuticals, Inc.† | 275 | 13,610 | |||||||||
Fulcrum Therapeutics, Inc.† | 1,398 | 33,062 | |||||||||
Gritstone Bio, Inc.† | 75 | 309 | |||||||||
Harpoon Therapeutics, Inc.† | 1,407 | 6,993 | |||||||||
Intellia Therapeutics, Inc.† | 400 | 29,068 | |||||||||
Landos Biopharma, Inc.† | 795 | 1,172 | |||||||||
Lannett Co., Inc.† | 2,500 | 1,970 | |||||||||
Madrigal Pharmaceuticals, Inc.† | 200 | 19,624 | |||||||||
Marinus Pharmaceuticals, Inc.† | 2,069 | 19,345 | |||||||||
Vanda Pharmaceuticals, Inc.† | 2,225 | 25,165 | |||||||||
Y-mAbs Therapeutics, Inc.† | 25 | 297 | |||||||||
266,538 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Amneal Pharmaceuticals, Inc.† | 2,175 | 9,070 | |||||||||
Arvinas, Inc.† | 250 | 16,825 | |||||||||
25,895 | |||||||||||
Medical-HMO — 0.0% | |||||||||||
Tivity Health, Inc.† | 100 | 3,217 | |||||||||
Medical-Hospitals — 0.0% | |||||||||||
Tenet Healthcare Corp.† | 225 | 19,341 | |||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
ModivCare, Inc.† | 25 | 2,885 | |||||||||
Metal Processors & Fabrication — 0.1% | |||||||||||
AZZ, Inc. | 125 | 6,030 | |||||||||
Mueller Industries, Inc. | 260 | 14,084 | |||||||||
20,114 | |||||||||||
Metal Products-Distribution — 0.0% | |||||||||||
Worthington Industries, Inc. | 40 | 2,056 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Alcoa Corp. | 250 | 22,507 | |||||||||
Arconic Corp.† | 500 | 12,810 |
12
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Metal-Aluminum (continued) | |||||||||||
Constellium SE† | 575 | $ | 10,350 | ||||||||
45,667 | |||||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
Hillenbrand, Inc. | 650 | 28,711 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Lions Gate Entertainment Corp., Class A† | 2,025 | 32,906 | |||||||||
Multilevel Direct Selling — 0.1% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 490 | 23,461 | |||||||||
Networking Products — 0.2% | |||||||||||
A10 Networks, Inc. | 2,475 | 34,526 | |||||||||
Extreme Networks, Inc.† | 2,750 | 33,578 | |||||||||
68,104 | |||||||||||
Office Furnishings-Original — 0.1% | |||||||||||
HNI Corp. | 525 | 19,451 | |||||||||
Steelcase, Inc., Class A | 1,600 | 19,120 | |||||||||
38,571 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Patterson-UTI Energy, Inc. | 1,000 | 15,480 | |||||||||
Oil Companies-Exploration & Production — 0.8% | |||||||||||
Antero Resources Corp.† | 1,230 | 37,552 | |||||||||
CNX Resources Corp.† | 1,875 | 38,850 | |||||||||
Falcon Minerals Corp. | 150 | 1,011 | |||||||||
Magnolia Oil & Gas Corp., Class A | 1,825 | 43,161 | |||||||||
Matador Resources Co. | 300 | 15,894 | |||||||||
Oasis Petroleum, Inc. | 300 | 43,890 | |||||||||
Ovintiv, Inc. | 1,900 | 102,733 | |||||||||
PDC Energy, Inc. | 850 | 61,778 | |||||||||
Range Resources Corp.† | 525 | 15,949 | |||||||||
Whiting Petroleum Corp. | 50 | 4,076 | |||||||||
364,894 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Murphy Oil Corp. | 100 | 4,039 | |||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Delek US Holdings, Inc.† | 1,000 | 21,220 | |||||||||
Oil-Field Services — 0.3% | |||||||||||
Archrock, Inc. | 325 | 3,000 | |||||||||
ChampionX Corp.† | 200 | 4,896 | |||||||||
Helix Energy Solutions Group, Inc.† | 500 | 2,390 | |||||||||
MRC Global, Inc.† | 1,950 | 23,224 | |||||||||
National Energy Services Reunited Corp.† | 325 | 2,730 | |||||||||
NexTier Oilfield Solutions, Inc.† | 1,475 | 13,629 | |||||||||
NOW, Inc.† | 4,600 | 50,738 | |||||||||
Oceaneering International, Inc.† | 775 | 11,749 | |||||||||
Oil States International, Inc.† | 625 | 4,344 | |||||||||
ProPetro Holding Corp.† | 525 | 7,313 | |||||||||
Select Energy Services, Inc., Class A† | 350 | 3,000 | |||||||||
127,013 | |||||||||||
Optical Supplies — 0.1% | |||||||||||
STAAR Surgical Co.† | 315 | 25,172 |
Security Description | Shares | Value (Note 2) | |||||||||
Paper & Related Products — 0.0% | |||||||||||
Clearwater Paper Corp.† | 50 | $ | 1,402 | ||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 1,025 | 82,389 | |||||||||
Pharmacy Services — 0.3% | |||||||||||
Option Care Health, Inc.† | 4,550 | 129,948 | |||||||||
Pipelines — 0.0% | |||||||||||
Golar LNG, Ltd.† | 275 | 6,815 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Powell Industries, Inc. | 350 | 6,797 | |||||||||
Precious Metals — 0.0% | |||||||||||
Coeur Mining, Inc.† | 850 | 3,782 | |||||||||
Hecla Mining Co. | 450 | 2,957 | |||||||||
6,739 | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Ennis, Inc. | 125 | 2,309 | |||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 1,150 | 24,162 | |||||||||
Real Estate Investment Trusts — 1.5% | |||||||||||
Agree Realty Corp. | 290 | 19,244 | |||||||||
Alexander & Baldwin, Inc. | 559 | 12,963 | |||||||||
American Assets Trust, Inc. | 125 | 4,736 | |||||||||
Apple Hospitality REIT, Inc. | 1,875 | 33,694 | |||||||||
Ares Commercial Real Estate Corp. | 1,000 | 15,520 | |||||||||
Blackstone Mtg. Trust, Inc., Class A | 875 | 27,816 | |||||||||
Broadstone Net Lease, Inc. | 275 | 5,990 | |||||||||
CareTrust REIT, Inc. | 275 | 5,308 | |||||||||
Centerspace | 85 | 8,340 | |||||||||
Chatham Lodging Trust† | 100 | 1,379 | |||||||||
City Office REIT, Inc. | 375 | 6,622 | |||||||||
Community Healthcare Trust, Inc. | 150 | 6,332 | |||||||||
Corporate Office Properties Trust | 475 | 13,556 | |||||||||
DiamondRock Hospitality Co.† | 550 | 5,555 | |||||||||
DigitalBridge Group, Inc.† | 1,100 | 7,920 | |||||||||
Easterly Government Properties, Inc. | 225 | 4,757 | |||||||||
EastGroup Properties, Inc. | 150 | 30,492 | |||||||||
Ellington Financial, Inc. | 625 | 11,094 | |||||||||
Essential Properties Realty Trust, Inc. | 250 | 6,325 | |||||||||
First Industrial Realty Trust, Inc. | 275 | 17,025 | |||||||||
Four Corners Property Trust, Inc. | 600 | 16,224 | |||||||||
Getty Realty Corp. | 450 | 12,879 | |||||||||
Gladstone Commercial Corp. | 275 | 6,056 | |||||||||
Global Medical REIT, Inc. | 200 | 3,264 | |||||||||
Healthcare Realty Trust, Inc. | 940 | 25,831 | |||||||||
Highwoods Properties, Inc. | 100 | 4,574 | |||||||||
Independence Realty Trust, Inc. | 500 | 13,220 | |||||||||
Innovative Industrial Properties, Inc. | 5 | 1,027 | |||||||||
Kite Realty Group Trust | 864 | 19,673 | |||||||||
KKR Real Estate Finance Trust, Inc. | 1,275 | 26,278 | |||||||||
Ladder Capital Corp. | 1,100 | 13,057 | |||||||||
LXP Industrial Trust | 550 | 8,635 | |||||||||
MFA Financial, Inc. | 624 | 2,515 | |||||||||
National Storage Affiliates Trust | 600 | 37,656 | |||||||||
Necessity Retail REIT, Inc. | 375 | 2,966 | |||||||||
Paramount Group, Inc. | 550 | 6,001 | |||||||||
Phillips Edison & Co., Inc. | 300 | 10,317 |
13
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Physicians Realty Trust | 450 | $ | 7,893 | ||||||||
Piedmont Office Realty Trust, Inc., Class A | 550 | 9,471 | |||||||||
Plymouth Industrial REIT, Inc. | 525 | 14,227 | |||||||||
PotlatchDeltic Corp. | 260 | 13,710 | |||||||||
Ready Capital Corp. | 450 | 6,777 | |||||||||
Redwood Trust, Inc. | 750 | 7,897 | |||||||||
Retail Opportunity Investments Corp. | 1,000 | 19,390 | |||||||||
RLJ Lodging Trust | 775 | 10,912 | |||||||||
Ryman Hospitality Properties, Inc.† | 140 | 12,988 | |||||||||
SITE Centers Corp. | 350 | 5,849 | |||||||||
STAG Industrial, Inc. | 590 | 24,396 | |||||||||
Summit Hotel Properties, Inc.† | 175 | 1,743 | |||||||||
Sunstone Hotel Investors, Inc.† | 300 | 3,534 | |||||||||
Terreno Realty Corp. | 400 | 29,620 | |||||||||
TPG RE Finance Trust, Inc. | 500 | 5,905 | |||||||||
UMH Properties, Inc. | 275 | 6,762 | |||||||||
Xenia Hotels & Resorts, Inc.† | 1,225 | 23,630 | |||||||||
659,545 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
Cushman & Wakefield PLC† | 650 | 13,331 | |||||||||
Realogy Holdings Corp.† | 1,075 | 16,856 | |||||||||
30,187 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
Kennedy-Wilson Holdings, Inc. | 1,325 | 32,317 | |||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
Avis Budget Group, Inc.† | 60 | 15,798 | |||||||||
Herc Holdings, Inc. | 215 | 35,924 | |||||||||
PROG Holdings, Inc.† | 700 | 20,139 | |||||||||
71,861 | |||||||||||
Resort/Theme Parks — 0.1% | |||||||||||
Marriott Vacations Worldwide Corp. | 225 | 35,482 | |||||||||
Retail-Apparel/Shoe — 0.1% | |||||||||||
Abercrombie & Fitch Co., Class A† | 975 | 31,190 | |||||||||
Guess?, Inc. | 525 | 11,471 | |||||||||
Winmark Corp. | 25 | 5,500 | |||||||||
48,161 | |||||||||||
Retail-Automobile — 0.2% | |||||||||||
Asbury Automotive Group, Inc.† | 175 | 28,035 | |||||||||
Group 1 Automotive, Inc. | 150 | 25,174 | |||||||||
Lithia Motors, Inc. | 25 | 7,503 | |||||||||
Rush Enterprises, Inc., Class A | 125 | 6,364 | |||||||||
Sonic Automotive, Inc., Class A | 325 | 13,816 | |||||||||
80,892 | |||||||||||
Retail-Bedding — 0.0% | |||||||||||
Bed Bath & Beyond, Inc.† | 425 | 9,575 | |||||||||
Retail-Discount — 0.0% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 225 | 15,212 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Signet Jewelers, Ltd. | 160 | 11,632 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Office Supplies — 0.1% | |||||||||||
ODP Corp.† | 600 | $ | 27,498 | ||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash Holdings, Inc. | 150 | 10,551 | |||||||||
Retail-Petroleum Products — 0.1% | |||||||||||
Murphy USA, Inc. | 265 | 52,989 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 45 | 12,078 | |||||||||
Macy's, Inc. | 1,525 | 37,149 | |||||||||
49,227 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
Bloomin' Brands, Inc. | 1,350 | 29,619 | |||||||||
Portillo's, Inc., Class A† | 442 | 10,856 | |||||||||
40,475 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Hibbett, Inc. | 175 | 7,759 | |||||||||
Zumiez, Inc.† | 475 | 18,150 | |||||||||
25,909 | |||||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co.† | 108 | 1,543 | |||||||||
Satellite Telecom — 0.1% | |||||||||||
EchoStar Corp., Class A† | 1,275 | 31,033 | |||||||||
Savings & Loans/Thrifts — 0.3% | |||||||||||
Axos Financial, Inc.† | 250 | 11,598 | |||||||||
Brookline Bancorp, Inc. | 2,450 | 38,759 | |||||||||
Flushing Financial Corp. | 168 | 3,755 | |||||||||
HomeTrust Bancshares, Inc. | 175 | 5,168 | |||||||||
Investors Bancorp, Inc. | 600 | 8,958 | |||||||||
Northfield Bancorp, Inc. | 950 | 13,642 | |||||||||
OceanFirst Financial Corp. | 1,875 | 37,687 | |||||||||
People's United Financial, Inc. | 298 | 5,957 | |||||||||
Washington Federal, Inc. | 750 | 24,615 | |||||||||
150,139 | |||||||||||
Schools — 0.1% | |||||||||||
Adtalem Global Education, Inc.† | 700 | 20,797 | |||||||||
Coursera, Inc.† | 120 | 2,765 | |||||||||
Perdoceo Education Corp.† | 1,400 | 16,072 | |||||||||
39,634 | |||||||||||
Security Services — 0.0% | |||||||||||
Brink's Co. | 100 | 6,800 | |||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
Cirrus Logic, Inc.† | 125 | 10,599 | |||||||||
MaxLinear, Inc.† | 150 | 8,752 | |||||||||
19,351 | |||||||||||
Semiconductor Equipment — 3.1% | |||||||||||
ASML Holding NV | 2,004 | 1,338,532 | |||||||||
Cohu, Inc.† | 725 | 21,460 | |||||||||
Veeco Instruments, Inc.† | 675 | 18,353 | |||||||||
1,378,345 | |||||||||||
Steel-Producers — 0.1% | |||||||||||
Cleveland-Cliffs, Inc.† | 400 | 12,884 | |||||||||
Commercial Metals Co. | 800 | 33,296 |
14
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Steel-Producers (continued) | |||||||||||
Schnitzer Steel Industries, Inc., Class A | 160 | $ | 8,310 | ||||||||
54,490 | |||||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc.† | 225 | 6,039 | |||||||||
Telecom Services — 0.1% | |||||||||||
Vonage Holdings Corp.† | 2,275 | 46,160 | |||||||||
Television — 0.1% | |||||||||||
AMC Networks, Inc., Class A† | 600 | 24,378 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 1,000 | 28,020 | |||||||||
52,398 | |||||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc., Class A† | 1,125 | 27,720 | |||||||||
Cinemark Holdings, Inc.† | 300 | 5,184 | |||||||||
32,904 | |||||||||||
Therapeutics — 0.1% | |||||||||||
Akebia Therapeutics, Inc.† | 4,925 | 3,536 | |||||||||
Sarepta Therapeutics, Inc.† | 425 | 33,201 | |||||||||
36,737 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd. | 369 | 5,347 | |||||||||
Safe Bulkers, Inc. | 1,150 | 5,474 | |||||||||
10,821 | |||||||||||
Transport-Services — 0.0% | |||||||||||
Hub Group, Inc., Class A† | 175 | 13,512 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 370 | 29,785 | |||||||||
Heartland Express, Inc. | 150 | 2,111 | |||||||||
Schneider National, Inc., Class B | 125 | 3,187 | |||||||||
Werner Enterprises, Inc. | 100 | 4,100 | |||||||||
39,183 | |||||||||||
Travel Services — 0.1% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 13,775 | 28,239 | |||||||||
Vitamins & Nutrition Products — 0.2% | |||||||||||
BellRing Brands, Inc.† | 2,375 | 54,815 | |||||||||
Herbalife Nutrition, Ltd.† | 175 | 5,313 | |||||||||
USANA Health Sciences, Inc.† | 375 | 29,794 | |||||||||
89,922 | |||||||||||
Water — 0.2% | |||||||||||
American States Water Co. | 750 | 66,765 | |||||||||
Web Hosting/Design — 0.0% | |||||||||||
Q2 Holdings, Inc.† | 325 | 20,036 | |||||||||
X-Ray Equipment — 0.1% | |||||||||||
Varex Imaging Corp.† | 250 | 5,320 | |||||||||
ViewRay, Inc.† | 6,850 | 26,852 | |||||||||
32,172 | |||||||||||
Total Common Stocks (cost $33,767,498) | 31,880,802 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 5.2% | |||||||||||
Diversified Financial Services — 5.2% | |||||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | $ | 15,000 | $ | 14,937 | |||||||
Angel Oak Mtg. Trust VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(2)(4) | 16,140 | 15,933 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-5, Class A1 0.95% due 07/25/2066*(2)(4) | 37,496 | 35,400 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-2, Class A1 0.99% due 04/25/2066*(2)(4) | 28,203 | 26,904 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-R1, Class A1 0.99% due 04/25/2053*(2)(4) | 19,595 | 19,266 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-3, Class A1 1.07% due 05/25/2066*(2)(4) | 33,834 | 31,945 | |||||||||
Angel Oak Mtg. Trust Series 2022-1, Class A1 2.88% due 12/25/2066*(2)(7) | 47,994 | 46,768 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.03% (1 ML+1.58%) due 10/25/2034 | 1,388 | 1,441 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.49% due 09/15/2060(4)(5)(6) | 888,905 | 21,827 | |||||||||
BANK Series 2019-BN17, Class A4 3.71% due 04/15/2052(5) | 35,000 | 35,766 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(4) | 29,214 | 29,027 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(4) | 26,661 | 26,265 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(4) | 28,910 | 28,276 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(4) | 29,798 | 29,480 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.83% due 02/25/2036(2)(4) | 10,488 | 9,628 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.49% due 01/15/2051(4)(5)(6) | 96,020 | 2,150 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.51% due 07/15/2051(4)(5)(6) | 119,392 | 2,543 |
15
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.23% due 03/15/2062(4)(5)(6) | $ | 111,026 | $ | 6,935 | |||||||
Benchmark Mtg. Trust VRS Series 2020-B22, Class XA 1.52% due 01/15/2054(4)(5)(6) | 99,750 | 10,353 | |||||||||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.88% due 07/25/2049*(2)(7) | 14,420 | 14,319 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(2)(4) | 11,458 | 11,496 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-GC29, Class A4 3.19% due 04/10/2048(5) | 50,000 | 49,715 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(5) | 50,000 | 50,503 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC21, Class A5 3.86% due 05/10/2047(5) | 20,000 | 20,224 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.77% (1 Yr USTYCR+2.40%) due 03/25/2036(2) | 5,108 | 5,031 | |||||||||
Citigroup Mtg. Loan Trust, Inc. Series 2019-E, Class A1 3.23% due 11/25/2070*(2)(7) | 77,587 | 77,560 | |||||||||
COLT Mtg. Loan Trust VRS Series 2021-2, Class A3 1.34% due 08/25/2066*(2)(4) | 13,317 | 12,328 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(5) | 35,000 | 34,911 | |||||||||
Commercial Mtg. Trust Series 2014-UBS5, Class A4 3.84% due 09/10/2047 | 43,000 | 43,273 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(5) | 41,358 | 41,139 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(5) | 100,000 | 101,056 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(2) | 4,141 | 2,789 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.74% due 06/15/2057(4)(5)(6) | 291,171 | 5,150 | |||||||||
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(5) | 23,847 | 23,826 | |||||||||
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(5) | 40,000 | 39,362 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(5) | $ | 20,219 | $ | 20,142 | |||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 48,375 | 48,604 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 10,000 | 9,992 | |||||||||
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025* | 25,000 | 24,911 | |||||||||
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025* | 10,000 | 9,961 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 2.22% due 05/25/2035(2)(4) | 8,745 | 8,730 | |||||||||
GS Mtg. Securities Corp. Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(5) | 31,000 | 30,500 | |||||||||
GS Mtg. Securities Corp. Trust Series 2014-GC26, Class AAB 3.37% due 11/10/2047(5) | 23,663 | 23,785 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2018-GS10, Class XA 0.32% due 07/10/2051(4)(5)(6) | 986,449 | 18,745 | |||||||||
GS Mtg. Securities Corp. Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(5) | 40,000 | 40,419 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.74% due 03/25/2047(2)(4) | 2,503 | 1,868 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.87% due 01/25/2036(2)(4) | 4,035 | 4,111 | |||||||||
Honda Auto Receivables Owner Trust Series 2019-3, Class A3 1.78% due 08/15/2023 | 5,344 | 5,349 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.00% (1 ML+0.54%) due 05/25/2035(2) | 5,240 | 5,071 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2015-C29, Class A4 3.61% due 05/15/2048(5) | 39,000 | 39,161 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C19, Class A4 4.00% due 04/15/2047(5) | 60,000 | 60,582 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(5) | 30,000 | 29,819 |
16
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(5) | $ | 10,000 | $ | 9,712 | |||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.46% due 12/25/2034(2)(4) | 1,743 | 1,798 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(2)(4) | 20,472 | 20,524 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 0.96% due 12/15/2047(4)(5)(6) | 60,180 | 1,180 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(2) | 5,491 | 2,987 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 1.02% (1 ML+0.28%) due 10/25/2035(2) | 7,846 | 7,621 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2021-NQ2R, Class A1 0.94% due 10/25/2058*(2)(4) | 54,368 | 53,001 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 1.21% (1 ML + 0.75%) due 01/25/2048*(2) | 30,746 | 30,547 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.96% (1 ML+1.50%) due 06/25/2057*(2) | 20,825 | 20,996 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(2)(4) | 27,178 | 27,253 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(2)(4) | 30,278 | 30,388 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(2)(4) | 24,689 | 24,745 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(2)(4) | 35,699 | 35,926 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.66% due 06/25/2036(2)(4) | 15,853 | 13,651 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(2)(4) | $ | 2,366 | $ | 2,294 | |||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.56% (1 ML+0.10%) due 02/25/2037 | 7,203 | 4,289 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(7) | 60,263 | 22,592 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.59% (1 ML+0.13%) due 05/25/2037 | 16,912 | 13,607 | |||||||||
Sequoia Mtg. Trust VRS Series 2007-1, Class 2A1 2.51% due 02/20/2047(2)(4) | 9,849 | 8,604 | |||||||||
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(5) | 30,000 | 29,137 | |||||||||
SG Residential Mtg. Trust VRS Series 2021-1, Class A1 1.16% due 07/25/2061*(2)(4) | 38,962 | 36,795 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.96% (1 ML+0.25%) due 11/25/2036 | 45,452 | 43,874 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-4, Class A1 2.75% due 06/25/2057*(2)(4) | 28,157 | 27,954 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(2)(4) | 30,514 | 30,222 | |||||||||
Wellfleet CLO X, Ltd. FRS Series 2019-XA, Class A1R 1.42% (3 ML+1.17%) due 07/20/2032*(3) | 250,000 | 248,415 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2015-NXS1, Class ASB 2.93% due 05/15/2048(5) | 22,545 | 22,619 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2015-P2, Class A4 3.81% due 12/15/2048(5) | 35,000 | 35,496 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(5) | 30,000 | 30,239 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.60% due 10/25/2036(2)(4) | 2,769 | 2,692 | |||||||||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.37% due 06/15/2051* | 49,625 | 44,243 | |||||||||
Westlake Automobile Receivables Trust Series 2020-3A, Class D 1.65% due 02/17/2026* | 10,000 | 9,689 |
17
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024* | $ | 20,000 | $ | 20,033 | |||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(5) | 35,000 | 35,302 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(5) | 36,000 | 36,587 | |||||||||
Total Asset Backed Securities (cost $2,372,794) | 2,294,288 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 8.5% | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Lamar Media Corp. Company Guar. Notes 4.88% due 01/15/2029 | 20,000 | 19,850 | |||||||||
Aerospace/Defense — 0.1% | |||||||||||
Boeing Co. Senior Notes 5.04% due 05/01/2027 | 5,000 | 5,273 | |||||||||
Boeing Co. Senior Notes 5.15% due 05/01/2030 | 15,000 | 15,999 | |||||||||
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040 | 10,000 | 11,647 | |||||||||
Raytheon Technologies Corp. Senior Notes 2.38% due 03/15/2032 | 5,000 | 4,601 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 10,000 | 10,322 | |||||||||
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 5,000 | 5,427 | |||||||||
53,269 | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023 | 13,000 | 13,188 | |||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026* | 15,000 | 15,113 | |||||||||
William Carter Co. Company Guar. Notes 5.63% due 03/15/2027* | 40,000 | 40,590 | |||||||||
55,703 | |||||||||||
Applications Software — 0.1% | |||||||||||
CDK Global, Inc. Senior Notes 5.25% due 05/15/2029* | 30,000 | 30,150 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Applications Software (continued) | |||||||||||
Microsoft Corp. Senior Notes 3.04% due 03/17/2062 | $ | 10,000 | $ | 9,329 | |||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 20,000 | 20,236 | |||||||||
59,715 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 3.25% due 02/12/2032 | 10,000 | 8,916 | |||||||||
General Motors Financial Co., Inc. Senior Notes 1.50% due 06/10/2026 | 30,000 | 27,456 | |||||||||
36,372 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.05% due 01/26/2027 | 25,000 | 24,123 | |||||||||
Banks-Super Regional — 0.2% | |||||||||||
Fifth Third Bancorp Senior Notes 1.71% due 11/01/2027 | 40,000 | 37,065 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 55,000 | 54,310 | |||||||||
Wells Fargo & Co. Senior Notes 3.35% due 03/02/2033 | 15,000 | 14,584 | |||||||||
105,959 | |||||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 20,000 | 19,058 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 5,000 | 5,419 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 3,000 | 3,506 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029 | 5,000 | 4,822 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 5,000 | 5,166 | |||||||||
37,971 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 2,000 | 2,016 |
18
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Broadcast Services/Program (continued) | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028 | $ | 5,000 | $ | 5,003 | |||||||
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055 | 21,000 | 18,108 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.20% due 09/20/2047 | 5,000 | 5,199 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 10,000 | 10,453 | |||||||||
40,779 | |||||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Builders FirstSource, Inc. Company Guar. Notes 5.00% due 03/01/2030* | 20,000 | 19,784 | |||||||||
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031* | 10,000 | 8,763 | |||||||||
Standard Industries, Inc. Senior Notes 4.38% due 07/15/2030* | 20,000 | 18,400 | |||||||||
Standard Industries, Inc. Senior Notes 4.75% due 01/15/2028* | 15,000 | 14,381 | |||||||||
61,328 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 14,000 | 14,910 | |||||||||
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 15,000 | 15,450 | |||||||||
30,360 | |||||||||||
Cable/Satellite TV — 0.4% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030* | 30,000 | 28,149 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 2.30% due 02/01/2032 | 20,000 | 17,098 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.40% due 04/01/2033 | 10,000 | 9,972 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050 | 5,000 | 4,747 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | $ | 15,000 | $ | 14,891 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 7,000 | 7,976 | |||||||||
Comcast Corp. Company Guar. Notes 2.99% due 11/01/2063* | 11,000 | 8,995 | |||||||||
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039 | 10,000 | 9,488 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 3,000 | 3,101 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 5,000 | 5,401 | |||||||||
Cox Communications, Inc. Senior Notes 2.60% due 06/15/2031* | 10,000 | 9,036 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 3.13% due 09/01/2026* | 30,000 | 28,364 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 10,000 | 9,258 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 10,000 | 10,756 | |||||||||
167,232 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 5,000 | 4,717 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028 | 35,000 | 32,023 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025 | 10,000 | 10,077 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050 | 3,000 | 3,041 | |||||||||
45,141 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 15,000 | 15,358 | |||||||||
LYB International Finance III LLC Company Guar. Notes 1.25% due 10/01/2025 | 5,000 | 4,634 | |||||||||
19,992 |
19
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 2.30% due 11/01/2030* | $ | 10,000 | $ | 8,939 | |||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 4.50% due 07/15/2029* | 10,000 | 9,975 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Global Payments, Inc. Senior Notes 2.15% due 01/15/2027 | 5,000 | 4,700 | |||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 10,000 | 9,503 | |||||||||
S&P Global, Inc. Senior Notes 2.45% due 03/01/2027* | 5,000 | 4,870 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.70% due 03/01/2029* | 5,000 | 4,856 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.90% due 03/01/2032* | 5,000 | 4,850 | |||||||||
28,779 | |||||||||||
Computer Services — 0.1% | |||||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028* | 35,000 | 33,832 | |||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 4.00% due 07/01/2029* | 5,000 | 4,882 | |||||||||
Kyndryl Holdings, Inc. Senior Notes 3.15% due 10/15/2031* | 10,000 | 8,429 | |||||||||
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 5,000 | 4,999 | |||||||||
52,142 | |||||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 1.40% due 08/05/2028 | 15,000 | 13,728 | |||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 25,000 | 23,829 | |||||||||
Apple, Inc. Senior Notes 2.65% due 02/08/2051 | 5,000 | 4,310 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 5,000 | 4,964 | |||||||||
46,831 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Consulting Services — 0.1% | |||||||||||
Gartner, Inc. Company Guar. Notes 3.63% due 06/15/2029* | $ | 5,000 | $ | 4,688 | |||||||
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030* | 10,000 | 9,362 | |||||||||
Gartner, Inc. Company Guar. Notes 4.50% due 07/01/2028* | 10,000 | 9,998 | |||||||||
24,048 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023 | 40,000 | 40,450 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Fair Isaac Corp. Senior Notes 4.00% due 06/15/2028* | 20,000 | 19,362 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Avantor Funding, Inc. Company Guar. Notes 4.63% due 07/15/2028* | 20,000 | 19,750 | |||||||||
Diagnostic Kits — 0.1% | |||||||||||
Hologic, Inc. Company Guar. Notes 4.63% due 02/01/2028* | 25,000 | 25,313 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Teleflex, Inc. Company Guar. Notes 4.63% due 11/15/2027 | 10,000 | 10,159 | |||||||||
Diversified Banking Institutions — 1.3% | |||||||||||
Bank of America Corp. Senior Notes 2.46% due 10/22/2025 | 10,000 | 9,835 | |||||||||
Bank of America Corp. Senior Notes 2.50% due 02/13/2031 | 10,000 | 9,193 | |||||||||
Bank of America Corp. Senior Notes 2.57% due 10/20/2032 | 5,000 | 4,544 | |||||||||
Bank of America Corp. Senior Notes 3.31% due 04/22/2042 | 15,000 | 13,900 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 45,000 | 45,069 | |||||||||
Bank of America Corp. Senior Notes 4.08% due 03/20/2051 | 30,000 | 30,923 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 15,000 | 16,201 | |||||||||
Citigroup, Inc. Senior Notes 1.28% due 11/03/2025 | 10,000 | 9,520 |
20
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 2.52% due 11/03/2032 | $ | 15,000 | $ | 13,459 | |||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 45,000 | 45,143 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 20,000 | 20,253 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 5,000 | 5,105 | |||||||||
Citigroup, Inc. Senior Notes 4.41% due 03/31/2031 | 10,000 | 10,383 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.99% due 01/27/2032 | 5,000 | 4,332 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.38% due 07/21/2032 | 20,000 | 17,717 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.62% due 04/22/2032 | 30,000 | 27,270 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 15,000 | 15,018 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.10% due 02/24/2033 | 5,000 | 4,713 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 30,000 | 30,271 | |||||||||
JPMorgan Chase & Co. Senior Bonds 2.55% due 11/08/2032 | 15,000 | 13,708 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.58% due 04/22/2032 | 5,000 | 4,581 | |||||||||
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031 | 10,000 | 9,358 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041 | 5,000 | 4,523 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051 | 5,000 | 4,426 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.16% due 04/22/2042 | 10,000 | 9,106 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 15,000 | 15,056 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 30,000 | 29,912 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | $ | 35,000 | $ | 35,171 | |||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 15,000 | 15,178 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 10,000 | 10,219 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024 | 7,000 | 7,116 | |||||||||
Morgan Stanley Senior Notes 1.59% due 05/04/2027 | 10,000 | 9,303 | |||||||||
Morgan Stanley Senior Notes 1.79% due 02/13/2032 | 30,000 | 25,802 | |||||||||
Morgan Stanley Senior Notes 1.93% due 04/28/2032 | 10,000 | 8,645 | |||||||||
Morgan Stanley Senior Notes 2.24% due 07/21/2032 | 15,000 | 13,334 | |||||||||
Morgan Stanley Senior Notes 2.48% due 01/21/2028 | 15,000 | 14,334 | |||||||||
Morgan Stanley Senior Notes 2.51% due 10/20/2032 | 5,000 | 4,507 | |||||||||
Morgan Stanley Senior Notes 2.70% due 01/22/2031 | 10,000 | 9,385 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 5,000 | 4,963 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 15,000 | 15,283 | |||||||||
596,759 | |||||||||||
E-Commerce/Services — 0.1% | |||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027* | 41,000 | 41,205 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 10,000 | 9,887 | |||||||||
Sempra Energy Senior Notes 3.40% due 02/01/2028 | 12,000 | 11,991 | |||||||||
Sempra Energy Senior Notes 3.80% due 02/01/2038 | 10,000 | 9,816 | |||||||||
31,694 |
21
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated — 0.7% | |||||||||||
AES Corp. Senior Notes 3.30% due 07/15/2025* | $ | 10,000 | $ | 9,811 | |||||||
Alabama Power Co. Senior Notes 3.45% due 10/01/2049 | 10,000 | 9,323 | |||||||||
Alabama Power Co. Senior Notes 4.15% due 08/15/2044 | 5,000 | 5,081 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029 | 10,000 | 9,558 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 3.20% due 12/01/2051 | 5,000 | 4,418 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 2.55% due 04/15/2031 | 5,000 | 4,695 | |||||||||
Duke Energy Corp. Senior Notes 2.55% due 06/15/2031 | 15,000 | 13,717 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 2.75% due 04/01/2050 | 10,000 | 8,457 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 5,000 | 4,844 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.00% due 04/01/2052 | 5,000 | 5,297 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044 | 5,000 | 5,300 | |||||||||
Duquesne Light Holdings, Inc. Senior Notes 2.78% due 01/07/2032* | 5,000 | 4,470 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 5,000 | 4,919 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 10,000 | 9,565 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 15,000 | 15,309 | |||||||||
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030 | 10,000 | 8,875 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 10,000 | 10,121 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 10,000 | 10,034 | |||||||||
Jersey Central Power & Light Co. Senior Notes 2.75% due 03/01/2032* | 5,000 | 4,657 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050 | $ | 10,000 | $ | 9,179 | |||||||
Pacific Gas & Electric Co. 1st Mtg. 4.40% due 03/01/2032 | 5,000 | 4,916 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 5.25% due 03/01/2052 | 5,000 | 5,015 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031 | 20,000 | 17,242 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.95% due 07/01/2050 | 20,000 | 18,829 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 10,000 | 10,033 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030 | 5,000 | 4,991 | |||||||||
Southern California Edison Co. 1st Mtg. Bonds 2.25% due 06/01/2030 | 5,000 | 4,521 | |||||||||
Southern California Edison Co. 1st Mtg. 2.75% due 02/01/2032 | 5,000 | 4,641 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 10,000 | 9,517 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 3,000 | 2,881 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 5,000 | 5,028 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 10,000 | 10,002 | |||||||||
Xcel Energy, Inc. Senior Notes 1.75% due 03/15/2027 | 40,000 | 37,078 | |||||||||
292,324 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030* | 10,000 | 9,475 | |||||||||
Electronic Components-Semiconductors — 0.3% | |||||||||||
Broadcom, Inc. Senior Notes 3.42% due 04/15/2033* | 11,000 | 10,284 | |||||||||
Broadcom, Inc. Senior Notes 4.00% due 04/15/2029* | 40,000 | 39,980 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.30% due 11/15/2032 | 5,000 | 5,081 |
22
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 2.45% due 11/15/2029 | $ | 5,000 | $ | 4,773 | |||||||
Intel Corp. Senior Bonds 3.05% due 08/12/2051 | 7,000 | 6,233 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.45% due 04/15/2028 | 15,000 | 13,817 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.95% due 04/15/2031 | 5,000 | 4,622 | |||||||||
Microchip Technology, Inc. Sec. Notes 2.67% due 09/01/2023 | 15,000 | 14,958 | |||||||||
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040 | 10,000 | 10,039 | |||||||||
109,787 | |||||||||||
Enterprise Software/Service — 0.2% | |||||||||||
Oracle Corp. Senior Notes 2.30% due 03/25/2028 | 15,000 | 13,725 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2050 | 5,000 | 4,147 | |||||||||
Oracle Corp. Senior Notes 3.85% due 04/01/2060 | 20,000 | 16,404 | |||||||||
Oracle Corp. Senior Notes 3.95% due 03/25/2051 | 10,000 | 8,737 | |||||||||
Oracle Corp. Senior Notes 4.00% due 07/15/2046 | 5,000 | 4,435 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 13,259 | |||||||||
Oracle Corp. Senior Notes 4.10% due 03/25/2061 | 5,000 | 4,260 | |||||||||
64,967 | |||||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 11,000 | 11,410 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.13% due 03/15/2024 | 5,000 | 5,125 | |||||||||
16,535 | |||||||||||
Finance-Credit Card — 0.1% | |||||||||||
Capital One Financial Corp. Senior Notes 1.88% due 11/02/2027 | 40,000 | 36,960 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Finance-Credit Card (continued) | |||||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | $ | 15,000 | $ | 15,244 | |||||||
Mastercard, Inc. Senior Notes 2.95% due 03/15/2051 | 5,000 | 4,572 | |||||||||
56,776 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
GTP Acquisition Partners I LLC Senior Sec. Notes 3.48% due 06/15/2050* | 45,000 | 45,180 | |||||||||
Food-Confectionery — 0.0% | |||||||||||
Mondelez International, Inc. Senior Notes 2.63% due 03/17/2027 | 5,000 | 4,886 | |||||||||
Mondelez International, Inc. Senior Notes 3.00% due 03/17/2032 | 5,000 | 4,823 | |||||||||
9,709 | |||||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 5,000 | 5,141 | |||||||||
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028 | 10,000 | 10,595 | |||||||||
Kellogg Co. Senior Notes 3.40% due 11/15/2027 | 15,000 | 14,994 | |||||||||
30,730 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Service Corp. International Senior Notes 3.38% due 08/15/2030 | 25,000 | 22,522 | |||||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 25,000 | 25,440 | |||||||||
47,962 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
NiSource, Inc. Senior Notes 3.49% due 05/15/2027 | 10,000 | 9,983 | |||||||||
NiSource, Inc. Senior Notes 3.60% due 05/01/2030 | 10,000 | 9,918 | |||||||||
19,901 | |||||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027* | 30,000 | 29,925 | |||||||||
Clean Harbors, Inc. Company Guar. Notes 5.13% due 07/15/2029* | 20,000 | 20,075 | |||||||||
50,000 |
23
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. Senior Sec. Notes 2.45% due 12/02/2027* | $ | 10,000 | $ | 9,232 | |||||||
Insurance Brokers — 0.1% | |||||||||||
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022 | 10,000 | 10,019 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 3.90% due 02/28/2052 | 5,000 | 4,931 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 20,000 | 20,163 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 10,000 | 10,216 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 5,000 | 5,032 | |||||||||
50,361 | |||||||||||
Insurance-Life/Health — 0.2% | |||||||||||
Athene Global Funding Sec. Notes 2.65% due 10/04/2031* | 15,000 | 13,239 | |||||||||
Athene Global Funding Secured Notes 2.72% due 01/07/2029* | 20,000 | 18,397 | |||||||||
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030 | 15,000 | 16,445 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 1.80% due 03/08/2028* | 20,000 | 18,021 | |||||||||
66,102 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025* | 5,000 | 4,854 | |||||||||
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050* | 5,000 | 4,844 | |||||||||
9,698 | |||||||||||
Internet Security — 0.1% | |||||||||||
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025* | 20,000 | 20,000 | |||||||||
Investment Companies — 0.1% | |||||||||||
Bain Capital Specialty Finance, Inc. Senior Notes 2.55% due 10/13/2026 | 30,000 | 27,089 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Otis Worldwide Corp. Senior Notes 2.57% due 02/15/2030 | 10,000 | 9,347 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025 | $ | 5,000 | $ | 4,805 | |||||||
Medical Products — 0.1% | |||||||||||
Baxter International Inc Senior Notes 2.54% due 02/01/2032* | 40,000 | 36,531 | |||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 3.35% due 02/22/2032 | 5,000 | 4,954 | |||||||||
Medical-Drugs — 0.2% | |||||||||||
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029 | 10,000 | 9,874 | |||||||||
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049 | 2,000 | 2,076 | |||||||||
Astrazeneca Finance LLC Company Guar. Notes 1.75% due 05/28/2028 | 15,000 | 13,847 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 0.75% due 11/13/2025 | 20,000 | 18,547 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.55% due 11/13/2050 | 10,000 | 8,296 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.95% due 03/15/2032 | 5,000 | 4,892 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.55% due 03/15/2042 | 15,000 | 14,832 | |||||||||
72,364 | |||||||||||
Medical-HMO — 0.2% | |||||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 5,000 | 5,765 | |||||||||
Centene Corp. Senior Notes 3.38% due 02/15/2030 | 10,000 | 9,400 | |||||||||
Centene Corp. Senior Notes 4.63% due 12/15/2029 | 30,000 | 30,360 | |||||||||
Humana, Inc. Senior Notes 2.15% due 02/03/2032 | 15,000 | 13,145 | |||||||||
Humana, Inc. Senior Notes 3.70% due 03/23/2029 | 5,000 | 5,020 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.75% due 05/15/2040 | 10,000 | 8,988 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 2,000 | 1,986 | |||||||||
74,664 |
24
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA, Inc. Senior Sec. Notes 3.63% due 03/15/2032* | $ | 5,000 | $ | 4,899 | |||||||
HCA, Inc. Senior Sec. Bonds 4.63% due 03/15/2052* | 5,000 | 5,040 | |||||||||
Kaiser Foundation Hospitals Notes 2.81% due 06/01/2041 | 5,000 | 4,371 | |||||||||
Kaiser Foundation Hospitals Notes 3.00% due 06/01/2051 | 10,000 | 8,804 | |||||||||
Sutter Health Notes 3.36% due 08/15/2050 | 5,000 | 4,456 | |||||||||
27,570 | |||||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Magallanes, Inc. Company Guar. Notes 4.28% due 03/15/2032* | 10,000 | 10,043 | |||||||||
Magallanes, Inc. Company Guar. Bonds 5.14% due 03/15/2052* | 40,000 | 40,934 | |||||||||
50,977 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 3.88% due 07/15/2030* | 25,000 | 23,875 | |||||||||
Office Automation & Equipment — 0.1% | |||||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029 | 30,000 | 27,564 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.28% due 12/01/2028 | 5,000 | 4,710 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.57% due 12/01/2031 | 5,000 | 4,632 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 4.13% due 05/01/2025 | 5,000 | 5,026 | |||||||||
Xerox Holdings Corp. Company Guar. Notes 5.50% due 08/15/2028* | 20,000 | 19,505 | |||||||||
61,437 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Apache Corp. Senior Notes 4.88% due 11/15/2027 | 10,000 | 10,250 | |||||||||
ConocoPhillips Co. Company Guar. Notes 4.03% due 03/15/2062* | 5,000 | 5,069 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.75% due 01/15/2031* | 5,000 | 5,469 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | $ | 3,000 | $ | 3,702 | |||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 8,000 | 9,807 | |||||||||
Ovintiv, Inc. Company Guar. Notes 7.38% due 11/01/2031 | 10,000 | 12,259 | |||||||||
46,556 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 2.94% due 06/04/2051 | 10,000 | 8,522 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.06% due 06/17/2041 | 5,000 | 4,485 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.38% due 02/08/2061 | 5,000 | 4,463 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030 | 10,000 | 10,176 | |||||||||
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040 | 5,000 | 5,406 | |||||||||
Exxon Mobil Corp. Senior Notes 4.33% due 03/19/2050 | 3,000 | 3,343 | |||||||||
36,395 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025 | 10,000 | 10,403 | |||||||||
Oil-U.S. Royalty Trusts — 0.0% | |||||||||||
Viper Energy Partners LP Company Guar. Notes 5.38% due 11/01/2027* | 15,000 | 15,279 | |||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Senior Notes 1.25% due 03/15/2026 | 20,000 | 18,694 | |||||||||
CVS Health Corp. Pass-Through Certs. 5.93% due 01/10/2034* | 6,221 | 6,880 | |||||||||
CVS Health Corp. Senior Notes 4.13% due 04/01/2040 | 15,000 | 15,275 | |||||||||
40,849 | |||||||||||
Pipelines — 0.3% | |||||||||||
Energy Transfer LP Senior Notes 6.13% due 12/15/2045 | 30,000 | 33,097 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 5,000 | 5,018 |
25
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.95% due 10/15/2054 | $ | 5,000 | $ | 5,433 | |||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 10,000 | 9,600 | |||||||||
MPLX LP Senior Notes 1.75% due 03/01/2026 | 5,000 | 4,691 | |||||||||
MPLX LP Senior Notes 4.95% due 03/14/2052 | 10,000 | 10,439 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 3,000 | 3,218 | |||||||||
NGPL PipeCo LLC Senior Notes 3.25% due 07/15/2031* | 5,000 | 4,669 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030 | 10,000 | 9,374 | |||||||||
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026 | 5,000 | 5,380 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030 | 10,000 | 10,459 | |||||||||
Transcontinental Gas Pipe Line Co., LLC Senior Notes 3.25% due 05/15/2030 | 5,000 | 4,884 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 10,000 | 10,321 | |||||||||
116,583 | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
American Tower Corp. Senior Notes 1.45% due 09/15/2026 | 5,000 | 4,568 | |||||||||
American Tower Corp. Senior Notes 1.50% due 01/31/2028 | 5,000 | 4,426 | |||||||||
American Tower Corp. Senior Notes 2.40% due 03/15/2025 | 5,000 | 4,869 | |||||||||
American Tower Corp. Senior Notes 3.65% due 03/15/2027 | 5,000 | 4,999 | |||||||||
EPR Properties Senior Notes 3.60% due 11/15/2031 | 5,000 | 4,534 | |||||||||
EPR Properties Senior Notes 3.75% due 08/15/2029 | 5,000 | 4,681 | |||||||||
EPR Properties Company Guar. Notes 4.95% due 04/15/2028 | 15,000 | 15,039 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Equinix, Inc. Senior Notes 2.00% due 05/15/2028 | $ | 5,000 | $ | 4,513 | |||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 3.25% due 01/15/2032 | 5,000 | 4,537 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031 | 10,000 | 9,699 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 10,000 | 10,506 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 25,000 | 24,610 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 25,000 | 25,005 | |||||||||
121,986 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 4.00% due 07/15/2030 | 15,000 | 14,345 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 5.50% due 05/15/2027 | 10,000 | 10,343 | |||||||||
24,688 | |||||||||||
Retail-Apparel/Shoe — 0.1% | |||||||||||
Gap, Inc. Company Guar. Notes 3.63% due 10/01/2029* | 27,000 | 23,948 | |||||||||
Gap, Inc. Company Guar. Notes 3.88% due 10/01/2031* | 23,000 | 20,035 | |||||||||
43,983 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 4.50% due 03/01/2028 | 7,000 | 6,724 | |||||||||
Retail-Building Products — 0.0% | |||||||||||
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040 | 10,000 | 9,641 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.75% due 04/01/2032 | 5,000 | 5,058 | |||||||||
14,699 | |||||||||||
Retail-Pawn Shops — 0.1% | |||||||||||
FirstCash, Inc. Company Guar. Notes 4.63% due 09/01/2028* | 20,000 | 18,625 |
26
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Pawn Shops (continued) | |||||||||||
FirstCash, Inc. Company Guar. Notes 5.63% due 01/01/2030* | $ | 15,000 | $ | 14,449 | |||||||
33,074 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 5,000 | 5,062 | |||||||||
McDonald's Corp. Senior Notes 3.63% due 09/01/2049 | 5,000 | 4,785 | |||||||||
McDonald's Corp. Senior Notes 4.20% due 04/01/2050 | 5,000 | 5,217 | |||||||||
15,064 | |||||||||||
Schools — 0.0% | |||||||||||
Howard University Notes 2.39% due 10/01/2027 | 5,000 | 4,649 | |||||||||
Howard University Notes 2.80% due 10/01/2030 | 10,000 | 9,390 | |||||||||
Howard University Notes 2.90% due 10/01/2031 | 5,000 | 4,629 | |||||||||
18,668 | |||||||||||
Telephone-Integrated — 0.2% | |||||||||||
AT&T, Inc. Senior Notes 3.50% due 02/01/2061 | 10,000 | 8,404 | |||||||||
AT&T, Inc. Senior Notes 3.55% due 09/15/2055 | 29,000 | 25,562 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 06/01/2051 | 10,000 | 9,085 | |||||||||
AT&T, Inc. Senior Notes 3.80% due 12/01/2057 | 7,000 | 6,382 | |||||||||
Verizon Communications, Inc. Senior Bonds 2.85% due 09/03/2041 | 5,000 | 4,406 | |||||||||
Verizon Communications, Inc. Senior Notes 3.40% due 03/22/2041 | 10,000 | 9,383 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 7,000 | 7,376 | |||||||||
70,598 | |||||||||||
Tobacco — 0.1% | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028 | 20,000 | 17,977 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 5,000 | 4,939 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Tobacco (continued) | |||||||||||
BAT Capital Corp. Company Guar. Notes 4.74% due 03/16/2032 | $ | 15,000 | $ | 15,091 | |||||||
38,007 | |||||||||||
Transactional Software — 0.1% | |||||||||||
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028* | 45,000 | 42,525 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Union Pacific Corp. Senior Notes 2.38% due 05/20/2031 | 15,000 | 14,037 | |||||||||
Union Pacific Corp. Senior Notes 2.80% due 02/14/2032 | 5,000 | 4,801 | |||||||||
18,838 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024* | 15,000 | 14,786 | |||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025* | 10,000 | 10,109 | |||||||||
24,895 | |||||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 5,000 | 5,181 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $3,989,555) | 3,778,452 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.7% | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Rogers Communications, Inc. Company Guar. Notes 3.80% due 03/15/2032* | 5,000 | 4,953 | |||||||||
Rogers Communications, Inc. Company Guar. Notes 4.55% due 03/15/2052* | 10,000 | 9,990 | |||||||||
14,943 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
Carnival Corp. Senior Sec. Notes 4.00% due 08/01/2028* | 10,000 | 9,300 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 10,000 | 10,137 | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.30% due 06/18/2029* | 4,000 | 4,130 |
27
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Open Text Corp. Company Guar. Notes 3.88% due 12/01/2029* | $ | 20,000 | $ | 19,000 | |||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Royalty Pharma PLC Company Guar. Notes 2.15% due 09/02/2031 | 30,000 | 25,807 | |||||||||
Royalty Pharma PLC Company Guar. Notes 3.30% due 09/02/2040 | 5,000 | 4,254 | |||||||||
30,061 | |||||||||||
Medical-Drugs — 0.0% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027* | 20,000 | 19,707 | |||||||||
Metal-Iron — 0.0% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030 | 5,000 | 4,815 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 5,000 | 5,507 | |||||||||
10,322 | |||||||||||
Networking Products — 0.1% | |||||||||||
Nokia Oyj Senior Notes 4.38% due 06/12/2027 | 15,000 | 15,216 | |||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 5,000 | 5,956 | |||||||||
21,172 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.50% due 03/30/2024* | 5,000 | 4,939 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.88% due 03/30/2026* | 5,000 | 4,825 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 5.88% due 03/30/2031* | 10,000 | 9,523 | |||||||||
Leviathan Bond, Ltd. Senior Sec. Notes 6.50% due 06/30/2027* | 20,000 | 20,463 | |||||||||
39,750 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Ecopetrol SA Senior Notes 4.63% due 11/02/2031 | 25,000 | 22,709 | |||||||||
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026 | 5,000 | 4,793 | |||||||||
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040 | 5,000 | 5,033 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050 | $ | 5,000 | $ | 5,055 | |||||||
Shell International Finance BV Company Guar. Notes 2.88% due 11/26/2041 | 5,000 | 4,494 | |||||||||
Shell International Finance BV Company Guar. Notes 3.00% due 11/26/2051 | 5,000 | 4,473 | |||||||||
Shell International Finance BV Company Guar. Notes 3.25% due 04/06/2050 | 5,000 | 4,689 | |||||||||
51,246 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028* | 30,000 | 28,426 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 15,000 | 15,439 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026* | 6,000 | 6,372 | |||||||||
21,811 | |||||||||||
Tobacco — 0.1% | |||||||||||
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026 | 10,000 | 9,188 | |||||||||
BAT International Finance PLC Company Guar. Notes 4.45% due 03/16/2028 | 20,000 | 20,076 | |||||||||
29,264 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $322,792) | 309,269 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.6% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 5,000 | 5,467 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 20,000 | 21,805 | |||||||||
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040 | 5,000 | 4,990 | |||||||||
County of Riverside, CA Revenue Bonds 2.86% due 02/15/2026 | 25,000 | 24,858 | |||||||||
County of Riverside, CA Revenue Bonds 3.12% due 02/15/2029 | 25,000 | 24,914 | |||||||||
Florida State Board of Administration Finance Corp. Revenue Bonds Series A 1.26% due 07/01/2025 | 25,000 | 23,748 |
28
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045 | $ | 10,000 | $ | 10,776 | |||||||
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049 | 30,000 | 34,325 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 9,000 | 12,011 | |||||||||
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035 | 30,000 | 31,024 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 35,000 | 41,343 | |||||||||
State of California General Obligation Bonds 7.30% due 10/01/2039 | 5,000 | 7,038 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 10,182 | 10,363 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 5,000 | 5,000 | |||||||||
Total Municipal Bonds & Notes (cost $252,295) | 257,662 | ||||||||||
U.S. GOVERNMENT AGENCIES — 10.1% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.4% | |||||||||||
Federal Home Loan Mtg. Corp. FRS 1.74% (6 ML+1.49%) due 02/01/2037 | 246 | 253 | |||||||||
2.50% due 01/01/2028 | 1,166 | 1,156 | |||||||||
2.50% due 04/01/2028 | 3,300 | 3,273 | |||||||||
3.50% due 03/01/2042 | 1,326 | 1,354 | |||||||||
3.50% due 09/01/2043 | 11,441 | 11,687 | |||||||||
3.50% due 08/01/2048 | 17,127 | 17,293 | |||||||||
4.00% due 09/01/2040 | 1,004 | 1,051 | |||||||||
4.50% due 01/01/2039 | 239 | 254 | |||||||||
5.50% due 07/01/2034 | 1,713 | 1,854 | |||||||||
6.50% due 05/01/2029 | 232 | 250 | |||||||||
7.50% due 08/01/2023 | 5 | 5 | |||||||||
7.50% due 04/01/2028 | 194 | 208 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(4)(5)(6) | 99,783 | 4,379 | |||||||||
Series K064, Class X1 0.60% due 03/25/2027(4)(5)(6) | 117,092 | 2,990 | |||||||||
Series K114, Class X1 1.12% due 06/25/2030(4)(5)(6) | 99,731 | 7,486 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series K104, Class X1 1.12% due 01/25/2030(4)(5)(6) | $ | 98,731 | $ | 7,036 | |||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(5) | 40,000 | 40,944 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(2) | 4,512 | 4,593 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 2.11% (1 ML+1.65%) due 04/25/2043*(2) | 2,467 | 2,461 | |||||||||
Series 2019-HQA3, Class M2 2.31% (1 ML + 1.85%) due 09/25/2049*(2) | 7,092 | 7,081 | |||||||||
Series 2019-DNA3, Class M2 2.51% (1 ML + 2.05%) due 07/25/2049*(2) | 10,775 | 10,775 | |||||||||
Series 2019-HQA1, Class M2 2.81% (1 ML + 2.35%) due 02/25/2049*(2) | 18,098 | 18,098 | |||||||||
Series 2019-DNA2, Class M2 2.91% (1 ML+2.45%) due 03/25/2049*(2) | 13,204 | 13,220 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 4122, Class AB 1.50% due 10/15/2042(2) | 6,044 | 5,656 | |||||||||
Series 4216, Class KQ 1.70% due 10/15/2039(2) | 5,160 | 5,115 | |||||||||
Series 3964, Class MD 2.00% due 01/15/2041(2) | 136 | 135 | |||||||||
Series 4961, Class JB 2.50% due 12/15/2042(2) | 10,795 | 10,489 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(2) | 3,602 | 3,580 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(2) | 105 | 107 | |||||||||
182,783 | |||||||||||
Federal National Mtg. Assoc. — 0.9% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.56% (1 ML +2.10%) due 06/25/2039*(2) | 269 | 269 | |||||||||
Series 2017-C01, Class 1M2 4.01% (1 ML+3.55%) due 07/25/2029(2) | 6,010 | 6,118 | |||||||||
Series 2016-C07, Class 2M2 4.81% (1 ML+4.35%) due 05/25/2029(2) | 10,658 | 11,105 |
29
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc. FRS 1.85% (12 ML+1.57%) due 05/01/2037 | $ | 400 | $ | 415 | |||||||
2.07% (12 ML+1.82%) due 10/01/2040 | 353 | 367 | |||||||||
Federal National Mtg. Assoc. 2.50% due 02/01/2043 | 30,396 | 29,383 | |||||||||
2.97% due 06/01/2030 | 40,000 | 40,016 | |||||||||
3.00% due 01/01/2028 | 2,982 | 3,014 | |||||||||
3.50% due 08/01/2026 | 2,278 | 2,329 | |||||||||
3.50% due 09/01/2026 | 2,723 | 2,785 | |||||||||
3.50% due 10/01/2028 | 3,708 | 3,816 | |||||||||
4.00% due 11/01/2025 | 234 | 241 | |||||||||
4.50% due 11/01/2022 | 9 | 9 | |||||||||
4.50% due 01/01/2039 | 655 | 697 | |||||||||
4.50% due 06/01/2039 | 3,523 | 3,656 | |||||||||
4.50% due 09/01/2039 | 1,141 | 1,215 | |||||||||
4.50% due 09/01/2040 | 2,705 | 2,881 | |||||||||
4.50% due 05/01/2041 | 985 | 1,025 | |||||||||
5.00% due 05/01/2035 | 258 | 279 | |||||||||
5.00% due 06/01/2040 | 8,664 | 9,376 | |||||||||
5.00% due 07/01/2040 | 2,234 | 2,403 | |||||||||
5.50% due 12/01/2029 | 373 | 398 | |||||||||
5.50% due 06/01/2035 | 31,286 | 34,153 | |||||||||
5.50% due 08/01/2037 | 6,006 | 6,581 | |||||||||
5.50% due 06/01/2038 | 1,979 | 2,168 | |||||||||
6.00% due 12/01/2033 | 2,231 | 2,466 | |||||||||
6.00% due 05/01/2034 | 162 | 180 | |||||||||
6.00% due 06/01/2040 | 55 | 61 | |||||||||
6.50% due 10/01/2037 | 49 | 53 | |||||||||
7.00% due 06/01/2037 | 2,083 | 2,366 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R03, Class 1M2 2.61% (1 ML+2.15%) due 09/25/2031*(2) | 1,171 | 1,171 | |||||||||
Series 2019-HRP1, Class M2 2.61% (1 ML+2.15%) due 11/25/2039*(2) | 5,925 | 5,830 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2020-M2, Class X 0.33% due 01/25/2030(4)(5)(6) | 317,650 | 5,675 | |||||||||
Series 2019-M21, Class X3 1.20% due 06/25/2034(4)(5)(6) | 136,864 | 14,069 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(2) | 7,612 | 7,414 | |||||||||
Series 2012-128, Class PD 1.50% due 06/25/2042(2) | 10,394 | 10,041 | |||||||||
Series 2013-77, Class BP 1.70% due 06/25/2043(2) | 5,088 | 5,029 | |||||||||
Series 2013-16, Series A 1.75% due 01/25/2040(2) | 5,123 | 5,025 | |||||||||
Series 2011-117, Class MA 2.00% due 08/25/2040(2) | 1,209 | 1,200 |
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(2) | $ | 2,399 | $ | 2,316 | |||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(2) | 4,184 | 4,027 | |||||||||
Series 2015-5, Class EP 2.00% due 06/25/2043(2) | 8,275 | 8,006 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(2) | 3,720 | 3,655 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(2) | 5,340 | 5,228 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(2) | 18,941 | 18,409 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(2) | 5,913 | 5,928 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(2) | 2,085 | 2,093 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(2) | 2,709 | 2,684 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(2) | 7,839 | 7,704 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(2) | 12,939 | 12,863 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(2) | 3,633 | 3,662 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(2) | 4,907 | 4,936 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(2) | 421 | 422 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(2) | 4,051 | 4,029 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(2) | 7,261 | 7,227 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(2) | 8,518 | 8,518 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(2) | 7,735 | 7,867 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(2) | 5,337 | 5,337 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(2) | 4,391 | 4,370 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(2) | 3,603 | 3,589 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(2) | 6,777 | 6,774 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(2) | 6,780 | 6,844 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(2) | 7,710 | 7,849 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(2) | 4,334 | 4,371 | |||||||||
373,987 | |||||||||||
Government National Mtg. Assoc. — 1.7% | |||||||||||
2.00% due April 30 TBA | 45,000 | 42,806 | |||||||||
2.50% due April 30 TBA | 80,000 | 77,675 | |||||||||
2.50% due May 30 TBA | 50,000 | 48,440 | |||||||||
3.00% due April 30 TBA | 195,000 | 192,902 | |||||||||
3.00% due May 30 TBA | 150,000 | 148,000 |
30
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
3.50% due April 30 TBA | $ | 100,000 | $ | 100,627 | |||||||
4.00% due 09/15/2041 | 97,168 | 100,372 | |||||||||
4.50% due 06/15/2041 | 15,747 | 16,911 | |||||||||
6.00% due 11/15/2031 | 13,852 | 14,794 | |||||||||
7.00% due 05/15/2033 | 2,434 | 2,661 | |||||||||
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(2) | 5,444 | 5,420 | |||||||||
Series 2015-151, Class BA 1.70% due 10/20/2045(2) | 2,465 | 2,467 | |||||||||
Series 2013-37, Class LG 2.00% due 01/20/2042(2) | 4,795 | 4,762 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(2) | 36 | 38 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(2) | 723 | 786 | |||||||||
758,661 | |||||||||||
Uniform Mtg. Backed Securities — 7.1% | |||||||||||
1.50% due April 15 TBA | 160,000 | 151,713 | |||||||||
2.00% due April 30 TBA | 715,000 | 664,021 | |||||||||
2.00% due June 30 TBA | 345,000 | 319,097 | |||||||||
2.50% due April 30 TBA | 740,000 | 706,931 | |||||||||
2.50% due May 30 TBA | 675,000 | 643,313 | |||||||||
3.00% due April 30 TBA | 475,000 | 465,140 | |||||||||
3.50% due April 30 TBA | 200,000 | 200,504 | |||||||||
3,150,719 | |||||||||||
Total U.S. Government Agencies (cost $4,525,673) | 4,466,150 | ||||||||||
U.S. GOVERNMENT TREASURIES — 7.8% | |||||||||||
United States Treasury Bonds — 3.2% | |||||||||||
0.13% due 02/15/2051TIPS(8) | 10,796 | 11,237 | |||||||||
0.88% due 02/15/2047TIPS(8) | 58,219 | 70,609 | |||||||||
1.00% due 02/15/2048TIPS(8) | 11,398 | 14,327 | |||||||||
1.25% due 05/15/2050 | 209,000 | 156,195 | |||||||||
1.38% due 08/15/2050 | 75,000 | 57,850 | |||||||||
1.88% due 11/15/2051 | 35,000 | 30,680 | |||||||||
2.25% due 08/15/2046 | 50,000 | 46,861 | |||||||||
2.88% due 08/15/2045 | 750,000 | 783,603 | |||||||||
3.13% due 08/15/2044(9)(10) | 210,000 | 227,399 | |||||||||
3.13% due 05/15/2048 | 25,000 | 27,936 | |||||||||
1,426,697 | |||||||||||
United States Treasury Notes — 4.6% | |||||||||||
0.63% due 05/15/2030 | 695,000 | 606,252 | |||||||||
0.63% due 08/15/2030 | 150,000 | 130,400 | |||||||||
0.75% due 07/15/2028TIPS(8) | 32,472 | 35,592 | |||||||||
1.25% due 08/15/2031 | 210,000 | 191,001 | |||||||||
1.38% due 11/15/2031 | 150,000 | 137,695 | |||||||||
1.88% due 02/28/2029 | 135,000 | 130,423 | |||||||||
2.75% due 08/31/2025 | 475,000 | 478,934 | |||||||||
2.88% due 11/30/2025 | 240,000 | 243,075 | |||||||||
2.88% due 05/15/2028 | 70,000 | 71,712 | |||||||||
2,025,084 | |||||||||||
Total U.S. Government Treasuries (cost $3,894,881) | 3,451,781 |
Security Description | Shares/ Principal Amount(15) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.6% | |||||||||||
Sovereign — 0.6% | |||||||||||
Federative Republic of Brazil Notes 10.00% due 01/01/2031 | BRL | 297,000 | $ | 58,658 | |||||||
Government of Hungary Senior Notes 1.63% due 04/28/2032 | EUR | 50,000 | 52,431 | ||||||||
Government of Romania Bonds 2.63% due 12/02/2040* | EUR | 25,000 | 21,008 | ||||||||
Government of Romania Notes 2.75% due 04/14/2041 | EUR | 10,000 | 8,447 | ||||||||
Government of Romania Senior Notes 3.38% due 02/08/2038 | EUR | 10,000 | 9,554 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 15,000 | 16,269 | ||||||||
Russian Federation Bonds 5.90% due 03/12/2031†(1)(11) | RUB | 3,985,000 | 1,471 | ||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 28,000 | 27,575 | |||||||||
United Mexican States Bonds 7.75% due 05/29/2031 | MXN | 1,927,200 | 93,351 | ||||||||
Total Foreign Government Obligations (cost $384,101) | 288,764 | ||||||||||
OPTIONS — PURCHASED†(12) — 0.0% | |||||||||||
Over the Counter Call Options on Currency Contracts | |||||||||||
(cost 90,964) | 17,713,433 | 8,345 | |||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
ION Media Networks, Inc.†(1) | 2 | 7 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | $ | 7,000 | 36 | ||||||||
Total Escrows And Litigation Trusts (cost $0) | 43 | ||||||||||
Total Long-Term Investment Securities (cost $49,600,553) | 46,735,556 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.4% | |||||||||||
Registered Investment Companies — 1.4% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 0.17%(13) (cost $635,366) | 635,366 | 635,366 | |||||||||
REPURCHASE AGREEMENTS — 1.5% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | 140,000 | 140,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 115,000 | 115,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 100,000 | 100,000 |
31
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(15) | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS (continued) | |||||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | $ | 160,000 | $ | 160,000 | |||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 150,000 | 150,000 | |||||||||
Total Repurchase Agreements (cost $665,000) | 665,000 | ||||||||||
TOTAL INVESTMENTS (cost $50,900,919)(16) | 108.4 | % | 48,035,922 | ||||||||
Liabilities in excess of other assets | (8.4 | ) | (3,734,846 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 44,301,076 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $3,188,174 representing 7.2% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) Collateralized Mortgage Obligation
(3) Collateralized Loan 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 March 31, 2022.
(8) Principal amount of security is adjusted for inflation.
(9) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(10) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(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 March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||||||||||
Russian Federation Bonds, 5.90% due 03/12/2031 | 05/27/2021 | RUB | 3,985,000 | $ | 50,173 | $ | 1,471 | $ | 0.00 | 0.00 | % |
(12) Options — Purchased
Over the Counter Call Options on Currency Contracts
Issue | Counterparty | Expiration Month | Strike Price | Notional Amount(000's) | Premiums Paid | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2700 CNY per $1 USD | Goldman Sachs International | November 2022 | CNY | 7.27 | $ | 6,239 | $ | 29,952 | $ | 5,959 | $ | (23,993 | ) | ||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.28 | 6,601 | 30,752 | 1,597 | (29,155 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.38 | 1,910 | 10,134 | 413 | (9,721 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3100 CNY per $1 USD | JPMorgan Chase Bank | August 2022 | CNY | 7.31 | 2,963 | 20,127 | 376 | (19,751 | ) | ||||||||||||||||||||||
$ | 90,965 | $ | 8,345 | $ | (82,620 | ) |
CNY — Chinese Yuan
USD — United States Dollar
(13) The rate shown is the 7-day yield as of March 31, 2022.
(14) See Note 2 for details of Joint Repurchase Agreements.
(15) Denominated in United States dollars unless otherwise indicated.
(16) See Note 4 for cost of investments on a tax basis.
32
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
BRL — Brazilian Real
CLO — Collateralized Loan Obligation
EUR — Euro Currency
MXN — Mexican Peso
REMIC — Real Estate Mortgage Investment Conduit
RUB — Russian Ruble
SCRT — Seasoned Credit Risk Transfer Trust
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2022 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 | |||||||||||||||||||||
2 | Short | Euro-Bund | June 2022 | $ | 366,683 | $ | 351,035 | $ | 15,648 | ||||||||||||||||||
5 | Short | U.S. Treasury Long Bonds | June 2022 | 776,188 | 750,313 | 25,875 | |||||||||||||||||||||
10 | Short | U.S. Treasury 5 Year Notes | June 2022 | 1,168,987 | 1,146,875 | 22,112 | |||||||||||||||||||||
3 | Long | U.S. Treasury 10 Year Notes | June 2022 | 367,761 | 368,625 | 864 | |||||||||||||||||||||
3 | Short | U.S. Treasury 10 Year Ultra Notes | June 2022 | 418,579 | 406,406 | 12,173 | |||||||||||||||||||||
2 | Short | U.S. Treasury Ultra Bonds | June 2022 | 360,407 | 354,250 | 6,157 | |||||||||||||||||||||
$ | 82,829 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
2 | Long | E-Mini Russell 2000 Index | June 2022 | $ | 206,884 | $ | 206,640 | $ | (244 | ) | |||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 82,585 |
* 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. | MXN | 1,390,000 | USD | 65,474 | 06/15/2022 | $ | — | $ | (3,524 | ) | |||||||||||||
Deutsche Bank AG | EUR | 104,000 | USD | 116,544 | 06/15/2022 | 1,184 | — | ||||||||||||||||
Goldman Sachs International | BRL | 280,000 | USD | 53,985 | 06/15/2022 | — | (3,637 | ) | |||||||||||||||
Natwest Markets PLC | USD | 8,771 | EUR | 8,000 | 06/15/2022 | 103 | — | ||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 1,287 | $ | (7,161 | ) |
BRL — Brazilian Real
EUR — Euro Currency
MXN — Mexican Peso
USD — United States Dollar
33
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (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 | 105 | 12/15/2051 | USD-12 Month-SOFR/Annually | 1.56%/Annually | $ | (647 | ) | $ | 10,090 |
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 31,333,569 | $ | 547,233 | ** | $ | — | $ | 31,880,802 | ||||||||||
Asset Backed Securities | — | 2,294,288 | — | 2,294,288 | |||||||||||||||
U.S. Corporate Bonds & Notes | — | 3,778,452 | — | 3,778,452 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 309,269 | — | 309,269 | |||||||||||||||
Municipal Bond & Notes | — | 257,662 | — | 257,662 | |||||||||||||||
U.S. Government Agencies | — | 4,466,150 | — | 4,466,150 | |||||||||||||||
U.S. Government Treasuries | — | 3,451,781 | — | 3,451,781 | |||||||||||||||
Foreign Government Obligations | — | 287,293 | 1,471 | 288,764 | |||||||||||||||
Options — Purchased | — | 8,345 | — | 8,345 | |||||||||||||||
Escrows and Litigation Trusts | — | 36 | 7 | 43 | |||||||||||||||
Short-Term Investment Securities | 635,366 | — | — | 635,366 | |||||||||||||||
Repurchase Agreements | — | 665,000 | — | 665,000 | |||||||||||||||
Total Investments at Value | $ | 31,968,935 | $ | 16,065,509 | $ | 1,478 | $ | 48,035,922 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 82,829 | $ | — | $ | — | $ | 82,829 | |||||||||||
Forward Foreign Currency Contracts | — | 1,287 | — | 1,287 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 10,090 | — | 10,090 | |||||||||||||||
Total Other Financial Instruments | $ | 82,829 | $ | 11,377 | $ | — | $ | 94,206 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 244 | $ | — | $ | — | $ | 244 | |||||||||||
Forward Foreign Currency Contracts | — | 7,161 | — | 7,161 | |||||||||||||||
Total Other Financial Instruments | $ | 244 | $ | 7,161 | $ | — | $ | 7,405 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
34
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Uniform Mtg. Backed Securities | 11.9 | % | |||||
Diversified Financial Services | 10.9 | ||||||
Computer Software | 8.4 | ||||||
E-Commerce/Services | 6.1 | ||||||
United States Treasury Bonds | 5.5 | ||||||
Enterprise Software/Service | 3.9 | ||||||
United States Treasury Notes | 3.6 | ||||||
Government National Mtg. Assoc. | 3.5 | ||||||
Entertainment Software | 3.1 | ||||||
Medical-Biomedical/Gene | 3.0 | ||||||
Sovereign | 2.8 | ||||||
Commercial Services-Finance | 2.5 | ||||||
Semiconductor Equipment | 2.4 | ||||||
Internet Application Software | 2.3 | ||||||
Internet Content-Entertainment | 2.3 | ||||||
E-Commerce/Products | 2.2 | ||||||
Diversified Banking Institutions | 2.2 | ||||||
Advertising Services | 2.2 | ||||||
Repurchase Agreements | 2.0 | ||||||
Real Estate Investment Trusts | 1.7 | ||||||
Banks-Commercial | 1.4 | ||||||
Federal National Mtg. Assoc. | 1.3 | ||||||
Electric-Integrated | 1.2 | ||||||
Internet Content-Information/News | 1.1 | ||||||
Registered Investment Companies | 1.1 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Communications Software | 1.0 | ||||||
Medical Instruments | 0.9 | ||||||
Municipal Bonds & Notes | 0.9 | ||||||
Medical-Drugs | 0.9 | ||||||
Finance-Other Services | 0.9 | ||||||
Electronic Components-Semiconductors | 0.7 | ||||||
Cable/Satellite TV | 0.6 | ||||||
Medical Products | 0.6 | ||||||
Federal Home Loan Mtg. Corp. | 0.5 | ||||||
Electronic Components-Misc. | 0.4 | ||||||
Pipelines | 0.4 | ||||||
Building & Construction-Misc. | 0.4 | ||||||
Banks-Super Regional | 0.4 | ||||||
Pharmacy Services | 0.4 | ||||||
Building-Residential/Commercial | 0.3 | ||||||
Applications Software | 0.3 | ||||||
Savings & Loans/Thrifts | 0.3 | ||||||
Telephone-Integrated | 0.3 | ||||||
Distribution/Wholesale | 0.3 | ||||||
Computer Services | 0.3 | ||||||
Oil-Field Services | 0.3 | ||||||
Medical-HMO | 0.3 | ||||||
Motion Pictures & Services | 0.3 | ||||||
Retail-Restaurants | 0.3 | ||||||
Retail-Apparel/Shoe | 0.3 | ||||||
Apparel Manufacturers | 0.3 | ||||||
Oil Companies-Integrated | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Insurance-Life/Health | 0.2 | ||||||
Tobacco | 0.2 | ||||||
Commercial Services | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Chemicals-Specialty | 0.2 | ||||||
Medical Labs & Testing Services | 0.2 |
Rental Auto/Equipment | 0.2 | % | |||||
Computer Data Security | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Cellular Telecom | 0.2 | ||||||
Human Resources | 0.2 | ||||||
Office Automation & Equipment | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Environmental Consulting & Engineering | 0.2 | ||||||
Linen Supply & Related Items | 0.2 | ||||||
Broadcast Services/Program | 0.2 | ||||||
Retail-Automobile | 0.2 | ||||||
Vitamins & Nutrition Products | 0.2 | ||||||
Hazardous Waste Disposal | 0.2 | ||||||
Building-Heavy Construction | 0.2 | ||||||
Consulting Services | 0.2 | ||||||
Aerospace/Defense | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Investment Management/Advisor Services | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
E-Services/Consulting | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Schools | 0.2 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Finance-Leasing Companies | 0.1 | ||||||
Water | 0.1 | ||||||
Transactional Software | 0.1 | ||||||
Retail-Pawn Shops | 0.1 | ||||||
Brewery | 0.1 | ||||||
Computers | 0.1 | ||||||
Semiconductor Components-Integrated Circuits | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Auto-Cars/Light Trucks | 0.1 | ||||||
Computers-Integrated Systems | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Retail-Petroleum Products | 0.1 | ||||||
Food-Misc./Diversified | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Television | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Advertising Sales | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Investment Companies | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Building Products-Wood | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Music | 0.1 | ||||||
Coal | 0.1 | ||||||
Resorts/Theme Parks | 0.1 |
35
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Transport-Truck | 0.1 | % | |||||
Office Furnishings-Original | 0.1 | ||||||
Airlines | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Finance-Mortgage Loan/Banker | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Theaters | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Transport-Rail | 0.1 | ||||||
X-Ray Equipment | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Real Estate Operations & Development | 0.1 | ||||||
Auto-Truck Trailers | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Real Estate Management/Services | 0.1 | ||||||
Miscellaneous Manufacturing | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Retail-Office Supplies | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Retail-Sporting Goods | 0.1 | ||||||
Consumer Products-Misc. | 0.1 | ||||||
Optical Supplies | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
115.4 | % |
* Calculated as a percentage of net assets
36
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 56.9% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Materion Corp. | 175 | $ | 15,005 | ||||||||
Advertising Services — 2.2% | |||||||||||
National CineMedia, Inc. | 1,950 | 4,953 | |||||||||
Trade Desk, Inc., Class A† | 24,039 | 1,664,701 | |||||||||
1,669,654 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
AAR Corp.† | 450 | 21,793 | |||||||||
Astronics Corp.† | 1,475 | 19,072 | |||||||||
Barnes Group, Inc. | 200 | 8,038 | |||||||||
Moog, Inc., Class A | 125 | 10,975 | |||||||||
59,878 | |||||||||||
Agricultural Operations — 0.0% | |||||||||||
Andersons, Inc. | 600 | 30,156 | |||||||||
Airlines — 0.1% | |||||||||||
Allegiant Travel Co.† | 125 | 20,299 | |||||||||
SkyWest, Inc.† | 1,325 | 38,226 | |||||||||
58,525 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
Deckers Outdoor Corp.† | 145 | 39,697 | |||||||||
Appliances — 0.0% | |||||||||||
Traeger, Inc.† | 310 | 2,306 | |||||||||
Applications Software — 0.1% | |||||||||||
Alkami Technology, Inc.† | 144 | 2,060 | |||||||||
DigitalOcean Holdings, Inc.† | 689 | 39,859 | |||||||||
JFrog, Ltd.† | 125 | 3,369 | |||||||||
Sprout Social, Inc., Class A† | 425 | 34,051 | |||||||||
79,339 | |||||||||||
Audio/Video Products — 0.0% | |||||||||||
Sonos, Inc.† | 1,050 | 29,631 | |||||||||
Auto-Truck Trailers — 0.1% | |||||||||||
Wabash National Corp. | 3,275 | 48,601 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Lear Corp. | 125 | 17,824 | |||||||||
Meritor, Inc.† | 700 | 24,899 | |||||||||
42,723 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Douglas Dynamics, Inc. | 557 | 19,267 | |||||||||
Banks-Commercial — 1.4% | |||||||||||
1st Source Corp. | 210 | 9,712 | |||||||||
Atlantic Union Bankshares Corp. | 184 | 6,751 | |||||||||
Banner Corp. | 675 | 39,508 | |||||||||
Business First Bancshares, Inc. | 425 | 10,340 | |||||||||
Byline Bancorp, Inc. | 875 | 23,345 | |||||||||
Cadence Bank | 2,390 | 69,931 | |||||||||
Cathay General Bancorp | 750 | 33,562 | |||||||||
Central Pacific Financial Corp. | 1,050 | 29,295 | |||||||||
Columbia Banking System, Inc. | 1,100 | 35,497 | |||||||||
ConnectOne Bancorp, Inc. | 600 | 19,206 | |||||||||
CVB Financial Corp. | 1,525 | 35,395 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Eastern Bankshares, Inc. | 4,825 | $ | 103,930 | ||||||||
Enterprise Financial Services Corp. | 325 | 15,376 | |||||||||
Equity Bancshares, Inc., Class A | 250 | 8,078 | |||||||||
Financial Institutions, Inc. | 75 | 2,260 | |||||||||
First Bancshares, Inc. | 100 | 3,366 | |||||||||
First Citizens BancShares, Inc., Class A | 19 | 12,646 | |||||||||
First Commonwealth Financial Corp. | 1,425 | 21,603 | |||||||||
First Community Bankshares, Inc. | 97 | 2,736 | |||||||||
First Hawaiian, Inc. | 225 | 6,275 | |||||||||
First Interstate BancSystem, Inc., Class A | 185 | 6,802 | |||||||||
First Merchants Corp. | 900 | 37,440 | |||||||||
Glacier Bancorp, Inc. | 375 | 18,855 | |||||||||
Hancock Whitney Corp. | 675 | 35,201 | |||||||||
HarborOne Bancorp, Inc. | 375 | 5,258 | |||||||||
Heritage Commerce Corp. | 550 | 6,188 | |||||||||
Home BancShares, Inc. | 1,600 | 36,160 | |||||||||
HomeStreet, Inc. | 500 | 23,690 | |||||||||
Hope Bancorp, Inc. | 3,233 | 51,987 | |||||||||
Independent Bank Corp. | 400 | 8,800 | |||||||||
Independent Bank Corp. | 440 | 35,944 | |||||||||
Luther Burbank Corp. | 272 | 3,615 | |||||||||
Merchants Bancorp | 50 | 1,369 | |||||||||
Meta Financial Group, Inc. | 350 | 19,222 | |||||||||
Nicolet Bankshares, Inc.† | 25 | 2,339 | |||||||||
Old National Bancorp | 2,675 | 43,816 | |||||||||
Old Second Bancorp, Inc. | 236 | 3,424 | |||||||||
Origin Bancorp, Inc. | 100 | 4,229 | |||||||||
Peapack-Gladstone Financial Corp. | 100 | 3,475 | |||||||||
Peoples Bancorp, Inc. | 125 | 3,914 | |||||||||
Pinnacle Financial Partners, Inc. | 350 | 32,228 | |||||||||
Premier Financial Corp. | 150 | 4,550 | |||||||||
QCR Holdings, Inc. | 150 | 8,489 | |||||||||
RBB Bancorp | 97 | 2,279 | |||||||||
Republic Bancorp, Inc., Class A | 50 | 2,247 | |||||||||
Sandy Spring Bancorp, Inc. | 350 | 15,722 | |||||||||
Simmons First National Corp., Class A | 275 | 7,211 | |||||||||
South Plains Financial, Inc. | 43 | 1,143 | |||||||||
Trustmark Corp. | 900 | 27,351 | |||||||||
UMB Financial Corp. | 325 | 31,577 | |||||||||
United Community Banks, Inc. | 400 | 13,920 | |||||||||
Valley National Bancorp | 800 | 10,416 | |||||||||
Veritex Holdings, Inc. | 375 | 14,314 | |||||||||
Webster Financial Corp. | 625 | 35,075 | |||||||||
Westamerica BanCorp | 400 | 24,200 | |||||||||
1,071,262 |
37
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
Independent Bank Group, Inc. | 175 | $ | 12,453 | ||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 1,100 | 5,027 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Louisiana-Pacific Corp. | 400 | 24,848 | |||||||||
Building & Construction-Misc. — 0.4% | |||||||||||
Comfort Systems USA, Inc. | 1,025 | 91,235 | |||||||||
EMCOR Group, Inc. | 750 | 84,472 | |||||||||
MYR Group, Inc.† | 1,000 | 94,040 | |||||||||
TopBuild Corp.† | 325 | 58,952 | |||||||||
328,699 | |||||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Cornerstone Building Brands, Inc.† | 750 | 18,240 | |||||||||
Building Products-Wood — 0.1% | |||||||||||
Boise Cascade Co. | 450 | 31,261 | |||||||||
UFP Industries, Inc. | 425 | 32,793 | |||||||||
64,054 | |||||||||||
Building-Heavy Construction — 0.2% | |||||||||||
Granite Construction, Inc. | 775 | 25,420 | |||||||||
MasTec, Inc.† | 775 | 67,502 | |||||||||
Primoris Services Corp. | 1,850 | 44,067 | |||||||||
136,989 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
ABM Industries, Inc. | 1,475 | 67,909 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Winnebago Industries, Inc. | 25 | 1,351 | |||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
Meritage Homes Corp.† | 100 | 7,923 | |||||||||
Tri Pointe Homes, Inc.† | 7,275 | 146,082 | |||||||||
154,005 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 800 | 52,624 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
AdvanSix, Inc. | 475 | 24,268 | |||||||||
Koppers Holdings, Inc. | 125 | 3,440 | |||||||||
Trinseo PLC | 225 | 10,782 | |||||||||
38,490 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Cabot Corp. | 650 | 44,466 | |||||||||
Ecovyst, Inc. | 400 | 4,624 | |||||||||
H.B. Fuller Co. | 415 | 27,419 | |||||||||
Ingevity Corp.† | 550 | 35,238 | |||||||||
Minerals Technologies, Inc. | 165 | 10,915 | |||||||||
Tronox Holdings PLC, Class A | 1,252 | 24,777 | |||||||||
Zymergen, Inc.† | 1,850 | 5,347 | |||||||||
152,786 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc.† | 1,300 | 19,266 |
Security Description | Shares | Value (Note 2) | |||||||||
Coal — 0.1% | |||||||||||
Arch Resources, Inc. | 250 | $ | 34,345 | ||||||||
Peabody Energy Corp.† | 400 | 9,812 | |||||||||
SunCoke Energy, Inc. | 1,725 | 15,370 | |||||||||
Warrior Met Coal, Inc. | 50 | 1,855 | |||||||||
61,382 | |||||||||||
Commercial Services — 0.2% | |||||||||||
John Wiley & Sons, Inc., Class A | 2,300 | 121,969 | |||||||||
LiveRamp Holdings, Inc.† | 475 | 17,760 | |||||||||
Medifast, Inc. | 75 | 12,809 | |||||||||
152,538 | |||||||||||
Commercial Services-Finance — 2.4% | |||||||||||
Adyen NV†* | 359 | 709,230 | |||||||||
Block, Inc., Class A† | 7,755 | 1,051,578 | |||||||||
EVERTEC, Inc. | 500 | 20,465 | |||||||||
HealthEquity, Inc.† | 275 | 18,546 | |||||||||
Marathon Digital Holdings, Inc.† | 400 | 11,180 | |||||||||
Riot Blockchain, Inc.† | 350 | 7,409 | |||||||||
1,818,408 | |||||||||||
Communications Software — 1.0% | |||||||||||
Zoom Video Communications, Inc., Class A† | 6,848 | 802,791 | |||||||||
Computer Data Security — 0.2% | |||||||||||
Ping Identity Holding Corp.† | 1,575 | 43,202 | |||||||||
Qualys, Inc.† | 75 | 10,681 | |||||||||
Rapid7, Inc.† | 575 | 63,963 | |||||||||
Varonis Systems, Inc.† | 1,000 | 47,540 | |||||||||
165,386 | |||||||||||
Computer Services — 0.1% | |||||||||||
CACI International, Inc., Class A† | 100 | 30,126 | |||||||||
Insight Enterprises, Inc.† | 100 | 10,732 | |||||||||
KBR, Inc. | 325 | 17,787 | |||||||||
58,645 | |||||||||||
Computer Software — 8.4% | |||||||||||
Cloudflare, Inc., Class A† | 9,136 | 1,093,579 | |||||||||
Datadog, Inc., Class A† | 10,257 | 1,553,628 | |||||||||
Simulations Plus, Inc. | 525 | 26,765 | |||||||||
Snowflake, Inc., Class A† | 8,193 | 1,877,262 | |||||||||
Twilio, Inc., Class A† | 2,443 | 402,631 | |||||||||
Xperi Holding Corp. | 1,850 | 32,042 | |||||||||
ZoomInfo Technologies, Inc.† | 25,103 | 1,499,653 | |||||||||
Zuora, Inc., Class A† | 2,450 | 36,701 | |||||||||
6,522,261 | |||||||||||
Computers-Integrated Systems — 0.1% | |||||||||||
NetScout Systems, Inc.† | 2,975 | 95,438 | |||||||||
Consulting Services — 0.1% | |||||||||||
Huron Consulting Group, Inc.† | 750 | 34,358 | |||||||||
Kelly Services, Inc., Class A | 1,850 | 40,126 | |||||||||
74,484 |
38
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Consumer Products-Misc. — 0.1% | |||||||||||
Central Garden & Pet Co., Class A† | 275 | $ | 11,215 | ||||||||
Helen of Troy, Ltd.† | 75 | 14,688 | |||||||||
Quanex Building Products Corp. | 650 | 13,643 | |||||||||
39,546 | |||||||||||
Containers-Metal/Glass — 0.0% | |||||||||||
Greif, Inc., Class A | 400 | 26,024 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Graphic Packaging Holding Co. | 325 | 6,513 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
CommVault Systems, Inc.† | 650 | 43,128 | |||||||||
CSG Systems International, Inc. | 125 | 7,946 | |||||||||
51,074 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Adaptive Biotechnologies Corp.† | 225 | 3,123 | |||||||||
Distribution/Wholesale — 0.3% | |||||||||||
Avient Corp. | 1,000 | 48,000 | |||||||||
G-III Apparel Group, Ltd.† | 525 | 14,201 | |||||||||
ScanSource, Inc.† | 1,825 | 63,492 | |||||||||
Titan Machinery, Inc.† | 525 | 14,836 | |||||||||
Veritiv Corp.† | 225 | 30,058 | |||||||||
WESCO International, Inc.† | 250 | 32,535 | |||||||||
203,122 | |||||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
EnPro Industries, Inc. | 90 | 8,796 | |||||||||
Fabrinet† | 400 | 42,052 | |||||||||
50,848 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Heron Therapeutics, Inc.† | 2,100 | 12,012 | |||||||||
Drug Detection Systems — 0.0% | |||||||||||
Rapid Micro Biosystems, Inc., Class A† | 1,480 | 10,049 | |||||||||
E-Commerce/Products — 2.2% | |||||||||||
Chewy, Inc., Class A† | 20,110 | 820,086 | |||||||||
Farfetch, Ltd., Class A† | 21,066 | 318,518 | |||||||||
Wayfair, Inc., Class A† | 5,208 | 576,942 | |||||||||
1,715,546 | |||||||||||
E-Commerce/Services — 6.0% | |||||||||||
Airbnb, Inc., Class A† | 8,809 | 1,513,034 | |||||||||
EverQuote, Inc., Class A† | 225 | 3,640 | |||||||||
Match Group, Inc.† | 3,044 | 331,005 | |||||||||
MercadoLibre, Inc.† | 571 | 679,193 | |||||||||
Uber Technologies, Inc.† | 58,158 | 2,075,077 | |||||||||
Upwork, Inc.† | 700 | 16,268 | |||||||||
4,618,217 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
QuinStreet, Inc.† | 2,250 | 26,100 | |||||||||
E-Services/Consulting — 0.2% | |||||||||||
Perficient, Inc.† | 1,100 | 121,099 |
Security Description | Shares | Value (Note 2) | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Unitil Corp. | 50 | $ | 2,494 | ||||||||
Via Renewables, Inc. | 1,775 | 14,626 | |||||||||
17,120 | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
ALLETE, Inc. | 110 | 7,368 | |||||||||
IDACORP, Inc. | 300 | 34,608 | |||||||||
PNM Resources, Inc. | 300 | 14,301 | |||||||||
Portland General Electric Co. | 1,200 | 66,180 | |||||||||
122,457 | |||||||||||
Electronic Components-Misc. — 0.4% | |||||||||||
Atkore, Inc.† | 625 | 61,525 | |||||||||
Benchmark Electronics, Inc. | 3,025 | 75,746 | |||||||||
Kimball Electronics, Inc.† | 275 | 5,497 | |||||||||
Knowles Corp.† | 1,650 | 35,525 | |||||||||
OSI Systems, Inc.† | 1,185 | 100,867 | |||||||||
Sanmina Corp.† | 500 | 20,210 | |||||||||
Vishay Intertechnology, Inc. | 1,725 | 33,810 | |||||||||
333,180 | |||||||||||
Electronic Components-Semiconductors — 0.3% | |||||||||||
Ambarella, Inc.† | 85 | 8,918 | |||||||||
Amkor Technology, Inc. | 900 | 19,548 | |||||||||
Diodes, Inc.† | 150 | 13,049 | |||||||||
Lattice Semiconductor Corp.† | 250 | 15,238 | |||||||||
MACOM Technology Solutions Holdings, Inc.† | 175 | 10,477 | |||||||||
Rambus, Inc.† | 2,300 | 73,347 | |||||||||
Semtech Corp.† | 170 | 11,788 | |||||||||
Silicon Laboratories, Inc.† | 350 | 52,570 | |||||||||
SiTime Corp.† | 75 | 18,586 | |||||||||
Synaptics, Inc.† | 80 | 15,960 | |||||||||
239,481 | |||||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
FutureFuel Corp. | 1,050 | 10,217 | |||||||||
Green Plains, Inc.† | 550 | 17,055 | |||||||||
REX American Resources Corp.† | 115 | 11,454 | |||||||||
SunPower Corp.† | 525 | 11,277 | |||||||||
Sunrun, Inc.† | 975 | 29,611 | |||||||||
79,614 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Fluor Corp.† | 275 | 7,890 | |||||||||
Enterprise Software/Service — 3.6% | |||||||||||
American Software, Inc., Class A | 491 | 10,232 | |||||||||
Blackline, Inc.† | 665 | 48,691 | |||||||||
Cardlytics, Inc.† | 625 | 34,362 | |||||||||
Coupa Software, Inc.† | 7,285 | 740,375 | |||||||||
Donnelley Financial Solutions, Inc.† | 475 | 15,799 | |||||||||
eGain Corp.† | 3,607 | 41,769 | |||||||||
HireRight Holdings Corp.† | 1,860 | 31,806 | |||||||||
ManTech International Corp., Class A | 145 | 12,498 | |||||||||
Momentive Global, Inc.† | 2,750 | 44,715 |
39
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Enterprise Software/Service (continued) | |||||||||||
PagerDuty, Inc.† | 1,225 | $ | 41,883 | ||||||||
Paycor HCM, Inc.† | 673 | 19,591 | |||||||||
SPS Commerce, Inc.† | 25 | 3,280 | |||||||||
Veeva Systems, Inc., Class A† | 7,690 | 1,633,817 | |||||||||
Workiva, Inc.† | 725 | 85,550 | |||||||||
2,764,368 | |||||||||||
Entertainment Software — 3.1% | |||||||||||
ROBLOX Corp., Class A† | 25,905 | 1,197,847 | |||||||||
Unity Software, Inc.† | 12,446 | 1,234,768 | |||||||||
2,432,615 | |||||||||||
Environmental Consulting & Engineering — 0.2% | |||||||||||
Tetra Tech, Inc. | 875 | 144,322 | |||||||||
Finance-Commercial — 0.0% | |||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 450 | 21,344 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Navient Corp. | 400 | 6,816 | |||||||||
Nelnet, Inc., Class A | 50 | 4,250 | |||||||||
11,066 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cowen, Inc., Class A | 650 | 17,615 | |||||||||
Houlihan Lokey, Inc. | 125 | 10,975 | |||||||||
Piper Sandler Cos. | 100 | 13,125 | |||||||||
41,715 | |||||||||||
Finance-Mortgage Loan/Banker — 0.1% | |||||||||||
Mr. Cooper Group, Inc.† | 700 | 31,969 | |||||||||
PennyMac Financial Services, Inc. | 425 | 22,610 | |||||||||
54,579 | |||||||||||
Finance-Other Services — 0.7% | |||||||||||
Coinbase Global, Inc., Class A† | 2,685 | 509,774 | |||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MGIC Investment Corp. | 1,300 | 17,615 | |||||||||
NMI Holdings, Inc., Class A† | 350 | 7,217 | |||||||||
Radian Group, Inc. | 2,325 | 51,638 | |||||||||
76,470 | |||||||||||
Food-Canned — 0.0% | |||||||||||
Seneca Foods Corp., Class A† | 375 | 19,328 | |||||||||
Food-Catering — 0.0% | |||||||||||
Healthcare Services Group, Inc. | 700 | 12,999 | |||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
John B. Sanfilippo & Son, Inc. | 225 | 18,774 | |||||||||
Food-Retail — 0.0% | |||||||||||
Sprouts Farmers Market, Inc.† | 1,125 | 35,977 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
Performance Food Group Co.† | 617 | 31,412 | |||||||||
SpartanNash Co. | 75 | 2,474 | |||||||||
33,886 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Steven Madden, Ltd. | 800 | 30,912 |
Security Description | Shares | Value (Note 2) | |||||||||
Gambling (Non-Hotel) — 0.2% | |||||||||||
Red Rock Resorts, Inc., Class A | 2,463 | $ | 119,603 | ||||||||
Gas-Distribution — 0.1% | |||||||||||
New Jersey Resources Corp. | 1,450 | 66,497 | |||||||||
Northwest Natural Holding Co. | 450 | 23,274 | |||||||||
89,771 | |||||||||||
Hazardous Waste Disposal — 0.0% | |||||||||||
Heritage-Crystal Clean, Inc.† | 250 | 7,403 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Ethan Allen Interiors, Inc. | 425 | 11,080 | |||||||||
Hooker Furniture Corp. | 198 | 3,750 | |||||||||
Sleep Number Corp.† | 325 | 16,481 | |||||||||
31,311 | |||||||||||
Human Resources — 0.2% | |||||||||||
AMN Healthcare Services, Inc.† | 200 | 20,866 | |||||||||
Barrett Business Services, Inc. | 150 | 11,621 | |||||||||
Heidrick & Struggles International, Inc. | 100 | 3,958 | |||||||||
Kforce, Inc. | 550 | 40,683 | |||||||||
Korn Ferry | 375 | 24,352 | |||||||||
TriNet Group, Inc.† | 125 | 12,295 | |||||||||
TrueBlue, Inc.† | 1,400 | 40,446 | |||||||||
154,221 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy, Inc., Class A | 375 | 12,495 | |||||||||
Clearway Energy, Inc., Class C | 100 | 3,651 | |||||||||
16,146 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
American Equity Investment Life Holding Co. | 241 | 9,619 | |||||||||
CNO Financial Group, Inc. | 325 | 8,154 | |||||||||
17,773 | |||||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Employers Holdings, Inc. | 232 | 9,517 | |||||||||
First American Financial Corp. | 125 | 8,102 | |||||||||
Kinsale Capital Group, Inc. | 200 | 45,604 | |||||||||
RLI Corp. | 440 | 48,677 | |||||||||
Selective Insurance Group, Inc. | 250 | 22,340 | |||||||||
Stewart Information Services Corp. | 200 | 12,122 | |||||||||
146,362 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Essent Group, Ltd. | 1,175 | 48,422 | |||||||||
Internet Application Software — 2.3% | |||||||||||
Okta, Inc.† | 2,461 | 371,512 | |||||||||
Shopify, Inc., Class A† | 2,082 | 1,407,349 | |||||||||
1,778,861 | |||||||||||
Internet Content-Entertainment — 2.3% | |||||||||||
Snap, Inc., Class A† | 13,858 | 498,749 | |||||||||
Spotify Technology SA† | 3,455 | 521,774 | |||||||||
Twitter, Inc.† | 18,834 | 728,688 | |||||||||
1,749,211 |
40
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Internet Content-Information/News — 1.1% | |||||||||||
IAC/InterActiveCorp† | 7,370 | $ | 739,064 | ||||||||
Vimeo, Inc.† | 7,882 | 93,638 | |||||||||
Yelp, Inc.† | 1,175 | 40,079 | |||||||||
872,781 | |||||||||||
Investment Management/Advisor Services — 0.2% | |||||||||||
AssetMark Financial Holdings, Inc.† | 375 | 8,344 | |||||||||
Blucora, Inc.† | 1,725 | 33,724 | |||||||||
Federated Hermes, Inc. | 75 | 2,555 | |||||||||
Focus Financial Partners, Inc., Class A† | 825 | 37,735 | |||||||||
Stifel Financial Corp. | 377 | 25,598 | |||||||||
Virtus Investment Partners, Inc. | 75 | 17,999 | |||||||||
125,955 | |||||||||||
Linen Supply & Related Items — 0.2% | |||||||||||
UniFirst Corp. | 775 | 142,817 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Manitowoc Co, Inc.† | 1,225 | 18,473 | |||||||||
Terex Corp. | 175 | 6,240 | |||||||||
24,713 | |||||||||||
Machinery-Electrical — 0.1% | |||||||||||
Argan, Inc. | 1,275 | 51,752 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Altra Industrial Motion Corp. | 775 | 30,171 | |||||||||
Kadant, Inc. | 150 | 29,128 | |||||||||
59,299 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
SPX FLOW, Inc. | 100 | 8,622 | |||||||||
Watts Water Technologies, Inc., Class A | 85 | 11,865 | |||||||||
20,487 | |||||||||||
Medical Information Systems — 0.1% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 1,275 | 28,713 | |||||||||
NextGen Healthcare, Inc.† | 2,350 | 49,138 | |||||||||
77,851 | |||||||||||
Medical Instruments — 0.9% | |||||||||||
AngioDynamics, Inc.† | 2,425 | 52,235 | |||||||||
Intuitive Surgical, Inc.† | 1,494 | 450,710 | |||||||||
Natus Medical, Inc.† | 1,025 | 26,937 | |||||||||
NuVasive, Inc.† | 2,575 | 146,002 | |||||||||
675,884 | |||||||||||
Medical Labs & Testing Services — 0.2% | |||||||||||
Fulgent Genetics, Inc.† | 650 | 40,566 | |||||||||
LifeStance Health Group, Inc.† | 2,725 | 27,550 | |||||||||
Medpace Holdings, Inc.† | 430 | 70,344 | |||||||||
OPKO Health, Inc.† | 5,500 | 18,920 | |||||||||
Personalis, Inc.† | 1,600 | 13,104 | |||||||||
170,484 | |||||||||||
Medical Products — 0.5% | |||||||||||
Accuray, Inc.† | 21,275 | 70,420 | |||||||||
Bioventus, Inc., Class A† | 1,175 | 16,568 | |||||||||
Cardiovascular Systems, Inc.† | 3,050 | 68,930 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Products (continued) | |||||||||||
Inspire Medical Systems, Inc.† | 185 | $ | 47,488 | ||||||||
Integer Holdings Corp.† | 750 | 60,427 | |||||||||
LivaNova PLC† | 975 | 79,784 | |||||||||
SeaSpine Holdings Corp.† | 225 | 2,736 | |||||||||
Zynex, Inc. | 1,987 | 12,379 | |||||||||
358,732 | |||||||||||
Medical-Biomedical/Gene — 2.9% | |||||||||||
2seventy Bio, Inc.† | 55 | 938 | |||||||||
ACADIA Pharmaceuticals, Inc.† | 650 | 15,743 | |||||||||
Amicus Therapeutics, Inc.† | 6,250 | 59,187 | |||||||||
Arrowhead Pharmaceuticals, Inc.† | 625 | 28,744 | |||||||||
Atara Biotherapeutics, Inc.† | 3,575 | 33,212 | |||||||||
Beam Therapeutics, Inc.† | 375 | 21,487 | |||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 175 | 20,750 | |||||||||
Black Diamond Therapeutics, Inc.† | 2,125 | 5,886 | |||||||||
Bluebird Bio, Inc.† | 190 | 922 | |||||||||
Bridgebio Pharma, Inc.† | 350 | 3,553 | |||||||||
CytomX Therapeutics, Inc.† | 3,175 | 8,477 | |||||||||
Decibel Therapeutics, Inc.† | 14 | 43 | |||||||||
Eiger BioPharmaceuticals, Inc.† | 1,100 | 9,130 | |||||||||
Emergent BioSolutions, Inc.† | 75 | 3,080 | |||||||||
Esperion Therapeutics, Inc.† | 125 | 580 | |||||||||
Fate Therapeutics, Inc.† | 1,125 | 43,616 | |||||||||
Global Blood Therapeutics, Inc.† | 1,325 | 45,898 | |||||||||
Homology Medicines, Inc.† | 275 | 836 | |||||||||
Illumina, Inc.† | 966 | 337,520 | |||||||||
Insmed, Inc.† | 175 | 4,112 | |||||||||
Intercept Pharmaceuticals, Inc.† | 1,950 | 31,726 | |||||||||
iTeos Therapeutics, Inc.† | 950 | 30,571 | |||||||||
Ligand Pharmaceuticals, Inc.† | 275 | 30,935 | |||||||||
Puma Biotechnology, Inc.† | 1,450 | 4,176 | |||||||||
Royalty Pharma PLC, Class A | 35,253 | 1,373,457 | |||||||||
Sana Biotechnology, Inc.† | 20 | 165 | |||||||||
Sensei Biotherapeutics, Inc.† | 1,700 | 3,927 | |||||||||
Sigilon Therapeutics, Inc.† | 1,100 | 1,617 | |||||||||
Sutro Biopharma, Inc.† | 175 | 1,439 | |||||||||
TG Therapeutics, Inc.† | 2,000 | 19,020 | |||||||||
Travere Therapeutics, Inc.† | 825 | 21,260 | |||||||||
Turning Point Therapeutics, Inc.† | 150 | 4,028 | |||||||||
Tyra Biosciences, Inc.† | 2,650 | 28,355 | |||||||||
UroGen Pharma, Ltd.† | 600 | 5,226 | |||||||||
Wave Life Sciences, Ltd.† | 1,850 | 3,700 | |||||||||
Xencor, Inc.† | 1,900 | 50,692 | |||||||||
2,254,008 | |||||||||||
Medical-Drugs — 0.5% | |||||||||||
Amphastar Pharmaceuticals, Inc.† | 675 | 24,232 | |||||||||
Athenex, Inc.† | 1,000 | 829 |
41
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Drugs (continued) | |||||||||||
Catalyst Pharmaceuticals, Inc.† | 8,275 | $ | 68,600 | ||||||||
Coherus Biosciences, Inc.† | 5,200 | 67,132 | |||||||||
Corcept Therapeutics, Inc.† | 925 | 20,831 | |||||||||
Eagle Pharmaceuticals, Inc.† | 425 | 21,033 | |||||||||
Fulcrum Therapeutics, Inc.† | 2,183 | 51,628 | |||||||||
Gritstone Bio, Inc.† | 175 | 721 | |||||||||
Harpoon Therapeutics, Inc.† | 2,232 | 11,093 | |||||||||
Intellia Therapeutics, Inc.† | 625 | 45,419 | |||||||||
Landos Biopharma, Inc.† | 1,276 | 1,882 | |||||||||
Lannett Co., Inc.† | 3,953 | 3,115 | |||||||||
Madrigal Pharmaceuticals, Inc.† | 300 | 29,436 | |||||||||
Marinus Pharmaceuticals, Inc.† | 3,231 | 30,210 | |||||||||
Vanda Pharmaceuticals, Inc.† | 3,500 | 39,585 | |||||||||
Y-mAbs Therapeutics, Inc.† | 50 | 594 | |||||||||
416,340 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Amneal Pharmaceuticals, Inc.† | 3,425 | 14,282 | |||||||||
Arvinas, Inc.† | 400 | 26,920 | |||||||||
41,202 | |||||||||||
Medical-HMO — 0.0% | |||||||||||
Tivity Health, Inc.† | 175 | 5,630 | |||||||||
Medical-Hospitals — 0.0% | |||||||||||
Tenet Healthcare Corp.† | 350 | 30,086 | |||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
ModivCare, Inc.† | 25 | 2,885 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
AZZ, Inc. | 175 | 8,442 | |||||||||
Mueller Industries, Inc. | 400 | 21,668 | |||||||||
30,110 | |||||||||||
Metal Products-Distribution — 0.0% | |||||||||||
Worthington Industries, Inc. | 85 | 4,370 | |||||||||
Metal-Aluminum — 0.1% | |||||||||||
Alcoa Corp. | 400 | 36,012 | |||||||||
Arconic Corp.† | 800 | 20,496 | |||||||||
Constellium SE† | 900 | 16,200 | |||||||||
72,708 | |||||||||||
Miscellaneous Manufacturing — 0.1% | |||||||||||
Hillenbrand, Inc. | 1,025 | 45,274 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Lions Gate Entertainment Corp., Class A† | 3,175 | 51,594 | |||||||||
Multilevel Direct Selling — 0.0% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 775 | 37,107 | |||||||||
Networking Products — 0.1% | |||||||||||
A10 Networks, Inc. | 3,875 | 54,056 | |||||||||
Extreme Networks, Inc.† | 4,300 | 52,503 | |||||||||
106,559 |
Security Description | Shares | Value (Note 2) | |||||||||
Office Furnishings-Original — 0.1% | |||||||||||
HNI Corp. | 800 | $ | 29,640 | ||||||||
Steelcase, Inc., Class A | 2,500 | 29,875 | |||||||||
59,515 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Patterson-UTI Energy, Inc. | 1,575 | 24,381 | |||||||||
Oil Companies-Exploration & Production — 0.7% | |||||||||||
Antero Resources Corp.† | 1,925 | 58,770 | |||||||||
CNX Resources Corp.† | 2,925 | 60,606 | |||||||||
Falcon Minerals Corp. | 225 | 1,517 | |||||||||
Magnolia Oil & Gas Corp., Class A | 2,850 | 67,402 | |||||||||
Matador Resources Co. | 475 | 25,165 | |||||||||
Oasis Petroleum, Inc. | 460 | 67,298 | |||||||||
Ovintiv, Inc. | 2,975 | 160,858 | |||||||||
PDC Energy, Inc. | 1,325 | 96,301 | |||||||||
Range Resources Corp.† | 825 | 25,064 | |||||||||
Whiting Petroleum Corp. | 50 | 4,076 | |||||||||
567,057 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Murphy Oil Corp. | 175 | 7,068 | |||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Delek US Holdings, Inc.† | 1,550 | 32,891 | |||||||||
Oil-Field Services — 0.3% | |||||||||||
Archrock, Inc. | 500 | 4,615 | |||||||||
ChampionX Corp.† | 325 | 7,956 | |||||||||
Helix Energy Solutions Group, Inc.† | 775 | 3,705 | |||||||||
MRC Global, Inc.† | 3,050 | 36,325 | |||||||||
National Energy Services Reunited Corp.† | 525 | 4,410 | |||||||||
NexTier Oilfield Solutions, Inc.† | 2,300 | 21,252 | |||||||||
NOW, Inc.† | 7,225 | 79,692 | |||||||||
Oceaneering International, Inc.† | 1,225 | 18,571 | |||||||||
Oil States International, Inc.† | 1,000 | 6,950 | |||||||||
ProPetro Holding Corp.† | 825 | 11,492 | |||||||||
Select Energy Services, Inc., Class A† | 550 | 4,713 | |||||||||
199,681 | |||||||||||
Optical Supplies — 0.1% | |||||||||||
STAAR Surgical Co.† | 490 | 39,156 | |||||||||
Paper & Related Products — 0.0% | |||||||||||
Clearwater Paper Corp.† | 75 | 2,102 | |||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 1,600 | 128,608 | |||||||||
Pharmacy Services — 0.3% | |||||||||||
Option Care Health, Inc.† | 7,125 | 203,490 | |||||||||
Pipelines — 0.0% | |||||||||||
Golar LNG, Ltd.† | 450 | 11,151 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Powell Industries, Inc. | 575 | 11,167 |
42
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Precious Metals — 0.0% | |||||||||||
Coeur Mining, Inc.† | 1,350 | $ | 6,008 | ||||||||
Hecla Mining Co. | 725 | 4,763 | |||||||||
10,771 | |||||||||||
Printing-Commercial — 0.0% | |||||||||||
Ennis, Inc. | 225 | 4,156 | |||||||||
Publishing-Books — 0.0% | |||||||||||
Houghton Mifflin Harcourt Co.† | 1,800 | 37,818 | |||||||||
Real Estate Investment Trusts — 1.3% | |||||||||||
Agree Realty Corp. | 440 | 29,198 | |||||||||
Alexander & Baldwin, Inc. | 876 | 20,314 | |||||||||
American Assets Trust, Inc. | 200 | 7,578 | |||||||||
Apple Hospitality REIT, Inc. | 2,925 | 52,562 | |||||||||
Ares Commercial Real Estate Corp. | 1,425 | 22,116 | |||||||||
Blackstone Mtg. Trust, Inc., Class A | 1,400 | 44,506 | |||||||||
Broadstone Net Lease, Inc. | 450 | 9,801 | |||||||||
CareTrust REIT, Inc. | 425 | 8,203 | |||||||||
Centerspace | 125 | 12,265 | |||||||||
Chatham Lodging Trust† | 150 | 2,069 | |||||||||
City Office REIT, Inc. | 575 | 10,155 | |||||||||
Community Healthcare Trust, Inc. | 225 | 9,497 | |||||||||
Corporate Office Properties Trust | 725 | 20,691 | |||||||||
DiamondRock Hospitality Co.† | 850 | 8,585 | |||||||||
DigitalBridge Group, Inc.† | 1,725 | 12,420 | |||||||||
Easterly Government Properties, Inc. | 350 | 7,399 | |||||||||
EastGroup Properties, Inc. | 245 | 49,804 | |||||||||
Ellington Financial, Inc. | 1,000 | 17,750 | |||||||||
Essential Properties Realty Trust, Inc. | 400 | 10,120 | |||||||||
First Industrial Realty Trust, Inc. | 450 | 27,859 | |||||||||
Four Corners Property Trust, Inc. | 925 | 25,012 | |||||||||
Getty Realty Corp. | 725 | 20,749 | |||||||||
Gladstone Commercial Corp. | 425 | 9,359 | |||||||||
Global Medical REIT, Inc. | 325 | 5,304 | |||||||||
Healthcare Realty Trust, Inc. | 1,475 | 40,533 | |||||||||
Highwoods Properties, Inc. | 150 | 6,861 | |||||||||
Independence Realty Trust, Inc. | 775 | 20,491 | |||||||||
Innovative Industrial Properties, Inc. | 10 | 2,054 | |||||||||
Kite Realty Group Trust | 1,357 | 30,899 | |||||||||
KKR Real Estate Finance Trust, Inc. | 1,975 | 40,705 | |||||||||
Ladder Capital Corp. | 1,700 | 20,179 | |||||||||
LXP Industrial Trust | 850 | 13,345 | |||||||||
MFA Financial, Inc. | 1,005 | 4,050 | |||||||||
National Storage Affiliates Trust | 950 | 59,622 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Necessity Retail REIT, Inc. | 600 | $ | 4,746 | ||||||||
Paramount Group, Inc. | 850 | 9,274 | |||||||||
Phillips Edison & Co., Inc. | 475 | 16,335 | |||||||||
Physicians Realty Trust | 725 | 12,716 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 875 | 15,067 | |||||||||
Plymouth Industrial REIT, Inc. | 850 | 23,035 | |||||||||
PotlatchDeltic Corp. | 400 | 21,092 | |||||||||
Ready Capital Corp. | 700 | 10,542 | |||||||||
Redwood Trust, Inc. | 1,200 | 12,636 | |||||||||
Retail Opportunity Investments Corp. | 1,450 | 28,115 | |||||||||
RLJ Lodging Trust | 1,250 | 17,600 | |||||||||
Ryman Hospitality Properties, Inc.† | 225 | 20,873 | |||||||||
SITE Centers Corp. | 550 | 9,191 | |||||||||
STAG Industrial, Inc. | 950 | 39,282 | |||||||||
Summit Hotel Properties, Inc.† | 300 | 2,988 | |||||||||
Sunstone Hotel Investors, Inc.† | 475 | 5,596 | |||||||||
Terreno Realty Corp. | 640 | 47,392 | |||||||||
TPG RE Finance Trust, Inc. | 775 | 9,153 | |||||||||
UMH Properties, Inc. | 450 | 11,066 | |||||||||
Xenia Hotels & Resorts, Inc.† | 1,900 | 36,651 | |||||||||
1,035,405 | |||||||||||
Real Estate Management/Services — 0.1% | |||||||||||
Cushman & Wakefield PLC† | 1,025 | 21,023 | |||||||||
Realogy Holdings Corp.† | 1,675 | 26,264 | |||||||||
47,287 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
Kennedy-Wilson Holdings, Inc. | 2,050 | 49,999 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Avis Budget Group, Inc.† | 95 | 25,014 | |||||||||
Herc Holdings, Inc. | 325 | 54,304 | |||||||||
PROG Holdings, Inc.† | 1,100 | 31,647 | |||||||||
110,965 | |||||||||||
Resort/Theme Parks — 0.1% | |||||||||||
Marriott Vacations Worldwide Corp. | 380 | 59,926 | |||||||||
Retail-Apparel/Shoe — 0.1% | |||||||||||
Abercrombie & Fitch Co., Class A† | 1,550 | 49,585 | |||||||||
Guess?, Inc. | 825 | 18,026 | |||||||||
Winmark Corp. | 50 | 11,000 | |||||||||
78,611 | |||||||||||
Retail-Automobile — 0.2% | |||||||||||
Asbury Automotive Group, Inc.† | 275 | 44,055 | |||||||||
Group 1 Automotive, Inc. | 225 | 37,761 | |||||||||
Lithia Motors, Inc. | 25 | 7,503 | |||||||||
Rush Enterprises, Inc., Class A | 200 | 10,182 | |||||||||
Sonic Automotive, Inc., Class A | 525 | 22,318 | |||||||||
121,819 |
43
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Bedding — 0.0% | |||||||||||
Bed Bath & Beyond, Inc.† | 675 | $ | 15,208 | ||||||||
Retail-Discount — 0.0% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 350 | 23,664 | |||||||||
Retail-Jewelry — 0.0% | |||||||||||
Signet Jewelers, Ltd. | 260 | 18,902 | |||||||||
Retail-Office Supplies — 0.1% | |||||||||||
ODP Corp.† | 925 | 42,393 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash Holdings, Inc. | 225 | 15,827 | |||||||||
Retail-Petroleum Products — 0.1% | |||||||||||
Murphy USA, Inc. | 430 | 85,983 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 85 | 22,813 | |||||||||
Macy's, Inc. | 2,400 | 58,464 | |||||||||
81,277 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
Bloomin' Brands, Inc. | 2,125 | 46,622 | |||||||||
Portillo's, Inc., Class A† | 682 | 16,750 | |||||||||
63,372 | |||||||||||
Retail-Sporting Goods — 0.1% | |||||||||||
Hibbett, Inc. | 275 | 12,194 | |||||||||
Zumiez, Inc.† | 725 | 27,702 | |||||||||
39,896 | |||||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co.† | 174 | 2,486 | |||||||||
Satellite Telecom — 0.1% | |||||||||||
EchoStar Corp., Class A† | 1,975 | 48,071 | |||||||||
Savings & Loans/Thrifts — 0.3% | |||||||||||
Axos Financial, Inc.† | 375 | 17,396 | |||||||||
Brookline Bancorp, Inc. | 3,825 | 60,511 | |||||||||
Flushing Financial Corp. | 288 | 6,437 | |||||||||
HomeTrust Bancshares, Inc. | 275 | 8,121 | |||||||||
Investors Bancorp, Inc. | 950 | 14,184 | |||||||||
Northfield Bancorp, Inc. | 1,475 | 21,181 | |||||||||
OceanFirst Financial Corp. | 2,925 | 58,793 | |||||||||
People's United Financial, Inc. | 472 | 9,435 | |||||||||
Washington Federal, Inc. | 1,150 | 37,743 | |||||||||
233,801 | |||||||||||
Schools — 0.1% | |||||||||||
Adtalem Global Education, Inc.† | 1,125 | 33,424 | |||||||||
Coursera, Inc.† | 178 | 4,101 | |||||||||
Perdoceo Education Corp.† | 2,175 | 24,969 | |||||||||
62,494 | |||||||||||
Security Services — 0.0% | |||||||||||
Brink's Co. | 175 | 11,900 | |||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
Cirrus Logic, Inc.† | 175 | 14,838 | |||||||||
MaxLinear, Inc.† | 225 | 13,129 | |||||||||
27,967 |
Security Description | Shares | Value (Note 2) | |||||||||
Semiconductor Equipment — 2.4% | |||||||||||
ASML Holding NV | 2,641 | $ | 1,764,003 | ||||||||
Cohu, Inc.† | 1,125 | 33,300 | |||||||||
Veeco Instruments, Inc.† | 1,050 | 28,550 | |||||||||
1,825,853 | |||||||||||
Steel-Producers — 0.1% | |||||||||||
Cleveland-Cliffs, Inc.† | 625 | 20,131 | |||||||||
Commercial Metals Co. | 1,275 | 53,065 | |||||||||
Schnitzer Steel Industries, Inc., Class A | 225 | 11,687 | |||||||||
84,883 | |||||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc.† | 325 | 8,723 | |||||||||
Telecom Services — 0.1% | |||||||||||
Vonage Holdings Corp.† | 3,550 | 72,029 | |||||||||
Television — 0.1% | |||||||||||
AMC Networks, Inc., Class A† | 925 | 37,583 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 1,575 | 44,131 | |||||||||
81,714 | |||||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc., Class A† | 1,775 | 43,736 | |||||||||
Cinemark Holdings, Inc.† | 450 | 7,776 | |||||||||
51,512 | |||||||||||
Therapeutics — 0.1% | |||||||||||
Akebia Therapeutics, Inc.† | 7,750 | 5,564 | |||||||||
Sarepta Therapeutics, Inc.† | 650 | 50,778 | |||||||||
56,342 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Dorian LPG, Ltd. | 591 | 8,564 | |||||||||
Safe Bulkers, Inc. | 1,800 | 8,568 | |||||||||
17,132 | |||||||||||
Transport-Services — 0.0% | |||||||||||
Hub Group, Inc., Class A† | 275 | 21,233 | |||||||||
Transport-Truck — 0.1% | |||||||||||
ArcBest Corp. | 565 | 45,482 | |||||||||
Heartland Express, Inc. | 225 | 3,166 | |||||||||
Schneider National, Inc., Class B | 200 | 5,100 | |||||||||
Werner Enterprises, Inc. | 150 | 6,150 | |||||||||
59,898 | |||||||||||
Travel Services — 0.1% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 21,575 | 44,229 | |||||||||
Vitamins & Nutrition Products — 0.2% | |||||||||||
BellRing Brands, Inc.† | 3,705 | 85,511 | |||||||||
Herbalife Nutrition, Ltd.† | 275 | 8,349 | |||||||||
USANA Health Sciences, Inc.† | 590 | 46,876 | |||||||||
140,736 | |||||||||||
Water — 0.1% | |||||||||||
American States Water Co. | 1,175 | 104,598 |
44
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount(8) | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Web Hosting/Design — 0.0% | |||||||||||
Q2 Holdings, Inc.† | 500 | $ | 30,825 | ||||||||
X-Ray Equipment — 0.1% | |||||||||||
Varex Imaging Corp.† | 400 | 8,516 | |||||||||
ViewRay, Inc.† | 10,725 | 42,042 | |||||||||
50,558 | |||||||||||
Total Common Stocks (cost $45,733,108) | 43,989,504 | ||||||||||
ASSET BACKED SECURITIES — 10.9% | |||||||||||
Diversified Financial Services — 10.9% | |||||||||||
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(1) | $ | 110,000 | 110,492 | ||||||||
510 Asset Backed Trust Series 2021-NPL2, Class A1 2.12% due 06/25/2061*(3) | 84,331 | 80,659 | |||||||||
510 Asset Backed Trust Series 2021-NPL1, Class A1 2.24% due 06/25/2061*(3) | 81,298 | 77,805 | |||||||||
Affirm Asset Securitization Trust Series 2020-Z2, Class A 1.90% due 01/15/2025* | 34,821 | 34,472 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 35,000 | 34,852 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(2)(5) | 32,281 | 31,866 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-1, Class A1 0.91% due 01/25/2066*(2)(5) | 30,983 | 29,984 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-R1, Class A1 0.99% due 04/25/2053*(2)(5) | 27,433 | 26,972 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-2, Class A1 0.99% due 04/25/2066*(2)(5) | 28,203 | 26,904 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-3, Class A1 1.07% due 05/25/2066*(2)(5) | 54,135 | 51,111 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-4, Class A2 1.24% due 01/20/2065*(2)(5) | 34,195 | 32,388 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.03% (1 ML+1.58%) due 10/25/2034 | 5,552 | 5,765 | |||||||||
Bain Capital Credit CLO, Ltd. FRS Series 2019-1A, Class AR 1.38% (3 ML+1.13%) due 04/19/2034*(7) | 100,000 | 98,994 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
BANK VRS Series 2017-BNK8, Class XA 0.72% due 11/15/2050(1)(5)(6) | $ | 979,998 | $ | 32,300 | |||||||
BANK VRS Series 2020-BN26, Class XA 1.23% due 03/15/2063(1)(5)(6) | 988,907 | 72,403 | |||||||||
BANK Series 2019-BN17, Class A4 3.71% due 04/15/2052(1) | 91,000 | 92,990 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(5) | 37,686 | 37,445 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(5) | 26,661 | 26,265 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(5) | 36,138 | 35,345 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(5) | 26,035 | 25,867 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(5) | 26,502 | 26,374 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(5) | 31,288 | 30,954 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 1.25% (1 ML+0.85%) due 08/15/2036*(1) | 131,000 | 129,680 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.83% due 02/25/2036(2)(5) | 35,659 | 32,736 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.49% due 01/15/2051(1)(5)(6) | 179,558 | 4,020 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.51% due 07/15/2051(1)(5)(6) | 313,284 | 6,661 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.64% due 01/15/2052(1)(5)(6) | 962,045 | 31,378 | |||||||||
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.23% due 03/15/2062(1)(5)(6) | 299,374 | 18,698 |
45
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Benchmark Mtg. Trust VRS Series 2020-B22, Class XA 1.52% due 01/15/2054(1)(5)(6) | $ | 149,625 | $ | 15,530 | |||||||
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.79% due 07/15/2053(1)(5)(6) | 99,761 | 9,503 | |||||||||
BlueMountain CLO XXXI, Ltd. FRS Series 2021-31A, Class A1 1.40% (3 ML+1.15%) due 04/19/2034*(7) | 250,000 | 248,581 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(2)(5) | 14,551 | 14,600 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(1) | 65,000 | 65,707 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.77% (1 Yr USTYCR+2.40%) due 03/25/2036(2) | 14,047 | 13,836 | |||||||||
COLT Funding LLC VRS Series 2021-1, Class A1 0.91% due 06/25/2066*(2)(5) | 42,827 | 39,418 | |||||||||
COLT Mtg. Loan Trust VRS Series 2021-2, Class A3 1.34% due 08/25/2066*(2)(5) | 44,389 | 41,093 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(1) | 90,000 | 89,772 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(1) | 60,000 | 60,826 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(1) | 105,000 | 105,950 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(1) | 114,449 | 113,845 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(1) | 123,000 | 124,424 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(2) | 17,033 | 11,472 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2021-NQM4, Class A1 1.10% due 05/25/2066*(2)(5) | 67,952 | 64,524 | |||||||||
Credit Suisse Mtg. Trust VRS Series 2021-NQM2, Class A1 1.18% due 02/25/2066*(2)(5) | 59,975 | 57,847 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.74% due 06/15/2057(1)(5)(6) | $ | 899,280 | $ | 15,900 | |||||||
CSMC Trust VRS Series 2021-NQM5, Class A1 0.94% due 05/25/2066*(2)(5) | 82,547 | 77,944 | |||||||||
CSMC Trust VRS Series 2021-NQM8, Class A1 1.84% due 10/25/2066*(2)(5) | 93,784 | 89,564 | |||||||||
CSMC Trust VRS Series 2022-NQM1, Class A1 2.27% due 11/25/2066*(2)(5) | 97,927 | 94,230 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(2)(5) | 26,653 | 25,912 | |||||||||
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.71% due 09/15/2053(1)(5)(6) | 99,755 | 8,450 | |||||||||
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(1) | 115,000 | 113,167 | |||||||||
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(1) | 52,569 | 52,369 | |||||||||
Domino's Pizza Master Issuer LLC Series 2021-1A, Class A2I 2.66% due 04/25/2051* | 49,625 | 46,123 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 48,375 | 48,604 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 30,000 | 29,976 | |||||||||
Eagle RE, Ltd. FRS Series 2018-1, Class M1 1.89% (1 ML+1.70%) due 11/25/2028*(2) | 51,619 | 51,521 | |||||||||
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025* | 70,000 | 69,752 | |||||||||
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025* | 20,000 | 19,922 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 2.22% due 05/25/2035(2)(5) | 24,485 | 24,445 | |||||||||
GCAT Trust VRS Series 2021-NQM3, Class A1 1.09% due 05/25/2066*(2)(5) | 73,619 | 69,685 |
46
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GCAT Trust VRS Series 2021-NQM1, Class A1 0.87% due 01/25/2066*(2)(5) | $ | 50,859 | $ | 48,816 | |||||||
GCAT Trust VRS Series 2021-NQM4, Class A1 1.09% due 08/25/2066*(2)(5) | 82,176 | 74,001 | |||||||||
GCAT Trust VRS Series 2021-NQM7, Class A1 1.92% due 08/25/2066*(2)(5) | 87,872 | 85,358 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(1) | 110,000 | 109,831 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(1) | 30,000 | 31,376 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2018-GS10, Class XA 0.32% due 07/10/2051(1)(5)(6) | 1,055,500 | 20,056 | |||||||||
GS Mtg. Securities Corp. Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(1) | 86,000 | 84,612 | |||||||||
GS Mtg. Securities Corp. Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(1) | 115,000 | 116,203 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 2.52% due 04/25/2036(2)(5) | 3,449 | 2,597 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.74% due 03/25/2047(2)(5) | 9,655 | 7,204 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 2.06% (1 ML + 1.60%) due 10/25/2028*(2) | 17,756 | 17,726 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.00% (1 ML+0.27%) due 05/25/2035(2) | 18,629 | 18,031 | |||||||||
Imperial Fund Mtg. Trust Series 2022-NQM2, Class A1 3.64% due 03/25/2067*(2)(3) | 100,000 | 98,893 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(1) | 80,000 | 79,517 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(1) | 20,000 | 19,424 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(1) | $ | 64,000 | $ | 64,822 | |||||||
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(2)(3) | 78,529 | 78,174 | |||||||||
LSTAR Securities Investment Trust FRS Series 2021-1, Class A 2.26% (1 ML+1.80%) due 02/01/2026*(2) | 51,044 | 50,625 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-3, Class A1 2.96% (1 ML+2.50%) due 04/01/2024*(2) | 49,586 | 49,280 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 2.96% (1 ML + 2.50%) due 05/01/2024*(2) | 45,862 | 45,182 | |||||||||
Madison Park Funding XXXVIII, Ltd. FRS Series 2021-38A, Class A 1.36% (3 ML + 1.12%) due 07/17/2034*(7) | 250,000 | 247,882 | |||||||||
Mercury Financial Credit Card Master Trust Series 2022-1A, Class A 2.50% due 09/21/2026* | 100,000 | 96,523 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.46% due 12/25/2034(2)(5) | 5,663 | 5,843 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.81% due 02/25/2035(2)(5) | 13,200 | 13,195 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2017-3, Class A1 2.75% due 01/25/2061*(2)(5) | 20,472 | 20,524 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2018-1, Class A1 3.25% due 05/25/2062*(2)(5) | 32,875 | 32,796 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 0.96% due 12/15/2047(1)(5)(6) | 177,531 | 3,478 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(1) | 20,000 | 20,279 |
47
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.34% due 06/15/2050(1)(5)(6) | $ | 98,084 | $ | 4,588 | |||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(2) | 18,161 | 9,880 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 1.02% (1 ML+0.56%) due 10/25/2035(2) | 24,759 | 24,049 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 1.21% (1 ML + 0.75%) due 01/25/2048*(2) | 38,433 | 38,183 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.96% (1 ML+1.50%) due 06/25/2057*(2) | 27,281 | 27,504 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(2)(5) | 44,189 | 44,026 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(2)(5) | 29,367 | 29,376 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2015-1A, Class A3 3.75% due 05/28/2052*(2)(5) | 12,629 | 12,601 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(2)(5) | 28,532 | 28,793 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(2)(5) | 50,280 | 50,417 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(2)(5) | 51,546 | 51,711 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(2)(5) | 40,270 | 40,416 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(2)(5) | $ | 27,158 | $ | 27,220 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(2)(5) | 46,766 | 47,064 | |||||||||
NMLT Trust VRS Series 2021-INV1, Class A1 1.19% due 05/25/2056*(2)(5) | 86,879 | 81,622 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(2)(5) | 4,302 | 4,172 | |||||||||
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 1.86% (1 ML + 1.40%) due 07/25/2029*(2) | 7,561 | 7,561 | |||||||||
Oaktown Re, Ltd. FRS Series 2018-1A, Class M1 2.01% (1 ML+1.55%) due 07/25/2028*(2) | 30,983 | 30,943 | |||||||||
OBX Trust VRS Series 2021-NQM1, Class A1 1.07% due 02/25/2066*(2)(5) | 57,092 | 55,282 | |||||||||
OBX Trust VRS Series 2022-NQM1, Class A1 2.31% due 11/25/2061*(2)(5) | 95,327 | 92,206 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.56% (1 ML+0.10%) due 02/25/2037 | 27,613 | 16,440 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 1.35% (3 ML+1.05%) due 04/30/2027*(7) | 32,275 | 32,260 | |||||||||
Preston Ridge Partners Mtg. Series 2020-4, Class A1 2.95% due 10/25/2025*(2)(3) | 78,561 | 76,553 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2021-RN1, Class A1 1.99% due 02/25/2061*(3) | 87,099 | 82,973 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2022-NPL1, Class A1 2.98% due 01/25/2052*(3) | 96,155 | 93,049 | |||||||||
PRPM LLC Series 2021-7, Class A1 1.87% due 08/25/2026*(2)(3) | 83,266 | 78,808 |
48
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.59% (1 ML+0.13%) due 05/25/2037 | $ | 55,762 | $ | 44,866 | |||||||
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(1) | 85,000 | 82,554 | |||||||||
SG Residential Mtg. Trust VRS Series 2021-1, Class A1 1.16% due 07/25/2061*(2)(5) | 59,222 | 55,928 | |||||||||
Sound Point CLO XXIX, Ltd. FRS Series 2021-1A, Class A 1.33% (3 ML+1.07%) due 04/25/2034*(7) | 250,000 | 248,196 | |||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.96% (1 ML+0.25%) due 11/25/2036 | 145,446 | 140,398 | |||||||||
STAR Trust VRS Series 2021-1, Class A1 1.22% due 05/25/2065*(2)(5) | 50,260 | 49,233 | |||||||||
Starwood Mtg. Residential Trust VRS Series 2021-3, Class A1 1.13% due 06/25/2056*(2)(5) | 69,968 | 66,328 | |||||||||
Summit Issuer LLC Series 2020-1A, Class A2 2.29% due 12/20/2050* | 25,000 | 23,585 | |||||||||
Towd Point Mtg. Trust FRS Series 2017-5, Class A1 1.06% (1 ML+0.60%) due 02/25/2057* | 18,299 | 18,231 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(5) | 29,077 | 29,077 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(5) | 13,020 | 13,028 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-3, Class A1 2.75% due 07/25/2057*(5) | 18,942 | 18,958 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(5) | 43,572 | 43,155 | |||||||||
Towd Point Mtg. Trust VRS Series 2021-R1, Class A1 2.92% due 11/30/2060*(2)(5) | 96,394 | 93,784 | |||||||||
VCAT LLC Series 2021-NPL4, Class A1 1.87% due 08/25/2051*(3) | 83,054 | 80,090 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Venture 42 CLO, Ltd. FRS Series 2021-42A, Class A1A 1.37% (3 ML+1.13%) due 04/15/2034*(7) | $ | 100,000 | $ | 98,503 | |||||||
Venture XIII CLO, Ltd. FRS Series 2021-43A, Class A1 1.48% (3 ML+1.24%) due 04/15/2034*(7) | 100,000 | 99,386 | |||||||||
Vericrest Opportunity Loan Trust Series 2021-NP11, Class A1 1.87% due 08/25/2051*(3) | 89,232 | 85,298 | |||||||||
Verus Securitization Trust VRS Series 2021-2, Class A1 1.03% due 02/25/2066*(2)(5) | 61,268 | 58,981 | |||||||||
Verus Securitization Trust Series 2020-NPL1, Class A1 3.60% due 08/25/2050*(2)(3) | 11,391 | 11,377 | |||||||||
VOLT CIII LLC Series 2021-CF1, Class A1 1.99% due 08/25/2051*(3) | 85,295 | 82,700 | |||||||||
VOLT LLC Series 2021-NPL6, Class A1 2.24% due 04/25/2051*(2)(3) | 73,823 | 71,393 | |||||||||
VOLT XCIV LLC Series 2021-NPL3, Class A1 2.24% due 02/27/2051*(3) | 72,554 | 69,707 | |||||||||
Voya CLO, Ltd. FRS Series 2015-1A, Class A1R 1.14% (3 ML+0.90%) due 01/18/2029*(7) | 193,538 | 192,378 | |||||||||
Wellfleet CLO X, Ltd. FRS Series 2019-XA, Class A1R 1.42% (3 ML+1.17%) due 07/20/2032*(7) | 250,000 | 248,415 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 0.90% due 09/15/2057(1)(5)(6) | 549,566 | 14,805 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(1) | 65,000 | 65,517 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.60% due 10/25/2036(2)(5) | 8,570 | 8,332 | |||||||||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.37% due 06/15/2051* | 84,363 | 75,214 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 47,875 | 47,370 |
49
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Westlake Automobile Receivables Trust Series 2020-3A, Class D 1.65% due 02/17/2026* | $ | 30,000 | $ | 29,068 | |||||||
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024* | 50,000 | 50,084 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(1) | 120,000 | 121,037 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(1) | 110,000 | 111,287 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(1) | 50,111 | 50,928 | |||||||||
Total Asset Backed Securities (cost $8,609,305) | 8,389,008 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 13.3% | |||||||||||
Advertising Sales — 0.1% | |||||||||||
Lamar Media Corp. Company Guar. Notes 3.63% due 01/15/2031 | 20,000 | 18,362 | |||||||||
Lamar Media Corp. Company Guar. Notes 3.75% due 02/15/2028 | 20,000 | 18,991 | |||||||||
Lamar Media Corp. Company Guar. Notes 4.88% due 01/15/2029 | 40,000 | 39,700 | |||||||||
77,053 | |||||||||||
Aerospace/Defense — 0.2% | |||||||||||
Boeing Co. Senior Notes 5.04% due 05/01/2027 | 15,000 | 15,818 | |||||||||
Boeing Co. Senior Notes 5.15% due 05/01/2030 | 40,000 | 42,663 | |||||||||
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040 | 20,000 | 23,295 | |||||||||
Raytheon Technologies Corp. Senior Notes 2.38% due 03/15/2032 | 10,000 | 9,202 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 2,000 | 2,027 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 25,000 | 25,805 | |||||||||
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 15,000 | 16,282 | |||||||||
135,092 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023 | $ | 35,000 | $ | 35,505 | |||||||
Apparel Manufacturers — 0.2% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026* | 40,000 | 40,300 | |||||||||
William Carter Co. Company Guar. Notes 5.63% due 03/15/2027* | 100,000 | 101,476 | |||||||||
141,776 | |||||||||||
Applications Software — 0.2% | |||||||||||
CDK Global, Inc. Senior Notes 5.25% due 05/15/2029* | 85,000 | 85,425 | |||||||||
Microsoft Corp. Senior Notes 3.04% due 03/17/2062 | 26,000 | 24,254 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 45,000 | 45,531 | |||||||||
155,210 | |||||||||||
Auto-Cars/Light Trucks — 0.1% | |||||||||||
Ford Motor Co. Senior Notes 3.25% due 02/12/2032 | 20,000 | 17,833 | |||||||||
General Motors Financial Co., Inc. Senior Notes 1.50% due 06/10/2026 | 85,000 | 77,792 | |||||||||
95,625 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.05% due 01/26/2027 | 65,000 | 62,719 | |||||||||
Banks-Super Regional — 0.4% | |||||||||||
Fifth Third Bancorp Senior Notes 1.71% due 11/01/2027 | 115,000 | 106,563 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 120,000 | 118,494 | |||||||||
Wells Fargo & Co. Senior Notes 3.35% due 03/02/2033 | 35,000 | 34,029 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 15,000 | 17,939 | |||||||||
277,025 | |||||||||||
Brewery — 0.1% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 40,000 | 38,116 |
50
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Brewery (continued) | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | $ | 10,000 | $ | 10,838 | |||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 25,000 | 29,218 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029 | 12,000 | 11,573 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 15,000 | 15,497 | |||||||||
105,242 | |||||||||||
Broadcast Services/Program — 0.2% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024 | 30,000 | 30,331 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025 | 2,000 | 2,022 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028 | 20,000 | 20,011 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055 | 50,000 | 43,115 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.20% due 09/20/2047 | 15,000 | 15,596 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 25,000 | 26,134 | |||||||||
137,209 | |||||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Builders FirstSource, Inc. Company Guar. Notes 5.00% due 03/01/2030* | 55,000 | 54,407 | |||||||||
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031* | 30,000 | 26,287 | |||||||||
Standard Industries, Inc. Senior Notes 4.38% due 07/15/2030* | 70,000 | 64,400 | |||||||||
Standard Industries, Inc. Senior Notes 4.75% due 01/15/2028* | 40,000 | 38,350 | |||||||||
183,444 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 40,000 | 42,601 | |||||||||
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 42,000 | 43,260 | |||||||||
85,861 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Cable/Satellite TV — 0.6% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030* | $ | 80,000 | $ | 75,063 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 2.30% due 02/01/2032 | 85,000 | 72,666 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.40% due 04/01/2033 | 35,000 | 34,902 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050 | 10,000 | 9,495 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 25,000 | 24,818 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 15,000 | 17,091 | |||||||||
Comcast Corp. Company Guar. Notes 2.99% due 11/01/2063* | 24,000 | 19,626 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 9,614 | |||||||||
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039 | 25,000 | 23,719 | |||||||||
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040 | 10,000 | 10,059 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 15,000 | 16,203 | |||||||||
Cox Communications, Inc. Senior Notes 2.60% due 06/15/2031* | 25,000 | 22,591 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 3.13% due 09/01/2026* | 80,000 | 75,638 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 20,000 | 18,516 |
51
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Cable/Satellite TV (continued) | |||||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | $ | 40,000 | $ | 43,024 | |||||||
473,025 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 15,000 | 14,150 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028 | 65,000 | 59,471 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025 | 35,000 | 35,270 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050 | 15,000 | 15,203 | |||||||||
109,944 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 35,000 | 35,835 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 2.30% due 11/01/2030* | 20,000 | 17,877 | |||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047 | 5,000 | 5,293 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 4.50% due 07/15/2029* | 35,000 | 34,912 | |||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Global Payments, Inc. Senior Notes 2.15% due 01/15/2027 | 10,000 | 9,400 | |||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 35,000 | 33,259 | |||||||||
S&P Global, Inc. Senior Notes 2.45% due 03/01/2027* | 10,000 | 9,740 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.70% due 03/01/2029* | 15,000 | 14,568 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.90% due 03/01/2032* | 15,000 | 14,551 | |||||||||
81,518 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Computer Services — 0.2% | |||||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028* | $ | 95,000 | $ | 91,831 | |||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 4.00% due 07/01/2029* | 10,000 | 9,765 | |||||||||
Kyndryl Holdings, Inc. Senior Notes 3.15% due 10/15/2031* | 30,000 | 25,287 | |||||||||
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 15,000 | 14,996 | |||||||||
141,879 | |||||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 1.40% due 08/05/2028 | 45,000 | 41,182 | |||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 20,000 | 19,064 | |||||||||
Apple, Inc. Senior Notes 2.65% due 02/08/2051 | 25,000 | 21,551 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 10,000 | 9,929 | |||||||||
Apple, Inc. Senior Notes 3.85% due 05/04/2043 | 5,000 | 5,265 | |||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 5,000 | 5,648 | |||||||||
102,639 | |||||||||||
Consulting Services — 0.1% | |||||||||||
Gartner, Inc. Company Guar. Notes 3.63% due 06/15/2029* | 15,000 | 14,062 | |||||||||
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030* | 25,000 | 23,406 | |||||||||
Gartner, Inc. Company Guar. Notes 4.50% due 07/01/2028* | 25,000 | 24,995 | |||||||||
62,463 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023 | 110,000 | 111,237 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging International LLC Company Guar. Notes 4.75% due 07/15/2027* | 45,000 | 45,450 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Fair Isaac Corp. Senior Notes 4.00% due 06/15/2028* | 60,000 | 58,087 |
52
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Avantor Funding, Inc. Company Guar. Notes 4.63% due 07/15/2028* | $ | 50,000 | $ | 49,375 | |||||||
Diagnostic Kits — 0.1% | |||||||||||
Hologic, Inc. Company Guar. Notes 4.63% due 02/01/2028* | 70,000 | 70,875 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Teleflex, Inc. Company Guar. Notes 4.63% due 11/15/2027 | 30,000 | 30,476 | |||||||||
Diversified Banking Institutions — 2.1% | |||||||||||
Bank of America Corp. Senior Notes 2.46% due 10/22/2025 | 55,000 | 54,090 | |||||||||
Bank of America Corp. Senior Notes 2.57% due 10/20/2032 | 20,000 | 18,176 | |||||||||
Bank of America Corp. Senior Notes 3.31% due 04/22/2042 | 45,000 | 41,701 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 125,000 | 125,193 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 30,000 | 30,237 | |||||||||
Bank of America Corp. Senior Notes 4.08% due 03/20/2051 | 80,000 | 82,462 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 35,000 | 37,802 | |||||||||
Citigroup, Inc. Senior Notes 1.28% due 11/03/2025 | 35,000 | 33,320 | |||||||||
Citigroup, Inc. Senior Notes 2.52% due 11/03/2032 | 55,000 | 49,351 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 15,000 | 14,902 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 145,000 | 145,459 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 25,000 | 25,745 | |||||||||
Citigroup, Inc. Senior Notes 4.41% due 03/31/2031 | 25,000 | 25,957 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.99% due 01/27/2032 | 15,000 | 12,996 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.38% due 07/21/2032 | 50,000 | 44,292 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 2.62% due 04/22/2032 | $ | 75,000 | $ | 68,174 | |||||||
Goldman Sachs Group, Inc. Senior Notes 2.65% due 10/21/2032 | 5,000 | 4,546 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 55,000 | 55,067 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.10% due 02/24/2033 | 10,000 | 9,427 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 65,000 | 65,586 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 10,000 | 10,107 | |||||||||
JPMorgan Chase & Co. Senior Bonds 2.55% due 11/08/2032 | 45,000 | 41,125 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.58% due 04/22/2032 | 15,000 | 13,744 | |||||||||
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031 | 45,000 | 42,112 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041 | 10,000 | 9,046 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.16% due 04/22/2042 | 40,000 | 36,425 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 85,000 | 85,320 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 70,000 | 69,796 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 90,000 | 90,439 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 50,000 | 51,095 | |||||||||
Morgan Stanley Senior Notes 1.59% due 05/04/2027 | 70,000 | 65,119 | |||||||||
Morgan Stanley Senior Notes 1.79% due 02/13/2032 | 70,000 | 60,204 | |||||||||
Morgan Stanley Senior Notes 1.93% due 04/28/2032 | 20,000 | 17,289 | |||||||||
Morgan Stanley Senior Notes 2.24% due 07/21/2032 | 30,000 | 26,668 | |||||||||
Morgan Stanley Senior Notes 2.48% due 01/21/2028 | 35,000 | 33,445 |
53
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Morgan Stanley Senior Notes 2.51% due 10/20/2032 | $ | 5,000 | $ | 4,507 | |||||||
Morgan Stanley Senior Notes 2.70% due 01/22/2031 | 25,000 | 23,462 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 20,000 | 19,853 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 15,000 | 15,081 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 15,000 | 15,391 | |||||||||
1,674,711 | |||||||||||
E-Commerce/Services — 0.1% | |||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027* | 112,000 | 112,560 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 20,000 | 19,775 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 5,000 | 5,309 | |||||||||
Sempra Energy Senior Notes 3.40% due 02/01/2028 | 25,000 | 24,981 | |||||||||
Sempra Energy Senior Notes 3.80% due 02/01/2038 | 10,000 | 9,816 | |||||||||
Sempra Energy Senior Notes 4.00% due 02/01/2048 | 5,000 | 4,957 | |||||||||
64,838 | |||||||||||
Electric-Integrated — 1.0% | |||||||||||
AES Corp. Senior Notes 3.30% due 07/15/2025* | 20,000 | 19,622 | |||||||||
Alabama Power Co. Senior Notes 3.45% due 10/01/2049 | 30,000 | 27,969 | |||||||||
Alabama Power Co. Senior Notes 4.15% due 08/15/2044 | 10,000 | 10,162 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029 | 20,000 | 19,116 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 3.20% due 12/01/2051 | 20,000 | 17,673 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 2.55% due 04/15/2031 | $ | 10,000 | $ | 9,389 | |||||||
Duke Energy Corp. Senior Notes 2.55% due 06/15/2031 | 30,000 | 27,433 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 2.75% due 04/01/2050 | 25,000 | 21,144 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 10,000 | 9,688 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.00% due 04/01/2052 | 10,000 | 10,594 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044 | 30,000 | 31,802 | |||||||||
Duquesne Light Holdings, Inc. Senior Notes 2.78% due 01/07/2032* | 20,000 | 17,878 | |||||||||
Evergy Metro, Inc. 1st Mtg. Bonds 2.25% due 06/01/2030 | 5,000 | 4,585 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 10,000 | 9,839 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 30,000 | 28,694 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 45,000 | 45,928 | |||||||||
Exelon Corp. Senior Bonds 4.10% due 03/15/2052* | 5,000 | 5,076 | |||||||||
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026 | 5,000 | 4,675 | |||||||||
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030 | 20,000 | 17,750 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 25,000 | 25,301 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 25,000 | 25,085 | |||||||||
Jersey Central Power & Light Co. Senior Notes 2.75% due 03/01/2032* | 20,000 | 18,627 | |||||||||
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050 | 20,000 | 18,358 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031 | 35,000 | 30,174 |
54
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049 | $ | 5,000 | $ | 5,168 | |||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 5,000 | 5,251 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 4.40% due 03/01/2032 | 20,000 | 19,665 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.95% due 07/01/2050 | 60,000 | 56,487 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 5.25% due 03/01/2052 | 10,000 | 10,031 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 25,000 | 25,081 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030 | 20,000 | 19,964 | |||||||||
Southern California Edison Co. 1st Mtg. 2.75% due 02/01/2032 | 25,000 | 23,206 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 15,000 | 14,276 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 10,000 | 9,603 | |||||||||
Southern California Edison Co. 1st Mtg. Notes Class C 4.13% due 03/01/2048 | 5,000 | 4,921 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 10,056 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 25,000 | 25,004 | |||||||||
Xcel Energy, Inc. Senior Notes 1.75% due 03/15/2027 | 115,000 | 106,599 | |||||||||
791,874 | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030* | 30,000 | 28,424 | |||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Broadcom, Inc. Senior Notes 3.42% due 04/15/2033* | 25,000 | 23,373 | |||||||||
Broadcom, Inc. Senior Notes 4.00% due 04/15/2029* | 110,000 | 109,946 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.30% due 11/15/2032 | 15,000 | 15,242 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 2.45% due 11/15/2029 | $ | 15,000 | $ | 14,318 | |||||||
Intel Corp. Senior Bonds 3.05% due 08/12/2051 | 15,000 | 13,356 | |||||||||
Intel Corp. Senior Notes 3.10% due 02/15/2060 | 5,000 | 4,294 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.45% due 04/15/2028 | 30,000 | 27,634 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.95% due 04/15/2031 | 30,000 | 27,734 | |||||||||
Microchip Technology, Inc. Sec. Notes 2.67% due 09/01/2023 | 45,000 | 44,873 | |||||||||
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040 | 25,000 | 25,097 | |||||||||
305,867 | |||||||||||
Enterprise Software/Service — 0.2% | |||||||||||
Oracle Corp. Senior Notes 2.30% due 03/25/2028 | 30,000 | 27,451 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2040 | 11,000 | 9,551 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2050 | 20,000 | 16,589 | |||||||||
Oracle Corp. Senior Notes 3.85% due 04/01/2060 | 55,000 | 45,110 | |||||||||
Oracle Corp. Senior Notes 3.95% due 03/25/2051 | 20,000 | 17,475 | |||||||||
Oracle Corp. Senior Notes 4.00% due 07/15/2046 | 20,000 | 17,738 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 30,000 | 26,518 | |||||||||
Oracle Corp. Senior Notes 4.10% due 03/25/2061 | 20,000 | 17,040 | |||||||||
177,472 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 29,000 | 30,081 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.13% due 03/15/2024 | 10,000 | 10,250 | |||||||||
40,331 |
55
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Credit Card — 0.2% | |||||||||||
Capital One Financial Corp. Senior Notes 1.88% due 11/02/2027 | $ | 115,000 | $ | 106,260 | |||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 35,000 | 35,570 | |||||||||
Mastercard, Inc. Senior Notes 2.95% due 03/15/2051 | 15,000 | 13,716 | |||||||||
155,546 | |||||||||||
Finance-Other Services — 0.2% | |||||||||||
GTP Acquisition Partners I LLC Senior Sec. Notes 3.48% due 06/15/2050* | 135,000 | 135,539 | |||||||||
Food-Confectionery — 0.0% | |||||||||||
Mondelez International, Inc. Senior Notes 2.63% due 03/17/2027 | 20,000 | 19,544 | |||||||||
Mondelez International, Inc. Senior Notes 3.00% due 03/17/2032 | 15,000 | 14,468 | |||||||||
34,012 | |||||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 10,000 | 10,282 | |||||||||
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028 | 15,000 | 15,893 | |||||||||
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048 | 5,000 | 5,738 | |||||||||
Kellogg Co. Senior Notes 3.40% due 11/15/2027 | 35,000 | 34,986 | |||||||||
66,899 | |||||||||||
Funeral Services & Related Items — 0.2% | |||||||||||
Service Corp. International Senior Notes 3.38% due 08/15/2030 | 65,000 | 58,557 | |||||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 71,000 | 72,249 | |||||||||
130,806 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
NiSource, Inc. Senior Notes 3.49% due 05/15/2027 | 25,000 | 24,958 | |||||||||
NiSource, Inc. Senior Notes 3.60% due 05/01/2030 | 50,000 | 49,591 | |||||||||
74,549 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Hazardous Waste Disposal — 0.2% | |||||||||||
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027* | $ | 80,000 | $ | 79,800 | |||||||
Clean Harbors, Inc. Company Guar. Notes 5.13% due 07/15/2029* | 50,000 | 50,187 | |||||||||
129,987 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. Senior Sec. Notes 2.45% due 12/02/2027* | 25,000 | 23,080 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022 | 25,000 | 25,047 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 2.85% due 05/28/2027 | 15,000 | 14,697 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 3.90% due 02/28/2052 | 10,000 | 9,861 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 20,000 | 20,163 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 20,000 | 20,433 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 10,989 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,130 | |||||||||
121,320 | |||||||||||
Insurance-Life/Health — 0.2% | |||||||||||
Athene Global Funding Sec. Notes 2.65% due 10/04/2031* | 45,000 | 39,717 | |||||||||
Athene Global Funding Secured Notes 2.72% due 01/07/2029* | 50,000 | 45,993 | |||||||||
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030 | 40,000 | 43,854 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 1.80% due 03/08/2028* | 55,000 | 49,558 | |||||||||
Unum Group Senior Notes 4.13% due 06/15/2051 | 5,000 | 4,363 | |||||||||
183,485 |
56
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025* | $ | 15,000 | $ | 14,563 | |||||||
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050* | 15,000 | 14,532 | |||||||||
29,095 | |||||||||||
Internet Security — 0.1% | |||||||||||
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025* | 50,000 | 50,000 | |||||||||
Investment Companies — 0.1% | |||||||||||
Bain Capital Specialty Finance, Inc. Senior Notes 2.55% due 10/13/2026 | 75,000 | 67,724 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Otis Worldwide Corp. Senior Notes 2.57% due 02/15/2030 | 25,000 | 23,368 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025 | 15,000 | 14,415 | |||||||||
Medical Products — 0.1% | |||||||||||
Baxter International Inc Senior Notes 2.54% due 02/01/2032* | 105,000 | 95,894 | |||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 3.35% due 02/22/2032 | 10,000 | 9,908 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,002 | |||||||||
11,910 | |||||||||||
Medical-Drugs — 0.3% | |||||||||||
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029 | 20,000 | 19,748 | |||||||||
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042 | 10,000 | 10,646 | |||||||||
Astrazeneca Finance LLC Company Guar. Notes 1.75% due 05/28/2028 | 45,000 | 41,542 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 0.75% due 11/13/2025 | 50,000 | 46,368 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.55% due 11/13/2050 | 25,000 | 20,739 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.95% due 03/15/2032 | 10,000 | 9,784 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Bristol-Myers Squibb Co. Senior Notes 3.55% due 03/15/2042 | $ | 45,000 | $ | 44,497 | |||||||
193,324 | |||||||||||
Medical-HMO — 0.3% | |||||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 17,295 | |||||||||
Centene Corp. Senior Notes 3.38% due 02/15/2030 | 25,000 | 23,500 | |||||||||
Centene Corp. Senior Notes 4.63% due 12/15/2029 | 75,000 | 75,900 | |||||||||
Humana, Inc. Senior Notes 2.15% due 02/03/2032 | 15,000 | 13,145 | |||||||||
Humana, Inc. Senior Notes 3.70% due 03/23/2029 | 35,000 | 35,142 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.75% due 05/15/2040 | 20,000 | 17,977 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 10,000 | 9,929 | |||||||||
192,888 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 5,000 | 4,855 | |||||||||
HCA, Inc. Senior Sec. Notes 3.63% due 03/15/2032* | 10,000 | 9,798 | |||||||||
HCA, Inc. Senior Sec. Bonds 4.63% due 03/15/2052* | 10,000 | 10,081 | |||||||||
Kaiser Foundation Hospitals Notes 2.81% due 06/01/2041 | 15,000 | 13,112 | |||||||||
Kaiser Foundation Hospitals Notes 3.00% due 06/01/2051 | 20,000 | 17,608 | |||||||||
Sutter Health Notes 3.36% due 08/15/2050 | 15,000 | 13,368 | |||||||||
68,822 | |||||||||||
Motion Pictures & Services — 0.2% | |||||||||||
Magallanes, Inc. Company Guar. Notes 4.28% due 03/15/2032* | 30,000 | 30,129 | |||||||||
Magallanes, Inc. Company Guar. Bonds 5.14% due 03/15/2052* | 110,000 | 112,568 | |||||||||
142,697 |
57
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 3.88% due 07/15/2030* | $ | 65,000 | $ | 62,075 | |||||||
Office Automation & Equipment — 0.2% | |||||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029 | 89,000 | 81,774 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.28% due 12/01/2028 | 10,000 | 9,419 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.57% due 12/01/2031 | 10,000 | 9,265 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 4.13% due 05/01/2025 | 10,000 | 10,052 | |||||||||
Xerox Holdings Corp. Company Guar. Notes 5.50% due 08/15/2028* | 40,000 | 39,010 | |||||||||
149,520 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Apache Corp. Senior Notes 4.88% due 11/15/2027 | 30,000 | 30,750 | |||||||||
ConocoPhillips Co. Company Guar. Notes 3.80% due 03/15/2052 | 5,000 | 5,085 | |||||||||
ConocoPhillips Co. Company Guar. Notes 4.03% due 03/15/2062* | 5,000 | 5,068 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.75% due 01/15/2031* | 10,000 | 10,938 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 3.50% due 12/01/2029 | 5,000 | 4,952 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 9,000 | 11,107 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 25,000 | 30,647 | |||||||||
Ovintiv, Inc. Company Guar. Notes 7.38% due 11/01/2031 | 30,000 | 36,778 | |||||||||
135,325 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 2.94% due 06/04/2051 | 20,000 | 17,044 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.00% due 02/24/2050 | 10,000 | 8,632 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.06% due 06/17/2041 | 5,000 | 4,485 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.38% due 02/08/2061 | $ | 15,000 | $ | 13,388 | |||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030 | 30,000 | 30,528 | |||||||||
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040 | 25,000 | 27,033 | |||||||||
101,110 | |||||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025 | 25,000 | 26,008 | |||||||||
Oil-U.S. Royalty Trusts — 0.0% | |||||||||||
Viper Energy Partners LP Company Guar. Notes 5.38% due 11/01/2027* | 33,000 | 33,614 | |||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. Senior Notes 1.25% due 03/15/2026 | 55,000 | 51,409 | |||||||||
CVS Health Corp. Senior Notes 4.13% due 04/01/2040 | 10,000 | 10,183 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 20,000 | 22,599 | |||||||||
84,191 | |||||||||||
Pipelines — 0.4% | |||||||||||
Energy Transfer LP Senior Notes 6.13% due 12/15/2045 | 80,000 | 88,258 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.30% due 02/15/2053 | 5,000 | 4,264 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 10,000 | 10,037 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.95% due 10/15/2054 | 10,000 | 10,866 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 30,000 | 28,801 | |||||||||
MPLX LP Senior Notes 1.75% due 03/01/2026 | 10,000 | 9,382 | |||||||||
MPLX LP Senior Notes 4.95% due 03/14/2052 | 30,000 | 31,317 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,364 |
58
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
NGPL PipeCo LLC Senior Notes 3.25% due 07/15/2031* | $ | 15,000 | $ | 14,007 | |||||||
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030 | 25,000 | 23,434 | |||||||||
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026 | 10,000 | 10,759 | |||||||||
ONEOK, Inc. Company Guar. Notes 6.35% due 01/15/2031 | 5,000 | 5,783 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030 | 25,000 | 26,147 | |||||||||
Targa Resources Corp. Company Guar. Notes 4.20% due 02/01/2033 | 15,000 | 15,151 | |||||||||
Transcontinental Gas Pipe Line Co., LLC Senior Notes 3.25% due 05/15/2030 | 10,000 | 9,767 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 30,000 | 30,964 | |||||||||
324,301 | |||||||||||
Real Estate Investment Trusts — 0.4% | |||||||||||
American Tower Corp. Senior Notes 1.45% due 09/15/2026 | 15,000 | 13,704 | |||||||||
American Tower Corp. Senior Notes 1.50% due 01/31/2028 | 5,000 | 4,426 | |||||||||
American Tower Corp. Senior Notes 2.40% due 03/15/2025 | 20,000 | 19,477 | |||||||||
American Tower Corp. Senior Notes 3.65% due 03/15/2027 | 15,000 | 14,998 | |||||||||
EPR Properties Senior Notes 3.60% due 11/15/2031 | 15,000 | 13,601 | |||||||||
EPR Properties Senior Notes 3.75% due 08/15/2029 | 15,000 | 14,043 | |||||||||
EPR Properties Company Guar. Notes 4.95% due 04/15/2028 | 40,000 | 40,105 | |||||||||
Equinix, Inc. Senior Notes 2.00% due 05/15/2028 | 15,000 | 13,539 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 3.25% due 01/15/2032 | 15,000 | 13,610 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031 | $ | 25,000 | $ | 24,247 | |||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 20,000 | 21,011 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028 | 10,000 | 10,763 | |||||||||
Realty Income Corp. Senior Notes 2.85% due 12/15/2032 | 5,000 | 4,713 | |||||||||
Realty Income Corp. Senior Notes 3.40% due 01/15/2028 | 5,000 | 4,994 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 40,000 | 39,376 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 50,000 | 50,010 | |||||||||
302,617 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 3.88% due 02/15/2031 | 20,000 | 18,850 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 4.88% due 01/15/2028 | 40,000 | 40,632 | |||||||||
59,482 | |||||||||||
Retail-Apparel/Shoe — 0.2% | |||||||||||
Gap, Inc. Company Guar. Notes 3.63% due 10/01/2029* | 69,000 | 61,200 | |||||||||
Gap, Inc. Company Guar. Notes 3.88% due 10/01/2031* | 61,000 | 53,137 | |||||||||
114,337 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 4.50% due 03/01/2028 | 20,000 | 19,212 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040 | 30,000 | 28,922 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.35% due 04/01/2027 | 5,000 | 5,034 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.75% due 04/01/2032 | 5,000 | 5,058 | |||||||||
39,014 |
59
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Pawn Shops — 0.1% | |||||||||||
FirstCash, Inc. Company Guar. Notes 4.63% due 09/01/2028* | $ | 50,000 | $ | 46,562 | |||||||
FirstCash, Inc. Company Guar. Notes 5.63% due 01/01/2030* | 45,000 | 43,349 | |||||||||
89,911 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 25,000 | 25,311 | |||||||||
McDonald's Corp. Senior Notes 3.63% due 09/01/2049 | 25,000 | 23,924 | |||||||||
49,235 | |||||||||||
Schools — 0.1% | |||||||||||
Howard University Notes 2.65% due 10/01/2028 | 5,000 | 4,667 | |||||||||
Howard University Notes 2.80% due 10/01/2030 | 5,000 | 4,695 | |||||||||
Howard University Notes 2.90% due 10/01/2031 | 40,000 | 37,030 | |||||||||
46,392 | |||||||||||
Telephone-Integrated — 0.3% | |||||||||||
AT&T, Inc. Senior Notes 3.50% due 02/01/2061 | 40,000 | 33,615 | |||||||||
AT&T, Inc. Senior Notes 3.55% due 09/15/2055 | 39,000 | 34,376 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 06/01/2051 | 40,000 | 36,340 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 09/15/2059 | 2,000 | 1,745 | |||||||||
AT&T, Inc. Senior Notes 3.80% due 12/01/2057 | 25,000 | 22,795 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 5,000 | 5,290 | |||||||||
Verizon Communications, Inc. Senior Bonds 2.85% due 09/03/2041 | 25,000 | 22,029 | |||||||||
Verizon Communications, Inc. Senior Notes 3.15% due 03/22/2030 | 70,000 | 68,873 | |||||||||
225,063 | |||||||||||
Tobacco — 0.1% | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028 | 40,000 | 35,955 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Tobacco (continued) | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | $ | 25,000 | $ | 24,693 | |||||||
BAT Capital Corp. Company Guar. Notes 4.74% due 03/16/2032 | 50,000 | 50,303 | |||||||||
110,951 | |||||||||||
Transactional Software — 0.1% | |||||||||||
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028* | 119,000 | 112,455 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Union Pacific Corp. Senior Notes 2.38% due 05/20/2031 | 35,000 | 32,753 | |||||||||
Union Pacific Corp. Senior Notes 2.80% due 02/14/2032 | 15,000 | 14,404 | |||||||||
Union Pacific Corp. Senior Notes 2.97% due 09/16/2062 | 5,000 | 4,228 | |||||||||
51,385 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024* | 30,000 | 29,572 | |||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025* | 25,000 | 25,272 | |||||||||
54,844 | |||||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 10,000 | 10,362 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $10,842,602) | 10,279,637 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.2% | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Rogers Communications, Inc. Company Guar. Notes 3.80% due 03/15/2032* | 15,000 | 14,860 | |||||||||
Rogers Communications, Inc. Company Guar. Notes 4.55% due 03/15/2052* | 30,000 | 29,970 | |||||||||
44,830 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
Carnival Corp. Senior Sec. Notes 4.00% due 08/01/2028* | 30,000 | 27,900 | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049 | 5,000 | 5,323 |
60
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | $ | 25,000 | $ | 25,344 | |||||||
Enterprise Software/Service — 0.1% | |||||||||||
Open Text Corp. Company Guar. Notes 3.88% due 12/01/2029* | 50,000 | 47,500 | |||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust Company Guar. Notes 3.30% due 01/30/2032 | 150,000 | 135,239 | |||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027 | 15,000 | 13,636 | |||||||||
Royalty Pharma PLC Company Guar. Notes 2.15% due 09/02/2031 | 60,000 | 51,614 | |||||||||
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030 | 5,000 | 4,372 | |||||||||
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050 | 10,000 | 8,294 | |||||||||
77,916 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027* | 50,000 | 49,267 | |||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030 | 30,000 | 28,891 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 10,000 | 11,015 | |||||||||
39,906 | |||||||||||
Networking Products — 0.1% | |||||||||||
Nokia Oyj Senior Notes 4.38% due 06/12/2027 | 45,000 | 45,647 | |||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 20,000 | 23,825 | |||||||||
69,472 | |||||||||||
Oil Companies-Exploration & Production — 0.1% | |||||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.50% due 03/30/2024* | 15,000 | 14,816 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.88% due 03/30/2026* | 10,000 | 9,650 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 5.88% due 03/30/2031* | $ | 30,000 | $ | 28,568 | |||||||
Leviathan Bond, Ltd. Senior Sec. Notes 6.50% due 06/30/2027* | 50,000 | 51,158 | |||||||||
104,192 | |||||||||||
Oil Companies-Integrated — 0.1% | |||||||||||
Ecopetrol SA Senior Notes 4.63% due 11/02/2031 | 60,000 | 54,501 | |||||||||
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026 | 10,000 | 9,587 | |||||||||
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040 | 20,000 | 20,133 | |||||||||
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050 | 10,000 | 10,110 | |||||||||
Shell International Finance BV Company Guar. Notes 2.88% due 11/26/2041 | 10,000 | 8,987 | |||||||||
Shell International Finance BV Company Guar. Notes 3.00% due 11/26/2051 | 10,000 | 8,945 | |||||||||
Shell International Finance BV Company Guar. Notes 3.25% due 04/06/2050 | 15,000 | 14,068 | |||||||||
126,331 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028* | 85,000 | 80,540 | |||||||||
Semiconductor Components-Integrated Circuits — 0.1% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 50,000 | 51,462 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026* | 8,000 | 8,496 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028* | 10,000 | 11,005 | |||||||||
70,963 | |||||||||||
Tobacco — 0.1% | |||||||||||
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026 | 30,000 | 27,563 | |||||||||
BAT International Finance PLC Company Guar. Notes 4.45% due 03/16/2028 | 50,000 | 50,190 | |||||||||
77,753 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $1,032,239) | 982,476 |
61
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES — 0.9% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029 | $ | 5,000 | $ | 5,275 | |||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 16,401 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 45,000 | 49,061 | |||||||||
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040 | 10,000 | 9,979 | |||||||||
County of Riverside, CA Revenue Bonds 2.86% due 02/15/2026 | 70,000 | 69,603 | |||||||||
County of Riverside, CA Revenue Bonds 3.07% due 02/15/2028 | 70,000 | 69,878 | |||||||||
Florida State Board of Administration Finance Corp. Revenue Bonds Series A 1.26% due 07/01/2025 | 65,000 | 61,745 | |||||||||
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045 | 30,000 | 32,328 | |||||||||
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049 | 80,000 | 91,535 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 19,000 | 25,357 | |||||||||
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035 | 80,000 | 82,730 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 85,000 | 100,405 | |||||||||
State of California General Obligation Bonds 7.30% due 10/01/2039 | 15,000 | 21,112 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 33,091 | 33,681 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,198 | |||||||||
Total Municipal Bonds & Notes (cost $663,146) | 679,288 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES — 17.2% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.5% | |||||||||||
2.50% due 01/01/2028 | $ | 1,749 | $ | 1,734 | |||||||
2.50% due 04/01/2028 | 5,775 | 5,727 | |||||||||
3.00% due 08/01/2027 | 1,804 | 1,821 | |||||||||
3.50% due 03/01/2042 | 3,031 | 3,096 | |||||||||
3.50% due 08/01/2042 | 11,199 | 11,441 | |||||||||
3.50% due 09/01/2043 | 10,401 | 10,625 | |||||||||
4.00% due 10/01/2043 | 10,200 | 10,605 | |||||||||
4.50% due 01/01/2039 | 409 | 435 | |||||||||
5.00% due 05/01/2034 | 6,839 | 7,359 | |||||||||
5.50% due 07/01/2034 | 2,569 | 2,781 | |||||||||
5.50% due 05/01/2037 | 953 | 1,048 | |||||||||
6.00% due 08/01/2026 | 4,174 | 4,457 | |||||||||
6.50% due 05/01/2029 | 464 | 500 | |||||||||
7.50% due 08/01/2023 | 5 | 5 | |||||||||
Federal Home Loan Mtg. Corp. FRS 1.74% (6 ML+1.49%) due 02/01/2037 | 450 | 464 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(1)(5)(6) | 174,620 | 7,662 | |||||||||
Series K064, Class X1 0.60% due 03/25/2027(1)(5)(6) | 299,755 | 7,653 | |||||||||
Series K122, Class X1 0.88% due 11/25/2030(1)(5)(6) | 99,814 | 6,075 | |||||||||
Series K121, Class X1 1.03% due 10/25/2030(1)(5)(6) | 111,116 | 7,722 | |||||||||
Series K114, Class X1 1.12% due 06/25/2030(1)(5)(6) | 204,448 | 15,344 | |||||||||
Series K104, Class X1 1.12% due 01/25/2030(1)(5)(6) | 167,844 | 11,959 | |||||||||
Series K111, Class X1 1.57% due 05/25/2030(1)(5)(6) | 99,660 | 10,321 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(1) | 68,000 | 69,605 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(2) | 13,535 | 13,779 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 2.11% (1 ML+1.65%) due 04/25/2043*(2) | 7,401 | 7,382 |
62
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2019-HQA3, Class M2 2.31% (1 ML + 1.85%) due 09/25/2049*(2) | $ | 24,823 | $ | 24,784 | |||||||
Series 2019-DNA3, Class M2 2.51% (1 ML + 2.05%) due 07/25/2049*(2) | 26,937 | 26,937 | |||||||||
Series 2019-HQA1, Class M2 2.81% (1 ML + 2.35%) due 02/25/2049*(2) | 54,294 | 54,294 | |||||||||
Series 2019-DNA2, Class M2 2.91% (1 ML+2.45%) due 03/25/2049*(2) | 36,970 | 37,016 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(2) | 13,622 | 13,503 | |||||||||
Series 3964, Class MD 2.00% due 01/15/2041(2) | 682 | 676 | |||||||||
Series 4961, Class JB 2.50% due 12/15/2042(2) | 28,787 | 27,971 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(2) | 9,555 | 9,497 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(2) | 210 | 215 | |||||||||
414,493 | |||||||||||
Federal National Mtg. Assoc. — 1.3% | |||||||||||
2.50% due 02/01/2043 | 30,396 | 29,383 | |||||||||
2.50% due 03/01/2043 | 66,657 | 64,427 | |||||||||
2.64% due 03/01/2027 | 25,747 | 25,630 | |||||||||
2.78% due 03/01/2027 | 58,423 | 58,528 | |||||||||
2.97% due 06/01/2027 | 100,169 | 100,982 | |||||||||
3.00% due 12/01/2027 | 5,483 | 5,541 | |||||||||
3.00% due 01/01/2028 | 4,473 | 4,521 | |||||||||
4.50% due 01/01/2039 | 1,091 | 1,162 | |||||||||
4.50% due 06/01/2039 | 5,813 | 6,032 | |||||||||
4.50% due 09/01/2039 | 2,434 | 2,592 | |||||||||
4.50% due 05/01/2041 | 2,085 | 2,170 | |||||||||
5.00% due 05/01/2035 | 908 | 983 | |||||||||
5.00% due 07/01/2040 | 16,803 | 18,029 | |||||||||
5.50% due 12/01/2029 | 747 | 795 | |||||||||
5.50% due 06/01/2035 | 60,274 | 65,797 | |||||||||
5.50% due 06/01/2036 | 28,275 | 30,938 | |||||||||
5.50% due 08/01/2037 | 6,435 | 7,052 | |||||||||
5.50% due 06/01/2038 | 3,393 | 3,716 | |||||||||
6.00% due 12/01/2033 | 3,505 | 3,876 | |||||||||
6.00% due 05/01/2034 | 2,794 | 3,103 | |||||||||
6.00% due 08/01/2034 | 537 | 597 | |||||||||
6.00% due 11/01/2038 | 683 | 763 | |||||||||
7.00% due 06/01/2037 | 6,004 | 6,819 | |||||||||
Federal National Mtg. Assoc. Series 415, Class A3 STRIPS 3.00% due 11/25/2042(2) | 16,741 | 16,717 | |||||||||
Federal National Mtg. Assoc. FRS 1.85% (12 ML+1.57%) due 05/01/2037 | 729 | 756 | |||||||||
2.07% (12 ML+1.82%) due 10/01/2040 | 647 | 673 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.56% (1 ML +2.10%) due 06/25/2039*(2) | $ | 673 | $ | 673 | |||||||
Series 2019-R03, Class 1M2 2.61% (1 ML+2.15%) due 09/25/2031*(2) | 4,100 | 4,100 | |||||||||
Series 2019-HRP1, Class M2 2.61% (1 ML+2.15%) due 11/25/2039*(2) | 14,813 | 14,575 | |||||||||
Series 2017-C01, Class 1M2 4.01% (1 ML+3.55%) due 07/25/2029(2) | 18,031 | 18,355 | |||||||||
Series 2016-C07, Class 2M2 4.81% (1 ML+4.35%) due 05/25/2029(2) | 31,748 | 33,079 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(2) | 19,574 | 19,065 | |||||||||
Series 2012-128, Class PD 1.50% due 06/25/2042(2) | 27,581 | 26,645 | |||||||||
Series 2013-77, Class BP 1.70% due 06/25/2043(2) | 12,720 | 12,571 | |||||||||
Series 2011-117, Class MA 2.00% due 08/25/2040(2) | 1,209 | 1,200 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(2) | 6,598 | 6,369 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(2) | 11,158 | 10,739 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(2) | 10,044 | 9,870 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(2) | 14,686 | 14,377 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(2) | 53,666 | 52,159 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(2) | 15,920 | 15,959 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(2) | 8,341 | 8,371 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(2) | 7,042 | 6,979 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(2) | 22,212 | 21,831 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(2) | 31,424 | 31,239 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(2) | 8,719 | 8,788 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(2) | 11,450 | 11,518 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(2) | 1,138 | 1,140 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(2) | 10,417 | 10,360 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(2) | 19,241 | 19,149 |
63
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(2) | $ | 19,165 | $ | 19,166 | |||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(2) | 23,205 | 23,599 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(2) | 13,341 | 13,343 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(2) | 12,293 | 12,235 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(2) | 9,208 | 9,171 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(2) | 16,944 | 16,935 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(2) | 20,824 | 21,022 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(2) | 17,044 | 17,349 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(2) | 11,919 | 12,019 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2019-M21, Class X3 1.20% due 06/25/2034(1)(5)(6) | 361,711 | 37,178 | |||||||||
1,002,710 | |||||||||||
Government National Mtg. Assoc. — 3.5% | |||||||||||
2.00% due April 30 TBA | 50,000 | 47,562 | |||||||||
2.50% due April 30 TBA | 175,000 | 169,914 | |||||||||
2.50% due May 30 TBA | 175,000 | 169,538 | |||||||||
3.00% due April 30 TBA | 475,000 | 469,891 | |||||||||
3.00% due May 30 TBA | 450,000 | 443,999 | |||||||||
3.50% due April 30 TBA | 1,200,000 | 1,207,523 | |||||||||
4.00% due 07/15/2041 | 10,158 | 10,620 | |||||||||
4.00% due 08/15/2041 | 3,211 | 3,401 | |||||||||
4.00% due 10/15/2041 | 3,812 | 3,965 | |||||||||
4.00% due April 30 TBA | 75,000 | 76,529 | |||||||||
4.50% due 06/15/2041 | 36,362 | 39,050 | |||||||||
6.00% due 11/15/2028 | 6,715 | 7,225 | |||||||||
7.00% due 07/15/2033 | 2,848 | 3,097 | |||||||||
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(2) | 14,555 | 14,490 | |||||||||
Series 2015-151, Class BA 1.70% due 10/20/2045(2) | 6,573 | 6,578 | |||||||||
Series 2013-37, Class LG 2.00% due 01/20/2042(2) | 12,642 | 12,556 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(2) | 221 | 236 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(2) | 2,215 | 2,407 | |||||||||
2,688,581 | |||||||||||
Uniform Mtg. Backed Securities — 11.9% | |||||||||||
1.50% due April 15 TBA | 425,000 | 402,986 | |||||||||
2.00% due April 15 TBA | 450,000 | 437,098 | |||||||||
2.00% due April 30 TBA | 1,845,000 | 1,713,453 | |||||||||
2.00% due June 30 TBA | 905,000 | 837,052 |
Security Description | Principal Amount(8) | Value (Note 2) | |||||||||
Uniform Mtg. Backed Securities (continued) | |||||||||||
2.50% due April 30 TBA | $ | 1,850,000 | $ | 1,767,328 | |||||||
2.50% due May 30 TBA | 1,825,000 | 1,739,327 | |||||||||
3.00% due April 30 TBA | 1,050,000 | 1,028,205 | |||||||||
3.50% due April 30 TBA | 600,000 | 601,512 | |||||||||
4.00% due April 30 TBA | 625,000 | 638,477 | |||||||||
9,165,438 | |||||||||||
Total U.S. Government Agencies (cost $13,441,137) | 13,271,222 | ||||||||||
U.S. GOVERNMENT TREASURIES — 9.1% | |||||||||||
United States Treasury Bonds — 5.5% | |||||||||||
0.13% due 02/15/2051 TIPS(9) | 26,990 | 28,093 | |||||||||
0.88% due 02/15/2047 TIPS(9) | 151,369 | 183,583 | |||||||||
1.00% due 02/15/2048 TIPS(9) | 28,495 | 35,818 | |||||||||
1.25% due 05/15/2050 | 591,000 | 441,680 | |||||||||
1.38% due 08/15/2050 | 190,000 | 146,552 | |||||||||
2.25% due 08/15/2046 | 50,000 | 46,861 | |||||||||
2.38% due 11/15/2049 | 185,000 | 181,033 | |||||||||
2.50% due 02/15/2045 | 5,000 | 4,883 | |||||||||
2.88% due 08/15/2045 | 370,000 | 386,578 | |||||||||
3.13% due 08/15/2044 | 600,000 | 649,711 | |||||||||
3.38% due 05/15/2044(11) | 1,370,000 | 1,540,715 | |||||||||
3.63% due 08/15/2043 | 75,000 | 87,146 | |||||||||
3.63% due 02/15/2044 | 291,000 | 338,947 | |||||||||
3.75% due 11/15/2043 | 140,000 | 165,801 | |||||||||
4,237,401 | |||||||||||
United States Treasury Notes — 3.6% | |||||||||||
0.63% due 05/15/2030 | 1,105,000 | 963,897 | |||||||||
0.63% due 08/15/2030 | 1,225,000 | 1,064,937 | |||||||||
0.75% due 07/15/2028 TIPS(9) | 89,579 | 98,185 | |||||||||
1.38% due 11/15/2031 | 405,000 | 371,777 | |||||||||
2.75% due 02/15/2028 | 320,000 | 325,325 | |||||||||
2,824,121 | |||||||||||
Total U.S. Government Treasuries (cost $7,543,515) | 7,061,522 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.8% | |||||||||||
Sovereign — 2.8% | |||||||||||
Arab Republic of Egypt Senior Notes 6.38% due 04/11/2031 | EUR | 100,000 | 94,500 | ||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049* | 150,000 | 140,252 | |||||||||
Federative Republic of Brazil Notes 10.00% due 01/01/2031 | BRL | 786,000 | 155,236 | ||||||||
Government of Hungary Senior Notes 1.63% due 04/28/2032 | EUR | 125,000 | 131,077 | ||||||||
Government of Romania Bonds 2.63% due 12/02/2040* | EUR | 65,000 | 54,622 |
64
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount(8) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
Government of Romania Notes 2.75% due 04/14/2041 | EUR | 25,000 | $ | 21,118 | |||||||
Government of Romania Senior Notes 3.38% due 02/08/2038 | EUR | 25,000 | 23,884 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 42,000 | 45,552 | ||||||||
Kingdom of Morocco Senior Notes 2.00% due 09/30/2030 | EUR | 100,000 | 96,573 | ||||||||
Kingdom of Saudi Arabia Senior Notes 2.00% due 07/09/2039 | EUR | 100,000 | 101,942 | ||||||||
Republic of Benin Senior Notes 4.95% due 01/22/2035* | EUR | 100,000 | 90,049 | ||||||||
Republic of Chile Senior Notes 1.25% due 01/22/2051 | EUR | 100,000 | 82,013 | ||||||||
Republic of Colombia Senior Notes 3.88% due 04/25/2027 | 200,000 | 192,008 | |||||||||
Republic of Croatia Notes 1.50% due 06/17/2031 | EUR | 100,000 | 103,711 | ||||||||
Republic of Indonesia Senior Notes 1.10% due 03/12/2033 | EUR | 100,000 | 96,239 | ||||||||
Republic of North Macedonia Senior Notes 2.75% due 01/18/2025 | EUR | 100,000 | 107,607 | ||||||||
Republic of Philippines Senior Notes 1.20% due 04/28/2033 | EUR | 100,000 | 98,312 | ||||||||
Republic of Philippines Senior Notes 1.75% due 04/28/2041 | EUR | 100,000 | 93,893 | ||||||||
Russian Federation Bonds 5.90% due 03/12/2031†(4)(10) | RUB | 10,545,000 | �� | 3,894 | |||||||
United Mexican States Senior Notes 1.45% due 10/25/2033 | EUR | 130,000 | 121,090 | ||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 78,000 | 76,816 | |||||||||
United Mexican States Bonds 7.75% due 05/29/2031 | MXN | 5,109,700 | 247,512 | ||||||||
Total Foreign Government Obligations (cost $2,736,118) | 2,177,900 | ||||||||||
OPTIONS — PURCHASED†(12) — 0.0% | |||||||||||
Over the Counter Call Options on Currency Contracts (cost $116,488) | 22,675,463 | 10,725 |
Security Description | Shares/ Principal Amount(8) | Value (Note 2) | |||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
ION Media Networks, Inc.†(4) | $ | 4 | $ | 14 | |||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | 10,000 | 52 | |||||||||
Total Escrows And Litigation Trusts (cost $0) | 66 | ||||||||||
Total Long-Term Investment Securities (cost $90,717,658) | 86,841,348 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.1% | |||||||||||
Registered Investment Companies — 1.1% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 0.17%(13) (cost $824,042) | 824,042 | 824,042 | |||||||||
REPURCHASE AGREEMENTS — 2.0% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(14) | 325,000 | 325,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(14) | 260,000 | 260,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(14) | 225,000 | 225,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(14) | 350,000 | 350,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(14) | 340,000 | 340,000 | |||||||||
Total Repurchase Agreements (cost $1,500,000) | 1,500,000 | ||||||||||
TOTAL INVESTMENTS (cost $93,041,700)(15) | 115.4 | % | 89,165,390 | ||||||||
Liabilities in excess of other assets | (15.4 | ) | (11,893,006 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 77,272,384 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $10,794,194 representing 14.0% of net assets.
(1) Commercial Mortgage Backed Security
(2) Collateralized Mortgage Obligation
(3) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2022.
(4) Securities classified as Level 3 (see Note 2).
(5) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(6) Interest Only
(7) Collateralized Loan Obligation
(8) Denominated in United States dollars unless otherwise indicated.
65
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
(9) Principal amount of security is adjusted for inflation.
(10) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition,
certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||||||||||
Russian Federation Bonds 5.90% due 03/12/2031 | 05/27/2021 | RUB | 10,545,000 | $ | 132,082 | $ | 3,894 | $ | 0 | 0.00 | % |
(11) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(12) Options — Purchased
Over the Counter Call Options on Currency Contracts
Issue | Counterparty | Expiration Month | Strike Price | Notional Amount(000's) | Premiums Paid | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2700 CNY per $1 USD | Goldman Sachs International | November 2022 | CNY 7.27 | $ | 8,050 | $ | 38,643 | $ | 7,687 | $ | (30,956 | ) | |||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY 7.28 | 8,387 | 39,076 | 2,030 | (37,046) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY 7.38 | 2,422 | 12,851 | 523 | (12,328) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3100 CNY per $1 USD | JPMorgan Chase Bank | August 2022 | CNY 7.31 | 3,816 | 25,918 | 485 | (25,433) | ||||||||||||||||||||||||
$ | 116,488 | $ | 10,725 | $ | (105,763 | ) |
CNY — Chinese Yuan
USD — United States Dollar
(13) The rate shown is the 7-day yield as of March 31, 2022.
(14) See Note 2 for details of Joint Repurchase Agreements.
(15) See Note 4 for cost of investments on a tax basis.
BRL — Brazilian Real
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EUR — Euro Currency
MXN — Mexican Peso
RUB — Russian Ruble
SCRT — Seasoned Credit Risk Transfer Trust
STRIPS — Separate Trading of Registered Interest and Principal Securities
REMIC — Real Estate Mortgage Investment Conduit
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2022 and unless noted otherwise, the dates shown are the original maturity dates.
66
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
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 | |||||||||||||||||||||
7 | Short | Euro-Bund | June 2022 | $ | 1,275,318 | $ | 1,228,623 | $ | 46,695 | ||||||||||||||||||
2 | Short | Euro-BUXL 30 Year Bonds | June 2022 | 442,123 | 411,967 | 30,156 | |||||||||||||||||||||
5 | Short | U.S. Treasury 10 Year Ultra Notes | June 2022 | 697,631 | 677,343 | 20,288 | |||||||||||||||||||||
14 | Short | U.S. Treasury Long Bonds | June 2022 | 2,156,877 | 2,100,875 | 56,002 | |||||||||||||||||||||
7 | Short | U.S. Treasury Ultra Bonds | June 2022 | 1,277,908 | 1,239,875 | 38,033 | |||||||||||||||||||||
$ | 191,174 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
3 | Long | E-Mini Russell 2000 Index | June 2022 | $ | 310,151 | $ | 309,960 | $ | (191 | ) | |||||||||||||||||
12 | Short | U.S. Treasury 10 Year Notes | June 2022 | 1,472,688 | 1,474,500 | (1,812 | ) | ||||||||||||||||||||
2 | Long | U.S. Treasury 2 Year Notes | June 2022 | 428,312 | 423,843 | (4,469 | ) | ||||||||||||||||||||
6 | Long | U.S. Treasury 5 Year Notes | June 2022 | 691,594 | 688,125 | (3,469 | ) | ||||||||||||||||||||
$ | (9,941 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 181,233 |
* 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. | MXN | 3,680,000 | USD | 173,341 | 06/15/2022 | $ | — | $ | (9,329 | ) | |||||||||||||||||||||
Deutsche Bank AG | EUR | 1,286,000 | USD | 1,441,117 | 06/15/2022 | 14,638 | — | ||||||||||||||||||||||||
Goldman Sachs International | BRL | 740,000 | USD | 142,675 | 06/15/2022 | — | (9,611 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 56,000 | USD | 61,592 | 06/15/2022 | — | (526 | ) | |||||||||||||||||||||||
Natwest Markets PLC | USD | 44,950 | EUR | 41,000 | 06/15/2022 | 528 | — | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 27,750 | EUR | 25,000 | 06/15/2022 | — | (19 | ) | |||||||||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 15,166 | $ | (19,485 | ) |
BRL — Brazilian Real
EUR — Euro Currency
MXN — Mexican Peso
USD — United States Dollar
67
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 43,280,274 | $ | 709,230 | ** | $ | — | $ | 43,989,504 | ||||||||||
Asset Backed Securities | — | 8,389,008 | — | 8,389,008 | |||||||||||||||
U.S. Corporate Bonds & Notes | — | 10,279,637 | — | 10,279,637 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 982,476 | — | 982,476 | |||||||||||||||
Municipal Bonds & Notes | — | 679,288 | — | 679,288 | |||||||||||||||
U.S. Government Agencies | — | 13,271,222 | — | 13,271,222 | |||||||||||||||
U.S. Government Treasuries | — | 7,061,522 | — | 7,061,522 | |||||||||||||||
Foreign Government Obligations | — | 2,174,006 | 3,894 | 2,177,900 | |||||||||||||||
Options - Purchased | — | 10,725 | — | 10,725 | |||||||||||||||
Escrows and Litigation Trusts | — | 52 | 14 | 66 | |||||||||||||||
Short-Term Investment Securities | 824,042 | 824,042 | |||||||||||||||||
Repurchase Agreement | — | 1,500,000 | — | 1,500,000 | |||||||||||||||
Total Investments at Value | $ | 44,104,316 | $ | 45,057,166 | $ | 3,908 | $ | 89,165,390 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 191,174 | $ | — | $ | — | $ | 191,174 | |||||||||||
Forward Foreign Currency Contracts | — | 15,166 | — | 15,166 | |||||||||||||||
Total Other Financial Instruments | $ | 191,174 | $ | 15,166 | $ | — | $ | 206,340 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 9,941 | $ | — | $ | — | $ | 9,941 | |||||||||||
Forward Foreign Currency Contracts | — | 19,485 | — | 19,485 | |||||||||||||||
$ | 9,941 | $ | 19,485 | $ | — | $ | 29,426 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
68
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Uniform Mtg. Backed Securities | 20.3 | % | |||||
Diversified Financial Services | 18.5 | ||||||
United States Treasury Bonds | 9.8 | ||||||
Government National Mtg. Assoc. | 6.7 | ||||||
Computer Software | 6.5 | ||||||
E-Commerce/Services | 5.0 | ||||||
Sovereign | 4.6 | ||||||
United States Treasury Notes | 3.4 | ||||||
Diversified Banking Institutions | 3.4 | ||||||
Repurchase Agreements | 3.0 | ||||||
Enterprise Software/Service | 2.9 | ||||||
Federal National Mtg. Assoc. | 2.7 | ||||||
Entertainment Software | 2.5 | ||||||
Commercial Services-Finance | 2.0 | ||||||
Medical-Biomedical/Gene | 1.8 | ||||||
Semiconductor Equipment | 1.8 | ||||||
Internet Application Software | 1.8 | ||||||
Internet Content-Entertainment | 1.8 | ||||||
E-Commerce/Products | 1.8 | ||||||
Electric-Integrated | 1.7 | ||||||
Advertising Services | 1.7 | ||||||
Municipal Bonds & Notes | 1.7 | ||||||
Federal Home Loan Mtg. Corp. | 1.2 | ||||||
Cable/Satellite TV | 1.0 | ||||||
Internet Content-Information/News | 0.9 | ||||||
Finance-Other Services | 0.8 | ||||||
Communications Software | 0.8 | ||||||
Registered Investment Companies | 0.8 | ||||||
Pipelines | 0.7 | ||||||
Real Estate Investment Trusts | 0.7 | ||||||
Electronic Components-Semiconductors | 0.7 | ||||||
Banks-Super Regional | 0.6 | ||||||
Medical-Drugs | 0.5 | ||||||
Oil Companies-Exploration & Production | 0.5 | ||||||
Oil Companies-Integrated | 0.5 | ||||||
Medical Instruments | 0.5 | ||||||
Telephone-Integrated | 0.4 | ||||||
Medical-HMO | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Tobacco | 0.4 | ||||||
Insurance-Life/Health | 0.4 | ||||||
Finance-Credit Card | 0.3 | ||||||
Cellular Telecom | 0.3 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Computer Services | 0.3 | ||||||
Office Automation & Equipment | 0.3 | ||||||
Applications Software | 0.3 | ||||||
Motion Pictures & Services | 0.3 | ||||||
Apparel Manufacturers | 0.3 | ||||||
Hazardous Waste Disposal | 0.3 | ||||||
Aerospace/Defense | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Retail-Restaurants | 0.3 | ||||||
Retail-Apparel/Shoe | 0.3 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Transactional Software | 0.2 | ||||||
Computers | 0.2 | ||||||
Medical Products | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 |
Brewery | 0.2 | % | |||||
Retail-Pawn Shops | 0.2 | ||||||
Building-Residential/Commercial | 0.2 | ||||||
Pharmacy Services | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Diagnostic Kits | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Internet Security | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Networking Products | 0.1 | ||||||
Advertising Sales | 0.1 | ||||||
Investment Companies | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Music | 0.1 | ||||||
Trucking/Leasing | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Transport-Rail | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Schools | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Electronic Components-Misc. | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Oil-U.S. Royalty Trusts | 0.1 | ||||||
Electric-Transmission | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Cruise Lines | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
127.9 | % |
* Calculated as a percentage of net assets
69
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 54.4 | % | |||||
Aa | 0.8 | ||||||
A | 7.6 | ||||||
Baa | 13.0 | ||||||
Ba | 7.6 | ||||||
B | 1.3 | ||||||
Caa | 0.5 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 14.6 | ||||||
100.0 | % |
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
70
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 31.2% | |||||||||||
Advertising Services — 1.7% | |||||||||||
Trade Desk, Inc., Class A† | 11,561 | $ | 800,599 | ||||||||
Commercial Services-Finance — 1.8% | |||||||||||
Adyen NV†* | 174 | 343,749 | |||||||||
Block, Inc., Class A† | 3,758 | 509,585 | |||||||||
853,334 | |||||||||||
Communications Software — 0.8% | |||||||||||
Zoom Video Communications, Inc., Class A† | 3,294 | 386,156 | |||||||||
Computer Software — 6.5% | |||||||||||
Cloudflare, Inc., Class A† | 4,323 | 517,463 | |||||||||
Datadog, Inc., Class A† | 4,933 | 747,201 | |||||||||
Snowflake, Inc., Class A† | 3,877 | 888,337 | |||||||||
Twilio, Inc., Class A† | 1,160 | 191,180 | |||||||||
ZoomInfo Technologies, Inc.† | 12,073 | 721,241 | |||||||||
3,065,422 | |||||||||||
E-Commerce/Products — 1.8% | |||||||||||
Chewy, Inc., Class A† | 9,672 | 394,424 | |||||||||
Farfetch, Ltd., Class A† | 10,132 | 153,196 | |||||||||
Wayfair, Inc., Class A† | 2,505 | 277,504 | |||||||||
825,124 | |||||||||||
E-Commerce/Services — 4.7% | |||||||||||
Airbnb, Inc., Class A† | 4,237 | 727,747 | |||||||||
Match Group, Inc.† | 1,464 | 159,195 | |||||||||
MercadoLibre, Inc.† | 274 | 325,918 | |||||||||
Uber Technologies, Inc.† | 27,971 | 998,005 | |||||||||
2,210,865 | |||||||||||
Enterprise Software/Service — 2.4% | |||||||||||
Coupa Software, Inc.† | 3,504 | 356,112 | |||||||||
Veeva Systems, Inc., Class A† | 3,675 | 780,790 | |||||||||
1,136,902 | |||||||||||
Entertainment Software — 2.5% | |||||||||||
ROBLOX Corp., Class A† | 12,459 | 576,104 | |||||||||
Unity Software, Inc.† | 5,986 | 593,871 | |||||||||
1,169,975 | |||||||||||
Finance-Other Services — 0.5% | |||||||||||
Coinbase Global, Inc., Class A† | 1,291 | 245,109 | |||||||||
Internet Application Software — 1.8% | |||||||||||
Okta, Inc.† | 1,167 | 176,170 | |||||||||
Shopify, Inc., Class A† | 986 | 666,497 | |||||||||
842,667 | |||||||||||
Internet Content-Entertainment — 1.8% | |||||||||||
Snap, Inc., Class A† | 6,665 | 239,873 | |||||||||
Spotify Technology SA† | 1,662 | 250,995 | |||||||||
Twitter, Inc.† | 8,962 | 346,740 | |||||||||
837,608 | |||||||||||
Internet Content-Information/News — 0.9% | |||||||||||
IAC/InterActiveCorp† | 3,545 | 355,493 | |||||||||
Vimeo, Inc.† | 3,834 | 45,548 | |||||||||
401,041 | |||||||||||
Medical Instruments — 0.5% | |||||||||||
Intuitive Surgical, Inc.† | 719 | 216,908 |
Security Description | Shares/ Principal Amount(13) | Value (Note 2) | |||||||||
Medical-Biomedical/Gene — 1.7% | |||||||||||
Illumina, Inc.† | 465 | $ | 162,471 | ||||||||
Royalty Pharma PLC, Class A | 16,955 | 660,567 | |||||||||
823,038 | |||||||||||
Semiconductor Equipment — 1.8% | |||||||||||
ASML Holding NV | 1,270 | 848,270 | |||||||||
Total Common Stocks (cost $16,808,810) | 14,663,018 | ||||||||||
ASSET BACKED SECURITIES — 18.5% | |||||||||||
Diversified Financial Services — 18.5% | |||||||||||
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(2) | $ | 120,000 | 120,537 | ||||||||
510 Asset Backed Trust Series 2021-NPL2, Class A1 2.12% due 06/25/2061*(7) | 84,331 | 80,659 | |||||||||
510 Asset Backed Trust Series 2021-NPL1, Class A1 2.24% due 06/25/2061*(7) | 81,298 | 77,805 | |||||||||
Affirm Asset Securitization Trust Series 2020-Z1, Class A 3.46% due 10/15/2024* | 26,579 | 26,673 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 40,000 | 39,831 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(3)(4) | 37,123 | 36,646 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-2, Class A1 0.99% due 04/25/2066*(3)(4) | 28,203 | 26,904 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-R1, Class A1 0.99% due 04/25/2053*(3)(4) | 27,433 | 26,972 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-3, Class A1 1.07% due 05/25/2066*(3)(4) | 54,135 | 51,111 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-8, Class A1 1.82% due 11/25/2066*(4) | 46,129 | 43,204 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(3)(4) | 3,626 | 3,623 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.03% (1 ML+1.58%) due 10/25/2034 | 11,104 | 11,530 | |||||||||
Atrium XII FRS Series 12A, Class AR 1.09% (3 ML+0.83%) due 04/22/2027*(5) | 223,497 | 222,413 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.72% due 11/15/2050(2)(4)(6) | 979,998 | 32,300 | |||||||||
BANK VRS Series 2019-BN20, Class XA 0.85% due 09/15/2062(2)(4)(6) | 988,524 | 48,854 |
71
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(4) | $ | 43,529 | $ | 43,250 | |||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(4) | 27,994 | 27,579 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(4) | 26,035 | 25,867 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(4) | 26,502 | 26,374 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(4) | 27,303 | 27,100 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(4) | 35,758 | 35,376 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 1.25% (1 ML+0.85%) due 08/15/2036*(2) | 152,000 | 150,469 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.83% due 02/25/2036(3)(4) | 41,352 | 37,963 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.49% due 01/15/2051(2)(4)(6) | 202,603 | 4,535 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.51% due 07/15/2051(2)(4)(6) | 354,354 | 7,333 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.64% due 01/15/2052(2)(4)(6) | 962,045 | 31,379 | |||||||||
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.23% due 03/15/2062(2)(4)(6) | 337,043 | 19,558 | |||||||||
Benchmark Mtg. Trust VRS Series 2020-B22, Class XA 1.52% due 01/15/2054(2)(4)(6) | 163,590 | 16,979 | |||||||||
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.79% due 07/15/2053(2)(4)(6) | 99,761 | 9,504 | |||||||||
BlueMountain CLO XXIV, Ltd. FRS Series 2019-24A, Class AR 1.35% (3 ML + 1.10%) due 04/20/2034*(5) | 250,000 | 248,198 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(3)(4) | 16,728 | 16,784 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.77% (1 Yr USTYCR+2.40%) due 03/25/2036(3) | $ | 17,513 | $ | 17,251 | |||||||
COLT Funding LLC VRS Series 2021-1, Class A1 0.91% due 06/25/2066*(3)(4) | 42,827 | 39,418 | |||||||||
COLT Mtg. Loan Trust VRS Series 2021-HX1, Class A1 1.11% due 10/25/2066*(3)(4) | 89,067 | 82,865 | |||||||||
Commercial Mtg. Trust Series 2015-LC19, Class A4 3.18% due 02/10/2048(2) | 125,105 | 124,789 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(2) | 65,000 | 65,895 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(2) | 140,000 | 141,267 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(2) | 141,614 | 140,867 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(2) | 150,000 | 151,736 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(2) | 195,000 | 197,059 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(3) | 21,709 | 14,621 | |||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2021-NQM4, Class A1 1.10% due 05/25/2066*(3)(4) | 67,952 | 64,524 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.74% due 06/15/2057(2)(4)(6) | 1,091,676 | 19,306 | |||||||||
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(2) | 75,514 | 75,448 | |||||||||
CSMC Trust VRS Series 2022-NQM1, Class A1 2.27% due 11/25/2066*(3)(4) | 97,927 | 94,230 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(3)(4) | 29,318 | 28,504 | |||||||||
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.71% due 09/15/2053(2)(4)(6) | 100,752 | 8,534 | |||||||||
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(2) | 125,000 | 123,007 | |||||||||
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(2) | 68,745 | 68,483 |
72
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Domino's Pizza Master Issuer LLC Series 2021-1A, Class A2I 2.66% due 04/25/2051* | $ | 49,625 | $ | 46,123 | |||||||
Domino's Pizza Master Issuer LLC Series 2019-1A, Class A2 3.67% due 10/25/2049* | 49,000 | 47,072 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 58,050 | 58,325 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 35,000 | 34,972 | |||||||||
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025* | 85,000 | 84,699 | |||||||||
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025* | 25,000 | 24,903 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 2.22% due 05/25/2035(3)(4) | 30,606 | 30,556 | |||||||||
GCAT Trust VRS Series 2021-NQM2, Class A1 1.04% due 05/25/2066*(3)(4) | 71,576 | 67,704 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(2) | 125,000 | 124,808 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(2) | 30,445 | 31,841 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2020-GC45, Class XA 0.67% due 02/13/2053(2)(4)(6) | 996,835 | 40,192 | |||||||||
GS Mtg. Securities Corp. Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(2) | 97,000 | 95,435 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2018-GS10, Class XA 0.32% due 07/10/2051(2)(4)(6) | 1,185,711 | 22,531 | |||||||||
GS Mtg. Securities Corp. Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(2) | 140,000 | 141,465 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(2) | 100,000 | 99,956 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 2.52% due 04/25/2036(3)(4) | 3,832 | 2,885 | |||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.74% due 03/25/2047(3)(4) | 11,443 | 8,538 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 2.06% (1 ML + 1.60%) due 10/25/2028*(3) | 17,756 | 17,726 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.00% (1 ML+0.54%) due 05/25/2035(3) | $ | 24,451 | $ | 23,666 | |||||||
Imperial Fund Mtg. Trust Series 2022-NQM2, Class A1 3.64% due 03/25/2067*(3)(7) | 100,000 | 98,894 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(2) | 25,000 | 24,281 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2013-C16, Class A4 4.17% due 12/15/2046(2) | 68,000 | 68,873 | |||||||||
KKR CLO, Ltd. FRS Series 22A, Class A 1.40% (3 ML+0.00%) due 07/20/2031*(5) | 250,000 | 248,772 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(3)(7) | 67,806 | 67,668 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(3)(7) | 78,529 | 78,174 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-3, Class A1 2.73% (1 ML+1.50%) due 04/01/2024*(3) | 49,586 | 49,280 | |||||||||
LSTAR Securities Investment Trust Series 2021-1, Class A FRS 2.03% (1 ML+1.80%) due 02/01/2026*(3) | 51,044 | 50,625 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 2.73% (1 ML + 1.50%) due 05/01/2024*(3) | 45,862 | 45,182 | |||||||||
Madison Park Funding XXXVIII, Ltd. Series 2021-38A, Class A FRS 1.36% (3 ML + 1.12%) due 07/17/2034*(5) | 250,000 | 247,882 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.46% due 12/25/2034(3)(4) | 7,188 | 7,416 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.81% due 02/25/2035(3)(4) | 6,679 | 6,677 | |||||||||
MFRA Trust VRS Series 2021-NQM2, Class A1 1.03% due 11/25/2064*(3)(4) | 69,271 | 65,528 | |||||||||
MFRA Trust VRS Series 2021-NQM1, Class A1 1.15% due 04/25/2065*(3)(4) | 46,500 | 45,692 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 0.96% due 12/15/2047(2)(4)(6) | 216,648 | 4,244 |
73
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.34% due 06/15/2050(2)(4)(6) | $ | 104,933 | $ | 4,905 | |||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(3) | 21,117 | 11,489 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 1.02% (1 ML+0.28%) due 10/25/2035(3) | 32,605 | 31,670 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A1A 4.00% due 12/25/2057*(3)(4) | 40,417 | 40,774 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 1.21% (1 ML + 0.75%) due 01/25/2048*(3) | 44,582 | 44,293 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.96% (1 ML+1.50%) due 06/25/2057*(3) | 31,862 | 32,123 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-NQM4, Class A1 2.49% due 09/25/2059*(3)(4) | 21,361 | 21,231 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(3)(4) | 44,189 | 44,026 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(3)(4) | 35,240 | 35,251 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(3)(4) | 32,812 | 33,112 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(3)(4) | 58,161 | 58,321 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(3)(4) | 60,137 | 60,329 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(3)(4) | 47,537 | 47,709 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(3)(4) | 32,096 | 32,169 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(3)(4) | $ | 53,905 | $ | 54,249 | |||||||
NMLT Trust VRS Series 2021-INV1, Class A1 1.19% due 05/25/2056*(3)(4) | 86,879 | 81,622 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(3)(4) | 8,390 | 8,135 | |||||||||
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 1.86% (1 ML + 1.40%) due 07/25/2029*(3) | 7,561 | 7,561 | |||||||||
OBX Trust VRS Series 2022-NQM1, Class A1 2.31% due 11/25/2061*(3)(4) | 95,327 | 92,206 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.56% (1 ML+0.10%) due 02/25/2037 | 28,814 | 17,155 | |||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 1.35% (3 ML+1.05%) due 04/30/2027*(5) | 32,275 | 32,260 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2021-RN1, Class A1 1.99% due 02/25/2061*(7) | 87,099 | 82,973 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2022-NPL1, Class A1 2.98% due 01/25/2052*(7) | 96,155 | 93,049 | |||||||||
PRPM LLC Series 2021-5, Class A1 1.79% due 06/25/2026*(3)(7) | 91,205 | 86,461 | |||||||||
PRPM LLC Series 2021-3, Class A1 1.87% due 04/25/2026*(3)(7) | 83,401 | 79,684 | |||||||||
PRPM LLC Series 2021-4, Class A1 1.87% due 04/25/2026*(3)(7) | 84,298 | 80,234 | |||||||||
PRPM LLC Series 2021-9, Class A1 2.36% due 10/25/2026*(3)(7) | 87,839 | 83,964 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.59% (1 ML+0.13%) due 05/25/2037 | 62,618 | 50,382 | |||||||||
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(2) | 95,000 | 92,266 | |||||||||
SG Residential Mtg. Trust VRS Series 2021-1, Class A1 1.16% due 07/25/2061*(3)(4) | 62,339 | 58,872 | |||||||||
Sound Point CLO XXIX, Ltd. FRS Series 2021-1A, Class A 1.33% (3 ML+1.07%) due 04/25/2034*(5) | 250,000 | 248,196 |
74
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.96% (1 ML+0.25%) due 11/25/2036 | $ | 181,808 | $ | 175,497 | |||||||
Starwood Mtg. Residential Trust VRS Series 2021-3, Class A1 1.13% due 06/25/2056*(3)(4) | 69,968 | 66,328 | |||||||||
Starwood Mtg. Residential Trust VRS Series 2021-6, Class A1 1.92% due 11/25/2066*(3)(4) | 97,067 | 91,518 | |||||||||
Summit Issuer LLC Series 2020-1A, Class A2 2.29% due 12/20/2050* | 25,000 | 23,585 | |||||||||
Toorak Mtg. Corp. Series 2021-1, Class A1 2.24% due 06/25/2024*(3)(7) | 100,000 | 94,644 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(3)(4) | 32,238 | 32,238 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(3)(4) | 13,020 | 13,028 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(3)(4) | 47,788 | 47,331 | |||||||||
Towd Point Mtg. Trust VRS Series 2021-R1, Class A1 2.92% due 11/30/2060*(3)(4) | 96,394 | 93,784 | |||||||||
UBS-Barclays Commercial Mtg. Trust Series 2013-C5, Class A4 3.18% due 03/10/2046(2) | 80,000 | 80,209 | |||||||||
Venture 42 CLO, Ltd. FRS Series 2021-42A, Class A1A 1.37% (3 ML+1.13%) due 04/15/2034*(5) | 100,000 | 98,503 | |||||||||
Venture XIII CLO, Ltd. FRS Series 2021-43A, Class A1 1.48% (3 ML+1.24%) due 04/15/2034*(5) | 100,000 | 99,386 | |||||||||
Verus Securitization Trust VRS Series 2021-R2, Class A1 0.92% due 02/25/2064*(3)(4) | 48,041 | 47,046 | |||||||||
Verus Securitization Trust VRS Series 2021-7, Class A1 1.83% due 10/25/2066*(3)(4) | 92,286 | 87,216 | |||||||||
VOLT LLC Series 2021-NPL6, Class A1 2.24% due 04/25/2051*(7) | 73,823 | 71,393 | |||||||||
VOLT XCIV LLC Series 2021-NPL3, Class A1 2.24% due 02/27/2051*(7) | 72,554 | 69,707 | |||||||||
VOLT XCIX LLC Series 2021-NPL8, Class A1 2.12% due 04/25/2051*(7) | 73,456 | 70,196 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 0.90% due 09/15/2057(2)(4)(6) | $ | 549,566 | $ | 14,814 | |||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(2) | 105,000 | 105,835 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.15% due 05/15/2048(2)(4) | 10,000 | 9,507 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.60% due 10/25/2036(3)(4) | 10,548 | 10,254 | |||||||||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.37% due 06/15/2051* | 84,363 | 75,214 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 47,875 | 47,370 | |||||||||
Westlake Automobile Receivables Trust Series 2020-3A, Class D 1.65% due 02/17/2026* | 30,000 | 29,068 | |||||||||
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024* | 60,000 | 60,100 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(2) | 145,280 | 146,535 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(2) | 55,111 | 56,009 | |||||||||
Total Asset Backed Securities (cost $8,917,340) | 8,710,685 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 22.1% | |||||||||||
Advertising Sales — 0.1% | |||||||||||
Lamar Media Corp. Company Guar. Notes 3.63% due 01/15/2031 | 10,000 | 9,181 | |||||||||
Lamar Media Corp. Company Guar. Notes 3.75% due 02/15/2028 | 20,000 | 18,991 | |||||||||
Lamar Media Corp. Company Guar. Notes 4.88% due 01/15/2029 | 40,000 | 39,700 | |||||||||
67,872 | |||||||||||
Aerospace/Defense — 0.3% | |||||||||||
Boeing Co. Senior Notes 5.04% due 05/01/2027 | 15,000 | 15,818 | |||||||||
Boeing Co. Senior Notes 5.15% due 05/01/2030 | 40,000 | 42,663 |
75
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Aerospace/Defense (continued) | |||||||||||
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040 | $ | 20,000 | $ | 23,295 | |||||||
Raytheon Technologies Corp. Senior Notes 2.38% due 03/15/2032 | 10,000 | 9,202 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 2,000 | 2,027 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 25,000 | 25,805 | |||||||||
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 15,000 | 16,282 | |||||||||
135,092 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023 | 40,000 | 40,577 | |||||||||
Apparel Manufacturers — 0.3% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026* | 40,000 | 40,300 | |||||||||
William Carter Co. Company Guar. Notes 5.63% due 03/15/2027* | 100,000 | 101,476 | |||||||||
141,776 | |||||||||||
Applications Software — 0.3% | |||||||||||
CDK Global, Inc. Senior Notes 5.25% due 05/15/2029* | 70,000 | 70,350 | |||||||||
Microsoft Corp. Senior Notes 3.04% due 03/17/2062 | 27,000 | 25,187 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 50,000 | 50,590 | |||||||||
146,127 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 3.25% due 02/12/2032 | 20,000 | 17,833 | |||||||||
General Motors Financial Co., Inc. Senior Notes 1.50% due 06/10/2026 | 85,000 | 77,792 | |||||||||
95,625 | |||||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.05% due 01/26/2027 | 65,000 | 62,719 | |||||||||
Banks-Super Regional — 0.6% | |||||||||||
Fifth Third Bancorp Senior Notes 1.71% due 11/01/2027 | 115,000 | 106,563 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Banks-Super Regional (continued) | |||||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | $ | 135,000 | $ | 133,306 | |||||||
Wells Fargo & Co. Senior Notes 3.35% due 03/02/2033 | 35,000 | 34,029 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 10,000 | 11,959 | |||||||||
285,857 | |||||||||||
Brewery — 0.2% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 40,000 | 38,116 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 15,000 | 16,256 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 20,000 | 23,375 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029 | 13,000 | 12,538 | |||||||||
90,285 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 21,000 | 21,164 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024 | 35,000 | 35,386 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028 | 20,000 | 20,011 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055 | 35,000 | 30,181 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.20% due 09/20/2047 | 15,000 | 15,596 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 35,000 | 36,587 | |||||||||
158,925 | |||||||||||
Building & Construction Products-Misc. — 0.4% | |||||||||||
Builders FirstSource, Inc. Company Guar. Notes 5.00% due 03/01/2030* | 55,000 | 54,406 | |||||||||
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031* | 35,000 | 30,669 | |||||||||
Standard Industries, Inc. Senior Notes 4.38% due 07/15/2030* | 75,000 | 69,000 |
76
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building & Construction Products-Misc. (continued) | |||||||||||
Standard Industries, Inc. Senior Notes 4.75% due 01/15/2028* | $ | 40,000 | $ | 38,350 | |||||||
192,425 | |||||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 44,000 | 46,861 | |||||||||
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 40,000 | 41,200 | |||||||||
88,061 | |||||||||||
Cable/Satellite TV — 1.0% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030* | 85,000 | 79,755 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 2.30% due 02/01/2032 | 65,000 | 55,568 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.40% due 04/01/2033 | 35,000 | 34,902 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050 | 5,000 | 4,747 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 30,000 | 29,782 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 15,000 | 17,091 | |||||||||
Comcast Corp. Company Guar. Notes 2.99% due 11/01/2063* | 11,000 | 8,995 | |||||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 5,000 | 4,807 | |||||||||
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039 | 30,000 | 28,462 | |||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | 5,000 | 4,691 | |||||||||
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040 | 30,000 | 30,178 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | $ | 5,000 | $ | 5,401 | |||||||
Cox Communications, Inc. Senior Notes 2.60% due 06/15/2031* | 25,000 | 22,591 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 3.13% due 09/01/2026* | 80,000 | 75,638 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 25,000 | 23,145 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 48,402 | |||||||||
474,155 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 20,000 | 18,866 | |||||||||
Cellular Telecom — 0.2% | |||||||||||
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028 | 60,000 | 54,896 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025 | 45,000 | 45,347 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050 | 15,000 | 15,203 | |||||||||
115,446 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 60,000 | 61,432 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 2.30% due 11/01/2030* | 20,000 | 17,877 | |||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047 | 5,000 | 5,293 | |||||||||
Commercial Services — 0.1% | |||||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 4.50% due 07/15/2029* | 35,000 | 34,913 | |||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Global Payments, Inc. Senior Notes 2.15% due 01/15/2027 | 10,000 | 9,400 | |||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 35,000 | 33,259 |
77
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Commercial Services-Finance (continued) | |||||||||||
S&P Global, Inc. Senior Notes 2.45% due 03/01/2027* | $ | 10,000 | $ | 9,740 | |||||||
S&P Global, Inc. Company Guar. Notes 2.70% due 03/01/2029* | 15,000 | 14,568 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.90% due 03/01/2032* | 15,000 | 14,551 | |||||||||
81,518 | |||||||||||
Computer Services — 0.3% | |||||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028* | 105,000 | 101,498 | |||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 4.00% due 07/01/2029* | 10,000 | 9,764 | |||||||||
Kyndryl Holdings, Inc. Senior Notes 3.15% due 10/15/2031* | 30,000 | 25,287 | |||||||||
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 20,000 | 19,995 | |||||||||
156,544 | |||||||||||
Computers — 0.2% | |||||||||||
Apple, Inc. Senior Notes 1.40% due 08/05/2028 | 40,000 | 36,607 | |||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 30,000 | 28,595 | |||||||||
Apple, Inc. Senior Notes 2.65% due 02/08/2051 | 25,000 | 21,551 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 15,000 | 14,893 | |||||||||
101,646 | |||||||||||
Consulting Services — 0.1% | |||||||||||
Gartner, Inc. Company Guar. Notes 3.63% due 06/15/2029* | 15,000 | 14,063 | |||||||||
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030* | 30,000 | 28,087 | |||||||||
Gartner, Inc. Company Guar. Notes 4.50% due 07/01/2028* | 25,000 | 24,995 | |||||||||
67,145 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023 | 125,000 | 126,406 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging International LLC Company Guar. Notes 4.75% due 07/15/2027* | $ | 50,000 | $ | 50,500 | |||||||
Data Processing/Management — 0.1% | |||||||||||
Fair Isaac Corp. Senior Notes 4.00% due 06/15/2028* | 60,000 | 58,087 | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Avantor Funding, Inc. Company Guar. Notes 4.63% due 07/15/2028* | 55,000 | 54,313 | |||||||||
Diagnostic Kits — 0.2% | |||||||||||
Hologic, Inc. Company Guar. Notes 4.63% due 02/01/2028* | 75,000 | 75,938 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
Teleflex, Inc. Company Guar. Notes 4.63% due 11/15/2027 | 30,000 | 30,476 | |||||||||
Diversified Banking Institutions — 3.4% | |||||||||||
Bank of America Corp. Senior Notes 2.46% due 10/22/2025 | 25,000 | 24,586 | |||||||||
Bank of America Corp. Senior Notes 2.57% due 10/20/2032 | 20,000 | 18,176 | |||||||||
Bank of America Corp. Senior Notes 3.31% due 04/22/2042 | 45,000 | 41,701 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 30,000 | 30,046 | |||||||||
Bank of America Corp. Senior Notes 4.08% due 03/20/2051 | 90,000 | 92,769 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 5,000 | 5,435 | |||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | 55,000 | 59,402 | |||||||||
Citigroup, Inc. Senior Notes 1.28% due 11/03/2025 | 35,000 | 33,320 | |||||||||
Citigroup, Inc. Senior Notes 2.52% due 11/03/2032 | 70,000 | 62,810 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 35,000 | 34,772 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 135,000 | 135,428 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 25,000 | 25,316 |
78
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | $ | 10,000 | $ | 10,331 | |||||||
Goldman Sachs Group, Inc. Senior Notes 1.99% due 01/27/2032 | 15,000 | 12,996 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.38% due 07/21/2032 | 50,000 | 44,292 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.62% due 04/22/2032 | 100,000 | 90,899 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.65% due 10/21/2032 | 5,000 | 4,546 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 85,000 | 85,104 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.10% due 02/24/2033 | 10,000 | 9,427 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 20,000 | 20,180 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 14,000 | 17,645 | |||||||||
JPMorgan Chase & Co. Senior Bonds 2.55% due 11/08/2032 | 45,000 | 41,125 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.58% due 04/22/2032 | 20,000 | 18,326 | |||||||||
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031 | 35,000 | 32,754 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041 | 15,000 | 13,569 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051 | 5,000 | 4,425 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.16% due 04/22/2042 | 35,000 | 31,872 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 60,000 | 60,226 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 30,000 | 29,912 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 95,000 | 95,464 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 40,475 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | $ | 60,000 | $ | 61,314 | |||||||
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024 | 10,000 | 10,166 | |||||||||
Morgan Stanley Senior Notes 1.59% due 05/04/2027 | 70,000 | 65,119 | |||||||||
Morgan Stanley Senior Notes 1.79% due 02/13/2032 | 70,000 | 60,204 | |||||||||
Morgan Stanley Senior Notes 1.93% due 04/28/2032 | 15,000 | 12,967 | |||||||||
Morgan Stanley Senior Notes 2.24% due 07/21/2032 | 30,000 | 26,668 | |||||||||
Morgan Stanley Senior Notes 2.48% due 01/21/2028 | 35,000 | 33,445 | |||||||||
Morgan Stanley Senior Notes 2.51% due 10/20/2032 | 5,000 | 4,507 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 30,000 | 29,780 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 50,000 | 50,270 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 20,000 | 20,521 | |||||||||
1,602,290 | |||||||||||
E-Commerce/Services — 0.3% | |||||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027* | 117,000 | 117,585 | |||||||||
Electric-Distribution — 0.2% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 20,000 | 19,775 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 5,000 | 5,309 | |||||||||
Sempra Energy Senior Notes 3.40% due 02/01/2028 | 30,000 | 29,977 | |||||||||
Sempra Energy Senior Notes 3.80% due 02/01/2038 | 10,000 | 9,816 | |||||||||
Sempra Energy Senior Notes 4.00% due 02/01/2048 | 5,000 | 4,957 | |||||||||
69,834 |
79
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated — 1.7% | |||||||||||
AES Corp. Senior Notes 3.30% due 07/15/2025* | $ | 25,000 | $ | 24,527 | |||||||
Alabama Power Co. Senior Notes 3.45% due 10/01/2049 | 25,000 | 23,307 | |||||||||
Alabama Power Co. Senior Notes 4.15% due 08/15/2044 | 10,000 | 10,162 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029 | 20,000 | 19,116 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 3.20% due 12/01/2051 | 20,000 | 17,673 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 2.55% due 04/15/2031 | 15,000 | 14,083 | |||||||||
Duke Energy Corp. Senior Notes 2.55% due 06/15/2031 | 20,000 | 18,289 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 2.75% due 04/01/2050 | 20,000 | 16,915 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 14,533 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.00% due 04/01/2052 | 10,000 | 10,594 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044 | 35,000 | 37,102 | |||||||||
Duquesne Light Holdings, Inc. Senior Notes 2.78% due 01/07/2032* | 20,000 | 17,878 | |||||||||
Evergy Metro, Inc. 1st Mtg. Bonds 2.25% due 06/01/2030 | 5,000 | 4,586 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 15,000 | 14,758 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 20,000 | 19,129 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 40,000 | 40,825 | |||||||||
Exelon Corp. Senior Bonds 4.10% due 03/15/2052* | 5,000 | 5,076 | |||||||||
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026 | 5,000 | 4,675 | |||||||||
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030 | 25,000 | 22,187 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | $ | 30,000 | $ | 30,362 | |||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 30,102 | |||||||||
Jersey Central Power & Light Co. Senior Notes 2.75% due 03/01/2032* | 20,000 | 18,627 | |||||||||
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050 | 15,000 | 13,768 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 4,000 | 3,961 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 4.40% due 03/01/2032 | 10,000 | 9,832 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 5.25% due 03/01/2052 | 10,000 | 10,031 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031 | 45,000 | 38,795 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.95% due 07/01/2050 | 60,000 | 56,487 | |||||||||
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049 | 5,000 | 5,168 | |||||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 5,000 | 5,251 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 25,000 | 25,081 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030 | 20,000 | 19,964 | |||||||||
Southern California Edison Co. 1st Mtg. 2.75% due 02/01/2032 | 25,000 | 23,206 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 15,000 | 14,276 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 10,000 | 9,604 | |||||||||
Southern California Edison Co. 1st Mtg. Notes Class C 4.13% due 03/01/2048 | 5,000 | 4,921 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 10,056 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 30,000 | 30,005 |
80
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Xcel Energy, Inc. Senior Notes 1.75% due 03/15/2027 | $ | 115,000 | $ | 106,599 | |||||||
801,511 | |||||||||||
Electric-Transmission — 0.1% | |||||||||||
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030* | 30,000 | 28,424 | |||||||||
Electronic Components-Semiconductors — 0.7% | |||||||||||
Broadcom, Inc. Senior Notes 3.42% due 04/15/2033* | 25,000 | 23,373 | |||||||||
Broadcom, Inc. Senior Notes 4.00% due 04/15/2029* | 110,000 | 109,946 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.30% due 11/15/2032 | 15,000 | 15,242 | |||||||||
Intel Corp. Senior Bonds 3.05% due 08/12/2051 | 15,000 | 13,356 | |||||||||
Intel Corp. Senior Notes 3.10% due 02/15/2060 | 10,000 | 8,587 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.45% due 04/15/2028 | 30,000 | 27,634 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.95% due 04/15/2031 | 30,000 | 27,734 | |||||||||
Microchip Technology, Inc. Sec. Notes 2.67% due 09/01/2023 | 55,000 | 54,845 | |||||||||
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040 | 25,000 | 25,097 | |||||||||
305,814 | |||||||||||
Enterprise Software/Service — 0.4% | |||||||||||
Oracle Corp. Senior Notes 2.30% due 03/25/2028 | 20,000 | 18,300 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2040 | 11,000 | 9,551 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2050 | 20,000 | 16,589 | |||||||||
Oracle Corp. Senior Notes 3.85% due 04/01/2060 | 70,000 | 57,413 | |||||||||
Oracle Corp. Senior Notes 3.95% due 03/25/2051 | 20,000 | 17,475 | |||||||||
Oracle Corp. Senior Notes 4.00% due 07/15/2046 | 20,000 | 17,739 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Enterprise Software/Service (continued) | |||||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | $ | 20,000 | $ | 17,679 | |||||||
Oracle Corp. Senior Notes 4.10% due 03/25/2061 | 20,000 | 17,040 | |||||||||
171,786 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 31,000 | 32,156 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.13% due 03/15/2024 | 10,000 | 10,250 | |||||||||
42,406 | |||||||||||
Finance-Credit Card — 0.3% | |||||||||||
Capital One Financial Corp. Senior Notes 1.88% due 11/02/2027 | 115,000 | 106,260 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 40,000 | 40,651 | |||||||||
Mastercard, Inc. Senior Notes 2.95% due 03/15/2051 | 15,000 | 13,716 | |||||||||
160,627 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
GTP Acquisition Partners I LLC Senior Sec. Notes 3.48% due 06/15/2050* | 160,000 | 160,638 | |||||||||
Food-Confectionery — 0.1% | |||||||||||
Mondelez International, Inc. Senior Notes 2.63% due 03/17/2027 | 15,000 | 14,658 | |||||||||
Mondelez International, Inc. Senior Notes 3.00% due 03/17/2032 | 15,000 | 14,468 | |||||||||
29,126 | |||||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 10,000 | 10,282 | |||||||||
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028 | 15,000 | 15,893 | |||||||||
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048 | 5,000 | 5,738 | |||||||||
Kellogg Co. Senior Notes 3.40% due 11/15/2027 | 40,000 | 39,984 | |||||||||
71,897 |
81
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Funeral Services & Related Items — 0.2% | |||||||||||
Service Corp. International Senior Notes 3.38% due 08/15/2030 | $ | 55,000 | $ | 49,548 | |||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 62,000 | 63,091 | |||||||||
112,639 | |||||||||||
Gas-Distribution — 0.1% | |||||||||||
NiSource, Inc. Senior Notes 3.49% due 05/15/2027 | 25,000 | 24,958 | |||||||||
NiSource, Inc. Senior Notes 3.60% due 05/01/2030 | 40,000 | 39,673 | |||||||||
64,631 | |||||||||||
Hazardous Waste Disposal — 0.3% | |||||||||||
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027* | 90,000 | 89,775 | |||||||||
Clean Harbors, Inc. Company Guar. Notes 5.13% due 07/15/2029* | 50,000 | 50,187 | |||||||||
139,962 | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. Senior Sec. Notes 2.45% due 12/02/2027* | 30,000 | 27,695 | |||||||||
Insurance Brokers — 0.3% | |||||||||||
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022 | 30,000 | 30,056 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 2.85% due 05/28/2027 | 15,000 | 14,697 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 3.90% due 02/28/2052 | 10,000 | 9,861 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 25,000 | 25,204 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 20,000 | 20,433 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 10,989 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,130 | |||||||||
131,370 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Insurance-Life/Health — 0.4% | |||||||||||
Athene Global Funding Sec. Notes 2.65% due 10/04/2031* | $ | 45,000 | $ | 39,717 | |||||||
Athene Global Funding Secured Notes 2.72% due 01/07/2029* | 50,000 | 45,993 | |||||||||
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030 | 40,000 | 43,854 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 1.80% due 03/08/2028* | 60,000 | 54,063 | |||||||||
Unum Group Senior Notes 4.13% due 06/15/2051 | 5,000 | 4,363 | |||||||||
187,990 | |||||||||||
Insurance-Mutual — 0.1% | |||||||||||
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025* | 20,000 | 19,417 | |||||||||
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050* | 15,000 | 14,532 | |||||||||
33,949 | |||||||||||
Internet Security — 0.2% | |||||||||||
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025* | 70,000 | 70,000 | |||||||||
Investment Companies — 0.1% | |||||||||||
Bain Capital Specialty Finance, Inc. Senior Notes 2.55% due 10/13/2026 | 75,000 | 67,724 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Otis Worldwide Corp. Senior Notes 2.57% due 02/15/2030 | 30,000 | 28,041 | |||||||||
Medical Instruments — 0.0% | |||||||||||
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025 | 20,000 | 19,220 | |||||||||
Medical Products — 0.2% | |||||||||||
Baxter International Inc Senior Notes 2.54% due 02/01/2032* | 105,000 | 95,894 | |||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 3.35% due 02/22/2032 | 10,000 | 9,908 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,002 | |||||||||
11,910 |
82
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Drugs — 0.4% | |||||||||||
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029 | $ | 20,000 | $ | 19,748 | |||||||
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042 | 10,000 | 10,646 | |||||||||
Astrazeneca Finance LLC Company Guar. Notes 1.75% due 05/28/2028 | 45,000 | 41,542 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 0.75% due 11/13/2025 | 55,000 | 51,005 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.55% due 11/13/2050 | 25,000 | 20,739 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.95% due 03/15/2032 | 10,000 | 9,784 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.55% due 03/15/2042 | 45,000 | 44,497 | |||||||||
197,961 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 17,295 | |||||||||
Centene Corp. Senior Notes 3.38% due 02/15/2030 | 30,000 | 28,200 | |||||||||
Centene Corp. Senior Notes 4.63% due 12/15/2029 | 80,000 | 80,960 | |||||||||
Humana, Inc. Senior Notes 2.15% due 02/03/2032 | 20,000 | 17,526 | |||||||||
Humana, Inc. Senior Notes 3.70% due 03/23/2029 | 30,000 | 30,122 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.75% due 05/15/2040 | 25,000 | 22,472 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 5,000 | 4,964 | |||||||||
201,539 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 5,000 | 4,855 | |||||||||
HCA, Inc. Senior Sec. Notes 3.63% due 03/15/2032* | 10,000 | 9,798 | |||||||||
HCA, Inc. Senior Sec. Bonds 4.63% due 03/15/2052* | 10,000 | 10,081 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
Kaiser Foundation Hospitals Notes 2.81% due 06/01/2041 | $ | 15,000 | $ | 13,111 | |||||||
Kaiser Foundation Hospitals Notes 3.00% due 06/01/2051 | 20,000 | 17,608 | |||||||||
Sutter Health Notes 3.36% due 08/15/2050 | 20,000 | 17,825 | |||||||||
73,278 | |||||||||||
Motion Pictures & Services — 0.3% | |||||||||||
Magallanes, Inc. Company Guar. Notes 4.28% due 03/15/2032* | 30,000 | 30,129 | |||||||||
Magallanes, Inc. Company Guar. Bonds 5.14% due 03/15/2052* | 110,000 | 112,568 | |||||||||
142,697 | |||||||||||
Music — 0.1% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 3.88% due 07/15/2030* | 70,000 | 66,850 | |||||||||
Office Automation & Equipment — 0.3% | |||||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029 | 96,000 | 88,206 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.28% due 12/01/2028 | 10,000 | 9,419 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.57% due 12/01/2031 | 10,000 | 9,264 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 4.13% due 05/01/2025 | 15,000 | 15,079 | |||||||||
Xerox Holdings Corp. Company Guar. Notes 5.50% due 08/15/2028* | 30,000 | 29,258 | |||||||||
151,226 | |||||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Apache Corp. Senior Notes 4.88% due 11/15/2027 | 30,000 | 30,750 | |||||||||
ConocoPhillips Co. Company Guar. Notes 3.80% due 03/15/2052 | 5,000 | 5,085 | |||||||||
ConocoPhillips Co. Company Guar. Notes 4.03% due 03/15/2062* | 5,000 | 5,068 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.75% due 01/15/2031* | 10,000 | 10,938 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 3.50% due 12/01/2029 | 5,000 | 4,952 |
83
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | $ | 3,000 | $ | 3,702 | |||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 30,000 | 36,777 | |||||||||
Ovintiv, Inc. Company Guar. Notes 7.38% due 11/01/2031 | 30,000 | 36,778 | |||||||||
134,050 | |||||||||||
Oil Companies-Integrated — 0.2% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 2.94% due 06/04/2051 | 20,000 | 17,044 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.00% due 02/24/2050 | 10,000 | 8,632 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.06% due 06/17/2041 | 10,000 | 8,970 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.38% due 02/08/2061 | 15,000 | 13,388 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030 | 30,000 | 30,528 | |||||||||
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040 | 30,000 | 32,439 | |||||||||
111,001 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025 | 25,000 | 26,008 | |||||||||
Oil-U.S. Royalty Trusts — 0.1% | |||||||||||
Viper Energy Partners LP Company Guar. Notes 5.38% due 11/01/2027* | 28,000 | 28,521 | |||||||||
Pharmacy Services — 0.2% | |||||||||||
Cigna Corp. Senior Notes 1.25% due 03/15/2026 | 55,000 | 51,409 | |||||||||
CVS Health Corp. Senior Notes 4.13% due 04/01/2040 | 10,000 | 10,183 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 20,000 | 22,599 | |||||||||
84,191 | |||||||||||
Pipelines — 0.7% | |||||||||||
Energy Transfer LP Senior Notes 5.15% due 03/15/2045 | 10,000 | 10,101 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Energy Transfer LP Senior Notes 6.13% due 12/15/2045 | $ | 70,000 | $ | 77,226 | |||||||
Enterprise Products Operating LLC Company Guar. Notes 3.30% due 02/15/2053 | 5,000 | 4,264 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 10,000 | 10,037 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.95% due 10/15/2054 | 10,000 | 10,867 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 35,000 | 33,601 | |||||||||
MPLX LP Senior Notes 1.75% due 03/01/2026 | 5,000 | 4,691 | |||||||||
MPLX LP Senior Notes 4.95% due 03/14/2052 | 35,000 | 36,536 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,364 | |||||||||
NGPL PipeCo LLC Senior Notes 3.25% due 07/15/2031* | 15,000 | 14,007 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030 | 25,000 | 23,434 | |||||||||
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026 | 10,000 | 10,759 | |||||||||
ONEOK, Inc. Company Guar. Notes 6.35% due 01/15/2031 | 5,000 | 5,783 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030 | 25,000 | 26,147 | |||||||||
Targa Resources Corp. Company Guar. Notes 4.20% due 02/01/2033 | 15,000 | 15,151 | |||||||||
Transcontinental Gas Pipe Line Co., LLC Senior Notes 3.25% due 05/15/2030 | 10,000 | 9,767 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 30,000 | 30,964 | |||||||||
328,699 | |||||||||||
Real Estate Investment Trusts — 0.7% | |||||||||||
American Tower Corp. Senior Notes 1.45% due 09/15/2026 | 15,000 | 13,704 | |||||||||
American Tower Corp. Senior Notes 1.50% due 01/31/2028 | 10,000 | 8,852 |
84
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
American Tower Corp. Senior Notes 2.40% due 03/15/2025 | $ | 10,000 | $ | 9,738 | |||||||
American Tower Corp. Senior Notes 3.65% due 03/15/2027 | 15,000 | 14,998 | |||||||||
EPR Properties Senior Notes 3.60% due 11/15/2031 | 15,000 | 13,601 | |||||||||
EPR Properties Senior Notes 3.75% due 08/15/2029 | 15,000 | 14,043 | |||||||||
EPR Properties Company Guar. Notes 4.95% due 04/15/2028 | 40,000 | 40,105 | |||||||||
Equinix, Inc. Senior Notes 2.00% due 05/15/2028 | 15,000 | 13,539 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 3.25% due 01/15/2032 | 15,000 | 13,610 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031 | 20,000 | 19,398 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 20,000 | 21,011 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028 | 15,000 | 16,144 | |||||||||
Realty Income Corp. Senior Notes 2.85% due 12/15/2032 | 5,000 | 4,712 | |||||||||
Realty Income Corp. Senior Notes 3.40% due 01/15/2028 | 10,000 | 9,989 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 40,000 | 39,376 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 60,000 | 60,012 | |||||||||
312,832 | |||||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 3.88% due 02/15/2031 | 30,000 | 28,275 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 4.88% due 01/15/2028 | 40,000 | 40,632 | |||||||||
68,907 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Retail-Apparel/Shoe — 0.3% | |||||||||||
Gap, Inc. Company Guar. Notes 3.63% due 10/01/2029* | $ | 70,000 | $ | 62,087 | |||||||
Gap, Inc. Company Guar. Notes 3.88% due 10/01/2031* | 65,000 | 56,622 | |||||||||
118,709 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 4.50% due 03/01/2028 | 20,000 | 19,212 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040 | 30,000 | 28,922 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.35% due 04/01/2027 | 5,000 | 5,034 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.75% due 04/01/2032 | 5,000 | 5,058 | |||||||||
39,014 | |||||||||||
Retail-Pawn Shops — 0.2% | |||||||||||
FirstCash, Inc. Company Guar. Notes 4.63% due 09/01/2028* | 55,000 | 51,219 | |||||||||
FirstCash, Inc. Company Guar. Notes 5.63% due 01/01/2030* | 40,000 | 38,532 | |||||||||
89,751 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 15,000 | 15,187 | |||||||||
McDonald's Corp. Senior Notes 3.63% due 09/01/2049 | 25,000 | 23,923 | |||||||||
39,110 | |||||||||||
Schools — 0.1% | |||||||||||
Howard University Notes 2.65% due 10/01/2028 | 10,000 | 9,334 | |||||||||
Howard University Notes 2.80% due 10/01/2030 | 5,000 | 4,695 | |||||||||
Howard University Notes 2.90% due 10/01/2031 | 25,000 | 23,144 | |||||||||
Howard University Notes 3.48% due 10/01/2041 | 10,000 | 8,969 | |||||||||
46,142 |
85
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated — 0.4% | |||||||||||
AT&T, Inc. Senior Notes 3.50% due 02/01/2061 | $ | 40,000 | $ | 33,615 | |||||||
AT&T, Inc. Senior Notes 3.55% due 09/15/2055 | 46,000 | 40,546 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 06/01/2051 | 30,000 | 27,255 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 09/15/2059 | 2,000 | 1,745 | |||||||||
AT&T, Inc. Senior Notes 3.80% due 12/01/2057 | 25,000 | 22,795 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 10,000 | 10,581 | |||||||||
Verizon Communications, Inc. Senior Bonds 2.85% due 09/03/2041 | 35,000 | 30,841 | |||||||||
Verizon Communications, Inc. Senior Notes 3.15% due 03/22/2030 | 35,000 | 34,436 | |||||||||
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036 | 6,000 | 6,322 | |||||||||
208,136 | |||||||||||
Tobacco — 0.2% | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028 | 45,000 | 40,450 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 20,000 | 19,755 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.74% due 03/16/2032 | 50,000 | 50,302 | |||||||||
110,507 | |||||||||||
Transactional Software — 0.2% | |||||||||||
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028* | 119,000 | 112,455 | |||||||||
Transport-Rail — 0.1% | |||||||||||
Union Pacific Corp. Senior Notes 2.38% due 05/20/2031 | 45,000 | 42,111 | |||||||||
Union Pacific Corp. Senior Notes 2.80% due 02/14/2032 | 15,000 | 14,404 | |||||||||
56,515 | |||||||||||
Trucking/Leasing — 0.1% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024* | 35,000 | 34,501 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Trucking/Leasing (continued) | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025* | $ | 30,000 | $ | 30,326 | |||||||
64,827 | |||||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 10,000 | 10,362 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $10,971,763) | 10,431,359 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.9% | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Rogers Communications, Inc. Company Guar. Notes 3.80% due 03/15/2032* | 15,000 | 14,860 | |||||||||
Rogers Communications, Inc. Company Guar. Notes 4.55% due 03/15/2052* | 30,000 | 29,970 | |||||||||
44,830 | |||||||||||
Cruise Lines — 0.1% | |||||||||||
Carnival Corp. Senior Sec. Notes 4.00% due 08/01/2028* | 30,000 | 27,900 | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049 | 5,000 | 5,323 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 30,000 | 30,412 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Open Text Corp. Company Guar. Notes 3.88% due 12/01/2029* | 50,000 | 47,500 | |||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027 | 5,000 | 4,545 | |||||||||
Royalty Pharma PLC Company Guar. Notes 2.15% due 09/02/2031 | 60,000 | 51,614 | |||||||||
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030 | 10,000 | 8,744 | |||||||||
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050 | 15,000 | 12,441 | |||||||||
77,344 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027* | 50,000 | 49,267 |
86
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030 | $ | 30,000 | $ | 28,891 | |||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 10,000 | 11,015 | |||||||||
39,906 | |||||||||||
Networking Products — 0.1% | |||||||||||
Nokia Oyj Senior Notes 4.38% due 06/12/2027 | 50,000 | 50,719 | |||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 20,000 | 23,825 | |||||||||
74,544 | |||||||||||
Oil Companies-Exploration & Production — 0.2% | |||||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.50% due 03/30/2024* | 15,000 | 14,816 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.88% due 03/30/2026* | 10,000 | 9,650 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 5.88% due 03/30/2031* | 30,000 | 28,568 | |||||||||
Leviathan Bond, Ltd. Senior Sec. Notes 6.50% due 06/30/2027* | 50,000 | 51,158 | |||||||||
104,192 | |||||||||||
Oil Companies-Integrated — 0.3% | |||||||||||
Ecopetrol SA Senior Notes 4.63% due 11/02/2031 | 60,000 | 54,501 | |||||||||
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026 | 10,000 | 9,587 | |||||||||
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040 | 15,000 | 15,100 | |||||||||
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050 | 15,000 | 15,165 | |||||||||
Shell International Finance BV Company Guar. Notes 2.88% due 11/26/2041 | 10,000 | 8,987 | |||||||||
Shell International Finance BV Company Guar. Notes 3.00% due 11/26/2051 | 10,000 | 8,945 | |||||||||
Shell International Finance BV Company Guar. Notes 3.25% due 04/06/2050 | 15,000 | 14,068 | |||||||||
126,353 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Retail-Restaurants — 0.2% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028* | $ | 85,000 | $ | 80,540 | |||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 55,000 | 56,608 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026* | 15,000 | 15,931 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028* | 10,000 | 11,005 | |||||||||
83,544 | |||||||||||
Tobacco — 0.2% | |||||||||||
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026 | 30,000 | 27,563 | |||||||||
BAT International Finance PLC Company Guar. Notes 4.45% due 03/16/2028 | 50,000 | 50,190 | |||||||||
77,753 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $905,183) | 869,408 | ||||||||||
MUNICIPAL BONDS & NOTES — 1.7% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029 | 5,000 | 5,275 | |||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 16,401 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 45,000 | 49,061 | |||||||||
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040 | 10,000 | 9,979 | |||||||||
County of Riverside, CA Revenue Bonds 2.96% due 02/15/2027 | 80,000 | 79,656 | |||||||||
County of Riverside, CA Revenue Bonds 3.07% due 02/15/2028 | 80,000 | 79,861 | |||||||||
Florida State Board of Administration Finance Corp. Revenue Bonds Series A 1.26% due 07/01/2025 | 75,000 | 71,244 | |||||||||
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045 | 35,000 | 37,716 | |||||||||
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049 | 95,000 | 108,697 |
87
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | $ | 24,000 | $ | 32,030 | |||||||
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035 | 90,000 | 93,071 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 100,000 | 118,124 | |||||||||
State of California General Obligation Bonds 7.30% due 10/01/2039 | 10,000 | 14,075 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 35,636 | 36,272 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,198 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 20,000 | 20,000 | |||||||||
Total Municipal Bonds & Notes (cost $761,215) | 781,660 | ||||||||||
U.S. GOVERNMENT AGENCIES — 30.9% | |||||||||||
Federal Home Loan Mtg. Corp. — 1.2% | |||||||||||
2.50% due 01/01/2028 | 4,080 | 4,046 | |||||||||
2.50% due 04/01/2028 | 9,901 | 9,818 | |||||||||
3.00% due 08/01/2027 | 14,022 | 14,172 | |||||||||
3.50% due 03/01/2042 | 4,736 | 4,837 | |||||||||
3.50% due 08/01/2042 | 19,599 | 20,022 | |||||||||
3.50% due 09/01/2043 | 18,722 | 19,124 | |||||||||
4.00% due 09/01/2040 | 1,004 | 1,051 | |||||||||
4.00% due 10/01/2043 | 20,399 | 21,210 | |||||||||
4.50% due 01/01/2039 | 798 | 848 | |||||||||
5.00% due 05/01/2034 | 11,312 | 12,137 | |||||||||
5.50% due 05/01/2037 | 2,988 | 3,288 | |||||||||
5.50% due 06/01/2037 | 1,333 | 1,468 | |||||||||
6.50% due 05/01/2029 | 696 | 750 | |||||||||
6.50% due 07/01/2035 | 982 | 1,058 | |||||||||
Federal Home Loan Mtg. Corp. FRS 1.74% (6 ML+1.49%) due 02/01/2037 | 819 | 844 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(2) | 79,000 | 80,865 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(2)(4)(6) | 199,566 | 8,758 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series K064, Class X1 0.60% due 03/25/2027(2)(4)(6) | $ | 351,275 | $ | 8,969 | |||||||
Series K124, Class X1 0.72% due 12/25/2030(2)(4)(6) | 289,595 | 15,061 | |||||||||
Series K122, Class X1 0.88% due 11/25/2030(2)(4)(6) | 99,814 | 6,075 | |||||||||
Series K121, Class X1 1.03% due 10/25/2030(2)(4)(6) | 123,021 | 8,550 | |||||||||
Series K114, Class X1 1.12% due 06/25/2030(2)(4)(6) | 229,381 | 17,215 | |||||||||
Series K104, Class X1 1.12% due 01/25/2030(2)(4)(6) | 187,590 | 13,367 | |||||||||
Series K111, Class X1 1.57% due 05/25/2030(2)(4)(6) | 99,660 | 10,321 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(3) | 18,046 | 18,372 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 2.11% (1 ML+1.65%) due 04/25/2043*(3) | 7,401 | 7,382 | |||||||||
Series 2019-HQA3, Class M2 2.31% (1 ML + 1.85%) due 09/25/2049*(3) | 39,007 | 38,946 | |||||||||
Series 2019-DNA3, Class M2 2.51% (1 ML + 2.05%) due 07/25/2049*(3) | 29,631 | 29,631 | |||||||||
Series 2019-HQA1, Class M2 2.81% (1 ML + 2.35%) due 02/25/2049*(3) | 65,153 | 65,153 | |||||||||
Series 2019-DNA2, Class M2 2.91% (1 ML+2.45%) due 03/25/2049*(3) | 39,611 | 39,660 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(3) | 15,686 | 15,549 | |||||||||
Series 3964, Class MD 2.00% due 01/15/2041(3) | 1,319 | 1,306 | |||||||||
Series 4961, Class JB 2.50% due 12/15/2042(3) | 32,384 | 31,466 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(3) | 10,902 | 10,836 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(3) | 315 | 322 | |||||||||
542,477 | |||||||||||
Federal National Mtg. Assoc. — 2.7% | |||||||||||
2.50% due 04/01/2028 | 16,080 | 15,935 | |||||||||
2.50% due 02/01/2043 | 30,396 | 29,383 | |||||||||
2.50% due 03/01/2043 | 66,437 | 64,212 | |||||||||
2.66% due 03/01/2027 | 395,208 | 393,862 | |||||||||
3.00% due 10/01/2027 | 7,455 | 7,535 | |||||||||
3.00% due 12/01/2027 | 6,579 | 6,650 | |||||||||
3.00% due 01/01/2028 | 11,927 | 12,055 |
88
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 11/01/2025 | $ | 879 | $ | 905 | |||||||
4.50% due 01/01/2039 | 2,183 | 2,324 | |||||||||
4.50% due 09/01/2039 | 4,564 | 4,860 | |||||||||
4.50% due 09/01/2040 | 10,681 | 11,375 | |||||||||
4.50% due 05/01/2041 | 3,881 | 4,039 | |||||||||
5.00% due 05/01/2035 | 123 | 133 | |||||||||
5.00% due 07/01/2040 | 7,741 | 8,325 | |||||||||
5.50% due 06/01/2022 | 26 | 26 | |||||||||
5.50% due 12/01/2029 | 1,544 | 1,643 | |||||||||
5.50% due 05/01/2034 | 8,405 | 8,976 | |||||||||
5.50% due 08/01/2037 | 12,870 | 14,103 | |||||||||
5.50% due 06/01/2038 | 2,121 | 2,322 | |||||||||
6.00% due 06/01/2026 | 3,788 | 4,041 | |||||||||
6.00% due 04/01/2027 | 24,647 | 26,286 | |||||||||
6.00% due 12/01/2033 | 9,560 | 10,570 | |||||||||
6.00% due 05/01/2034 | 5,896 | 6,547 | |||||||||
6.50% due 06/01/2035 | 12,293 | 13,200 | |||||||||
6.50% due 10/01/2037 | 871 | 943 | |||||||||
7.00% due 06/01/2037 | 6,241 | 7,088 | |||||||||
Federal National Mtg. Assoc. FRS 1.85% (12 ML+1.57%) due 05/01/2037 | 1,293 | 1,341 | |||||||||
2.07% (12 ML+1.82%) due 10/01/2040 | 1,234 | 1,284 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R03, Class 1M2 2.61% (1 ML+2.15%) due 09/25/2031*(3) | 4,100 | 4,100 | |||||||||
Series 2019-HRP1, Class M2 2.61% (1 ML+2.15%) due 11/25/2039*(3) | 17,776 | 17,491 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(3) | 22,836 | 22,242 | |||||||||
Series 2012-128, Class PD 1.50% due 06/25/2042(3) | 31,646 | 30,571 | |||||||||
Series 2013-77, Class BP 1.70% due 06/25/2043(3) | 14,755 | 14,583 | |||||||||
Series 2011-117, Class MA 2.00% due 08/25/2040(3) | 1,753 | 1,741 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(3) | 7,198 | 6,948 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(3) | 12,553 | 12,082 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(3) | 11,532 | 11,332 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(3) | 17,356 | 16,990 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(3) | 59,980 | 58,295 | |||||||||
Series 415, Class A3 STRIPS 3.00% due 11/25/2042(3) | 19,023 | 18,997 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(3) | 17,967 | 18,011 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(3) | $ | 8,341 | $ | 8,371 | |||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(3) | 8,125 | 8,052 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(3) | 24,825 | 24,399 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(3) | 36,969 | 36,752 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(3) | 10,172 | 10,252 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(3) | 13,086 | 13,163 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(3) | 1,285 | 1,288 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(3) | 11,767 | 11,703 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(3) | 22,144 | 22,038 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(3) | 23,423 | 23,425 | |||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(3) | 25,784 | 26,221 | |||||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(3) | 15,120 | 15,122 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(3) | 14,050 | 13,983 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(3) | 11,209 | 11,165 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(3) | 18,073 | 18,064 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(3) | 23,245 | 23,466 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(3) | 20,696 | 21,067 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(3) | 13,002 | 13,112 | |||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.56% (1 ML +2.10%) due 06/25/2039*(3) | 740 | 740 | |||||||||
Series 2017-C01, Class 1M2 4.01% (1 ML+3.55%) due 07/25/2029(3) | 21,036 | 21,414 | |||||||||
Series 2016-C07, Class 2M2 4.81% (1 ML+4.35%) due 05/25/2029(3) | 37,115 | 38,671 | |||||||||
1,255,814 | |||||||||||
Government National Mtg. Assoc. — 6.7% | |||||||||||
2.00% due April 30 TBA | 75,000 | 71,343 | |||||||||
2.50% due April 30 TBA | 225,000 | 218,461 | |||||||||
2.50% due May 30 TBA | 200,000 | 193,758 | |||||||||
3.00% due April 30 TBA | 175,000 | 173,118 | |||||||||
3.00% due May 30 TBA | 175,000 | 172,666 | |||||||||
3.50% due April 30 TBA | 1,510,000 | 1,519,467 | |||||||||
4.00% due 09/15/2040 | 5,268 | 5,476 | |||||||||
4.00% due 11/15/2040 | 23,686 | 24,931 |
89
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
4.00% due April 30 TBA | $ | 650,000 | $ | 663,254 | |||||||
4.50% due 02/15/2039 | 1,965 | 2,110 | |||||||||
4.50% due 08/15/2041 | 38,595 | 41,610 | |||||||||
5.50% due 05/15/2036 | 4,406 | 4,710 | |||||||||
6.00% due 09/15/2032 | 4,410 | 4,888 | |||||||||
6.00% due 12/15/2033 | 15,227 | 17,084 | |||||||||
7.00% due 07/15/2033 | 2,954 | 3,212 | |||||||||
7.00% due 11/15/2033 | 3,837 | 4,204 | |||||||||
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(3) | 16,666 | 16,591 | |||||||||
Series 2015-151, Class BA 1.70% due 10/20/2045(3) | 7,395 | 7,401 | |||||||||
Series 2013-37, Class LG 2.00% due 01/20/2042(3) | 13,950 | 13,854 | |||||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(3) | 12 | 13 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(3) | 2,207 | 2,359 | |||||||||
3,160,510 | |||||||||||
Uniform Mtg. Backed Securities — 20.3% | |||||||||||
1.50% due April 15 TBA | 450,000 | 426,691 | |||||||||
2.00% due April 15 TBA | 450,000 | 437,098 | |||||||||
2.00% due April 30 TBA | 1,880,000 | 1,745,957 | |||||||||
2.00% due June 30 TBA | 920,000 | 850,926 | |||||||||
2.50% due April 30 TBA | 1,850,000 | 1,767,328 | |||||||||
2.50% due May 30 TBA | 1,825,000 | 1,739,327 | |||||||||
3.00% due April 30 TBA | 1,200,000 | 1,175,092 | |||||||||
3.50% due April 30 TBA | 300,000 | 300,756 | |||||||||
4.00% due April 30 TBA | 665,000 | 679,339 | |||||||||
4.50% due April 30 TBA | 425,000 | 440,871 | |||||||||
9,563,385 | |||||||||||
Total U.S. Government Agencies (cost $14,712,668) | 14,522,186 | ||||||||||
U.S. GOVERNMENT TREASURIES — 13.2% | |||||||||||
United States Treasury Bonds — 9.8% | |||||||||||
0.13% due 02/15/2051TIPS(8) | 26,990 | 28,093 | |||||||||
0.88% due 02/15/2047TIPS(8) | 157,191 | 190,644 | |||||||||
1.00% due 02/15/2048TIPS(8) | 34,194 | 42,981 | |||||||||
1.25% due 05/15/2050 | 647,000 | 483,531 | |||||||||
1.38% due 08/15/2050 | 415,000 | 320,101 | |||||||||
2.25% due 08/15/2046 | 175,000 | 164,015 | |||||||||
2.50% due 02/15/2045(9) | 213,000 | 208,008 | |||||||||
2.88% due 08/15/2045 | 400,000 | 417,922 | |||||||||
3.00% due 11/15/2045 | 170,000 | 181,734 | |||||||||
3.13% due 08/15/2044 | 505,000 | 546,840 | |||||||||
3.13% due 05/15/2048 | 110,000 | 122,916 | |||||||||
3.38% due 05/15/2044(10) | 1,675,000 | 1,883,721 | |||||||||
4,590,506 | |||||||||||
United States Treasury Notes — 3.4% | |||||||||||
0.63% due 08/15/2030 | 495,000 | 430,321 | |||||||||
0.75% due 07/15/2028TIPS(8) | 100,777 | 110,459 | |||||||||
1.25% due 08/15/2031 | 295,000 | 268,312 |
Security Description | Principal Amount(13) | Value (Note 2) | |||||||||
United States Treasury Notes (continued) | |||||||||||
1.38% due 11/15/2031 | $ | 120,000 | $ | 110,156 | |||||||
1.63% due 05/15/2031 | 730,000 | 687,683 | |||||||||
1,606,931 | |||||||||||
Total U.S. Government Treasuries (cost $6,595,649) | 6,197,437 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 4.6% | |||||||||||
Sovereign — 4.6% | |||||||||||
Arab Republic of Egypt Senior Notes 6.38% due 04/11/2031 | EUR | 100,000 | 94,500 | ||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049 | 150,000 | 140,252 | |||||||||
Federative Republic of Brazil Notes 10.00% due 01/01/2031 | BRL | 800,000 | 158,001 | ||||||||
Government of Hungary Senior Notes 1.63% due 04/28/2032 | EUR | 130,000 | 136,320 | ||||||||
Government of Macedonia Senior Notes 3.68% due 06/03/2026* | EUR | 100,000 | 110,357 | ||||||||
Government of Romania Bonds 2.63% due 12/02/2040* | EUR | 70,000 | 58,824 | ||||||||
Government of Romania Notes 2.75% due 04/14/2041 | EUR | 25,000 | 21,118 | ||||||||
Government of Romania Senior Notes 3.38% due 02/08/2038 | EUR | 25,000 | 23,884 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 42,000 | 45,552 | ||||||||
Kingdom of Morocco Senior Notes 2.00% due 09/30/2030 | EUR | 100,000 | 96,573 | ||||||||
Kingdom of Saudi Arabia Senior Notes 2.00% due 07/09/2039 | EUR | 100,000 | 101,942 | ||||||||
Republic of Benin Senior Notes 4.95% due 01/22/2035* | EUR | 100,000 | 90,049 | ||||||||
Republic of Chile Senior Notes 1.25% due 01/22/2051 | EUR | 100,000 | 82,013 | ||||||||
Republic of Colombia Senior Notes 3.88% due 04/25/2027 | 200,000 | 192,008 | |||||||||
Republic of Croatia Notes 1.50% due 06/17/2031 | EUR | 100,000 | 103,711 | ||||||||
Republic of Indonesia Senior Notes 1.10% due 03/12/2033 | EUR | 100,000 | 96,239 | ||||||||
Republic of Philippines Senior Notes 1.75% due 04/28/2041 | EUR | 100,000 | 93,893 |
90
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount(13) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
Republic of the Philippines Senior Notes 1.20% due 04/28/2033 | EUR | 100,000 | $ | 98,312 | |||||||
Russian Federation Bonds 5.90% due 03/12/2031†(1)(11) | RUB | 10,755,000 | 3,971 | ||||||||
United Mexican States Senior Notes 1.45% due 10/25/2033 | EUR | 100,000 | 93,146 | ||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 80,000 | 78,786 | |||||||||
United Mexican States Bonds 7.75% due 05/29/2031 | MXN | 5,195,100 | 251,645 | ||||||||
Total Foreign Government Obligations (cost $2,723,469) | 2,171,096 | ||||||||||
OPTIONS — PURCHASED†(12) — 0.0% | |||||||||||
Over the Counter Call Options on Currency Contracts (cost $57,029) | 11,108,253 | 5,241 | |||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
ION Media Networks, Inc.†(1) | 10 | 35 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes | 19,000 | 99 | |||||||||
Total Escrows And Litigation Trusts (cost $0) | 134 | ||||||||||
Total Long-Term Investment Securities (cost $62,453,126) | 58,352,224 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.8% | |||||||||||
Registered Investment Companies — 0.8% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 0.17%(14) (cost $354,446) | 354,446 | 354,446 | |||||||||
REPURCHASE AGREEMENTS — 3.0% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(15) | $ | 310,000 | 310,000 | ||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(15) | 250,000 | 250,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(15) | 215,000 | 215,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(15) | 330,000 | 330,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(15) | 320,000 | 320,000 | |||||||||
Total Repurchase Agreements (cost $1,425,000) | 1,425,000 | ||||||||||
TOTAL INVESTMENTS (cost $64,232,572)(16) | 127.9 | % | 60,131,670 | ||||||||
Liabilities in excess of other assets | (27.9 | ) | (13,101,260 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 47,030,410 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $10,746,734 representing 22.9% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) Commercial Mortgage Backed Security
(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) Collateralized Loan Obligation
(6) Interest Only
(7) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2022.
(8) Principal amount of security is adjusted for inflation.
(9) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(10) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(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 March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Foreign Government Obligations: | |||||||||||||||||||||||||||
Russian Federation Bonds, 5.90% due 03/12/2031 | 05/27/2021 | RUB | 10,755,000 | $ | 134,713 | $ | 3,971 | $ | 0.00 | 0.00 | % |
(12) Options — Purchased
91
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Over the Counter Call Options on Currency Contracts
Issue | Counterparty | Expiration Month | Strike Price | Notional Amount(000's) | Premiums Paid | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2700 CNY per $1 USD | Goldman Sachs International | November 2022 | CNY | 7.27 | $ | 3,922 | $ | 18,829 | $ | 3,746 | $ | (15,083 | ) | ||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.28 | 4,138 | 19,279 | 1,001 | (18,278 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.38 | 1,197 | 6,351 | 259 | (6,092 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3100 CNY per $1 USD | JPMorgan Chase Bank | August 2022 | CNY | 7.31 | 1,851 | 12,570 | 235 | (12,335 | ) | ||||||||||||||||||||||
$ | 57,029 | $ | 5,241 | $ | (51,788 | ) |
CNY — Chinese Yuan
USD — United States Dollar
(13) Denominated in United States dollars unless otherwise indicated.
(14) The rate shown is the 7-day yield as of March 31, 2022.
(15) See Note 2 for details of Joint Repurchase Agreements.
(16) See Note 4 for cost of investments on a tax basis.
BRL — Brazilian Real
CLO — Collateralized Loan Obligation
EUR — Euro Currency
MXN — Mexican Peso
REMIC — Real Estate Mortgage Investment Conduit
RUB — Russian Ruble
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 March 31, 2022 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 | |||||||||||||||||||||
7 | Short | Euro-Bund | June 2022 | $ | 1,275,318 | $ | 1,228,623 | $ | 46,695 | ||||||||||||||||||
2 | Short | Euro-BUXL 30 Year Bonds | June 2022 | 442,123 | 411,967 | 30,156 | |||||||||||||||||||||
4 | Short | U.S. Treasury 10 Year Notes | June 2022 | 493,750 | 491,500 | 2,250 | |||||||||||||||||||||
14 | Short | U.S. Treasury Long Bonds | June 2022 | 2,146,940 | 2,100,875 | 46,065 | |||||||||||||||||||||
10 | Short | U.S. Treasury Ultra Bonds | June 2022 | 1,818,908 | 1,771,250 | 47,658 | |||||||||||||||||||||
$ | 172,824 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
1 | Long | U.S. Treasury 5 Year Notes | June 2022 | $ | 118,258 | $ | 114,688 | $ | (3,570 | ) | |||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 169,254 |
* 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.
92
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||
Citibank N.A. | MXN | 3,750,000 | USD | 176,639 | 06/15/2022 | $ | — | $ | (9,507 | ) | |||||||||||||
Deutsche Bank AG | EUR | 1,275,000 | USD | 1,428,791 | 06/15/2022 | 14,513 | — | ||||||||||||||||
Goldman Sachs International | BRL | 750,000 | USD | 144,603 | 06/15/2022 | — | (9,741 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 55,000 | USD | 60,492 | 06/15/2022 | — | (516 | ) | |||||||||||||||
Natwest Markets PLC | USD | 44,950 | EUR | 41,000 | 06/15/2022 | 528 | — | ||||||||||||||||
Standard Chartered Bank | USD | 27,750 | EUR | 25,000 | 06/15/2022 | — | (19 | ) | |||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 15,041 | $ | (19,783 | ) |
BRL — Brazilian Real
EUR — Euro Currency
MXN — Mexican Peso
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 | 110 | 12/15/2051 | USD-12 Month-SOFR/Annually | 1.56%/Annually | $ | (678 | ) | $ | 10,571 |
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 14,319,269 | $ | 343,749 | ** | $ | — | $ | 14,663,018 | ||||||||||
Asset Backed Securities | — | 8,710,685 | — | 8,710,685 | |||||||||||||||
U.S. Corporate Bonds & Notes | — | 10,431,359 | — | 10,431,359 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 869,408 | — | 869,408 | |||||||||||||||
Municipal Bond & Notes | — | 781,660 | — | 781,660 | |||||||||||||||
U.S. Government Agencies | — | 14,522,186 | — | 14,522,186 | |||||||||||||||
U.S. Government Treasuries | — | 6,197,437 | — | 6,197,437 | |||||||||||||||
Foreign Government Obligations | — | 2,167,125 | 3,971 | 2,171,096 | |||||||||||||||
Options — Purchased | — | 5,241 | — | 5,241 | |||||||||||||||
Escrows and Litigation Trusts | — | 99 | 35 | 134 | |||||||||||||||
Short-Term Investment Securities | 354,446 | — | — | 354,446 | |||||||||||||||
Repurchase Agreements | — | 1,425,000 | — | 1,425,000 | |||||||||||||||
Total Investments at Value | $ | 14,673,715 | $ | 45,453,949 | $ | 4,006 | $ | 60,131,670 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 172,824 | $ | — | $ | — | $ | 172,824 | |||||||||||
Forward Foreign Currency Contracts | — | 15,041 | — | 15,041 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 10,571 | — | 10,571 | |||||||||||||||
Total Other Financial Instruments | $ | 172,824 | $ | 25,612 | $ | — | $ | 198,436 |
93
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 3,570 | $ | — | $ | — | $ | 3,570 | |||||||||||
Forward Foreign Currency Contracts | — | 19,783 | — | 19,783 | |||||||||||||||
Total Other Financial Instruments | $ | 3,570 | $ | 19,783 | $ | — | $ | 23,353 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
94
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Uniform Mtg. Backed Securities | 24.8 | % | |||||
Diversified Financial Services | 23.0 | ||||||
United States Treasury Bonds | 12.1 | ||||||
Government National Mtg. Assoc. | 10.3 | ||||||
Sovereign | 5.8 | ||||||
United States Treasury Notes | 5.5 | ||||||
Diversified Banking Institutions | 4.3 | ||||||
Computer Software | 3.3 | ||||||
Federal National Mtg. Assoc. | 2.8 | ||||||
E-Commerce/Services | 2.7 | ||||||
Repurchase Agreements | 2.2 | ||||||
Electric-Integrated | 2.1 | ||||||
Municipal Bonds & Notes | 2.0 | ||||||
Enterprise Software/Service | 1.8 | ||||||
Federal Home Loan Mtg. Corp. | 1.4 | ||||||
Entertainment Software | 1.3 | ||||||
Cable/Satellite TV | 1.2 | ||||||
Medical-Biomedical/Gene | 1.1 | ||||||
Commercial Services-Finance | 1.1 | ||||||
Semiconductor Equipment | 0.9 | ||||||
Internet Content-Entertainment | 0.9 | ||||||
Internet Application Software | 0.9 | ||||||
E-Commerce/Products | 0.9 | ||||||
Advertising Services | 0.9 | ||||||
Real Estate Investment Trusts | �� | 0.9 | |||||
Pipelines | 0.8 | ||||||
Electronic Components-Semiconductors | 0.8 | ||||||
Banks-Super Regional | 0.7 | ||||||
Finance-Other Services | 0.7 | ||||||
Oil Companies-Exploration & Production | 0.7 | ||||||
Oil Companies-Integrated | 0.7 | ||||||
Medical-Drugs | 0.6 | ||||||
Telephone-Integrated | 0.5 | ||||||
Tobacco | 0.5 | ||||||
Medical-HMO | 0.5 | ||||||
Insurance-Life/Health | 0.5 | ||||||
Building & Construction Products-Misc. | 0.5 | ||||||
Internet Content-Information/News | 0.5 | ||||||
Communications Software | 0.4 | ||||||
Finance-Credit Card | 0.4 | ||||||
Computer Services | 0.4 | ||||||
Registered Investment Companies | 0.4 | ||||||
Cellular Telecom | 0.4 | ||||||
Applications Software | 0.4 | ||||||
Office Automation & Equipment | 0.4 | ||||||
Funeral Services & Related Items | 0.4 | ||||||
Apparel Manufacturers | 0.4 | ||||||
Motion Pictures & Services | 0.4 | ||||||
Medical Instruments | 0.4 | ||||||
Broadcast Services/Program | 0.3 | ||||||
Hazardous Waste Disposal | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Aerospace/Defense | 0.3 | ||||||
Retail-Restaurants | 0.3 | ||||||
Containers-Metal/Glass | 0.3 | ||||||
Transactional Software | 0.3 | ||||||
Retail-Apparel/Shoe | 0.3 | ||||||
Computers | 0.3 | ||||||
Brewery | 0.3 | ||||||
Medical Products | 0.2 | ||||||
Auto-Cars/Light Trucks | 0.2 |
Retail-Pawn Shops | 0.2 | % | |||||
Gas-Distribution | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Building-Residential/Commercial | 0.2 | ||||||
Pharmacy Services | 0.2 | ||||||
Electric-Distribution | 0.2 | ||||||
Networking Products | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Diagnostic Kits | 0.2 | ||||||
Internet Security | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Investment Companies | 0.2 | ||||||
Trucking/Leasing | 0.2 | ||||||
Advertising Sales | 0.2 | ||||||
Consulting Services | 0.2 | ||||||
Music | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Banks-Fiduciary | 0.1 | ||||||
Transport-Rail | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Schools | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Electronic Components-Misc. | 0.1 | ||||||
Insurance-Mutual | 0.1 | ||||||
Cruise Lines | 0.1 | ||||||
Oil-U.S. Royalty Trusts | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Electric-Transmission | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
135.9 | % |
* Calculated as a percentage of net assets
95
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 55.9 | % | |||||
Aa | 0.8 | ||||||
A | 7.7 | ||||||
Baa | 12.5 | ||||||
Ba | 7.3 | ||||||
B | 1.3 | ||||||
Caa | 0.4 | ||||||
Ca | 0.2 | ||||||
Not Rated## | 13.9 | ||||||
100.0 | % |
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
96
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 16.1% | |||||||||||
Advertising Services — 0.9% | |||||||||||
Trade Desk, Inc., Class A† | 4,720 | $ | 326,860 | ||||||||
Commercial Services-Finance — 0.9% | |||||||||||
Adyen NV†* | 69 | 136,314 | |||||||||
Block, Inc., Class A† | 1,490 | 202,044 | |||||||||
338,358 | |||||||||||
Communications Software — 0.4% | |||||||||||
Zoom Video Communications, Inc., Class A† | 1,345 | 157,674 | |||||||||
Computer Software — 3.3% | |||||||||||
Cloudflare, Inc., Class A† | 1,724 | 206,363 | |||||||||
Datadog, Inc., Class A† | 2,009 | 304,303 | |||||||||
Snowflake, Inc., Class A† | 1,546 | 354,235 | |||||||||
Twilio, Inc., Class A† | 468 | 77,131 | |||||||||
ZoomInfo Technologies, Inc.† | 4,929 | 294,459 | |||||||||
1,236,491 | |||||||||||
E-Commerce/Products — 0.9% | |||||||||||
Chewy, Inc., Class A† | 3,949 | 161,040 | |||||||||
Farfetch, Ltd., Class A† | 4,136 | 62,537 | |||||||||
Wayfair, Inc., Class A† | 1,023 | 113,328 | |||||||||
336,905 | |||||||||||
E-Commerce/Services — 2.4% | |||||||||||
Airbnb, Inc., Class A† | 1,730 | 297,145 | |||||||||
Match Group, Inc.† | 598 | 65,026 | |||||||||
MercadoLibre, Inc.† | 112 | 133,222 | |||||||||
Uber Technologies, Inc.† | 11,420 | 407,466 | |||||||||
902,859 | |||||||||||
Enterprise Software/Service — 1.3% | |||||||||||
Coupa Software, Inc.† | 1,431 | 145,433 | |||||||||
Veeva Systems, Inc., Class A† | 1,492 | 316,990 | |||||||||
462,423 | |||||||||||
Entertainment Software — 1.3% | |||||||||||
ROBLOX Corp., Class A† | 5,087 | 235,223 | |||||||||
Unity Software, Inc.† | 2,444 | 242,469 | |||||||||
477,692 | |||||||||||
Finance-Other Services — 0.3% | |||||||||||
Coinbase Global, Inc., Class A† | 527 | 100,056 | |||||||||
Internet Application Software — 0.9% | |||||||||||
Okta, Inc.† | 471 | 71,102 | |||||||||
Shopify, Inc., Class A† | 395 | 267,004 | |||||||||
338,106 | |||||||||||
Internet Content-Entertainment — 0.9% | |||||||||||
Snap, Inc., Class A† | 2,721 | 97,929 | |||||||||
Spotify Technology SA† | 678 | 102,391 | |||||||||
Twitter, Inc.† | 3,569 | 138,085 | |||||||||
338,405 | |||||||||||
Internet Content-Information/News — 0.5% | |||||||||||
IAC/InterActiveCorp† | 1,447 | 145,105 | |||||||||
Vimeo, Inc.† | 1,543 | 18,331 | |||||||||
163,436 |
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
Medical Instruments — 0.3% | |||||||||||
Intuitive Surgical, Inc.† | 293 | $ | 88,392 | ||||||||
Medical-Biomedical/Gene — 0.9% | |||||||||||
Illumina, Inc.† | 190 | 66,386 | |||||||||
Royalty Pharma PLC, Class A | 6,922 | 269,681 | |||||||||
336,067 | |||||||||||
Semiconductor Equipment — 0.9% | |||||||||||
ASML Holding NV | 519 | 346,656 | |||||||||
Total Common Stocks (cost $6,794,952) | 5,950,380 | ||||||||||
ASSET BACKED SECURITIES — 23.0% | |||||||||||
Diversified Financial Services — 23.0% | |||||||||||
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(1) | $ | 120,000 | 120,537 | ||||||||
510 Asset Backed Trust Series 2021-NPL2, Class A1 2.12% due 06/25/2061*(3) | 84,331 | 80,659 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 40,000 | 39,831 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-3, Class A1 1.69% due 04/25/2065*(2)(4) | 33,895 | 33,459 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-5, Class A1 0.95% due 07/25/2066*(2)(4) | 59,994 | 56,641 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-2, Class A1 0.99% due 04/25/2066*(2)(4) | 28,203 | 26,904 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-R1, Class A1 0.99% due 04/25/2053*(2)(4) | 27,433 | 26,972 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-3, Class A1 1.07% due 05/25/2066*(2)(4) | 50,751 | 47,917 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-8, Class A1 1.82% due 11/25/2066*(2)(4) | 46,129 | 43,204 | |||||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-2, Class A1 3.63% due 03/25/2049*(2)(4) | 3,626 | 3,623 | |||||||||
Asset Backed Securities Corp. Home Equity Loan Trust FRS Series 2004-HE7, Class M2 2.03% (1 ML+1.58%) due 10/25/2034 | 2,221 | 2,306 | |||||||||
Atrium XII FRS Series 12A, Class AR 1.09% (3 ML+0.83%) due 04/22/2027*(5) | 223,497 | 222,413 | |||||||||
BANK VRS Series 2017-BNK8, Class XA 0.72% due 11/15/2050(1)(4)(6) | 979,998 | 32,302 |
97
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
BANK VRS Series 2019-BN20, Class XA 0.85% due 09/15/2062(1)(4)(6) | $ | 988,524 | $ | 48,859 | |||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(4) | 43,529 | 43,250 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(4) | 27,994 | 27,579 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL4, Class A 3.50% due 01/28/2055*(4) | 26,034 | 25,867 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(4) | 26,502 | 26,374 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL3, Class A 4.00% due 11/28/2053*(4) | 27,303 | 27,100 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(4) | 37,248 | 36,850 | |||||||||
BBCMS Mtg. Trust FRS Series 2017-DELC, Class A 1.25% (1 ML+0.85%) due 08/15/2036*(1) | 153,000 | 151,459 | |||||||||
Bear Stearns Adjustable Rate Mtg. Trust VRS Series 2005-12, Class 12A1 2.83% due 02/25/2036(2)(4) | 49,143 | 45,115 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.49% due 01/15/2051(1)(4)(6) | 204,523 | 4,579 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.51% due 07/15/2051(1)(4)(6) | 354,354 | 7,558 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.64% due 01/15/2052(1)(4)(6) | 962,045 | 31,379 | |||||||||
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.23% due 03/15/2062(1)(4)(6) | 314,243 | 19,629 | |||||||||
Benchmark Mtg. Trust VRS Series 2020-B22, Class XA 1.52% due 01/15/2054(1)(4)(6) | 158,603 | 16,462 | |||||||||
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.79% due 07/15/2053(1)(4)(6) | 99,761 | 9,504 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
BlueMountain CLO XXIV, Ltd. FRS Series 2019-24A, Class AR 1.35% (3 ML + 1.10%) due 04/20/2034*(5) | $ | 250,000 | $ | 248,198 | |||||||
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 2.95% (1 ML + 2.55%) due 12/15/2037*(1) | 100,000 | 98,288 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(2)(4) | 16,728 | 16,784 | |||||||||
Citigroup Commercial Mtg. Trust Series 2014-GC19, Class A4 4.02% due 03/10/2047(1) | 75,000 | 75,816 | |||||||||
Citigroup Mtg. Loan Trust, Inc. FRS Series 2006-AR1, Class 3A1 2.77% (1 Yr USTYCR+2.40%) due 03/25/2036(2) | 19,337 | 19,047 | |||||||||
COLT Funding LLC VRS Series 2021-1, Class A1 0.91% due 06/25/2066*(2)(4) | 42,827 | 39,418 | |||||||||
COLT Mtg. Loan Trust VRS Series 2021-3, Class A1 0.96% due 09/27/2066*(2)(4) | 88,297 | 81,818 | |||||||||
Columbia Cent CLO, Ltd. FRS Series 2018-27A, Class AR 1.44% (3 ML+1.19%) due 01/25/2035*(5) | 250,000 | 247,433 | |||||||||
Commercial Mtg. Trust Series 2014-CR17, Class A5 3.98% due 05/10/2047(1) | 75,000 | 76,032 | |||||||||
Commercial Mtg. Trust Series 2013-WWP, Class A2 3.42% due 03/10/2031*(1) | 155,000 | 156,403 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class A3 3.53% due 12/10/2047(1) | 141,668 | 140,921 | |||||||||
Commercial Mtg. Trust Series 2014-UBS2, Class A5 3.96% due 03/10/2047(1) | 149,000 | 150,725 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust Series 2005-29, Class A1 5.75% due 12/25/2035(2) | 23,713 | 15,971 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.74% due 06/15/2057(1)(4)(6) | 1,083,087 | 19,159 | |||||||||
CSAIL Commercial Mtg. Trust Series 2016-C6, Class ASB 2.96% due 01/15/2049(1) | 71,540 | 71,477 | |||||||||
CSMC Trust VRS Series 2021-NQM5, Class A1 0.94% due 05/25/2066*(2)(4) | 82,547 | 77,944 |
98
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(2)(4) | $ | 29,318 | $ | 28,504 | |||||||
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.71% due 09/15/2053(1)(4)(6) | 99,755 | 8,451 | |||||||||
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(1) | 125,000 | 123,007 | |||||||||
DBJPM Mtg. Trust Series 2016-C1, Class ASB 3.04% due 05/10/2049(1) | 68,745 | 68,483 | |||||||||
Domino's Pizza Master Issuer LLC Series 2021-1A, Class A2I 2.66% due 04/25/2051* | 49,625 | 46,123 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 58,050 | 58,325 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 35,000 | 34,972 | |||||||||
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025* | 80,000 | 79,716 | |||||||||
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025* | 25,000 | 24,903 | |||||||||
First Horizon Alternative Mtg. Securities Trust VRS Series 2005-AA3, Class 3A1 2.22% due 05/25/2035(2)(4) | 34,104 | 34,048 | |||||||||
GCAT Trust VRS Series 2021-NQM3, Class A1 1.09% due 05/25/2066*(2)(4) | 73,619 | 69,685 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(1) | 160,000 | 159,754 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(1) | 40,000 | 41,834 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2018-GS10, Class XA 0.32% due 07/10/2051(1)(4)(6) | 1,111,728 | 21,126 | |||||||||
GS Mtg. Securities Corp. Trust Series 2014-GC20, Class A5 4.00% due 04/10/2047(1) | 140,000 | 141,465 | |||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(1) | 100,000 | 99,956 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR2, Class 3A1 2.52% due 04/25/2036(2)(4) | 4,599 | 3,462 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
GSR Mtg. Loan Trust VRS Series 2007-AR1, Class 2A1 2.74% due 03/25/2047(2)(4) | $ | 11,443 | $ | 8,538 | |||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 2.06% (1 ML + 1.60%) due 10/25/2028*(2) | 17,756 | 17,726 | |||||||||
Impac CMB Trust FRS Series 2005-4, Class 1A1A 1.00% (1 ML+0.54%) due 05/25/2035(2) | 25,616 | 24,793 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(1) | 85,000 | 84,486 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(1) | 25,000 | 24,281 | |||||||||
Legacy Mtg. Asset Trust Series 2021-GS3, Class A1 1.75% due 07/25/2061*(2)(3) | 89,579 | 85,281 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(2)(3) | 67,806 | 67,668 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(2)(3) | 78,529 | 78,174 | |||||||||
LSTAR Securities Investment Trust FRS Series 2021-1, Class A 2.03% (1 ML+1.80%) due 02/01/2026*(2) | 51,044 | 50,625 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 2.73% (1 ML + 1.50%) due 05/01/2024*(2) | 45,862 | 45,182 | |||||||||
Madison Park Funding XXXVIII, Ltd. FRS Series 2021-38A, Class A 1.36% (3 ML + 1.12%) due 07/17/2034*(5) | 250,000 | 247,882 | |||||||||
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A 1.54% due 03/20/2026* | 100,000 | 97,043 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A1, Class 2A1 2.46% due 12/25/2034(2)(4) | 7,624 | 7,866 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A2, Class A2 2.81% due 02/25/2035(2)(4) | 6,361 | 6,359 | |||||||||
MF1, Ltd. FRS Series 2022-FL8, Class AS 1.80% (SOFR30A +1.75%) due 02/19/2037* | 100,000 | 98,767 |
99
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
MFRA Trust VRS Series 2021-NQM1, Class A1 1.15% due 04/25/2065*(2)(4) | $ | 46,500 | $ | 45,692 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 0.96% due 12/15/2047(1)(4)(6) | 216,648 | 4,245 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2014-C14, Class A5 4.06% due 02/15/2047(1) | 25,000 | 25,349 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.34% due 06/15/2050(1)(4)(6) | 109,132 | 5,102 | |||||||||
Morgan Stanley Mtg. Loan Trust Series 2007-12, Class 3A22 6.00% due 08/25/2037(2) | 19,428 | 10,569 | |||||||||
MortgageIT Trust FRS Series 2005-4, Class A1 1.02% (1 ML+0.28%) due 10/25/2035(2) | 34,000 | 33,025 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-1A, Class A1A 4.00% due 12/25/2057*(2)(4) | 40,417 | 40,774 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 1.21% (1 ML + 0.75%) due 01/25/2048*(2) | 43,045 | 42,765 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.96% (1 ML+1.50%) due 06/25/2057*(2) | 32,070 | 32,333 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(2)(4) | 44,189 | 44,026 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(2)(4) | 34,065 | 34,076 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(2)(4) | 32,842 | 33,143 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(2)(4) | 58,705 | 58,866 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(2)(4) | 61,569 | 61,766 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(2)(4) | $ | 47,537 | $ | 47,709 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(2)(4) | 32,096 | 32,169 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(2)(4) | 53,905 | 54,249 | |||||||||
NMLT Trust VRS Series 2021-INV1, Class A1 1.19% due 05/25/2056*(2)(4) | 86,879 | 81,622 | |||||||||
NRP Mtg. Trust VRS Series 2013-1, Class A1 3.25% due 07/25/2043*(2)(4) | 4,087 | 3,963 | |||||||||
Oaktown Re III, Ltd. FRS Series 2019-1A, Class M1A 1.86% (1 M + 1.40%) due 07/25/2029*(2) | 7,561 | 7,561 | |||||||||
Option One Mtg. Loan Trust FRS Series 2006-3, Class 2A2 0.56% (1 ML+0.10%) due 02/25/2037 | 34,816 | 20,728 | |||||||||
PRET LLC Series 2021-RN2, Class A1 1.74% due 07/25/2051*(3) | 90,908 | 86,168 | |||||||||
Pretium Mtg. Credit Partners LLC VRS Series 2021-RN1, Class A1 1.99% due 02/25/2061*(2)(3) | 87,099 | 82,973 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2022-NPL1, Class A1 2.98% due 01/25/2052*(3) | 96,155 | 93,049 | |||||||||
PRPM LLC Series 2021-5, Class A1 1.79% due 06/25/2026*(2)(3) | 91,205 | 86,461 | |||||||||
PRPM LLC Series 2021-4, Class A1 1.87% due 04/25/2026*(2)(3) | 84,298 | 80,234 | |||||||||
PRPM LLC Series 2021-9, Class A1 2.36% due 10/25/2026*(2)(3) | 87,839 | 83,964 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2007-BR5, Class A2A 0.59% (1 ML+0.13%) due 05/25/2037 | 72,674 | 58,472 | |||||||||
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(1) | 90,000 | 87,410 | |||||||||
Sound Point CLO XXIX, Ltd. FRS Series 2021-1A, Class A 1.33% (3 ML+1.07%) due 04/25/2034*(5) | 250,000 | 248,196 |
100
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (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 0.96% (1 ML+0.25%) due 11/25/2036 | $ | 177,263 | $ | 171,110 | |||||||
Starwood Mtg. Residential Trust VRS Series 2021-6, Class A1 1.92% due 11/25/2066*(2)(4) | 97,067 | 91,518 | |||||||||
Summit Issuer LLC Series 2020-1A, Class A2 2.29% due 12/20/2050* | 25,000 | 23,585 | |||||||||
TICP CLO III-2, Ltd. FRS Series 2018-3R, Class A 1.09% (3 ML+0.84%) due 04/20/2028*(5) | 119,168 | 118,824 | |||||||||
Towd Point Mtg. Trust VRS Series 2016-2, Class A1A 2.75% due 08/25/2055*(2)(4) | 2,206 | 2,204 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-1, Class A1 2.75% due 10/25/2056*(2)(4) | 30,342 | 30,342 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-2, Class A1 2.75% due 04/25/2057*(2)(4) | 13,020 | 13,028 | |||||||||
Towd Point Mtg. Trust VRS Series 2017-6, Class A1 2.75% due 10/25/2057*(2)(4) | 44,978 | 44,548 | |||||||||
Towd Point Mtg. Trust VRS Series 2021-R1, Class A1 2.92% due 11/30/2060*(2)(4) | 96,394 | 93,784 | |||||||||
VCAT LLC Series 2021-NPL3, Class A1 1.74% due 05/25/2051*(2)(3) | 78,859 | 75,074 | |||||||||
Venture 42 CLO, Ltd. FRS Series 2021-42A, Class A1A 1.37% (3 ML+1.13%) due 04/15/2034*(5) | 100,000 | 98,503 | |||||||||
Venture 43 CLO, Ltd. FRS Series 2021-43A, Class A1 1.48% (3 ML+1.24%) due 04/15/2034*(5) | 100,000 | 99,386 | |||||||||
Verus Securitization Trust VRS Series 2021-2, Class A1 1.03% due 02/25/2066*(2)(4) | 61,268 | 58,981 | |||||||||
Verus Securitization Trust Series 2022-1, Class A1 2.72% due 01/25/2067*(2)(3) | 97,820 | 95,110 | |||||||||
VOLT XCIV LLC Series 2021-NPL3, Class A1 2.24% due 02/27/2051*(3) | 72,554 | 69,707 | |||||||||
VOLT XCIX LLC Series 2021-NPL8, Class A1 2.12% due 04/25/2051*(3) | 73,456 | 70,196 | |||||||||
Wellfleet CLO X, Ltd. FRS Series 2019-XA, Class A1R 1.42% (3 ML+1.17%) due 07/20/2032*(5) | 250,000 | 248,415 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 0.90% due 09/15/2057(1)(4)(6) | $ | 549,566 | $ | 14,824 | |||||||
Wells Fargo Commercial Mtg. Trust Series 2015-NXS3, Class A4 3.62% due 09/15/2057(1) | 60,000 | 60,449 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2014-LC16, Class A5 3.82% due 08/15/2050(1) | 80,000 | 80,636 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.15% due 05/15/2048(1)(4) | 10,000 | 9,507 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR14, Class 2A1 2.60% due 10/25/2036(2)(4) | 11,207 | 10,895 | |||||||||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.37% due 06/15/2051* | 79,400 | 70,789 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 47,875 | 47,370 | |||||||||
Westlake Automobile Receivables Trust Series 2020-3A, Class D 1.65% due 02/17/2026* | 30,000 | 29,068 | |||||||||
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024* | 55,000 | 55,092 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C20, Class A5 4.00% due 05/15/2047(1) | 145,000 | 146,253 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-L14, Class A5 4.05% due 03/15/2047(1) | 130,000 | 131,521 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2014-C19, Class A5 4.10% due 03/15/2047(1) | 60,000 | 60,978 | |||||||||
Total Asset Backed Securities (cost $8,732,521) | 8,530,607 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 27.2% | |||||||||||
Advertising Sales — 0.2% | |||||||||||
Lamar Media Corp. Company Guar. Notes 3.63% due 01/15/2031 | 10,000 | 9,181 | |||||||||
Lamar Media Corp. Company Guar. Notes 3.75% due 02/15/2028 | 15,000 | 14,243 | |||||||||
Lamar Media Corp. Company Guar. Notes 4.88% due 01/15/2029 | 40,000 | 39,700 | |||||||||
63,124 |
101
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Aerospace/Defense — 0.3% | |||||||||||
Boeing Co. Senior Notes 5.04% due 05/01/2027 | $ | 15,000 | $ | 15,818 | |||||||
Boeing Co. Senior Notes 5.15% due 05/01/2030 | 35,000 | 37,330 | |||||||||
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040 | 20,000 | 23,295 | |||||||||
Raytheon Technologies Corp. Senior Notes 2.38% due 03/15/2032 | 10,000 | 9,202 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.65% due 08/16/2023 | 2,000 | 2,027 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 20,000 | 20,644 | |||||||||
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 15,000 | 16,282 | |||||||||
124,598 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
L3Harris Technologies, Inc. Senior Notes 3.85% due 06/15/2023 | 40,000 | 40,577 | |||||||||
Apparel Manufacturers — 0.4% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.88% due 05/15/2026* | 40,000 | 40,300 | |||||||||
William Carter Co. Company Guar. Notes 5.63% due 03/15/2027* | 95,000 | 96,402 | |||||||||
136,702 | |||||||||||
Applications Software — 0.4% | |||||||||||
CDK Global, Inc. Senior Notes 5.25% due 05/15/2029* | 65,000 | 65,325 | |||||||||
Microsoft Corp. Senior Notes 3.04% due 03/17/2062 | 27,000 | 25,187 | |||||||||
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027* | 50,000 | 50,590 | |||||||||
141,102 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
Ford Motor Co. Senior Notes 3.25% due 02/12/2032 | 15,000 | 13,375 | |||||||||
General Motors Financial Co., Inc. Senior Notes 1.50% due 06/10/2026 | 80,000 | 73,216 | |||||||||
86,591 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Banks-Fiduciary — 0.1% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.05% due 01/26/2027 | $ | 60,000 | $ | 57,895 | |||||||
Banks-Super Regional — 0.7% | |||||||||||
Fifth Third Bancorp Senior Notes 1.71% due 11/01/2027 | 110,000 | 101,930 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 120,000 | 118,494 | |||||||||
Wells Fargo & Co. Senior Notes 3.35% due 03/02/2033 | 55,000 | 53,474 | |||||||||
273,898 | |||||||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.75% due 07/15/2042 | 30,000 | 28,587 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 5,000 | 5,419 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 40,000 | 46,749 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029 | 15,000 | 14,466 | |||||||||
95,221 | |||||||||||
Broadcast Services/Program — 0.3% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 11,000 | 11,086 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.90% due 11/15/2024 | 15,000 | 15,165 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028 | 20,000 | 20,012 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055 | 31,000 | 26,731 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.20% due 09/20/2047 | 15,000 | 15,596 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 40,000 | 41,814 | |||||||||
130,404 |
102
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building & Construction Products-Misc. — 0.5% | |||||||||||
Builders FirstSource, Inc. Company Guar. Notes 5.00% due 03/01/2030* | $ | 55,000 | $ | 54,406 | |||||||
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031* | 35,000 | 30,669 | |||||||||
Standard Industries, Inc. Senior Notes 4.38% due 07/15/2030* | 60,000 | 55,200 | |||||||||
Standard Industries, Inc. Senior Notes 4.75% due 01/15/2028* | 40,000 | 38,350 | |||||||||
178,625 | |||||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 42,000 | 44,731 | |||||||||
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028* | 37,000 | 38,110 | |||||||||
82,841 | |||||||||||
Cable/Satellite TV — 1.2% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030* | 80,000 | 75,063 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 2.30% due 02/01/2032 | 20,000 | 17,098 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.40% due 04/01/2033 | 35,000 | 34,902 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050 | 20,000 | 18,989 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 25,000 | 24,818 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 20,000 | 22,788 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 2.99% due 11/01/2063* | $ | 6,000 | $ | 4,907 | |||||||
Comcast Corp. Company Guar. Notes 3.20% due 07/15/2036 | 10,000 | 9,614 | |||||||||
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039 | 25,000 | 23,719 | |||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | 5,000 | 4,691 | |||||||||
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040 | 30,000 | 30,178 | |||||||||
Comcast Corp. Company Guar. Notes 4.25% due 01/15/2033 | 10,000 | 10,802 | |||||||||
Cox Communications, Inc. Senior Notes 2.60% due 06/15/2031* | 25,000 | 22,591 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 3.13% due 09/01/2026* | 75,000 | 70,910 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 25,000 | 23,145 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 5.88% due 11/15/2040 | 45,000 | 48,402 | |||||||||
442,617 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 20,000 | 18,866 | |||||||||
Cellular Telecom — 0.3% | |||||||||||
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028 | 45,000 | 41,172 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025 | 45,000 | 45,347 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050 | 15,000 | 15,203 | |||||||||
101,722 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 35,000 | 35,835 | |||||||||
LYB International Finance III LLC Company Guar. Notes 1.25% due 10/01/2025 | 10,000 | 9,268 | |||||||||
45,103 |
103
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
International Flavors & Fragrances, Inc. Senior Notes 2.30% due 11/01/2030* | $ | 20,000 | $ | 17,877 | |||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 4.50% due 06/01/2047 | 5,000 | 5,293 | |||||||||
Commercial Services — 0.1% | |||||||||||
Nielsen Finance LLC/ Nielsen Finance Co. Company Guar. Notes 4.50% due 07/15/2029* | 35,000 | 34,913 | |||||||||
Commercial Services-Finance — 0.2% | |||||||||||
Global Payments, Inc. Senior Notes 2.15% due 01/15/2027 | 10,000 | 9,400 | |||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 35,000 | 33,259 | |||||||||
S&P Global, Inc. Senior Notes 2.45% due 03/01/2027* | 10,000 | 9,740 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.70% due 03/01/2029* | 15,000 | 14,568 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.90% due 03/01/2032* | 15,000 | 14,551 | |||||||||
81,518 | |||||||||||
Computer Services — 0.4% | |||||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028* | 105,000 | 101,498 | |||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 4.00% due 07/01/2029* | 5,000 | 4,882 | |||||||||
Kyndryl Holdings, Inc. Senior Notes 3.15% due 10/15/2031* | 30,000 | 25,287 | |||||||||
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 20,000 | 19,995 | |||||||||
151,662 | |||||||||||
Computers — 0.3% | |||||||||||
Apple, Inc. Senior Notes 1.40% due 08/05/2028 | 35,000 | 32,031 | |||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 40,000 | 38,127 | |||||||||
Apple, Inc. Senior Notes 2.65% due 02/08/2051 | 20,000 | 17,241 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Computers (continued) | |||||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | $ | 15,000 | $ | 14,893 | |||||||
102,292 | |||||||||||
Consulting Services — 0.2% | |||||||||||
Gartner, Inc. Company Guar. Notes 3.63% due 06/15/2029* | 15,000 | 14,063 | |||||||||
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030* | 25,000 | 23,406 | |||||||||
Gartner, Inc. Company Guar. Notes 4.50% due 07/01/2028* | 25,000 | 24,995 | |||||||||
62,464 | |||||||||||
Containers-Metal/Glass — 0.3% | |||||||||||
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023 | 115,000 | 116,294 | |||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging International LLC Company Guar. Notes 4.75% due 07/15/2027* | 45,000 | 45,450 | |||||||||
Data Processing/Management — 0.2% | |||||||||||
Fair Isaac Corp. Senior Notes 4.00% due 06/15/2028* | 60,000 | 58,087 | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Avantor Funding, Inc. Company Guar. Notes 4.63% due 07/15/2028* | 50,000 | 49,375 | |||||||||
Diagnostic Kits — 0.2% | |||||||||||
Hologic, Inc. Company Guar. Notes 4.63% due 02/01/2028* | 70,000 | 70,875 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
Teleflex, Inc. Company Guar. Notes 4.63% due 11/15/2027 | 30,000 | 30,476 | |||||||||
Diversified Banking Institutions — 4.1% | |||||||||||
Bank of America Corp. Senior Notes 2.46% due 10/22/2025 | 35,000 | 34,421 | |||||||||
Bank of America Corp. Senior Notes 2.57% due 10/20/2032 | 20,000 | 18,176 | |||||||||
Bank of America Corp. Senior Notes 3.31% due 04/22/2042 | 45,000 | 41,701 | |||||||||
Bank of America Corp. Senior Notes 3.37% due 01/23/2026 | 115,000 | 115,178 | |||||||||
Bank of America Corp. Senior Notes 4.08% due 03/20/2051 | 90,000 | 92,769 |
104
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Sub. Notes 4.75% due 04/21/2045 | $ | 30,000 | $ | 32,401 | |||||||
Bank of America Corp. Sub. Notes 7.25% due 10/15/2025 | 4,000 | 4,493 | |||||||||
Citigroup, Inc. Senior Notes 1.28% due 11/03/2025 | 30,000 | 28,560 | |||||||||
Citigroup, Inc. Senior Notes 2.52% due 11/03/2032 | 70,000 | 62,810 | |||||||||
Citigroup, Inc. Senior Notes 3.20% due 10/21/2026 | 35,000 | 34,772 | |||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | 135,000 | 135,428 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 25,000 | 25,316 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.99% due 01/27/2032 | 15,000 | 12,996 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.38% due 07/21/2032 | 45,000 | 39,863 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.62% due 04/22/2032 | 80,000 | 72,719 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.65% due 10/21/2032 | 5,000 | 4,546 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 35,000 | 35,043 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.10% due 02/24/2033 | 10,000 | 9,427 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 01/23/2025 | 60,000 | 60,561 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 30,000 | 30,271 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.02% due 10/31/2038 | 10,000 | 10,107 | |||||||||
JPMorgan Chase & Co. Senior Bonds 2.55% due 11/08/2032 | 40,000 | 36,555 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.58% due 04/22/2032 | 15,000 | 13,744 | |||||||||
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031 | 5,000 | 4,679 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041 | $ | 15,000 | $ | 13,569 | |||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051 | 5,000 | 4,425 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.16% due 04/22/2042 | 40,000 | 36,425 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 10,000 | 10,038 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 30,000 | 29,912 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 95,000 | 95,464 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 40,000 | 40,475 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 55,000 | 56,204 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.01% due 04/23/2029 | 50,000 | 51,209 | |||||||||
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024 | 10,000 | 10,166 | |||||||||
Morgan Stanley Senior Notes 1.59% due 05/04/2027 | 65,000 | 60,467 | |||||||||
Morgan Stanley Senior Notes 1.79% due 02/13/2032 | 70,000 | 60,204 | |||||||||
Morgan Stanley Senior Notes 1.93% due 04/28/2032 | 25,000 | 21,612 | |||||||||
Morgan Stanley Senior Notes 2.24% due 07/21/2032 | 25,000 | 22,224 | |||||||||
Morgan Stanley Senior Notes 2.48% due 01/21/2028 | 35,000 | 33,445 | |||||||||
Morgan Stanley Senior Notes 2.51% due 10/20/2032 | 5,000 | 4,507 | |||||||||
Morgan Stanley Senior Notes 2.70% due 01/22/2031 | 5,000 | 4,692 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 16,000 | 15,883 | |||||||||
Morgan Stanley Senior Notes 3.59% due 07/22/2028 | 20,000 | 20,108 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 50,000 | 51,301 | |||||||||
1,598,866 |
105
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
E-Commerce/Services — 0.3% | |||||||||||
Go Daddy Operating Co. LLC/ GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027* | $ | 112,000 | $ | 112,560 | |||||||
Electric-Distribution — 0.2% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 25,000 | 24,719 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 5,000 | 5,309 | |||||||||
Sempra Energy Senior Notes 3.40% due 02/01/2028 | 30,000 | 29,977 | |||||||||
Sempra Energy Senior Notes 3.80% due 02/01/2038 | 10,000 | 9,816 | |||||||||
Sempra Energy Senior Notes 4.00% due 02/01/2048 | 5,000 | 4,957 | |||||||||
74,778 | |||||||||||
Electric-Integrated — 2.1% | |||||||||||
AES Corp. Senior Notes 3.30% due 07/15/2025* | 25,000 | 24,527 | |||||||||
Alabama Power Co. Senior Notes 3.45% due 10/01/2049 | 15,000 | 13,985 | |||||||||
Alabama Power Co. Senior Notes 4.15% due 08/15/2044 | 15,000 | 15,243 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029 | 20,000 | 19,116 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 3.20% due 12/01/2051 | 20,000 | 17,673 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 2.55% due 04/15/2031 | 15,000 | 14,083 | |||||||||
Duke Energy Corp. Senior Notes 2.55% due 06/15/2031 | 15,000 | 13,716 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 2.75% due 04/01/2050 | 30,000 | 25,372 | |||||||||
Duke Energy Progress LLC 1st Mtg. Bonds 3.70% due 10/15/2046 | 15,000 | 14,533 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.00% due 04/01/2052 | 10,000 | 10,594 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.38% due 03/30/2044 | 25,000 | 26,502 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Duquesne Light Holdings, Inc. Senior Notes 2.78% due 01/07/2032* | $ | 20,000 | $ | 17,878 | |||||||
Evergy Metro, Inc. 1st Mtg. Bonds 2.25% due 06/01/2030 | 5,000 | 4,586 | |||||||||
Evergy, Inc. Senior Notes 2.45% due 09/15/2024 | 15,000 | 14,758 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 25,000 | 23,912 | |||||||||
Exelon Corp. Senior Notes 3.95% due 06/15/2025 | 35,000 | 35,722 | |||||||||
Exelon Corp. Senior Bonds 4.10% due 03/15/2052* | 5,000 | 5,076 | |||||||||
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026 | 5,000 | 4,675 | |||||||||
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030 | 25,000 | 22,187 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 30,000 | 30,362 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 30,000 | 30,102 | |||||||||
Jersey Central Power & Light Co. Senior Notes 2.75% due 03/01/2032* | 15,000 | 13,970 | |||||||||
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050 | 15,000 | 13,768 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 5.25% due 03/01/2052 | 10,000 | 10,031 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031 | 55,000 | 47,416 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.95% due 07/01/2050 | 60,000 | 56,487 | |||||||||
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049 | 5,000 | 5,168 | |||||||||
PacifiCorp 1st Mtg. Notes 4.15% due 02/15/2050 | 5,000 | 5,251 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 25,000 | 25,081 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 4.10% due 06/15/2030 | 20,000 | 19,964 |
106
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
Southern California Edison Co. 1st Mtg. 2.75% due 02/01/2032 | $ | 30,000 | $ | 27,847 | |||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 15,000 | 14,276 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 7,000 | 6,722 | |||||||||
Southern California Edison Co. 1st Mtg. Notes Class C 4.13% due 03/01/2048 | 5,000 | 4,921 | |||||||||
Southern Co. Senior Notes 2.95% due 07/01/2023 | 10,000 | 10,057 | |||||||||
Southern Co. Senior Notes 3.25% due 07/01/2026 | 25,000 | 25,004 | |||||||||
Southern Co. Senior Notes 3.70% due 04/30/2030 | 5,000 | 5,022 | |||||||||
Xcel Energy, Inc. Senior Notes 1.75% due 03/15/2027 | 110,000 | 101,964 | |||||||||
777,551 | |||||||||||
Electric-Transmission — 0.1% | |||||||||||
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030* | 25,000 | 23,686 | |||||||||
Electronic Components-Semiconductors — 0.8% | |||||||||||
Broadcom, Inc. Senior Notes 3.42% due 04/15/2033* | 25,000 | 23,373 | |||||||||
Broadcom, Inc. Senior Notes 4.00% due 04/15/2029* | 105,000 | 104,948 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.30% due 11/15/2032 | 15,000 | 15,242 | |||||||||
Intel Corp. Senior Bonds 3.05% due 08/12/2051 | 20,000 | 17,808 | |||||||||
Intel Corp. Senior Notes 3.10% due 02/15/2060 | 5,000 | 4,294 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.45% due 04/15/2028 | 30,000 | 27,634 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.95% due 04/15/2031 | 30,000 | 27,734 | |||||||||
Microchip Technology, Inc. Sec. Notes 2.67% due 09/01/2023 | 50,000 | 49,859 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040 | $ | 25,000 | $ | 25,097 | |||||||
295,989 | |||||||||||
Enterprise Software/Service — 0.4% | |||||||||||
Oracle Corp. Senior Notes 2.30% due 03/25/2028 | 25,000 | 22,876 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2040 | 11,000 | 9,551 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2050 | 20,000 | 16,589 | |||||||||
Oracle Corp. Senior Notes 3.85% due 04/01/2060 | 70,000 | 57,413 | |||||||||
Oracle Corp. Senior Notes 3.95% due 03/25/2051 | 20,000 | 17,475 | |||||||||
Oracle Corp. Senior Notes 4.00% due 07/15/2046 | 20,000 | 17,738 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 15,000 | 13,259 | |||||||||
Oracle Corp. Senior Notes 4.10% due 03/25/2061 | 15,000 | 12,780 | |||||||||
167,681 | |||||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Navient Corp. Senior Notes 7.25% due 09/25/2023 | 27,000 | 28,007 | |||||||||
Springleaf Finance Corp. Company Guar. Notes 6.13% due 03/15/2024 | 10,000 | 10,250 | |||||||||
38,257 | |||||||||||
Finance-Credit Card — 0.4% | |||||||||||
Capital One Financial Corp. Senior Notes 1.88% due 11/02/2027 | 110,000 | 101,640 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 40,000 | 40,651 | |||||||||
Mastercard, Inc. Senior Notes 2.95% due 03/15/2051 | 15,000 | 13,716 | |||||||||
156,007 | |||||||||||
Finance-Other Services — 0.4% | |||||||||||
GTP Acquisition Partners I LLC Senior Sec. Notes 3.48% due 06/15/2050* | 160,000 | 160,638 |
107
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Food-Confectionery — 0.1% | |||||||||||
Mondelez International, Inc. Senior Notes 2.63% due 03/17/2027 | $ | 15,000 | $ | 14,658 | |||||||
Mondelez International, Inc. Senior Notes 3.00% due 03/17/2032 | 10,000 | 9,645 | |||||||||
24,303 | |||||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 10,000 | 10,282 | |||||||||
Conagra Brands, Inc. Senior Notes 4.85% due 11/01/2028 | 15,000 | 15,893 | |||||||||
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048 | 5,000 | 5,738 | |||||||||
Kellogg Co. Senior Notes 3.40% due 11/15/2027 | 40,000 | 39,984 | |||||||||
71,897 | |||||||||||
Funeral Services & Related Items — 0.4% | |||||||||||
Service Corp. International Senior Notes 3.38% due 08/15/2030 | 50,000 | 45,044 | |||||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 92,000 | 93,618 | |||||||||
138,662 | |||||||||||
Gas-Distribution — 0.2% | |||||||||||
NiSource, Inc. Senior Notes 3.49% due 05/15/2027 | 30,000 | 29,950 | |||||||||
NiSource, Inc. Senior Notes 3.60% due 05/01/2030 | 55,000 | 54,550 | |||||||||
84,500 | |||||||||||
Hazardous Waste Disposal — 0.3% | |||||||||||
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027* | 85,000 | 84,787 | |||||||||
Clean Harbors, Inc. Company Guar. Notes 5.13% due 07/15/2029* | 45,000 | 45,169 | |||||||||
129,956 | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. Senior Sec. Notes 2.45% due 12/02/2027* | 25,000 | 23,080 | |||||||||
Insurance Brokers — 0.3% | |||||||||||
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022 | 30,000 | 30,056 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Insurance Brokers (continued) | |||||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 2.85% due 05/28/2027 | $ | 15,000 | $ | 14,697 | |||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 3.90% due 02/28/2052 | 10,000 | 9,861 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 15,000 | 15,122 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.88% due 03/15/2024 | 25,000 | 25,541 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 10,000 | 10,989 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 20,000 | 20,130 | |||||||||
126,396 | |||||||||||
Insurance-Life/Health — 0.5% | |||||||||||
Athene Global Funding Sec. Notes 2.65% due 10/04/2031* | 45,000 | 39,717 | |||||||||
Athene Global Funding Secured Notes 2.72% due 01/07/2029* | 50,000 | 45,993 | |||||||||
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030 | 40,000 | 43,854 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 1.80% due 03/08/2028* | 55,000 | 49,558 | |||||||||
179,122 | |||||||||||
Insurance-Mutual — 0.1% | |||||||||||
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025* | 15,000 | 14,563 | |||||||||
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050* | 15,000 | 14,532 | |||||||||
29,095 | |||||||||||
Internet Security — 0.2% | |||||||||||
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025* | 70,000 | 70,000 | |||||||||
Investment Companies — 0.2% | |||||||||||
Bain Capital Specialty Finance, Inc. Senior Notes 2.55% due 10/13/2026 | 75,000 | 67,724 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Otis Worldwide Corp. Senior Notes 2.57% due 02/15/2030 | 25,000 | 23,368 |
108
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical Instruments — 0.1% | |||||||||||
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025 | $ | 20,000 | $ | 19,220 | |||||||
Medical Products — 0.2% | |||||||||||
Baxter International Inc Senior Notes 2.54% due 02/01/2032* | 100,000 | 91,328 | |||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 3.35% due 02/22/2032 | 10,000 | 9,908 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 2,000 | 2,002 | |||||||||
11,910 | |||||||||||
Medical-Drugs — 0.5% | |||||||||||
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029 | 15,000 | 14,811 | |||||||||
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042 | 10,000 | 10,646 | |||||||||
Astrazeneca Finance LLC Company Guar. Notes 1.75% due 05/28/2028 | 45,000 | 41,542 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 0.75% due 11/13/2025 | 30,000 | 27,821 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.55% due 11/13/2050 | 30,000 | 24,887 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.95% due 03/15/2032 | 10,000 | 9,784 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.55% due 03/15/2042 | 45,000 | 44,497 | |||||||||
173,988 | |||||||||||
Medical-HMO — 0.5% | |||||||||||
Anthem, Inc. Senior Notes 5.10% due 01/15/2044 | 15,000 | 17,295 | |||||||||
Centene Corp. Senior Notes 3.38% due 02/15/2030 | 20,000 | 18,800 | |||||||||
Centene Corp. Senior Notes 4.63% due 12/15/2029 | 80,000 | 80,960 | |||||||||
Humana, Inc. Senior Notes 2.15% due 02/03/2032 | 15,000 | 13,145 | |||||||||
Humana, Inc. Senior Notes 3.70% due 03/23/2029 | 30,000 | 30,121 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 2.75% due 05/15/2040 | $ | 20,000 | $ | 17,977 | |||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 10,000 | 9,929 | |||||||||
188,227 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 5,000 | 4,855 | |||||||||
HCA, Inc. Senior Sec. Notes 3.63% due 03/15/2032* | 10,000 | 9,798 | |||||||||
HCA, Inc. Senior Sec. Bonds 4.63% due 03/15/2052* | 10,000 | 10,081 | |||||||||
Kaiser Foundation Hospitals Notes 2.81% due 06/01/2041 | 15,000 | 13,112 | |||||||||
Kaiser Foundation Hospitals Notes 3.00% due 06/01/2051 | 20,000 | 17,608 | |||||||||
Sutter Health Notes 3.36% due 08/15/2050 | 15,000 | 13,368 | |||||||||
68,822 | |||||||||||
Motion Pictures & Services — 0.4% | |||||||||||
Magallanes, Inc. Company Guar. Notes 4.28% due 03/15/2032* | 25,000 | 25,108 | |||||||||
Magallanes, Inc. Company Guar. Bonds 5.14% due 03/15/2052* | 105,000 | 107,451 | |||||||||
132,559 | |||||||||||
Music — 0.2% | |||||||||||
WMG Acquisition Corp. Senior Sec. Notes 3.88% due 07/15/2030* | 65,000 | 62,075 | |||||||||
Office Automation & Equipment — 0.4% | |||||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 2.67% due 12/01/2026 | 5,000 | 4,705 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029 | 94,000 | 86,368 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.28% due 12/01/2028 | 10,000 | 9,419 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.57% due 12/01/2031 | 10,000 | 9,265 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 4.13% due 05/01/2025 | 10,000 | 10,052 |
109
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Office Automation & Equipment (continued) | |||||||||||
Xerox Holdings Corp. Company Guar. Notes 5.50% due 08/15/2028* | $ | 20,000 | $ | 19,505 | |||||||
139,314 | |||||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
Apache Corp. Senior Notes 4.88% due 11/15/2027 | 30,000 | 30,750 | |||||||||
ConocoPhillips Co. Company Guar. Notes 3.80% due 03/15/2052 | 5,000 | 5,085 | |||||||||
ConocoPhillips Co. Company Guar. Notes 4.03% due 03/15/2062* | 5,000 | 5,068 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.75% due 01/15/2031* | 10,000 | 10,938 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 3.50% due 12/01/2029 | 5,000 | 4,952 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 3,000 | 3,702 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 30,000 | 36,777 | |||||||||
Ovintiv, Inc. Company Guar. Notes 7.38% due 11/01/2031 | 30,000 | 36,778 | |||||||||
134,050 | |||||||||||
Oil Companies-Integrated — 0.3% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 2.94% due 06/04/2051 | 25,000 | 21,305 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.00% due 02/24/2050 | 5,000 | 4,316 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.06% due 06/17/2041 | 5,000 | 4,485 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.38% due 02/08/2061 | 15,000 | 13,388 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030 | 30,000 | 30,528 | |||||||||
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040 | 25,000 | 27,032 | |||||||||
101,054 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025 | 25,000 | 26,008 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil-U.S. Royalty Trusts — 0.1% | |||||||||||
Viper Energy Partners LP Company Guar. Notes 5.38% due 11/01/2027* | $ | 27,000 | $ | 27,502 | |||||||
Pharmacy Services — 0.2% | |||||||||||
Cigna Corp. Senior Notes 1.25% due 03/15/2026 | 55,000 | 51,409 | |||||||||
CVS Health Corp. Senior Notes 4.13% due 04/01/2040 | 5,000 | 5,092 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 20,000 | 22,599 | |||||||||
79,100 | |||||||||||
Pipelines — 0.8% | |||||||||||
Energy Transfer LP Senior Notes 5.15% due 03/15/2045 | 10,000 | 10,101 | |||||||||
Energy Transfer LP Senior Notes 6.13% due 12/15/2045 | 65,000 | 71,710 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.30% due 02/15/2053 | 5,000 | 4,264 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 10,000 | 10,037 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.95% due 10/15/2054 | 10,000 | 10,867 | |||||||||
EQM Midstream Partners LP Senior Notes 4.13% due 12/01/2026 | 30,000 | 28,801 | |||||||||
MPLX LP Senior Notes 4.95% due 03/14/2052 | 30,000 | 31,317 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 5,000 | 5,364 | |||||||||
NGPL PipeCo LLC Senior Notes 3.25% due 07/15/2031* | 15,000 | 14,007 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030 | 25,000 | 23,434 | |||||||||
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026 | 10,000 | 10,759 | |||||||||
ONEOK, Inc. Company Guar. Notes 6.35% due 01/15/2031 | 5,000 | 5,783 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030 | 25,000 | 26,147 |
110
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Targa Resources Corp. Company Guar. Notes 4.20% due 02/01/2033 | $ | 15,000 | $ | 15,151 | |||||||
Transcontinental Gas Pipe Line Co., LLC Senior Notes 3.25% due 05/15/2030 | 10,000 | 9,767 | |||||||||
Western Midstream Operating LP Senior Notes 4.75% due 08/15/2028 | 30,000 | 30,964 | |||||||||
308,473 | |||||||||||
Real Estate Investment Trusts — 0.9% | |||||||||||
American Tower Corp. Senior Notes 1.45% due 09/15/2026 | 15,000 | 13,704 | |||||||||
American Tower Corp. Senior Notes 1.50% due 01/31/2028 | 5,000 | 4,426 | |||||||||
American Tower Corp. Senior Notes 2.40% due 03/15/2025 | 15,000 | 14,608 | |||||||||
American Tower Corp. Senior Notes 3.65% due 03/15/2027 | 15,000 | 14,998 | |||||||||
EPR Properties Senior Notes 3.60% due 11/15/2031 | 10,000 | 9,067 | |||||||||
EPR Properties Senior Notes 3.75% due 08/15/2029 | 25,000 | 23,404 | |||||||||
EPR Properties Company Guar. Notes 4.95% due 04/15/2028 | 35,000 | 35,092 | |||||||||
Equinix, Inc. Senior Notes 2.00% due 05/15/2028 | 15,000 | 13,539 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 3.25% due 01/15/2032 | 15,000 | 13,610 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031 | 15,000 | 14,548 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 25,000 | 26,264 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028 | 10,000 | 10,763 | |||||||||
Realty Income Corp. Senior Notes 2.85% due 12/15/2032 | 5,000 | 4,713 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Realty Income Corp. Senior Notes 3.40% due 01/15/2028 | $ | 10,000 | $ | 9,989 | |||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 40,000 | 39,376 | |||||||||
SBA Tower Trust Mtg. Notes 3.45% due 03/15/2048* | 70,000 | 70,014 | |||||||||
318,115 | |||||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
United Rentals North America, Inc. Company Guar. Notes 3.88% due 02/15/2031 | 30,000 | 28,275 | |||||||||
United Rentals North America, Inc. Company Guar. Notes 4.88% due 01/15/2028 | 40,000 | 40,632 | |||||||||
68,907 | |||||||||||
Retail-Apparel/Shoe — 0.3% | |||||||||||
Gap, Inc. Company Guar. Notes 3.63% due 10/01/2029* | 62,000 | 54,991 | |||||||||
Gap, Inc. Company Guar. Notes 3.88% due 10/01/2031* | 58,000 | 50,524 | |||||||||
105,515 | |||||||||||
Retail-Automobile — 0.1% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 4.50% due 03/01/2028 | 20,000 | 19,212 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040 | 30,000 | 28,922 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.35% due 04/01/2027 | 5,000 | 5,034 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.75% due 04/01/2032 | 5,000 | 5,058 | |||||||||
39,014 | |||||||||||
Retail-Pawn Shops — 0.2% | |||||||||||
FirstCash, Inc. Company Guar. Notes 4.63% due 09/01/2028* | 50,000 | 46,562 | |||||||||
FirstCash, Inc. Company Guar. Notes 5.63% due 01/01/2030* | 40,000 | 38,532 | |||||||||
85,094 | |||||||||||
Retail-Restaurants — 0.1% | |||||||||||
McDonald's Corp. Senior Notes 3.35% due 04/01/2023 | 20,000 | 20,249 |
111
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
McDonald's Corp. Senior Notes 3.63% due 09/01/2049 | $ | 25,000 | $ | 23,924 | |||||||
44,173 | |||||||||||
Schools — 0.1% | |||||||||||
Howard University Notes 2.65% due 10/01/2028 | 5,000 | 4,667 | |||||||||
Howard University Notes 2.80% due 10/01/2030 | 15,000 | 14,084 | |||||||||
Howard University Notes 2.90% due 10/01/2031 | 10,000 | 9,258 | |||||||||
Howard University Notes 3.48% due 10/01/2041 | 15,000 | 13,454 | |||||||||
41,463 | |||||||||||
Telephone-Integrated — 0.5% | |||||||||||
AT&T, Inc. Senior Notes 3.50% due 02/01/2061 | 5,000 | 4,202 | |||||||||
AT&T, Inc. Senior Notes 3.55% due 09/15/2055 | 112,000 | 98,721 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 06/01/2051 | 15,000 | 13,627 | |||||||||
AT&T, Inc. Senior Notes 3.80% due 12/01/2057 | 5,000 | 4,559 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 5,000 | 5,290 | |||||||||
Verizon Communications, Inc. Senior Bonds 2.85% due 09/03/2041 | 40,000 | 35,247 | |||||||||
Verizon Communications, Inc. Senior Notes 3.15% due 03/22/2030 | 35,000 | 34,437 | |||||||||
196,083 | |||||||||||
Tobacco — 0.3% | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028 | 35,000 | 31,461 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 35,000 | 34,571 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.74% due 03/16/2032 | 45,000 | 45,272 | |||||||||
111,304 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Transactional Software — 0.3% | |||||||||||
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028* | $ | 114,000 | $ | 107,730 | |||||||
Transport-Rail — 0.1% | |||||||||||
Union Pacific Corp. Senior Notes 2.38% due 05/20/2031 | 45,000 | 42,111 | |||||||||
Union Pacific Corp. Senior Notes 2.80% due 02/14/2032 | 15,000 | 14,404 | |||||||||
56,515 | |||||||||||
Trucking/Leasing — 0.2% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 2.70% due 11/01/2024* | 35,000 | 34,501 | |||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.00% due 07/15/2025* | 30,000 | 30,326 | |||||||||
64,827 | |||||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 10,000 | 10,362 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $10,540,384) | 10,052,522 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 2.3% | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Rogers Communications, Inc. Company Guar. Notes 3.80% due 03/15/2032* | 15,000 | 14,860 | |||||||||
Rogers Communications, Inc. Company Guar. Notes 4.55% due 03/15/2052* | 25,000 | 24,975 | |||||||||
39,835 | |||||||||||
Cruise Lines — 0.1% | |||||||||||
Carnival Corp. Senior Sec. Notes 4.00% due 08/01/2028* | 30,000 | 27,900 | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049 | 5,000 | 5,323 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025* | 30,000 | 30,413 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Open Text Corp. Company Guar. Notes 3.88% due 12/01/2029* | 50,000 | 47,500 |
112
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Royalty Pharma PLC Company Guar. Notes 1.75% due 09/02/2027 | $ | 5,000 | $ | 4,546 | |||||||
Royalty Pharma PLC Company Guar. Notes 2.15% due 09/02/2031 | 55,000 | 47,313 | |||||||||
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030 | 10,000 | 8,744 | |||||||||
Royalty Pharma PLC Company Guar. Notes 3.55% due 09/02/2050 | 20,000 | 16,587 | |||||||||
77,190 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 5.75% due 08/15/2027* | 50,000 | 49,267 | |||||||||
Metal-Iron — 0.1% | |||||||||||
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030 | 25,000 | 24,076 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 10,000 | 11,015 | |||||||||
35,091 | |||||||||||
Networking Products — 0.2% | |||||||||||
Nokia Oyj Senior Notes 4.38% due 06/12/2027 | 50,000 | 50,719 | |||||||||
Nokia Oyj Senior Notes 6.63% due 05/15/2039 | 20,000 | 23,825 | |||||||||
74,544 | |||||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.50% due 03/30/2024* | 10,000 | 9,878 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.88% due 03/30/2026* | 10,000 | 9,650 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 5.88% due 03/30/2031* | 30,000 | 28,567 | |||||||||
Leviathan Bond, Ltd. Senior Sec. Notes 6.50% due 06/30/2027* | 50,000 | 51,158 | |||||||||
99,253 | |||||||||||
Oil Companies-Integrated — 0.4% | |||||||||||
Ecopetrol SA Senior Notes 4.63% due 11/02/2031 | 55,000 | 49,959 | |||||||||
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026 | 20,000 | 19,173 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Oil Companies-Integrated (continued) | |||||||||||
Equinor ASA Company Guar. Notes 3.63% due 04/06/2040 | $ | 10,000 | $ | 10,067 | |||||||
Equinor ASA Company Guar. Bonds 3.70% due 04/06/2050 | 15,000 | 15,165 | |||||||||
Shell International Finance BV Company Guar. Notes 2.88% due 11/26/2041 | 10,000 | 8,987 | |||||||||
Shell International Finance BV Company Guar. Notes 3.00% due 11/26/2051 | 10,000 | 8,945 | |||||||||
Shell International Finance BV Company Guar. Notes 3.25% due 04/06/2050 | 15,000 | 14,068 | |||||||||
126,364 | |||||||||||
Retail-Restaurants — 0.2% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028* | 80,000 | 75,803 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 55,000 | 56,608 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.35% due 03/01/2026* | 15,000 | 15,931 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028* | 10,000 | 11,005 | |||||||||
83,544 | |||||||||||
Tobacco — 0.2% | |||||||||||
BAT International Finance PLC Company Guar. Notes 1.67% due 03/25/2026 | 35,000 | 32,156 | |||||||||
BAT International Finance PLC Company Guar. Notes 4.45% due 03/16/2028 | 50,000 | 50,190 | |||||||||
82,346 | |||||||||||
Total Foreign Corporate Bonds & Notes (cost $889,689) | 854,373 | ||||||||||
MUNICIPAL BONDS & NOTES — 2.0% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 15,000 | 16,401 | |||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | 40,000 | 43,610 | |||||||||
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029 | 5,000 | 5,275 | |||||||||
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040 | 10,000 | 9,979 |
113
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
County of Riverside, CA Revenue Bonds 2.96% due 02/15/2027 | $ | 80,000 | $ | 79,656 | |||||||
County of Riverside, CA Revenue Bonds 3.07% due 02/15/2028 | 80,000 | 79,860 | |||||||||
Florida State Board of Administration Finance Corp. Revenue Bonds Series A 1.26% due 07/01/2025 | 70,000 | 66,495 | |||||||||
Metropolitan Transportation Authority Revenue Bonds 4.75% due 11/15/2045 | 35,000 | 37,716 | |||||||||
Metropolitan Transportation Authority Revenue Bonds Series C2 5.18% due 11/15/2049 | 95,000 | 108,697 | |||||||||
Municipal Electric Authority of Georgia Revenue Bonds 6.64% due 04/01/2057 | 19,000 | 25,357 | |||||||||
New York Transportation Development Corp. Revenue Bonds 4.25% due 09/01/2035 | 90,000 | 93,071 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 95,000 | 112,218 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 35,636 | 36,272 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 10,000 | 10,198 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 20,000 | 20,000 | |||||||||
Total Municipal Bonds & Notes (cost $723,839) | 744,805 | ||||||||||
U.S. GOVERNMENT AGENCIES — 39.3% | |||||||||||
Federal Home Loan Mtg. Corp. — 1.4% | |||||||||||
2.50% due 01/01/2028 | 2,332 | 2,312 | |||||||||
2.50% due 04/01/2028 | 4,950 | 4,909 | |||||||||
3.00% due 08/01/2027 | 2,255 | 2,277 | |||||||||
3.00% due 10/01/2042 | 9,536 | 9,544 | |||||||||
3.00% due 11/01/2042 | 2,785 | 2,787 | |||||||||
3.00% due 02/01/2043 | 11,854 | 11,836 | |||||||||
3.00% due 08/01/2043 | 29,272 | 29,226 | |||||||||
3.50% due 02/01/2042 | 1,643 | 1,679 | |||||||||
3.50% due 03/01/2042 | 1,894 | 1,935 | |||||||||
3.50% due 09/01/2043 | 10,401 | 10,625 | |||||||||
4.00% due 10/01/2043 | 3,923 | 4,079 | |||||||||
4.50% due 01/01/2039 | 361 | 384 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
5.00% due 05/01/2034 | $ | 2,650 | $ | 2,813 | |||||||
5.50% due 07/01/2034 | 2,997 | 3,245 | |||||||||
5.50% due 07/01/2035 | 2,800 | 3,070 | |||||||||
5.50% due 04/01/2037 | 992 | 1,094 | |||||||||
5.50% due 05/01/2037 | 1,051 | 1,156 | |||||||||
5.50% due 08/01/2037 | 5,454 | 6,016 | |||||||||
6.50% due 05/01/2029 | 930 | 1,002 | |||||||||
Federal Home Loan Mtg. Corp. FRS 1.74% (6 ML+1.49%) due 02/01/2037 | 389 | 401 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K1510, Class X1 0.48% due 01/25/2034(1)(4)(6) | 204,555 | 8,977 | |||||||||
Series K064, Class X1 0.60% due 03/25/2027(1)(4)(6) | 355,958 | 9,089 | |||||||||
Series K124, Class X1 0.72% due 12/25/2030(1)(4)(6) | 270,621 | 13,947 | |||||||||
Series K122, Class X1 0.88% due 11/25/2030(1)(4)(6) | 99,814 | 6,075 | |||||||||
Series K121, Class X1 1.03% due 10/25/2030(1)(4)(6) | 118,061 | 8,205 | |||||||||
Series K114, Class X1 1.12% due 06/25/2030(1)(4)(6) | 214,422 | 16,093 | |||||||||
Series K104, Class X1 1.12% due 01/25/2030(1)(4)(6) | 182,653 | 13,015 | |||||||||
Series K111, Class X1 1.57% due 05/25/2030(1)(4)(6) | 99,660 | 10,321 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. Series K068, Class A2 3.24% due 08/25/2027(1) | 82,000 | 83,936 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2019-3, Class MV 3.50% due 10/25/2058(2) | 18,046 | 18,371 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 2.11% (1 ML+1.65%) due 04/25/2043*(2) | 7,401 | 7,382 | |||||||||
Series 2019-HQA3, Class M2 2.31% (1 ML + 1.85%) due 09/25/2049*(2) | 24,823 | 24,784 | |||||||||
Series 2019-DNA3, Class M2 2.51% (1 ML + 2.05%) due 07/25/2049*(2) | 29,631 | 29,631 |
114
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2019-HQA1, Class M2 2.81% (1 ML + 2.35%) due 02/25/2049*(2) | $ | 65,153 | $ | 65,153 | |||||||
Series 2019-DNA2, Class M2 2.91% (1 ML+2.45%) due 03/25/2049*(2) | 39,611 | 39,660 | |||||||||
Federal Home Loan Mtg. Corp., REMIC Series 4216, Class KQ 1.70% due 10/15/2039(2) | 15,066 | 14,935 | |||||||||
Series 3964, Class MD 2.00% due 01/15/2041(2) | 182 | 180 | |||||||||
Series 4961, Class JB 2.50% due 12/15/2042(2) | 32,384 | 31,466 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(2) | 11,027 | 10,960 | |||||||||
Series 1577, Class PK 6.50% due 09/15/2023(2) | 504 | 515 | |||||||||
513,085 | |||||||||||
Federal National Mtg. Assoc. — 2.8% | |||||||||||
Fannie Mae Connecticut Avenue Securities FRS Series 2019-R04, Class 2M2 2.56% (1 ML +2.10%) due 06/25/2039*(2) | 740 | 740 | |||||||||
Series 2017-C01, Class 1M2 4.01% (1 ML+3.55%) due 07/25/2029(2) | 21,036 | 21,414 | |||||||||
Series 2016-C07, Class 2M2 4.81% (1 ML+4.35%) due 05/25/2029(2) | 37,114 | 38,670 | |||||||||
Federal National Mtg. Assoc. 2.50% due 02/01/2043 | 60,792 | 58,767 | |||||||||
2.50% due 03/01/2043 | 66,657 | 64,427 | |||||||||
2.66% due 03/01/2027 | 202,424 | 201,735 | |||||||||
2.78% due 03/01/2027 | 70,479 | 70,605 | |||||||||
3.00% due 01/01/2028 | 4,473 | 4,520 | |||||||||
4.50% due 01/01/2039 | 873 | 929 | |||||||||
4.50% due 06/01/2039 | 5,813 | 6,032 | |||||||||
4.50% due 05/01/2041 | 2,027 | 2,110 | |||||||||
5.00% due 07/01/2040 | 7,620 | 8,198 | |||||||||
5.50% due 06/01/2022 | 2,614 | 2,618 | |||||||||
5.50% due 12/01/2029 | 498 | 530 | |||||||||
5.50% due 05/01/2034 | 1,668 | 1,782 | |||||||||
5.50% due 08/01/2037 | 4,290 | 4,701 | |||||||||
5.50% due 06/01/2038 | 254 | 279 | |||||||||
6.00% due 06/01/2026 | 3,788 | 4,042 | |||||||||
6.00% due 03/01/2027 | 6,067 | 6,475 | |||||||||
6.00% due 12/01/2033 | 849 | 939 | |||||||||
6.00% due 05/01/2034 | 3,353 | 3,723 | |||||||||
6.00% due 08/01/2034 | 250 | 278 | |||||||||
6.00% due 06/01/2040 | 1,640 | 1,831 | |||||||||
6.50% due 11/01/2035 | 1,575 | 1,719 | |||||||||
6.50% due 10/01/2037 | 495 | 536 | |||||||||
7.00% due 06/01/2037 | 6,241 | 7,088 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Federal National Mtg. Assoc. FRS 1.85% (12 ML+1.57%) due 05/01/2037 | $ | 635 | $ | 659 | |||||||
2.07% (12 ML+1.82%) due 10/01/2040 | 588 | 611 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2019-R03, Class 1M2 2.61% (1 ML+2.15%) due 09/25/2031*(2) | 4,100 | 4,100 | |||||||||
Series 2019-HRP1, Class M2 2.61% (1 ML+2.15%) due 11/25/2039*(2) | 17,776 | 17,491 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(2) | 21,749 | 21,183 | |||||||||
Series 2012-128, Class PD 1.50% due 06/25/2042(2) | 30,746 | 29,702 | |||||||||
Series 2013-77, Class BP 1.70% due 06/25/2043(2) | 14,246 | 14,080 | |||||||||
Series 2011-117, Class MA 2.00% due 08/25/2040(2) | 1,209 | 1,200 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(2) | 7,198 | 6,948 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(2) | 12,553 | 12,082 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(2) | 11,532 | 11,332 | |||||||||
Series 2016-11, Class GA 2.50% due 03/25/2046(2) | 17,356 | 16,990 | |||||||||
Series 2019-54, Class KC 2.50% due 09/25/2049(2) | 56,822 | 55,227 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(2) | 18,195 | 18,239 | |||||||||
Series 2016-38, Class NA 3.00% due 01/25/2046(2) | 8,341 | 8,371 | |||||||||
Series 2017-34, Class JK 3.00% due 05/25/2047(2) | 8,125 | 8,052 | |||||||||
Series 415, Class A3 STRIPS 3.00% due 11/25/2042(2) | 19,023 | 18,997 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(2) | 24,825 | 24,399 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(2) | 25,878 | 25,726 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(2) | 10,172 | 10,252 | |||||||||
Series 2017-26, Class CG 3.50% due 07/25/2044(2) | 13,086 | 13,164 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(2) | 1,285 | 1,288 | |||||||||
Series 2018-80, Class GD 3.50% due 12/25/2047(2) | 11,767 | 11,703 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(2) | 22,144 | 22,038 | |||||||||
Series 2019-7, Class JA 3.50% due 03/25/2049(2) | 23,423 | 23,425 |
115
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2019-14, Class CA 3.50% due 04/25/2049(2) | $ | 28,362 | $ | 28,844 | |||||||
Series 2017-35, Class AH 3.50% due 04/25/2053(2) | 14,231 | 14,233 | |||||||||
Series 2017-84, Class KA 3.50% due 04/25/2053(2) | 13,172 | 13,109 | |||||||||
Series 2018-19, Class DC 3.50% due 05/25/2056(2) | 11,209 | 11,165 | |||||||||
Series 2018-70, Class HA 3.50% due 10/25/2056(2) | 18,073 | 18,064 | |||||||||
Series 2019-12, Class HA 3.50% due 11/25/2057(2) | 25,182 | 25,422 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(2) | 20,696 | 21,067 | |||||||||
Series 2017-49, Class JA 4.00% due 07/25/2053(2) | 13,002 | 13,112 | |||||||||
1,036,963 | |||||||||||
Government National Mtg. Assoc. — 10.3% | |||||||||||
2.00% due April 30 TBA | 625,000 | 594,525 | |||||||||
2.50% due April 30 TBA | 175,000 | 169,914 | |||||||||
2.50% due May 30 TBA | 150,000 | 145,318 | |||||||||
3.00% due April 30 TBA | 500,000 | 494,622 | |||||||||
3.00% due May 30 TBA | 500,000 | 493,332 | |||||||||
3.50% due April 30 TBA | 1,035,000 | 1,041,489 | |||||||||
4.00% due 10/15/2040 | 12,694 | 13,488 | |||||||||
4.00% due 02/15/2041 | 5,859 | 6,156 | |||||||||
4.00% due 09/15/2041 | 5,543 | 5,824 | |||||||||
4.00% due 10/15/2041 | 2,714 | 2,800 | |||||||||
4.00% due April 30 TBA | 650,000 | 663,254 | |||||||||
4.50% due 06/15/2041 | 42,987 | 46,165 | |||||||||
5.00% due 01/15/2033 | 527 | 568 | |||||||||
5.00% due 01/15/2040 | 25,167 | 27,489 | |||||||||
5.50% due 04/15/2036 | 35,789 | 38,271 | |||||||||
6.50% due 07/15/2028 | 32,645 | 34,886 | |||||||||
6.50% due 08/15/2028 | 1,759 | 1,879 | |||||||||
6.50% due 09/15/2028 | 3,622 | 3,871 | |||||||||
6.50% due 11/15/2028 | 5,217 | 5,575 | |||||||||
7.00% due 01/15/2033 | 2,352 | 2,578 | |||||||||
7.00% due 05/15/2033 | 3,537 | 3,867 | |||||||||
7.00% due 11/15/2033 | 1,500 | 1,644 | |||||||||
8.00% due 02/15/2030 | 952 | 986 | |||||||||
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(2) | 15,999 | 15,927 | |||||||||
Series 2015-151, Class BA 1.70% due 10/20/2045(2) | 7,395 | 7,401 | |||||||||
Series 2013-37, Class LG 2.00% due 01/20/2042(2) | 13,950 | 13,854 | |||||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(2) | 27 | 28 | |||||||||
Series 2005-74, Class HB 7.50% due 09/16/2035(2) | 809 | 865 | |||||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(2) | 785 | 853 | |||||||||
3,837,429 |
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
Uniform Mtg. Backed Securities — 24.8% | |||||||||||
1.50% due April 15 TBA | $ | 200,000 | $ | 189,641 | |||||||
2.50% due May 30 TBA | 1,775,000 | 1,691,674 | |||||||||
2.50% due April 30 TBA | 1,800,000 | 1,719,562 | |||||||||
2.00% due April 15 TBA | 225,000 | 218,549 | |||||||||
2.00% due April 30 TBA | 1,760,000 | 1,634,513 | |||||||||
2.00% due June 30 TBA | 865,000 | 800,056 | |||||||||
3.00% due April 30 TBA | 1,125,000 | 1,101,648 | |||||||||
3.50% due April 30 TBA | 725,000 | 726,827 | |||||||||
4.00% due April 30 TBA | 640,000 | 653,800 | |||||||||
4.50% due April 30 TBA | 425,000 | 440,871 | |||||||||
9,177,141 | |||||||||||
Total U.S. Government Agencies (cost $14,740,974) | 14,564,618 | ||||||||||
U.S. GOVERNMENT TREASURIES — 17.6% | |||||||||||
United States Treasury Bonds — 12.1% | |||||||||||
0.13% due 02/15/2051 TIPS(7) | 26,990 | 28,093 | |||||||||
0.88% due 02/15/2047 TIPS(7) | 145,548 | 176,522 | |||||||||
1.00% due 02/15/2048 TIPS(7) | 34,194 | 42,982 | |||||||||
1.25% due 05/15/2050 | 553,000 | 413,281 | |||||||||
1.38% due 08/15/2050 | 20,000 | 15,427 | |||||||||
1.63% due 11/15/2050 | 260,000 | 213,484 | |||||||||
2.00% due 08/15/2051 | 145,000 | 130,749 | |||||||||
2.25% due 08/15/2046 | 115,000 | 107,781 | |||||||||
2.50% due 02/15/2045(13) | 150,000 | 146,484 | |||||||||
2.88% due 08/15/2045 | 190,000 | 198,513 | |||||||||
3.00% due 05/15/2045(13)(14) | 370,000 | 393,992 | |||||||||
3.00% due 11/15/2045 | 202,000 | 215,943 | |||||||||
3.13% due 08/15/2044 | 440,000 | 476,455 | |||||||||
3.38% due 05/15/2044 | 1,185,000 | 1,332,662 | |||||||||
3.63% due 02/15/2044 | 105,000 | 122,300 | |||||||||
3.75% due 11/15/2043 | 105,000 | 124,351 | |||||||||
5.00% due 05/15/2037 | 256,000 | 342,460 | |||||||||
4,481,479 | |||||||||||
United States Treasury Notes — 5.5% | |||||||||||
0.63% due 05/15/2030 | 650,000 | 566,998 | |||||||||
0.75% due 07/15/2028 TIPS(7) | 101,896 | 111,686 | |||||||||
1.25% due 08/15/2031 | 640,000 | 582,100 | |||||||||
1.63% due 05/15/2031 | 830,000 | 781,886 | |||||||||
2,042,670 | |||||||||||
Total U.S. Government Treasuries (cost $6,765,149) | 6,524,149 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 5.8% | |||||||||||
Sovereign — 5.8% | |||||||||||
Arab Republic of Egypt Senior Notes 6.38% due 04/11/2031 | EUR | 100,000 | 94,500 | ||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049* | 150,000 | 140,252 | |||||||||
Federative Republic of Brazil Notes 10.00% due 01/01/2031 | BRL | 755,000 | 149,113 | ||||||||
Government of Hungary Senior Notes 1.63% due 04/28/2032 | EUR | 120,000 | 125,834 |
116
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(16) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
Government of Romania Bonds 2.63% due 12/02/2040* | EUR | 60,000 | $ | 50,420 | |||||||
Government of Romania Notes 2.75% due 04/14/2041 | EUR | 20,000 | 16,894 | ||||||||
Government of Romania Senior Notes 3.38% due 02/08/2038 | EUR | 20,000 | 19,107 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 52,000 | 56,398 | ||||||||
Kingdom of Morocco Senior Notes 2.00% due 09/30/2030 | EUR | 100,000 | 96,573 | ||||||||
Kingdom of Saudi Arabia Senior Notes 2.00% due 07/09/2039 | EUR | 100,000 | 101,942 | ||||||||
Republic of Benin Senior Notes 4.95% due 01/22/2035* | EUR | 100,000 | 90,049 | ||||||||
Republic of Chile Senior Notes 1.25% due 01/22/2051 | EUR | 100,000 | 82,013 | ||||||||
Republic of Colombia Senior Notes 3.88% due 04/25/2027 | 200,000 | 192,008 | |||||||||
Republic of Croatia Notes 1.50% due 06/17/2031 | EUR | 100,000 | 103,711 | ||||||||
Republic of Indonesia Senior Notes 1.10% due 03/12/2033 | EUR | 100,000 | 96,239 | ||||||||
Republic of North Macedonia Senior Notes 2.75% due 01/18/2025 | EUR | 100,000 | 107,607 | ||||||||
Republic of Philippines Senior Notes 1.75% due 04/28/2041 | EUR | 100,000 | 93,893 | ||||||||
Republic of the Philippines Senior Notes 1.20% due 04/28/2033 | EUR | 100,000 | 98,312 | ||||||||
Russian Federation Bonds 5.90% due 03/12/2031†(8)(9) | RUB | 10,140,000 | 3,744 | ||||||||
United Mexican States Senior Notes 1.45% due 10/25/2033 | EUR | 130,000 | 121,090 | ||||||||
United Mexican States Senior Bonds 4.75% due 03/08/2044 | 80,000 | 78,786 | |||||||||
United Mexican States Bonds 7.75% due 05/29/2031 | MXN | 4,905,100 | 237,598 | ||||||||
Total Foreign Government Obligations (cost $2,705,655) | 2,156,083 |
Security Description | Shares/ Principal Amount(16) | Value (Note 2) | |||||||||
OPTIONS — PURCHASED†(10) — 0.0% | |||||||||||
Over the Counter Call Options on Currency Contracts (cost $22,346) | 4,350,980 | $ | 2,071 | ||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
ION Media Networks, Inc.†(8) | 4 | 14 | |||||||||
Lehman Brothers Holdings, Inc. Escrow Notes 5.50% due 04/04/2016† | $ | 10,000 | 52 | ||||||||
Total Escrows And Litigation Trusts (cost $0) | 66 | ||||||||||
Total Long-Term Investment Securities (cost $51,915,509) | 49,379,674 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.4% | |||||||||||
Registered Investment Companies — 0.4% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 0.17%(11) (cost $150,214) | 150,214 | 150,214 | |||||||||
REPURCHASE AGREEMENTS — 2.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(12) | 180,000 | 180,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(12) | 145,000 | 145,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(12) | 125,000 | 125,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(12) | 200,000 | 200,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(12) | 185,000 | 185,000 | |||||||||
Total Repurchase Agreements (cost $835,000) | 835,000 | ||||||||||
TOTAL INVESTMENTS (cost $52,900,723)(15) | 135.9 | % | 50,364,888 | ||||||||
Liabilities in excess of other assets | (35.9 | ) | (13,317,927 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 37,046,961 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $10,234,569 representing 27.6% of net assets.
(1) Commercial Mortgage Backed Security
(2) Collateralized Mortgage Obligation
(3) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2022.
(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 Loan Obligation
117
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
(6) Interest Only
(7) Principal amount of security is adjusted for inflation.
(8) Securities classified as Level 3 (see Note 2).
(9) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may
result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Foreign Government Obligations | |||||||||||||||||||||||||||
Russian Federation Bonds 5.90% due 03/12/2031 | 05/27/2021 | RUB | 10,140,000 | $ | 127,661 | $ | 3,744 | $ | 0.04 | 0.01 | % |
(10) Options Purchased
Over the Counter Put Options on Currency Contracts
Issue | Counterparty | Expiration Month | Strike Price | Notional Amount(000's) | Premiums Paid | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2700 CNY per $1 USD | Goldman Sachs International | November 2022 | CNY | 7.27 | $ | 1,562 | $ | 7,500 | $ | 1,492 | $ | (6,008 | ) | ||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.275 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.28 | 1,597 | 7,442 | 386 | (7,056 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.375 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.38 | 463 | 2,454 | 100 | (2,354 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3100 CNY per $1 USD | JPMorgan Chase Bank | August 2022 | CNY | 7.31 | 729 | 4,950 | 93 | (4,857 | ) | ||||||||||||||||||||||
$ | 22,346 | $ | 2,071 | $ | (20,275 | ) |
CNY — Chinese Yuan
USD — United States Dollar
(11) The rate shown is the 7-day yield as of March 31, 2022.
(12) See Note 2 for details of Joint Repurchase Agreements.
(13) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(14) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
(15) See Note 4 for cost of investments on a tax basis.
(16) Denominated in United States dollars unless otherwise indicated.
BRL — Brazilian Real
CLO — Collateralized Loan Obligation
EUR — Euro Currency
MXN — Mexican Peso
REMIC — Real Estate Mortgage Investment Conduit
RUB — New Russian Ruble
SCRT — Seasoned Credit Risk Transfer Trust
TBA — Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2022 and unless noted otherwise, the dates shown are the original maturity dates.
118
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
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
SOFR — Secured Overnight Financing Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
7 | Short | Euro-Bund | June 2022 | $ | 1,275,318 | $ | 1,228,623 | $ | 46,695 | ||||||||||||||||||
2 | Short | Euro-BUXL 30 Year Bonds | June 2022 | 442,124 | 411,967 | 30,157 | |||||||||||||||||||||
7 | Short | U.S. Treasury 10 Year Ultra Notes | June 2022 | 976,683 | 948,281 | 28,402 | |||||||||||||||||||||
11 | Short | U.S. Treasury Long Bonds | June 2022 | 1,684,049 | 1,650,688 | 33,361 | |||||||||||||||||||||
10 | Short | U.S. Treasury Ultra Bonds | June 2022 | 1,821,971 | 1,771,250 | 50,721 | |||||||||||||||||||||
$ | 189,336 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
7 | Short | U.S. Treasury 10 Year Notes | June 2022 | $ | 859,500 | $ | 860,125 | $ | (625 | ) | |||||||||||||||||
4 | Long | U.S. Treasury 5 Year Notes | June 2022 | 472,945 | 458,750 | (14,195 | ) | ||||||||||||||||||||
$ | (14,820 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 174,516 |
* 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. | MXN | 3,540,000 | USD | 166,747 | 06/15/2022 | $ | — | $ | (8,974 | ) | |||||||||||||
Deutsche Bank AG | EUR | 1,279,000 | USD | 1,433,273 | 06/15/2022 | 14,558 | — | ||||||||||||||||
Goldman Sachs International | BRL | 715,000 | USD | 137,855 | 06/15/2022 | — | (9,287 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 57,000 | USD | 62,692 | 06/15/2022 | — | (535 | ) | |||||||||||||||
NatWest Markets PLC | USD | 46,047 | EUR | 42,000 | 06/15/2022 | 541 | — | ||||||||||||||||
Standard Chartered Bank | USD | 26,640 | EUR | 24,000 | 06/15/2022 | — | (18 | ) | |||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 15,099 | $ | (18,814 | ) |
BRL — Brazilian Real
EUR — Euro Currency
MXN — Mexican Peso
USD — United States Dollar
119
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (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 | 335 | 12/15/2026 | 12 Month SOFR/Annually | 1.00%/Annually | $ | (548 | ) | $ | 18,835 |
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 5,814,066 | $ | 136,314 | ** | $ | — | $ | 5,950,380 | ||||||||||
Asset Backed Securities | — | 8,530,607 | — | 8,530,607 | |||||||||||||||
U.S. Corporate Bonds & Notes | — | 10,052,522 | — | 10,052,522 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 854,373 | — | 854,373 | |||||||||||||||
Municipal Bond & Notes | — | 744,805 | — | 744,805 | |||||||||||||||
U.S. Government Agencies | — | 14,564,618 | — | 14,564,618 | |||||||||||||||
U.S. Government Treasuries | — | 6,524,149 | — | 6,524,149 | |||||||||||||||
Foreign Government Obligations | — | 2,152,339 | 3,744 | 2,156,083 | |||||||||||||||
Options — Purchased | — | 2,071 | — | 2,071 | |||||||||||||||
Escrows and Litigation Trusts | — | 52 | 14 | 66 | |||||||||||||||
Short-Term Investment Securities | 150,214 | — | — | 150,214 | |||||||||||||||
Repurchase Agreements | — | 835,000 | — | 835,000 | |||||||||||||||
Total Investments at Value | $ | 5,964,280 | $ | 44,396,850 | $ | 3,758 | $ | 50,364,888 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 189,336 | $ | — | $ | — | $ | 189,336 | |||||||||||
Forward Foreign Currency Contracts | — | 15,099 | — | 15,099 | |||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | — | 18,835 | — | 18,835 | |||||||||||||||
Total Other Financial Instruments | $ | 189,336 | $ | 33,934 | $ | — | $ | 223,270 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 14,820 | $ | — | $ | — | $ | 14,820 | |||||||||||
Forward Foreign Currency Contracts | — | 18,814 | — | 18,814 | |||||||||||||||
Total Other Financial Instruments | $ | 14,820 | $ | 18,814 | $ | — | $ | 33,634 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
120
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Medical-Drugs | 4.2 | % | |||||
Computers | 4.0 | ||||||
Repurchase Agreements | 3.8 | ||||||
Applications Software | 3.8 | ||||||
Diversified Banking Institutions | 3.7 | ||||||
Commercial Paper | 3.0 | ||||||
Real Estate Investment Trusts | 2.8 | ||||||
Web Portals/ISP | 2.7 | ||||||
Electronic Components-Semiconductors | 2.5 | ||||||
E-Commerce/Products | 2.3 | ||||||
Uniform Mtg. Backed Securities | 2.2 | ||||||
Diversified Financial Services | 2.2 | ||||||
Banks-Commercial | 2.0 | ||||||
Electric-Integrated | 1.9 | ||||||
Auto-Cars/Light Trucks | 1.9 | ||||||
Telephone-Integrated | 1.7 | ||||||
Medical-Biomedical/Gene | 1.6 | ||||||
Retail-Discount | 1.6 | ||||||
Oil Companies-Integrated | 1.5 | ||||||
Computer Services | 1.5 | ||||||
Semiconductor Components-Integrated Circuits | 1.4 | ||||||
United States Treasury Bonds | 1.3 | ||||||
Cosmetics & Toiletries | 1.3 | ||||||
Retail-Auto Parts | 1.2 | ||||||
Medical Products | 1.1 | ||||||
Insurance-Multi-line | 1.0 | ||||||
Computer Aided Design | 1.0 | ||||||
Oil Companies-Exploration & Production | 1.0 | ||||||
Enterprise Software/Service | 1.0 | ||||||
Medical Instruments | 0.9 | ||||||
Chemicals-Diversified | 0.9 | ||||||
Internet Content-Entertainment | 0.9 | ||||||
Pipelines | 0.9 | ||||||
Tobacco | 0.8 | ||||||
Networking Products | 0.8 | ||||||
Aerospace/Defense | 0.8 | ||||||
Cable/Satellite TV | 0.8 | ||||||
Beverages-Non-alcoholic | 0.7 | ||||||
Insurance-Life/Health | 0.7 | ||||||
Semiconductor Equipment | 0.7 | ||||||
Exchange-Traded Funds | 0.7 | ||||||
Retail-Restaurants | 0.7 | ||||||
Federal National Mtg. Assoc. | 0.7 | ||||||
United States Treasury Notes | 0.7 | ||||||
Computer Software | 0.7 | ||||||
Electronic Measurement Instruments | 0.6 | ||||||
Transport-Rail | 0.6 | ||||||
Electronic Forms | 0.6 | ||||||
Chemicals-Specialty | 0.6 | ||||||
Investment Management/Advisor Services | 0.5 | ||||||
Oil Refining & Marketing | 0.5 | ||||||
Metal-Diversified | 0.5 | ||||||
Insurance-Property/Casualty | 0.5 | ||||||
Medical-HMO | 0.5 | ||||||
Electric Products-Misc. | 0.5 | ||||||
Government National Mtg. Assoc. | 0.5 | ||||||
Medical Labs & Testing Services | 0.5 | ||||||
Hotels/Motels | 0.5 | ||||||
Food-Retail | 0.5 | ||||||
Transport-Services | 0.4 | ||||||
Real Estate Management/Services | 0.4 |
Medical-Wholesale Drug Distribution | 0.4 | % | |||||
Building Products-Air & Heating | 0.4 | ||||||
E-Commerce/Services | 0.4 | ||||||
Diversified Manufacturing Operations | 0.4 | ||||||
Non-Hazardous Waste Disposal | 0.4 | ||||||
Retail-Apparel/Shoe | 0.4 | ||||||
Consulting Services | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Medical-Hospitals | 0.4 | ||||||
Building & Construction Products-Misc. | 0.4 | ||||||
Finance-Auto Loans | 0.4 | ||||||
Federal Home Loan Mtg. Corp. | 0.3 | ||||||
Oil-Field Services | 0.3 | ||||||
Food-Misc./Diversified | 0.3 | ||||||
Retail-Building Products | 0.3 | ||||||
Machinery-Farming | 0.3 | ||||||
Audio/Video Products | 0.3 | ||||||
Electronic Components-Misc. | 0.3 | ||||||
Cellular Telecom | 0.3 | ||||||
Machinery-General Industrial | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
Diagnostic Kits | 0.3 | ||||||
Insurance-Reinsurance | 0.3 | ||||||
Human Resources | 0.3 | ||||||
Distribution/Wholesale | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Machinery-Construction & Mining | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Data Processing/Management | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Independent Power Producers | 0.2 | ||||||
Banks-Super Regional | 0.2 | ||||||
Commercial Services-Finance | 0.2 | ||||||
Beverages-Wine/Spirits | 0.2 | ||||||
Gas-Distribution | 0.2 | ||||||
Transport-Marine | 0.2 | ||||||
Finance-Credit Card | 0.2 | ||||||
Aerospace/Defense-Equipment | 0.2 | ||||||
Agricultural Chemicals | 0.2 | ||||||
Instruments-Controls | 0.2 | ||||||
Toys | 0.2 | ||||||
Retail-Hypermarkets | 0.2 | ||||||
Advertising Services | 0.2 | ||||||
MRI/Medical Diagnostic Imaging | 0.2 | ||||||
Finance-Other Services | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Radio | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Electric-Generation | 0.2 | ||||||
Casino Hotels | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
Funeral Services & Related Items | 0.2 | ||||||
Finance-Investment Banker/Broker | 0.2 | ||||||
Auto/Truck Parts & Equipment-Original | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Entertainment Software | 0.1 | ||||||
Office Automation & Equipment | 0.1 | ||||||
Real Estate Operations & Development | 0.1 |
121
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Pharmacy Services | 0.1 | % | |||||
Food-Dairy Products | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Multimedia | 0.1 | ||||||
Building & Construction-Misc. | 0.1 | ||||||
Electronic Security Devices | 0.1 | ||||||
Publishing-Newspapers | 0.1 | ||||||
Office Supplies & Forms | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Retail-Jewelry | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Casino Services | 0.1 | ||||||
Internet Gambling | 0.1 | ||||||
Finance-Mortgage Loan/Banker | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Coatings/Paint | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Lighting Products & Systems | 0.1 | ||||||
Airlines | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Firearms & Ammunition | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Rental Auto/Equipment | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Import/Export | 0.1 | ||||||
Agricultural Biotech | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Rubber-Tires | 0.1 | ||||||
Textile-Apparel | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Food-Meat Products | 0.1 | ||||||
Retail-Regional Department Stores | 0.1 | ||||||
Agricultural Operations | 0.1 | ||||||
Building Products-Cement | 0.1 | ||||||
Television | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Industrial Automated/Robotic | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Diversified Operations | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Retail-Perfume & Cosmetics | 0.1 | ||||||
Building-Maintenance & Services | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Theaters | 0.1 | ||||||
Filtration/Separation Products | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Finance-Leasing Companies | 0.1 | ||||||
Municipal Bonds & Notes | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Batteries/Battery Systems | 0.1 | ||||||
Retail-Convenience Store | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
102.6 | % |
* Calculated as a percentage of net assets
122
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 78.2% | |||||||||||
Advanced Materials — 0.0% | |||||||||||
Materion Corp. | 111 | $ | 9,517 | ||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 3,194 | 113,227 | |||||||||
Advertising Services — 0.2% | |||||||||||
Entravision Communications Corp., Class A | 1,923 | 12,326 | |||||||||
Publicis Groupe SA | 5,175 | 314,363 | |||||||||
326,689 | |||||||||||
Aerospace/Defense — 0.7% | |||||||||||
General Dynamics Corp. | 3,648 | 879,825 | |||||||||
Lockheed Martin Corp. | 1,313 | 579,558 | |||||||||
National Presto Industries, Inc. | 116 | 8,926 | |||||||||
1,468,309 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
Aerojet Rocketdyne Holdings, Inc.† | 1,448 | 56,979 | |||||||||
Barnes Group, Inc. | 206 | 8,279 | |||||||||
HEICO Corp. | 863 | 132,505 | |||||||||
Kaman Corp. | 322 | 14,001 | |||||||||
Moog, Inc., Class A | 373 | 32,749 | |||||||||
244,513 | |||||||||||
Agricultural Biotech — 0.1% | |||||||||||
Corteva, Inc. | 2,748 | 157,955 | |||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 1,141 | 117,591 | |||||||||
Fertiglobe PLC | 66,176 | 90,132 | |||||||||
Intrepid Potash, Inc.† | 238 | 19,549 | |||||||||
227,272 | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Andersons, Inc. | 276 | 13,872 | |||||||||
Archer-Daniels-Midland Co. | 1,326 | 119,685 | |||||||||
133,557 | |||||||||||
Airlines — 0.1% | |||||||||||
Copa Holdings SA, Class A† | 1,037 | 86,734 | |||||||||
SkyWest, Inc.† | 715 | 20,628 | |||||||||
107,362 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Hermes International | 227 | 321,973 | |||||||||
Kontoor Brands, Inc. | 196 | 8,105 | |||||||||
Oxford Industries, Inc. | 105 | 9,502 | |||||||||
Tapestry, Inc. | 2,856 | 106,100 | |||||||||
445,680 | |||||||||||
Appliances — 0.0% | |||||||||||
Dixon Technologies India, Ltd. | 816 | 46,038 | |||||||||
Applications Software — 3.7% | |||||||||||
Agilysys, Inc.† | 263 | 10,489 | |||||||||
Brightcove, Inc.† | 689 | 5,374 | |||||||||
Digi International, Inc.† | 294 | 6,327 | |||||||||
Intuit, Inc. | 3,607 | 1,734,390 | |||||||||
Microsoft Corp. | 18,281 | 5,636,215 | |||||||||
Outbrain, Inc.† | 751 | 8,058 | |||||||||
Roper Technologies, Inc. | 271 | 127,974 |
Security Description | Shares | Value (Note 2) | |||||||||
Applications Software (continued) | |||||||||||
Sage Group PLC | 22,416 | $ | 205,562 | ||||||||
ServiceNow, Inc.† | 196 | 109,151 | |||||||||
Sprout Social, Inc., Class A† | 816 | 65,378 | |||||||||
7,908,918 | |||||||||||
Athletic Equipment — 0.0% | |||||||||||
Vista Outdoor, Inc.† | 1,108 | 39,545 | |||||||||
Audio/Video Products — 0.3% | |||||||||||
Dolby Laboratories, Inc., Class A | 1,580 | 123,588 | |||||||||
Sonos, Inc.† | 2,005 | 56,581 | |||||||||
Sony Group Corp. | 4,600 | 474,770 | |||||||||
Universal Electronics, Inc.† | 146 | 4,561 | |||||||||
659,500 | |||||||||||
Auto-Cars/Light Trucks — 1.7% | |||||||||||
Ford Motor Co. | 62,617 | 1,058,853 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 2,662 | 257,894 | |||||||||
Rivian Automotive, Inc., Class A† | 2,576 | 129,418 | |||||||||
Stellantis NV | 20,312 | 328,697 | |||||||||
Tesla, Inc.† | 1,667 | 1,796,359 | |||||||||
Toyota Motor Corp. | 2,800 | 50,158 | |||||||||
3,621,379 | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Cummins, Inc. | 586 | 120,194 | |||||||||
TuSimple Holdings, Inc., Class A† | 4,728 | 57,682 | |||||||||
Volvo AB, Class B | 5,973 | 111,405 | |||||||||
289,281 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.1% | |||||||||||
Allison Transmission Holdings, Inc. | 2,995 | 117,584 | |||||||||
American Axle & Manufacturing Holdings, Inc.† | 2,556 | 19,835 | |||||||||
Gentherm, Inc.† | 125 | 9,130 | |||||||||
Koito Manufacturing Co., Ltd. | 2,000 | 80,968 | |||||||||
Shyft Group, Inc. | 221 | 7,980 | |||||||||
Titan International, Inc.† | 926 | 13,640 | |||||||||
Visteon Corp.† | 497 | 54,238 | |||||||||
303,375 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Standard Motor Products, Inc. | 208 | 8,973 | |||||||||
Banks-Commercial — 1.8% | |||||||||||
Ameris Bancorp | 192 | 8,425 | |||||||||
Associated Banc-Corp | 425 | 9,673 | |||||||||
Atlantic Union Bankshares Corp. | 520 | 19,079 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 58,270 | 333,174 | |||||||||
Bank Central Asia Tbk PT | 484,800 | 268,598 | |||||||||
Bank Leumi Le-Israel BM | 30,997 | 332,755 | |||||||||
Banner Corp. | 343 | 20,076 | |||||||||
BOC Hong Kong Holdings, Ltd. | 44,000 | 165,564 | |||||||||
Byline Bancorp, Inc. | 178 | 4,749 | |||||||||
Cathay General Bancorp | 1,119 | 50,075 | |||||||||
Central Pacific Financial Corp. | 349 | 9,737 | |||||||||
China Merchants Bank Co., Ltd. | 40,500 | 316,603 | |||||||||
ConnectOne Bancorp, Inc. | 316 | 10,115 | |||||||||
Customers Bancorp, Inc.† | 798 | 41,608 | |||||||||
DBS Group Holdings, Ltd. | 14,900 | 391,726 |
123
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Eagle Bancorp, Inc. | 236 | $ | 13,454 | ||||||||
East West Bancorp, Inc. | 2,953 | 233,346 | |||||||||
Enterprise Financial Services Corp. | 375 | 17,741 | |||||||||
First BanCorp/Puerto Rico | 3,725 | 48,872 | |||||||||
First Busey Corp. | 432 | 10,947 | |||||||||
First Commonwealth Financial Corp. | 620 | 9,399 | |||||||||
First Financial Corp. | 236 | 10,214 | |||||||||
First Foundation, Inc. | 373 | 9,060 | |||||||||
Fulton Financial Corp. | 1,752 | 29,118 | |||||||||
Great Southern Bancorp, Inc. | 127 | 7,494 | |||||||||
Hancock Whitney Corp. | 1,113 | 58,043 | |||||||||
Hanmi Financial Corp. | 375 | 9,229 | |||||||||
Heartland Financial USA, Inc. | 328 | 15,688 | |||||||||
Hilltop Holdings, Inc. | 820 | 24,108 | |||||||||
HomeStreet, Inc. | 386 | 18,289 | |||||||||
Hope Bancorp, Inc. | 2,290 | 36,823 | |||||||||
Horizon Bancorp, Inc. | 421 | 7,860 | |||||||||
ICICI Bank, Ltd. | 36,635 | 351,345 | |||||||||
Independent Bank Corp. | 247 | 5,434 | |||||||||
International Bancshares Corp. | 223 | 9,413 | |||||||||
Israel Discount Bank, Ltd., Class A | 22,065 | 137,100 | |||||||||
Meta Financial Group, Inc. | 708 | 38,883 | |||||||||
Midland States Bancorp, Inc. | 260 | 7,504 | |||||||||
Mizrahi Tefahot Bank, Ltd. | 784 | 30,497 | |||||||||
NBT Bancorp, Inc. | 427 | 15,428 | |||||||||
Nicolet Bankshares, Inc.† | 62 | 5,801 | |||||||||
OFG Bancorp | 621 | 16,544 | |||||||||
Peoples Bancorp, Inc. | 182 | 5,698 | |||||||||
Popular, Inc. | 1,451 | 118,605 | |||||||||
Preferred Bank | 156 | 11,558 | |||||||||
QCR Holdings, Inc. | 154 | 8,715 | |||||||||
S&T Bancorp, Inc. | 184 | 5,443 | |||||||||
SVB Financial Group† | 198 | 110,771 | |||||||||
UMB Financial Corp. | 397 | 38,573 | |||||||||
United Overseas Bank, Ltd. | 14,700 | 344,804 | |||||||||
WesBanco, Inc. | 586 | 20,135 | |||||||||
3,823,893 | |||||||||||
Banks-Super Regional — 0.1% | |||||||||||
National Bank Holdings Corp., Class A | 346 | 13,937 | |||||||||
PNC Financial Services Group, Inc. | 647 | 119,339 | |||||||||
Wells Fargo & Co. | 2,306 | 111,749 | |||||||||
245,025 | |||||||||||
Beverages-Non-alcoholic — 0.7% | |||||||||||
Coca-Cola Co. | 19,225 | 1,191,950 | |||||||||
Coca-Cola Consolidated, Inc. | 67 | 33,289 | |||||||||
Coca-Cola HBC AG | 4,296 | 89,589 | |||||||||
PepsiCo, Inc. | 1,447 | 242,199 | |||||||||
Primo Water Corp. | 2,082 | 29,668 | |||||||||
1,586,695 | |||||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Diageo PLC | 8,663 | 437,856 | |||||||||
Brewery — 0.0% | |||||||||||
Carlsberg A/S, Class B | 663 | 80,949 |
Security Description | Shares | Value (Note 2) | |||||||||
Building & Construction Products-Misc. — 0.3% | |||||||||||
Cie de Saint-Gobain | 5,954 | $ | 354,323 | ||||||||
James Hardie Industries PLC CDI | 6,805 | 204,788 | |||||||||
Simpson Manufacturing Co., Inc. | 83 | 9,051 | |||||||||
568,162 | |||||||||||
Building & Construction-Misc. — 0.1% | |||||||||||
Comfort Systems USA, Inc. | 260 | 23,143 | |||||||||
Eiffage SA | 2,056 | 210,735 | |||||||||
MYR Group, Inc.† | 97 | 9,122 | |||||||||
NV5 Global, Inc.† | 77 | 10,264 | |||||||||
253,264 | |||||||||||
Building Products-Air & Heating — 0.4% | |||||||||||
Carrier Global Corp. | 2,681 | 122,977 | |||||||||
Daikin Industries, Ltd. | 1,500 | 273,112 | |||||||||
Johnson Controls International PLC | 5,777 | 378,798 | |||||||||
Modine Manufacturing Co.† | 663 | 5,974 | |||||||||
SPX Corp.† | 465 | 22,976 | |||||||||
803,837 | |||||||||||
Building Products-Cement — 0.1% | |||||||||||
CRH PLC | 3,296 | 131,970 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Griffon Corp. | 653 | 13,080 | |||||||||
JELD-WEN Holding, Inc.† | 373 | 7,564 | |||||||||
Masonite International Corp.† | 145 | 12,896 | |||||||||
33,540 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. | 676 | 46,962 | |||||||||
UFP Industries, Inc. | 738 | 56,944 | |||||||||
103,906 | |||||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Sterling Construction Co., Inc.† | 430 | 11,524 | |||||||||
Vinci SA | 776 | 79,336 | |||||||||
90,860 | |||||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
Terminix Global Holdings, Inc.† | 2,642 | 120,554 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Skyline Champion Corp.† | 752 | 41,270 | |||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
Beazer Homes USA, Inc.† | 955 | 14,535 | |||||||||
Berkeley Group Holdings PLC | 1,477 | 71,892 | |||||||||
Daiwa House Industry Co., Ltd. | 8,600 | 224,682 | |||||||||
Iida Group Holdings Co., Ltd. | 3,500 | 60,584 | |||||||||
Toll Brothers, Inc. | 2,458 | 115,575 | |||||||||
Tri Pointe Homes, Inc.† | 2,089 | 41,947 | |||||||||
529,215 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Comcast Corp., Class A | 11,526 | 539,647 | |||||||||
Liberty Latin America, Ltd., Class C† | 3,505 | 33,613 | |||||||||
573,260 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 1,737 | 114,260 | |||||||||
Casino Services — 0.1% | |||||||||||
Aristocrat Leisure, Ltd. | 7,066 | 191,569 |
124
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cellular Telecom — 0.2% | |||||||||||
MTN Group, Ltd. | 9,987 | $ | 129,405 | ||||||||
Telstra Corp., Ltd. | 103,711 | 305,854 | |||||||||
435,259 | |||||||||||
Chemicals-Diversified — 0.8% | |||||||||||
AdvanSix, Inc. | 565 | 28,866 | |||||||||
Arkema SA | 1,000 | 119,303 | |||||||||
Celanese Corp. | 862 | 123,154 | |||||||||
Codexis, Inc.† | 1,715 | 35,363 | |||||||||
Covestro AG* | 3,974 | 200,799 | |||||||||
Dow, Inc. | 1,882 | 119,921 | |||||||||
DuPont de Nemours, Inc. | 8,167 | 600,928 | |||||||||
Eastman Chemical Co. | 1,080 | 121,025 | |||||||||
Innospec, Inc. | 287 | 26,562 | |||||||||
LyondellBasell Industries NV, Class A | 1,134 | 116,598 | |||||||||
Nitto Denko Corp. | 800 | 57,334 | |||||||||
Olin Corp. | 2,384 | 124,635 | |||||||||
Orion Engineered Carbons SA | 580 | 9,263 | |||||||||
Stepan Co. | 134 | 13,240 | |||||||||
1,696,991 | |||||||||||
Chemicals-Other — 0.0% | |||||||||||
American Vanguard Corp. | 330 | 6,706 | |||||||||
Chemicals-Specialty — 0.4% | |||||||||||
Balchem Corp. | 65 | 8,885 | |||||||||
Brenntag SE | 3,866 | 312,601 | |||||||||
Minerals Technologies, Inc. | 322 | 21,300 | |||||||||
Sensient Technologies Corp. | 108 | 9,067 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 2,200 | 335,248 | |||||||||
Tronox Holdings PLC, Class A | 2,795 | 55,313 | |||||||||
Zymergen, Inc.† | 4,033 | 11,655 | |||||||||
754,069 | |||||||||||
Coal — 0.0% | |||||||||||
SunCoke Energy, Inc. | 1,831 | 16,314 | |||||||||
Warrior Met Coal, Inc. | 430 | 15,958 | |||||||||
32,272 | |||||||||||
Coatings/Paint — 0.1% | |||||||||||
Asian Paints, Ltd. | 1,989 | 80,354 | |||||||||
Axalta Coating Systems, Ltd.† | 4,421 | 108,668 | |||||||||
189,022 | |||||||||||
Commercial Services — 0.1% | |||||||||||
Cintas Corp. | 324 | 137,826 | |||||||||
John Wiley & Sons, Inc., Class A | 173 | 9,174 | |||||||||
LiveRamp Holdings, Inc.† | 891 | 33,315 | |||||||||
Medifast, Inc. | 47 | 8,027 | |||||||||
SP Plus Corp.† | 245 | 7,683 | |||||||||
196,025 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
FleetCor Technologies, Inc.† | 491 | 122,289 | |||||||||
PayPal Holdings, Inc.† | 1,333 | 154,161 | |||||||||
276,450 | |||||||||||
Computer Aided Design — 1.0% | |||||||||||
Altair Engineering, Inc., Class A† | 148 | 9,531 | |||||||||
Autodesk, Inc.† | 570 | 122,179 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Aided Design (continued) | |||||||||||
Cadence Design Systems, Inc.† | 5,495 | $ | 903,708 | ||||||||
Synopsys, Inc.† | 3,377 | 1,125,453 | |||||||||
2,160,871 | |||||||||||
Computer Data Security — 0.1% | |||||||||||
Fortinet, Inc.† | 416 | 142,164 | |||||||||
OneSpan, Inc.† | 471 | 6,801 | |||||||||
Qualys, Inc.† | 267 | 38,024 | |||||||||
186,989 | |||||||||||
Computer Services — 1.5% | |||||||||||
Accenture PLC, Class A | 6,384 | 2,152,876 | |||||||||
Capgemini SE | 1,135 | 252,473 | |||||||||
Globant SA† | 224 | 58,704 | |||||||||
Nomura Research Institute, Ltd. | 7,500 | 245,289 | |||||||||
NTT Data Corp. | 7,900 | 154,948 | |||||||||
SCSK Corp. | 2,700 | 46,269 | |||||||||
Tata Consultancy Services, Ltd. | 6,216 | 305,938 | |||||||||
3,216,497 | |||||||||||
Computer Software — 0.6% | |||||||||||
Avid Technology, Inc.† | 895 | �� | 31,209 | ||||||||
Dropbox, Inc., Class A† | 5,043 | 117,250 | |||||||||
Nutanix, Inc., Class A† | 4,466 | 119,778 | |||||||||
Snowflake, Inc., Class A† | 4,057 | 929,580 | |||||||||
Xperi Holding Corp. | 1,987 | 34,415 | |||||||||
Ziff Davis, Inc.† | 88 | 8,516 | |||||||||
1,240,748 | |||||||||||
Computers — 3.9% | |||||||||||
Apple, Inc. | 46,926 | 8,193,749 | |||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NetScout Systems, Inc.† | 317 | 10,169 | |||||||||
Super Micro Computer, Inc.† | 225 | 8,566 | |||||||||
18,735 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
Pure Storage, Inc., Class A† | 3,423 | 120,866 | |||||||||
Computers-Other — 0.0% | |||||||||||
PlayAGS, Inc.† | 604 | 4,029 | |||||||||
Consulting Services — 0.4% | |||||||||||
CRA International, Inc. | 103 | 8,679 | |||||||||
Gartner, Inc.† | 2,419 | 719,556 | |||||||||
ICF International, Inc. | 94 | 8,849 | |||||||||
Vectrus, Inc.† | 136 | 4,877 | |||||||||
741,961 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Crown Holdings, Inc. | 915 | 114,458 | |||||||||
O-I Glass, Inc.† | 2,479 | 32,673 | |||||||||
147,131 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
WestRock Co. | 2,643 | 124,300 | |||||||||
Cosmetics & Toiletries — 1.3% | |||||||||||
Colgate-Palmolive Co. | 13,184 | 999,743 | |||||||||
L'Oreal SA | 1,213 | 485,522 | |||||||||
Procter & Gamble Co. | 7,897 | 1,206,662 | |||||||||
2,691,927 |
125
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Data Processing/Management — 0.2% | |||||||||||
CommVault Systems, Inc.† | 812 | $ | 53,876 | ||||||||
CSG Systems International, Inc. | 373 | 23,712 | |||||||||
DocuSign, Inc.† | 2,899 | 310,541 | |||||||||
Fidelity National Information Services, Inc. | 1,213 | 121,809 | |||||||||
509,938 | |||||||||||
Diagnostic Kits — 0.3% | |||||||||||
Hologic, Inc.† | 3,750 | 288,075 | |||||||||
IDEXX Laboratories, Inc.† | 237 | 129,653 | |||||||||
Meridian Bioscience, Inc.† | 1,079 | 28,011 | |||||||||
Ortho Clinical Diagnostics Holdings PLC† | 1,463 | 27,300 | |||||||||
Quidel Corp.† | 1,053 | 118,420 | |||||||||
591,459 | |||||||||||
Direct Marketing — 0.0% | |||||||||||
Quotient Technology, Inc.† | 1,341 | 8,556 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
Merit Medical Systems, Inc.† | 134 | 8,913 | |||||||||
Teleflex, Inc. | 378 | 134,126 | |||||||||
143,039 | |||||||||||
Distribution/Wholesale — 0.2% | |||||||||||
Copart, Inc.† | 917 | 115,056 | |||||||||
Ferguson PLC | 2,294 | 311,387 | |||||||||
G-III Apparel Group, Ltd.† | 336 | 9,089 | |||||||||
Resideo Technologies, Inc.† | 353 | 8,412 | |||||||||
Titan Machinery, Inc.† | 407 | 11,502 | |||||||||
Veritiv Corp.† | 289 | 38,608 | |||||||||
494,054 | |||||||||||
Diversified Banking Institutions — 2.9% | |||||||||||
Banco Santander SA | 124,888 | 423,741 | |||||||||
Citigroup, Inc. | 22,838 | 1,219,549 | |||||||||
Goldman Sachs Group, Inc. | 4,381 | 1,446,168 | |||||||||
JPMorgan Chase & Co. | 17,135 | 2,335,843 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 5,200 | 165,954 | |||||||||
UBS Group AG | 23,727 | 463,554 | |||||||||
6,054,809 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
KB Financial Group, Inc. | 4,368 | 219,590 | |||||||||
Diversified Manufacturing Operations — 0.4% | |||||||||||
3M Co. | 772 | 114,935 | |||||||||
A.O. Smith Corp. | 1,808 | 115,513 | |||||||||
Eaton Corp. PLC | 789 | 119,739 | |||||||||
Federal Signal Corp. | 240 | 8,100 | |||||||||
Parker-Hannifin Corp. | 344 | 97,614 | |||||||||
Textron, Inc. | 4,332 | 322,214 | |||||||||
Toshiba Corp. | 600 | 22,767 | |||||||||
800,882 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
BHP Group, Ltd. | 1,897 | 72,731 | |||||||||
Diversified Operations — 0.1% | |||||||||||
CK Hutchison Holdings, Ltd. | 17,000 | 124,638 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Operations/Commercial Services — 0.0% | |||||||||||
Brambles, Ltd. | 14,339 | $ | 105,737 | ||||||||
E-Commerce/Products — 2.3% | |||||||||||
Alibaba Group Holding, Ltd.† | 22,400 | 306,595 | |||||||||
Alibaba Group Holding, Ltd. ADR† | 1,180 | 128,384 | |||||||||
Amazon.com, Inc.† | 1,274 | 4,153,176 | |||||||||
eBay, Inc. | 2,064 | 118,185 | |||||||||
JD.com, Inc. ADR† | 899 | 52,025 | |||||||||
JD.com, Inc., Class A† | 1,312 | 38,426 | |||||||||
JD.com, Inc., Class A Lock-Up Shares†(1) | 566 | 16,485 | |||||||||
4,813,276 | |||||||||||
E-Commerce/Services — 0.3% | |||||||||||
Booking Holdings, Inc.† | 49 | 115,074 | |||||||||
Cargurus, Inc.† | 1,397 | 59,316 | |||||||||
Cars.com, Inc.† | 1,025 | 14,791 | |||||||||
ChannelAdvisor Corp.† | 503 | 8,335 | |||||||||
DoorDash, Inc., Class A† | 1,033 | 121,057 | |||||||||
EverQuote, Inc., Class A† | 909 | 14,708 | |||||||||
Expedia Group, Inc.† | 672 | 131,490 | |||||||||
MercadoLibre, Inc.† | 91 | 108,243 | |||||||||
TrueCar, Inc.† | 2,477 | 9,784 | |||||||||
Uber Technologies, Inc.† | 3,471 | 123,845 | |||||||||
706,643 | |||||||||||
E-Marketing/Info — 0.0% | |||||||||||
QuinStreet, Inc.† | 995 | 11,542 | |||||||||
Electric Products-Misc. — 0.5% | |||||||||||
AMETEK, Inc. | 4,984 | 663,769 | |||||||||
Emerson Electric Co. | 2,152 | 211,003 | |||||||||
Legrand SA | 1,354 | 128,721 | |||||||||
1,003,493 | |||||||||||
Electric-Distribution — 0.0% | |||||||||||
E.ON SE | 6,138 | 71,383 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Constellation Energy Corp. | 2,318 | 130,387 | |||||||||
Electric-Integrated — 1.7% | |||||||||||
AES Corp. | 19,341 | 497,644 | |||||||||
ALLETE, Inc. | 464 | 31,079 | |||||||||
Ameren Corp. | 1,410 | 132,202 | |||||||||
American Electric Power Co., Inc. | 8,016 | 799,756 | |||||||||
DTE Energy Co. | 1,034 | 136,705 | |||||||||
Duke Energy Corp. | 1,201 | 134,104 | |||||||||
Edison International | 1,999 | 140,130 | |||||||||
Enel SpA | 8,971 | 59,909 | |||||||||
Eversource Energy | 1,396 | 123,113 | |||||||||
Exelon Corp. | 1,810 | 86,210 | |||||||||
FirstEnergy Corp. | 3,071 | 140,836 | |||||||||
Fortum Oyj | 17,439 | 316,576 | |||||||||
Otter Tail Corp. | 242 | 15,125 | |||||||||
PNM Resources, Inc. | 1,267 | 60,398 | |||||||||
Portland General Electric Co. | 846 | 46,657 | |||||||||
PPL Corp. | 2,198 | 62,775 | |||||||||
Southern Co. | 6,769 | 490,820 | |||||||||
WEC Energy Group, Inc. | 1,238 | 123,565 | |||||||||
Xcel Energy, Inc. | 1,808 | 130,483 | |||||||||
3,528,087 |
126
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Misc. — 0.3% | |||||||||||
Atkore, Inc.† | 595 | $ | 58,572 | ||||||||
CTS Corp. | 268 | 9,471 | |||||||||
Garmin, Ltd. | 1,444 | 171,273 | |||||||||
Hoya Corp. | 3,000 | 342,335 | |||||||||
Knowles Corp.† | 1,602 | 34,491 | |||||||||
Vishay Intertechnology, Inc. | 462 | 9,055 | |||||||||
625,197 | |||||||||||
Electronic Components-Semiconductors — 2.4% | |||||||||||
Advanced Micro Devices, Inc.† | 1,940 | 212,120 | |||||||||
Alpha & Omega Semiconductor, Ltd.† | 990 | 54,104 | |||||||||
Ambarella, Inc.† | 104 | 10,912 | |||||||||
ASPEED Technology, Inc. | 1,000 | 112,788 | |||||||||
CEVA, Inc.† | 364 | 14,797 | |||||||||
Intel Corp. | 2,441 | 120,976 | |||||||||
Lattice Semiconductor Corp.† | 797 | 48,577 | |||||||||
MACOM Technology Solutions Holdings, Inc.† | 943 | 56,457 | |||||||||
MediaTek, Inc. | 5,000 | 155,894 | |||||||||
Monolithic Power Systems, Inc. | 252 | 122,391 | |||||||||
NVIDIA Corp. | 12,745 | 3,477,601 | |||||||||
Samsung Electronics Co., Ltd. | 9,542 | 545,112 | |||||||||
Semtech Corp.† | 807 | 55,957 | |||||||||
Synaptics, Inc.† | 232 | 46,284 | |||||||||
5,033,970 | |||||||||||
Electronic Forms — 0.6% | |||||||||||
Adobe, Inc.† | 2,606 | 1,187,346 | |||||||||
Electronic Measurement Instruments — 0.6% | |||||||||||
Agilent Technologies, Inc. | 3,435 | 454,553 | |||||||||
Fortive Corp. | 10,519 | 640,923 | |||||||||
Itron, Inc.† | 1,093 | 57,579 | |||||||||
Shimadzu Corp. | 5,200 | 179,061 | |||||||||
1,332,116 | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Sinbon Electronics Co., Ltd. | 6,000 | 54,176 | |||||||||
Electronic Security Devices — 0.1% | |||||||||||
Allegion PLC | 2,510 | 275,548 | |||||||||
Electronics-Military — 0.0% | |||||||||||
Thales SA | 358 | 45,206 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
American Software, Inc., Class A | 419 | 8,732 | |||||||||
Appian Corp.† | 548 | 33,329 | |||||||||
Atlassian Corp. PLC, Class A† | 2,092 | 614,692 | |||||||||
Benefitfocus, Inc.† | 454 | 5,730 | |||||||||
Blackbaud, Inc.† | 143 | 8,561 | |||||||||
Domo, Inc., Class B† | 1,063 | 53,756 | |||||||||
Donnelley Financial Solutions, Inc.† | 689 | 22,916 | |||||||||
Intapp, Inc.† | 655 | 15,727 | |||||||||
Manhattan Associates, Inc.† | 1,293 | 179,352 | |||||||||
SS&C Technologies Holdings, Inc. | 1,598 | 119,882 | |||||||||
TOTVS SA | 28,914 | 220,937 | |||||||||
Workday, Inc., Class A† | 506 | 121,167 | |||||||||
1,404,781 |
Security Description | Shares | Value (Note 2) | |||||||||
Entertainment Software — 0.1% | |||||||||||
Electronic Arts, Inc. | 942 | $ | 119,172 | ||||||||
PearlAbyss Corp.† | 319 | 25,979 | |||||||||
Square Enix Holdings Co., Ltd. | 3,800 | 168,215 | |||||||||
313,366 | |||||||||||
Filtration/Separation Products — 0.1% | |||||||||||
Donaldson Co., Inc. | 1,912 | 99,290 | |||||||||
ESCO Technologies, Inc. | 124 | 8,670 | |||||||||
107,960 | |||||||||||
Finance-Auto Loans — 0.3% | |||||||||||
Ally Financial, Inc. | 12,347 | 536,848 | |||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
LendingClub Corp.† | 1,947 | 30,724 | |||||||||
Navient Corp. | 2,805 | 47,797 | |||||||||
OneMain Holdings, Inc. | 2,392 | 113,405 | |||||||||
Oportun Financial Corp.† | 340 | 4,882 | |||||||||
SLM Corp. | 8,590 | 157,713 | |||||||||
Synchrony Financial | 2,651 | 92,281 | |||||||||
446,802 | |||||||||||
Finance-Credit Card — 0.2% | |||||||||||
Capital One Financial Corp. | 1,087 | 142,712 | |||||||||
Discover Financial Services | 789 | 86,940 | |||||||||
Mastercard, Inc., Class A | 161 | 57,538 | |||||||||
Pagseguro Digital, Ltd., Class A† | 3,955 | 79,298 | |||||||||
366,488 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Cowen, Inc., Class A | 340 | 9,214 | |||||||||
Evercore, Inc., Class A | 1,076 | 119,781 | |||||||||
Moelis & Co., Class A | 197 | 9,249 | |||||||||
Piper Sandler Cos. | 165 | 21,656 | |||||||||
Virtu Financial, Inc., Class A | 3,373 | 125,543 | |||||||||
285,443 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Mr. Cooper Group, Inc.† | 1,160 | 52,977 | |||||||||
PennyMac Financial Services, Inc. | 797 | 42,401 | |||||||||
95,378 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
BGC Partners, Inc., Class A | 6,270 | 27,588 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 1,700 | 80,116 | |||||||||
SEI Investments Co. | 1,995 | 120,119 | |||||||||
227,823 | |||||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
MGIC Investment Corp. | 8,606 | 116,611 | |||||||||
Radian Group, Inc. | 447 | 9,928 | |||||||||
126,539 | |||||||||||
Firearms & Ammunition — 0.1% | |||||||||||
Axon Enterprise, Inc.† | 833 | 114,729 | |||||||||
Smith & Wesson Brands, Inc. | 2,817 | 42,621 | |||||||||
Sturm Ruger & Co., Inc. | 399 | 27,779 | |||||||||
185,129 | |||||||||||
Fisheries — 0.0% | |||||||||||
Toyo Suisan Kaisha, Ltd. | 2,100 | 75,097 |
127
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Baking — 0.0% | |||||||||||
Hostess Brands, Inc.† | 1,371 | $ | 30,080 | ||||||||
Food-Confectionery — 0.1% | |||||||||||
Hershey Co. | 590 | 127,812 | |||||||||
Food-Dairy Products — 0.1% | |||||||||||
China Mengniu Dairy Co., Ltd. | 30,000 | 161,094 | |||||||||
Yakult Honsha Co., Ltd. | 2,500 | 133,437 | |||||||||
294,531 | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
Tyson Foods, Inc., Class A | 1,525 | 136,686 | |||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
John B. Sanfilippo & Son, Inc. | 113 | 9,429 | |||||||||
Nestle SA | 2,961 | 384,399 | |||||||||
Nissin Foods Holdings Co., Ltd. | 1,300 | 91,289 | |||||||||
Simply Good Foods Co.† | 828 | 31,423 | |||||||||
516,540 | |||||||||||
Food-Retail — 0.4% | |||||||||||
Coles Group, Ltd. | 20,378 | 271,613 | |||||||||
Dino Polska SA†* | 1,184 | 94,597 | |||||||||
Ingles Markets, Inc., Class A | 219 | 19,502 | |||||||||
Koninklijke Ahold Delhaize NV | 10,961 | 352,355 | |||||||||
Shoprite Holdings, Ltd. | 5,932 | 95,726 | |||||||||
833,793 | |||||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
United Natural Foods, Inc.† | 1,066 | 44,079 | |||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Crocs, Inc.† | 124 | 9,474 | |||||||||
Steven Madden, Ltd. | 224 | 8,655 | |||||||||
18,129 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Service Corp. International | 1,840 | 121,109 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Golden Entertainment, Inc.† | 396 | 22,996 | |||||||||
International Game Technology PLC | 1,914 | 47,237 | |||||||||
Red Rock Resorts, Inc., Class A | 1,234 | 59,923 | |||||||||
130,156 | |||||||||||
Gas-Distribution — 0.2% | |||||||||||
New Jersey Resources Corp. | 298 | 13,666 | |||||||||
NiSource, Inc. | 3,908 | 124,275 | |||||||||
Northwest Natural Holding Co. | 296 | 15,309 | |||||||||
Osaka Gas Co., Ltd. | 5,100 | 87,557 | |||||||||
Tokyo Gas Co., Ltd. | 10,200 | 186,847 | |||||||||
427,654 | |||||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Clean Harbors, Inc.† | 1,231 | 137,429 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Ethan Allen Interiors, Inc. | 360 | 9,385 | |||||||||
Hotels/Motels — 0.5% | |||||||||||
Bluegreen Vacations Holding Corp.† | 278 | 8,220 | |||||||||
Marriott International, Inc., Class A† | 4,105 | 721,454 | |||||||||
Travel & Leisure Co. | 2,049 | 118,719 | |||||||||
Wyndham Hotels & Resorts, Inc. | 1,687 | 142,872 | |||||||||
991,265 |
Security Description | Shares | Value (Note 2) | |||||||||
Human Resources — 0.3% | |||||||||||
AMN Healthcare Services, Inc.† | 563 | $ | 58,738 | ||||||||
Heidrick & Struggles International, Inc. | 303 | 11,993 | |||||||||
Kforce, Inc. | 288 | 21,303 | |||||||||
Korn Ferry | 821 | 53,316 | |||||||||
ManpowerGroup, Inc. | 1,508 | 141,631 | |||||||||
Recruit Holdings Co., Ltd. | 4,600 | 201,376 | |||||||||
Resources Connection, Inc. | 337 | 5,776 | |||||||||
TriNet Group, Inc.† | 584 | 57,442 | |||||||||
551,575 | |||||||||||
Import/Export — 0.1% | |||||||||||
ITOCHU Corp. | 4,800 | 162,826 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
NRG Energy, Inc. | 4,806 | 184,358 | |||||||||
Vistra Corp. | 5,422 | 126,062 | |||||||||
310,420 | |||||||||||
Industrial Automated/Robotic — 0.1% | |||||||||||
Omron Corp. | 1,900 | 126,678 | |||||||||
Instruments-Controls — 0.2% | |||||||||||
Honeywell International, Inc. | 1,668 | 324,559 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Marsh & McLennan Cos., Inc. | 814 | 138,722 | |||||||||
Insurance-Life/Health — 0.7% | |||||||||||
AIA Group, Ltd. | 20,400 | 213,576 | |||||||||
American Equity Investment Life Holding Co. | 385 | 15,365 | |||||||||
Aviva PLC | 43,638 | 257,592 | |||||||||
CNO Financial Group, Inc. | 2,189 | 54,922 | |||||||||
Dai-ichi Life Holdings, Inc. | 9,200 | 187,165 | |||||||||
Equitable Holdings, Inc. | 17,810 | 550,507 | |||||||||
NN Group NV | 581 | 29,283 | |||||||||
Unum Group | 5,225 | 164,640 | |||||||||
1,473,050 | |||||||||||
Insurance-Multi-line — 1.0% | |||||||||||
Allianz SE | 2,116 | 505,289 | |||||||||
Allstate Corp. | 862 | 119,396 | |||||||||
American Financial Group, Inc. | 884 | 128,728 | |||||||||
Chubb, Ltd. | 594 | 127,056 | |||||||||
Genworth Financial, Inc., Class A† | 13,515 | 51,087 | |||||||||
MetLife, Inc. | 15,937 | 1,120,052 | |||||||||
Zurich Insurance Group AG | 270 | 133,118 | |||||||||
2,184,726 | |||||||||||
Insurance-Property/Casualty — 0.5% | |||||||||||
AMERISAFE, Inc. | 197 | 9,785 | |||||||||
Arch Capital Group, Ltd.† | 1,268 | 61,397 | |||||||||
Berkshire Hathaway, Inc., Class B† | 980 | 345,852 | |||||||||
Employers Holdings, Inc. | 239 | 9,804 | |||||||||
Fidelity National Financial, Inc. | 5,521 | 269,646 | |||||||||
Gjensidige Forsikring ASA | 1,987 | 49,294 | |||||||||
Horace Mann Educators Corp. | 882 | 36,894 | |||||||||
Old Republic International Corp. | 4,567 | 118,148 | |||||||||
ProAssurance Corp. | 450 | 12,096 | |||||||||
Safety Insurance Group, Inc. | 102 | 9,267 | |||||||||
Selective Insurance Group, Inc. | 121 | 10,813 |
128
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Property/Casualty (continued) | |||||||||||
Stewart Information Services Corp. | 414 | $ | 25,092 | ||||||||
United Fire Group, Inc. | 279 | 8,668 | |||||||||
Universal Insurance Holdings, Inc. | 731 | 9,861 | |||||||||
WR Berkley Corp. | 1,887 | 125,655 | |||||||||
1,102,272 | |||||||||||
Insurance-Reinsurance — 0.2% | |||||||||||
Argo Group International Holdings, Ltd. | 331 | 13,664 | |||||||||
Axis Capital Holdings, Ltd. | 2,077 | 125,596 | |||||||||
Essent Group, Ltd. | 1,359 | 56,004 | |||||||||
Everest Re Group, Ltd. | 405 | 122,059 | |||||||||
Reinsurance Group of America, Inc. | 1,152 | 126,098 | |||||||||
443,421 | |||||||||||
Internet Content-Entertainment — 0.8% | |||||||||||
Meta Platforms, Inc., Class A† | 3,934 | 874,764 | |||||||||
Netflix, Inc.† | 330 | 123,615 | |||||||||
Pinterest, Inc., Class A† | 22,718 | 559,090 | |||||||||
Roku, Inc.† | 908 | 113,745 | |||||||||
1,671,214 | |||||||||||
Internet Content-Information/News — 0.2% | |||||||||||
HealthStream, Inc.† | 376 | 7,490 | |||||||||
Tencent Holdings, Ltd. | 9,406 | 443,732 | |||||||||
451,222 | |||||||||||
Internet Gambling — 0.1% | |||||||||||
Entain PLC† | 9,821 | 210,646 | |||||||||
GAN, Ltd.† | 2,097 | 10,107 | |||||||||
NeoGames SA† | 335 | 5,169 | |||||||||
225,922 | |||||||||||
Internet Security — 0.1% | |||||||||||
Mimecast, Ltd.† | 761 | 60,545 | |||||||||
Palo Alto Networks, Inc.† | 195 | 121,390 | |||||||||
181,935 | |||||||||||
Investment Companies — 0.2% | |||||||||||
EXOR NV | 1,705 | 130,044 | |||||||||
Investor AB, Class B | 14,212 | 308,628 | |||||||||
Sofina SA | 100 | 36,265 | |||||||||
474,937 | |||||||||||
Investment Management/Advisor Services — 0.5% | |||||||||||
Ameriprise Financial, Inc. | 2,456 | 737,684 | |||||||||
Apollo Global Management, Inc. | 1,832 | 113,566 | |||||||||
BlackRock, Inc. | 158 | 120,739 | |||||||||
Blucora, Inc.† | 577 | 11,280 | |||||||||
LPL Financial Holdings, Inc. | 588 | 107,416 | |||||||||
Sculptor Capital Management, Inc. | 730 | 10,169 | |||||||||
Virtus Investment Partners, Inc. | 125 | 29,999 | |||||||||
1,130,853 | |||||||||||
Lighting Products & Systems — 0.1% | |||||||||||
Acuity Brands, Inc. | 1,113 | 210,691 | |||||||||
Lottery Services — 0.0% | |||||||||||
La Francaise des Jeux SAEM* | 2,019 | 80,027 |
Security Description | Shares | Value (Note 2) | |||||||||
Machine Tools & Related Products — 0.1% | |||||||||||
Techtronic Industries Co., Ltd. | 8,500 | $ | 136,933 | ||||||||
Machinery-Construction & Mining — 0.2% | |||||||||||
Astec Industries, Inc. | 245 | 10,535 | |||||||||
Caterpillar, Inc. | 569 | 126,785 | |||||||||
Manitowoc Co, Inc.† | 607 | 9,153 | |||||||||
Sandvik AB | 13,436 | 285,252 | |||||||||
Terex Corp. | 1,315 | 46,893 | |||||||||
478,618 | |||||||||||
Machinery-Electrical — 0.1% | |||||||||||
Argan, Inc. | 318 | 12,908 | |||||||||
Franklin Electric Co., Inc. | 105 | 8,719 | |||||||||
Mitsubishi Electric Corp. | 8,100 | 93,229 | |||||||||
114,856 | |||||||||||
Machinery-Farming — 0.3% | |||||||||||
AGCO Corp. | 2,584 | 377,341 | |||||||||
Deere & Co. | 346 | 143,749 | |||||||||
Toro Co. | 1,440 | 123,106 | |||||||||
644,196 | |||||||||||
Machinery-General Industrial — 0.3% | |||||||||||
Albany International Corp., Class A | 114 | 9,612 | |||||||||
Altra Industrial Motion Corp. | 1,210 | 47,105 | |||||||||
GEA Group AG | 3,628 | 149,896 | |||||||||
Nordson Corp. | 860 | 195,289 | |||||||||
Otis Worldwide Corp. | 1,546 | 118,965 | |||||||||
Zurn Water Solutions Corp. | 1,385 | 49,029 | |||||||||
569,896 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
Dover Corp. | 735 | 115,321 | |||||||||
Graco, Inc. | 1,694 | 118,106 | |||||||||
Watts Water Technologies, Inc., Class A | 61 | 8,515 | |||||||||
241,942 | |||||||||||
Machinery-Thermal Process — 0.0% | |||||||||||
GrafTech International, Ltd. | 907 | 8,725 | |||||||||
Medical Information Systems — 0.0% | |||||||||||
Computer Programs & Systems, Inc.† | 320 | 11,024 | |||||||||
NextGen Healthcare, Inc.† | 1,025 | 21,433 | |||||||||
Schrodinger, Inc.† | 394 | 13,443 | |||||||||
45,900 | |||||||||||
Medical Instruments — 0.9% | |||||||||||
AngioDynamics, Inc.† | 455 | 9,801 | |||||||||
Boston Scientific Corp.† | 2,810 | 124,455 | |||||||||
Edwards Lifesciences Corp.† | 6,491 | 764,120 | |||||||||
Getinge AB, Class B | 3,717 | 147,955 | |||||||||
Intuitive Surgical, Inc.† | 427 | 128,817 | |||||||||
Medtronic PLC | 6,348 | 704,311 | |||||||||
Natus Medical, Inc.† | 418 | 10,985 | |||||||||
1,890,444 | |||||||||||
Medical Labs & Testing Services — 0.5% | |||||||||||
Eurofins Scientific SE | 1,819 | 180,323 | |||||||||
Fulgent Genetics, Inc.† | 763 | 47,619 | |||||||||
IQVIA Holdings, Inc.† | 2,350 | 543,343 |
129
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Labs & Testing Services (continued) | |||||||||||
Laboratory Corp. of America Holdings† | 824 | $ | 217,256 | ||||||||
Medpace Holdings, Inc.† | 58 | 9,488 | |||||||||
998,029 | |||||||||||
Medical Products — 1.1% | |||||||||||
Abbott Laboratories | 12,942 | 1,531,815 | |||||||||
ABIOMED, Inc.† | 413 | 136,802 | |||||||||
Accuray, Inc.† | 2,768 | 9,162 | |||||||||
Align Technology, Inc.† | 230 | 100,280 | |||||||||
AtriCure, Inc.† | 256 | 16,812 | |||||||||
Avanos Medical, Inc.† | 313 | 10,485 | |||||||||
Baxter International, Inc. | 1,558 | 120,807 | |||||||||
Glaukos Corp.† | 232 | 13,414 | |||||||||
Inari Medical, Inc.† | 120 | 10,877 | |||||||||
Inspire Medical Systems, Inc.† | 295 | 75,724 | |||||||||
Integer Holdings Corp.† | 115 | 9,266 | |||||||||
LivaNova PLC† | 120 | 9,820 | |||||||||
Masimo Corp.† | 769 | 111,920 | |||||||||
Orthofix Medical, Inc.† | 343 | 11,216 | |||||||||
Sartorius Stedim Biotech | 323 | 132,381 | |||||||||
Surmodics, Inc.† | 150 | 6,799 | |||||||||
2,307,580 | |||||||||||
Medical-Biomedical/Gene — 1.6% | |||||||||||
Agenus, Inc.† | 11,440 | 28,142 | |||||||||
Allakos, Inc.† | 2,752 | 15,686 | |||||||||
Amgen, Inc. | 536 | 129,616 | |||||||||
AnaptysBio, Inc.† | 346 | 8,560 | |||||||||
Arbutus Biopharma Corp.† | 2,875 | 8,568 | |||||||||
Arrowhead Pharmaceuticals, Inc.† | 1,162 | 53,440 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 213 | 119,968 | |||||||||
BioCryst Pharmaceuticals, Inc.† | 861 | 14,000 | |||||||||
Bluebird Bio, Inc.† | 5,544 | 26,888 | |||||||||
Cara Therapeutics, Inc.† | 1,824 | 22,162 | |||||||||
Chinook Therapeutics, Inc.† | 682 | 11,158 | |||||||||
Crinetics Pharmaceuticals, Inc.† | 547 | 12,007 | |||||||||
Exelixis, Inc.† | 5,550 | 125,818 | |||||||||
FibroGen, Inc.† | 2,585 | 31,072 | |||||||||
IGM Biosciences, Inc.† | 247 | 6,602 | |||||||||
Illumina, Inc.† | 364 | 127,182 | |||||||||
ImmunityBio, Inc.† | 3,576 | 20,061 | |||||||||
ImmunoGen, Inc.† | 4,606 | 21,925 | |||||||||
Incyte Corp.† | 1,610 | 127,866 | |||||||||
Intercept Pharmaceuticals, Inc.† | 595 | 9,681 | |||||||||
iTeos Therapeutics, Inc.† | 838 | 26,967 | |||||||||
MacroGenics, Inc.† | 1,069 | 9,418 | |||||||||
Moderna, Inc.† | 2,619 | 451,149 | |||||||||
NGM Biopharmaceuticals, Inc.† | 820 | 12,505 | |||||||||
Novavax, Inc.† | 1,474 | 108,560 | |||||||||
Precision BioSciences, Inc.† | 1,676 | 5,162 | |||||||||
Prothena Corp. PLC† | 246 | 8,996 | |||||||||
Radius Health, Inc.† | 1,863 | 16,450 | |||||||||
RAPT Therapeutics, Inc.† | 245 | 5,388 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 437 | 305,210 | |||||||||
Relay Therapeutics, Inc.† | 1,343 | 40,196 | |||||||||
Theravance Biopharma, Inc.† | 2,111 | 20,181 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Travere Therapeutics, Inc.† | 1,075 | $ | 27,703 | ||||||||
Ventyx Biosciences, Inc.† | 390 | 5,292 | |||||||||
Vertex Pharmaceuticals, Inc.† | 5,128 | 1,338,254 | |||||||||
Veru, Inc.† | 1,739 | 8,399 | |||||||||
Vir Biotechnology, Inc.† | 1,881 | 48,379 | |||||||||
Xencor, Inc.† | 530 | 14,140 | |||||||||
3,372,751 | |||||||||||
Medical-Drugs — 4.0% | |||||||||||
AbbVie, Inc. | 7,060 | 1,144,497 | |||||||||
Alector, Inc.† | 2,287 | 32,590 | |||||||||
Alkermes PLC† | 1,735 | 45,648 | |||||||||
AstraZeneca PLC | 458 | 60,736 | |||||||||
Bristol-Myers Squibb Co. | 5,889 | 430,074 | |||||||||
Chimerix, Inc.† | 1,591 | 7,287 | |||||||||
Eagle Pharmaceuticals, Inc.† | 186 | 9,205 | |||||||||
Eli Lilly & Co. | 2,413 | 691,011 | |||||||||
Enanta Pharmaceuticals, Inc.† | 577 | 41,071 | |||||||||
GlaxoSmithKline PLC | 14,350 | 309,442 | |||||||||
Ipsen SA | 662 | 82,696 | |||||||||
Johnson & Johnson | 725 | 128,492 | |||||||||
Jounce Therapeutics, Inc.† | 1,067 | 7,245 | |||||||||
Merck & Co., Inc. | 26,212 | 2,150,694 | |||||||||
Merck KGaA | 1,496 | 313,305 | |||||||||
Novartis AG | 7,327 | 642,589 | |||||||||
Novo Nordisk A/S, Class B | 5,782 | 640,337 | |||||||||
Ono Pharmaceutical Co., Ltd. | 3,100 | 77,855 | |||||||||
Pfizer, Inc. | 13,500 | 698,895 | |||||||||
Roche Holding AG | 2,115 | 836,430 | |||||||||
Seres Therapeutics, Inc.† | 4,132 | 29,420 | |||||||||
Vanda Pharmaceuticals, Inc.† | 842 | 9,523 | |||||||||
8,389,042 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Arvinas, Inc.† | 78 | 5,249 | |||||||||
Medical-HMO — 0.4% | |||||||||||
Anthem, Inc. | 281 | 138,033 | |||||||||
Molina Healthcare, Inc.† | 1,078 | 359,610 | |||||||||
Tivity Health, Inc.† | 493 | 15,860 | |||||||||
UnitedHealth Group, Inc. | 799 | 407,466 | |||||||||
920,969 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
Apollo Hospitals Enterprise, Ltd. | 3,204 | 190,002 | |||||||||
Max Healthcare Institute, Ltd.† | 19,214 | 87,842 | |||||||||
Select Medical Holdings Corp. | 1,503 | 36,057 | |||||||||
Tenet Healthcare Corp.† | 877 | 75,387 | |||||||||
389,288 | |||||||||||
Medical-Wholesale Drug Distribution — 0.4% | |||||||||||
AmerisourceBergen Corp. | 856 | 132,432 | |||||||||
Cardinal Health, Inc. | 2,296 | 130,183 | |||||||||
McKesson Corp. | 1,953 | 597,872 | |||||||||
860,487 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Mueller Industries, Inc. | 704 | 38,136 | |||||||||
Standex International Corp. | 137 | 13,689 | |||||||||
VAT Group AG* | 128 | 48,806 | |||||||||
100,631 |
130
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Metal Products-Distribution — 0.0% | |||||||||||
MISUMI Group, Inc. | 1,000 | $ | 29,754 | ||||||||
Ryerson Holding Corp. | 462 | 16,179 | |||||||||
45,933 | |||||||||||
Metal-Aluminum — 0.1% | |||||||||||
Alcoa Corp. | 1,254 | 112,898 | |||||||||
Constellium SE† | 2,858 | 51,444 | |||||||||
Hindalco Industries, Ltd. | 8,340 | 62,360 | |||||||||
226,702 | |||||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc. | 2,829 | 140,714 | |||||||||
Metal-Diversified — 0.5% | |||||||||||
Anglo American PLC (Johannesburg) | 2,967 | 156,037 | |||||||||
Anglo American PLC (London) | 7,819 | 403,276 | |||||||||
Rio Tinto PLC | 5,556 | 440,735 | |||||||||
South32, Ltd. | 24,619 | 91,677 | |||||||||
1,091,725 | |||||||||||
Miscellaneous Manufacturing — 0.0% | |||||||||||
Hillenbrand, Inc. | 995 | 43,949 | |||||||||
Sight Sciences, Inc.† | 566 | 6,543 | |||||||||
50,492 | |||||||||||
MRI/Medical Diagnostic Imaging — 0.2% | |||||||||||
Sonic Healthcare, Ltd. | 12,118 | 319,093 | |||||||||
Multimedia — 0.1% | |||||||||||
FactSet Research Systems, Inc. | 292 | 126,772 | |||||||||
Walt Disney Co.† | 881 | 120,838 | |||||||||
247,610 | |||||||||||
Networking Products — 0.8% | |||||||||||
A10 Networks, Inc. | 2,277 | 31,764 | |||||||||
Cisco Systems, Inc. | 22,219 | 1,238,932 | |||||||||
Extreme Networks, Inc.† | 4,168 | 50,891 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 39,328 | 359,850 | |||||||||
1,681,437 | |||||||||||
Non-Ferrous Metals — 0.0% | |||||||||||
Vale Indonesia Tbk PT | 111,900 | 52,159 | |||||||||
Non-Hazardous Waste Disposal — 0.3% | |||||||||||
Casella Waste Systems, Inc., Class A† | 113 | 9,904 | |||||||||
Republic Services, Inc. | 3,911 | 518,207 | |||||||||
Waste Management, Inc. | 769 | 121,887 | |||||||||
649,998 | |||||||||||
Office Automation & Equipment — 0.1% | |||||||||||
Pitney Bowes, Inc. | 5,115 | 26,598 | |||||||||
Zebra Technologies Corp., Class A† | 623 | 257,735 | |||||||||
284,333 | |||||||||||
Office Supplies & Forms — 0.1% | |||||||||||
ACCO Brands Corp. | 1,600 | 12,800 | |||||||||
Avery Dennison Corp. | 1,398 | 243,210 | |||||||||
256,010 |
Security Description | Shares | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production — 0.5% | |||||||||||
Antero Resources Corp.† | 2,675 | $ | 81,668 | ||||||||
APA Corp. | 3,735 | 154,367 | |||||||||
California Resources Corp. | 1,282 | 57,344 | |||||||||
ConocoPhillips | 1,311 | 131,100 | |||||||||
Denbury, Inc.† | 775 | 60,892 | |||||||||
Marathon Oil Corp. | 5,661 | 142,148 | |||||||||
Oasis Petroleum, Inc. | 572 | 83,684 | |||||||||
Occidental Petroleum Corp. | 1,975 | 112,061 | |||||||||
Ovintiv, Inc. | 1,828 | 98,840 | |||||||||
PTT Exploration & Production PCL | 13,200 | 57,167 | |||||||||
SM Energy Co. | 1,496 | 58,269 | |||||||||
Talos Energy, Inc.† | 909 | 14,353 | |||||||||
1,051,893 | |||||||||||
Oil Companies-Integrated — 1.5% | |||||||||||
BP PLC | 72,457 | 354,100 | |||||||||
Chevron Corp. | 4,997 | 813,661 | |||||||||
Equinor ASA | 10,068 | 377,783 | |||||||||
Exxon Mobil Corp. | 10,651 | 879,666 | |||||||||
Petroleo Brasileiro SA (Preference Shares) | 8,600 | 60,422 | |||||||||
Shell PLC | 25,573 | 701,819 | |||||||||
3,187,451 | |||||||||||
Oil Refining & Marketing — 0.5% | |||||||||||
DCC PLC | 2,679 | 207,636 | |||||||||
Marathon Petroleum Corp. | 3,571 | 305,320 | |||||||||
Phillips 66 | 2,099 | 181,333 | |||||||||
Reliance Industries, Ltd. | 9,283 | 321,456 | |||||||||
Valero Energy Corp. | 1,237 | 125,605 | |||||||||
1,141,350 | |||||||||||
Oil-Field Services — 0.3% | |||||||||||
Halliburton Co. | 12,651 | 479,093 | |||||||||
MRC Global, Inc.† | 1,324 | 15,769 | |||||||||
NOW, Inc.† | 4,299 | 47,418 | |||||||||
Oceaneering International, Inc.† | 2,588 | 39,234 | |||||||||
Schlumberger NV | 2,787 | 115,131 | |||||||||
696,645 | |||||||||||
Optical Supplies — 0.0% | |||||||||||
STAAR Surgical Co.† | 674 | 53,859 | |||||||||
Pharmacy Services — 0.1% | |||||||||||
Cigna Corp. | 533 | 127,712 | |||||||||
CVS Health Corp. | 1,166 | 118,011 | |||||||||
Option Care Health, Inc.† | 1,638 | 46,781 | |||||||||
292,504 | |||||||||||
Pipelines — 0.5% | |||||||||||
Cheniere Energy, Inc. | 844 | 117,020 | |||||||||
Golar LNG, Ltd.† | 832 | 20,617 | |||||||||
Kinder Morgan, Inc. | 20,231 | 382,568 | |||||||||
Targa Resources Corp. | 6,161 | 464,971 | |||||||||
985,176 | |||||||||||
Platinum — 0.0% | |||||||||||
Sibanye Stillwater, Ltd. | 9,502 | 38,596 | |||||||||
Private Corrections — 0.0% | |||||||||||
CoreCivic, Inc.† | 2,031 | 22,686 |
131
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Private Equity — 0.2% | |||||||||||
3i Group PLC | 10,873 | $ | 196,681 | ||||||||
Partners Group Holding AG | 256 | 318,046 | |||||||||
514,727 | |||||||||||
Publishing-Books — 0.0% | |||||||||||
Scholastic Corp. | 224 | 9,023 | |||||||||
Publishing-Newspapers — 0.1% | |||||||||||
New York Times Co., Class A | 2,641 | 121,064 | |||||||||
News Corp., Class A | 5,389 | 119,366 | |||||||||
240,430 | |||||||||||
Radio — 0.1% | |||||||||||
iHeartMedia, Inc., Class A† | 2,522 | 47,741 | |||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 2,629 | 120,172 | |||||||||
167,913 | |||||||||||
Real Estate Investment Trusts — 2.5% | |||||||||||
Alexander & Baldwin, Inc. | 611 | 14,169 | |||||||||
American Campus Communities, Inc. | 2,188 | 122,462 | |||||||||
American Tower Corp. | 597 | 149,978 | |||||||||
Apartment Income REIT Corp. | 2,293 | 122,584 | |||||||||
Apple Hospitality REIT, Inc. | 1,283 | 23,055 | |||||||||
Armada Hoffler Properties, Inc. | 590 | 8,614 | |||||||||
AvalonBay Communities, Inc. | 472 | 117,231 | |||||||||
BrightSpire Capital, Inc. | 989 | 9,148 | |||||||||
Brixmor Property Group, Inc. | 4,663 | 120,352 | |||||||||
City Office REIT, Inc. | 667 | 11,779 | |||||||||
Corporate Office Properties Trust | 348 | 9,932 | |||||||||
Crown Castle International Corp. | 3,718 | 686,343 | |||||||||
CubeSmart | 7,392 | 384,606 | |||||||||
Dexus† | 12,905 | 105,024 | |||||||||
EastGroup Properties, Inc. | 356 | 72,368 | |||||||||
Equity LifeStyle Properties, Inc. | 1,632 | 124,815 | |||||||||
Essential Properties Realty Trust, Inc. | 1,687 | 42,681 | |||||||||
Extra Space Storage, Inc. | 610 | 125,416 | |||||||||
First Industrial Realty Trust, Inc. | 2,044 | 126,544 | |||||||||
Four Corners Property Trust, Inc. | 340 | 9,194 | |||||||||
Gaming and Leisure Properties, Inc. | 4,299 | 201,752 | |||||||||
Goodman Group | 20,660 | 350,905 | |||||||||
Granite Point Mtg. Trust, Inc. | 865 | 9,619 | |||||||||
Industrial Logistics Properties Trust | 1,347 | 30,536 | |||||||||
Invitation Homes, Inc. | 2,832 | 113,790 | |||||||||
Lamar Advertising Co., Class A | 1,143 | 132,794 | |||||||||
Life Storage, Inc. | 2,653 | 372,561 | |||||||||
Link REIT | 2,600 | 22,161 | |||||||||
MFA Financial, Inc. | 7,849 | 31,631 | |||||||||
National Health Investors, Inc. | 172 | 10,150 | |||||||||
National Storage Affiliates Trust | 957 | 60,061 | |||||||||
New Residential Investment Corp. | 11,423 | 125,425 | |||||||||
New York Mtg. Trust, Inc. | 2,501 | 9,129 | |||||||||
Orion Office REIT, Inc. | 3,702 | 51,828 | |||||||||
Outfront Media, Inc. | 2,136 | 60,726 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 1,805 | 31,082 | |||||||||
PotlatchDeltic Corp. | 1,043 | 54,997 | |||||||||
Prologis, Inc. | 826 | 133,382 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
PS Business Parks, Inc. | 189 | $ | 31,767 | ||||||||
Public Storage | 384 | 149,868 | |||||||||
Redwood Trust, Inc. | 2,757 | 29,031 | |||||||||
Retail Opportunity Investments Corp. | 2,167 | 42,018 | |||||||||
RPT Realty | 1,287 | 17,722 | |||||||||
Sabra Health Care REIT, Inc. | 712 | 10,602 | |||||||||
Simon Property Group, Inc. | 1,217 | 160,109 | |||||||||
SITE Centers Corp. | 606 | 10,126 | |||||||||
Starwood Property Trust, Inc. | 4,965 | 120,004 | |||||||||
Sunstone Hotel Investors, Inc.† | 4,684 | 55,178 | |||||||||
Terreno Realty Corp. | 123 | 9,108 | |||||||||
TPG RE Finance Trust, Inc. | 1,038 | 12,259 | |||||||||
Urban Edge Properties | 531 | 10,142 | |||||||||
Weyerhaeuser Co. | 12,051 | 456,733 | |||||||||
5,303,491 | |||||||||||
Real Estate Management/Services — 0.4% | |||||||||||
CBRE Group, Inc., Class A† | 5,293 | 484,415 | |||||||||
Country Garden Services Holdings Co., Ltd. | 7,000 | 29,745 | |||||||||
Cushman & Wakefield PLC† | 2,415 | 49,532 | |||||||||
Jones Lang LaSalle, Inc.† | 1,123 | 268,914 | |||||||||
RE/MAX Holdings, Inc., Class A | 297 | 8,236 | |||||||||
Realogy Holdings Corp.† | 2,542 | 39,858 | |||||||||
RMR Group, Inc., Class A | 198 | 6,158 | |||||||||
886,858 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
CK Asset Holdings, Ltd. | 35,907 | 245,414 | |||||||||
Kennedy-Wilson Holdings, Inc. | 552 | 13,463 | |||||||||
Sumitomo Realty & Development Co., Ltd. | 1,500 | 41,462 | |||||||||
300,339 | |||||||||||
Recreational Vehicles — 0.0% | |||||||||||
MasterCraft Boat Holdings, Inc.† | 275 | 6,768 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
Herc Holdings, Inc. | 62 | 10,360 | |||||||||
PROG Holdings, Inc.† | 322 | 9,264 | |||||||||
19,624 | |||||||||||
Resort/Theme Parks — 0.1% | |||||||||||
Vail Resorts, Inc. | 489 | 127,272 | |||||||||
Respiratory Products — 0.0% | |||||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 2,462 | 41,370 | |||||||||
Retail-Apparel/Shoe — 0.4% | |||||||||||
Abercrombie & Fitch Co., Class A† | 1,348 | 43,123 | |||||||||
Caleres, Inc. | 1,299 | 25,110 | |||||||||
Industria de Diseno Textil SA | 7,757 | 168,783 | |||||||||
JD Sports Fashion PLC | 119,330 | 231,082 | |||||||||
Li Ning Co., Ltd. | 9,500 | 81,424 | |||||||||
Moncler SpA | 1,902 | 105,922 | |||||||||
Ross Stores, Inc. | 1,368 | 123,749 | |||||||||
Tilly's, Inc., Class A | 935 | 8,752 | |||||||||
787,945 |
132
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Auto Parts — 1.2% | |||||||||||
AutoZone, Inc.† | 540 | $ | 1,104,073 | ||||||||
Genuine Parts Co. | 2,068 | 260,610 | |||||||||
O'Reilly Automotive, Inc.† | 1,599 | 1,095,251 | |||||||||
2,459,934 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
Group 1 Automotive, Inc. | 52 | 8,727 | |||||||||
Retail-Building Products — 0.3% | |||||||||||
BlueLinx Holdings, Inc.† | 239 | 17,179 | |||||||||
GMS, Inc.† | 534 | 26,577 | |||||||||
Home Depot, Inc. | 372 | 111,351 | |||||||||
Lowe's Cos., Inc. | 532 | 107,565 | |||||||||
Wesfarmers, Ltd. | 9,549 | 358,800 | |||||||||
621,472 | |||||||||||
Retail-Discount — 1.6% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 1,156 | 78,157 | |||||||||
Costco Wholesale Corp. | 237 | 136,476 | |||||||||
Target Corp. | 5,366 | 1,138,773 | |||||||||
Walmart, Inc. | 13,776 | 2,051,522 | |||||||||
3,404,928 | |||||||||||
Retail-Hypermarkets — 0.2% | |||||||||||
Wal-Mart de Mexico SAB de CV | 80,833 | 331,257 | |||||||||
Retail-Jewelry — 0.1% | |||||||||||
Movado Group, Inc. | 233 | 9,099 | |||||||||
Pandora A/S | 2,030 | 192,058 | |||||||||
Signet Jewelers, Ltd. | 696 | 50,599 | |||||||||
251,756 | |||||||||||
Retail-Leisure Products — 0.0% | |||||||||||
MarineMax, Inc.† | 198 | 7,971 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Ryohin Keikaku Co., Ltd. | 1,500 | 17,494 | |||||||||
Sally Beauty Holdings, Inc.† | 2,713 | 42,404 | |||||||||
59,898 | |||||||||||
Retail-Perfume & Cosmetics — 0.1% | |||||||||||
Ulta Beauty, Inc.† | 303 | 120,661 | |||||||||
Retail-Petroleum Products — 0.0% | |||||||||||
World Fuel Services Corp. | 1,339 | 36,207 | |||||||||
Retail-Regional Department Stores — 0.1% | |||||||||||
Dillard's, Inc., Class A | 183 | 49,115 | |||||||||
Macy's, Inc. | 2,880 | 70,157 | |||||||||
119,272 | |||||||||||
Retail-Restaurants — 0.7% | |||||||||||
Bloomin' Brands, Inc. | 497 | 10,904 | |||||||||
McDonald's Corp. | 2,942 | 727,498 | |||||||||
McDonald's Holdings Co. Japan, Ltd. | 3,800 | 158,274 | |||||||||
Starbucks Corp. | 4,046 | 368,065 | |||||||||
Wendy's Co. | 5,799 | 127,404 | |||||||||
1,392,145 | |||||||||||
Retirement/Aged Care — 0.0% | |||||||||||
Brookdale Senior Living, Inc.† | 1,812 | 12,775 |
Security Description | Shares | Value (Note 2) | |||||||||
Rubber-Tires — 0.1% | |||||||||||
Cie Generale des Etablissements Michelin SCA | 726 | $ | 98,077 | ||||||||
Goodyear Tire & Rubber Co.† | 3,136 | 44,814 | |||||||||
142,891 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
EchoStar Corp., Class A† | 1,137 | 27,675 | |||||||||
Telesat Corp.† | 462 | 7,623 | |||||||||
35,298 | |||||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
Brookline Bancorp, Inc. | 608 | 9,618 | |||||||||
Flushing Financial Corp. | 237 | 5,297 | |||||||||
OceanFirst Financial Corp. | 669 | 13,447 | |||||||||
Washington Federal, Inc. | 628 | 20,611 | |||||||||
48,973 | |||||||||||
Schools — 0.0% | |||||||||||
Laureate Education, Inc., Class A | 2,781 | 32,955 | |||||||||
Perdoceo Education Corp.† | 2,118 | 24,315 | |||||||||
Udemy, Inc.† | 738 | 9,195 | |||||||||
66,465 | |||||||||||
Semiconductor Components-Integrated Circuits — 1.4% | |||||||||||
Cirrus Logic, Inc.† | 1,357 | 115,060 | |||||||||
MaxLinear, Inc.† | 948 | 55,316 | |||||||||
Parade Technologies, Ltd. | 2,000 | 125,013 | |||||||||
QUALCOMM, Inc. | 11,615 | 1,775,004 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 38,039 | 786,435 | |||||||||
2,856,828 | |||||||||||
Semiconductor Equipment — 0.7% | |||||||||||
Applied Materials, Inc. | 3,941 | 519,424 | |||||||||
ASML Holding NV | 919 | 612,972 | |||||||||
Axcelis Technologies, Inc.† | 807 | 60,953 | |||||||||
KLA Corp. | 329 | 120,434 | |||||||||
Lam Research Corp. | 222 | 119,349 | |||||||||
Tokyo Electron, Ltd. | 300 | 154,042 | |||||||||
1,587,174 | |||||||||||
Steel-Producers — 0.1% | |||||||||||
BlueScope Steel, Ltd. | 14,527 | 224,480 | |||||||||
SupraNational Banks — 0.0% | |||||||||||
Banco Latinoamericano de Comercio Exterior SA, Class E | 349 | 5,437 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Ciena Corp.† | 2,086 | 126,474 | |||||||||
Telecom Services — 0.0% | |||||||||||
Aviat Networks, Inc.† | 325 | 10,000 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Cambium Networks Corp.† | 666 | 15,744 | |||||||||
Viavi Solutions, Inc.† | 600 | 9,648 | |||||||||
25,392 | |||||||||||
Telephone-Integrated — 1.3% | |||||||||||
AT&T, Inc. | 46,135 | 1,090,170 | |||||||||
KDDI Corp. | 11,300 | 371,163 | |||||||||
Koninklijke KPN NV | 55,716 | 193,502 |
133
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Nippon Telegraph & Telephone Corp. | 9,900 | $ | 287,663 | ||||||||
Shenandoah Telecommunications Co. | 477 | 11,248 | |||||||||
Verizon Communications, Inc. | 16,148 | 822,579 | |||||||||
2,776,325 | |||||||||||
Textile-Apparel — 0.1% | |||||||||||
LVMH Moet Hennessy Louis Vuitton SE | 196 | 139,566 | |||||||||
Tobacco — 0.8% | |||||||||||
Imperial Brands PLC | 12,751 | 268,485 | |||||||||
Philip Morris International, Inc. | 13,685 | 1,285,569 | |||||||||
Swedish Match AB | 18,682 | 140,527 | |||||||||
1,694,581 | |||||||||||
Toys — 0.2% | |||||||||||
Nintendo Co., Ltd. | 700 | 353,194 | |||||||||
Traffic Management Sys — 0.0% | |||||||||||
Arlo Technologies, Inc.† | 1,171 | 10,375 | |||||||||
Transport-Marine — 0.2% | |||||||||||
AP Moller - Maersk A/S, Series B | 32 | 96,453 | |||||||||
Dorian LPG, Ltd. | 865 | 12,534 | |||||||||
Nippon Yusen KK | 3,100 | 270,917 | |||||||||
Safe Bulkers, Inc. | 2,839 | 13,513 | |||||||||
SFL Corp., Ltd. | 2,416 | 24,595 | |||||||||
Teekay Corp.† | 1,794 | 5,687 | |||||||||
423,699 | |||||||||||
Transport-Rail — 0.6% | |||||||||||
CSX Corp. | 29,611 | 1,108,932 | |||||||||
Union Pacific Corp. | 324 | 88,520 | |||||||||
1,197,452 | |||||||||||
Transport-Services — 0.4% | |||||||||||
Deutsche Post AG | 6,999 | 336,082 | |||||||||
Hub Group, Inc., Class A† | 384 | 29,649 | |||||||||
Matson, Inc. | 564 | 68,030 | |||||||||
Nippon Express Holdings, Inc. | 1,100 | 75,611 | |||||||||
Poste Italiane SpA* | 4,357 | 49,427 | |||||||||
Ryder System, Inc. | 1,519 | 120,502 | |||||||||
SG Holdings Co., Ltd. | 1,800 | 33,923 | |||||||||
United Parcel Service, Inc., Class B | 551 | 118,167 | |||||||||
Yamato Holdings Co., Ltd. | 5,100 | 95,473 | |||||||||
926,864 | |||||||||||
Transport-Truck — 0.0% | |||||||||||
ArcBest Corp. | 445 | 35,822 | |||||||||
Covenant Logistics Group, Inc. | 356 | 7,665 | |||||||||
Saia, Inc.† | 236 | 57,542 | |||||||||
101,029 | |||||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
USANA Health Sciences, Inc.† | 107 | 8,501 | |||||||||
Warehousing & Harbor Transportation Services — 0.0% | |||||||||||
International Container Terminal Services, Inc. | 21,550 | 93,281 | |||||||||
Water — 0.0% | |||||||||||
California Water Service Group | 461 | 27,328 | |||||||||
SJW Group | 263 | 18,300 | |||||||||
45,628 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
GoDaddy, Inc., Class A† | 1,439 | $ | 120,444 | ||||||||
Web Portals/ISP — 2.7% | |||||||||||
Alphabet, Inc., Class A† | 1,946 | 5,412,507 | |||||||||
NAVER Corp. | 717 | 200,490 | |||||||||
5,612,997 | |||||||||||
Wire & Cable Products — 0.0% | |||||||||||
Encore Wire Corp. | 169 | 19,278 | |||||||||
Total Common Stocks (cost $140,202,524) | 165,332,218 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.4% | |||||||||||
Banks-Commercial — 0.0% | |||||||||||
Truist Financial Corp. Series N 4.80% due 09/01/2024(2) | $ | 35,000 | 34,388 | ||||||||
Banks-Super Regional — 0.1% | |||||||||||
Fifth Third Bancorp Series H 5.10% due 06/30/2023(2) | 13,000 | 12,854 | |||||||||
Wells Fargo & Co. Series BB Jr. Sub. Notes 3.90% due 3/15/2026(2) | 28,000 | 26,783 | |||||||||
Wells Fargo & Co. Series U 5.88% due 06/15/2025(2) | 120,000 | 125,376 | |||||||||
165,013 | |||||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
Bank of America Corp. Series JJ 5.13% due 06/20/2024(2) | 45,000 | 45,337 | |||||||||
Bank of America Corp. Series AA 6.10% due 03/17/2025(2) | 87,000 | 90,746 | |||||||||
Citigroup, Inc. 3.88% due 02/18/2026(2) | 78,000 | 73,661 | |||||||||
Goldman Sachs Group, Inc. Series U 3.65% due 08/10/2026(2) | 36,000 | 32,940 | |||||||||
JPMorgan Chase & Co. FRS 1.51% (3 ML+1.00%) due 05/15/2077 | 38,000 | 32,680 | |||||||||
JPMorgan Chase & Co. Series KK 3.65% due 06/01/2026(2) | 16,000 | 14,960 | |||||||||
JPMorgan Chase & Co. Series HH 4.60% due 02/01/2025(2) | 89,000 | 85,774 | |||||||||
JPMorgan Chase & Co. Series X 6.10% due 10/01/2024(2) | 16,000 | 16,384 | |||||||||
392,482 | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
General Electric Co. Series D 4.16% due 06/15/2022(2) | 25,000 | 24,000 | |||||||||
Electric-Integrated — 0.0% | |||||||||||
WEC Energy Group, Inc. FRS 2.62% (3 ML+2.11%) due 05/15/2067 | 71,000 | 60,208 |
134
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES (continued) | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
Vistra Corp. Sub. Notes 7.00% due 12/15/2026*(2) | $ | 5,000 | $ | 4,869 | |||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.20% due 03/15/2044 | 52,000 | 51,623 | |||||||||
Insurance-Multi-line — 0.0% | |||||||||||
MetLife, Inc. 6.40% due 12/15/2066 | 45,000 | 48,456 | |||||||||
Pipelines — 0.1% | |||||||||||
Energy Transfer LP 6.63% due 02/15/2028(2) | 85,000 | 76,075 | |||||||||
TransCanada Trust 5.30% due 03/15/2077 | 57,000 | 56,145 | |||||||||
132,220 | |||||||||||
Total Preferred Securities/Capital Securities (cost $937,381) | 913,259 | ||||||||||
ASSET BACKED SECURITIES — 2.1% | |||||||||||
Diversified Financial Services — 2.1% | |||||||||||
AREIT Trust FRS Series 2021-CRE5, Class A 1.48% (1 ML + 1.08%) due 07/17/2026*(4) | 96,000 | 93,803 | |||||||||
Banc of America Commercial Mtg. Trust VRS Series 2005-1, Class XW 1.00% due 11/10/2042*(3)(4)(5) | 232,932 | 2 | |||||||||
Barclays Commercial Mtg. Trust Series 2019-C3, Class C 4.18% due 05/15/2052(4) | 171,000 | 165,994 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class AS 4.53% due 01/15/2052(3)(4) | 41,000 | 43,201 | |||||||||
CD Commercial Mtg. Trust VRS Series 2016-CD1, Class XA 1.38% due 08/10/2049(3)(4)(5) | 241,316 | 11,004 | |||||||||
CD Mtg. Trust VRS Series 2017-CD6, Class AM 3.71% due 11/13/2050(3)(4) | 38,000 | 37,627 | |||||||||
CD Mtg. Trust VRS Series 2017-CD5, Class C 4.16% due 08/15/2050(3)(4) | 56,000 | 53,947 | |||||||||
CD Mtg. Trust VRS Series 2017-CD6, Class C 4.26% due 11/13/2050(3)(4) | 57,000 | 55,511 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2012-GC8, Class XA 1.72% due 09/10/2045*(3)(4)(5) | 158,296 | 180 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2013-GC11, Class C 4.13% due 04/10/2046(3)(4) | 82,000 | 82,057 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2015-P1, Class C 4.37% due 09/15/2048(3)(4) | 37,000 | 35,962 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Commercial Mtg. Trust VRS Series 2018-C6, Class AS 4.64% due 11/10/2051(3)(4) | $ | 25,000 | $ | 26,258 | |||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC21, Class C 4.78% due 05/10/2047(3)(4) | 68,000 | 66,806 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC19, Class D 5.09% due 03/10/2047*(3)(4) | 30,000 | 29,935 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2005-2, Class 1A2A 2.78% due 05/25/2035(3)(6) | 7,222 | 7,277 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class XA 0.86% due 12/10/2047(3)(4)(5) | 338,637 | 6,332 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class XA 0.91% due 08/10/2050(3)(4)(5) | 434,717 | 4,508 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR19, Class XA 0.95% due 08/10/2047(3)(4)(5) | 461,326 | 8,240 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class XA 0.96% due 05/10/2047(3)(4)(5) | 172,110 | 2,753 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR20, Class XA 0.98% due 11/10/2047(3)(4)(5) | 515,360 | 10,303 | |||||||||
Commercial Mtg. Trust VRS Series 2013-LC13, Class XA 0.99% due 08/10/2046(3)(4)(5) | 182,851 | 1,994 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS4, Class XA 1.09% due 08/10/2047(3)(4)(5) | 267,644 | 5,142 | |||||||||
Commercial Mtg. Trust Series 2014-CR21, Class AM 3.99% due 12/10/2047(4) | 131,000 | 130,753 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR6, Class D 4.09% due 03/10/2046*(3)(4) | 36,000 | 35,020 | |||||||||
Commercial Mtg. Trust VRS Series 2015-CR23, Class C 4.29% due 05/10/2048(3)(4) | 59,000 | 58,135 | |||||||||
Commercial Mtg. Trust VRS Series 2015-LC21, Class B 4.33% due 07/10/2048(3)(4) | 127,000 | 128,154 | |||||||||
Commercial Mtg. Trust VRS Series 2014-UBS6, Class C 4.44% due 12/10/2047(3)(4) | 18,000 | 17,528 | |||||||||
Commercial Mtg. Trust VRS Series 2013-CR11, Class AM 4.72% due 08/10/2050(3)(4) | 12,000 | 12,224 | |||||||||
Commercial Mtg. Trust VRS Series 2014-CR17, Class C 4.78% due 05/10/2047(3)(4) | 198,000 | 197,030 | |||||||||
Commercial Mtg. Trust VRS Series 2010-C1, Class D 5.75% due 07/10/2046*(3)(4) | 77,373 | 77,335 |
135
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2007-C1, Class AX 0.15% due 02/15/2040*(3)(4)(5) | $ | 26,808 | $ | 91 | |||||||
Credit Suisse Mtg. Capital Certs. VRS Series 2006-C4, Class AX 8.28% due 09/15/2039*(3)(4)(5) | 139 | 1 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class XA 0.82% due 04/15/2050(3)(4)(5) | 926,501 | 16,655 | |||||||||
CSAIL Commercial Mtg. Trust Series 2019-C17, Class AS 3.28% due 09/15/2052(4) | 82,000 | 79,249 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2016-C7, Class AS 3.96% due 11/15/2049(3)(4) | 64,000 | 63,862 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C1, Class C 4.26% due 04/15/2050(3)(4) | 81,000 | 73,051 | |||||||||
CSMC Trust VRS Series 2016-NXSR, Class C 4.45% due 12/15/2049(3)(4) | 37,000 | 30,448 | |||||||||
DBUBS Mtg. Trust VRS Series 2011-LC3A, Class D 5.39% due 08/10/2044*(3)(4) | 125,593 | 122,250 | |||||||||
GS Mtg. Securities Corp. II VRS GSMS 2013-GC10 XA 1.47% due 02/10/2046(3)(4)(5) | 670,012 | 5,400 | |||||||||
GS Mtg. Securities Corp. II Series 2013-GC10, Class AS 3.28% due 02/10/2046(4) | 135,000 | 135,252 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2012-GCJ9, Class C 4.45% due 11/10/2045*(3)(4) | 130,000 | 130,353 | |||||||||
GS Mtg. Securities Trust Series 2013-GC10, Class B 3.68% due 02/10/2046*(4) | 32,000 | 32,077 | |||||||||
GS Mtg. Securities Trust VRS Series 2015-GC30, Class C 4.07% due 05/10/2050(3)(4) | 45,000 | 43,809 | |||||||||
GS Mtg. Securities Trust VRS Series 2014-GC22, Class C 4.69% due 06/10/2047(3)(4) | 54,000 | 53,413 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C17, Class XA 0.72% due 01/15/2047(3)(4)(5) | 607,386 | 6,136 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C22, Class C 4.55% due 09/15/2047(3)(4) | 19,000 | 17,707 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2014-C19, Class C 4.65% due 04/15/2047(3)(4) | 12,000 | 11,795 | |||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, Class B 4.93% due 11/15/2045(3)(4) | 38,000 | 38,523 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
JPMBB Commercial Mtg. Securities Trust VRS Series 2013-C15, Class C 5.19% due 11/15/2045(3)(4) | $ | 105,000 | $ | 105,902 | |||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2013-LC11, Class AS 3.22% due 04/15/2046(4) | 22,000 | 21,985 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C12, Class C 4.09% due 07/15/2045(3)(4) | 50,000 | 49,973 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2012-C6, Class AS 4.12% due 05/15/2045(4) | 19,000 | 18,983 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust VRS Series 2014-C20, Class B 4.40% due 07/15/2047(3)(4) | 135,000 | 135,267 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust VRS Series 2013-C16, Class C 5.01% due 12/15/2046(3)(4) | 33,000 | 33,234 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust VRS Series 2012-C6, Class D 5.27% due 05/15/2045(3)(4) | 57,000 | 54,503 | |||||||||
Legacy Mtg. Asset Trust Series 2020-GS5, Class A1 3.25% due 06/25/2060*(6)(16) | 122,474 | 121,409 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class XA 1.05% due 08/15/2047(3)(4)(5) | 91,835 | 1,434 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C8, Class B 3.52% due 12/15/2048(3)(4) | 33,000 | 32,976 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2012-C6, Class B 3.93% due 11/15/2045(4) | 69,000 | 69,169 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C17, Class C 4.47% due 08/15/2047(3)(4) | 85,000 | 83,800 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2012-C5, Class E 4.62% due 08/15/2045*(3)(4) | 67,000 | 66,865 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C13, Class B 4.75% due 11/15/2046(3)(4) | 53,000 | 53,466 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2013-C12, Class C 4.76% due 10/15/2046(3)(4) | 55,000 | 52,757 |
136
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series C14, Class C 5.05% due 02/15/2047(3)(4) | $ | 72,000 | $ | 73,786 | |||||||
Morgan Stanley Capital I Trust Series 2016-BNK2, Class AS 3.28% due 11/15/2049(4) | 42,000 | 41,201 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2016-BNK2, Class C 3.89% due 11/15/2049(3)(4) | 42,000 | 39,004 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2018-L1, Class A4 4.41% due 10/15/2051(3)(4) | 85,000 | 89,115 | |||||||||
Morgan Stanley Capital I Trust VRS Series 2011-C3, Class D 5.09% due 07/15/2049*(3)(4) | 43,000 | 42,404 | |||||||||
Shelter Growth CRE Issuer, Ltd. FRS Series 2021-FL3, Class A 1.48% (1 ML + 1.08%) due 09/15/2036*(4) | 135,749 | 133,422 | |||||||||
Towd Point Mtg. Trust FRS Series 2018-SL1, Class A 1.06% (1 ML+0.60%) due 01/25/2046* | 25,329 | 25,264 | |||||||||
UBS Commercial Mtg. Trust VRS Series 2012-C1, Class C 5.84% due 05/10/2045*(3)(4) | 55,000 | 54,959 | |||||||||
UBS-Barclays Commercial Mtg. Trust VRS Series 2012-C3 Class C 5.05% due 08/10/2049*(3)(4) | 25,000 | 25,084 | |||||||||
Verus Securitization Trust VRS Series 2020-INV1, Class A1 1.98% due 03/25/2060*(3)(6) | 32,885 | 32,403 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2004-AR12, Class A2B 1.38% (1 ML+0.92%) due 10/25/2044(6) | 15,706 | 14,963 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2016-BNK1, Class AS 2.81% due 08/15/2049(4) | 83,000 | 79,626 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2020-C57, Class C 4.02% due 08/15/2053(3)(4) | 82,000 | 81,748 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2019-C50, Class B 4.19% due 05/15/2052(4) | 50,000 | 50,034 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2012-LC5, Class D 4.75% due 10/15/2045*(3)(4) | 34,000 | 33,982 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C11, Class XA 1.12% due 03/15/2045*(3)(4)(5) | 181,390 | 986 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class XA 1.48% due 12/15/2045*(3)(4)(5) | $ | 151,099 | $ | 866 | |||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class XA 1.85% due 11/15/2045*(3)(4)(5) | 88,126 | 271 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2012-C10, Class AS 3.24% due 12/15/2045(4) | 93,000 | 92,723 | |||||||||
WF-RBS Commercial Mtg. Trust Series 2013-C11, Class AS 3.31% due 03/15/2045(4) | 63,000 | 63,200 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C12, Class C 4.32% due 03/15/2048(3)(4) | 65,000 | 64,978 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C10, Class C 4.35% due 12/15/2045(3)(4) | 18,000 | 16,504 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2013-C18, Class AS 4.39% due 12/15/2046(3)(4) | 67,000 | 67,578 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2014-C19, Class B 4.72% due 03/15/2047(3)(4) | 86,000 | 85,731 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C7, Class D 4.78% due 06/15/2045*(3)(4) | 55,000 | 26,400 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2012-C9, Class D 4.82% due 11/15/2045*(3)(4) | 51,000 | 50,259 | |||||||||
WF-RBS Commercial Mtg. Trust VRS Series 2011-C3, Class D 5.29% due 03/15/2044*(3)(4) | 26,242 | 11,415 | |||||||||
Total Asset Backed Securities (cost $4,963,696) | 4,464,716 | ||||||||||
U.S. CONVERTIBLE BONDS & NOTES — 0.0% | |||||||||||
Cable/Satellite TV — 0.0% | |||||||||||
DISH Network Corp. Senior Notes 3.38% due 08/15/2026 | 10,000 | 8,995 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 0.75% due 01/15/2024 | 20,000 | 18,800 | |||||||||
Total U.S. CONVERTIBLE BONDS & NOTES (cost $25,170) | 27,795 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 7.2% | |||||||||||
Advertising Agencies — 0.0% | |||||||||||
Interpublic Group of Cos., Inc. Senior Notes 4.65% due 10/01/2028 | 72,000 | 75,412 | |||||||||
Advertising Sales — 0.0% | |||||||||||
Clear Channel Outdoor Holdings, Inc. Senior Sec. Notes 5.13% due 08/15/2027* | 15,000 | 14,838 |
137
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Advertising Sales (continued) | |||||||||||
Clear Channel Outdoor Holdings, Inc. Company Guar. Notes 7.50% due 06/01/2029* | $ | 25,000 | $ | 25,017 | |||||||
Clear Channel Outdoor Holdings, Inc. Company Guar. Notes 7.75% due 04/15/2028* | 15,000 | 15,075 | |||||||||
54,930 | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
Boeing Co. Senior Notes 4.88% due 05/01/2025 | 45,000 | 46,499 | |||||||||
Boeing Co. Senior Notes 5.93% due 05/01/2060 | 21,000 | 24,234 | |||||||||
Northrop Grumman Corp. Senior Notes 3.25% due 01/15/2028 | 41,000 | 41,072 | |||||||||
111,805 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
Howmet Aerospace, Inc. Senior Notes 3.00% due 01/15/2029 | 40,000 | 36,525 | |||||||||
L3Harris Technologies, Inc. Senior Notes 1.80% due 01/15/2031 | 31,000 | 27,050 | |||||||||
L3Harris Technologies, Inc. Senior Notes 4.40% due 06/15/2028 | 18,000 | 18,751 | |||||||||
TransDigm, Inc. Company Guar. Notes 4.63% due 01/15/2029 | 10,000 | 9,350 | |||||||||
TransDigm, Inc. Company Guar. Notes 4.88% due 05/01/2029 | 15,000 | 14,059 | |||||||||
TransDigm, Inc. Company Guar. Notes 5.50% due 11/15/2027 | 20,000 | 19,850 | |||||||||
TransDigm, Inc. Senior Sec. Notes 6.25% due 03/15/2026* | 25,000 | 25,703 | |||||||||
TransDigm, Inc. Company Guar. Notes 6.38% due 06/15/2026 | 10,000 | 10,090 | |||||||||
161,378 | |||||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043 | 99,000 | 106,357 | |||||||||
Airlines — 0.0% | |||||||||||
United Airlines, Inc. Senior Sec. Notes 4.38% due 04/15/2026* | 5,000 | 4,922 | |||||||||
United Airlines, Inc. Senior Sec. Notes 4.63% due 04/15/2029* | 5,000 | 4,755 | |||||||||
9,677 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Apparel Manufacturers — 0.0% | |||||||||||
Hanesbrands, Inc. Company Guar. Notes 4.63% due 05/15/2024* | $ | 10,000 | $ | 10,150 | |||||||
Kontoor Brands, Inc. Company Guar. Notes 4.13% due 11/15/2029* | 20,000 | 18,300 | |||||||||
Levi Strauss & Co. Senior Notes 3.50% due 03/01/2031* | 25,000 | 22,894 | |||||||||
51,344 | |||||||||||
Applications Software — 0.1% | |||||||||||
Microsoft Corp. Senior Notes 2.40% due 08/08/2026 | 10,000 | 9,906 | |||||||||
Microsoft Corp. Senior Notes 2.92% due 03/17/2052 | 31,000 | 29,072 | |||||||||
ServiceNow, Inc. Senior Notes 1.40% due 09/01/2030 | 49,000 | 41,650 | |||||||||
80,628 | |||||||||||
Auto-Cars/Light Trucks — 0.2% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.95% due 08/14/2028* | 25,000 | 25,778 | |||||||||
Ford Motor Co. Senior Notes 3.25% due 02/12/2032 | 25,000 | 22,291 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 4.00% due 11/13/2030 | 200,000 | 188,440 | |||||||||
General Motors Co. Senior Notes 5.20% due 04/01/2045 | 14,000 | 14,165 | |||||||||
General Motors Co. Senior Notes 5.95% due 04/01/2049 | 35,000 | 38,925 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.00% due 10/06/2026 | 11,000 | 11,048 | |||||||||
General Motors Financial Co., Inc. Company Guar. Notes 4.30% due 07/13/2025 | 13,000 | 13,208 | |||||||||
PM General Purchaser LLC Senior Sec. Notes 9.50% due 10/01/2028* | 10,000 | 9,826 | |||||||||
323,681 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Senior Notes 4.75% due 10/01/2027* | 20,000 | 19,675 | |||||||||
Banks-Commercial — 0.0% | |||||||||||
CIT Group, Inc. Sub. Notes 6.13% due 03/09/2028 | 56,000 | 62,051 |
138
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Mortgage — 0.0% | |||||||||||
Freedom Mtg. Corp. Senior Notes 6.63% due 01/15/2027* | $ | 10,000 | $ | 9,272 | |||||||
Freedom Mtg. Corp. Senior Notes 8.13% due 11/15/2024* | 10,000 | 9,962 | |||||||||
Freedom Mtg. Corp. Senior Notes 8.25% due 04/15/2025* | 22,000 | 21,934 | |||||||||
41,168 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
US Bancorp Sub. Notes 2.49% due 11/03/2036 | 80,000 | 71,707 | |||||||||
Beverages-Non-alcoholic — 0.0% | |||||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 2.25% due 03/15/2031 | 27,000 | 24,297 | |||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 3.20% due 05/01/2030 | 18,000 | 17,449 | |||||||||
Keurig Dr Pepper, Inc. Company Guar. Notes 4.60% due 05/25/2028 | 21,000 | 22,181 | |||||||||
63,927 | |||||||||||
Brewery — 0.0% | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 18,000 | 19,346 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 01/23/2029 | 13,000 | 14,096 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049 | 20,000 | 24,374 | |||||||||
57,816 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. Sec. Notes 5.38% due 08/15/2026* | 20,000 | 7,750 | |||||||||
iHeartCommunications, Inc. Company Guar. Notes 8.38% due 05/01/2027 | 32,299 | 33,429 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 4.50% due 05/01/2029* | 10,000 | 9,519 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 6.63% due 06/01/2027* | 30,000 | 31,425 | |||||||||
Univision Communications, Inc. Senior Sec. Notes 9.50% due 05/01/2025* | 10,000 | 10,500 | |||||||||
92,623 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Building & Construction Products-Misc. — 0.1% | |||||||||||
Builders FirstSource, Inc. Company Guar. Notes 4.25% due 02/01/2032* | $ | 10,000 | $ | 9,313 | |||||||
Builders FirstSource, Inc. Senior Sec. Notes 6.75% due 06/01/2027* | 11,000 | 11,413 | |||||||||
CP Atlas Buyer, Inc. Senior Notes 7.00% due 12/01/2028* | 10,000 | 8,526 | |||||||||
Louisiana-Pacific Corp. Senior Notes 3.63% due 03/15/2029* | 15,000 | 13,878 | |||||||||
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031* | 5,000 | 4,381 | |||||||||
Standard Industries, Inc. Senior Notes 4.38% due 07/15/2030* | 30,000 | 27,600 | |||||||||
Standard Industries, Inc. Senior Notes 5.00% due 02/15/2027* | 15,000 | 14,883 | |||||||||
89,994 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
VM Consolidated, Inc. Company Guar. Notes 5.50% due 04/15/2029* | 25,000 | 23,467 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Jeld-Wen, Inc. Company Guar. Notes 4.88% due 12/15/2027* | 5,000 | 4,788 | |||||||||
Jeld-Wen, Inc. Senior Sec. Notes 6.25% due 05/15/2025* | 10,000 | 10,304 | |||||||||
MIWD Holdco II LLC/MIWD Finance Corp. Company Guar. Notes 5.50% due 02/01/2030* | 10,000 | 9,301 | |||||||||
24,393 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Boise Cascade Co. Company Guar. Notes 4.88% due 07/01/2030* | 15,000 | 14,566 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025* | 15,000 | 13,951 | |||||||||
Great Lakes Dredge & Dock Corp. Company Guar. Notes 5.25% due 06/01/2029* | 15,000 | 14,325 | |||||||||
28,276 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
DR Horton, Inc. Company Guar. Notes 5.75% due 08/15/2023 | 18,000 | 18,636 |
139
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Building-Residential/Commercial (continued) | |||||||||||
Lennar Corp. Company Guar. Notes 4.75% due 11/29/2027 | $ | 85,000 | $ | 88,679 | |||||||
PulteGroup, Inc. Company Guar. Notes 7.88% due 06/15/2032 | 20,000 | 25,840 | |||||||||
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. Company Guar. Notes 5.88% due 06/15/2024 | 5,000 | 5,195 | |||||||||
138,350 | |||||||||||
Cable/Satellite TV — 0.5% | |||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.25% due 02/01/2031* | 15,000 | 13,612 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030* | 5,000 | 4,691 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 05/01/2032 | 10,000 | 9,162 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.75% due 03/01/2030* | 40,000 | 38,386 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 06/01/2029* | 85,000 | 85,000 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 10,000 | 10,153 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.70% due 04/01/2051 | 42,000 | 34,594 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.75% due 02/15/2028 | 17,000 | 16,801 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 31,000 | 31,814 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 40,000 | 45,577 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027 | $ | 34,000 | $ | 33,072 | |||||||
Comcast Corp. Company Guar. Notes 2.89% due 11/01/2051* | 8,000 | 6,740 | |||||||||
Comcast Corp. Company Guar. Notes 3.15% due 03/01/2026 | 7,000 | 7,063 | |||||||||
Comcast Corp. Company Guar. Notes 3.45% due 02/01/2050 | 158,000 | 147,761 | |||||||||
Comcast Corp. Company Guar. Notes 4.00% due 11/01/2049 | 57,000 | 57,481 | |||||||||
Comcast Corp. Company Guar. Notes 6.50% due 11/15/2035 | 3,000 | 3,878 | |||||||||
Cox Communications, Inc. Company Guar. Notes 2.95% due 10/01/2050* | 44,000 | 34,630 | |||||||||
Cox Communications, Inc. Senior Notes 3.35% due 09/15/2026* | 27,000 | 26,874 | |||||||||
Cox Communications, Inc. Senior Notes 3.50% due 08/15/2027* | 18,000 | 17,935 | |||||||||
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024 | 76,000 | 75,978 | |||||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc. Senior Sec. Notes 5.88% due 08/15/2027* | 10,000 | 9,843 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.13% due 06/01/2029 | 20,000 | 17,032 | |||||||||
DISH DBS Corp. Senior Sec. Notes 5.25% due 12/01/2026* | 10,000 | 9,519 | |||||||||
DISH DBS Corp. Senior Sec. Notes 5.75% due 12/01/2028* | 15,000 | 14,194 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024 | 10,000 | 9,975 | |||||||||
DISH DBS Corp. Company Guar. Notes 7.75% due 07/01/2026 | 30,000 | 29,756 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 3.88% due 09/01/2031* | 130,000 | 119,253 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 4.00% due 07/15/2028* | 15,000 | 14,250 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 5.00% due 08/01/2027* | 71,000 | 71,000 | |||||||||
996,024 |
140
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. Company Guar. Notes 4.75% due 12/01/2027 | $ | 5,000 | $ | 4,961 | |||||||
Boyd Gaming Corp. Company Guar. Notes 4.75% due 06/15/2031* | 30,000 | 28,912 | |||||||||
Boyd Gaming Corp. Company Guar. Notes 8.63% due 06/01/2025* | 2,000 | 2,101 | |||||||||
Full House Resorts, Inc. Senior Sec. Notes 8.25% due 02/15/2028* | 25,000 | 25,562 | |||||||||
Station Casinos LLC Company Guar. Notes 4.50% due 02/15/2028* | 15,000 | 14,283 | |||||||||
Station Casinos LLC Company Guar. Notes 4.63% due 12/01/2031* | 15,000 | 13,721 | |||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025* | 10,000 | 9,850 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. Company Guar. Notes 5.25% due 05/15/2027* | 20,000 | 19,350 | |||||||||
118,740 | |||||||||||
Casino Services — 0.0% | |||||||||||
Caesars Entertainment, Inc. Senior Notes 4.63% due 10/15/2029* | 5,000 | 4,692 | |||||||||
Caesars Entertainment, Inc. Senior Sec. Notes 6.25% due 07/01/2025* | 45,000 | 46,508 | |||||||||
51,200 | |||||||||||
Cellular Telecom — 0.1% | |||||||||||
Sprint Corp. Company Guar. Notes 7.63% due 03/01/2026 | 15,000 | 16,932 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 2.55% due 02/15/2031 | 45,000 | 40,812 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 2.63% due 02/15/2029 | 10,000 | 9,127 | |||||||||
T-Mobile USA, Inc. Company Guar. Notes 2.88% due 02/15/2031 | 10,000 | 9,009 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.75% due 04/15/2027 | 79,000 | 79,539 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030 | 7,000 | 7,028 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Cellular Telecom (continued) | |||||||||||
T-Mobile USA, Inc. Company Guar. Notes 4.75% due 02/01/2028 | $ | 30,000 | $ | 30,570 | |||||||
T-Mobile USA, Inc. Company Guar. Notes 5.38% due 04/15/2027 | 5,000 | 5,144 | |||||||||
198,161 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
Celanese US Holdings LLC Company Guar. Notes 1.40% due 08/05/2026 | 25,000 | 22,545 | |||||||||
LSF11 A5 HoldCo LLC Senior Notes 6.63% due 10/15/2029* | 25,000 | 23,259 | |||||||||
SCIH Salt Holdings, Inc. Senior Sec. Notes 4.88% due 05/01/2028* | 30,000 | 28,372 | |||||||||
SCIH Salt Holdings, Inc. Senior Notes 6.63% due 05/01/2029* | 10,000 | 8,997 | |||||||||
Westlake Chemical Corp. Senior Notes 2.88% due 08/15/2041 | 30,000 | 25,117 | |||||||||
Westlake Chemical Corp. Senior Notes 3.13% due 08/15/2051 | 60,000 | 49,291 | |||||||||
157,581 | |||||||||||
Chemicals-Specialty — 0.2% | |||||||||||
GCP Applied Technologies, Inc. Company Guar. Notes 5.50% due 04/15/2026* | 35,000 | 35,437 | |||||||||
Huntsman International LLC Senior Notes 4.50% due 05/01/2029 | 85,000 | 87,757 | |||||||||
Ingevity Corp. Company Guar. Notes 3.88% due 11/01/2028* | 20,000 | 18,077 | |||||||||
International Flavors & Fragrances Co. Company Guar. Notes 3.47% due 12/01/2050* | 13,000 | 11,378 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 2.30% due 11/01/2030* | 23,000 | 20,559 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 4.45% due 09/26/2028 | 42,000 | 43,706 | |||||||||
PMHC II, Inc. Senior Notes 9.00% due 02/15/2030* | 25,000 | 21,998 | |||||||||
Tronox, Inc. Company Guar. Notes 4.63% due 03/15/2029* | 40,000 | 37,400 | |||||||||
WR Grace Holdings LLC Senior Sec. Notes 4.88% due 06/15/2027* | 10,000 | 9,776 |
141
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Chemicals-Specialty (continued) | |||||||||||
WR Grace Holdings LLC Senior Sec. Notes 5.63% due 10/01/2024* | $ | 25,000 | $ | 25,125 | |||||||
WR Grace Holdings LLC Senior Notes 5.63% due 08/15/2029* | 15,000 | 14,026 | |||||||||
325,239 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 4.00% due 03/01/2029* | 15,000 | 13,875 | |||||||||
Coatings/Paint — 0.0% | |||||||||||
Sherwin-Williams Co. Senior Notes 3.45% due 06/01/2027 | 27,000 | 27,100 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 4.50% due 07/15/2029* | 25,000 | 24,937 | |||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.63% due 10/01/2028* | 10,000 | 10,072 | |||||||||
35,009 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
Global Payments, Inc. Senior Notes 2.90% due 05/15/2030 | 16,000 | 14,769 | |||||||||
Moody's Corp. Senior Bonds 2.55% due 08/18/2060 | 35,000 | 26,325 | |||||||||
S&P Global, Inc. Company Guar. Notes 1.25% due 08/15/2030 | 13,000 | 11,202 | |||||||||
S&P Global, Inc. Company Guar. Notes 4.75% due 08/01/2028* | 16,000 | 17,219 | |||||||||
Sabre GLBL, Inc. Senior Sec. Notes 9.25% due 04/15/2025* | 20,000 | 22,174 | |||||||||
Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. Company Guar. Notes 4.63% due 11/01/2026* | 15,000 | 14,444 | |||||||||
Square, Inc. Senior Notes 3.50% due 06/01/2031* | 77,000 | 70,782 | |||||||||
176,915 | |||||||||||
Computer Data Security — 0.0% | |||||||||||
Condor Merger Sub, Inc. Senior Notes 7.38% due 02/15/2030* | 20,000 | 19,150 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Computer Data Security (continued) | |||||||||||
Crowdstrike Holdings, Inc. Company Guar. Notes 3.00% due 02/15/2029 | $ | 15,000 | $ | 13,778 | |||||||
32,928 | |||||||||||
Computer Services — 0.0% | |||||||||||
Ahead DB Holdings LLC Company Guar. Notes 6.63% due 05/01/2028* | 40,000 | 35,500 | |||||||||
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Sec. Notes 5.75% due 06/01/2025* | 5,000 | 5,044 | |||||||||
40,544 | |||||||||||
Computer Software — 0.1% | |||||||||||
Citrix Systems, Inc. Senior Notes 1.25% due 03/01/2026 | 64,000 | 62,299 | |||||||||
Twilio, Inc. Company Guar. Notes 3.63% due 03/15/2029 | 25,000 | 23,563 | |||||||||
Twilio, Inc. Company Guar. Notes 3.88% due 03/15/2031 | 10,000 | 9,295 | |||||||||
ZoomInfo Technologies LLC/ ZoomInfo Finance Corp. Company Guar. Notes COMPANY GUARNT 3.88% due 02/01/2029* | 45,000 | 41,175 | |||||||||
136,332 | |||||||||||
Computers — 0.1% | |||||||||||
Apple, Inc. Senior Notes 2.80% due 02/08/2061 | 197,000 | 169,262 | |||||||||
Apple, Inc. Senior Notes 4.38% due 05/13/2045 | 40,000 | 45,186 | |||||||||
Dell International LLC/EMC Corp. Senior Notes 8.35% due 07/15/2046 | 3,000 | 4,382 | |||||||||
218,830 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
Diebold Nixdorf, Inc. Senior Sec. Notes 9.38% due 07/15/2025* | 10,000 | 10,159 | |||||||||
Consulting Services — 0.0% | |||||||||||
Gartner, Inc. Company Guar. Notes 3.63% due 06/15/2029* | 5,000 | 4,687 | |||||||||
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030* | 20,000 | 18,725 | |||||||||
23,412 |
142
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Consumer Products-Misc. — 0.0% | |||||||||||
Spectrum Brands, Inc. Company Guar. Notes 3.88% due 03/15/2031* | $ | 15,000 | $ | 13,233 | |||||||
Spectrum Brands, Inc. Company Guar. Notes 5.00% due 10/01/2029* | 15,000 | 14,137 | |||||||||
27,370 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
BWAY Holding Co. Senior Sec. Notes 5.50% due 04/15/2024* | 30,000 | 29,881 | |||||||||
BWAY Holding Co. Senior Notes 7.25% due 04/15/2025* | 15,000 | 14,867 | |||||||||
Crown Cork & Seal Co., Inc. Company Guar. Notes 7.38% due 12/15/2026 | 25,000 | 28,211 | |||||||||
Mauser Packaging Solutions Holding Co. Senior Sec. Notes 8.50% due 04/15/2024* | 5,000 | 5,087 | |||||||||
78,046 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Berry Global, Inc. Senior Sec. Notes 1.57% due 01/15/2026 | 42,000 | 39,047 | |||||||||
Berry Global, Inc. Senior Sec. Notes 1.65% due 01/15/2027 | 56,000 | 51,071 | |||||||||
Graphic Packaging International LLC Company Guar. Notes 3.50% due 03/01/2029* | 10,000 | 9,200 | |||||||||
Graphic Packaging International LLC Company Guar. Notes 3.75% due 02/01/2030* | 10,000 | 9,150 | |||||||||
Pactiv Evergreen Group Issuer LLC/ Pactiv Evergreen Group Issuer, Inc. Senior Sec. Notes 4.38% due 10/15/2028* | 5,000 | 4,611 | |||||||||
WestRock MWV LLC Company Guar. Notes 7.95% due 02/15/2031 | 1,000 | 1,282 | |||||||||
WestRock MWV LLC Company Guar. Notes 8.20% due 01/15/2030 | 28,000 | 35,948 | |||||||||
150,309 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Ortho-Clinical Diagnostics, Inc./ Ortho-Clinical Diagnostics SA Senior Notes 7.38% due 06/01/2025* | 3,000 | 3,090 | |||||||||
Direct Marketing — 0.0% | |||||||||||
Terrier Media Buyer, Inc. Company Guar. Notes 8.88% due 12/15/2027* | 70,000 | 71,775 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Mozart Debt Merger Sub, Inc. Senior Sec. Notes 3.88% due 04/01/2029* | $ | 10,000 | $ | 9,237 | |||||||
Mozart Debt Merger Sub, Inc. Senior Notes 5.25% due 10/01/2029* | 15,000 | 14,020 | |||||||||
23,257 | |||||||||||
Distribution/Wholesale — 0.0% | |||||||||||
ABC Supply Co., Inc. Senior Sec. Notes 4.00% due 01/15/2028* | 20,000 | 19,300 | |||||||||
American Builders & Contractors Supply Co., Inc. Senior Notes 3.88% due 11/15/2029* | 20,000 | 18,650 | |||||||||
Univar Solutions USA, Inc. Company Guar. Notes 5.13% due 12/01/2027* | 20,000 | 20,000 | |||||||||
57,950 | |||||||||||
Diversified Banking Institutions — 0.4% | |||||||||||
Bank of America Corp. Senior Notes 2.50% due 02/13/2031 | 62,000 | 56,996 | |||||||||
Bank of America Corp. Sub. Notes 3.85% due 03/08/2037 | 115,000 | 110,145 | |||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | 56,000 | 56,100 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 149,000 | 153,928 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.60% due 02/07/2030 | 30,000 | 27,834 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.85% due 01/26/2027 | 45,000 | 45,456 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 4.22% due 05/01/2029 | 68,000 | 69,746 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 13,000 | 16,385 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.08% due 04/22/2026 | 11,000 | 10,627 | |||||||||
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031 | 33,000 | 30,882 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 27,000 | 27,321 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 11/15/2048 | 134,000 | 137,042 | |||||||||
742,462 |
143
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Amsted Industries, Inc. Senior Notes 4.63% due 05/15/2030* | $ | 10,000 | $ | 9,477 | |||||||
Amsted Industries, Inc. Company Guar. Notes 5.63% due 07/01/2027* | 10,000 | 10,025 | |||||||||
19,502 | |||||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Becton Dickinson & Co. Senior Notes 2.82% due 05/20/2030 | 42,000 | 39,966 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Amazon.com, Inc. Senior Notes 2.10% due 05/12/2031 | 39,000 | 36,333 | |||||||||
Amazon.com, Inc. Senior Notes 4.05% due 08/22/2047 | 31,000 | 33,704 | |||||||||
70,037 | |||||||||||
E-Commerce/Services — 0.1% | |||||||||||
Booking Holdings, Inc. Senior Notes 4.63% due 04/13/2030 | 60,000 | 65,083 | |||||||||
Match Group Holdings II LLC Senior Notes 3.63% due 10/01/2031* | 10,000 | 8,988 | |||||||||
Match Group Holdings II LLC Senior Notes 4.13% due 08/01/2030* | 5,000 | 4,685 | |||||||||
Match Group Holdings II LLC Senior Notes 4.63% due 06/01/2028* | 25,000 | 24,250 | |||||||||
Match Group Holdings II LLC Senior Notes 5.00% due 12/15/2027* | 6,000 | 5,981 | |||||||||
Millennium Escrow Corp. Senior Sec. Notes 6.63% due 08/01/2026* | 10,000 | 9,494 | |||||||||
TripAdvisor, Inc Company Guar. Notes 7.00% due 07/15/2025* | 20,000 | 20,500 | |||||||||
138,981 | |||||||||||
Electric Products-Misc. — 0.0% | |||||||||||
WESCO Distribution, Inc. Company Guar. Notes 7.25% due 06/15/2028* | 15,000 | 15,932 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 5.88% due 02/01/2033 | 25,000 | 29,474 | |||||||||
Electric-Generation — 0.1% | |||||||||||
Vistra Operations Co. LLC Senior Sec. Notes 3.55% due 07/15/2024* | 35,000 | 34,697 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Electric-Generation (continued) | |||||||||||
Vistra Operations Co., LLC Senior Sec. Notes 4.30% due 07/15/2029* | $ | 33,000 | $ | 31,856 | |||||||
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027* | 10,000 | 9,838 | |||||||||
Vistra Operations Co. LLC Company Guar. Notes 5.50% due 09/01/2026* | 25,000 | 25,125 | |||||||||
101,516 | |||||||||||
Electric-Integrated — 0.2% | |||||||||||
AES Corp. Senior Notes 2.45% due 01/15/2031 | 56,000 | 50,202 | |||||||||
American Electric Power Co., Inc. Senior Notes 4.30% due 12/01/2028 | 42,000 | 43,501 | |||||||||
Appalachian Power Co. Senior Notes 5.80% due 10/01/2035 | 20,000 | 22,644 | |||||||||
Berkshire Hathaway Energy Co. Senior Notes 6.50% due 09/15/2037 | 5,000 | 6,329 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 4.20% due 03/15/2042 | 14,000 | 14,093 | |||||||||
Duke Energy Ohio, Inc. 1st Mtg. Notes 3.65% due 02/01/2029 | 41,000 | 41,719 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | 9,000 | 9,031 | |||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 4.25% due 05/01/2030 | 57,000 | 57,095 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.10% due 08/01/2027 | 14,000 | 12,600 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.95% due 03/01/2026 | 15,000 | 14,283 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 3.30% due 03/15/2027 | 35,000 | 33,630 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.95% due 07/01/2050 | 20,000 | 18,829 | |||||||||
PacifiCorp 1st Mtg. Notes 2.70% due 09/15/2030 | 17,000 | 16,191 | |||||||||
PacifiCorp 1st Mtg. Notes 6.25% due 10/15/2037 | 15,000 | 18,583 | |||||||||
358,730 |
144
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Transmission — 0.0% | |||||||||||
American Transmission Systems Inc Senior Notes 2.65% due 01/15/2032* | $ | 20,000 | $ | 18,494 | |||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Broadcom, Inc. Senior Notes 3.19% due 11/15/2036* | 51,000 | 44,730 | |||||||||
Broadcom, Inc. Company Guar. Notes 4.15% due 11/15/2030 | 129,000 | 130,757 | |||||||||
Microchip Technology, Inc. Company Guar. Notes 4.25% due 09/01/2025 | 20,000 | 20,257 | |||||||||
Microchip Technology, Inc. Senior Sec. Notes 4.33% due 06/01/2023 | 24,000 | 24,387 | |||||||||
220,131 | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Imola Merger Corp. Senior Sec. Notes 4.75% due 05/15/2029* | 40,000 | 38,518 | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Renewable Energy Group, Inc. Senior Sec. Notes 5.88% due 06/01/2028* | 5,000 | 5,371 | |||||||||
Enterprise Software/Service — 0.2% | |||||||||||
Boxer Parent Co., Inc. Senior Sec. Notes 7.13% due 10/02/2025* | 5,000 | 5,183 | |||||||||
Boxer Parent Co., Inc. Sec. Notes 9.13% due 03/01/2026* | 30,000 | 30,975 | |||||||||
Clarivate Science Holdings Corp. Company Guar. Notes 4.88% due 07/01/2029* | 35,000 | 32,928 | |||||||||
Oracle Corp. Senior Notes 3.65% due 03/25/2041 | 85,000 | 74,827 | |||||||||
Oracle Corp. Senior Notes 3.95% due 03/25/2051 | 15,000 | 13,106 | |||||||||
Rocket Software, Inc. Senior Notes 6.50% due 02/15/2029* | 50,000 | 45,375 | |||||||||
salesforce.com, Inc. Senior Notes 2.90% due 07/15/2051 | 51,000 | 45,256 | |||||||||
salesforce.com, Inc. Senior Notes 3.05% due 07/15/2061 | 71,000 | 62,238 | |||||||||
Workday, Inc. Senior Notes 3.70% due 04/01/2029 | 25,000 | 25,030 | |||||||||
334,918 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. Company Guar. Notes 8.00% due 11/01/2031 | $ | 86,000 | $ | 108,024 | |||||||
Cobra AcquisitionCo LLC Company Guar. Notes 6.38% due 11/01/2029* | 20,000 | 17,150 | |||||||||
125,174 | |||||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Springleaf Finance Corp. Company Guar. Notes 5.38% due 11/15/2029 | 50,000 | 48,578 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Capital One Financial Corp. Sub. Notes 2.36% due 07/29/2032 | 42,000 | 35,983 | |||||||||
Capital One Financial Corp. Sub. Notes 4.20% due 10/29/2025 | 16,000 | 16,386 | |||||||||
52,369 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Aretec Escrow Issuer, Inc. Senior Notes 7.50% due 04/01/2029* | 20,000 | 19,217 | |||||||||
Cantor Fitzgerald LP Notes 6.50% due 06/17/2022* | 29,000 | 29,252 | |||||||||
48,469 | |||||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
Air Lease Corp. Senior Notes 3.25% due 10/01/2029 | 45,000 | 42,532 | |||||||||
Air Lease Corp. Senior Notes 4.63% due 10/01/2028 | 61,000 | 62,175 | |||||||||
104,707 | |||||||||||
Finance-Mortgage Loan/Banker — 0.1% | |||||||||||
Home Point Capital, Inc. Company Guar. Notes 5.00% due 02/01/2026* | 10,000 | 8,193 | |||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 5.75% due 11/15/2031* | 35,000 | 33,380 | |||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 5.13% due 12/15/2030* | 5,000 | 4,619 | |||||||||
Nationstar Mortgage Holdings, Inc. Company Guar. Notes 5.50% due 08/15/2028* | 15,000 | 14,445 | |||||||||
PennyMac Financial Services, Inc. Company Guar. Notes 5.38% due 10/15/2025* | 20,000 | 19,800 | |||||||||
PennyMac Financial Services, Inc. Company Guar. Notes 5.75% due 09/15/2031* | 10,000 | 8,912 |
145
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Mortgage Loan/Banker (continued) | |||||||||||
PHH Mortgage Corp. Senior Sec. Notes 7.88% due 03/15/2026* | $ | 25,000 | $ | 23,375 | |||||||
Provident Funding Associates LP/PFG Finance Corp. Senior Notes 6.38% due 06/15/2025* | 15,000 | 14,749 | |||||||||
127,473 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
Coinbase Global, Inc. Company Guar. Notes 3.38% due 10/01/2028* | 15,000 | 13,365 | |||||||||
Coinbase Global, Inc. Company Guar. Notes 3.63% due 10/01/2031* | 10,000 | 8,525 | |||||||||
Intercontinental Exchange, Inc. Senior Notes 1.85% due 09/15/2032 | 20,000 | 17,279 | |||||||||
Intercontinental Exchange, Inc. Senior Bonds 2.65% due 09/15/2040 | 57,000 | 48,695 | |||||||||
87,864 | |||||||||||
Food-Misc./Diversified — 0.1% | |||||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.00% due 06/01/2026 | 9,000 | 8,868 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 3.88% due 05/15/2027 | 14,000 | 14,245 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 49,000 | 48,247 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.88% due 10/01/2049 | 42,000 | 44,271 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 5.00% due 07/15/2035 | 35,000 | 37,529 | |||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.13% due 01/31/2030* | 40,000 | 37,353 | |||||||||
Lamb Weston Holdings, Inc. Company Guar. Notes 4.88% due 05/15/2028* | 10,000 | 10,000 | |||||||||
200,513 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Albertsons Cos., Inc./Safeway, Inc./ New Albertsons LP/Albertsons LLC Company Guar. Notes 4.63% due 01/15/2027* | 15,000 | 14,550 | |||||||||
Albertsons Cos., Inc./Safeway, Inc./ New Albertsons LP/Albertsons LLC Company Guar. Notes 4.88% due 02/15/2030* | 30,000 | 29,175 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Food-Retail (continued) | |||||||||||
Albertsons Cos., Inc./Safeway, Inc./ New Albertsons LP/Albertsons LLC Company Guar. Notes 7.50% due 03/15/2026* | $ | 15,000 | $ | 15,844 | |||||||
Fresh Market, Inc. Senior Sec. Notes 9.75% due 05/01/2023* | 25,000 | 24,520 | |||||||||
84,089 | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Carriage Services, Inc. Company Guar. Notes 4.25% due 05/15/2029* | 15,000 | 14,010 | |||||||||
Service Corp. International Senior Notes 3.38% due 08/15/2030 | 10,000 | 9,009 | |||||||||
Service Corp. International Senior Notes 4.00% due 05/15/2031 | 30,000 | 27,910 | |||||||||
Service Corp. International Senior Notes 4.63% due 12/15/2027 | 14,000 | 14,245 | |||||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 20,000 | 20,352 | |||||||||
85,526 | |||||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
CDI Escrow Issuer, Inc. Senior Notes 5.75% due 04/01/2030* | 15,000 | 15,150 | |||||||||
Raptor Acquisition Corp./Raptor Co-Issuer LLC Senior Sec. Notes 4.88% due 11/01/2026* | 5,000 | 4,788 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 7.00% due 05/15/2028* | 5,000 | 5,182 | |||||||||
Scientific Games International, Inc. Company Guar. Notes 7.25% due 11/15/2029* | 20,000 | 20,975 | |||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. Company Guar. Notes 5.13% due 10/01/2029* | 40,000 | 37,600 | |||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. Senior Notes 7.75% due 04/15/2025* | 5,000 | 5,190 | |||||||||
88,885 | |||||||||||
Garden Products — 0.0% | |||||||||||
Scotts Miracle-Gro Co. Company Guar. Notes 4.38% due 02/01/2032 | 10,000 | 8,868 | |||||||||
Scotts Miracle-Gro Co. Company Guar. Notes 4.50% due 10/15/2029 | 45,000 | 42,187 | |||||||||
51,055 |
146
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Golf — 0.0% | |||||||||||
Constellation Merger Sub, Inc. Senior Notes 8.50% due 09/15/2025* | $ | 20,000 | $ | 18,750 | |||||||
MajorDrive Holdings IV LLC Senior Notes 6.38% due 06/01/2029* | 35,000 | 30,975 | |||||||||
49,725 | |||||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. Senior Notes 4.70% due 04/01/2026 | 25,000 | 25,117 | |||||||||
Newell Brands, Inc. Senior Notes 4.88% due 06/01/2025 | 10,000 | 10,323 | |||||||||
35,440 | |||||||||||
Hotels/Motels — 0.0% | |||||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. Company Guar. Notes 4.88% due 04/01/2027 | 20,000 | 20,296 | |||||||||
Independent Power Producers — 0.1% | |||||||||||
Calpine Corp. Senior Sec. Notes 4.50% due 02/15/2028* | 25,000 | 24,387 | |||||||||
Calpine Corp. Senior Notes 5.00% due 02/01/2031* | 5,000 | 4,550 | |||||||||
Calpine Corp. Senior Sec. Notes 5.25% due 06/01/2026* | 10,000 | 10,050 | |||||||||
NRG Energy, Inc. Senior Sec. Notes 3.75% due 06/15/2024* | 62,000 | 61,819 | |||||||||
NRG Energy, Inc. Company Guar. Notes 3.88% due 02/15/2032* | 60,000 | 52,800 | |||||||||
NRG Energy, Inc. Senior Sec. Notes 4.45% due 06/15/2029* | 10,000 | 10,011 | |||||||||
NRG Energy, Inc. Company Guar. Notes 5.25% due 06/15/2029* | 5,000 | 4,886 | |||||||||
NRG Energy, Inc. Company Guar. Notes 6.63% due 01/15/2027 | 2,000 | 2,063 | |||||||||
170,566 | |||||||||||
Instruments-Controls — 0.0% | |||||||||||
Sensata Technologies, Inc. Company Guar. Notes 3.75% due 02/15/2031* | 63,000 | 58,591 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Alliant Holdings Intermediate LLC/ Alliant Holdings Co-Issuer Senior Notes 6.75% due 10/15/2027* | 30,000 | 29,700 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Insurance Brokers (continued) | |||||||||||
AmWINS Group, Inc. Senior Notes 4.88% due 06/30/2029* | $ | 5,000 | $ | 4,775 | |||||||
HUB International, Ltd. Senior Notes 5.63% due 12/01/2029* | 5,000 | 4,775 | |||||||||
HUB International, Ltd. Company Guar. Notes 7.00% due 05/01/2026* | 35,000 | 35,393 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.38% due 03/15/2029 | 27,000 | 28,535 | |||||||||
USI, Inc. Senior Notes 6.88% due 05/01/2025* | 10,000 | 10,033 | |||||||||
113,211 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2025 | 21,000 | 21,808 | |||||||||
CNO Financial Group, Inc. Senior Notes 5.25% due 05/30/2029 | 15,000 | 15,782 | |||||||||
Teachers Insurance & Annuity Assoc. of America Sub. Notes 6.85% due 12/16/2039* | 21,000 | 27,507 | |||||||||
65,097 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Massachusetts Mutual Life Insurance Co. Sub. Notes 3.73% due 10/15/2070* | 72,000 | 64,393 | |||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 2.85% due 10/15/2050 | 14,000 | 12,113 | |||||||||
Berkshire Hathaway Finance Corp. Company Guar. Notes 4.30% due 05/15/2043 | 35,000 | 37,386 | |||||||||
49,499 | |||||||||||
Internet Content-Entertainment — 0.1% | |||||||||||
Netflix, Inc. Senior Notes 4.38% due 11/15/2026 | 85,000 | 88,394 | |||||||||
Netflix, Inc. Senior Notes 4.88% due 04/15/2028 | 30,000 | 31,463 | |||||||||
Netflix, Inc. Senior Notes 4.88% due 06/15/2030* | 32,000 | 34,000 | |||||||||
Netflix, Inc. Senior Notes 5.38% due 11/15/2029* | 5,000 | 5,413 | |||||||||
Netflix, Inc. Senior Notes 5.88% due 11/15/2028 | 47,000 | 51,808 | |||||||||
211,078 |
147
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Internet Content-Information/News — 0.0% | |||||||||||
Arches Buyer, Inc. Senior Sec. Notes 4.25% due 06/01/2028* | $ | 35,000 | $ | 32,650 | |||||||
Arches Buyer, Inc. Senior Notes 6.13% due 12/01/2028* | 15,000 | 13,865 | |||||||||
46,515 | |||||||||||
Investment Companies — 0.1% | |||||||||||
Ares Capital Corp. Senior Notes 3.88% due 01/15/2026 | 92,000 | 90,353 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 4.38% due 02/01/2029 | 10,000 | 9,175 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 5.25% due 05/15/2027 | 20,000 | 19,628 | |||||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. Company Guar. Notes 6.25% due 05/15/2026 | 25,000 | 25,500 | |||||||||
144,656 | |||||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
AG Issuer LLC Senior Sec. Notes 6.25% due 03/01/2028* | 15,000 | 14,962 | |||||||||
Neuberger Berman Group LLC/ Neuberger Berman Finance Corp. Senior Notes 4.88% due 04/15/2045* | 21,000 | 22,300 | |||||||||
37,262 | |||||||||||
Lottery Services — 0.0% | |||||||||||
Scientific Games Holdings LP/ Scientific Games US FinCo, Inc. Senior Notes 6.63% due 03/01/2030* | 15,000 | 14,787 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. Senior Notes 3.10% due 03/01/2030 | 10,000 | 9,300 | |||||||||
Oshkosh Corp. Senior Notes 4.60% due 05/15/2028 | 40,000 | 40,858 | |||||||||
Terex Corp. Company Guar. Notes 5.00% due 05/15/2029* | 10,000 | 9,593 | |||||||||
59,751 | |||||||||||
Machinery-Electrical — 0.0% | |||||||||||
Vertiv Group Corp. Senior Sec. Notes 4.13% due 11/15/2028* | 10,000 | 9,126 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Machinery-Farming — 0.0% | |||||||||||
OT Merger Corp. Senior Notes 7.88% due 10/15/2029* | $ | 35,000 | $ | 30,275 | |||||||
Machinery-General Industrial — 0.0% | |||||||||||
Otis Worldwide Corp. Senior Notes 2.57% due 02/15/2030 | 31,000 | 28,976 | |||||||||
Stevens Holding Co., Inc. Company Guar. Notes 6.13% due 10/01/2026* | 20,000 | 20,550 | |||||||||
49,526 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Granite US Holdings Corp. Company Guar. Notes 11.00% due 10/01/2027* | 20,000 | 21,100 | |||||||||
Medical Information Systems — 0.0% | |||||||||||
Minerva Merger Sub, Inc. Senior Notes 6.50% due 02/15/2030* | 30,000 | 29,172 | |||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Charles River Laboratories International, Inc. Company Guar. Notes 3.75% due 03/15/2029* | 10,000 | 9,437 | |||||||||
Charles River Laboratories International, Inc. Company Guar. Notes 4.00% due 03/15/2031* | 10,000 | 9,388 | |||||||||
18,825 | |||||||||||
Medical-Biomedical/Gene — 0.0% | |||||||||||
Amgen, Inc. Senior Notes 2.60% due 08/19/2026 | 8,000 | 7,898 | |||||||||
Amgen, Inc. Senior Notes 4.66% due 06/15/2051 | 32,000 | 35,196 | |||||||||
43,094 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029 | 113,000 | 111,577 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.55% due 11/13/2050 | 20,000 | 16,591 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.40% due 07/26/2029 | 35,000 | 35,665 | |||||||||
Zoetis, Inc. Senior Notes 2.00% due 05/15/2030 | 5,000 | 4,484 | |||||||||
Zoetis, Inc. Senior Notes 3.90% due 08/20/2028 | 58,000 | 59,640 | |||||||||
227,957 |
148
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Viatris, Inc. Company Guar. Notes 2.30% due 06/22/2027 | $ | 35,000 | $ | 31,905 | |||||||
Medical-HMO — 0.1% | |||||||||||
Centene Corp. Senior Notes 3.00% due 10/15/2030 | 10,000 | 9,222 | |||||||||
Centene Corp. Senior Notes 4.63% due 12/15/2029 | 50,000 | 50,600 | |||||||||
UnitedHealth Group, Inc. Senior Notes 2.00% due 05/15/2030 | 2,000 | 1,844 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.85% due 06/15/2028 | 62,000 | 64,632 | |||||||||
126,298 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.25% due 05/15/2030* | 40,000 | 38,442 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.63% due 03/15/2027* | 5,000 | 5,103 | |||||||||
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 04/01/2028* | 10,000 | 9,075 | |||||||||
CHS/Community Health Systems, Inc. Sec. Notes 6.88% due 04/15/2029* | 25,000 | 24,563 | |||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 8.00% due 03/15/2026* | 15,000 | 15,621 | |||||||||
HCA, Inc. Company Guar. Notes 3.50% due 09/01/2030 | 5,000 | 4,811 | |||||||||
HCA, Inc. Senior Sec. Notes 3.50% due 07/15/2051 | 5,000 | 4,312 | |||||||||
HCA, Inc. Senior Sec. Notes 4.13% due 06/15/2029 | 49,000 | 49,951 | |||||||||
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026 | 16,000 | 16,905 | |||||||||
HCA, Inc. Company Guar. Notes 5.38% due 09/01/2026 | 15,000 | 15,750 | |||||||||
HCA, Inc. Senior Sec. Notes 5.50% due 06/15/2047 | 14,000 | 15,790 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.25% due 06/01/2029* | 45,000 | 43,276 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024 | 4,000 | 4,017 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Medical-Hospitals (continued) | |||||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.88% due 01/01/2026* | $ | 30,000 | $ | 30,362 | |||||||
Tenet Healthcare Corp. Senior Sec. Notes 5.13% due 11/01/2027* | 30,000 | 30,141 | |||||||||
Tenet Healthcare Corp. Sec. Notes 6.25% due 02/01/2027* | 10,000 | 10,266 | |||||||||
318,385 | |||||||||||
Medical-Outpatient/Home Medical — 0.0% | |||||||||||
Air Methods Corp Senior Notes 8.00% due 05/15/2025* | 15,000 | 12,975 | |||||||||
Global Medical Response, Inc. Senior Sec. Notes 6.50% due 10/01/2025* | 10,000 | 9,925 | |||||||||
22,900 | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Owens & Minor, Inc. Company Guar. Notes 4.50% due 03/31/2029* | 25,000 | 23,875 | |||||||||
Owens & Minor, Inc. Company Guar. Notes 6.63% due 04/01/2030* | 10,000 | 10,290 | |||||||||
34,165 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Park-Ohio Industries, Inc. Company Guar. Notes 6.63% due 04/15/2027 | 20,000 | 16,750 | |||||||||
Roller Bearing Co. of America, Inc. Senior Notes 4.38% due 10/15/2029* | 10,000 | 9,325 | |||||||||
26,075 | |||||||||||
Metal-Aluminum — 0.0% | |||||||||||
Novelis Corp. Company Guar. Notes 3.25% due 11/15/2026* | 10,000 | 9,553 | |||||||||
Novelis Corp. Company Guar. Notes 3.88% due 08/15/2031* | 5,000 | 4,573 | |||||||||
Novelis Corp. Company Guar. Notes 4.75% due 01/30/2030* | 15,000 | 14,563 | |||||||||
28,689 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 4.38% due 08/01/2028 | 20,000 | 20,068 | |||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 4.63% due 08/01/2030 | 15,000 | 15,337 | |||||||||
Freeport-McMoRan, Inc. Company Guar. Notes 5.45% due 03/15/2043 | 20,000 | 22,402 | |||||||||
57,807 |
149
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Metal-Diversified — 0.0% | |||||||||||
Glencore Funding LLC Company Guar. Notes 2.50% due 09/01/2030* | $ | 82,000 | $ | 73,387 | |||||||
Metal-Iron — 0.0% | |||||||||||
TMS International Corp. Senior Notes 6.25% due 04/15/2029* | 20,000 | 19,000 | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Magallanes, Inc. Company Guar. Notes 4.28% due 03/15/2032* | 113,000 | 113,486 | |||||||||
Multimedia — 0.0% | |||||||||||
Walt Disney Co. Company Guar. Notes 4.75% due 09/15/2044 | 28,000 | 31,667 | |||||||||
Walt Disney Co. Company Guar. Notes 7.75% due 12/01/2045 | 3,000 | 4,729 | |||||||||
36,396 | |||||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Covanta Holding Corp. Company Guar. Notes 4.88% due 12/01/2029* | 20,000 | 19,000 | |||||||||
Waste Pro USA, Inc. Senior Notes 5.50% due 02/15/2026* | 35,000 | 32,725 | |||||||||
51,725 | |||||||||||
Office Automation & Equipment — 0.0% | |||||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029 | 25,000 | 22,970 | |||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 5.75% due 02/01/2025 | 20,000 | 19,512 | |||||||||
Nabors Industries, Inc. Company Guar. Notes 9.00% due 02/01/2025* | 4,000 | 4,160 | |||||||||
23,672 | |||||||||||
Oil Companies-Exploration & Production — 0.5% | |||||||||||
Alberta Energy Co., Ltd. Company Guar. Notes 8.13% due 09/15/2030 | 5,000 | 6,261 | |||||||||
Antero Resources Corp. Company Guar. Notes 7.63% due 02/01/2029* | 8,000 | 8,648 | |||||||||
Antero Resources Corp. Company Guar. Notes 8.38% due 07/15/2026* | 6,000 | 6,610 | |||||||||
Apache Corp. Senior Notes 4.38% due 10/15/2028 | 25,000 | 25,578 | |||||||||
Apache Corp. Senior Notes 5.10% due 09/01/2040 | 30,000 | 30,225 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Callon Petroleum Co. Company Guar. Notes 6.13% due 10/01/2024 | $ | 25,000 | $ | 24,875 | |||||||
Callon Petroleum Co. Company Guar. Notes 8.00% due 08/01/2028* | 20,000 | 21,083 | |||||||||
Callon Petroleum Co. Sec. Notes 9.00% due 04/01/2025* | 10,000 | 10,600 | |||||||||
Centennial Resource Production LLC Company Guar. Notes 5.38% due 01/15/2026* | 35,000 | 33,950 | |||||||||
Centennial Resource Production LLC Company Guar. Notes 6.88% due 04/01/2027* | 25,000 | 25,128 | |||||||||
Comstock Resources, Inc. Company Guar. Notes 5.88% due 01/15/2030* | 20,000 | 19,706 | |||||||||
Comstock Resources, Inc. Company Guar. Notes 6.75% due 03/01/2029* | 15,000 | 15,474 | |||||||||
Continental Resources, Inc. Company Guar. Notes 2.88% due 04/01/2032* | 120,000 | 107,010 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.38% due 01/15/2028 | 15,000 | 15,207 | |||||||||
Continental Resources, Inc. Company Guar. Notes 4.90% due 06/01/2044 | 15,000 | 14,843 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.75% due 01/15/2031* | 20,000 | 21,876 | |||||||||
Covey Park Energy LLC/Covey Park Finance Corp. Company Guar. Notes 7.50% due 05/15/2025* | 4,000 | 4,060 | |||||||||
CrownRock LP/CrownRock Finance, Inc. Senior Notes 5.00% due 05/01/2029* | 20,000 | 20,000 | |||||||||
Devon Energy Corp. Senior Notes 5.60% due 07/15/2041 | 10,000 | 11,550 | |||||||||
Devon Energy Corp. Senior Notes 7.95% due 04/15/2032 | 20,000 | 25,962 | |||||||||
Devon Financing Co. LLC Senior Notes 7.88% due 09/30/2031 | 10,000 | 12,975 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 3.25% due 12/01/2026 | 49,000 | 48,996 | |||||||||
Encino Acquisition Partners Holdings LLC Company Guar. Notes 8.50% due 05/01/2028* | 30,000 | 30,879 |
150
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.75% due 01/30/2028* | $ | 40,000 | $ | 41,360 | |||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 6.63% due 07/15/2025* | 10,000 | 10,375 | |||||||||
EQT Corp. Senior Notes 7.50% due 02/01/2030 | 15,000 | 17,369 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.38% due 06/01/2026* | 10,000 | 10,275 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.13% due 01/01/2031 | 5,000 | 5,631 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.20% due 03/15/2040 | 101,000 | 112,110 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.45% due 09/15/2036 | 55,000 | 64,811 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.63% due 09/01/2030 | 10,000 | 11,475 | |||||||||
Ovintiv, Inc. Company Guar. Notes 7.38% due 11/01/2031 | 10,000 | 12,259 | |||||||||
Rockcliff Energy II LLC Senior Notes 5.50% due 10/15/2029* | 20,000 | 20,042 | |||||||||
SM Energy Co. Senior Notes 6.50% due 07/15/2028 | 20,000 | 20,700 | |||||||||
SM Energy Co. Senior Notes 6.63% due 01/15/2027 | 10,000 | 10,252 | |||||||||
SM Energy Co. Senior Notes 6.75% due 09/15/2026 | 15,000 | 15,375 | |||||||||
SM Energy Co. Sec. Notes 10.00% due 01/15/2025* | 5,000 | 5,458 | |||||||||
Southwestern Energy Co. Company Guar. Notes 5.38% due 02/01/2029 | 45,000 | 45,731 | |||||||||
Southwestern Energy Co. Company Guar. Notes 5.38% due 03/15/2030 | 20,000 | 20,324 | |||||||||
965,043 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.12% due 05/04/2026 | 16,000 | 15,982 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Oil Refining & Marketing — 0.0% | |||||||||||
PBF Holding Co. LLC/PBF Finance Corp. Senior Sec. Notes 9.25% due 05/15/2025* | $ | 25,000 | $ | 25,755 | |||||||
Oil-Field Services — 0.0% | |||||||||||
ChampionX Corp. Company Guar. Notes 6.38% due 05/01/2026 | 7,000 | 7,140 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026 | 20,000 | 20,235 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 09/01/2027 | 10,000 | 10,038 | |||||||||
37,413 | |||||||||||
Oil-U.S. Royalty Trusts — 0.0% | |||||||||||
Viper Energy Partners LP Company Guar. Notes 5.38% due 11/01/2027* | 20,000 | 20,372 | |||||||||
Paper & Related Products — 0.0% | |||||||||||
International Paper Co. Senior Notes 8.70% due 06/15/2038 | 7,000 | 10,223 | |||||||||
Mercer International, Inc. Senior Notes 5.13% due 02/01/2029 | 15,000 | 14,475 | |||||||||
Mercer International, Inc. Senior Notes 5.50% due 01/15/2026 | 15,000 | 15,113 | |||||||||
Sylvamo Corp. Company Guar. Notes 7.00% due 09/01/2029* | 30,000 | 29,442 | |||||||||
69,253 | |||||||||||
Pharmacy Services — 0.0% | |||||||||||
Option Care Health, Inc. Company Guar. Notes 4.38% due 10/31/2029* | 5,000 | 4,687 | |||||||||
Pipelines — 0.3% | |||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. Company Guar. Notes 7.88% due 05/15/2026* | 10,000 | 10,821 | |||||||||
Boardwalk Pipelines LP Company Guar. Notes 3.60% due 09/01/2032 | 12,000 | 11,442 | |||||||||
Buckeye Partners LP Senior Notes 3.95% due 12/01/2026 | 5,000 | 4,886 | |||||||||
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028* | 20,000 | 19,100 | |||||||||
Buckeye Partners LP Senior Notes 5.85% due 11/15/2043 | 5,000 | 4,262 |
151
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027 | $ | 62,000 | $ | 66,179 | |||||||
Cheniere Energy Partners LP Company Guar. Notes 3.25% due 01/31/2032* | 39,000 | 35,490 | |||||||||
Cheniere Energy Partners LP Company Guar. Notes 4.00% due 03/01/2031 | 15,000 | 14,541 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 5.63% due 07/15/2027 | 15,000 | 15,726 | |||||||||
DCP Midstream Operating LP Company Guar. Notes 6.75% due 09/15/2037* | 20,000 | 23,450 | |||||||||
DT Midstream, Inc. Senior Sec. Notes 4.30% due 04/15/2032* | 25,000 | 25,086 | |||||||||
El Paso Natural Gas Co. LLC Company Guar. Notes 8.38% due 06/15/2032 | 30,000 | 38,965 | |||||||||
Energy Transfer LP/Regency Energy Finance Corp. Senior Notes 4.50% due 11/01/2023 | 9,000 | 9,141 | |||||||||
Energy Transfer Operating LP Senior Notes 2.90% due 05/15/2025 | 23,000 | 22,523 | |||||||||
Energy Transfer Operating LP Senior Notes 5.88% due 01/15/2024 | 37,000 | 38,569 | |||||||||
Energy Transfer Operating LP Senior Notes 6.50% due 02/01/2042 | 2,000 | 2,301 | |||||||||
EnLink Midstream LLC Company Guar. Notes 5.63% due 01/15/2028* | 30,000 | 30,624 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 2.80% due 01/31/2030 | 76,000 | 73,061 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 21,000 | 21,077 | |||||||||
Hess Midstream Operations LP Company Guar. Notes 4.25% due 02/15/2030* | 10,000 | 9,436 | |||||||||
Hess Midstream Operations LP Company Guar. Notes 5.63% due 02/15/2026* | 25,000 | 25,649 | |||||||||
Hess Midstream Partners LP Company Guar. Notes 5.13% due 06/15/2028* | 10,000 | 10,025 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 5.00% due 02/01/2028* | 30,000 | 28,462 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Kinder Morgan Energy Partners LP Company Guar. Notes 5.40% due 09/01/2044 | $ | 6,000 | $ | 6,462 | |||||||
Kinder Morgan, Inc. Company Guar. Notes 7.75% due 01/15/2032 | 24,000 | 30,943 | |||||||||
Rattler Midstream LP Company Guar. Notes 5.63% due 07/15/2025* | 10,000 | 10,150 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.20% due 03/15/2028 | 50,000 | 51,426 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.00% due 03/15/2027 | 24,000 | 25,426 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 5.50% due 01/15/2028* | 20,000 | 19,350 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 6.00% due 12/31/2030* | 15,000 | 14,555 | |||||||||
Venture Global Calcasieu Pass LLC Senior Sec. Notes 3.88% due 11/01/2033* | 10,000 | 9,554 | |||||||||
708,682 | |||||||||||
Pollution Control — 0.0% | |||||||||||
Madison IAQ LLC Senior Sec. Notes 4.13% due 06/30/2028* | 10,000 | 9,225 | |||||||||
Madison IAQ LLC Senior Notes 5.88% due 06/30/2029* | 30,000 | 26,625 | |||||||||
35,850 | |||||||||||
Precious Metals — 0.0% | |||||||||||
Coeur Mining, Inc. Company Guar. Notes 5.13% due 02/15/2029* | 10,000 | 8,682 | |||||||||
Private Equity — 0.0% | |||||||||||
KKR Group Finance Co. VI LLC Company Guar. Notes 3.75% due 07/01/2029* | 31,000 | 31,749 | |||||||||
Protection/Safety — 0.0% | |||||||||||
ADT Security Corp. Senior Sec. Notes 4.13% due 08/01/2029* | 30,000 | 27,831 | |||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 3.38% due 08/31/2027* | 10,000 | 9,162 | |||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. Sec. Notes 6.25% due 01/15/2028* | 30,000 | 29,382 | |||||||||
66,375 |
152
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Publishing-Books — 0.1% | |||||||||||
Cengage Learning, Inc. Senior Notes 9.50% due 06/15/2024* | $ | 25,000 | $ | 24,938 | |||||||
Mav Acquisition Corp. Senior Sec. Notes 5.75% due 08/01/2028* | 25,000 | 23,844 | |||||||||
Mav Acquisition Corp. Senior Notes 8.00% due 08/01/2029* | 30,000 | 28,353 | |||||||||
77,135 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp. Senior Notes 3.88% due 05/15/2029* | 20,000 | 18,900 | |||||||||
News Corp. Company Guar. Notes 5.13% due 02/15/2032* | 12,000 | 12,058 | |||||||||
30,958 | |||||||||||
Quarrying — 0.0% | |||||||||||
Compass Minerals International, Inc. Company Guar. Notes 4.88% due 07/15/2024* | 5,000 | 4,944 | |||||||||
Compass Minerals International, Inc. Company Guar. Notes 6.75% due 12/01/2027* | 30,000 | 30,378 | |||||||||
35,322 | |||||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027* | 20,000 | 19,817 | |||||||||
Radio — 0.1% | |||||||||||
Beasley Mezzanine Holdings LLC Senior Sec. Notes 8.63% due 02/01/2026* | 25,000 | 23,750 | |||||||||
Entercom Media Corp. Sec. Notes 6.50% due 05/01/2027* | 15,000 | 14,116 | |||||||||
Entercom Media Corp. Sec. Notes 6.75% due 03/31/2029* | 25,000 | 23,347 | |||||||||
Spanish Broadcasting System, Inc. Senior Sec. Notes 9.75% due 03/01/2026* | 20,000 | 20,100 | |||||||||
Townsquare Media, Inc. Senior Sec. Notes 6.88% due 02/01/2026* | 20,000 | 20,597 | |||||||||
Urban One, Inc. Senior Sec. Notes 7.38% due 02/01/2028* | 25,000 | 25,125 | |||||||||
127,035 | |||||||||||
Real Estate Investment Trusts — 0.3% | |||||||||||
American Tower Corp. Senior Notes 2.70% due 04/15/2031 | 117,000 | 105,824 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
American Tower Corp. Senior Notes 2.75% due 01/15/2027 | $ | 14,000 | $ | 13,425 | |||||||
American Tower Corp. Senior Notes 2.90% due 01/15/2030 | 40,000 | 37,140 | |||||||||
Crown Castle International Corp. Senior Notes 3.65% due 09/01/2027 | 20,000 | 19,886 | |||||||||
Crown Castle International Corp. Senior Bonds 3.80% due 02/15/2028 | 41,000 | 41,008 | |||||||||
Crown Castle International Corp. Senior Notes 4.75% due 05/15/2047 | 7,000 | 7,338 | |||||||||
Digital Realty Trust LP Company Guar. Notes 4.45% due 07/15/2028 | 76,000 | 79,210 | |||||||||
Equinix, Inc. Senior Notes 3.20% due 11/18/2029 | 68,000 | 65,192 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 3.25% due 01/15/2032 | 25,000 | 22,683 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.25% due 06/01/2025 | 10,000 | 10,293 | |||||||||
iStar, Inc. Senior Notes 4.25% due 08/01/2025 | 90,000 | 88,962 | |||||||||
iStar, Inc. Senior Notes 4.75% due 10/01/2024 | 15,000 | 15,123 | |||||||||
iStar, Inc. Senior Notes 5.50% due 02/15/2026 | 15,000 | 15,225 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. Company Guar. Notes 4.25% due 02/01/2027* | 25,000 | 23,959 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. Company Guar. Notes 4.75% due 06/15/2029* | 25,000 | 23,687 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. Company Guar. Notes 5.25% due 10/01/2025* | 5,000 | 4,981 | |||||||||
Prologis LP Senior Notes 2.25% due 04/15/2030 | 14,000 | 13,008 | |||||||||
Service Properties Trust Company Guar. Notes 7.50% due 09/15/2025 | 5,000 | 5,249 | |||||||||
Weyerhaeuser Co. Senior Notes 7.38% due 03/15/2032 | 8,000 | 10,200 | |||||||||
602,393 |
153
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. Company Guar. Notes 5.25% due 04/15/2030* | $ | 20,000 | $ | 18,500 | |||||||
Realogy Group LLC/Realogy Co-Issuer Corp. Company Guar. Notes 5.75% due 01/15/2029* | 15,000 | 14,174 | |||||||||
32,674 | |||||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
ERAC USA Finance LLC Company Guar. Notes 5.63% due 03/15/2042* | 55,000 | 64,562 | |||||||||
Herc Holdings, Inc. Company Guar. Notes 5.50% due 07/15/2027* | 10,000 | 10,140 | |||||||||
NESCO Holdings II, Inc. Sec. Notes 5.50% due 04/15/2029* | 25,000 | 24,563 | |||||||||
PECF USS Intermediate Holding III Corp. Senior Notes 8.00% due 11/15/2029* | 30,000 | 28,950 | |||||||||
128,215 | |||||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Six Flags Entertainment Corp. Company Guar. Notes 5.50% due 04/15/2027* | 15,000 | 15,010 | |||||||||
Six Flags Theme Parks, Inc. Senior Sec. Notes 7.00% due 07/01/2025* | 15,000 | 15,656 | |||||||||
30,666 | |||||||||||
Retail-Apparel/Shoe — 0.0% | |||||||||||
Victoria's Secret & Co. Company Guar. Notes 4.63% due 07/15/2029* | 10,000 | 9,000 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 4.63% due 11/15/2029* | 10,000 | 9,354 | |||||||||
AutoNation, Inc. Senior Notes 2.40% due 08/01/2031 | 30,000 | 26,123 | |||||||||
35,477 | |||||||||||
Retail-Building Products — 0.0% | |||||||||||
BCPE Ulysses Intermediate, Inc. Senior Notes 8.50% due 04/01/2027*(15) | 15,000 | 13,612 | |||||||||
Beacon Roofing Supply, Inc. Company Guar. Notes 4.13% due 05/15/2029* | 10,000 | 9,238 | |||||||||
Beacon Roofing Supply, Inc. Senior Sec. Notes 4.50% due 11/15/2026* | 15,000 | 14,899 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Retail-Building Products (continued) | |||||||||||
LBM Acquisition LLC Company Guar. Notes 6.25% due 01/15/2029* | $ | 15,000 | $ | 14,050 | |||||||
White Cap Buyer LLC Senior Notes 6.88% due 10/15/2028* | 20,000 | 18,952 | |||||||||
70,751 | |||||||||||
Retail-Drug Store — 0.0% | |||||||||||
Rite Aid Corp. Senior Sec. Notes 7.50% due 07/01/2025* | 42,000 | 39,585 | |||||||||
Rite Aid Corp. Senior Sec. Notes 8.00% due 11/15/2026* | 10,000 | 9,244 | |||||||||
48,829 | |||||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
L Brands, Inc. Company Guar. Notes 6.63% due 10/01/2030* | 30,000 | 31,546 | |||||||||
L Brands, Inc. Company Guar. Notes 6.75% due 07/01/2036 | 10,000 | 10,226 | |||||||||
L Brands, Inc. Company Guar. Notes 7.50% due 06/15/2029 | 15,000 | 16,248 | |||||||||
L Brands, Inc. Company Guar. Notes 9.38% due 07/01/2025* | 3,000 | 3,420 | |||||||||
61,440 | |||||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. Senior Sec. Notes 7.50% due 04/15/2026* | 65,000 | 63,122 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Macy's Retail Holdings LLC Company Guar. Notes 5.88% due 03/15/2030* | 5,000 | 4,947 | |||||||||
Macy's Retail Holdings LLC Company Guar. Notes 6.13% due 03/15/2032* | 10,000 | 9,875 | |||||||||
14,822 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. Company Guar. Notes 6.75% due 01/15/2030* | 10,000 | 9,200 | |||||||||
IRB Holding Corp. Senior Sec. Notes 7.00% due 06/15/2025* | 10,000 | 10,400 | |||||||||
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027* | 10,000 | 10,150 | |||||||||
Yum! Brands, Inc. Senior Notes 3.63% due 03/15/2031 | 10,000 | 9,118 |
154
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
Yum! Brands, Inc. Senior Notes 4.75% due 01/15/2030* | $ | 10,000 | $ | 9,838 | |||||||
Yum! Brands, Inc. Senior Notes 5.38% due 04/01/2032 | 5,000 | 5,006 | |||||||||
53,712 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Big River Steel LLC/BRS Finance Corp. Senior Sec. Notes 6.63% due 01/31/2029* | 22,000 | 23,100 | |||||||||
Telecom Services — 0.0% | |||||||||||
Embarq Corp. Senior Notes 8.00% due 06/01/2036 | 20,000 | 19,226 | |||||||||
Frontier Communications Corp. Senior Sec. Notes 5.88% due 10/15/2027* | 15,000 | 14,925 | |||||||||
Frontier Communications Corp. Sec. Notes 6.75% due 05/01/2029* | 30,000 | 28,792 | |||||||||
62,943 | |||||||||||
Telecommunication Equipment — 0.0% | |||||||||||
CommScope Finance LLC Company Guar. Notes 8.25% due 03/01/2027* | 10,000 | 9,740 | |||||||||
CommScope Technologies LLC Company Guar. Notes 6.00% due 06/15/2025* | 8,000 | 7,640 | |||||||||
CommScope, Inc. Senior Sec. Notes 6.00% due 03/01/2026* | 10,000 | 10,116 | |||||||||
27,496 | |||||||||||
Telephone-Integrated — 0.4% | |||||||||||
AT&T, Inc. Senior Notes 2.25% due 02/01/2032 | 68,000 | 60,316 | |||||||||
AT&T, Inc. Senior Notes 2.55% due 12/01/2033 | 81,000 | 71,897 | |||||||||
AT&T, Inc. Senior Notes 3.55% due 09/15/2055 | 64,000 | 56,412 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 48,000 | 50,710 | |||||||||
AT&T, Inc. Senior Notes 4.75% due 05/15/2046 | 7,000 | 7,599 | |||||||||
Level 3 Financing, Inc. Company Guar. Notes 4.25% due 07/01/2028* | 5,000 | 4,590 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Telephone-Integrated (continued) | |||||||||||
Level 3 Financing, Inc. Company Guar. Notes 5.25% due 03/15/2026 | $ | 270,000 | $ | 270,257 | |||||||
Sprint Capital Corp. Company Guar. Notes 6.88% due 11/15/2028 | 35,000 | 40,601 | |||||||||
Verizon Communications, Inc. Senior Notes 2.55% due 03/21/2031 | 18,000 | 16,703 | |||||||||
Verizon Communications, Inc. Senior Notes 3.70% due 03/22/2061 | 47,000 | 43,507 | |||||||||
Verizon Communications, Inc. Senior Notes 4.33% due 09/21/2028 | 91,000 | 96,171 | |||||||||
718,763 | |||||||||||
Television — 0.1% | |||||||||||
Gray Escrow II, Inc. Company Guar. Notes 5.38% due 11/15/2031* | 50,000 | 47,811 | |||||||||
Scripps Escrow II, Inc. Senior Sec. Notes 3.88% due 01/15/2029* | 10,000 | 9,300 | |||||||||
Scripps Escrow II, Inc. Senior Notes 5.38% due 01/15/2031* | 20,000 | 19,150 | |||||||||
Scripps Escrow, Inc. Company Guar. Notes 5.88% due 07/15/2027* | 10,000 | 10,055 | |||||||||
Sinclair Television Group, Inc. Senior Sec. Notes 4.13% due 12/01/2030* | 10,000 | 8,917 | |||||||||
95,233 | |||||||||||
Theaters — 0.1% | |||||||||||
AMC Entertainment Holdings, Inc. Senior Sec. Notes 7.50% due 02/15/2029* | 10,000 | 9,648 | |||||||||
AMC Entertainment Holdings, Inc. Sec. Notes 12.00% due 06/15/2026* | 25,000 | 22,517 | |||||||||
Cinemark USA, Inc. Company Guar. Notes 5.25% due 07/15/2028* | 25,000 | 23,125 | |||||||||
Cinemark USA, Inc. Company Guar. Notes 5.88% due 03/15/2026* | 5,000 | 4,888 | |||||||||
Cinemark USA, Inc. Senior Sec. Notes 8.75% due 05/01/2025* | 5,000 | 5,231 | |||||||||
Live Nation Entertainment, Inc. Company Guar. Notes 5.63% due 03/15/2026* | 20,000 | 20,375 | |||||||||
Live Nation Entertainment, Inc. Senior Sec. Notes 6.50% due 05/15/2027* | 10,000 | 10,650 | |||||||||
96,434 |
155
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Werner FinCo LP/Werner FinCo, Inc, Company Guar. Notes 8.75% due 07/15/2025* | $ | 20,000 | $ | 20,600 | |||||||
Toys — 0.0% | |||||||||||
Mattel, Inc. Company Guar. Notes 3.38% due 04/01/2026* | 5,000 | 4,896 | |||||||||
Mattel, Inc. Company Guar. Notes 3.75% due 04/01/2029* | 15,000 | 14,433 | |||||||||
19,329 | |||||||||||
Transactional Software — 0.0% | |||||||||||
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028* | 20,000 | 18,900 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Watco Cos. LLC/Watco Finance Co. Senior Notes 6.50% due 06/15/2027* | 65,000 | 64,025 | |||||||||
Trucking/Leasing — 0.0% | |||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 13,000 | 12,958 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc. Senior Notes 6.40% due 08/28/2028 | 15,000 | 16,068 | |||||||||
Web Portals/ISP — 0.0% | |||||||||||
Alphabet, Inc. Senior Notes 2.00% due 08/15/2026 | 19,000 | 18,561 | |||||||||
Alphabet, Inc. Senior Notes 2.25% due 08/15/2060 | 39,000 | 30,291 | |||||||||
48,852 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $15,789,104) | 15,128,519 | ||||||||||
FOREIGN CONVERTIBLE BONDS & NOTES — 0.0% | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Transocean, Inc. Company Guar. Notes 0.50% due 01/30/2023 (cost $8,297) | 9,000 | 8,439 | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 1.0% | |||||||||||
Aerospace/Defense — 0.0% | |||||||||||
Bombardier, Inc. Senior Notes 6.00% due 02/15/2028* | 5,000 | 4,686 | |||||||||
Bombardier, Inc. Senior Notes 7.13% due 06/15/2026* | 35,000 | 34,300 | |||||||||
Bombardier, Inc. Senior Notes 7.88% due 04/15/2027* | 20,000 | 19,650 | |||||||||
58,636 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Agricultural Chemicals — 0.0% | |||||||||||
Nufarm Australia, Ltd./Nufarm Americas, Inc. Senior Notes 5.00% due 01/27/2030* | $ | 5,000 | $ | 4,926 | |||||||
Nutrien, Ltd. Senior Notes 2.95% due 05/13/2030 | 11,000 | 10,611 | |||||||||
Nutrien, Ltd. Senior Notes 4.20% due 04/01/2029 | 33,000 | 34,487 | |||||||||
50,024 | |||||||||||
Airlines — 0.0% | |||||||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. Senior Sec. Notes 5.75% due 04/20/2029* | 15,000 | 14,944 | |||||||||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. Senior Sec. Notes 5.50% due 04/20/2026* | 15,000 | 15,114 | |||||||||
Delta Air Lines/Skymiles Senior Sec. Notes 4.75% due 10/20/2028* | 25,000 | 25,229 | |||||||||
55,287 | |||||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Company Guar. Notes 3.75% due 01/30/2031* | 10,000 | 9,106 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Clarios Global LP Senior Sec. Notes 6.75% due 05/15/2025* | 9,000 | 9,320 | |||||||||
Clarios Global LP/Clarios US Finance Co. Company Guar. Notes 8.50% due 05/15/2027* | 15,000 | 15,562 | |||||||||
24,882 | |||||||||||
Banks-Commercial — 0.2% | |||||||||||
ABN AMRO Bank NV Sub. Notes 3.32% due 03/13/2037* | 200,000 | 181,788 | |||||||||
Bank of Montreal Sub. Notes 3.80% due 12/15/2032 | 14,000 | 13,858 | |||||||||
Royal Bank of Canada Sub. Notes 4.65% due 01/27/2026 | 38,000 | 39,825 | |||||||||
Toronto-Dominion Bank Sub. Notes 3.63% due 09/15/2031 | 16,000 | 16,081 | |||||||||
Westpac Banking Corp. Sub. Notes 2.96% due 11/16/2040 | 31,000 | 26,076 | |||||||||
Westpac Banking Corp. Sub. Notes 4.42% due 07/24/2039 | 42,000 | 42,965 | |||||||||
320,593 |
156
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Johnson Controls International PLC Senior Notes 4.50% due 02/15/2047 | $ | 49,000 | $ | 51,495 | |||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Masonite International Corp. Company Guar. Notes 3.50% due 02/15/2030* | 20,000 | 17,975 | |||||||||
Masonite International Corp. Company Guar. Notes 5.38% due 02/01/2028* | 5,000 | 5,026 | |||||||||
23,001 | |||||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
Brookfield Residential Properties, Inc./ Brookfield Residential US LLC Company Guar. Notes 6.25% due 09/15/2027* | 15,000 | 14,686 | |||||||||
Brookfield Residential Properties, Inc./ Brookfield Residential US LLC Senior Notes 5.00% due 06/15/2029* | 20,000 | 18,160 | |||||||||
Empire Communities Corp. Senior Notes 7.00% due 12/15/2025* | 5,000 | 4,940 | |||||||||
Mattamy Group Corp. Senior Notes 4.63% due 03/01/2030* | 20,000 | 18,786 | |||||||||
Mattamy Group Corp. Senior Notes 5.25% due 12/15/2027* | 20,000 | 19,825 | |||||||||
76,397 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
Trinseo Materials Operating SCA/ Trinseo Materials Finance, Inc. Company Guar. Notes 5.13% due 04/01/2029* | 20,000 | 18,455 | |||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Co. Luxembourg SARL Company Guar. Notes 5.00% due 02/01/2025* | 15,000 | 15,075 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Intelligent Packaging Holdco Issuer LP Senior Notes 9.00% due 01/15/2026*(15) | 10,000 | 10,000 | |||||||||
Intelligent Packaging, Ltd. Finco, Inc./ Intelligent Packaging, Ltd. Co-Issuer LLC Senior Sec. Notes 6.00% due 09/15/2028* | 20,000 | 19,700 | |||||||||
29,700 | |||||||||||
Cruise Lines — 0.0% | |||||||||||
Carnival Corp. Senior Notes 5.75% due 03/01/2027* | 20,000 | 19,053 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Cruise Lines (continued) | |||||||||||
Carnival Corp. Senior Notes 7.63% due 03/01/2026* | $ | 20,000 | $ | 20,153 | |||||||
NCL Corp., Ltd. Senior Sec. Notes 5.88% due 02/15/2027* | 10,000 | 9,850 | |||||||||
NCL Corp., Ltd. Senior Notes 7.75% due 02/15/2029* | 5,000 | 5,062 | |||||||||
Royal Caribbean Cruises, Ltd. Senior Notes 5.50% due 08/31/2026* | 5,000 | 4,819 | |||||||||
58,937 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
DH Europe Finance II SARL Company Guar. Notes 3.40% due 11/15/2049 | 31,000 | 29,461 | |||||||||
Diversified Banking Institutions — 0.2% | |||||||||||
Banco Santander SA Sub. Notes 3.23% due 11/22/2032 | 200,000 | 179,532 | |||||||||
Deutsche Bank AG/New York NY Senior Notes 2.31% due 11/16/2027 | 150,000 | 137,656 | |||||||||
317,188 | |||||||||||
Diversified Minerals — 0.0% | |||||||||||
Glencore Finance Canada, Ltd. Company Guar. Notes 6.00% due 11/15/2041* | 7,000 | 8,170 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Sensata Technologies BV Company Guar. Notes 4.00% due 04/15/2029* | 15,000 | 14,283 | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | 10,000 | 9,425 | |||||||||
goeasy, Ltd. Company Guar. Notes 5.38% due 12/01/2024* | 5,000 | 4,963 | |||||||||
14,388 | |||||||||||
Insurance Brokers — 0.0% | |||||||||||
Aon PLC Company Guar. Notes 4.25% due 12/12/2042 | 20,000 | 19,927 | |||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Fairfax Financial Holdings, Ltd. Senior Notes 4.85% due 04/17/2028 | 71,000 | 73,613 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
Husky III Holding, Ltd. Senior Notes 13.00% due 02/15/2025*(15) | 30,000 | 31,200 |
157
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Machinery-Pumps (continued) | |||||||||||
Titan Acquisition, Ltd./Titan Co-Borrower LLC Senior Notes 7.75% due 04/15/2026* | $ | 30,000 | $ | 29,850 | |||||||
61,050 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 4.88% due 06/01/2028* | 20,000 | 19,150 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 5.00% due 02/15/2029* | 10,000 | 7,859 | |||||||||
Bausch Health Cos., Inc. Senior Sec. Notes 6.13% due 02/01/2027* | 15,000 | 15,110 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 6.25% due 02/15/2029* | 10,000 | 8,200 | |||||||||
Bausch Health Cos., Inc. Company Guar. Notes 7.25% due 05/30/2029* | 15,000 | 12,837 | |||||||||
Endo Luxembourg Finance Co. I SARL/Endo US, Inc. Senior Sec. Notes 6.13% due 04/01/2029* | 5,000 | 4,563 | |||||||||
Mallinckrodt International Finance SA/ Mallinckrodt CB LLC Sec. Notes 10.00% due 04/15/2025*(11)(12) | 19,000 | 17,955 | |||||||||
85,674 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Taseko Mines, Ltd. Senior Sec. Notes 7.00% due 02/15/2026* | 15,000 | 15,446 | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
GFL Environmental, Inc. Senior Sec. Notes 3.50% due 09/01/2028* | 10,000 | 9,403 | |||||||||
GFL Environmental, Inc. Company Guar. Notes 4.00% due 08/01/2028* | 5,000 | 4,600 | |||||||||
GFL Environmental, Inc. Company Guar. Notes 4.75% due 06/15/2029* | 5,000 | 4,775 | |||||||||
GFL Environmental, Inc. Senior Sec. Notes 5.13% due 12/15/2026* | 15,000 | 15,127 | |||||||||
Waste Connections, Inc. Senior Notes 3.20% due 06/01/2032 | 22,000 | 21,470 | |||||||||
Waste Connections, Inc. Senior Notes 3.50% due 05/01/2029 | 40,000 | 40,131 | |||||||||
95,506 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Oil & Gas Drilling — 0.1% | |||||||||||
Nabors Industries, Ltd. Company Guar. Notes 7.25% due 01/15/2026* | $ | 15,000 | $ | 15,000 | |||||||
Precision Drilling Corp. Company Guar. Notes 6.88% due 01/15/2029* | 5,000 | 5,075 | |||||||||
Precision Drilling Corp. Company Guar. Notes 7.13% due 01/15/2026* | 40,000 | 40,800 | |||||||||
Transocean Pontus, Ltd. Senior Sec. Notes 6.13% due 08/01/2025* | 9,225 | 9,202 | |||||||||
Transocean Poseidon, Ltd. Senior Sec. Notes 6.88% due 02/01/2027* | 18,750 | 18,562 | |||||||||
Transocean, Inc. Company Guar. Notes 11.50% due 01/30/2027* | 20,000 | 20,650 | |||||||||
109,289 | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Continental Resources, Inc. Company Guar. Notes 4.50% due 04/15/2023 | 25,000 | 25,300 | |||||||||
EnCana Corp. Company Guar. Notes 6.63% due 08/15/2037 | 5,000 | 5,917 | |||||||||
Ovintiv, Inc. Company Guar. Notes 6.50% due 08/15/2034 | 15,000 | 17,807 | |||||||||
49,024 | |||||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Cenovus Energy, Inc. Senior Notes 6.75% due 11/15/2039 | 10,000 | 12,357 | |||||||||
Equinor ASA Company Guar. Notes 5.10% due 08/17/2040 | 42,000 | 49,678 | |||||||||
62,035 | |||||||||||
Pipelines — 0.0% | |||||||||||
Enbridge, Inc. Company Guar. Notes 4.25% due 12/01/2026 | 13,000 | 13,484 | |||||||||
Retail-Convenience Store — 0.1% | |||||||||||
Alimentation Couche-Tard, Inc. Senior Notes 2.95% due 01/25/2030* | 42,000 | 40,072 | |||||||||
Alimentation Couche-Tard, Inc. Company Guar. Notes 3.55% due 07/26/2027* | 40,000 | 39,899 | |||||||||
79,971 | |||||||||||
Retail-Restaurants — 0.0% | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028* | 30,000 | 28,426 |
158
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 4.00% due 10/15/2030* | $ | 15,000 | $ | 13,612 | |||||||
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 4.38% due 01/15/2028* | 20,000 | 19,200 | |||||||||
61,238 | |||||||||||
Security Services — 0.0% | |||||||||||
Garda World Security Corp. Senior Notes 6.00% due 06/01/2029* | 20,000 | 18,020 | |||||||||
GW B-CR Security Corp. Senior Notes 9.50% due 11/01/2027* | 22,000 | 22,550 | |||||||||
40,570 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
ArcelorMittal Senior Notes 7.00% due 10/15/2039 | 37,000 | 43,429 | |||||||||
Television — 0.0% | |||||||||||
Videotron, Ltd. Company Guar. Notes 5.13% due 04/15/2027* | 35,000 | 35,419 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $2,107,434) | 2,020,753 | ||||||||||
LOANS(7)(8)(9) — 0.3% | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Clear Channel Outdoor Holdings, Inc. FRS BTL 3.80% (3 ML +3.50%) due 08/21/2026 | 24,375 | 23,939 | |||||||||
Airlines — 0.0% | |||||||||||
AAdvantage Loyalty LP, Ltd. FRS BTL 5.50% (3 ML +4.75%) due 04/20/2028 | 5,000 | 5,057 | |||||||||
United Airlines, Inc. FRS BTL-B 4.50% (3 ML +3.75%) due 04/21/2028 | 14,850 | 14,651 | |||||||||
19,708 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Clarios Global LP FRS BTL-B 3.71% (1 ML +3.25%) due 04/30/2026 | 30,000 | 29,597 | |||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Adient US LLC FRS BTL-B 3.71% (1 ML +3.25%) due 04/10/2028 | 9,925 | 9,760 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
iHeartCommunications, Inc. FRS BTL 3.75% (1 ML +3.25%) due 05/01/2026 | $ | 13,374 | $ | 13,274 | |||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
AZEK Co. LLC FRS BTL 3.25% (3 ML +2.50%) due 05/05/2024 | 5,570 | 5,516 | |||||||||
CP Atlas Buyer, Inc. FRS BTL-B 4.25% (1 ML +3.75%) due 11/23/2027 | 25,743 | 24,995 | |||||||||
30,511 | |||||||||||
Building-Heavy Construction — 0.1% | |||||||||||
Brand Industrial Services, Inc. FRS BTL 5.25% (3 ML +4.25%) due 06/21/2024 | 39,695 | 37,820 | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
DirecTV Financing LLC FRS BTL 5.75% (3 ML +5.00%) due 08/02/2027 | 19,100 | 19,056 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
SCIH Salt Holdings, Inc. FRS BTL-B 4.75% (6 ML +4.00%) due 03/16/2027 | 16,338 | 16,036 | |||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Starfruit US HoldCo. LLC FRS BTL-B 4.01% (3 ML +3.00%) due 10/01/2025 | 11,702 | 11,487 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Klockner Pentaplast of America, Inc. FRS BTL 5.55% (6 ML +4.75%) due 02/12/2026 | 9,900 | 8,910 | |||||||||
Diagnostic Kits — 0.0% | |||||||||||
Ortho-Clinical Diagnostics SA FRS BTL 3.23% (1 ML +3.00%) due 06/30/2025(9) | 11,360 | 11,309 | |||||||||
Educational Software — 0.0% | |||||||||||
Ascend Learning LLC FRS 2nd Lien BTL 6.25% (1 ML +5.75%) due 12/10/2029 | 10,000 | 9,900 | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
Blackstone CQP Holdco LP FRS BTL-B 4.76% (3 ML +3.75%) due 06/05/2028 | 19,850 | 19,714 |
159
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Epicor Software Corp. FRS BTL 4.00% (1 ML +3.25%) due 07/30/2027 | $ | 14,775 | $ | 14,642 | |||||||
Epicor Software Corp. FRS BTL 2nd Lien 8.75% (1 ML +7.75%) due 07/31/2028 | 10,000 | 10,193 | |||||||||
Greeneden US Holdings II LLC FRS BTL-B 4.75% (1 ML +4.00%) due 12/01/2027 | 14,850 | 14,816 | |||||||||
Rocket Software, Inc. FRS BTL 4.75% (1 ML +4.25%) due 11/28/2025 | 9,925 | 9,769 | |||||||||
Solera LLC FRS BTL-B 4.50% (1 ML +4.00%) due 06/02/2028 | 19,900 | 19,736 | |||||||||
The Ultimate Software Group, Inc. FRS 2nd Lien 5.75% (3 ML +5.25%) due 05/03/2027 | 10,000 | 9,910 | |||||||||
79,066 | |||||||||||
Environmental Consulting & Engineering — 0.0% | |||||||||||
Robertshaw US Holding Corp. FRS 1st Lien 4.50% (3 ML +3.50%) due 02/28/2025 | 4,702 | 4,232 | |||||||||
Robertshaw US Holding Corp. FRS 2nd Lien 9.00% (3 ML +8.00%) due 02/28/2026 | 10,000 | 7,500 | |||||||||
11,732 | |||||||||||
Golf — 0.0% | |||||||||||
MajorDrive Holdings IV LLC FRS BTL-B 4.56% (3 ML +4.00%) due 06/01/2028 | 19,825 | 19,491 | |||||||||
Health Care Providers & Services — 0.0% | |||||||||||
One Call Corp. FRS BTL 6.25% (3 ML +5.50%) due 04/22/2027 | 19,850 | 18,361 | |||||||||
Insurance Brokers — 0.0% | |||||||||||
Hub International, Ltd. FRS BTL-B 4.00% (3 ML +3.25%) due 04/25/2025 | 4,975 | 4,938 | |||||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Asurion LLC FRS BTL-B9 3.71% (1 ML +3.25%) due 07/31/2027 | 4,962 | 4,854 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Insurance-Property/Casualty (continued) | |||||||||||
Asurion LLC FRS BTL-B4 5.71% (1 ML +5.25%) due 01/20/2029 | $ | 10,000 | $ | 9,770 | |||||||
14,624 | |||||||||||
Internet Content-Information/News — 0.0% | |||||||||||
Arches Buyer, Inc. FRS BTL-B 3.75% (1 ML +3.25%) due 12/06/2027 | 19,750 | 19,395 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
Vertiv Group Corp. FRS BTL-B 2.99% (1 ML +2.75%) due 03/02/2027 | 29,180 | 28,347 | |||||||||
Machinery-General Industrial — 0.0% | |||||||||||
Vertical US Newco, Inc. FRS BTL-B 4.00% (1 ML +3.50%) due 07/30/2027 | 2,193 | 2,170 | |||||||||
Vertical US Newco, Inc. FRS BTL-B 4.02% (6 ML +3.50%) due 07/30/2027 | 7,763 | 7,681 | |||||||||
9,851 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Titan Acquisition, Ltd. FRS BTL-B 4.01% (3 ML +3.00%) due 03/28/2025 | 29,126 | 28,470 | |||||||||
Medical-Drugs — 0.0% | |||||||||||
Jazz Financing Lux SARL FRS BTL 4.00% (1 ML +3.50%) due 05/05/2028 | 14,888 | 14,823 | |||||||||
Medical-Hospitals — 0.0% | |||||||||||
Quorum Health Corp. FRS BTL 8.75% (3 ML +7.75%) due 04/29/2025 | 25,866 | 23,452 | |||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Global Medical Response, Inc. FRS BTL-B 5.25% (3 ML +4.25%) due 10/02/2025 | 34,563 | 34,292 | |||||||||
Metal-Iron — 0.0% | |||||||||||
TMS International Corp. FRS BTL-B3 3.75% (1 ML +2.75%) due 08/14/2024 | 4,987 | 4,937 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
GFL Environmental, Inc. FRS BTL 3.50% (3 ML +3.00%) due 05/30/2025 | 12,530 | 12,465 |
160
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
LOANS(7)(8)(9) (continued) | |||||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
PECF USS Intermediate Holding III Corp FRS BTL-B 4.76% (3 ML +4.25%) due 12/15/2028 | $ | 24,938 | $ | 24,657 | |||||||
Retail-Building Products — 0.0% | |||||||||||
White Cap Buyer LLC FRS BTL-B 4.% (1 ML +3.75%) due 10/19/2027 | 14,813 | 14,623 | |||||||||
Retail-Restaurants — 0.0% | |||||||||||
IRB Holding Corp. FRS BTL 4.00% (3 ML +3.00%) due 12/15/2027 | 4,950 | 4,885 | |||||||||
Theaters — 0.0% | |||||||||||
AMC Entertainment Holdings, Inc. FRS BTL-B 3.35% (1 ML +3.00%) due 04/22/2026 | 14,822 | 13,161 | |||||||||
Total Loans (cost $654,735) | 642,591 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.1% | |||||||||||
North Texas Tollway Authority Revenue Bonds Series B 6.72% due 01/01/2049 | 25,000 | 37,024 | |||||||||
Ohio State University Revenue Bonds Series C 4.91% due 06/01/2040 | 15,000 | 17,494 | |||||||||
State of California General Obligation Bonds 7.50% due 04/01/2034 | 30,000 | 41,346 | |||||||||
Total Municipal Bonds & Notes (cost $70,154) | 95,864 | ||||||||||
U.S. GOVERNMENT AGENCIES — 3.7% | |||||||||||
Federal Home Loan Mtg. Corp. — 0.3% | |||||||||||
5.50% due 06/01/2035 | 1,529 | 1,675 | |||||||||
7.50% due 10/01/2029 | 1,450 | 1,545 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2022-DNA2, Class M1A 1.40% (SOFR30A +1.30%) due 02/25/2042*(6) | 98,161 | 97,569 | |||||||||
Series 2018-HRP2, Class M3AS 1.46% (1 ML+1.00%) due 02/25/2047*(6) | 270,880 | 268,108 | |||||||||
Series 2019-HRP1, Class M2 1.86% (1 ML + 1.40%) due 02/25/2049*(6) | 28,620 | 28,226 | |||||||||
Series 2022-DNA1, Class M1B 1.95% (SOFR30A +1.85%) due 01/25/2042*(6) | 21,000 | 19,794 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series 2021-DNA2, Class M2 2.40% (SOFR30A+2.30%) due 08/25/2033*(6) | $ | 73,000 | $ | 71,960 | |||||||
Series 2018-DNA3, Class M2 2.56% (1 ML+2.10%) due 09/25/2048*(6) | 86,584 | 86,963 | |||||||||
Series 2018-HQA2, Class M2 2.76% (1 ML+2.3%) due 10/25/2048*(6) | 10,000 | 9,976 | |||||||||
Series 2018-HRP2, Class M3 2.86% (1 ML+2.40%) due 02/25/2047*(6) | 113,000 | 112,718 | |||||||||
Series 2019-DNA2, Class M2 2.91% (1 ML+2.45%) due 03/25/2049*(6) | 11,091 | 11,105 | |||||||||
Federal Home Loan Mtg. Corp., REMIC FRS Series 2990, Class LB 15.93% (-2.56*1 ML+16.95) due 06/15/2034(6)(10) | 2,644 | 2,793 | |||||||||
Series 3065, Class DC 18.67% (-3.00*1 ML+19.86) due 03/15/2035(6)(10) | 12,204 | 15,131 | |||||||||
Series 3072, Class SM 22.34% (-3.67*1 ML+23.8) due 11/15/2035(6)(10) | 6,897 | 9,281 | |||||||||
736,844 | |||||||||||
Federal National Mtg. Assoc. — 0.7% | |||||||||||
3.00% due 09/01/2046 | 204,609 | 203,518 | |||||||||
3.00% due 10/01/2046 | 74,064 | 73,596 | |||||||||
3.50% due 01/01/2047 | 20,236 | 20,531 | |||||||||
4.00% due 04/01/2049 | 182,039 | 186,503 | |||||||||
6.00% due 06/01/2036 | 535 | 582 | |||||||||
6.50% due 06/01/2036 | 5,776 | 6,270 | |||||||||
6.50% due 07/01/2036 | 1,550 | 1,699 | |||||||||
6.50% due 09/01/2036 | 4,574 | 4,980 | |||||||||
6.50% due 11/01/2036 | 17,944 | 19,345 | |||||||||
7.00% due 06/01/2033 | 2,106 | 2,278 | |||||||||
7.00% due 04/01/2035 | 2,690 | 2,946 | |||||||||
7.50% due 04/01/2024 | 926 | 953 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2021-R01, Class 1M1 0.85% (SOFR + 0.75%) due 10/25/2041*(6) | 6,532 | 6,485 | |||||||||
Series 2021-R02, Class 2M1 1.00% (SOFR30A + 0.90%) due 11/25/2041*(6) | 10,278 | 10,168 | |||||||||
Series 2018-C05, Class 1ED1 1.11% (1 ML + 0.65%) due 01/25/2031(6) | 8,260 | 8,157 | |||||||||
Series 2017-C07, Class 1EB2 1.46% (1 ML + 1.00%) due 05/25/2030(6) | 21,465 | 21,316 | |||||||||
Series 2017-C02, Class 2ED3 1.81% (1 ML+1.35%) due 09/25/2029(6) | 7,903 | 7,839 |
161
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2020-R01, Class 1M2 2.51% (1 ML + 2.05%) due 01/25/2040*(6) | $ | 8,876 | $ | 8,865 | |||||||
Series 2018-C01, Class 1ED5 2.71% (1 ML + 2.25%) due 07/25/2030(6) | 10,034 | 10,036 | |||||||||
Series 2018-R07, Class 1M2 2.86% (1 ML+2.40%) due 04/25/2031*(6) | 16,649 | 16,649 | |||||||||
Series 2019-R01, Class 2M2 2.91% (1 ML+2.45%) due 07/25/2031*(6) | 23,185 | 23,243 | |||||||||
Series 2014-C02, Class 2M2 3.06% (1 ML + 2.60%) due 05/25/2024(6) | 16,111 | 16,092 | |||||||||
Series 2017-C01, Class 1M2C 4.01% (1 ML + 3.55%) due 07/25/2029(6) | 11,000 | 11,331 | |||||||||
Series 2017-C01, Class 1M2 4.01% (1 ML+3.55%) due 07/25/2029(6) | 137,637 | 140,109 | |||||||||
Series 2017-C02, Class 2M2C 4.11% (1 ML + 3.65%) due 09/25/2029(6) | 16,000 | 16,397 | |||||||||
Series 2016-C04, Class 1M2 4.71% (1 ML+4.25%) due 01/25/2029(6) | 137,107 | 140,554 | |||||||||
Series 2015-C01, Class 1M2 4.76% (1 ML+4.30%) due 02/25/2025(6) | 2,814 | 2,835 | |||||||||
Series 2016-C07, Class 2M2 4.81% (1 ML+4.35%) due 05/25/2029(6) | 98,419 | 102,545 | |||||||||
Series 2016-C05, Class 2M2 4.91% (1 ML + 4.45%) due 01/25/2029(6) | 139,731 | 145,086 | |||||||||
Series 2014-C04, Class 1M2 5.36% (1 ML+4.90%) due 11/25/2024(6) | 84,333 | 86,823 | |||||||||
Series 2015-C03, Class 2M2 5.46% (1 ML+5.00%) due 07/25/2025(6) | 58 | 58 | |||||||||
Series 2013-C01, Class M2 5.71% (1 ML+5.25%) due 10/25/2023(6) | 2,879 | 2,968 | |||||||||
Series 2016-C03, Class 1M2 5.76% (1 ML+5.30%) due 10/25/2028(6) | 4,785 | 4,981 | |||||||||
Series 2015-C04, Class 2M2 6.01% (1 ML+5.55%) due 04/25/2028(6) | 5,091 | 5,287 | |||||||||
Series 2015-C04, Class 1M2 6.16% (1 ML+5.70%) due 04/25/2028(6) | 18,536 | 19,827 | |||||||||
Series 2016-C02, Class 1M2 6.46% (1 ML+6.00%) due 09/25/2028(6) | 64,898 | 68,411 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
Series 2016-C01, Class 1M2 7.21% (1 ML + 6.75%) due 08/25/2028(6) | $ | 13,838 | $ | 14,803 | |||||||
Series 2016-C01, Class 2M2 7.41% (1 ML + 6.95%) due 08/25/2028(6) | 21,388 | 22,709 | |||||||||
Federal National Mtg. Assoc., REMIC VRS Series 2001-50, Class BI 0.38% due 10/25/2041(3)(5)(6) | 37,487 | 372 | |||||||||
Federal National Mtg. Assoc., REMIC FRS Series 2006-8, Class HP 22.89% (-3.67*1 ML+24.57) due 03/25/2036(6)(10) | 6,662 | 9,129 | |||||||||
1,446,276 | |||||||||||
Government National Mtg. Assoc. — 0.5% | |||||||||||
3.50% due April 30 TBA | 1,000,000 | 1,006,269 | |||||||||
5.50% due 11/20/2049 | 3,203 | 3,399 | |||||||||
6.50% due 08/20/2037 | 6,688 | 7,498 | |||||||||
6.50% due 09/20/2037 | 1,610 | 1,801 | |||||||||
1,018,967 | |||||||||||
Uniform Mtg. Backed Securities — 2.2% | |||||||||||
2.00% due May 30 TBA | 2,000,000 | 1,853,764 | |||||||||
2.50% due May 30 TBA | 3,000,000 | 2,859,168 | |||||||||
4,712,932 | |||||||||||
Total U.S. Government Agencies (cost $8,170,608) | 7,915,019 | ||||||||||
U.S. GOVERNMENT TREASURIES — 2.0% | |||||||||||
United States Treasury Bonds — 1.3% | |||||||||||
1.88% due 02/15/2051 | 850,000 | 743,086 | |||||||||
2.75% due 08/15/2042(14) | 2,090,000 | 2,128,126 | |||||||||
2,871,212 | |||||||||||
United States Treasury Notes — 0.7% | |||||||||||
1.13% due 02/28/2025 | 90,000 | 86,597 | |||||||||
1.50% due 02/15/2030 | 260,000 | 243,933 | |||||||||
1.63% due 02/15/2026 | 120,000 | 116,133 | |||||||||
1.63% due 09/30/2026 | 260,000 | 250,656 | |||||||||
1.63% due 05/15/2031 | 570,000 | 536,958 | |||||||||
2.38% due 08/15/2024 | 180,000 | 179,740 | |||||||||
1,414,017 | |||||||||||
Total U.S. Government Treasuries (cost $4,358,316) | 4,285,229 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.7% | |||||||||||
iShares Core MSCI Emerging Markets ETF | 3,038 | 168,761 | |||||||||
iShares MSCI EAFE ETF | 2,303 | 109,300 | |||||||||
SPDR S&P 500 Trust ETF | 2,450 | 1,106,514 | |||||||||
SPDR S&P MidCap 400 ETF | 317 | 155,473 | |||||||||
Total Exchange-Traded Funds (cost $1,517,793) | 1,540,048 |
162
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EQUITY CERTIFICATES — 0.1% | |||||||||||
Batteries/Battery Systems — 0.1% | |||||||||||
UBS AG — Contemporary Amperex Technology Co., Ltd. | 1,000 | $ | 80,765 | ||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
UBS AG — Centre Testing International Group Co., Ltd | 22,635 | 70,191 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
UBS AG — Shenzhen Mindray Bio-Medical Electronics Co., Ltd. | 1,332 | 64,520 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
UBS AG — Shenzhen Inovance Technology Co., Ltd, | 7,444 | 66,893 | |||||||||
Total Equity Certificates (cost $323,189) | 282,369 | ||||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
Seventy Seven Energy, Inc. Escrow Notes 6.63% due 11/15/2019(13) | 20,000 | 2 | |||||||||
Vistra Energy Corp. CVR†(1) | 1,362 | 1,757 | |||||||||
Total Escrows And Litigation Trusts (cost $4) | 1,759 | ||||||||||
Total Long-Term Investment Securities (cost $179,128,405) | 202,658,578 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 3.0% | |||||||||||
Commercial Paper — 3.0% | |||||||||||
Atlantic Asset Securitization LLC 0.62% due 04/21/2022 | $ | 1,000,000 | 999,727 | ||||||||
Australia & New Zealand Banking Group, Ltd. 0.53% due 05/02/2022 | 1,050,000 | 1,049,564 | |||||||||
Fairway Finance Corp. 0.31% due 04/20/2022 | 1,050,000 | 1,049,736 | |||||||||
Matchpoint Finance PLC 0.67% due 05/03/2022 | 1,050,000 | 1,049,403 | |||||||||
MetLife Short Term Funding LLC 0.40% due 04/19/2022 | 1,100,000 | 1,099,762 | |||||||||
Total Capital Canada, Ltd 0.41% due 04/06/2022 | 1,050,000 | 1,049,928 | |||||||||
Total Short-Term Investment Securities (cost $6,298,099) | 6,298,120 | ||||||||||
REPURCHASE AGREEMENTS — 3.8% | |||||||||||
Agreement with Bank of America Securities LLC, bearing interest at 0.27% dated 03/31/2022, to be repurchased 04/01/2022 in the amount of $8,045,060 and collateralized by $8,175,000 of United States Treasury Notes, bearing interest at 2.50% due 03/31/2027 and having an approximate value of $8,204,430 (cost $8,045,000) | 8,045,000 | 8,045,000 | |||||||||
TOTAL INVESTMENTS (cost $193,471,504)(17) | 102.6 | % | 217,001,698 | ||||||||
Liabilities in excess of other assets | (2.6 | ) | (5,462,404 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 211,539,294 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $9,784,519 representing 4.6% of net assets.
(1) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
JD.com, Inc., Class A Lock-Up Shares | 01/20/2022 | 566 | $ | 20,644 | $ | 16,485 | $ | 29 | 0.00 | % | |||||||||||||||||
Escrows and Litigation Trusts | |||||||||||||||||||||||||||
Vistra Energy Corp. CVR | 10/06/2016 | 1,362 | 0 | 1,757 | 1 | 0.00 | |||||||||||||||||||||
$ | 18,242 | 0.00 | % |
(2) Perpetual maturity — maturity date reflects the next call date.
(3) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(4) Commercial Mortgage Backed Security
(5) Interest Only
(6) Collateralized Mortgage Obligation
(7) 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.
(8) 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.
(9) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
163
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
(10) Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at March 31, 2022.
(11) Security in default of interest.
(12) Company has filed for bankruptcy protection.
(13) Securities classified as Level 3 (see Note 2).
(14) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(15) 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.
(16) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2022.
(17) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
BTL — Bank Term Loan
CDI — Chess Depositary Interest
CVR — Contingent Value Rights
ETF — Exchange-Traded Fund
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 March31, 2022 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
SOFR30A — Secured Overnight Financing Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
2 | Long | E-Mini Russell 2000 Index | June 2022 | $ | 200,706 | $ | 206,640 | $ | 5,934 | ||||||||||||||||||
10 | Long | S&P 500 E-Mini Index | June 2022 | 2,124,049 | 2,265,375 | 141,326 | |||||||||||||||||||||
$ | 147,260 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
4 | Long | U.S. Treasury 10 Year Notes | June 2022 | $ | 504,875 | $ | 491,500 | $ | (13,375 | ) | |||||||||||||||||
30 | Long | U.S. Treasury 2 Year Notes | June 2022 | 6,437,109 | 6,357,656 | (79,453 | ) | ||||||||||||||||||||
15 | Long | U.S. Treasury 5 Year Notes | June 2022 | 1,761,211 | 1,720,313 | (40,898 | ) | ||||||||||||||||||||
1 | Long | U.S. Treasury Long Bonds | June 2022 | 155,586 | 150,062 | (5,524 | ) | ||||||||||||||||||||
$ | (139,250 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 8,010 |
* 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) | |||||||||||||||||||||
Bank of America N.A. | $ | 143 | 06/20/2023 | USD-12 Month-SOFR + 1.00%/Monthly | Alinma Bank/Monthly | $ | — | $ | 2,440 | ||||||||||||||||||
Bank of America N.A. | 5 | 06/23/2023 | USD-12 Month-SOFR + 1.00%/Monthly | Alinma Bank/Monthly | — | 91 | |||||||||||||||||||||
Bank of America N.A. | 118 | 06/20/2023 | USD-12 Month-SOFR + 1.00%/Monthly | Alinma Bank/Monthly | — | 2,005 | |||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | — | $ | 4,536 |
SOFR — Secured Overnight Financing Rate
USD — United States Dollar
164
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
(1) The following list represents the components in the Citibank U.S. Equity Custom Basket:
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||||||||||
Barclays Bank PLC | HKD | 58,600 | USD | 7,522 | 05/18/2022 | $ | 38 | $ | — | ||||||||||||||||||||||
Citibank N.A. | DKK | 632,700 | USD | 94,699 | 06/15/2022 | 356 | — | ||||||||||||||||||||||||
USD | 521,314 | EUR | 468,300 | 06/15/2022 | — | (1,858 | ) | ||||||||||||||||||||||||
356 | (1,858 | ) | |||||||||||||||||||||||||||||
Goldman Sachs International | USD | 1,471,582 | CNH | 9,422,100 | 05/18/2022 | 7,149 | — | ||||||||||||||||||||||||
HSBC Bank PLC | USD | 235,556 | JPY | 26,904,200 | 05/18/2022 | — | (14,352 | ) | |||||||||||||||||||||||
USD | 546,402 | EUR | 490,900 | 06/15/2022 | — | (1,877 | ) | ||||||||||||||||||||||||
— | (16,229 | ) | |||||||||||||||||||||||||||||
JPMorgan Chase Bank | NOK | 450,600 | USD | 50,540 | 06/15/2022 | — | (617 | ) | |||||||||||||||||||||||
SGD | 310,500 | USD | 230,926 | 05/18/2022 | 1,858 | — | |||||||||||||||||||||||||
USD | 560,329 | HKD | 4,383,900 | 05/18/2022 | — | (409 | ) | ||||||||||||||||||||||||
USD | 8,630 | KRW | 10,360,400 | 05/18/2022 | — | (108 | ) | ||||||||||||||||||||||||
USD | 314,134 | GBP | 234,800 | 06/15/2022 | — | (5,779 | ) | ||||||||||||||||||||||||
1,858 | (6,913 | ) | |||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 656,900 | USD | 721,710 | 06/15/2022 | — | (6,949 | ) | |||||||||||||||||||||||
USD | 79 | CAD | 100 | 04/20/2022 | 1 | — | |||||||||||||||||||||||||
1 | (6,949 | ) | |||||||||||||||||||||||||||||
NatWest Markets PLC | CHF | 56,600 | USD | 61,753 | 06/15/2022 | 318 | — | ||||||||||||||||||||||||
EUR | 657,000 | USD | 721,788 | 06/15/2022 | — | (6,981 | ) | ||||||||||||||||||||||||
SEK | 2,050,900 | USD | 211,667 | 06/15/2022 | — | (6,843 | ) | ||||||||||||||||||||||||
USD | 636,646 | JPY | 72,709,300 | 05/18/2022 | — | (38,835 | ) | ||||||||||||||||||||||||
318 | (52,659 | ) | |||||||||||||||||||||||||||||
State Street Bank and Trust Co. | USD | 14,107 | ILS | 43,900 | 04/20/2022 | — | (346 | ) | |||||||||||||||||||||||
USD | 1,030,466 | EUR | 925,700 | 06/15/2022 | — | (3,645 | ) | ||||||||||||||||||||||||
— | (3,991 | ) | |||||||||||||||||||||||||||||
Toronto Dominion Bank | HKD | 4,924,200 | USD | 632,083 | 05/18/2022 | 3,155 | — | ||||||||||||||||||||||||
UBS AG | USD | 26,378 | CAD | 33,600 | 04/20/2022 | 497 | — | ||||||||||||||||||||||||
Westpac Banking Corp. | AUD | 638,500 | USD | 457,601 | 04/20/2022 | — | (20,277 | ) | |||||||||||||||||||||||
USD | 19,704 | CAD | 25,100 | 04/20/2022 | 373 | — | |||||||||||||||||||||||||
373 | (20,277 | ) | |||||||||||||||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 13,745 | $ | (108,876 | ) |
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
165
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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/Products | $ | 4,451,770 | $ | 361,506 | ** | $ | — | $ | 4,813,276 | ||||||||||
Other Industries | 124,913,213 | 35,605,729 | # | 160,518,942 | |||||||||||||||
Preferred Securities/Capital Securities | — | 913,259 | — | 913,259 | |||||||||||||||
Asset Backed Securities | — | 4,464,716 | — | 4,464,716 | |||||||||||||||
U.S. Convertible Bonds & Notes | — | 27,795 | — | 27,795 | |||||||||||||||
U.S. Corporate Bonds & Notes | — | 15,128,519 | — | 15,128,519 | |||||||||||||||
Foreign Convertible Bonds & Notes | — | 8,439 | — | 8,439 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 2,020,753 | — | 2,020,753 | |||||||||||||||
Loans | — | 642,591 | — | 642,591 | |||||||||||||||
Municipal Bonds & Notes | — | 95,864 | — | 95,864 | |||||||||||||||
U.S. Government Agencies | — | 7,915,019 | — | 7,915,019 | |||||||||||||||
U.S. Government Treasuries | — | 4,285,229 | — | 4,285,229 | |||||||||||||||
Exchange-Traded Funds | 1,540,048 | — | — | 1,540,048 | |||||||||||||||
Equity Certificates | — | 282,369 | — | 282,369 | |||||||||||||||
Escrows and Litigations | — | 1,757 | 2 | 1,759 | |||||||||||||||
Short-Term Investment Securities | — | 6,298,120 | — | 6,298,120 | |||||||||||||||
Repurchase Agreements | — | 8,045,000 | — | 8,045,000 | |||||||||||||||
Total Investments at Value | $ | 130,905,031 | $ | 86,096,665 | $ | 2 | $ | 217,001,698 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 147,260 | $ | — | $ | — | $ | 147,260 | |||||||||||
Over the Counter Total Return Swap Contracts | — | 4,536 | — | 4,536 | |||||||||||||||
Forward Foreign Currency Contracts | — | 13,745 | — | 13,745 | |||||||||||||||
Total Other Financial Instruments | $ | 147,260 | $ | 18,281 | $ | — | $ | 165,541 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 139,250 | $ | — | $ | — | $ | 139,250 | |||||||||||
Forward Foreign Currency Contracts | — | 108,876 | — | 108,876 | |||||||||||||||
Total Other Financial Instruments | $ | 139,250 | $ | 108,876 | $ | — | $ | 248,126 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
** Amount includes $345,021 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
# 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
166
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Applications Software | 15.7 | % | |||||
E-Commerce/Products | 12.8 | ||||||
Web Portals/ISP | 9.0 | ||||||
Computers | 7.4 | ||||||
Auto-Cars/Light Trucks | 7.1 | ||||||
Internet Content-Entertainment | 5.7 | ||||||
Electronic Components-Semiconductors | 3.8 | ||||||
E-Commerce/Services | 3.6 | ||||||
Finance-Credit Card | 3.4 | ||||||
Enterprise Software/Service | 3.3 | ||||||
Computer Software | 2.4 | ||||||
Retail-Apparel/Shoe | 2.3 | ||||||
Commercial Services-Finance | 2.1 | ||||||
Registered Investment Companies | 2.0 | ||||||
Semiconductor Equipment | 1.6 | ||||||
Medical Products | 1.6 | ||||||
Medical-HMO | 1.5 | ||||||
Medical Instruments | 1.5 | ||||||
Medical-Drugs | 1.2 | ||||||
Aerospace/Defense | 1.0 | ||||||
Casino Hotels | 1.0 | ||||||
Retail-Restaurants | 1.0 | ||||||
Data Processing/Management | 0.9 | ||||||
Entertainment Software | 0.8 | ||||||
Transport-Services | 0.7 | ||||||
Medical-Hospitals | 0.7 | ||||||
Power Converter/Supply Equipment | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.7 | ||||||
Advertising Services | 0.5 | ||||||
Pharmacy Services | 0.5 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Athletic Equipment | 0.4 | ||||||
Medical-Biomedical/Gene | 0.3 | ||||||
Industrial Automated/Robotic | 0.3 | ||||||
Consulting Services | 0.3 | ||||||
Diversified Financial Services | 0.3 | ||||||
Commercial Services | 0.2 | ||||||
Patient Monitoring Equipment | 0.2 | ||||||
Finance-Consumer Loans | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Communications Software | 0.2 | ||||||
Retail-Automobile | 0.2 | ||||||
Recycling | 0.1 | ||||||
Retail-Auto Parts | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Computer Graphics | 0.1 | ||||||
Auto Components | 0.1 | ||||||
100.3 | % |
* Calculated as a percentage of net assets
167
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.9% | |||||||||||
Advertising Services — 0.5% | |||||||||||
Trade Desk, Inc., Class A† | 31,725 | $ | 2,196,956 | ||||||||
Aerospace/Defense — 1.0% | |||||||||||
Teledyne Technologies, Inc.† | 9,206 | 4,351,032 | |||||||||
Aerospace/Defense-Equipment — 0.7% | |||||||||||
Airbus SE† | 22,504 | 2,720,138 | |||||||||
Applications Software — 15.7% | |||||||||||
Intuit, Inc. | 17,663 | 8,493,077 | |||||||||
Magic Leap, Inc., Class A†(1)(2) | 2,188 | 26,258 | |||||||||
Microsoft Corp. | 152,256 | 46,942,047 | |||||||||
Roper Technologies, Inc. | 6,729 | 3,177,636 | |||||||||
ServiceNow, Inc.† | 11,171 | 6,221,018 | |||||||||
Stripe, Inc., Class B†(1)(2) | 10,760 | 441,913 | |||||||||
65,301,949 | |||||||||||
Athletic Equipment — 0.4% | |||||||||||
Peloton Interactive, Inc., Class A† | 57,862 | 1,528,714 | |||||||||
Auto-Cars/Light Trucks — 6.6% | |||||||||||
Ferrari NV | 13,564 | 2,958,173 | |||||||||
Rivian Automotive, Inc. Lock-Up Shares(1)† | 311,210 | 14,853,431 | |||||||||
Rivian Automotive, Inc., Class A† | 19,925 | 1,001,032 | |||||||||
Tesla, Inc.† | 7,992 | 8,612,179 | |||||||||
27,424,815 | |||||||||||
Casino Hotels — 1.0% | |||||||||||
Las Vegas Sands Corp.† | 50,290 | 1,954,772 | |||||||||
Wynn Resorts, Ltd.† | 28,562 | 2,277,534 | |||||||||
4,232,306 | |||||||||||
Commercial Services — 0.2% | |||||||||||
Cintas Corp. | 2,386 | 1,014,981 | |||||||||
Commercial Services-Finance — 2.1% | |||||||||||
Block, Inc. CDI† | 15,679 | 2,068,263 | |||||||||
Block, Inc., Class A† | 6,245 | 846,822 | |||||||||
Global Payments, Inc. | 14,133 | 1,933,960 | |||||||||
MarketAxess Holdings, Inc. | 2,058 | 700,132 | |||||||||
PayPal Holdings, Inc.† | 4,407 | 509,670 | |||||||||
Toast, Inc., Class A† | 1,953 | 42,439 | |||||||||
TransUnion | 24,828 | 2,565,725 | |||||||||
8,667,011 | |||||||||||
Communications Software — 0.2% | |||||||||||
Zoom Video Communications, Inc., Class A† | 6,315 | 740,307 | |||||||||
Computer Graphics — 0.1% | |||||||||||
Canva, Inc.†(1)(2) | 215 | 293,475 | |||||||||
Computer Software — 2.3% | |||||||||||
Datadog, Inc., Class A† | 13,876 | 2,101,798 | |||||||||
HashiCorp, Inc., Class A† | 3,817 | 206,118 | |||||||||
MongoDB, Inc.† | 6,704 | 2,973,827 | |||||||||
SentinelOne, Inc., Class A† | 46,712 | 1,809,623 | |||||||||
Snowflake, Inc., Class A† | 7,037 | 1,612,388 | |||||||||
Twilio, Inc., Class A† | 5,330 | 878,437 | |||||||||
9,582,191 | |||||||||||
Computers — 7.4% | |||||||||||
Apple, Inc. | 177,124 | 30,927,622 |
Security Description | Shares | Value (Note 2) | |||||||||
Consulting Services — 0.3% | |||||||||||
Verisk Analytics, Inc. | 5,074 | $ | 1,089,033 | ||||||||
Data Processing/Management — 0.9% | |||||||||||
Fiserv, Inc.† | 38,592 | 3,913,229 | |||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Avantor, Inc.† | 56,789 | 1,920,604 | |||||||||
Diversified Financial Services — 0.3% | |||||||||||
ANT International Co., Ltd., Class C†(1)(2) | 366,711 | 1,045,126 | |||||||||
E-Commerce/Products — 12.8% | |||||||||||
Amazon.com, Inc.† | 14,781 | 48,185,321 | |||||||||
Coupang, Inc.† | 62,009 | 1,096,319 | |||||||||
Sea, Ltd. ADR† | 33,108 | 3,966,007 | |||||||||
53,247,647 | |||||||||||
E-Commerce/Services — 3.3% | |||||||||||
Airbnb, Inc., Class A† | 11,067 | 1,900,868 | |||||||||
Booking Holdings, Inc.† | 1,264 | 2,968,441 | |||||||||
DoorDash, Inc., Class A† | 23,692 | 2,776,465 | |||||||||
Expedia Group, Inc.† | 14,231 | 2,784,580 | |||||||||
Maplebear, Inc. (dba Instacart) Non-Voting†(1)(2) | 167 | 16,032 | |||||||||
Maplebear, Inc. (dba Instacart)† Voting†(1)(2) | 3,211 | 308,256 | |||||||||
Match Group, Inc.† | 26,068 | 2,834,634 | |||||||||
13,589,276 | |||||||||||
Electronic Components-Semiconductors — 3.8% | |||||||||||
Advanced Micro Devices, Inc.† | 44,361 | 4,850,432 | |||||||||
NVIDIA Corp. | 40,064 | 10,931,863 | |||||||||
15,782,295 | |||||||||||
Enterprise Software/Service — 3.3% | |||||||||||
Atlassian Corp. PLC, Class A† | 9,863 | 2,898,045 | |||||||||
Bill.com Holdings, Inc.† | 5,328 | 1,208,337 | |||||||||
Black Knight, Inc.† | 40,162 | 2,328,994 | |||||||||
Ceridian HCM Holding, Inc.† | 12,688 | 867,352 | |||||||||
Salesforce, Inc.† | 25,527 | 5,419,893 | |||||||||
UiPath, Inc., Class A† | 31,563 | 681,445 | |||||||||
Workday, Inc., Class A† | 1,614 | 386,489 | |||||||||
13,790,555 | |||||||||||
Entertainment Software — 0.8% | |||||||||||
Epic Games, Inc.†(1)(2) | 1,876 | 1,616,549 | |||||||||
ROBLOX Corp., Class A† | 33,135 | 1,532,163 | |||||||||
3,148,712 | |||||||||||
Finance-Consumer Loans — 0.2% | |||||||||||
SoFi Technologies, Inc.† | 89,075 | 841,759 | |||||||||
Finance-Credit Card — 3.4% | |||||||||||
Mastercard, Inc., Class A | 18,529 | 6,621,894 | |||||||||
Visa, Inc., Class A | 34,518 | 7,655,057 | |||||||||
14,276,951 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Tradeweb Markets, Inc., Class A | 4,105 | 360,706 | |||||||||
Internet Content-Entertainment — 5.7% | |||||||||||
Meta Platforms, Inc., Class A† | 47,377 | 10,534,749 | |||||||||
Netflix, Inc.† | 13,937 | 5,220,661 |
168
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Internet Content-Entertainment (continued) | |||||||||||
Snap, Inc., Class A† | 142,325 | $ | 5,122,277 | ||||||||
Spotify Technology SA† | 19,499 | 2,944,739 | |||||||||
23,822,426 | |||||||||||
Medical Instruments — 1.5% | |||||||||||
Intuitive Surgical, Inc.† | 20,033 | 6,043,555 | |||||||||
Medical Products — 1.6% | |||||||||||
Align Technology, Inc.† | 5,436 | 2,370,096 | |||||||||
Stryker Corp. | 15,201 | 4,063,987 | |||||||||
6,434,083 | |||||||||||
Medical-Biomedical/Gene — 0.3% | |||||||||||
Argenx SE ADR† | 4,004 | 1,262,501 | |||||||||
Medical-Drugs — 1.2% | |||||||||||
AstraZeneca PLC ADR | 13,653 | 905,740 | |||||||||
Eli Lilly & Co. | 14,110 | 4,040,681 | |||||||||
4,946,421 | |||||||||||
Medical-HMO — 1.5% | |||||||||||
Humana, Inc. | 5,475 | 2,382,556 | |||||||||
UnitedHealth Group, Inc. | 7,773 | 3,963,997 | |||||||||
6,346,553 | |||||||||||
Medical-Hospitals — 0.7% | |||||||||||
HCA Healthcare, Inc. | 11,628 | 2,914,209 | |||||||||
Patient Monitoring Equipment — 0.2% | |||||||||||
Insulet Corp.† | 3,600 | 959,004 | |||||||||
Pharmacy Services — 0.5% | |||||||||||
Cigna Corp. | 8,692 | 2,082,690 | |||||||||
Power Converter/Supply Equipment — 0.7% | |||||||||||
Generac Holdings, Inc.† | 9,280 | 2,758,573 | |||||||||
Retail-Apparel/Shoe — 2.3% | |||||||||||
Lululemon Athletica, Inc.† | 10,682 | 3,901,387 | |||||||||
Ross Stores, Inc. | 61,466 | 5,560,214 | |||||||||
9,461,601 | |||||||||||
Retail-Auto Parts — 0.1% | |||||||||||
Aurora Innovation, Inc. Lock-Up Shares†(1) | 76,239 | 404,867 | |||||||||
Retail-Automobile — 0.2% | |||||||||||
Carvana Co.† | 6,186 | 737,928 | |||||||||
Retail-Restaurants — 1.0% | |||||||||||
Chipotle Mexican Grill, Inc.† | 2,633 | 4,165,485 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 7,525 | 784,557 | |||||||||
Semiconductor Equipment — 1.6% | |||||||||||
AS | ML | Holding NV | 10,095 | 6,742,753 | |||||||
Transport-Services — 0.7% | |||||||||||
FedEx Corp. | 13,256 | 3,067,306 | |||||||||
Web Portals/ISP — 9.0% | |||||||||||
Alphabet, Inc., Class A† | 6,734 | 18,729,611 | |||||||||
Alphabet, Inc., Class C† | 6,735 | 18,810,788 | |||||||||
37,540,399 | |||||||||||
Total Common Stocks (cost $271,942,332) | 402,462,301 |
Security Description | Shares | Value (Note 2) | |||||||||
CONVERTIBLE PREFERRED SECURITIES — 1.4% | |||||||||||
Auto Components — 0.1% | |||||||||||
Sila Nanotechnologies, Inc. Series F†(1)(2) | 8,833 | $ | 275,325 | ||||||||
Auto-Cars/Light Trucks — 0.5% | |||||||||||
GM Cruise Holdings LLC Class F†(1)(2) | 33,800 | 890,630 | |||||||||
GM Cruise Holdings LLC Series G†(1)(2) | 17,766 | 468,134 | |||||||||
Waymo LLC Series A-2†(1)(2) | 4,915 | 450,814 | |||||||||
1,809,578 | |||||||||||
Computer Graphics — 0.0% | |||||||||||
Canva, Inc. Series A†(1)(2) | 25 | 34,125 | |||||||||
Canva, Inc. Series A-3†(1)(2) | 5 | 6,825 | |||||||||
40,950 | |||||||||||
Computer Software — 0.1% | |||||||||||
Formagrid, Inc. Series F†(1)(2) | 2,702 | 506,043 | |||||||||
E-Commerce/Services — 0.3% | |||||||||||
Maplebear, Inc. (dba Instacart), Series A†(1)(2) | 443 | 42,528 | |||||||||
Maplebear, Inc. (dba Instacart) Series G†(1)(2) | 6,559 | 629,664 | |||||||||
Maplebear, Inc. (dba Instacart) Series I†(1)(2) | 897 | 86,112 | |||||||||
Rappi, Inc., Series E†(1)(2) | 9,191 | 521,405 | |||||||||
1,279,709 | |||||||||||
Industrial Automated/Robotic — 0.3% | |||||||||||
Nuro, Inc. Series C†(1)(2) | 47,284 | 985,669 | |||||||||
Nuro, Inc. Series D†(1)(2) | 10,245 | 213,564 | |||||||||
1,199,233 | |||||||||||
Recycling — 0.1% | |||||||||||
Redwood Materials, Inc. Series C†(1)(2) | 9,878 | 515,138 | |||||||||
Total Convertible Preferred Securities (cost $4,731,555) | 5,625,976 | ||||||||||
Total Long-Term Investment Securities (cost $276,673,887) | 408,088,277 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.0% | |||||||||||
Registered Investment Companies — 2.0% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(3) | 591,996 | 591,996 | |||||||||
T. Rowe Price Government Reserve Fund 0.29%(3) | 7,848,460 | 7,848,460 | |||||||||
Total Short-Term Investment Securities (cost $8,440,456) | 8,440,456 |
169
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
TOTAL INVESTMENTS (cost $285,114,343)(4) | 100.3 | % | $ | 416,528,733 | |||||||
Liabilities in excess of other assets | (0.3 | ) | (1,302,071 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 415,226,662 |
† 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 and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, 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 | 366,711 | $ | 1,397,675 | $ | 1,045,126 | $ | 2.85 | 0.25 | % | |||||||||||||||||
Aurora Innovation, Inc., Lock-Up Shares | 11/05/2021 | 76,239 | 324,519 | 404,867 | 5.31 | 0.10 | |||||||||||||||||||||
Canva, Inc. | 12/17/2021 | 215 | 366,395 | 293,475 | 1,365.00 | 0.07 | |||||||||||||||||||||
Epic Games, Inc. | 06/18/2020 | 1,420 | 816,500 | ||||||||||||||||||||||||
03/29/2021 | 456 | 403,560 | |||||||||||||||||||||||||
1,876 | 1,220,060 | 1,616,549 | 861.70 | 0.39 | |||||||||||||||||||||||
Magic Leap, Inc., Class A | 09/21/2021 | 2,188 | 1,064,503 | 26,258 | 12.00 | 0.01 | |||||||||||||||||||||
Maplebear, Inc. (dba Instacart), Non-Voting Shares | 08/07/2020 | 167 | 7,738 | 16,032 | 96.00 | 0.00 | |||||||||||||||||||||
Maplebear, Inc. (dba Instacart), Voting Shares | 08/07/2020 | 3,211 | 148,778 | 308,256 | 96.00 | 0.07 | |||||||||||||||||||||
Rivian Automotive, Inc., Lock-Up Shares | 11/09/2021 | 311,210 | 4,907,897 | 14,853,431 | 47.73 | 3.58 | |||||||||||||||||||||
Stripe, Inc., Class B | 12/17/2019 | 10,760 | 168,824 | 441,913 | 41.07 | 0.11 | |||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Canva, Inc., Series A | 12/17/2021 | 25 | 42,604 | 34,125 | 1,365.00 | 0.01 | |||||||||||||||||||||
Canva, Inc., Series A-3 | 12/17/2021 | 5 | 8,521 | 6,825 | 1,365.00 | 0.00 |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Convertible Preferred Securities (continued) | |||||||||||||||||||||||||||
Formagrid, Inc., Series F | 12/08/2021 | 2,702 | $ | 506,043 | $ | 506,043 | $ | 187.28 | 0.12 | % | |||||||||||||||||
GM Cruise Holdings LLC, Class F | 05/04/2019 | 33,800 | 616,850 | 890,630 | 26.35 | 0.21 | |||||||||||||||||||||
GM Cruise Holdings LLC, Class G | 01/21/2021 | 17,766 | 468,134 | 468,134 | 26.35 | 0.11 | |||||||||||||||||||||
Maplebear, Inc. (dba Instacart), Series A | 11/18/20 | 443 | 27,028 | 42,528 | 96.00 | 0.01 | |||||||||||||||||||||
Maplebear, Inc. (dba Instacart), Series G | 07/02/2020 | 6,559 | 315,435 | 629,664 | 96.00 | 0.15 | |||||||||||||||||||||
Maplebear, Inc. (dba Instacart), Series I | 02/26/2021 | 897 | 112,125 | 86,112 | 96.00 | 0.02 | |||||||||||||||||||||
Nuro, Inc., Series C | 10/30/20 | 31,464 | 410,750 | ||||||||||||||||||||||||
03/02/2021 | 15,820 | 206,524 | |||||||||||||||||||||||||
47,284 | 617,274 | 985,669 | 20.85 | 0.24 | |||||||||||||||||||||||
Nuro, Inc., Series D | 10/29/21 | 10,245 | 213,564 | 213,564 | 20.85 | 0.05 | |||||||||||||||||||||
Rappi, Inc., Series E | 09/08/2020 | 3,782 | 225,960 | ||||||||||||||||||||||||
09/24/2020 | 5,409 | 323,166 | |||||||||||||||||||||||||
9,191 | 549,126 | 521,405 | 56.73 | 0.13 | |||||||||||||||||||||||
Redwood Materials, Inc., Series C | 05/28/2021 | 9,878 | 468,251 | 515,138 | 52.15 | 0.12 | |||||||||||||||||||||
Sila Nanotech- nologies, Inc., Series F | 01/07/2021 | 8,833 | 364,563 | 275,325 | 31.17 | 0.07 | |||||||||||||||||||||
Waymo LLC, Series A-2 | 05/08/2020 | 4,915 | 422,037 | 450,814 | 91.72 | 0.11 | |||||||||||||||||||||
$24,631,883 | 5.93% |
(2) Securities classified as Level 3 (see Note 2).
(3) The rate shown is the 7-day yield as of March 31, 2022.
(4) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
CDI — Chess Depositary Interest
170
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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: | |||||||||||||||||||
Applications Software | $ | 64,833,778 | $ | — | $ | 468,171 | $ | 65,301,949 | |||||||||||
Auto-Cars/Light Trucks | 12,571,384 | 14,853,431 | — | 27,424,815 | |||||||||||||||
Computer Graphics | — | — | 293,475 | 293,475 | |||||||||||||||
Diversified Financial Services | — | — | 1,045,126 | 1,045,126 | |||||||||||||||
E-Commerce/Services | 13,264,988 | — | 324,288 | 13,589,276 | |||||||||||||||
Entertainment Software | 1,532,163 | — | 1,616,549 | 3,148,712 | |||||||||||||||
Retail-Auto Parts | — | 404,867 | — | 404,867 | |||||||||||||||
Other Industries | 286,465,680 | 4,788,401 | ** | — | 291,254,081 | ||||||||||||||
Convertible Preferred Securities | — | — | 5,625,976 | 5,625,976 | |||||||||||||||
Short-Term Investment Securities | 8,440,456 | — | — | 8,440,456 | |||||||||||||||
Total Investments at Value | $ | 387,108,449 | $ | 20,046,699 | $ | 9,373,585 | $ | 416,528,733 |
* 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).
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, 2021 | $ | 5,034,497 | $ | 20,805,041 | |||||||
Accrued Discounts | — | — | |||||||||
Accrued Premiums | — | — | |||||||||
Realized Gain | 351,988 | ||||||||||
Realized Loss | (144,671 | ) | (646,354 | ) | |||||||
Change in unrealized appreciation(1) | 31,726 | 4,900,565 | |||||||||
Change in unrealized depreciation(1) | (2,383,415 | ) | (3,209,339 | ) | |||||||
Net purchases | 1,430,899 | 1,238,983 | |||||||||
Net Sales | (133,793 | ) | (2,065,027 | ) | |||||||
Transfers into Level 3 | — | — | |||||||||
Transfers out of Level 3(2) | (87,634 | ) | (15,749,881 | ) | |||||||
Balance as of March 31, 2022 | $ | 3,747,609 | $ | 5,625,976 |
(1) The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at March 31, 2022 includes:
Common Stocks | Convertible Preferred Securities | ||||||
$ | (2,207,512 | ) | $ | 87,854 |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at March 31, 2022.
(2) Private Common and Convertible Preferred Securities were converted to Common Stocks following the Companies' IPO listings. Securities are now valued using Level 1 or 2 inputs.
171
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is quantitative information about Level 3 fair value measurements:
Description | Fair Value at March 31, 2022 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) | |||||||||||||||
Common Stocks | $ | 1,616,549 | Market Approach | Transaction Price* | $ | 885.0000 | |||||||||||||
Sales Multiple* | 6.95 | x | |||||||||||||||||
EBITDA Multiple* | 23.7 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 324,288 | Market Approach | Primary Transaction Price* | $ | 125.0000 | ||||||||||||||
Secondary Transaction Price* | $ | 118.7500 | |||||||||||||||||
EBITDA Multiple* | 43.325 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 293,475 | Market Approach | Primary Transaction Price* | $ | 1,704.1600 | ||||||||||||||
Sales Multiple* | 19.8 | x | |||||||||||||||||
Gross Profit Multiple* | 25.6 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 441,913 | Market Approach | Transaction Price* | $ | 40.1300 | ||||||||||||||
Gross Profit Multiple* | 29.5 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 1,045,126 | Market Approach | Exchange Rate Utilized HKD to USD | $ | 6.3192 | ||||||||||||||
Price to Earnings Multiple* | 13.8 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 26,258 | Market Approach & | Transaction Price* | $ | 19.20188 | ||||||||||||||
Cost Approach | Tangible Book Value* | $ | 0.0000 | ||||||||||||||||
Convertible Preferred Securities | $ | 3,514,854 | Market Approach | Transaction Price* | $ | 20.8457 - $187.2845 | ($50.0267)# | ||||||||||||
$ | 758,304 | Market Approach | Primary Transaction Price* | $ | 125.0000 | ||||||||||||||
Secondary Transaction Price* | $ | 118.7500 | |||||||||||||||||
EBITDA Multiple* | 43.325 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 40,950 | Market Approach | Primary Transaction Price* | $ | 1,704.1600 | ||||||||||||||
Sales Multiple* | 19.8 | x | |||||||||||||||||
Gross Profit Multiple* | 25.6 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 521,405 | Market Approach | Primary Transaction Price* | $ | 64.4231 | ||||||||||||||
Sales Multiple* | 3.3 | x | |||||||||||||||||
Gross Merchandise Volume Multiple* | 0.7 | x | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 515,138 | Market Approach | Primary Transaction Price* | $ | 47.4000 | ||||||||||||||
Sales Multiple* | 4.7 | x | |||||||||||||||||
Discount for Cost of Capital/Risk | 25.0 | % | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % | |||||||||||||||||
$ | 275,325 | Market Approach | Primary Transaction Price* | $ | 41.2700 | ||||||||||||||
Sales Multiple* | 6.2 | x | |||||||||||||||||
Projected EBITDA Multiple* | 4.3 | x | |||||||||||||||||
Discount for Cost of Capital/Risk | 30.0 | % | |||||||||||||||||
Discount for Lack of Marketability | 10.0 | % |
(1) The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship.
# The average represents the arithmetic average of the inputs and is weighted by the relative fair value or notional amount.
See Notes to Financial Statements
172
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Computers | 9.6 | % | |||||
Applications Software | 8.1 | ||||||
E-Commerce/Products | 7.0 | ||||||
Computer Software | 6.2 | ||||||
Web Portals/ISP | 5.7 | ||||||
Enterprise Software/Service | 4.3 | ||||||
Electronic Components-Semiconductors | 4.0 | ||||||
Internet Content-Entertainment | 3.8 | ||||||
E-Commerce/Services | 3.3 | ||||||
Auto-Cars/Light Trucks | 2.9 | ||||||
Exchange-Traded Funds | 2.8 | ||||||
Medical-Biomedical/Gene | 2.8 | ||||||
Commercial Services-Finance | 2.7 | ||||||
Registered Investment Companies | 2.1 | ||||||
Entertainment Software | 1.9 | ||||||
Internet Application Software | 1.8 | ||||||
Finance-Credit Card | 1.8 | ||||||
Semiconductor Equipment | 1.7 | ||||||
Medical-Drugs | 1.7 | ||||||
Medical Instruments | 1.4 | ||||||
Real Estate Investment Trusts | 1.3 | ||||||
Advertising Services | 1.3 | ||||||
Diagnostic Equipment | 1.3 | ||||||
Electronic Forms | 1.1 | ||||||
Retail-Restaurants | 1.0 | ||||||
Diversified Banking Institutions | 0.9 | ||||||
Transport-Rail | 0.8 | ||||||
Beverages-Non-alcoholic | 0.8 | ||||||
Athletic Footwear | 0.8 | ||||||
Computer Services | 0.8 | ||||||
Medical Products | 0.8 | ||||||
Retail-Apparel/Shoe | 0.7 | ||||||
Retail-Building Products | 0.7 | ||||||
Transport-Services | 0.6 | ||||||
Internet Content-Information/News | 0.6 | ||||||
Communications Software | 0.6 | ||||||
Finance-Other Services | 0.6 | ||||||
Finance-Investment Banker/Broker | 0.6 | ||||||
Consulting Services | 0.6 | ||||||
Machinery-Farming | 0.5 | ||||||
Food-Misc./Diversified | 0.4 | ||||||
Medical-HMO | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Semiconductor Components-Integrated Circuits | 0.4 | ||||||
Retail-Discount | 0.3 | ||||||
Electronic Connectors | 0.3 | ||||||
Oil Companies-Exploration & Production | 0.3 | ||||||
Cosmetics & Toiletries | 0.3 | ||||||
Aerospace/Defense | 0.3 | ||||||
Coatings/Paint | 0.3 | ||||||
Theaters | 0.3 | ||||||
Networking Products | 0.3 | ||||||
Computer Data Security | 0.2 | ||||||
Computer Aided Design | 0.2 | ||||||
Auto/Truck Parts & Equipment-Original | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Patient Monitoring Equipment | 0.2 | ||||||
Food-Confectionery | 0.2 | ||||||
Investment Management/Advisor Services | 0.2 |
Retail-Home Furnishings | 0.2 | % | |||||
Chemicals-Specialty | 0.2 | ||||||
Retail-Auto Parts | 0.2 | ||||||
Banks-Commercial | 0.2 | ||||||
Medical Labs & Testing Services | 0.1 | ||||||
Therapeutics | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Drug Delivery Systems | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Diagnostic Kits | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Schools | 0.1 | ||||||
Repurchase Agreements | 0.1 | ||||||
Decision Support Software | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Transport-Truck | 0.1 | ||||||
Medical-Hospitals | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Diversified Manufacturing Operations | 0.1 | ||||||
Building Products-Air & Heating | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Retail-Gardening Products | 0.1 | ||||||
Machinery-General Industrial | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
100.6 | % |
* Calculated as a percentage of net assets
173
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 95.6% | |||||||||||
Advertising Services — 1.3% | |||||||||||
Trade Desk, Inc., Class A† | 92,800 | $ | 6,426,400 | ||||||||
Aerospace/Defense — 0.3% | |||||||||||
Boeing Co.† | 6,606 | 1,265,049 | |||||||||
TransDigm Group, Inc.† | 213 | 138,778 | |||||||||
1,403,827 | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L3Harris Technologies, Inc. | 758 | 188,340 | |||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries Holdings, Inc. | 1,184 | 122,023 | |||||||||
Apparel Manufacturers — 0.1% | |||||||||||
PVH Corp. | 5,334 | 408,638 | |||||||||
Under Armour, Inc., Class A† | 746 | 12,697 | |||||||||
Under Armour, Inc., Class C† | 851 | 13,241 | |||||||||
434,576 | |||||||||||
Applications Software — 8.1% | |||||||||||
Intuit, Inc. | 2,604 | 1,252,107 | |||||||||
Microsoft Corp. | 118,821 | 36,633,703 | |||||||||
PTC, Inc.† | 484 | 52,137 | |||||||||
ServiceNow, Inc.† | 5,281 | 2,940,936 | |||||||||
40,878,883 | |||||||||||
Athletic Footwear — 0.8% | |||||||||||
NIKE, Inc., Class B | 28,464 | 3,830,116 | |||||||||
Auto-Cars/Light Trucks — 2.9% | |||||||||||
Tesla, Inc.† | 13,614 | 14,670,446 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.2% | |||||||||||
Aptiv PLC† | 9,432 | 1,129,105 | |||||||||
Banks-Commercial — 0.2% | |||||||||||
First Republic Bank | 1,649 | 267,303 | |||||||||
Regions Financial Corp. | 3,899 | 86,792 | |||||||||
Signature Bank | 577 | 169,344 | |||||||||
SVB Financial Group† | 540 | 302,103 | |||||||||
Zions Bancorp NA | 669 | 43,859 | |||||||||
869,401 | |||||||||||
Banks-Super Regional — 0.0% | |||||||||||
Comerica, Inc. | 541 | 48,923 | |||||||||
Beverages-Non-alcoholic — 0.8% | |||||||||||
Coca-Cola Co. | 32,902 | 2,039,924 | |||||||||
Monster Beverage Corp.† | 14,657 | 1,171,094 | |||||||||
PepsiCo, Inc. | 5,344 | 894,479 | |||||||||
4,105,497 | |||||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
Fortune Brands Home & Security, Inc. | 562 | 41,745 | |||||||||
Building Products-Air & Heating — 0.1% | |||||||||||
Johnson Controls International PLC | 3,942 | 258,477 | |||||||||
Building Products-Cement — 0.2% | |||||||||||
Martin Marietta Materials, Inc. | 2,568 | 988,398 | |||||||||
Vulcan Materials Co. | 586 | 107,648 | |||||||||
1,096,046 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 1,059 | 54,009 |
Security Description | Shares | Value (Note 2) | |||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
Rollins, Inc. | 916 | $ | 32,106 | ||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
D.R. Horton, Inc. | 1,572 | 117,130 | |||||||||
NVR, Inc.† | 14 | 62,542 | |||||||||
179,672 | |||||||||||
Casino Services — 0.0% | |||||||||||
Caesars Entertainment, Inc.† | 1,258 | 97,319 | |||||||||
Chemicals-Diversified — 0.0% | |||||||||||
Celanese Corp. | 427 | 61,006 | |||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Albemarle Corp. | 732 | 161,882 | |||||||||
Ecolab, Inc. | 4,497 | 793,990 | |||||||||
955,872 | |||||||||||
Coatings/Paint — 0.3% | |||||||||||
Sherwin-Williams Co. | 5,458 | 1,362,426 | |||||||||
Commercial Services — 0.1% | |||||||||||
Cintas Corp. | 373 | 158,670 | |||||||||
Quanta Services, Inc. | 708 | 93,180 | |||||||||
251,850 | |||||||||||
Commercial Services-Finance — 2.7% | |||||||||||
Adyen NV†* | 1,587 | 3,135,230 | |||||||||
Affirm Holdings, Inc.† | 10,155 | 469,973 | |||||||||
Automatic Data Processing, Inc. | 2,048 | 466,002 | |||||||||
Block, Inc., Class A† | 36,343 | 4,928,111 | |||||||||
Equifax, Inc. | 1,122 | 266,026 | |||||||||
MarketAxess Holdings, Inc. | 168 | 57,154 | |||||||||
Moody's Corp. | 982 | 331,337 | |||||||||
PayPal Holdings, Inc.† | 28,747 | 3,324,590 | |||||||||
S&P Global, Inc. | 1,987 | 815,028 | |||||||||
13,793,451 | |||||||||||
Communications Software — 0.6% | |||||||||||
Zoom Video Communications, Inc., Class A† | 25,932 | 3,040,008 | |||||||||
Computer Aided Design — 0.2% | |||||||||||
ANSYS, Inc.† | 498 | 158,190 | |||||||||
Autodesk, Inc.† | 1,295 | 277,583 | |||||||||
Cadence Design Systems, Inc.† | 2,549 | 419,209 | |||||||||
Synopsys, Inc.† | 946 | 315,273 | |||||||||
1,170,255 | |||||||||||
Computer Data Security — 0.2% | |||||||||||
Fortinet, Inc.† | 1,248 | 426,492 | |||||||||
Zscaler, Inc.† | 3,330 | 803,462 | |||||||||
1,229,954 | |||||||||||
Computer Services — 0.8% | |||||||||||
Accenture PLC, Class A | 10,716 | 3,613,757 | |||||||||
EPAM Systems, Inc.† | 522 | 154,830 | |||||||||
3,768,587 | |||||||||||
Computer Software — 6.2% | |||||||||||
Akamai Technologies, Inc.† | 628 | 74,977 | |||||||||
Cloudflare, Inc., Class A† | 43,731 | 5,234,601 | |||||||||
Datadog, Inc., Class A† | 40,464 | 6,129,082 | |||||||||
Snowflake, Inc., Class A† | 47,426 | 10,866,719 |
174
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computer Software (continued) | |||||||||||
Splunk, Inc.† | 11,201 | $ | 1,664,580 | ||||||||
Twilio, Inc., Class A† | 11,169 | 1,840,763 | |||||||||
ZoomInfo Technologies, Inc.† | 89,689 | 5,358,021 | |||||||||
31,168,743 | |||||||||||
Computers — 9.6% | |||||||||||
Apple, Inc. | 274,531 | 47,935,858 | |||||||||
HP, Inc. | 4,979 | 180,738 | |||||||||
48,116,596 | |||||||||||
Computers-Memory Devices — 0.1% | |||||||||||
NetApp, Inc. | 1,451 | 120,433 | |||||||||
Seagate Technology Holdings PLC | 1,352 | 121,545 | |||||||||
241,978 | |||||||||||
Consulting Services — 0.6% | |||||||||||
Gartner, Inc.† | 756 | 224,880 | |||||||||
Verisk Analytics, Inc. | 12,014 | 2,578,565 | |||||||||
2,803,445 | |||||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Sealed Air Corp. | 749 | 50,153 | |||||||||
Cosmetics & Toiletries — 0.3% | |||||||||||
Estee Lauder Cos., Inc., Class A | 5,685 | 1,548,139 | |||||||||
Data Processing/Management — 0.1% | |||||||||||
Broadridge Financial Solutions, Inc. | 473 | 73,651 | |||||||||
Paychex, Inc. | 1,565 | 213,575 | |||||||||
287,226 | |||||||||||
Decision Support Software — 0.1% | |||||||||||
MSCI, Inc. | 747 | 375,651 | |||||||||
Diagnostic Equipment — 1.3% | |||||||||||
10X Genomics, Inc., Class A† | 3,505 | 266,625 | |||||||||
Adaptive Biotechnologies Corp.† | 20,501 | 284,554 | |||||||||
Danaher Corp. | 11,124 | 3,263,003 | |||||||||
PerkinElmer, Inc. | 1,161 | 202,548 | |||||||||
Thermo Fisher Scientific, Inc. | 3,624 | 2,140,516 | |||||||||
Waters Corp.† | 415 | 128,812 | |||||||||
6,286,058 | |||||||||||
Diagnostic Kits — 0.1% | |||||||||||
Hologic, Inc.† | 1,701 | 130,671 | |||||||||
IDEXX Laboratories, Inc.† | 538 | 294,318 | |||||||||
424,989 | |||||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Copart, Inc.† | 1,335 | 167,503 | |||||||||
Fastenal Co. | 2,541 | 150,935 | |||||||||
LKQ Corp. | 1,061 | 48,180 | |||||||||
Pool Corp. | 369 | 156,032 | |||||||||
522,650 | |||||||||||
Diversified Banking Institutions — 0.9% | |||||||||||
Bank of America Corp. | 28,766 | 1,185,734 | |||||||||
Goldman Sachs Group, Inc. | 3,122 | 1,030,572 | |||||||||
JPMorgan Chase & Co. | 12,503 | 1,704,409 | |||||||||
Morgan Stanley | 6,389 | 558,399 | |||||||||
4,479,114 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Manufacturing Operations — 0.1% | |||||||||||
A.O. Smith Corp. | 604 | $ | 38,589 | ||||||||
Illinois Tool Works, Inc. | 1,077 | 225,524 | |||||||||
264,113 | |||||||||||
Drug Delivery Systems — 0.1% | |||||||||||
DexCom, Inc.† | 891 | 455,836 | |||||||||
E-Commerce/Products — 7.0% | |||||||||||
Amazon.com, Inc.† | 8,199 | 26,728,330 | |||||||||
Chewy, Inc., Class A† | 78,685 | 3,208,774 | |||||||||
eBay, Inc. | 4,433 | 253,834 | |||||||||
Etsy, Inc.† | 8,487 | 1,054,764 | |||||||||
Farfetch, Ltd., Class A† | 98,503 | 1,489,365 | |||||||||
Wayfair, Inc., Class A† | 19,679 | 2,180,040 | |||||||||
34,915,107 | |||||||||||
E-Commerce/Services — 3.3% | |||||||||||
Airbnb, Inc., Class A† | 31,986 | 5,493,915 | |||||||||
Match Group, Inc.† | 10,812 | 1,175,697 | |||||||||
MercadoLibre, Inc.† | 2,035 | 2,420,592 | |||||||||
Uber Technologies, Inc.† | 209,071 | 7,459,653 | |||||||||
16,549,857 | |||||||||||
E-Services/Consulting — 0.0% | |||||||||||
CDW Corp. | 736 | 131,663 | |||||||||
Electronic Components-Misc. — 0.0% | |||||||||||
Garmin, Ltd. | 713 | 84,569 | |||||||||
Electronic Components-Semiconductors — 4.0% | |||||||||||
Advanced Micro Devices, Inc.† | 15,036 | 1,644,036 | |||||||||
Broadcom, Inc. | 2,164 | 1,362,627 | |||||||||
Marvell Technology, Inc. | 42,696 | 3,061,730 | |||||||||
Microchip Technology, Inc. | 2,455 | 184,469 | |||||||||
Monolithic Power Systems, Inc. | 398 | 193,301 | |||||||||
NVIDIA Corp. | 45,796 | 12,495,897 | |||||||||
Qorvo, Inc.† | 489 | 60,685 | |||||||||
Skyworks Solutions, Inc. | 709 | 94,495 | |||||||||
Texas Instruments, Inc. | 4,162 | 763,644 | |||||||||
19,860,884 | |||||||||||
Electronic Connectors — 0.3% | |||||||||||
Amphenol Corp., Class A | 21,883 | 1,648,884 | |||||||||
Electronic Forms — 1.1% | |||||||||||
Adobe, Inc.† | 11,740 | 5,348,979 | |||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Agilent Technologies, Inc. | 1,658 | 219,403 | |||||||||
Keysight Technologies, Inc.† | 1,263 | 199,516 | |||||||||
Trimble, Inc.† | 1,293 | 93,277 | |||||||||
512,196 | |||||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
Enphase Energy, Inc.† | 1,232 | 248,593 | |||||||||
SolarEdge Technologies, Inc.† | 362 | 116,698 | |||||||||
365,291 | |||||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Jacobs Engineering Group, Inc. | 523 | 72,075 | |||||||||
Enterprise Software/Service — 4.3% | |||||||||||
Atlassian Corp. PLC, Class A† | 4,348 | 1,277,573 | |||||||||
Bill.com Holdings, Inc.† | 6,288 | 1,426,056 |
175
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Enterprise Software/Service (continued) | |||||||||||
Ceridian HCM Holding, Inc.† | 516 | $ | 35,274 | ||||||||
Coupa Software, Inc.† | 25,802 | 2,622,257 | |||||||||
HubSpot, Inc.† | 3,397 | 1,613,371 | |||||||||
Oracle Corp. | 14,491 | 1,198,840 | |||||||||
Paycom Software, Inc.† | 332 | 114,998 | |||||||||
Qualtrics International, Inc., Class A† | 22,865 | 652,796 | |||||||||
Salesforce, Inc.† | 5,526 | 1,173,280 | |||||||||
Tyler Technologies, Inc.† | 234 | 104,104 | |||||||||
UiPath, Inc., Class A† | 7,372 | 159,162 | |||||||||
Veeva Systems, Inc., Class A† | 35,342 | 7,508,761 | |||||||||
Workday, Inc., Class A† | 14,393 | 3,446,548 | |||||||||
21,333,020 | |||||||||||
Entertainment Software — 1.9% | |||||||||||
ROBLOX Corp., Class A† | 98,146 | 4,538,271 | |||||||||
Take-Two Interactive Software, Inc.† | 658 | 101,161 | |||||||||
Unity Software, Inc.† | 47,023 | 4,665,152 | |||||||||
9,304,584 | |||||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Synchrony Financial | 2,733 | 95,136 | |||||||||
Finance-Credit Card — 1.8% | |||||||||||
American Express Co. | 2,489 | 465,443 | |||||||||
Capital One Financial Corp. | 1,827 | 239,867 | |||||||||
Discover Financial Services | 2,649 | 291,893 | |||||||||
Mastercard, Inc., Class A | 15,891 | 5,679,126 | |||||||||
Visa, Inc., Class A | 10,724 | 2,378,261 | |||||||||
9,054,590 | |||||||||||
Finance-Investment Banker/Broker — 0.6% | |||||||||||
Charles Schwab Corp. | 34,437 | 2,903,384 | |||||||||
Finance-Other Services — 0.6% | |||||||||||
Cboe Global Markets, Inc. | 569 | 65,105 | |||||||||
Coinbase Global, Inc., Class A† | 9,418 | 1,788,102 | |||||||||
Intercontinental Exchange, Inc. | 7,559 | 998,695 | |||||||||
Nasdaq, Inc. | 840 | 149,688 | |||||||||
3,001,590 | |||||||||||
Food-Confectionery — 0.2% | |||||||||||
Hershey Co. | 602 | 130,411 | |||||||||
Mondelez International, Inc., Class A | 15,300 | 960,534 | |||||||||
1,090,945 | |||||||||||
Food-Misc./Diversified — 0.4% | |||||||||||
McCormick & Co., Inc. | 19,595 | 1,955,581 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 1,846 | 39,523 | |||||||||
Hotels/Motels — 0.0% | |||||||||||
Hilton Worldwide Holdings, Inc.† | 1,051 | 159,479 | |||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 685 | 78,213 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. | 2,252 | 86,387 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 556 | 155,697 |
Security Description | Shares | Value (Note 2) | |||||||||
Industrial Gases — 0.4% | |||||||||||
Linde PLC | 5,992 | $ | 1,914,025 | ||||||||
Instruments-Controls — 0.0% | |||||||||||
Mettler-Toledo International, Inc.† | 133 | 182,634 | |||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon PLC, Class A | 1,185 | 385,872 | |||||||||
Arthur J. Gallagher & Co. | 844 | 147,362 | |||||||||
Brown & Brown, Inc. | 1,488 | 107,538 | |||||||||
Marsh & McLennan Cos., Inc. | 2,833 | 482,800 | |||||||||
1,123,572 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Cincinnati Financial Corp. | 648 | 88,102 | |||||||||
Internet Application Software — 1.8% | |||||||||||
Okta, Inc.† | 15,918 | 2,402,981 | |||||||||
Shopify, Inc., Class A† | 9,949 | 6,725,126 | |||||||||
9,128,107 | |||||||||||
Internet Content-Entertainment — 3.8% | |||||||||||
Meta Platforms, Inc., Class A† | 29,887 | 6,645,674 | |||||||||
Netflix, Inc.† | 11,283 | 4,226,499 | |||||||||
Snap, Inc., Class A† | 86,473 | 3,112,163 | |||||||||
Spotify Technology SA† | 12,813 | 1,935,019 | |||||||||
Twitter, Inc.† | 86,977 | 3,365,140 | |||||||||
19,284,495 | |||||||||||
Internet Content-Information/News — 0.6% | |||||||||||
IAC/InterActiveCorp† | 26,648 | 2,672,261 | |||||||||
Vimeo, Inc.† | 35,069 | 416,620 | |||||||||
3,088,881 | |||||||||||
Internet Infrastructure Software — 0.0% | |||||||||||
F5, Inc.† | 296 | 61,849 | |||||||||
Investment Management/Advisor Services — 0.2% | |||||||||||
Ameriprise Financial, Inc. | 622 | 186,824 | |||||||||
BlackRock, Inc. | 682 | 521,164 | |||||||||
Franklin Resources, Inc. | 1,164 | 32,499 | |||||||||
Raymond James Financial, Inc. | 1,014 | 111,449 | |||||||||
T. Rowe Price Group, Inc. | 1,476 | 223,156 | |||||||||
1,075,092 | |||||||||||
Machinery-Farming — 0.5% | |||||||||||
Deere & Co. | 5,555 | 2,307,880 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
IDEX Corp. | 287 | 55,026 | |||||||||
Nordson Corp. | 299 | 67,897 | |||||||||
Otis Worldwide Corp. | 1,563 | 120,273 | |||||||||
243,196 | |||||||||||
Machinery-Pumps — 0.0% | |||||||||||
Dover Corp. | 609 | 95,552 | |||||||||
Xylem, Inc. | 680 | 57,977 | |||||||||
153,529 | |||||||||||
Medical Instruments — 1.4% | |||||||||||
Bio-Techne Corp. | 361 | 156,328 | |||||||||
Boston Scientific Corp.† | 36,911 | 1,634,788 | |||||||||
Edwards Lifesciences Corp.† | 3,618 | 425,911 | |||||||||
Intuitive Surgical, Inc.† | 15,197 | 4,584,631 | |||||||||
6,801,658 |
176
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Labs & Testing Services — 0.1% | |||||||||||
Catalent, Inc.† | 988 | $ | 109,569 | ||||||||
Charles River Laboratories International, Inc.† | 464 | 131,762 | |||||||||
IQVIA Holdings, Inc.† | 1,283 | 296,642 | |||||||||
Laboratory Corp. of America Holdings† | 454 | 119,702 | |||||||||
Quest Diagnostics, Inc. | 503 | 68,841 | |||||||||
726,516 | |||||||||||
Medical Products — 0.8% | |||||||||||
Abbott Laboratories | 8,620 | 1,020,263 | |||||||||
ABIOMED, Inc.† | 230 | 76,185 | |||||||||
Align Technology, Inc.† | 674 | 293,864 | |||||||||
STERIS PLC | 387 | 93,565 | |||||||||
Stryker Corp. | 1,266 | 338,465 | |||||||||
West Pharmaceutical Services, Inc. | 4,699 | 1,929,927 | |||||||||
3,752,269 | |||||||||||
Medical-Biomedical/Gene — 2.8% | |||||||||||
Alnylam Pharmaceuticals, Inc.† | 3,836 | 626,380 | |||||||||
Amgen, Inc. | 2,124 | 513,626 | |||||||||
Argenx SE ADR† | 3,409 | 1,074,892 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 109 | 61,392 | |||||||||
BioMarin Pharmaceutical, Inc.† | 8,589 | 662,212 | |||||||||
Guardant Health, Inc.† | 6,593 | 436,720 | |||||||||
Illumina, Inc.† | 7,842 | 2,739,995 | |||||||||
Incyte Corp.† | 744 | 59,089 | |||||||||
Moderna, Inc.† | 3,244 | 558,811 | |||||||||
Regeneron Pharmaceuticals, Inc.† | 981 | 685,150 | |||||||||
Royalty Pharma PLC, Class A | 125,760 | 4,899,610 | |||||||||
Seagen, Inc.† | 9,186 | 1,323,243 | |||||||||
Vertex Pharmaceuticals, Inc.† | 1,405 | 366,663 | |||||||||
14,007,783 | |||||||||||
Medical-Drugs — 1.7% | |||||||||||
AbbVie, Inc. | 8,780 | 1,423,326 | |||||||||
Eli Lilly & Co. | 18,327 | 5,248,303 | |||||||||
Pfizer, Inc. | 27,876 | 1,443,141 | |||||||||
Zoetis, Inc. | 2,872 | 541,630 | |||||||||
8,656,400 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Molina Healthcare, Inc.† | 263 | 87,734 | |||||||||
UnitedHealth Group, Inc. | 3,638 | 1,855,271 | |||||||||
1,943,005 | |||||||||||
Medical-Hospitals — 0.1% | |||||||||||
HCA Healthcare, Inc. | 1,278 | 320,292 | |||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc. | 5,941 | 295,505 | |||||||||
Multimedia — 0.0% | |||||||||||
FactSet Research Systems, Inc. | 202 | 87,698 | |||||||||
Networking Products — 0.3% | |||||||||||
Arista Networks, Inc.† | 2,063 | 286,716 | |||||||||
Cisco Systems, Inc. | 17,456 | 973,346 | |||||||||
1,260,062 |
Security Description | Shares | Value (Note 2) | |||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 845 | $ | 111,963 | ||||||||
Waste Management, Inc. | 1,805 | 286,092 | |||||||||
398,055 | |||||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Zebra Technologies Corp., Class A† | 356 | 147,277 | |||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 388 | 67,500 | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
APA Corp. | 1,838 | 75,965 | |||||||||
Devon Energy Corp. | 5,791 | 342,422 | |||||||||
Diamondback Energy, Inc. | 1,566 | 214,667 | |||||||||
EOG Resources, Inc. | 2,475 | 295,094 | |||||||||
Hess Corp. | 1,800 | 192,672 | |||||||||
Occidental Petroleum Corp. | 3,346 | 189,852 | |||||||||
Pioneer Natural Resources Co. | 1,169 | 292,285 | |||||||||
1,602,957 | |||||||||||
Patient Monitoring Equipment — 0.2% | |||||||||||
Insulet Corp.† | 4,110 | 1,094,863 | |||||||||
Pipelines — 0.0% | |||||||||||
ONEOK, Inc. | 1,764 | 124,591 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Generac Holdings, Inc.† | 580 | 172,411 | |||||||||
Real Estate Investment Trusts — 1.3% | |||||||||||
American Tower Corp. | 8,359 | 2,099,948 | |||||||||
AvalonBay Communities, Inc. | 540 | 134,120 | |||||||||
Crown Castle International Corp. | 1,789 | 330,249 | |||||||||
Duke Realty Corp. | 2,277 | 132,203 | |||||||||
Equinix, Inc. | 2,123 | 1,574,459 | |||||||||
Essex Property Trust, Inc. | 264 | 91,207 | |||||||||
Extra Space Storage, Inc. | 1,231 | 253,094 | |||||||||
Federal Realty Investment Trust | 273 | 33,325 | |||||||||
Iron Mountain, Inc. | 1,624 | 89,986 | |||||||||
Mid-America Apartment Communities, Inc. | 658 | 137,818 | |||||||||
Prologis, Inc. | 4,152 | 670,465 | |||||||||
Public Storage | 828 | 323,152 | |||||||||
SBA Communications Corp. | 560 | 192,696 | |||||||||
Simon Property Group, Inc. | 1,813 | 238,518 | |||||||||
UDR, Inc. | 1,513 | 86,801 | |||||||||
Weyerhaeuser Co. | 2,887 | 109,417 | |||||||||
6,497,458 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Group, Inc., Class A† | 1,539 | 140,849 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 400 | 142,084 | |||||||||
Respiratory Products — 0.0% | |||||||||||
ResMed, Inc. | 780 | 189,158 | |||||||||
Retail-Apparel/Shoe — 0.7% | |||||||||||
Lululemon Athletica, Inc.† | 4,879 | 1,781,957 | �� | ||||||||
Ross Stores, Inc. | 18,537 | 1,676,857 | |||||||||
3,458,814 |
177
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Auto Parts — 0.2% | |||||||||||
Advance Auto Parts, Inc. | 275 | $ | 56,914 | ||||||||
AutoZone, Inc.† | 190 | 388,470 | |||||||||
O'Reilly Automotive, Inc.† | 620 | 424,675 | |||||||||
870,059 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 788 | 76,026 | |||||||||
Retail-Building Products — 0.7% | |||||||||||
Home Depot, Inc. | 7,299 | 2,184,810 | |||||||||
Lowe's Cos., Inc. | 6,197 | 1,252,971 | |||||||||
3,437,781 | |||||||||||
Retail-Discount — 0.3% | |||||||||||
Costco Wholesale Corp. | 2,080 | 1,197,768 | |||||||||
Target Corp. | 2,424 | 514,421 | |||||||||
1,712,189 | |||||||||||
Retail-Gardening Products — 0.1% | |||||||||||
Tractor Supply Co. | 1,047 | 244,338 | |||||||||
Retail-Home Furnishings — 0.2% | |||||||||||
RH† | 3,144 | 1,025,227 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Bath & Body Works, Inc. | 1,541 | 73,660 | |||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Ulta Beauty, Inc.† | 279 | 111,103 | |||||||||
Retail-Restaurants — 1.0% | |||||||||||
Chipotle Mexican Grill, Inc.† | 1,052 | 1,664,296 | |||||||||
Domino's Pizza, Inc. | 224 | 91,170 | |||||||||
McDonald's Corp. | 10,538 | 2,605,837 | |||||||||
Starbucks Corp. | 5,396 | 490,874 | |||||||||
Yum! Brands, Inc. | 1,249 | 148,044 | |||||||||
5,000,221 | |||||||||||
Schools — 0.1% | |||||||||||
Chegg, Inc.† | 10,874 | 394,509 | |||||||||
Semiconductor Components-Integrated Circuits — 0.4% | |||||||||||
NXP Semiconductors NV | 1,541 | 285,208 | |||||||||
QUALCOMM, Inc. | 10,365 | 1,583,980 | |||||||||
1,869,188 | |||||||||||
Semiconductor Equipment — 1.7% | |||||||||||
Applied Materials, Inc. | 8,167 | 1,076,410 | |||||||||
AS | ML | Holding NV | 9,302 | 6,213,085 | |||||||
KLA Corp. | 1,386 | 507,359 | |||||||||
Lam Research Corp. | 1,283 | 689,754 | |||||||||
Teradyne, Inc. | 1,499 | 177,227 | |||||||||
8,663,835 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Nucor Corp. | 1,351 | 200,826 | |||||||||
Theaters — 0.3% | |||||||||||
Live Nation Entertainment, Inc.† | 10,786 | 1,268,865 | |||||||||
Therapeutics — 0.1% | |||||||||||
Sarepta Therapeutics, Inc.† | 8,445 | 659,723 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Transport-Rail — 0.8% | |||||||||||
Union Pacific Corp. | 15,089 | $ | 4,122,466 | ||||||||
Transport-Services — 0.6% | |||||||||||
Expeditors International of Washington, Inc. | 1,558 | 160,723 | |||||||||
United Parcel Service, Inc., Class B | 13,984 | 2,999,009 | |||||||||
3,159,732 | |||||||||||
Transport-Truck — 0.1% | |||||||||||
JB Hunt Transport Services, Inc. | 456 | 91,560 | |||||||||
Old Dominion Freight Line, Inc. | 857 | 255,969 | |||||||||
347,529 | |||||||||||
Water Treatment Systems — 0.0% | |||||||||||
Pentair PLC | 883 | 47,867 | |||||||||
Web Hosting/Design — 0.0% | |||||||||||
VeriSign, Inc.† | 418 | 92,988 | |||||||||
Web Portals/ISP — 5.7% | |||||||||||
Alphabet, Inc., Class A† | 5,635 | 15,672,907 | |||||||||
Alphabet, Inc., Class C† | 4,696 | 13,115,881 | |||||||||
28,788,788 | |||||||||||
Wireless Equipment — 0.0% | |||||||||||
Motorola Solutions, Inc. | 916 | 221,856 | |||||||||
Total Common Stocks (cost $349,288,601) | 480,199,988 | ||||||||||
EXCHANGE-TRADED FUNDS — 2.8% | |||||||||||
SPDR Portfolio S&P 500 Growth ETF | 131,370 | 8,698,008 | |||||||||
iShares S&P 500 Growth ETF | 70,500 | 5,384,790 | |||||||||
Total Exchange-Traded Funds (cost $13,576,351) | 14,082,798 | ||||||||||
OPTIONS — PURCHASED†(1) — 0.0% | |||||||||||
Over the Counter Call Options on Currency Contracts (cost $576,219) | 112,047,610 | 52,515 | |||||||||
Total Long-Term Investment Securities (cost $363,441,171) | 494,335,301 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.1% | |||||||||||
Registered Investment Companies — 2.1% | |||||||||||
State Street Institutional Treasury Money Market Fund, Premier Class 0.17%(2) | 6,891,547 | 6,891,547 | |||||||||
State Street Institutional U.S. Government Money Market Fund, Administration Class 0.01%(2) | 3,640,333 | 3,640,333 | |||||||||
10,531,880 | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 0.05% due 04/21/2022(3) | $ | 100,000 | 99,993 | ||||||||
Total Short-Term Investment Securities (cost $10,631,878) | 10,631,873 |
178
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
REPURCHASE AGREEMENTS — 0.1% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 03/31/2022, to be repurchased 04/01/2022 in the amount of $382,000 and collateralized by $391,100 of United States Treasury Notes, bearing interest at 2.38% due 03/31/2029 and having an approximate value of $389,694 (cost $382,000) | $ | 382,000 | $ | 382,000 | |||||||
TOTAL INVESTMENTS (cost $374,455,049)(4) | 100.6 | % | 505,349,174 | ||||||||
Liabilities in excess of other assets | (0.6 | ) | (3,164,230 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 502,184,944 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $3,135,230 representing 0.6% of net assets.
(1) Options — Purchased
Over the Counter Call Options on Currency Contracts
Issue | Counterparty | Expiration Month | Strike Price | Notional Amount(000's) | Premiums Paid | Value at March 31, 2022 | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2700 CNY per $1 USD | Goldman Sachs International | November 2022 | CNY | 7.27 | $ | 39,154 | $ | 187,961 | $ | 37,391 | $ | (150,570 | ) | ||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.2750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.28 | 41,677 | 194,169 | 10,086 | (184,083 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3750 CNY per $1 USD | JPMorgan Chase Bank | July 2022 | CNY | 7.38 | 12,060 | 63,979 | 2,605 | (61,374 | ) | ||||||||||||||||||||||
Call option to buy USD in exchange for Chinese Yuan at a strike price of 7.3100 CNY per $1 USD | JPMorgan Chase Bank | August 2022 | CNY | 7.31 | 19,156 | 130,110 | 2,433 | (127,677 | ) | ||||||||||||||||||||||
$ | 576,219 | $ | 52,515 | $ | (523,704 | ) |
CNY — Chinese Yuan
USD — United States Dollar
(2) The rate shown is the 7-day yield as of March 31, 2022.
(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
ETF — Exchange-Traded Funds
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
2 | Long | S&P 500 E-Mini Index | June 2022 | $ | 425,368 | $ | 453,075 | $ | 27,707 |
* 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.
179
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 477,064,758 | $ | 3,135,230 | ** | $ | — | $ | 480,199,988 | ||||||||||
Exchange-Traded Funds | 14,082,798 | — | — | 14,082,798 | |||||||||||||||
Options - Purchased | — | 52,515 | — | 52,515 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 10,531,880 | — | — | 10,531,880 | |||||||||||||||
U.S. Government Treasuries | — | 99,993 | — | 99,993 | |||||||||||||||
Repurchase Agreements | — | 382,000 | — | 382,000 | |||||||||||||||
Total Investments at Value | $ | 501,679,436 | $ | 3,669,738 | $ | — | $ | 505,349,174 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 27,707 | $ | — | $ | — | $ | 27,707 |
* 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
180
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Medical-Drugs | 7.6 | % | |||||
Electric-Integrated | 5.0 | ||||||
Aerospace/Defense | 3.8 | ||||||
Insurance-Multi-line | 3.4 | ||||||
Medical-HMO | 3.4 | ||||||
Diversified Banking Institutions | 3.3 | ||||||
Insurance-Property/Casualty | 3.1 | ||||||
Medical Instruments | 2.9 | ||||||
Real Estate Investment Trusts | 2.8 | ||||||
Oil Companies-Integrated | 2.6 | ||||||
Oil Companies-Exploration & Production | 2.2 | ||||||
Electronic Components-Semiconductors | 2.1 | ||||||
Cosmetics & Toiletries | 2.0 | ||||||
Banks-Commercial | 2.0 | ||||||
Networking Products | 2.0 | ||||||
Banks-Super Regional | 1.8 | ||||||
Medical Products | 1.8 | ||||||
Telephone-Integrated | 1.7 | ||||||
Retail-Discount | 1.7 | ||||||
Cable/Satellite TV | 1.6 | ||||||
Beverages-Non-alcoholic | 1.4 | ||||||
Investment Management/Advisor Services | 1.4 | ||||||
Exchange-Traded Funds | 1.4 | ||||||
Banks-Fiduciary | 1.3 | ||||||
Commercial Services-Finance | 1.2 | ||||||
Pharmacy Services | 1.2 | ||||||
Food-Confectionery | 1.1 | ||||||
Drug Delivery Systems | 1.1 | ||||||
Diversified Manufacturing Operations | 1.0 | ||||||
Internet Infrastructure Software | 0.9 | ||||||
Containers-Paper/Plastic | 0.9 | ||||||
Food-Misc./Diversified | 0.9 | ||||||
Computer Services | 0.8 | ||||||
Electric Products-Misc. | 0.8 | ||||||
Finance-Credit Card | 0.8 | ||||||
Multimedia | 0.8 | ||||||
Semiconductor Components-Integrated Circuits | 0.8 | ||||||
Electric-Distribution | 0.7 | ||||||
Electronic Components-Misc. | 0.7 | ||||||
Transport-Rail | 0.7 | ||||||
Oil Refining & Marketing | 0.7 | ||||||
Entertainment Software | 0.7 | ||||||
Airlines | 0.6 | ||||||
Retail-Major Department Stores | 0.6 | ||||||
Aerospace/Defense-Equipment | 0.6 | ||||||
Consumer Products-Misc. | 0.6 | ||||||
Insurance-Life/Health | 0.6 | ||||||
Food-Wholesale/Distribution | 0.6 | ||||||
Building Products-Air & Heating | 0.6 | ||||||
Telecom Equipment-Fiber Optics | 0.6 | ||||||
Oil-Field Services | 0.5 | ||||||
Advertising Agencies | 0.5 | ||||||
Machinery-Construction & Mining | 0.5 | ||||||
Medical-Hospitals | 0.5 | ||||||
Machinery-General Industrial | 0.5 | ||||||
Auto/Truck Parts & Equipment-Original | 0.5 | ||||||
Medical-Biomedical/Gene | 0.4 | ||||||
Private Equity | 0.4 | ||||||
Food-Retail | 0.4 |
Medical Labs & Testing Services | 0.4 | % | |||||
Tobacco | 0.4 | ||||||
Medical-Wholesale Drug Distribution | 0.4 | ||||||
Auto-Cars/Light Trucks | 0.4 | ||||||
Web Portals/ISP | 0.4 | ||||||
Retail-Auto Parts | 0.4 | ||||||
Real Estate Management/Services | 0.4 | ||||||
Building-Residential/Commercial | 0.4 | ||||||
Retail-Restaurants | 0.4 | ||||||
Coatings/Paint | 0.4 | ||||||
Retail-Apparel/Shoe | 0.3 | ||||||
Software Tools | 0.3 | ||||||
Soap & Cleaning Preparation | 0.3 | ||||||
Chemicals-Diversified | 0.3 | ||||||
Transport-Truck | 0.3 | ||||||
Data Processing/Management | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Transport-Services | 0.3 | ||||||
E-Commerce/Services | 0.3 | ||||||
Building & Construction Products-Misc. | 0.3 | ||||||
Instruments-Controls | 0.3 | ||||||
Repurchase Agreements | 0.2 | ||||||
Industrial Gases | 0.2 | ||||||
Paper & Related Products | 0.2 | ||||||
Finance-Other Services | 0.2 | ||||||
Insurance Brokers | 0.2 | ||||||
Enterprise Software/Service | 0.2 | ||||||
Pipelines | 0.2 | ||||||
Chemicals-Specialty | 0.1 | ||||||
Athletic Footwear | 0.1 | ||||||
Cellular Telecom | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Diagnostic Equipment | 0.1 | ||||||
Electronic Connectors | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Distribution/Wholesale | 0.1 | ||||||
Applications Software | 0.1 | ||||||
Electronic Measurement Instruments | 0.1 | ||||||
Agricultural Operations | 0.1 | ||||||
Brewery | 0.1 | ||||||
Non-Hazardous Waste Disposal | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Cruise Lines | 0.1 | ||||||
Apparel Manufacturers | 0.1 | ||||||
Machinery-Pumps | 0.1 | ||||||
Agricultural Biotech | 0.1 | ||||||
Computers | 0.1 | ||||||
Metal-Copper | 0.1 | ||||||
Food-Meat Products | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Tools-Hand Held | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Retail-Drug Store | 0.1 | ||||||
Water | 0.1 |
181
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Broadcast Services/Program | 0.1 | % | |||||
Containers-Metal/Glass | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
99.2 | % |
* Calculated as a percentage of net assets
182
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.6% | |||||||||||
Advertising Agencies — 0.5% | |||||||||||
Interpublic Group of Cos., Inc. | 5,249 | $ | 186,077 | ||||||||
Omnicom Group, Inc. | 42,931 | 3,643,983 | |||||||||
3,830,060 | |||||||||||
Aerospace/Defense — 3.8% | |||||||||||
Boeing Co.† | 7,308 | 1,399,482 | |||||||||
General Dynamics Corp. | 35,418 | 8,542,113 | |||||||||
Lockheed Martin Corp. | 3,232 | 1,426,605 | |||||||||
Northrop Grumman Corp. | 10,203 | 4,562,986 | |||||||||
Raytheon Technologies Corp. | 130,029 | 12,881,973 | |||||||||
Teledyne Technologies, Inc.† | 623 | 294,448 | |||||||||
TransDigm Group, Inc.† | 393 | 256,055 | |||||||||
29,363,662 | |||||||||||
Aerospace/Defense-Equipment — 0.6% | |||||||||||
Howmet Aerospace, Inc. | 5,061 | 181,892 | |||||||||
L3Harris Technologies, Inc. | 18,405 | 4,573,091 | |||||||||
4,754,983 | |||||||||||
Agricultural Biotech — 0.1% | |||||||||||
Corteva, Inc. | 9,695 | 557,269 | |||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 1,144 | 117,901 | |||||||||
Mosaic Co. | 4,940 | 328,510 | |||||||||
446,411 | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Archer-Daniels-Midland Co. | 7,462 | 673,520 | |||||||||
Airlines — 0.6% | |||||||||||
Alaska Air Group, Inc.† | 1,679 | 97,399 | |||||||||
American Airlines Group, Inc.† | 8,638 | 157,644 | |||||||||
Delta Air Lines, Inc.† | 8,535 | 337,730 | |||||||||
Southwest Airlines Co.† | 88,854 | 4,069,513 | |||||||||
United Airlines Holdings, Inc.† | 4,318 | 200,182 | |||||||||
4,862,468 | |||||||||||
Apparel Manufacturers — 0.1% | |||||||||||
PVH Corp. | 933 | 71,477 | |||||||||
Ralph Lauren Corp. | 617 | 69,992 | |||||||||
Tapestry, Inc. | 3,521 | 130,805 | |||||||||
Under Armour, Inc., Class A† | 1,434 | 24,407 | |||||||||
Under Armour, Inc., Class C† | 1,635 | 25,441 | |||||||||
VF Corp. | 4,304 | 244,725 | |||||||||
566,847 | |||||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 786 | 135,805 | |||||||||
Applications Software — 0.1% | |||||||||||
PTC, Inc.† | 702 | 75,620 | |||||||||
Roper Technologies, Inc. | 1,406 | 663,955 | |||||||||
739,575 | |||||||||||
Athletic Footwear — 0.1% | |||||||||||
NIKE, Inc., Class B | 7,829 | 1,053,470 |
Security Description | Shares | Value (Note 2) | |||||||||
Auto-Cars/Light Trucks — 0.4% | |||||||||||
Ford Motor Co. | 52,453 | $ | 886,980 | ||||||||
General Motors Co.† | 19,377 | 847,550 | |||||||||
Volkswagen AG (Preference Shares) | 8,262 | 1,428,635 | |||||||||
3,163,165 | |||||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
Cummins, Inc. | 1,900 | 389,709 | |||||||||
PACCAR, Inc. | 4,631 | 407,852 | |||||||||
797,561 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.5% | |||||||||||
Aptiv PLC† | 2,128 | 254,743 | |||||||||
BorgWarner, Inc. | 3,197 | 124,363 | |||||||||
Gentex Corp. | 107,320 | 3,130,525 | |||||||||
3,509,631 | |||||||||||
Banks-Commercial — 2.0% | |||||||||||
Citizens Financial Group, Inc. | 5,684 | 257,656 | |||||||||
M&T Bank Corp. | 31,266 | 5,299,587 | |||||||||
Regions Financial Corp. | 6,909 | 153,794 | |||||||||
Truist Financial Corp. | 169,526 | 9,612,124 | |||||||||
Zions Bancorp NA | 1,052 | 68,969 | |||||||||
15,392,130 | |||||||||||
Banks-Fiduciary — 1.3% | |||||||||||
Bank of New York Mellon Corp. | 135,096 | 6,704,815 | |||||||||
Northern Trust Corp. | 26,543 | 3,090,932 | |||||||||
State Street Corp. | 4,881 | 425,233 | |||||||||
10,220,980 | |||||||||||
Banks-Super Regional — 1.8% | |||||||||||
Comerica, Inc. | 958 | 86,632 | |||||||||
Fifth Third Bancorp | 9,118 | 392,439 | |||||||||
Huntington Bancshares, Inc. | 19,172 | 280,295 | |||||||||
KeyCorp | 12,386 | 277,199 | |||||||||
PNC Financial Services Group, Inc. | 25,203 | 4,648,693 | |||||||||
US Bancorp | 104,830 | 5,571,714 | |||||||||
Wells Fargo & Co. | 51,818 | 2,511,100 | |||||||||
13,768,072 | |||||||||||
Beverages-Non-alcoholic — 1.4% | |||||||||||
Coca-Cola Co. | 51,841 | 3,214,142 | |||||||||
Keurig Dr Pepper, Inc. | 79,727 | 3,021,653 | |||||||||
Monster Beverage Corp.† | 2,405 | 192,160 | |||||||||
PepsiCo, Inc. | 26,332 | 4,407,450 | |||||||||
10,835,405 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Brown-Forman Corp., Class B | 2,437 | 163,328 | |||||||||
Brewery — 0.1% | |||||||||||
Constellation Brands, Inc., Class A | 2,192 | 504,861 | |||||||||
Molson Coors Beverage Co., Class B | 2,513 | 134,144 | |||||||||
639,005 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery, Inc., Class A† | 2,261 | 56,344 | |||||||||
Discovery, Inc., Class C† | 4,050 | 101,129 | |||||||||
Fox Corp., Class A | 4,211 | 166,124 | |||||||||
Fox Corp., Class B | 1,944 | 70,528 | |||||||||
394,125 |
183
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building & Construction Products-Misc. — 0.3% | |||||||||||
Fortune Brands Home & Security, Inc. | 27,383 | $ | 2,034,009 | ||||||||
Building Products-Air & Heating — 0.6% | |||||||||||
Carrier Global Corp. | 11,409 | 523,331 | |||||||||
Johnson Controls International PLC | 58,874 | 3,860,368 | |||||||||
4,383,699 | |||||||||||
Building Products-Cement — 0.0% | |||||||||||
Martin Marietta Materials, Inc. | 350 | 134,712 | |||||||||
Vulcan Materials Co. | 920 | 169,004 | |||||||||
303,716 | |||||||||||
Building Products-Wood — 0.0% | |||||||||||
Masco Corp. | 1,664 | 84,864 | |||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
Rollins, Inc. | 1,691 | 59,270 | |||||||||
Building-Residential/Commercial — 0.4% | |||||||||||
D.R. Horton, Inc. | 2,021 | 150,585 | |||||||||
Lennar Corp., Class A | 31,156 | 2,528,933 | |||||||||
NVR, Inc.† | 24 | 107,214 | |||||||||
PulteGroup, Inc. | 3,316 | 138,940 | |||||||||
2,925,672 | |||||||||||
Cable/Satellite TV — 1.6% | |||||||||||
Charter Communications, Inc., Class A† | 1,589 | 866,831 | |||||||||
Comcast Corp., Class A | 241,084 | 11,287,553 | |||||||||
DISH Network Corp., Class A† | 3,330 | 105,395 | |||||||||
12,259,779 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Las Vegas Sands Corp.† | 4,585 | 178,219 | |||||||||
MGM Resorts International | 5,022 | 210,623 | |||||||||
Wynn Resorts, Ltd.† | 1,403 | 111,875 | |||||||||
500,717 | |||||||||||
Casino Services — 0.0% | |||||||||||
Caesars Entertainment, Inc.† | 1,026 | 79,371 | |||||||||
Cellular Telecom — 0.1% | |||||||||||
T-Mobile US, Inc.† | 7,829 | 1,004,852 | |||||||||
Chemicals-Diversified — 0.3% | |||||||||||
Celanese Corp. | 821 | 117,296 | |||||||||
Dow, Inc. | 9,812 | 625,221 | |||||||||
DuPont de Nemours, Inc. | 6,840 | 503,287 | |||||||||
Eastman Chemical Co. | 1,720 | 192,743 | |||||||||
FMC Corp. | 1,691 | 222,485 | |||||||||
LyondellBasell Industries NV, Class A | 3,505 | 360,384 | |||||||||
PPG Industries, Inc. | 3,166 | 414,968 | |||||||||
2,436,384 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Albemarle Corp. | 499 | 110,354 | |||||||||
Ecolab, Inc. | 3,324 | 586,886 | |||||||||
International Flavors & Fragrances, Inc. | 3,395 | 445,865 | |||||||||
1,143,105 |
Security Description | Shares | Value (Note 2) | |||||||||
Coatings/Paint — 0.4% | |||||||||||
Axalta Coating Systems, Ltd.† | 95,324 | $ | 2,343,064 | ||||||||
Sherwin-Williams Co. | 1,512 | 377,425 | |||||||||
2,720,489 | |||||||||||
Commercial Services — 0.1% | |||||||||||
Cintas Corp. | 635 | 270,123 | |||||||||
Nielsen Holdings PLC | 4,784 | 130,316 | |||||||||
Quanta Services, Inc. | 874 | 115,027 | |||||||||
515,466 | |||||||||||
Commercial Services-Finance — 1.2% | |||||||||||
Automatic Data Processing, Inc. | 12,780 | 2,907,961 | |||||||||
FleetCor Technologies, Inc.† | 1,082 | 269,483 | |||||||||
Global Payments, Inc. | 31,316 | 4,285,281 | |||||||||
MarketAxess Holdings, Inc. | 264 | 89,813 | |||||||||
Moody's Corp. | 733 | 247,321 | |||||||||
PayPal Holdings, Inc.† | 7,147 | 826,551 | |||||||||
S&P Global, Inc. | 1,842 | 755,552 | |||||||||
9,381,962 | |||||||||||
Computer Aided Design — 0.1% | |||||||||||
ANSYS, Inc.† | 442 | 140,401 | |||||||||
Autodesk, Inc.† | 1,056 | 226,354 | |||||||||
Synopsys, Inc.† | 676 | 225,290 | |||||||||
592,045 | |||||||||||
Computer Services — 0.8% | |||||||||||
Accenture PLC, Class A | 3,540 | 1,193,794 | |||||||||
Amdocs, Ltd. | 33,708 | 2,771,135 | |||||||||
Cognizant Technology Solutions Corp., Class A | 7,004 | 628,049 | |||||||||
DXC Technology Co.† | 3,261 | 106,406 | |||||||||
International Business Machines Corp. | 11,959 | 1,554,909 | |||||||||
Leidos Holdings, Inc. | 1,872 | 202,214 | |||||||||
6,456,507 | |||||||||||
Computer Software — 0.0% | |||||||||||
Akamai Technologies, Inc.† | 1,257 | 150,073 | |||||||||
Citrix Systems, Inc. | 1,664 | 167,898 | |||||||||
317,971 | |||||||||||
Computers — 0.1% | |||||||||||
Hewlett Packard Enterprise Co. | 17,249 | 288,231 | |||||||||
HP, Inc. | 7,219 | 262,049 | |||||||||
550,280 | |||||||||||
Computers-Memory Devices — 0.0% | |||||||||||
NetApp, Inc. | 860 | 71,380 | |||||||||
Seagate Technology Holdings PLC | 725 | 65,177 | |||||||||
Western Digital Corp.† | 4,172 | 207,140 | |||||||||
343,697 | |||||||||||
Consulting Services — 0.0% | |||||||||||
Verisk Analytics, Inc. | 1,053 | 226,005 | |||||||||
Consumer Products-Misc. — 0.6% | |||||||||||
Clorox Co. | 1,641 | 228,148 | |||||||||
Kimberly-Clark Corp. | 35,839 | 4,413,931 | |||||||||
4,642,079 |
184
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. | 4,319 | $ | 388,710 | ||||||||
Containers-Paper/Plastic — 0.9% | |||||||||||
Amcor PLC | 20,186 | 228,708 | |||||||||
Packaging Corp. of America | 1,266 | 197,635 | |||||||||
Sealed Air Corp. | 39,357 | 2,635,345 | |||||||||
Sonoco Products Co. | 56,807 | 3,553,846 | |||||||||
WestRock Co. | 3,510 | 165,075 | |||||||||
6,780,609 | |||||||||||
Cosmetics & Toiletries — 2.0% | |||||||||||
Colgate-Palmolive Co. | 41,229 | 3,126,395 | |||||||||
Estee Lauder Cos., Inc., Class A | 1,270 | 345,846 | |||||||||
Procter & Gamble Co. | 46,552 | 7,113,146 | |||||||||
Unilever PLC ADR | 113,906 | 5,190,697 | |||||||||
15,776,084 | |||||||||||
Cruise Lines — 0.1% | |||||||||||
Carnival Corp.† | 10,786 | 218,093 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 5,559 | 121,631 | |||||||||
Royal Caribbean Cruises, Ltd.† | 2,991 | 250,586 | |||||||||
590,310 | |||||||||||
Data Processing/Management — 0.3% | |||||||||||
Broadridge Financial Solutions, Inc. | 872 | 135,779 | |||||||||
Fidelity National Information Services, Inc. | 8,120 | 815,410 | |||||||||
Fiserv, Inc.† | 7,924 | 803,493 | |||||||||
Jack Henry & Associates, Inc. | 972 | 191,533 | |||||||||
Paychex, Inc. | 2,012 | 274,578 | |||||||||
2,220,793 | |||||||||||
Dental Supplies & Equipment — 0.0% | |||||||||||
DENTSPLY SIRONA, Inc. | 2,916 | 143,526 | |||||||||
Diagnostic Equipment — 0.1% | |||||||||||
Danaher Corp. | 2,715 | 796,391 | |||||||||
Waters Corp.† | 212 | 65,803 | |||||||||
862,194 | |||||||||||
Diagnostic Kits — 0.0% | |||||||||||
Hologic, Inc.† | 866 | 66,526 | |||||||||
IDEXX Laboratories, Inc.† | 351 | 192,018 | |||||||||
258,544 | |||||||||||
Dialysis Centers — 0.0% | |||||||||||
DaVita, Inc.† | 822 | 92,976 | |||||||||
Disposable Medical Products — 0.0% | |||||||||||
Teleflex, Inc. | 625 | 221,769 | |||||||||
Distribution/Wholesale — 0.1% | |||||||||||
Copart, Inc.† | 911 | 114,303 | |||||||||
Fastenal Co. | 3,991 | 237,065 | |||||||||
LKQ Corp. | 2,038 | 92,546 | |||||||||
WW Grainger, Inc. | 577 | 297,611 | |||||||||
741,525 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Banking Institutions — 3.3% | |||||||||||
Bank of America Corp. | 53,084 | $ | 2,188,123 | ||||||||
Citigroup, Inc. | 26,463 | 1,413,124 | |||||||||
JPMorgan Chase & Co. | 117,390 | 16,002,605 | |||||||||
Morgan Stanley | 65,701 | 5,742,267 | |||||||||
25,346,119 | |||||||||||
Diversified Manufacturing Operations — 1.0% | |||||||||||
3M Co. | 7,616 | 1,133,870 | |||||||||
A.O. Smith Corp. | 876 | 55,968 | |||||||||
Eaton Corp. PLC | 5,315 | 806,604 | |||||||||
General Electric Co. | 14,660 | 1,341,390 | |||||||||
Illinois Tool Works, Inc. | 2,248 | 470,731 | |||||||||
Parker-Hannifin Corp. | 1,714 | 486,365 | |||||||||
Siemens AG | 20,919 | 2,898,583 | |||||||||
Textron, Inc. | 2,940 | 218,677 | |||||||||
Trane Technologies PLC | 3,114 | 475,508 | |||||||||
7,887,696 | |||||||||||
Drug Delivery Systems — 1.1% | |||||||||||
Becton Dickinson & Co. | 31,379 | 8,346,814 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
eBay, Inc. | 1,920 | 109,939 | |||||||||
E-Commerce/Services — 0.3% | |||||||||||
Booking Holdings, Inc.† | 547 | 1,284,602 | |||||||||
Expedia Group, Inc.† | 2,004 | 392,123 | |||||||||
Match Group, Inc.† | 3,775 | 410,493 | |||||||||
2,087,218 | |||||||||||
E-Services/Consulting — 0.0% | |||||||||||
CDW Corp. | 742 | 132,736 | |||||||||
Electric Products-Misc. — 0.8% | |||||||||||
AMETEK, Inc. | 3,085 | 410,860 | |||||||||
Emerson Electric Co. | 60,212 | 5,903,787 | |||||||||
6,314,647 | |||||||||||
Electric-Distribution — 0.7% | |||||||||||
Consolidated Edison, Inc. | 4,717 | 446,605 | |||||||||
Sempra Energy | 31,616 | 5,315,282 | |||||||||
5,761,887 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Constellation Energy Corp. | 4,354 | 244,913 | |||||||||
Electric-Integrated — 5.0% | |||||||||||
AES Corp. | 8,891 | 228,765 | |||||||||
Alliant Energy Corp. | 3,339 | 208,621 | |||||||||
Ameren Corp. | 3,435 | 322,066 | |||||||||
American Electric Power Co., Inc. | 6,716 | 670,055 | |||||||||
CenterPoint Energy, Inc. | 8,386 | 256,947 | |||||||||
CMS Energy Corp. | 3,864 | 270,248 | |||||||||
Dominion Energy, Inc. | 54,794 | 4,655,846 | |||||||||
DTE Energy Co. | 2,584 | 341,631 | |||||||||
Duke Energy Corp. | 72,614 | 8,108,079 | |||||||||
Edison International | 30,917 | 2,167,282 | |||||||||
Entergy Corp. | 2,680 | 312,890 | |||||||||
Evergy, Inc. | 3,058 | 208,984 | |||||||||
Eversource Energy | 30,413 | 2,682,122 | |||||||||
Exelon Corp. | 98,512 | 4,692,127 | |||||||||
FirstEnergy Corp. | 7,604 | 348,719 |
185
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
NextEra Energy, Inc. | 26,166 | $ | 2,216,522 | ||||||||
Pinnacle West Capital Corp. | 50,624 | 3,953,734 | |||||||||
PPL Corp. | 10,011 | 285,914 | |||||||||
Public Service Enterprise Group, Inc. | 6,743 | 472,010 | |||||||||
Southern Co. | 14,133 | 1,024,784 | |||||||||
WEC Energy Group, Inc. | 4,206 | 419,801 | |||||||||
Xcel Energy, Inc. | 66,827 | 4,822,905 | |||||||||
38,670,052 | |||||||||||
Electronic Components-Misc. — 0.7% | |||||||||||
Garmin, Ltd. | 993 | 117,780 | |||||||||
Hubbell, Inc. | 15,956 | 2,932,234 | |||||||||
nVent Electric PLC | 76,567 | 2,663,000 | |||||||||
5,713,014 | |||||||||||
Electronic Components-Semiconductors — 2.1% | |||||||||||
Broadcom, Inc. | 2,367 | 1,490,453 | |||||||||
Intel Corp. | 54,302 | 2,691,207 | |||||||||
IPG Photonics Corp.† | 476 | 52,246 | |||||||||
Microchip Technology, Inc. | 3,855 | 289,665 | |||||||||
Micron Technology, Inc. | 59,307 | 4,619,422 | |||||||||
Qorvo, Inc.† | 26,639 | 3,305,900 | |||||||||
Skyworks Solutions, Inc. | 1,159 | 154,471 | |||||||||
Texas Instruments, Inc. | 19,723 | 3,618,776 | |||||||||
16,222,140 | |||||||||||
Electronic Connectors — 0.1% | |||||||||||
Amphenol Corp., Class A | 3,754 | 282,864 | |||||||||
TE Connectivity, Ltd. | 4,342 | 568,715 | |||||||||
851,579 | |||||||||||
Electronic Measurement Instruments — 0.1% | |||||||||||
Agilent Technologies, Inc. | 1,602 | 211,993 | |||||||||
Fortive Corp. | 4,782 | 291,367 | |||||||||
Keysight Technologies, Inc.† | 610 | 96,362 | |||||||||
Trimble, Inc.† | 1,473 | 106,262 | |||||||||
705,984 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 1,196 | 131,297 | |||||||||
Energy-Alternate Sources — 0.0% | |||||||||||
SolarEdge Technologies, Inc.† | 175 | 56,415 | |||||||||
Engineering/R&D Services — 0.0% | |||||||||||
Jacobs Engineering Group, Inc. | 965 | 132,987 | |||||||||
Enterprise Software/Service — 0.2% | |||||||||||
Ceridian HCM Holding, Inc.† | 1,077 | 73,624 | |||||||||
Paycom Software, Inc.† | 161 | 55,767 | |||||||||
salesforce.com, Inc.† | 5,123 | 1,087,715 | |||||||||
Tyler Technologies, Inc.† | 207 | 92,092 | |||||||||
1,309,198 | |||||||||||
Entertainment Software — 0.7% | |||||||||||
Activision Blizzard, Inc. | 10,389 | 832,263 | |||||||||
Electronic Arts, Inc. | 34,043 | 4,306,780 | |||||||||
Take-Two Interactive Software, Inc.† | 585 | 89,938 | |||||||||
5,228,981 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
Synchrony Financial | 2,989 | $ | 104,047 | ||||||||
Finance-Credit Card — 0.8% | |||||||||||
American Express Co. | 4,594 | 859,078 | |||||||||
Capital One Financial Corp. | 2,870 | 376,802 | |||||||||
Mastercard, Inc., Class A | 6,100 | 2,180,018 | |||||||||
Visa, Inc., Class A | 12,606 | 2,795,633 | |||||||||
6,211,531 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Charles Schwab Corp. | 6,415 | 540,849 | |||||||||
Finance-Other Services — 0.2% | |||||||||||
Cboe Global Markets, Inc. | 598 | 68,423 | |||||||||
CME Group, Inc. | 4,793 | 1,140,063 | |||||||||
Intercontinental Exchange, Inc. | 3,222 | 425,691 | |||||||||
Nasdaq, Inc. | 343 | 61,122 | |||||||||
1,695,299 | |||||||||||
Food-Catering — 0.3% | |||||||||||
Sodexo SA | 26,650 | 2,163,526 | |||||||||
Food-Confectionery — 1.1% | |||||||||||
Hershey Co. | 1,066 | 230,928 | |||||||||
J.M. Smucker Co. | 1,445 | 195,667 | |||||||||
Mondelez International, Inc., Class A | 134,293 | 8,430,915 | |||||||||
8,857,510 | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
Hormel Foods Corp. | 3,763 | 193,945 | |||||||||
Tyson Foods, Inc., Class A | 3,900 | 349,557 | |||||||||
543,502 | |||||||||||
Food-Misc./Diversified — 0.9% | |||||||||||
Campbell Soup Co. | 2,696 | 120,161 | |||||||||
Conagra Brands, Inc. | 148,518 | 4,985,749 | |||||||||
General Mills, Inc. | 8,044 | 544,740 | |||||||||
Kellogg Co. | 3,412 | 220,040 | |||||||||
Kraft Heinz Co. | 9,468 | 372,944 | |||||||||
Lamb Weston Holdings, Inc. | 1,936 | 115,986 | |||||||||
McCormick & Co., Inc. | 3,330 | 332,334 | |||||||||
6,691,954 | |||||||||||
Food-Retail — 0.4% | |||||||||||
Koninklijke Ahold Delhaize NV | 86,286 | 2,773,770 | |||||||||
Kroger Co. | 8,922 | 511,855 | |||||||||
3,285,625 | |||||||||||
Food-Wholesale/Distribution — 0.6% | |||||||||||
Sysco Corp. | 54,435 | 4,444,618 | |||||||||
Gas-Distribution — 0.1% | |||||||||||
Atmos Energy Corp. | 1,806 | 215,799 | |||||||||
NiSource, Inc. | 5,236 | 166,505 | |||||||||
382,304 | |||||||||||
Gold Mining — 0.1% | |||||||||||
Newmont Corp. | 10,634 | 844,871 | |||||||||
Home Decoration Products — 0.0% | |||||||||||
Newell Brands, Inc. | 2,373 | 50,806 |
186
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Worldwide Holdings, Inc.† | 2,193 | $ | 332,766 | ||||||||
Marriott International, Inc., Class A† | 3,648 | 641,136 | |||||||||
973,902 | |||||||||||
Human Resources — 0.0% | |||||||||||
Robert Half International, Inc. | 467 | 53,322 | |||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Rockwell Automation, Inc. | 744 | 208,342 | |||||||||
Industrial Gases — 0.2% | |||||||||||
Air Products & Chemicals, Inc. | 2,957 | 738,984 | |||||||||
Linde PLC | 3,349 | 1,069,771 | |||||||||
1,808,755 | |||||||||||
Instruments-Controls — 0.3% | |||||||||||
Honeywell International, Inc. | 9,146 | 1,779,629 | |||||||||
Mettler-Toledo International, Inc.† | 114 | 156,543 | |||||||||
1,936,172 | |||||||||||
Insurance Brokers — 0.2% | |||||||||||
Aon PLC, Class A | 1,146 | 373,172 | |||||||||
Arthur J. Gallagher & Co. | 1,557 | 271,852 | |||||||||
Brown & Brown, Inc. | 970 | 70,102 | |||||||||
Marsh & McLennan Cos., Inc. | 2,625 | 447,353 | |||||||||
Willis Towers Watson PLC | 1,628 | 384,566 | |||||||||
1,547,045 | |||||||||||
Insurance-Life/Health — 0.6% | |||||||||||
Aflac, Inc. | 53,308 | 3,432,502 | |||||||||
Globe Life, Inc. | 1,239 | 124,643 | |||||||||
Lincoln National Corp. | 2,222 | 145,230 | |||||||||
Principal Financial Group, Inc. | 3,239 | 237,775 | |||||||||
Prudential Financial, Inc. | 5,041 | 595,695 | |||||||||
4,535,845 | |||||||||||
Insurance-Multi-line — 3.4% | |||||||||||
Allstate Corp. | 49,762 | 6,892,535 | |||||||||
American International Group, Inc.(1) | 11,072 | 694,989 | |||||||||
Chubb, Ltd. | 44,989 | 9,623,147 | |||||||||
Cincinnati Financial Corp. | 1,059 | 143,982 | |||||||||
Hartford Financial Services Group, Inc. | 4,466 | 320,703 | |||||||||
Loews Corp. | 2,615 | 169,504 | |||||||||
MetLife, Inc. | 124,934 | 8,780,362 | |||||||||
26,625,222 | |||||||||||
Insurance-Property/Casualty — 3.1% | |||||||||||
Assurant, Inc. | 19,507 | 3,546,958 | |||||||||
Berkshire Hathaway, Inc., Class B† | 42,391 | 14,960,208 | |||||||||
Progressive Corp. | 40,210 | 4,583,538 | |||||||||
Travelers Cos., Inc. | 3,216 | 587,659 | |||||||||
WR Berkley Corp. | 2,793 | 185,986 | |||||||||
23,864,349 | |||||||||||
Insurance-Reinsurance — 0.0% | |||||||||||
Everest Re Group, Ltd. | 525 | 158,225 | |||||||||
Internet Content-Entertainment — 0.0% | |||||||||||
Twitter, Inc.† | 5,545 | 214,536 |
Security Description | Shares | Value (Note 2) | |||||||||
Internet Infrastructure Software — 0.9% | |||||||||||
F5, Inc.† | 35,083 | $ | 7,330,593 | ||||||||
Internet Security — 0.0% | |||||||||||
NortonLifeLock, Inc. | 7,760 | 205,795 | |||||||||
Investment Management/Advisor Services — 1.4% | |||||||||||
Ameriprise Financial, Inc. | 10,197 | 3,062,771 | |||||||||
BlackRock, Inc. | 4,254 | 3,250,779 | |||||||||
Franklin Resources, Inc. | 2,063 | 57,599 | |||||||||
Invesco, Ltd. | 4,551 | 104,946 | |||||||||
LPL Financial Holdings, Inc. | 21,914 | 4,003,250 | |||||||||
Raymond James Financial, Inc. | 1,022 | 112,328 | |||||||||
T. Rowe Price Group, Inc. | 917 | 138,641 | |||||||||
10,730,314 | |||||||||||
Machinery-Construction & Mining — 0.5% | |||||||||||
Caterpillar, Inc. | 7,213 | 1,607,201 | |||||||||
Oshkosh Corp. | 21,569 | 2,170,920 | |||||||||
3,778,121 | |||||||||||
Machinery-Farming — 0.1% | |||||||||||
Deere & Co. | 2,019 | 838,814 | |||||||||
Machinery-General Industrial — 0.5% | |||||||||||
IDEX Corp. | 599 | 114,846 | |||||||||
Middleby Corp.† | 17,673 | 2,897,312 | |||||||||
Nordson Corp. | 288 | 65,399 | |||||||||
Otis Worldwide Corp. | 3,400 | 261,630 | |||||||||
Westinghouse Air Brake Technologies Corp. | 2,491 | 239,559 | |||||||||
3,578,746 | |||||||||||
Machinery-Pumps — 0.1% | |||||||||||
Dover Corp. | 1,037 | 162,705 | |||||||||
Ingersoll Rand, Inc. | 5,435 | 273,652 | |||||||||
Xylem, Inc. | 1,419 | 120,984 | |||||||||
557,341 | |||||||||||
Medical Information Systems — 0.0% | |||||||||||
Cerner Corp. | 3,924 | 367,129 | |||||||||
Medical Instruments — 2.9% | |||||||||||
Boston Scientific Corp.† | 98,668 | 4,370,006 | |||||||||
Edwards Lifesciences Corp.† | 3,080 | 362,577 | |||||||||
Intuitive Surgical, Inc.† | 1,479 | 446,185 | |||||||||
Medtronic PLC | 154,279 | 17,117,255 | |||||||||
22,296,023 | |||||||||||
Medical Labs & Testing Services — 0.4% | |||||||||||
Catalent, Inc.† | 955 | 105,910 | |||||||||
IQVIA Holdings, Inc.† | 688 | 159,072 | |||||||||
Laboratory Corp. of America Holdings† | 583 | 153,714 | |||||||||
Quest Diagnostics, Inc. | 20,786 | 2,844,772 | |||||||||
3,263,468 | |||||||||||
Medical Products — 1.8% | |||||||||||
Abbott Laboratories | 11,083 | 1,311,784 | |||||||||
ABIOMED, Inc.† | 273 | 90,428 | |||||||||
Baxter International, Inc. | 6,677 | 517,735 | |||||||||
Cooper Cos., Inc. | 657 | 274,357 | |||||||||
Henry Schein, Inc.† | 36,253 | 3,160,899 | |||||||||
STERIS PLC | 774 | 187,130 |
187
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Products (continued) | |||||||||||
Stryker Corp. | 2,642 | $ | 706,339 | ||||||||
Zimmer Biomet Holdings, Inc. | 57,208 | 7,316,903 | |||||||||
13,565,575 | |||||||||||
Medical-Biomedical/Gene — 0.4% | |||||||||||
Amgen, Inc. | 4,432 | 1,071,746 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 130 | 73,220 | |||||||||
Biogen, Inc.† | 1,958 | 412,355 | |||||||||
Gilead Sciences, Inc. | 16,727 | 994,420 | |||||||||
Illumina, Inc.† | 1,063 | 371,412 | |||||||||
Incyte Corp.† | 1,430 | 113,571 | |||||||||
Vertex Pharmaceuticals, Inc.† | 1,358 | 354,397 | |||||||||
3,391,121 | |||||||||||
Medical-Drugs — 7.6% | |||||||||||
AbbVie, Inc. | 10,845 | 1,758,083 | |||||||||
AstraZeneca PLC ADR | 57,688 | 3,827,022 | |||||||||
Bristol-Myers Squibb Co. | 29,067 | 2,122,763 | |||||||||
Eli Lilly & Co. | 17,501 | 5,011,761 | |||||||||
Johnson & Johnson | 96,471 | 17,097,555 | |||||||||
Merck & Co., Inc. | 153,693 | 12,610,511 | |||||||||
Organon & Co. | 3,381 | 118,098 | |||||||||
Pfizer, Inc. | 194,776 | 10,083,553 | |||||||||
Roche Holding AG | 5,402 | 2,136,358 | |||||||||
Roche Holding AG ADR | 69,222 | 3,420,259 | |||||||||
Zoetis, Inc. | 2,145 | 404,526 | |||||||||
58,590,489 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Viatris, Inc. | 16,128 | 175,473 | |||||||||
Medical-HMO — 3.4% | |||||||||||
Anthem, Inc. | 16,124 | 7,920,431 | |||||||||
Centene Corp.† | 60,410 | 5,085,918 | |||||||||
Humana, Inc. | 1,714 | 745,881 | |||||||||
Molina Healthcare, Inc.† | 397 | 132,435 | |||||||||
UnitedHealth Group, Inc. | 23,685 | 12,078,640 | |||||||||
25,963,305 | |||||||||||
Medical-Hospitals — 0.5% | |||||||||||
HCA Healthcare, Inc. | 1,342 | 336,332 | |||||||||
Universal Health Services, Inc., Class B | 23,545 | 3,412,848 | |||||||||
3,749,180 | |||||||||||
Medical-Wholesale Drug Distribution — 0.4% | |||||||||||
AmerisourceBergen Corp. | 2,008 | 310,657 | |||||||||
Cardinal Health, Inc. | 3,694 | 209,450 | |||||||||
McKesson Corp. | 8,753 | 2,679,556 | |||||||||
3,199,663 | |||||||||||
Metal-Copper — 0.1% | |||||||||||
Freeport-McMoRan, Inc. | 10,963 | 545,300 | |||||||||
Multimedia — 0.8% | |||||||||||
FactSet Research Systems, Inc. | 212 | 92,040 | |||||||||
Paramount Global, Class B | 8,090 | 305,883 | |||||||||
Walt Disney Co.† | 42,372 | 5,811,743 | |||||||||
6,209,666 |
Security Description | Shares | Value (Note 2) | |||||||||
Networking Products — 2.0% | |||||||||||
Cisco Systems, Inc. | 272,303 | $ | 15,183,615 | ||||||||
Non-Hazardous Waste Disposal — 0.1% | |||||||||||
Republic Services, Inc. | 1,559 | 206,568 | |||||||||
Waste Management, Inc. | 2,515 | 398,627 | |||||||||
605,195 | |||||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Zebra Technologies Corp., Class A† | 191 | 79,017 | |||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 541 | 94,118 | |||||||||
Oil Companies-Exploration & Production — 2.2% | |||||||||||
APA Corp. | 2,180 | 90,099 | |||||||||
ConocoPhillips | 97,880 | 9,788,000 | |||||||||
Coterra Energy, Inc. | 10,850 | 292,625 | |||||||||
EOG Resources, Inc. | 4,213 | 502,316 | |||||||||
Hess Corp. | 1,066 | 114,105 | |||||||||
Marathon Oil Corp. | 10,382 | 260,692 | |||||||||
Occidental Petroleum Corp. | 6,981 | 396,102 | |||||||||
Pioneer Natural Resources Co. | 21,539 | 5,385,396 | |||||||||
16,829,335 | |||||||||||
Oil Companies-Integrated — 2.6% | |||||||||||
Chevron Corp. | 39,205 | 6,383,750 | |||||||||
Exxon Mobil Corp. | 119,665 | 9,883,133 | |||||||||
TotalEnergies SE ADR | 73,039 | 3,691,391 | |||||||||
19,958,274 | |||||||||||
Oil Refining & Marketing — 0.7% | |||||||||||
Marathon Petroleum Corp. | 7,721 | 660,145 | |||||||||
Phillips 66 | 49,176 | 4,248,315 | |||||||||
Valero Energy Corp. | 5,452 | 553,596 | |||||||||
5,462,056 | |||||||||||
Oil-Field Services — 0.5% | |||||||||||
Baker Hughes Co. | 77,374 | 2,817,187 | |||||||||
Halliburton Co. | 11,983 | 453,796 | |||||||||
Schlumberger NV | 18,715 | 773,117 | |||||||||
4,044,100 | |||||||||||
Paper & Related Products — 0.2% | |||||||||||
International Paper Co. | 5,164 | 238,318 | |||||||||
Mondi PLC | 78,816 | 1,527,943 | |||||||||
1,766,261 | |||||||||||
Pharmacy Services — 1.2% | |||||||||||
Cigna Corp. | 16,567 | 3,969,619 | |||||||||
CVS Health Corp. | 50,515 | 5,112,623 | |||||||||
9,082,242 | |||||||||||
Pipelines — 0.2% | |||||||||||
Kinder Morgan, Inc. | 26,004 | 491,736 | |||||||||
ONEOK, Inc. | 3,390 | 239,436 | |||||||||
Williams Cos., Inc. | 16,203 | 541,342 | |||||||||
1,272,514 | |||||||||||
Private Equity — 0.4% | |||||||||||
Ares Management Corp., Class A | 40,972 | 3,328,156 |
188
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
News Corp., Class A | 5,212 | $ | 115,446 | ||||||||
News Corp., Class B | 1,614 | 36,347 | |||||||||
151,793 | |||||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc.† | 2,215 | 93,960 | |||||||||
Real Estate Investment Trusts — 2.8% | |||||||||||
Alexandria Real Estate Equities, Inc. | 1,941 | 390,626 | |||||||||
American Tower Corp. | 2,976 | 747,631 | |||||||||
AvalonBay Communities, Inc. | 1,081 | 268,488 | |||||||||
Boston Properties, Inc. | 1,896 | 244,205 | |||||||||
Crown Castle International Corp. | 3,170 | 585,182 | |||||||||
Digital Realty Trust, Inc. | 3,784 | 536,571 | |||||||||
Duke Realty Corp. | 1,777 | 103,173 | |||||||||
Equinix, Inc. | 649 | 481,311 | |||||||||
Equity Residential | 4,557 | 409,765 | |||||||||
Essex Property Trust, Inc. | 488 | 168,594 | |||||||||
Federal Realty Investment Trust | 547 | 66,772 | |||||||||
Gaming and Leisure Properties, Inc. | 77,616 | 3,642,519 | |||||||||
Healthpeak Properties, Inc. | 83,560 | 2,868,615 | |||||||||
Host Hotels & Resorts, Inc. | 208,158 | 4,044,510 | |||||||||
Iron Mountain, Inc. | 1,505 | 83,392 | |||||||||
Kimco Realty Corp. | 8,223 | 203,108 | |||||||||
Mid-America Apartment Communities, Inc. | 584 | 122,319 | |||||||||
Prologis, Inc. | 3,849 | 621,537 | |||||||||
Public Storage | 834 | 325,494 | |||||||||
Realty Income Corp. | 7,545 | 522,869 | |||||||||
Regency Centers Corp. | 2,055 | 146,604 | |||||||||
SBA Communications Corp. | 638 | 219,536 | |||||||||
Simon Property Group, Inc. | 1,753 | 230,625 | |||||||||
UDR, Inc. | 1,795 | 102,979 | |||||||||
Ventas, Inc. | 5,323 | 328,748 | |||||||||
Vornado Realty Trust | 2,120 | 96,078 | |||||||||
Welltower, Inc. | 39,052 | 3,754,459 | |||||||||
Weyerhaeuser Co. | 5,780 | 219,062 | |||||||||
21,534,772 | |||||||||||
Real Estate Management/Services — 0.4% | |||||||||||
CBRE Group, Inc., Class A† | 32,327 | 2,958,567 | |||||||||
Rental Auto/Equipment — 0.0% | |||||||||||
United Rentals, Inc.† | 386 | 137,111 | |||||||||
Respiratory Products — 0.0% | |||||||||||
ResMed, Inc. | 819 | 198,616 | |||||||||
Retail-Apparel/Shoe — 0.3% | |||||||||||
Ross Stores, Inc. | 4,712 | 426,248 | |||||||||
Victoria's Secret & Co.† | 43,162 | 2,216,800 | |||||||||
2,643,048 | |||||||||||
Retail-Auto Parts — 0.4% | |||||||||||
Advance Auto Parts, Inc. | 13,140 | 2,719,454 | |||||||||
Genuine Parts Co. | 1,900 | 239,438 | |||||||||
2,958,892 | |||||||||||
Retail-Automobile — 0.0% | |||||||||||
CarMax, Inc.† | 1,013 | 97,734 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. | 3,343 | $ | 1,000,660 | ||||||||
Retail-Consumer Electronics — 0.0% | |||||||||||
Best Buy Co., Inc. | 2,888 | 262,519 | |||||||||
Retail-Discount — 1.7% | |||||||||||
Costco Wholesale Corp. | 2,897 | 1,668,237 | |||||||||
Dollar General Corp. | 3,090 | 687,927 | |||||||||
Dollar Tree, Inc.† | 26,202 | 4,196,250 | |||||||||
Target Corp. | 2,875 | 610,133 | |||||||||
Walmart, Inc. | 39,867 | 5,936,994 | |||||||||
13,099,541 | |||||||||||
Retail-Drug Store — 0.1% | |||||||||||
Walgreens Boots Alliance, Inc. | 9,555 | 427,777 | |||||||||
Retail-Major Department Stores — 0.6% | |||||||||||
TJX Cos., Inc. | 78,968 | 4,783,881 | |||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Bath & Body Works, Inc. | 1,203 | 57,503 | |||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Ulta Beauty, Inc.† | 317 | 126,236 | |||||||||
Retail-Restaurants — 0.4% | |||||||||||
Chipotle Mexican Grill, Inc.† | 123 | �� | 194,590 | ||||||||
Darden Restaurants, Inc. | 1,703 | 226,414 | |||||||||
Domino's Pizza, Inc. | 160 | 65,122 | |||||||||
McDonald's Corp. | 5,480 | 1,355,094 | |||||||||
Starbucks Corp. | 7,517 | 683,821 | |||||||||
Yum! Brands, Inc. | 2,042 | 242,038 | |||||||||
2,767,079 | |||||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
People's United Financial, Inc. | 5,707 | 114,083 | |||||||||
Semiconductor Components-Integrated Circuits — 0.8% | |||||||||||
Analog Devices, Inc. | 34,223 | 5,652,955 | |||||||||
NXP Semiconductors NV | 1,312 | 242,825 | |||||||||
5,895,780 | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 534 | 106,501 | |||||||||
Soap & Cleaning Preparation — 0.3% | |||||||||||
Church & Dwight Co., Inc. | 3,227 | 320,699 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 32,246 | 2,159,581 | |||||||||
2,480,280 | |||||||||||
Software Tools — 0.3% | |||||||||||
VMware, Inc., Class A | 22,207 | 2,528,711 | |||||||||
Steel-Producers — 0.0% | |||||||||||
Nucor Corp. | 1,668 | 247,948 | |||||||||
Telecom Equipment-Fiber Optics — 0.6% | |||||||||||
Corning, Inc. | 115,829 | 4,275,248 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
Juniper Networks, Inc. | 4,336 | 161,126 | |||||||||
Telephone-Integrated — 1.7% | |||||||||||
AT&T, Inc. | 95,228 | 2,250,237 | |||||||||
Lumen Technologies, Inc. | 12,289 | 138,497 | |||||||||
Verizon Communications, Inc. | 211,788 | 10,788,481 | |||||||||
13,177,215 |
189
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Textile-Home Furnishings — 0.0% | |||||||||||
Mohawk Industries, Inc.† | 732 | $ | 90,914 | ||||||||
Theaters — 0.0% | |||||||||||
Live Nation Entertainment, Inc.† | 1,026 | 120,699 | |||||||||
Tobacco — 0.4% | |||||||||||
Altria Group, Inc. | 24,312 | 1,270,302 | |||||||||
Philip Morris International, Inc. | 20,667 | 1,941,458 | |||||||||
3,211,760 | |||||||||||
Tools-Hand Held — 0.1% | |||||||||||
Snap-on, Inc. | 712 | 146,302 | |||||||||
Stanley Black & Decker, Inc. | 2,174 | 303,903 | |||||||||
450,205 | |||||||||||
Toys — 0.0% | |||||||||||
Hasbro, Inc. | 1,729 | 141,640 | |||||||||
Transport-Rail — 0.7% | |||||||||||
CSX Corp. | 29,578 | 1,107,696 | |||||||||
Norfolk Southern Corp. | 11,100 | 3,165,942 | |||||||||
Union Pacific Corp. | 5,011 | 1,369,055 | |||||||||
5,642,693 | |||||||||||
Transport-Services — 0.3% | |||||||||||
C.H. Robinson Worldwide, Inc. | 1,733 | 186,662 | |||||||||
FedEx Corp. | 3,251 | 752,249 | |||||||||
United Parcel Service, Inc., Class B | 5,542 | 1,188,537 | |||||||||
2,127,448 | |||||||||||
Transport-Truck — 0.3% | |||||||||||
JB Hunt Transport Services, Inc. | 460 | 92,363 | |||||||||
Knight-Swift Transportation Holdings, Inc. | 42,452 | 2,142,128 | |||||||||
2,234,491 | |||||||||||
Water — 0.1% | |||||||||||
American Water Works Co., Inc. | 2,421 | 400,748 | |||||||||
Water Treatment Systems — 0.0% | |||||||||||
Pentair PLC | 927 | 50,253 | |||||||||
Web Hosting/Design — 0.0% | |||||||||||
VeriSign, Inc.† | 683 | 151,940 | |||||||||
Web Portals/ISP — 0.4% | |||||||||||
Alphabet, Inc., Class C† | 1,073 | 2,996,878 | |||||||||
Wireless Equipment — 0.0% | |||||||||||
Motorola Solutions, Inc. | 923 | 223,551 | |||||||||
Total Common Stocks (cost $632,378,129) | 756,073,024 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
EXCHANGE-TRADED FUNDS — 1.4% | |||||||||||
iShares Russell 1000 Value ETF | 15,489 | $ | 2,570,864 | ||||||||
iShares S&P 500 Value ETF | 50,700 | 7,895,004 | |||||||||
Total Exchange-Traded Funds (cost $10,513,446) | 10,465,868 | ||||||||||
Total Long-Term Investment Securities (cost $642,891,575) | 766,538,892 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.0% | |||||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 1.25% due 02/23/2023(2) (cost $98,861) | $ | 100,000 | 98,715 | ||||||||
REPURCHASE AGREEMENTS — 0.2% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 400,000 | 400,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 320,000 | 320,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 280,000 | 280,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 430,000 | 430,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 415,000 | 415,000 | |||||||||
Total Repurchase Agreements (cost $1,845,000) | 1,845,000 | ||||||||||
TOTAL INVESTMENTS (cost $644,835,436)(4) | 99.2 | % | 768,482,607 | ||||||||
Other assets less liabilities | 0.8 | 6,217,387 | |||||||||
NET ASSETS | 100.0 | % | $ | 774,699,994 |
† 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 future 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 Fund
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
3 | Long | S&P 500 E-Mini Index | June 2022 | $ | 638,052 | $ | 679,612 | $ | 41,560 |
* 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.
190
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized Depreciation | ||||||||||||||||||
Bank of America, N.A. | GBP | 4,473,603 | USD | 5,922,746 | 06/30/2022 | $ | 47,633 | $ | — | ||||||||||||||
JPMorgan Chase Bank | EUR | 11,644,712 | USD | 12,873,171 | 06/30/2022 | — | (53,319 | ) | |||||||||||||||
Morgan Stanley & Co., Inc. | CHF | 1,829,710 | USD | 1,969,601 | 06/30/2022 | — | (18,057 | ) | |||||||||||||||
USD | 117,348 | CHF | 109,200 | 06/30/2022 | 1,279 | — | |||||||||||||||||
1,279 | (18,057 | ) | |||||||||||||||||||||
Net Unrealized Appreciation/(Depreciation) | $ | 48,912 | $ | (71,376 | ) |
CHF — Swiss Franc
EUR — Euro Currency
GBP — Pound Sterling
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 740,984,628 | $ | 15,088,396 | ** | $ | — | $ | 756,073,024 | ||||||||||
Exchange-Traded Funds | 10,465,868 | — | — | 10,465,868 | |||||||||||||||
Short-Term Investment Securities | — | 98,715 | — | 98,715 | |||||||||||||||
Repurchase Agreements | — | 1,845,000 | — | 1,845,000 | |||||||||||||||
Total Investments at Value | $ | 751,450,496 | $ | 17,032,111 | $ | — | $ | 768,482,607 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 41,560 | $ | — | $ | — | $ | 41,560 | |||||||||||
Forward Foreign Currency Contracts | — | 48,912 | — | 48,912 | |||||||||||||||
Total Other Financial Instruments | $ | 41,560 | $ | 48,912 | $ | — | $ | 90,472 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 71,376 | $ | — | $ | 71,376 |
* 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
191
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Enterprise Software/Service | 6.6 | % | |||||
Computer Software | 3.8 | ||||||
Internet Content-Entertainment | 3.1 | ||||||
Medical Products | 2.9 | ||||||
Computer Data Security | 2.8 | ||||||
Distribution/Wholesale | 2.7 | ||||||
Internet Security | 2.6 | ||||||
Retail-Apparel/Shoe | 2.5 | ||||||
E-Commerce/Services | 2.5 | ||||||
Medical-Biomedical/Gene | 2.4 | ||||||
Data Processing/Management | 2.2 | ||||||
Computer Aided Design | 2.1 | ||||||
Electronic Components-Semiconductors | 2.0 | ||||||
Diagnostic Kits | 1.9 | ||||||
Real Estate Investment Trusts | 1.9 | ||||||
Drug Delivery Systems | 1.9 | ||||||
Applications Software | 1.8 | ||||||
Commercial Services-Finance | 1.8 | ||||||
Commercial Services | 1.7 | ||||||
Retail-Restaurants | 1.6 | ||||||
Networking Products | 1.6 | ||||||
Retail-Perfume & Cosmetics | 1.6 | ||||||
Semiconductor Equipment | 1.5 | ||||||
Oil Companies-Exploration & Production | 1.4 | ||||||
Electronic Measurement Instruments | 1.2 | ||||||
Internet Application Software | 1.1 | ||||||
E-Commerce/Products | 1.1 | ||||||
Building-Residential/Commercial | 1.1 | ||||||
Energy-Alternate Sources | 1.0 | ||||||
Consulting Services | 1.0 | ||||||
Transport-Truck | 1.0 | ||||||
Diagnostic Equipment | 0.9 | ||||||
Entertainment Software | 0.8 | ||||||
Decision Support Software | 0.8 | ||||||
Schools | 0.8 | ||||||
Hotels/Motels | 0.8 | ||||||
Machinery-General Industrial | 0.8 | ||||||
Building Products-Air & Heating | 0.8 | ||||||
Investment Management/Advisor Services | 0.7 | ||||||
Communications Software | 0.7 | ||||||
Advertising Services | 0.7 | ||||||
Retail-Auto Parts | 0.7 | ||||||
Computer Services | 0.7 | ||||||
Electronic Connectors | 0.7 | ||||||
Medical Labs & Testing Services | 0.6 | ||||||
Medical-Wholesale Drug Distribution | 0.6 | ||||||
Instruments-Controls | 0.6 | ||||||
Retail-Floor Coverings | 0.6 | ||||||
Respiratory Products | 0.6 | ||||||
Chemicals-Specialty | 0.6 | ||||||
Internet Gambling | 0.6 | ||||||
Retail-Gardening Products | 0.6 | ||||||
Industrial Automated/Robotic | 0.6 | ||||||
Theaters | 0.5 | ||||||
Building-Mobile Home/Manufactured Housing | 0.5 | ||||||
Athletic Equipment | 0.5 | ||||||
Casino Hotels | 0.5 | ||||||
E-Services/Consulting | 0.5 | ||||||
Private Equity | 0.5 | ||||||
Lighting Products & Systems | 0.5 |
Diversified Manufacturing Operations | 0.5 | % | |||||
Repurchase Agreements | 0.5 | ||||||
Office Automation & Equipment | 0.5 | ||||||
Medical Instruments | 0.4 | ||||||
Patient Monitoring Equipment | 0.4 | ||||||
Finance-Credit Card | 0.4 | ||||||
Chemicals-Diversified | 0.4 | ||||||
Food-Confectionery | 0.4 | ||||||
Power Converter/Supply Equipment | 0.4 | ||||||
Airlines | 0.4 | ||||||
Non-Hazardous Waste Disposal | 0.4 | ||||||
Retail-Misc./Diversified | 0.4 | ||||||
Machinery-Print Trade | 0.3 | ||||||
Cable/Satellite TV | 0.3 | ||||||
Pipelines | 0.3 | ||||||
Human Resources | 0.3 | ||||||
Exchange-Traded Funds | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Retail-Automobile | 0.3 | ||||||
Medical-Drugs | 0.3 | ||||||
Insurance-Multi-line | 0.3 | ||||||
Retail-Home Furnishings | 0.3 | ||||||
Retail-Discount | 0.3 | ||||||
Rental Auto/Equipment | 0.3 | ||||||
Aerospace/Defense | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Casino Services | 0.2 | ||||||
Machinery-Pumps | 0.2 | ||||||
Computers-Memory Devices | 0.2 | ||||||
Beverages-Wine/Spirits | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Banks-Commercial | 0.2 | ||||||
Therapeutics | 0.2 | ||||||
Multimedia | 0.2 | ||||||
Wireless Equipment | 0.2 | ||||||
Containers-Paper/Plastic | 0.2 | ||||||
Containers-Metal/Glass | 0.2 | ||||||
Consumer Products-Misc. | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Pastoral & Agricultural | 0.2 | ||||||
Steel Pipe & Tube | 0.2 | ||||||
Insurance-Property/Casualty | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Apparel Manufacturers | 0.2 | ||||||
Office Supplies & Forms | 0.2 | ||||||
Auto/Truck Parts & Equipment-Original | 0.2 | ||||||
Medical-Outpatient/Home Medical | 0.2 | ||||||
Medical-HMO | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Toys | 0.1 | ||||||
Finance-Investment Banker/Broker | 0.1 | ||||||
Machinery-Electrical | 0.1 | ||||||
Electronic Components-Misc. | 0.1 | ||||||
Oil-Field Services | 0.1 | ||||||
Computers | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Brewery | 0.1 | ||||||
Aerospace/Defense-Equipment | 0.1 | ||||||
Resorts/Theme Parks | 0.1 | ||||||
Building-Maintenance & Services | 0.1 |
192
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Building Products-Cement | 0.1 | % | |||||
Electronic Security Devices | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Dialysis Centers | 0.1 | ||||||
Telecom Equipment-Fiber Optics | 0.1 | ||||||
Electric Products-Misc. | 0.1 | ||||||
Finance-Other Services | 0.1 | ||||||
Firearms & Ammunition | 0.1 | ||||||
Agricultural Biotech | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Racetracks | 0.1 | ||||||
Oil-U.S. Royalty Trusts | 0.1 | ||||||
Machine Tools & Related Products | 0.1 | ||||||
Agricultural Chemicals | 0.1 | ||||||
Healthcare Safety Devices | 0.1 | ||||||
Building & Construction-Misc. | 0.1 | ||||||
Soap & Cleaning Preparation | 0.1 | ||||||
Auto-Heavy Duty Trucks | 0.1 | ||||||
Lasers-System/Components | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
193
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 98.6% | |||||||||||
Advertising Services — 0.7% | |||||||||||
Trade Desk, Inc., Class A† | 20,472 | $ | 1,417,686 | ||||||||
Aerospace/Defense — 0.2% | |||||||||||
Spirit AeroSystems Holdings, Inc., Class A | 580 | 28,356 | |||||||||
TransDigm Group, Inc.† | 722 | 470,412 | |||||||||
498,768 | |||||||||||
Aerospace/Defense-Equipment — 0.1% | |||||||||||
HEICO Corp. | 274 | 42,070 | |||||||||
HEICO Corp., Class A | 481 | 61,005 | |||||||||
Hexcel Corp. | 1,700 | 101,099 | |||||||||
Howmet Aerospace, Inc. | 535 | 19,228 | |||||||||
223,402 | |||||||||||
Agricultural Biotech — 0.1% | |||||||||||
Corteva, Inc. | 2,900 | 166,692 | |||||||||
Agricultural Chemicals — 0.1% | |||||||||||
CF Industries Holdings, Inc. | 1,400 | 144,284 | |||||||||
Airlines — 0.4% | |||||||||||
Alaska Air Group, Inc.† | 2,900 | 168,229 | |||||||||
Delta Air Lines, Inc.† | 12,138 | 480,301 | |||||||||
Southwest Airlines Co.† | 3,300 | 151,140 | |||||||||
799,670 | |||||||||||
Apparel Manufacturers — 0.2% | |||||||||||
Columbia Sportswear Co. | 46 | 4,164 | |||||||||
Deckers Outdoor Corp.† | 70 | 19,164 | |||||||||
Hanesbrands, Inc. | 3,940 | 58,667 | |||||||||
Tapestry, Inc. | 502 | 18,649 | |||||||||
VF Corp. | 3,955 | 224,881 | |||||||||
325,525 | |||||||||||
Applications Software — 1.7% | |||||||||||
C3.ai, Inc., Class A† | |||||||||||
Class A | 304 | 6,901 | |||||||||
CCC Intelligent Solutions Holdings, Inc.† | 2,683 | 29,620 | |||||||||
CDK Global, Inc. | 344 | 16,746 | |||||||||
Confluent, Inc., Class A† | 1,101 | 45,141 | |||||||||
Duck Creek Technologies, Inc.† | 323 | 7,145 | |||||||||
Elastic NV† | 1,422 | 126,487 | |||||||||
Five9, Inc.† | 14,358 | 1,585,123 | |||||||||
Informatica, Inc. Class A† | 4,858 | 95,897 | |||||||||
IronSource, Ltd., Class A† | 128,158 | 615,158 | |||||||||
Jamf Holding Corp.† | 860 | 29,937 | |||||||||
Magic Leap, Inc., Class A†(1)(2) | 9 | 108 | |||||||||
nCino, Inc† | 4,455 | 182,566 | |||||||||
Procore Technologies, Inc.† | 1,829 | 106,009 | |||||||||
PTC, Inc.† | 4,091 | 440,683 | |||||||||
Smartsheet, Inc., Class A† | 3,507 | 192,113 | |||||||||
Tanium, Class B†(1)(2) | 1,910 | 17,610 | |||||||||
3,497,244 | |||||||||||
Athletic Equipment — 0.5% | |||||||||||
Peloton Interactive, Inc., Class A† | 34,956 | 923,537 | |||||||||
YETI Holdings, Inc.† | 1,624 | 97,408 | |||||||||
1,020,945 |
Security Description | Shares | Value (Note 2) | |||||||||
Auction Houses/Art Dealers — 0.0% | |||||||||||
Ritchie Bros. Auctioneers, Inc. | 1,400 | $ | 82,642 | ||||||||
Auto Repair Centers — 0.0% | |||||||||||
Mister Car Wash, Inc.† | 1,166 | 17,245 | |||||||||
Auto-Heavy Duty Trucks — 0.1% | |||||||||||
PACCAR, Inc. | 1,300 | 114,491 | |||||||||
TuSimple Holdings, Inc., Class A† | 292 | 3,562 | |||||||||
118,053 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.2% | |||||||||||
Allison Transmission Holdings, Inc. | 1,494 | 58,654 | |||||||||
Aptiv PLC† | 1,658 | 198,479 | |||||||||
QuantumScape Corp.† | 3,312 | 66,207 | |||||||||
323,340 | |||||||||||
Banks-Commercial — 0.2% | |||||||||||
Citizens Financial Group, Inc. | 1,428 | 64,731 | |||||||||
First Republic Bank | 675 | 109,418 | |||||||||
SVB Financial Group† | 211 | 118,044 | |||||||||
Synovus Financial Corp. | 204 | 9,996 | |||||||||
Western Alliance Bancorp | 1,037 | 85,884 | |||||||||
388,073 | |||||||||||
Beverages-Wine/Spirits — 0.2% | |||||||||||
Brown-Forman Corp., Class A | 429 | 26,916 | |||||||||
Brown-Forman Corp., Class B | 5,515 | 369,615 | |||||||||
396,531 | |||||||||||
Brewery — 0.1% | |||||||||||
Boston Beer Co., Inc., Class A† | 390 | 151,503 | |||||||||
Constellation Brands, Inc., Class A | 425 | 97,886 | |||||||||
249,389 | |||||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Armstrong World Industries, Inc. | 436 | 39,244 | |||||||||
AZEK Co., Inc.† | 1,166 | 28,963 | |||||||||
Fortune Brands Home & Security, Inc. | 3,349 | 248,764 | |||||||||
Louisiana-Pacific Corp. | 122 | 7,579 | |||||||||
Trex Co., Inc.† | 2,197 | 143,530 | |||||||||
468,080 | |||||||||||
Building & Construction-Misc. — 0.1% | |||||||||||
Frontdoor, Inc.† | 1,099 | 32,805 | |||||||||
TopBuild Corp.† | 519 | 94,142 | |||||||||
126,947 | |||||||||||
Building Products-Air & Heating — 0.8% | |||||||||||
Carrier Global Corp. | 7,610 | 349,071 | |||||||||
Johnson Controls International PLC | 18,172 | 1,191,538 | |||||||||
1,540,609 | |||||||||||
Building Products-Cement — 0.1% | |||||||||||
Vulcan Materials Co. | 1,200 | 220,440 | |||||||||
Building-Maintenance & Services — 0.1% | |||||||||||
Rollins, Inc. | 6,309 | 221,130 | |||||||||
Building-Mobile Home/Manufactured Housing — 0.5% | |||||||||||
Thor Industries, Inc. | 13,118 | 1,032,387 | |||||||||
Building-Residential/Commercial — 1.1% | |||||||||||
D.R. Horton, Inc. | 2,577 | 192,012 | |||||||||
Lennar Corp., Class A | 16,397 | 1,330,945 |
194
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Residential/Commercial (continued) | |||||||||||
NVR, Inc.† | 138 | $ | 616,483 | ||||||||
PulteGroup, Inc. | 1,369 | 57,361 | |||||||||
Toll Brothers, Inc. | 839 | 39,450 | |||||||||
2,236,251 | |||||||||||
Cable/Satellite TV — 0.3% | |||||||||||
Altice USA, Inc., Class A† | 2,788 | 34,794 | |||||||||
Cable One, Inc. | 449 | 657,444 | |||||||||
692,238 | |||||||||||
Casino Hotels — 0.5% | |||||||||||
Boyd Gaming Corp. | 332 | 21,839 | |||||||||
MGM Resorts International | 15,700 | 658,458 | |||||||||
Wynn Resorts, Ltd.† | 4,207 | 335,466 | |||||||||
1,015,763 | |||||||||||
Casino Services — 0.2% | |||||||||||
Caesars Entertainment, Inc.† | 5,705 | 441,339 | |||||||||
Chemicals-Diversified — 0.4% | |||||||||||
Celanese Corp. | 753 | 107,581 | |||||||||
FMC Corp. | 609 | 80,126 | |||||||||
LyondellBasell Industries NV, Class A | 607 | 62,412 | |||||||||
Olin Corp. | 204 | 10,665 | |||||||||
PPG Industries, Inc. | 4,197 | 550,101 | |||||||||
Westlake Chemical Corp. | 126 | 15,548 | |||||||||
826,433 | |||||||||||
Chemicals-Specialty — 0.6% | |||||||||||
Albemarle Corp. | 5,077 | 1,122,778 | |||||||||
Chemours Co. | 1,556 | 48,983 | |||||||||
Diversey Holdings, Ltd.† | 1,126 | 8,524 | |||||||||
1,180,285 | |||||||||||
Coatings/Paint — 0.2% | |||||||||||
Axalta Coating Systems, Ltd.† | 685 | 16,837 | |||||||||
RPM International, Inc. | 3,816 | 310,775 | |||||||||
327,612 | |||||||||||
Commercial Services — 1.7% | |||||||||||
Cintas Corp. | 3,024 | 1,286,379 | |||||||||
CoStar Group, Inc.† | 31,405 | 2,091,887 | |||||||||
GXO Logistics, Inc.† | 1,575 | 112,361 | |||||||||
Legalzoom.com, Inc.† | 1,080 | 15,271 | |||||||||
3,505,898 | |||||||||||
Commercial Services-Finance — 1.8% | |||||||||||
Affirm Holdings, Inc.† | 1,329 | 61,506 | |||||||||
Block, Inc., Class A† | 6,611 | 896,452 | |||||||||
Equifax, Inc. | 1,927 | 456,892 | |||||||||
Euronet Worldwide, Inc.† | 1,556 | 202,513 | |||||||||
FleetCor Technologies, Inc.† | 1,280 | 318,797 | |||||||||
H&R Block, Inc. | 2,517 | 65,543 | |||||||||
MarketAxess Holdings, Inc. | 1,697 | 577,319 | |||||||||
Morningstar, Inc. | 402 | 109,814 | |||||||||
Sabre Corp.† | 6,100 | 69,723 | |||||||||
Shift4 Payments, Inc., Class A† | 815 | 50,473 | |||||||||
StoneCo, Ltd., Class A† | 3,909 | 45,735 | |||||||||
TransUnion | 5,358 | 553,696 | |||||||||
WEX, Inc.† | 1,264 | 225,561 | |||||||||
3,634,024 |
Security Description | Shares | Value (Note 2) | |||||||||
Communications Software — 0.7% | |||||||||||
RingCentral, Inc., Class A† | 12,970 | $ | 1,520,214 | ||||||||
Computer Aided Design — 2.1% | |||||||||||
ANSYS, Inc.† | 1,478 | 469,487 | |||||||||
Aspen Technology, Inc.† | 2,826 | 467,336 | |||||||||
Bentley Systems, Inc., Class B | 4,136 | 182,728 | |||||||||
Cadence Design Systems, Inc.† | 11,306 | 1,859,385 | |||||||||
Synopsys, Inc.† | 3,937 | 1,312,084 | |||||||||
4,291,020 | |||||||||||
Computer Data Security — 2.7% | |||||||||||
Crowdstrike Holdings, Inc., Class A† | 7,735 | 1,756,464 | |||||||||
Fortinet, Inc.† | 5,689 | 1,944,159 | |||||||||
Snyk, Ltd.†(1)(2) | 4,274 | 61,308 | |||||||||
Varonis Systems, Inc.† | 15,852 | 753,604 | |||||||||
Zscaler, Inc.† | 3,943 | 951,367 | |||||||||
5,466,902 | |||||||||||
Computer Graphics — 0.0% | |||||||||||
Canva, Inc.†(1)(2) | 41 | 55,965 | |||||||||
Computer Services — 0.7% | |||||||||||
Endava PLC ADR† | 600 | 79,818 | |||||||||
EPAM Systems, Inc.† | 2,384 | 707,118 | |||||||||
Genpact, Ltd. | 2,274 | 98,942 | |||||||||
Globant SA† | 1,417 | 371,353 | |||||||||
Leidos Holdings, Inc. | 750 | 81,015 | |||||||||
Thoughtworks Holding, Inc.† | 270 | 5,619 | |||||||||
1,343,865 | |||||||||||
Computer Software — 3.8% | |||||||||||
Citrix Systems, Inc. | 837 | 84,453 | |||||||||
Cloudflare, Inc., Class A† | 4,692 | 561,632 | |||||||||
Datadog, Inc., Class A† | 10,595 | 1,604,825 | |||||||||
Dropbox, Inc., Class A† | 5,640 | 131,130 | |||||||||
Dynatrace, Inc.† | 5,647 | 265,974 | |||||||||
HashiCorp, Inc., Class A† | 139 | 7,506 | |||||||||
MongoDB, Inc.† | 6,671 | 2,959,189 | |||||||||
Nutanix, Inc., Class A† | 4,062 | 108,943 | |||||||||
SentinelOne, Inc., Class A† | 2,719 | 105,334 | |||||||||
Splunk, Inc.† | 3,014 | 447,910 | |||||||||
Teradata Corp.† | 1,747 | 86,110 | |||||||||
Twilio, Inc., Class A† | 260 | 42,851 | |||||||||
ZoomInfo Technologies, Inc.† | 21,384 | 1,277,480 | |||||||||
7,683,337 | |||||||||||
Computers — 0.1% | |||||||||||
HP, Inc. | 7,141 | 259,218 | |||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NCR Corp.† | 823 | 33,076 | |||||||||
Computers-Memory Devices — 0.2% | |||||||||||
NetApp, Inc. | 2,802 | 232,566 | |||||||||
Pure Storage, Inc., Class A† | 4,849 | 171,218 | |||||||||
403,784 | |||||||||||
Consulting Services — 1.0% | |||||||||||
Booz Allen Hamilton Holding Corp. | 3,893 | 341,961 | |||||||||
Gartner, Inc.† | 3,019 | 898,032 | |||||||||
Verisk Analytics, Inc. | 3,815 | 818,813 | |||||||||
2,058,806 |
195
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Consumer Products-Misc. — 0.2% | |||||||||||
Clorox Co. | 2,390 | $ | 332,282 | ||||||||
Containers-Metal/Glass — 0.2% | |||||||||||
Ball Corp. | 3,389 | 305,010 | |||||||||
Crown Holdings, Inc. | 287 | 35,901 | |||||||||
340,911 | |||||||||||
Containers-Paper/Plastic — 0.2% | |||||||||||
Ardagh Metal Packaging SA† | 9,860 | 80,162 | |||||||||
Graphic Packaging Holding Co. | 1,511 | 30,280 | |||||||||
Sealed Air Corp. | 3,623 | 242,596 | |||||||||
353,038 | |||||||||||
Data Processing/Management — 2.2% | |||||||||||
Broadridge Financial Solutions, Inc. | 4,350 | 677,339 | |||||||||
DocuSign, Inc.† | 12,866 | 1,378,206 | |||||||||
Fair Isaac Corp.† | 2,222 | 1,036,474 | |||||||||
Jack Henry & Associates, Inc. | 359 | 70,741 | |||||||||
Paychex, Inc. | 9,235 | 1,260,300 | |||||||||
4,423,060 | |||||||||||
Decision Support Software — 0.6% | |||||||||||
Databricks, Inc.†(1)(2) | 689 | 114,291 | |||||||||
MSCI, Inc. | 2,369 | 1,191,323 | |||||||||
1,305,614 | |||||||||||
Diagnostic Equipment — 0.9% | |||||||||||
10X Genomics, Inc., Class A† | 1,605 | 122,092 | |||||||||
Adaptive Biotechnologies Corp.† | 4,267 | 59,226 | |||||||||
Avantor, Inc.† | 22,770 | 770,081 | |||||||||
Pacific Biosciences of California, Inc.† | 2,700 | 24,570 | |||||||||
Repligen Corp.† | 3,085 | 580,258 | |||||||||
Waters Corp.† | 1,068 | 331,497 | |||||||||
1,887,724 | |||||||||||
Diagnostic Kits — 1.9% | |||||||||||
Exact Sciences Corp.† | 32,720 | 2,287,782 | |||||||||
Hologic, Inc.† | 1,219 | 93,644 | |||||||||
IDEXX Laboratories, Inc.† | 2,401 | 1,313,491 | |||||||||
Natera, Inc.† | 1,477 | 60,084 | |||||||||
Quidel Corp.† | 736 | 82,771 | |||||||||
3,837,772 | |||||||||||
Dialysis Centers — 0.1% | |||||||||||
DaVita, Inc.† | 1,647 | 186,292 | |||||||||
Disposable Medical Products — 0.1% | |||||||||||
ICU Medical, Inc.† | 370 | 82,377 | |||||||||
Teleflex, Inc. | 358 | 127,029 | |||||||||
209,406 | |||||||||||
Distribution/Wholesale — 2.7% | |||||||||||
Copart, Inc.† | 19,255 | 2,415,925 | |||||||||
Core & Main, Inc., Class A† | 550 | 13,304 | |||||||||
Fastenal Co. | 11,567 | 687,080 | |||||||||
Ferguson PLC | 500 | 67,060 | |||||||||
IAA, Inc.† | 6,361 | 243,308 | |||||||||
Leslie's, Inc.† | 2,661 | 51,517 | |||||||||
Pool Corp. | 1,469 | 621,167 | |||||||||
SiteOne Landscape Supply, Inc.† | 1,236 | 199,849 |
Security Description | Shares | Value (Note 2) | |||||||||
Distribution/Wholesale (continued) | |||||||||||
Watsco, Inc. | 425 | $ | 129,472 | ||||||||
WESCO International, Inc.† | 4,908 | 638,727 | |||||||||
WW Grainger, Inc. | 724 | 373,432 | |||||||||
5,440,841 | |||||||||||
Diversified Manufacturing Operations — 0.5% | |||||||||||
A.O. Smith Corp. | 1,250 | 79,862 | |||||||||
Carlisle Cos., Inc. | 374 | 91,974 | |||||||||
Parker-Hannifin Corp. | 406 | 115,207 | |||||||||
Trane Technologies PLC | 4,406 | 672,796 | |||||||||
959,839 | |||||||||||
Drug Delivery Systems — 1.9% | |||||||||||
DexCom, Inc.† | 7,473 | 3,823,187 | |||||||||
E-Commerce/Products — 1.1% | |||||||||||
Chewy, Inc., Class A† | 2,238 | 91,266 | |||||||||
Etsy, Inc.† | 16,327 | 2,029,120 | |||||||||
Figs, Inc., Class A† | 360 | 7,747 | |||||||||
Wayfair, Inc., Class A† | 1,513 | 167,610 | |||||||||
2,295,743 | |||||||||||
E-Commerce/Services — 2.4% | |||||||||||
DoorDash, Inc., Class A† | 2,449 | 286,998 | |||||||||
Expedia Group, Inc.† | 2,754 | 538,875 | |||||||||
Lyft, Inc., Class A† | 5,587 | 214,541 | |||||||||
Match Group, Inc.† | 32,001 | 3,479,789 | |||||||||
Opendoor Technologies, Inc.† | 1,739 | 15,042 | |||||||||
TripAdvisor, Inc.† | 1,157 | 31,378 | |||||||||
Upwork, Inc.† | 2,500 | 58,100 | |||||||||
Zillow Group, Inc., Class A† | 1,128 | 54,404 | |||||||||
Zillow Group, Inc., Class C† | 3,162 | 155,855 | |||||||||
4,834,982 | |||||||||||
E-Services/Consulting — 0.5% | |||||||||||
CDW Corp. | 5,673 | 1,014,843 | |||||||||
Electric Products-Misc. — 0.1% | |||||||||||
AMETEK, Inc. | 700 | 93,226 | |||||||||
Littelfuse, Inc. | 349 | 87,044 | |||||||||
180,270 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Brookfield Renewable Corp., Class A | 609 | 26,674 | |||||||||
Electronic Components-Misc. — 0.1% | |||||||||||
Hubbell, Inc. | 750 | 137,828 | |||||||||
Jabil, Inc. | 2,102 | 129,756 | |||||||||
267,584 | |||||||||||
Electronic Components-Semiconductors — 2.0% | |||||||||||
Ambarella, Inc.† | 400 | 41,968 | |||||||||
GlobalFoundries, Inc.† | 523 | 32,646 | |||||||||
IPG Photonics Corp.† | 49 | 5,378 | |||||||||
Lattice Semiconductor Corp.† | 1,772 | 108,003 | |||||||||
Marvell Technology, Inc. | 2,333 | 167,299 | |||||||||
Microchip Technology, Inc. | 19,214 | 1,443,740 | |||||||||
Monolithic Power Systems, Inc. | 2,181 | 1,059,268 | |||||||||
ON Semiconductor Corp.† | 9,850 | 616,709 | |||||||||
Silicon Laboratories, Inc.† | 600 | 90,120 | |||||||||
Skyworks Solutions, Inc. | 3,329 | 443,689 | |||||||||
Synaptics, Inc.† | 300 | 59,850 | |||||||||
4,068,670 |
196
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Connectors — 0.7% | |||||||||||
Amphenol Corp., Class A | 17,737 | $ | 1,336,483 | ||||||||
Electronic Measurement Instruments — 1.2% | |||||||||||
Agilent Technologies, Inc. | 14,585 | 1,930,033 | |||||||||
Keysight Technologies, Inc.† | 2,919 | 461,115 | |||||||||
Vontier Corp. | 1,737 | 44,102 | |||||||||
2,435,250 | |||||||||||
Electronic Security Devices — 0.1% | |||||||||||
Allegion PLC | 1,997 | 219,231 | |||||||||
Energy-Alternate Sources — 1.0% | |||||||||||
Enphase Energy, Inc.† | 4,812 | 970,965 | |||||||||
Fluence Energy, Inc.† | 278 | 3,645 | |||||||||
Plug Power, Inc.† | 9,716 | 277,975 | |||||||||
SolarEdge Technologies, Inc.† | 2,695 | 868,787 | |||||||||
2,121,372 | |||||||||||
Enterprise Software/Service — 6.6% | |||||||||||
Alteryx, Inc., Class A† | 1,116 | 79,827 | |||||||||
Avalara, Inc.† | 3,635 | 361,719 | |||||||||
Bill.com Holdings, Inc.† | 3,823 | 867,018 | |||||||||
Black Knight, Inc.† | 2,389 | 138,538 | |||||||||
Ceridian HCM Holding, Inc.† | 2,270 | 155,177 | |||||||||
Coupa Software, Inc.† | 2,869 | 291,576 | |||||||||
DoubleVerify Holdings, Inc.† | 4,647 | 116,965 | |||||||||
Everbridge, Inc.† | 747 | 32,599 | |||||||||
Gitlab, Inc., Class A† | 2,730 | 148,649 | |||||||||
HubSpot, Inc.† | 2,171 | 1,031,095 | |||||||||
Manhattan Associates, Inc.† | 2,390 | 331,517 | |||||||||
New Relic, Inc.† | 999 | 66,813 | |||||||||
Palantir Technologies, Inc.† | 31,526 | 432,852 | |||||||||
Paycom Software, Inc.† | 7,702 | 2,667,819 | |||||||||
Paycor HCM, Inc.† | 3,545 | 103,195 | |||||||||
Pegasystems, Inc. | 731 | 58,955 | |||||||||
Qualtrics International, Inc., Class A† | 4,001 | 114,229 | |||||||||
Socure, Inc.†(1)(2) | 920 | 14,783 | |||||||||
SS&C Technologies Holdings, Inc. | 2,458 | 184,399 | |||||||||
Tyler Technologies, Inc.† | 1,481 | 658,882 | |||||||||
UiPath, Inc., Class A† | 37,763 | 815,303 | |||||||||
Veeva Systems, Inc., Class A† | 14,974 | 3,181,376 | |||||||||
Workday, Inc., Class A† | 6,676 | 1,598,635 | |||||||||
Workiva, Inc.† | 850 | 100,300 | |||||||||
13,552,221 | |||||||||||
Entertainment Software — 0.8% | |||||||||||
AppLovin Corp., Class A† | 2,800 | 154,196 | |||||||||
Electronic Arts, Inc. | 7,981 | 1,009,676 | |||||||||
Playtika Holding Corp.† | 1,972 | 38,119 | |||||||||
Skillz, Inc.† | 5,814 | 17,442 | |||||||||
Take-Two Interactive Software, Inc.† | 982 | 150,973 | |||||||||
Unity Software, Inc.† | 2,861 | 283,840 | |||||||||
Zynga, Inc., Class A† | 9,288 | 85,821 | |||||||||
1,740,067 | |||||||||||
Filtration/Separation Products — 0.0% | |||||||||||
Donaldson Co., Inc. | 288 | 14,956 | |||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Credit Acceptance Corp.† | 11 | 6,054 |
Security Description | Shares | Value (Note 2) | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Synchrony Financial | 1,847 | $ | 64,294 | ||||||||
Upstart Holdings, Inc.† | 912 | 99,490 | |||||||||
163,784 | |||||||||||
Finance-Credit Card — 0.4% | |||||||||||
Discover Financial Services | 7,357 | 810,668 | |||||||||
Western Union Co. | 1,850 | 34,669 | |||||||||
845,337 | |||||||||||
Finance-Investment Banker/Broker — 0.1% | |||||||||||
Tradeweb Markets, Inc., Class A | 3,132 | 275,209 | |||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Rocket Cos., Inc., Class A | 2,560 | 28,467 | |||||||||
UWM Holdings Corp. | 828 | 3,751 | |||||||||
32,218 | |||||||||||
Finance-Other Services — 0.1% | |||||||||||
Cboe Global Markets, Inc. | 750 | 85,815 | |||||||||
Nasdaq, Inc. | 506 | 90,169 | |||||||||
175,984 | |||||||||||
Firearms & Ammunition — 0.1% | |||||||||||
Axon Enterprise, Inc.† | 1,232 | 169,683 | |||||||||
Food-Confectionery — 0.4% | |||||||||||
Hershey Co. | 3,770 | 816,695 | |||||||||
Food-Meat Products — 0.0% | |||||||||||
Tyson Foods, Inc., Class A | 900 | 80,667 | |||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Beyond Meat, Inc.† | 954 | 46,088 | |||||||||
Kellogg Co. | 2,123 | 136,912 | |||||||||
Lamb Weston Holdings, Inc. | 820 | 49,126 | |||||||||
McCormick & Co., Inc. | 1,000 | 99,800 | |||||||||
331,926 | |||||||||||
Footwear & Related Apparel — 0.0% | |||||||||||
Skechers U.S.A., Inc., Class A† | 280 | 11,413 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Service Corp. International | 1,500 | 98,730 | |||||||||
Garden Products — 0.0% | |||||||||||
Scotts Miracle-Gro Co. | 779 | 95,786 | |||||||||
Healthcare Safety Devices — 0.1% | |||||||||||
Tandem Diabetes Care, Inc.† | 1,105 | 128,500 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Tempur Sealy International, Inc. | 3,377 | 94,286 | |||||||||
Hotels/Motels — 0.8% | |||||||||||
Choice Hotels International, Inc. | 661 | 93,703 | |||||||||
Hilton Worldwide Holdings, Inc.† | 8,587 | 1,302,991 | |||||||||
Travel & Leisure Co. | 1,070 | 61,996 | |||||||||
Wyndham Hotels & Resorts, Inc. | 1,098 | 92,990 | |||||||||
1,551,680 | |||||||||||
Human Resources — 0.3% | |||||||||||
Paylocity Holding Corp.† | 2,085 | 429,030 | |||||||||
Robert Half International, Inc. | 1,806 | 206,209 | |||||||||
635,239 | |||||||||||
Independent Power Producers — 0.0% | |||||||||||
NRG Energy, Inc. | 2,097 | 80,441 |
197
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Industrial Automated/Robotic — 0.6% | |||||||||||
Cognex Corp. | 4,746 | $ | 366,154 | ||||||||
Rockwell Automation, Inc. | 2,768 | 775,123 | |||||||||
1,141,277 | |||||||||||
Instruments-Controls — 0.6% | |||||||||||
Mettler-Toledo International, Inc.† | 827 | 1,135,628 | |||||||||
Woodward, Inc. | 800 | 99,928 | |||||||||
1,235,556 | |||||||||||
Insurance Brokers — 0.3% | |||||||||||
Arthur J. Gallagher & Co. | 3,350 | 584,910 | |||||||||
Brown & Brown, Inc. | 258 | 18,646 | |||||||||
603,556 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
GoHealth, Inc., Class A† | 780 | 920 | |||||||||
Lincoln National Corp. | 519 | 33,922 | |||||||||
34,842 | |||||||||||
Insurance-Multi-line — 0.3% | |||||||||||
Hartford Financial Services Group, Inc. | 7,600 | 545,756 | |||||||||
Insurance-Property/Casualty — 0.2% | |||||||||||
Alleghany Corp.† | 28 | 23,716 | |||||||||
Arch Capital Group, Ltd.† | 1,687 | 81,685 | |||||||||
Assurant, Inc. | 550 | 100,006 | |||||||||
Erie Indemnity Co., Class A | 330 | 58,123 | |||||||||
Lemonade, Inc.† | 75 | 1,978 | |||||||||
Markel Corp.† | 43 | 63,435 | |||||||||
328,943 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Everest Re Group, Ltd. | 168 | 50,632 | |||||||||
RenaissanceRe Holdings, Ltd. | 365 | 57,856 | |||||||||
108,488 | |||||||||||
Internet Application Software — 1.1% | |||||||||||
Anaplan, Inc.† | 2,723 | 177,131 | |||||||||
Okta, Inc.† | 11,636 | 1,756,571 | |||||||||
Wix.com, Ltd.† | 1,012 | 105,713 | |||||||||
Zendesk, Inc.† | 2,289 | 275,344 | |||||||||
2,314,759 | |||||||||||
Internet Content-Entertainment — 3.1% | |||||||||||
Pinterest, Inc., Class A† | 18,604 | 457,844 | |||||||||
Roku, Inc.† | 17,751 | 2,223,668 | |||||||||
Snap, Inc., Class A† | 27,830 | 1,001,602 | |||||||||
Spotify Technology SA† | 16,612 | 2,508,744 | |||||||||
Twitter, Inc.† | 1,556 | 60,202 | |||||||||
6,252,060 | |||||||||||
Internet Content-Information/News — 0.0% | |||||||||||
IAC/InterActiveCorp† | 589 | 59,065 | |||||||||
Vimeo, Inc.† | 2,511 | 29,831 | |||||||||
88,896 | |||||||||||
Internet Gambling — 0.6% | |||||||||||
DraftKings, Inc., Class A† | 60,098 | 1,170,108 | |||||||||
Internet Security — 2.6% | |||||||||||
Mandiant, Inc.† | 1,304 | 29,092 | |||||||||
NortonLifeLock, Inc. | 2,766 | 73,355 | |||||||||
Palo Alto Networks, Inc.† | 8,328 | 5,184,263 | |||||||||
5,286,710 |
Security Description | Shares | Value (Note 2) | |||||||||
Investment Management/Advisor Services — 0.7% | |||||||||||
Ameriprise Financial, Inc. | 1,188 | $ | 356,828 | ||||||||
Apollo Global Management, Inc. | 10,783 | 668,438 | |||||||||
LPL Financial Holdings, Inc. | 1,512 | 276,212 | |||||||||
Raymond James Financial, Inc. | 179 | 19,674 | |||||||||
T. Rowe Price Group, Inc. | 1,431 | 216,353 | |||||||||
1,537,505 | |||||||||||
Lasers-System/Components — 0.1% | |||||||||||
Coherent, Inc.† | 416 | 113,718 | |||||||||
Lighting Products & Systems — 0.5% | |||||||||||
Universal Display Corp. | 5,942 | 992,017 | |||||||||
Machine Tools & Related Products — 0.1% | |||||||||||
Lincoln Electric Holdings, Inc. | 1,090 | 150,213 | |||||||||
Machinery-Electrical — 0.1% | |||||||||||
BWX Technologies, Inc. | 2,716 | 146,284 | |||||||||
Regal Rexnord Corp. | 269 | 40,022 | |||||||||
Vertiv Holdings Co. | 6,101 | 85,414 | |||||||||
271,720 | |||||||||||
Machinery-Farming — 0.1% | |||||||||||
AGCO Corp. | 116 | 16,939 | |||||||||
Toro Co. | 2,781 | 237,748 | |||||||||
254,687 | |||||||||||
Machinery-General Industrial — 0.8% | |||||||||||
IDEX Corp. | 400 | 76,692 | |||||||||
Middleby Corp.† | 7,922 | 1,298,733 | |||||||||
Nordson Corp. | 188 | 42,691 | |||||||||
Otis Worldwide Corp. | 1,700 | 130,815 | |||||||||
1,548,931 | |||||||||||
Machinery-Print Trade — 0.3% | |||||||||||
Kornit Digital, Ltd.† | 8,390 | 693,769 | |||||||||
Machinery-Pumps — 0.2% | |||||||||||
Graco, Inc. | 3,080 | 214,738 | |||||||||
Xylem, Inc. | 2,240 | 190,982 | |||||||||
405,720 | |||||||||||
Medical Information Systems — 0.0% | |||||||||||
Definitive Healthcare Corp.† | 155 | 3,821 | |||||||||
Medical Instruments — 0.4% | |||||||||||
Bio-Techne Corp. | 1,603 | 694,163 | |||||||||
Bruker Corp. | 3,193 | 205,310 | |||||||||
899,473 | |||||||||||
Medical Labs & Testing Services — 0.6% | |||||||||||
Catalent, Inc.† | 3,059 | 339,243 | |||||||||
Charles River Laboratories International, Inc.† | 887 | 251,881 | |||||||||
IQVIA Holdings, Inc.† | 2,715 | 627,735 | |||||||||
Sotera Health Co.† | 1,887 | 40,873 | |||||||||
Syneos Health, Inc.† | 249 | 20,157 | |||||||||
1,279,889 | |||||||||||
Medical Products — 2.9% | |||||||||||
ABIOMED, Inc.† | 6,879 | 2,278,600 | |||||||||
Align Technology, Inc.† | 164 | 71,504 | |||||||||
Cooper Cos., Inc. | 216 | 90,199 | |||||||||
Globus Medical, Inc., Class A† | 76 | 5,607 |
198
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Products (continued) | |||||||||||
Inspire Medical Systems, Inc.† | 5,253 | $ | 1,348,393 | ||||||||
Masimo Corp.† | 689 | 100,277 | |||||||||
Novocure, Ltd.† | 3,212 | 266,114 | |||||||||
Penumbra, Inc.† | 1,698 | 377,177 | |||||||||
Shockwave Medical, Inc.† | 450 | 93,312 | |||||||||
STERIS PLC | 847 | 204,779 | |||||||||
West Pharmaceutical Services, Inc. | 2,605 | 1,069,900 | |||||||||
5,905,862 | |||||||||||
Medical-Biomedical/Gene — 2.4% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 3,900 | 94,458 | |||||||||
Alnylam Pharmaceuticals, Inc.† | 3,553 | 580,169 | |||||||||
Apellis Pharmaceuticals, Inc.† | 7,979 | 405,413 | |||||||||
Argenx SE ADR† | 517 | 163,015 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 465 | 261,902 | |||||||||
BioMarin Pharmaceutical, Inc.† | 1,050 | 80,955 | |||||||||
BioNTech SE ADR† | 685 | 116,834 | |||||||||
Blueprint Medicines Corp.† | 1,200 | 76,656 | |||||||||
Certara, Inc.† | 1,230 | 26,420 | |||||||||
CureVac NV† | 1,009 | 19,786 | |||||||||
Exelixis, Inc.† | 5,031 | 114,053 | |||||||||
Genmab A/S ADR† | 2,916 | 105,501 | |||||||||
Guardant Health, Inc.† | 3,276 | 217,002 | |||||||||
Horizon Therapeutics PLC† | 1,675 | 176,227 | |||||||||
Illumina, Inc.† | 2,470 | 863,018 | |||||||||
Incyte Corp.† | 4,129 | 327,925 | |||||||||
Ionis Pharmaceuticals, Inc.† | 2,452 | 90,822 | |||||||||
Iovance Biotherapeutics, Inc.† | 860 | 14,319 | |||||||||
Kodiak Sciences, Inc.† | 6,098 | 47,077 | |||||||||
Maravai LifeSciences Holdings, Inc., Class A† | 2,084 | 73,503 | |||||||||
Mirati Therapeutics, Inc.† | 663 | 54,512 | |||||||||
Novavax, Inc.† | 1,431 | 105,393 | |||||||||
Royalty Pharma PLC, Class A | 5,637 | 219,618 | |||||||||
Seagen, Inc.† | 3,340 | 481,127 | |||||||||
Ultragenyx Pharmaceutical, Inc.† | 1,953 | 141,827 | |||||||||
United Therapeutics Corp.† | 500 | 89,705 | |||||||||
4,947,237 | |||||||||||
Medical-Drugs — 0.3% | |||||||||||
Ascendis Pharma A/S ADR† | 4,255 | 499,367 | |||||||||
Reata Pharmaceuticals, Inc., Class A† | 1,522 | 49,860 | |||||||||
549,227 | |||||||||||
Medical-HMO — 0.1% | |||||||||||
Centene Corp.† | 1,052 | 88,568 | |||||||||
Molina Healthcare, Inc.† | 641 | 213,831 | |||||||||
302,399 | |||||||||||
Medical-Hospitals — 0.0% | |||||||||||
Acadia Healthcare Co., Inc.† | 1,446 | 94,756 | |||||||||
Medical-Outpatient/Home Medical — 0.2% | |||||||||||
Amedisys, Inc.† | 1,039 | 179,009 | |||||||||
Chemed Corp. | 75 | 37,991 | |||||||||
Oak Street Health, Inc.† | 1,683 | 45,239 | |||||||||
Teladoc Health, Inc.† | 768 | 55,396 | |||||||||
317,635 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Wholesale Drug Distribution — 0.6% | |||||||||||
Cardinal Health, Inc. | 3,113 | $ | 176,507 | ||||||||
McKesson Corp. | 3,546 | 1,085,537 | |||||||||
1,262,044 | |||||||||||
Multimedia — 0.2% | |||||||||||
FactSet Research Systems, Inc. | 843 | 365,988 | |||||||||
Networking Products — 1.6% | |||||||||||
Arista Networks, Inc.† | 23,273 | 3,234,482 | |||||||||
Non-Hazardous Waste Disposal — 0.4% | |||||||||||
Republic Services, Inc. | 2,700 | 357,750 | |||||||||
Waste Connections, Inc. | 2,998 | 418,821 | |||||||||
776,571 | |||||||||||
Office Automation & Equipment — 0.5% | |||||||||||
Zebra Technologies Corp., Class A† | 2,276 | 941,581 | |||||||||
Office Supplies & Forms — 0.2% | |||||||||||
Avery Dennison Corp. | 1,860 | 323,584 | |||||||||
Oil Companies-Exploration & Production — 1.4% | |||||||||||
Continental Resources, Inc. | 127 | 7,789 | |||||||||
Coterra Energy, Inc. | 2,419 | 65,240 | |||||||||
Devon Energy Corp. | 14,300 | 845,559 | |||||||||
Diamondback Energy, Inc. | 1,626 | 222,892 | |||||||||
Hess Corp. | 358 | 38,320 | |||||||||
Occidental Petroleum Corp. | 2,039 | 115,693 | |||||||||
Pioneer Natural Resources Co. | 4,929 | 1,232,398 | |||||||||
Venture Global LNG, Inc., Series B†(1)(2) | 3 | 17,851 | |||||||||
Venture Global LNG, Inc., Series C†(1)(2) | 42 | 249,907 | |||||||||
2,795,649 | |||||||||||
Oil-Field Services — 0.1% | |||||||||||
Halliburton Co. | 6,992 | 264,787 | |||||||||
Oil-U.S. Royalty Trusts — 0.1% | |||||||||||
Texas Pacific Land Corp. | 112 | 151,436 | |||||||||
Pastoral & Agricultural — 0.2% | |||||||||||
Darling Ingredients, Inc.† | 4,113 | 330,603 | |||||||||
Patient Monitoring Equipment — 0.4% | |||||||||||
Insulet Corp.† | 3,356 | 894,005 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.0% | |||||||||||
Encompass Health Corp. | 1,062 | 75,519 | |||||||||
Physicians Practice Management — 0.0% | |||||||||||
agilon health, Inc.† | 2,972 | 75,340 | |||||||||
Pipelines — 0.3% | |||||||||||
Cheniere Energy, Inc. | 4,449 | 616,854 | |||||||||
New Fortress Energy LLC | 503 | 21,433 | |||||||||
638,287 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp.† | 369 | 9,262 | |||||||||
Power Converter/Supply Equipment — 0.4% | |||||||||||
Generac Holdings, Inc.† | 2,710 | 805,575 | |||||||||
Private Equity — 0.5% | |||||||||||
Ares Management Corp., Class A | 12,363 | 1,004,246 | |||||||||
Professional Sports — 0.0% | |||||||||||
Madison Square Garden Sports Corp.† | 138 | 24,752 |
199
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Racetracks — 0.1% | |||||||||||
Churchill Downs, Inc. | 700 | $ | 155,246 | ||||||||
Penn National Gaming, Inc.† | 197 | 8,357 | |||||||||
163,603 | |||||||||||
Real Estate Investment Trusts — 1.9% | |||||||||||
Alexandria Real Estate Equities, Inc. | 1,100 | 221,375 | |||||||||
AvalonBay Communities, Inc. | 2,592 | 643,775 | |||||||||
CubeSmart | 10,700 | 556,721 | |||||||||
Equity LifeStyle Properties, Inc. | 6,174 | 472,188 | |||||||||
Extra Space Storage, Inc. | 222 | 45,643 | |||||||||
Iron Mountain, Inc. | 3,830 | 212,220 | |||||||||
Lamar Advertising Co., Class A | 1,430 | 166,137 | |||||||||
Rexford Industrial Realty, Inc. | 1,100 | 82,049 | |||||||||
SBA Communications Corp. | 2,089 | 718,825 | |||||||||
Simon Property Group, Inc. | 5,384 | 708,319 | |||||||||
3,827,252 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
CBRE Group, Inc., Class A† | 336 | 30,751 | |||||||||
eXp World Holdings, Inc. | 1,800 | 38,106 | |||||||||
68,857 | |||||||||||
Recreational Centers — 0.0% | |||||||||||
Planet Fitness, Inc., Class A† | 1,088 | 91,914 | |||||||||
Recreational Vehicles — 0.0% | |||||||||||
Brunswick Corp. | 187 | 15,126 | |||||||||
Polaris, Inc. | 752 | 79,201 | |||||||||
94,327 | |||||||||||
Rental Auto/Equipment — 0.3% | |||||||||||
United Rentals, Inc.† | 1,527 | 542,406 | |||||||||
Resorts/Theme Parks — 0.1% | |||||||||||
Six Flags Entertainment Corp.† | 561 | 24,403 | |||||||||
Vail Resorts, Inc. | 758 | 197,285 | |||||||||
221,688 | |||||||||||
Respiratory Products — 0.6% | |||||||||||
ResMed, Inc. | 4,935 | 1,196,787 | |||||||||
Retail-Apparel/Shoe — 2.5% | |||||||||||
Burlington Stores, Inc.† | 2,627 | 478,561 | |||||||||
Lululemon Athletica, Inc.† | 12,024 | 4,391,525 | |||||||||
Ross Stores, Inc. | 1,650 | 149,259 | |||||||||
Victoria's Secret & Co.† | 819 | 42,064 | |||||||||
5,061,409 | |||||||||||
Retail-Auto Parts — 0.7% | |||||||||||
AutoZone, Inc.† | 309 | 631,775 | |||||||||
O'Reilly Automotive, Inc.† | 1,110 | 760,306 | |||||||||
1,392,081 | |||||||||||
Retail-Automobile — 0.3% | |||||||||||
CarMax, Inc.† | 1,816 | 175,208 | |||||||||
Carvana Co.† | 3,193 | 380,893 | |||||||||
Lithia Motors, Inc. | 51 | 15,306 | |||||||||
Vroom, Inc.† | 546 | 1,452 | |||||||||
572,859 | |||||||||||
Retail-Consumer Electronics — 0.0% | |||||||||||
Best Buy Co., Inc. | 1,049 | 95,354 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Casey's General Stores, Inc. | 400 | $ | 79,268 | ||||||||
Retail-Discount — 0.3% | |||||||||||
BJ's Wholesale Club Holdings, Inc.† | 5,600 | 378,616 | |||||||||
Dollar Tree, Inc.† | 500 | 80,075 | |||||||||
Ollie's Bargain Outlet Holdings, Inc.† | 1,950 | 83,772 | |||||||||
542,463 | |||||||||||
Retail-Floor Coverings — 0.6% | |||||||||||
Floor & Decor Holdings, Inc., Class A† | 15,081 | 1,221,561 | |||||||||
Retail-Gardening Products — 0.6% | |||||||||||
Tractor Supply Co. | 5,006 | 1,168,250 | |||||||||
Retail-Home Furnishings — 0.3% | |||||||||||
RH† | 672 | 219,132 | |||||||||
Williams-Sonoma, Inc. | 2,247 | 325,815 | |||||||||
544,947 | |||||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Nordstrom, Inc. | 1,769 | 47,958 | |||||||||
Retail-Misc./Diversified — 0.4% | |||||||||||
Bath & Body Works, Inc. | 2,602 | 124,376 | |||||||||
Five Below, Inc.† | 2,546 | 403,210 | |||||||||
GameStop Corp., Class A† | 1,219 | 203,061 | |||||||||
730,647 | |||||||||||
Retail-Perfume & Cosmetics — 1.6% | |||||||||||
Olaplex Holdings, Inc.† | 296 | 4,627 | |||||||||
Ulta Beauty, Inc.† | 7,964 | 3,171,424 | |||||||||
3,176,051 | |||||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
Freshpet, Inc.† | 775 | 79,546 | |||||||||
Petco Health & Wellness Co., Inc.† | 66 | 1,292 | |||||||||
80,838 | |||||||||||
Retail-Restaurants — 1.6% | |||||||||||
Chipotle Mexican Grill, Inc.† | 1,188 | 1,879,452 | |||||||||
Darden Restaurants, Inc. | 1,637 | 217,639 | |||||||||
Domino's Pizza, Inc. | 1,270 | 516,903 | |||||||||
Papa John's International, Inc. | 1,392 | 146,550 | |||||||||
Restaurant Brands International, Inc. | 3,492 | 203,898 | |||||||||
Wendy's Co. | 3,383 | 74,324 | |||||||||
Yum China Holdings, Inc. | 635 | 26,378 | |||||||||
Yum! Brands, Inc. | 2,367 | 280,560 | |||||||||
3,345,704 | |||||||||||
Schools — 0.8% | |||||||||||
2U, Inc.† | 15,545 | 206,437 | |||||||||
Bright Horizons Family Solutions, Inc.† | 2,061 | 273,474 | |||||||||
Chegg, Inc.† | 32,531 | 1,180,225 | |||||||||
1,660,136 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
Analog Devices, Inc. | 1 | 165 | |||||||||
Semiconductor Equipment — 1.5% | |||||||||||
Allegro MicroSystems, Inc.† | 762 | 21,641 | |||||||||
Azenta, Inc. | 1,145 | 94,897 | |||||||||
Entegris, Inc. | 7,337 | 963,055 | |||||||||
KLA Corp. | 420 | 153,745 |
200
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Semiconductor Equipment (continued) | |||||||||||
MKS Instruments, Inc. | 7,354 | $ | 1,103,100 | ||||||||
Teradyne, Inc. | 6,194 | 732,317 | |||||||||
3,068,755 | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 350 | 69,804 | |||||||||
Soap & Cleaning Preparation — 0.1% | |||||||||||
Church & Dwight Co., Inc. | 1,244 | 123,629 | |||||||||
Steel Pipe & Tube — 0.2% | |||||||||||
Advanced Drainage Systems, Inc. | 1,165 | 138,414 | |||||||||
Valmont Industries, Inc. | 800 | 190,880 | |||||||||
329,294 | |||||||||||
Steel-Producers — 0.1% | |||||||||||
Steel Dynamics, Inc. | 3,469 | 289,419 | |||||||||
Telecom Equipment-Fiber Optics — 0.1% | |||||||||||
Corning, Inc. | 4,885 | 180,305 | |||||||||
Telecom Services — 0.0% | |||||||||||
Switch, Inc., Class A | 2,176 | 67,064 | |||||||||
Telecommunication Equipment — 0.0% | |||||||||||
CommScope Holding Co., Inc.† | 3,810 | 30,023 | |||||||||
Television — 0.0% | |||||||||||
Nexstar Media Group, Inc., Class A | 51 | 9,612 | |||||||||
World Wrestling Entertainment, Inc., Class A | 706 | 44,083 | |||||||||
53,695 | |||||||||||
Theaters — 0.5% | |||||||||||
Live Nation Entertainment, Inc.† | 9,579 | 1,126,874 | |||||||||
Therapeutics — 0.2% | |||||||||||
Neurocrine Biosciences, Inc.† | 2,659 | 249,281 | |||||||||
Sarepta Therapeutics, Inc.† | 1,581 | 123,508 | |||||||||
372,789 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
MSA Safety, Inc. | 200 | 26,540 | |||||||||
Toys — 0.1% | |||||||||||
Mattel, Inc.† | 12,420 | 275,848 | |||||||||
Transport-Services — 0.2% | |||||||||||
C.H. Robinson Worldwide, Inc. | 483 | 52,024 | |||||||||
Expeditors International of Washington, Inc. | 3,279 | 338,262 | |||||||||
390,286 | |||||||||||
Transport-Truck — 1.0% | |||||||||||
JB Hunt Transport Services, Inc. | 2,968 | 595,945 | |||||||||
Landstar System, Inc. | 1,169 | 176,320 | |||||||||
Old Dominion Freight Line, Inc. | 3,913 | 1,168,735 | |||||||||
XPO Logistics, Inc.† | 1,575 | 114,660 | |||||||||
2,055,660 | |||||||||||
Travel Services — 0.0% | |||||||||||
Virgin Galactic Holdings, Inc.† | 3,123 | 30,855 | |||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc.† | 3,146 | 82,079 | |||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 318 | 9,654 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Web Hosting/Design — 0.1% | |||||||||||
GoDaddy, Inc., Class A† | 1,439 | $ | 120,444 | ||||||||
VeriSign, Inc.† | 372 | 82,755 | |||||||||
203,199 | |||||||||||
Wireless Equipment — 0.2% | |||||||||||
Motorola Solutions, Inc. | 1,350 | 326,970 | |||||||||
Ubiquiti, Inc. | 108 | 31,445 | |||||||||
358,415 | |||||||||||
Total Common Stocks (cost $179,875,716) | 201,481,009 | ||||||||||
CONVERTIBLE PREFERRED SECURITIES — 0.5% | |||||||||||
Advertising Services — 0.0% | |||||||||||
Nanigans, Inc., Series B†(1)(2) | 6,300 | 0 | |||||||||
Applications Software — 0.1% | |||||||||||
Tanium, Inc., Series G†(1)(2) | 32,619 | 300,747 | |||||||||
Computer Data Security — 0.1% | |||||||||||
Snyk, Ltd., Series F†(1)(2) | 7,125 | 102,204 | |||||||||
Computer Graphics — 0.0% | |||||||||||
Canva, Inc., Series A†(1)(2) | 2 | 2,730 | |||||||||
Decision Support Software — 0.2% | |||||||||||
Databricks, Inc., Series F†(1)(2) | 1,680 | 278,678 | |||||||||
Databricks, Inc., Series G†(1)(2) | 162 | 26,873 | |||||||||
Databricks, Inc., Series H†(1)(2) | 364 | 60,380 | |||||||||
365,931 | |||||||||||
E-Commerce/Services — 0.1% | |||||||||||
Rappi, Inc., Series E†(1)(2) | 1,959 | 111,134 | |||||||||
Enterprise Software/Service — 0.0% | |||||||||||
Socure, Inc. Series A†(1)(2) | 1,118 | 17,965 | |||||||||
Socure, Inc. Series A1†(1)(2) | 918 | 14,751 | |||||||||
Socure, Inc. Series B†(1)(2) | 17 | 273 | |||||||||
Socure, Inc. Series E†(1)(2) | 2,127 | 34,178 | |||||||||
67,167 | |||||||||||
Internet Application Software — 0.0% | |||||||||||
DataRobot, Inc., Series G†(1)(2) | 2,952 | 61,756 | |||||||||
Total Convertible Preferred Securities (cost $782,440) | 1,011,669 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||||||
iShares Russell Midcap Growth Index Fund (cost $617,706) | 6,200 | 623,100 |
201
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
WARRANTS — 0.0% | |||||||||||
Advertising Services — 0.0% | |||||||||||
Nanigans, Inc.†(1)(2) (cost $0) | 14,858 | $ | 0 | ||||||||
Total Long-Term Investment Securities (cost $181,275,862) | 203,115,778 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.1% | |||||||||||
Registered Investment Companies — 0.0% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(3) | 89,881 | 89,881 | |||||||||
T. Rowe Price Government Reserve Fund 0.29%(3) | 100 | 100 | |||||||||
89,981 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 0.36% due 12/29/2022(4) | $ | 100,000 | 99,072 | ||||||||
Total Short-Term Investment Securities (cost $189,712) | 189,053 | ||||||||||
REPURCHASE AGREEMENTS — 0.5% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(5) | 205,000 | 205,000 | |||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(5) | 165,000 | 165,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(5) | 145,000 | 145,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(5) | 225,000 | 225,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(5) | 215,000 | 215,000 | |||||||||
Total Repurchase Agreements (cost $955,000) | 955,000 | ||||||||||
TOTAL INVESTMENTS (cost $182,420,574)(6) | 100.0 | % | 204,259,831 | ||||||||
Other assets less liabilities | 0.0 | 22,669 | |||||||||
NET ASSETS | 100.0 | % | $ | 204,282,500 |
† Non-income producing security
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price
and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
Canva, Inc. | 08/16/2021 | 15 | $ | 25,562 | |||||||||||||||||||||||
11/04/2021 | 26 | 44,324 | |||||||||||||||||||||||||
41 | 69,886 | $ | 55,965 | $ | 1,365 | 0.03 | % | ||||||||||||||||||||
Databricks, Inc. | 07/24/2020 | 468 | 22,481 | ||||||||||||||||||||||||
08/28/2020 | 221 | 10,608 | |||||||||||||||||||||||||
689 | 33,089 | 114,291 | 166 | 0.06 | |||||||||||||||||||||||
Magic Leap, Inc., Class A | 12/28/2015 | 9 | 114,566 | 108 | 12.00 | 0.00 | |||||||||||||||||||||
Snyk, Ltd. | 06/25/2021 | 4,274 | 61,308 | 61,308 | 14.34 | 0.03 | |||||||||||||||||||||
Socure, Inc. | 12/22/2021 | 920 | 14,783 | 14,783 | 16.07 | 0.01 | |||||||||||||||||||||
Tanium, Inc., Class B | 09/24/2020 | 1,910 | 21,765 | 17,610 | 9.22 | 0.01 | |||||||||||||||||||||
Venture Global LNG, Inc., Series B | 03/08/2018 | 3 | 9,060 | 17,851 | 5,950.33 | 0.01 | |||||||||||||||||||||
Venture Global LNG, Inc., Series C | 10/16/2017 | 39 | 147,069 | ||||||||||||||||||||||||
03/09/2018 | 3 | 9,060 | |||||||||||||||||||||||||
42 | 156,129 | 249,907 | 5,950.07 | 0.12 | |||||||||||||||||||||||
Convertible Preferred Securities | |||||||||||||||||||||||||||
Canva, Inc., Series A | 11/04/2021 | 2 | 3,410 | 2,730 | 1,365.00 | 0.00 | |||||||||||||||||||||
Databricks, Inc., Series F | 10/22/2019 | 1,680 | 72,153 | 278,678 | 165.88 | 0.13 | |||||||||||||||||||||
Databricks, Inc., Series G | 02/01/2021 | 162 | 28,734 | 26,873 | 165.88 | 0.01 | |||||||||||||||||||||
Databricks, Inc., Series H | 08/31/2021 | 364 | 80,245 | 60,380 | 165.88 | 0.03 | |||||||||||||||||||||
DataRobot, Inc., Series G | 06/11/2021 | 2,952 | 80,768 | 61,756 | 20.92 | 0.03 | |||||||||||||||||||||
Nanigans, Inc., Series B | 03/16/2015 | 6,300 | 68,787 | 0 | 0.00 | 0.00 | |||||||||||||||||||||
Rappi, Inc., Series E | 09/08/2020 | 1,959 | 117,042 | 111,134 | 56.73 | 0.05 | |||||||||||||||||||||
Snyk, Ltd., Series F | 08/26/2015 | 7,125 | 102,205 | 102,204 | 14.34 | 0.05 | |||||||||||||||||||||
Socure, Inc., Series A | 12/22/2021 | 1,118 | 17,965 | 17,965 | 16.07 | 0.01 | |||||||||||||||||||||
Socure, Inc., Series A1 | 12/22/2021 | 918 | 14,751 | 14,751 | 16.07 | 0.01 | |||||||||||||||||||||
Socure, Inc., Series B | 12/22/2021 | 17 | 273 | 273 | 16.06 | 0.00 | |||||||||||||||||||||
Socure, Inc., Series E | 10/27/2021 | 2,127 | 34,178 | 34,178 | 16.07 | 0.02 | |||||||||||||||||||||
Tanium, Inc., Series G | 08/26/2015 | 32,619 | 161,931 | 300,747 | 9.22 | 0.15 | |||||||||||||||||||||
Warrants | |||||||||||||||||||||||||||
Nanigans, Inc. | 12/14/2021 | 14,858 | 0 | 0 | 0.00 | 0.00 | |||||||||||||||||||||
$ | 1,543,492 | 0.76 | % |
(3) The rate shown is the 7-day yield as of March 31, 2022.
(4) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(5) See Note 2 for details of Joint Repurchase Agreements.
(6) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
202
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
1 | Long | S&P MidCap 400 E-Mini Index | June 2022 | $ | 257,794 | $ | 268,920 | $ | 11,126 |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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: | |||||||||||||||||||
Applications Software | $ | 3,479,526 | $ | — | $ | 17,718 | $ | 3,497,244 | |||||||||||
Computer Data Security | 5,405,594 | — | 61,308 | 5,466,902 | |||||||||||||||
Computer Graphics | — | — | 55,965 | 55,965 | |||||||||||||||
Decision Support Software | 1,191,323 | — | 114,291 | 1,305,614 | |||||||||||||||
Enterprise Software/Service | 13,537,438 | — | 14,783 | 13,552,221 | |||||||||||||||
Oil Companies-Exploration & Production | 2,527,891 | — | 267,758 | 2,795,649 | |||||||||||||||
Other Industries | 174,807,414 | — | — | 174,807,414 | |||||||||||||||
Convertible Preferred Securities | — | — | 1,011,669 | 1,011,669 | |||||||||||||||
Exchange-Traded Funds | 623,100 | — | — | 623,100 | |||||||||||||||
Warrants | — | — | 0 | 0 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 89,981 | — | — | 89,981 | |||||||||||||||
U.S. Government Treasuries | — | 99,072 | — | 99,072 | |||||||||||||||
Repurchase Agreements | — | 955,000 | — | 955,000 | |||||||||||||||
Total Investments at Value | $ | 201,662,267 | $ | 1,054,072 | $ | 1,543,492 | $ | 204,259,831 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 11,126 | $ | — | $ | — | $ | 11,126 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
203
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Real Estate Investment Trusts | 8.4 | % | |||||
Electric-Integrated | 6.2 | ||||||
Oil Companies-Exploration & Production | 3.4 | ||||||
Banks-Commercial | 3.3 | ||||||
Insurance-Multi-line | 2.5 | ||||||
Banks-Fiduciary | 1.9 | ||||||
Registered Investment Companies | 1.8 | ||||||
Medical Products | 1.8 | ||||||
Chemicals-Diversified | 1.7 | ||||||
Insurance Brokers | 1.7 | ||||||
Diversified Manufacturing Operations | 1.7 | ||||||
Banks-Super Regional | 1.5 | ||||||
Medical-Wholesale Drug Distribution | 1.5 | ||||||
Insurance-Life/Health | 1.5 | ||||||
Oil-Field Services | 1.4 | ||||||
Gold Mining | 1.4 | ||||||
Investment Management/Advisor Services | 1.4 | ||||||
Food-Misc./Diversified | 1.2 | ||||||
Computer Services | 1.2 | ||||||
Medical Labs & Testing Services | 1.2 | ||||||
Dental Supplies & Equipment | 1.2 | ||||||
Agricultural Operations | 1.1 | ||||||
Pipelines | 1.1 | ||||||
Agricultural Biotech | 1.1 | ||||||
Auto-Heavy Duty Trucks | 1.0 | ||||||
Containers-Paper/Plastic | 1.0 | ||||||
Insurance-Reinsurance | 1.0 | ||||||
Insurance-Property/Casualty | 0.9 | ||||||
Building & Construction Products-Misc. | 0.9 | ||||||
Medical-Hospitals | 0.9 | ||||||
Publishing-Newspapers | 0.9 | ||||||
Electronic Components-Semiconductors | 0.8 | ||||||
Oil Refining & Marketing | 0.8 | ||||||
Non-Ferrous Metals | 0.8 | ||||||
Exchange-Traded Funds | 0.8 | ||||||
Apparel Manufacturers | 0.8 | ||||||
Food-Baking | 0.8 | ||||||
Oil Companies-Integrated | 0.8 | ||||||
Gas-Distribution | 0.7 | ||||||
Repurchase Agreements | 0.7 | ||||||
Chemicals-Specialty | 0.7 | ||||||
Aerospace/Defense-Equipment | 0.7 | ||||||
Cable/Satellite TV | 0.7 | ||||||
Building Products-Cement | 0.7 | ||||||
Food-Wholesale/Distribution | 0.7 | ||||||
Airlines | 0.6 | ||||||
Distribution/Wholesale | 0.6 | ||||||
Machinery-General Industrial | 0.6 | ||||||
Auto/Truck Parts & Equipment-Original | 0.6 | ||||||
Transport-Truck | 0.6 | ||||||
Medical-Drugs | 0.6 | ||||||
Commercial Services | 0.6 | ||||||
Electronic Measurement Instruments | 0.6 | ||||||
Aerospace/Defense | 0.5 | ||||||
Multimedia | 0.5 | ||||||
Broadcast Services/Program | 0.5 | ||||||
Retail-Discount | 0.5 | ||||||
Medical-Biomedical/Gene | 0.5 | ||||||
Building-Residential/Commercial | 0.5 | ||||||
Enterprise Software/Service | 0.5 |
Building Products-Air & Heating | 0.5 | % | |||||
Retail-Restaurants | 0.5 | ||||||
Wireless Equipment | 0.5 | ||||||
Metal-Copper | 0.5 | ||||||
Diagnostic Kits | 0.5 | ||||||
Non-Hazardous Waste Disposal | 0.5 | ||||||
Machinery-Pumps | 0.5 | ||||||
Food-Retail | 0.5 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Tools-Hand Held | 0.4 | ||||||
Food-Catering | 0.4 | ||||||
Containers-Metal/Glass | 0.4 | ||||||
Electric-Distribution | 0.4 | ||||||
Retail-Auto Parts | 0.4 | ||||||
Electronic Components-Misc. | 0.4 | ||||||
Schools | 0.4 | ||||||
Steel-Producers | 0.4 | ||||||
Finance-Consumer Loans | 0.4 | ||||||
Diagnostic Equipment | 0.4 | ||||||
Oil Field Machinery & Equipment | 0.4 | ||||||
Finance-Other Services | 0.4 | ||||||
Telecom Equipment-Fiber Optics | 0.3 | ||||||
Medical-HMO | 0.3 | ||||||
Recreational Vehicles | 0.3 | ||||||
Finance-Credit Card | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
Machinery-Electrical | 0.3 | ||||||
Silver Mining | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.3 | ||||||
Brewery | 0.3 | ||||||
Office Automation & Equipment | 0.3 | ||||||
Finance-Investment Banker/Broker | 0.3 | ||||||
Electronic Connectors | 0.3 | ||||||
Food-Confectionery | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Transport-Services | 0.3 | ||||||
Building & Construction-Misc. | 0.3 | ||||||
Building Products-Wood | 0.3 | ||||||
Precious Metals | 0.3 | ||||||
Entertainment Software | 0.3 | ||||||
Hotels/Motels | 0.2 | ||||||
Coatings/Paint | 0.2 | ||||||
Home Decoration Products | 0.2 | ||||||
Footwear & Related Apparel | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Soap & Cleaning Preparation | 0.2 | ||||||
Dialysis Centers | 0.2 | ||||||
Publishing-Books | 0.2 | ||||||
Toys | 0.2 | ||||||
Computers | 0.2 | ||||||
Agricultural Chemicals | 0.2 | ||||||
Cruise Lines | 0.2 | ||||||
Professional Sports | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Water | 0.2 | ||||||
Garden Products | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Beverages-Non-alcoholic | 0.2 | ||||||
Electric Products-Misc. | 0.2 |
204
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Computer Aided Design | 0.2 | % | |||||
Independent Power Producers | 0.2 | ||||||
Medical Information Systems | 0.2 | ||||||
Web Hosting/Design | 0.2 | ||||||
Computer Software | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Advertising Agencies | 0.1 | ||||||
Savings & Loans/Thrifts | 0.1 | ||||||
Retail-Automobile | 0.1 | ||||||
Engineering/R&D Services | 0.1 | ||||||
Internet Content-Entertainment | 0.1 | ||||||
Computers-Integrated Systems | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Semiconductor Equipment | 0.1 | ||||||
Real Estate Operations & Development | 0.1 | ||||||
Internet Financial Services | 0.1 | ||||||
Batteries/Battery Systems | 0.1 | ||||||
Computers-Memory Devices | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Finance-Auto Loans | 0.1 | ||||||
Industrial Automated/Robotic | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Disposable Medical Products | 0.1 | ||||||
Data Processing/Management | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Telephone-Integrated | 0.1 | ||||||
Applications Software | 0.1 | ||||||
Retail-Consumer Electronics | 0.1 | ||||||
Metal-Aluminum | 0.1 | ||||||
Electronic Parts Distribution | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Internet Infrastructure Software | 0.1 | ||||||
Pastoral & Agricultural | 0.1 | ||||||
Marine Services | 0.1 | ||||||
Telecommunication Equipment | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
Decision Support Software | 0.1 | ||||||
Radio | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
100.2 | % |
* Calculated as a percentage of net assets
205
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.8% | |||||||||||
Advertising Agencies — 0.1% | |||||||||||
Interpublic Group of Cos., Inc. | 4,101 | $ | 145,381 | ||||||||
Omnicom Group, Inc. | 2,166 | 183,850 | |||||||||
329,231 | |||||||||||
Aerospace/Defense — 0.5% | |||||||||||
Curtiss-Wright Corp. | 408 | 61,265 | |||||||||
Rolls-Royce Holdings PLC† | 560,711 | 737,222 | |||||||||
Spirit AeroSystems Holdings, Inc., Class A | 775 | 37,890 | |||||||||
Teledyne Technologies, Inc.† | 481 | 227,335 | |||||||||
TransDigm Group, Inc.† | 391 | 254,752 | |||||||||
1,318,464 | |||||||||||
Aerospace/Defense-Equipment — 0.7% | |||||||||||
HEICO Corp. | 318 | 48,826 | |||||||||
HEICO Corp., Class A | 558 | 70,771 | |||||||||
Hexcel Corp. | 874 | 51,977 | |||||||||
Howmet Aerospace, Inc. | 20,004 | 718,944 | |||||||||
L3Harris Technologies, Inc. | 2,943 | 731,247 | |||||||||
1,621,765 | |||||||||||
Agricultural Biotech — 1.1% | |||||||||||
Corteva, Inc. | 44,909 | 2,581,369 | |||||||||
Agricultural Chemicals — 0.2% | |||||||||||
CF Industries Holdings, Inc. | 2,237 | 230,545 | |||||||||
Mosaic Co. | 3,883 | 258,220 | |||||||||
488,765 | |||||||||||
Agricultural Operations — 1.1% | |||||||||||
Archer-Daniels-Midland Co. | 5,827 | 525,945 | |||||||||
Bunge, Ltd. | 18,716 | 2,073,920 | |||||||||
2,599,865 | |||||||||||
Airlines — 0.6% | |||||||||||
Alaska Air Group, Inc.† | 7,367 | 427,360 | |||||||||
American Airlines Group, Inc.† | 6,679 | 121,892 | |||||||||
Copa Holdings SA, Class A† | 330 | 27,601 | |||||||||
Delta Air Lines, Inc.† | 10,599 | 419,402 | |||||||||
JetBlue Airways Corp.† | 3,311 | 49,499 | |||||||||
Southwest Airlines Co.† | 6,677 | 305,807 | |||||||||
United Airlines Holdings, Inc.† | 3,383 | 156,836 | |||||||||
1,508,397 | |||||||||||
Apparel Manufacturers — 0.8% | |||||||||||
Capri Holdings, Ltd.† | 1,510 | 77,599 | |||||||||
Carter's, Inc. | 433 | 39,832 | |||||||||
Columbia Sportswear Co. | 384 | 34,764 | |||||||||
Deckers Outdoor Corp.† | 244 | 66,800 | |||||||||
Hanesbrands, Inc. | 1,459 | 21,724 | |||||||||
PVH Corp. | 4,135 | 316,782 | |||||||||
Ralph Lauren Corp. | 7,198 | 816,541 | |||||||||
Tapestry, Inc. | 2,488 | 92,429 | |||||||||
Under Armour, Inc., Class A† | 1,971 | 33,546 | |||||||||
Under Armour, Inc., Class C† | 2,138 | 33,267 | |||||||||
Urban Outfitters, Inc.† | 10,164 | 255,218 | |||||||||
VF Corp. | 1,210 | 68,801 | |||||||||
1,857,303 |
Security Description | Shares | Value (Note 2) | |||||||||
Appliances — 0.0% | |||||||||||
Whirlpool Corp. | 600 | $ | 103,668 | ||||||||
Applications Software — 0.1% | |||||||||||
C3.ai, Inc., Class A† Class A | 463 | 10,510 | |||||||||
CDK Global, Inc. | 1,033 | 50,287 | |||||||||
Concentrix Corp. | 441 | 73,453 | |||||||||
Datto Holding Corp.† | 252 | 6,733 | |||||||||
Duck Creek Technologies, Inc.† | 620 | 13,714 | |||||||||
Informatica, Inc.† Class A | 98 | 1,935 | |||||||||
Jamf Holding Corp.† | 86 | 2,994 | |||||||||
Loyalty Ventures, Inc.† | 208 | 3,438 | |||||||||
N-Able, Inc.† | 413 | 3,758 | |||||||||
Procore Technologies, Inc.† | 174 | 10,085 | |||||||||
176,907 | |||||||||||
Audio/Video Products — 0.0% | |||||||||||
Dolby Laboratories, Inc., Class A | 672 | 52,564 | |||||||||
Auto Repair Centers — 0.0% | |||||||||||
Driven Brands Holdings, Inc.† | 562 | 14,770 | |||||||||
Mister Car Wash, Inc.† | 161 | 2,381 | |||||||||
17,151 | |||||||||||
Auto-Heavy Duty Trucks — 1.0% | |||||||||||
Cummins, Inc. | 1,502 | 308,076 | |||||||||
PACCAR, Inc. | 24,131 | 2,125,217 | |||||||||
TuSimple Holdings, Inc., Class A† | 1,226 | 14,957 | |||||||||
2,448,250 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.6% | |||||||||||
Allison Transmission Holdings, Inc. | 261 | 10,247 | |||||||||
Aptiv PLC† | 5,801 | 694,438 | |||||||||
BorgWarner, Inc. | 2,506 | 97,483 | |||||||||
Gentex Corp. | 2,475 | 72,196 | |||||||||
Lear Corp. | 3,661 | 522,022 | |||||||||
QuantumScape Corp.† | 731 | 14,612 | |||||||||
1,410,998 | |||||||||||
Banks-Commercial — 3.3% | |||||||||||
Bank of Hawaii Corp. | 416 | 34,911 | |||||||||
Bank OZK | 1,243 | 53,076 | |||||||||
BOK Financial Corp. | 315 | 29,594 | |||||||||
Citizens Financial Group, Inc. | 3,659 | 165,862 | |||||||||
Commerce Bancshares, Inc. | 1,155 | 82,686 | |||||||||
Cullen/Frost Bankers, Inc. | 597 | 82,631 | |||||||||
East West Bancorp, Inc. | 6,826 | 539,391 | |||||||||
First Citizens BancShares, Inc., Class A | 127 | 84,531 | |||||||||
First Hawaiian, Inc. | 1,331 | 37,122 | |||||||||
First Horizon Corp. | 5,535 | 130,017 | |||||||||
First Republic Bank | 1,864 | 302,154 | |||||||||
FNB Corp. | 3,577 | 44,534 | |||||||||
M&T Bank Corp. | 1,342 | 227,469 | |||||||||
PacWest Bancorp | 1,213 | 52,317 | |||||||||
Pinnacle Financial Partners, Inc. | 777 | 71,546 | |||||||||
Popular, Inc. | 8,234 | 673,047 | |||||||||
Prosperity Bancshares, Inc. | 6,658 | 461,932 | |||||||||
Regions Financial Corp. | 10,060 | 223,936 |
206
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Signature Bank | 2,432 | $ | 713,768 | ||||||||
SVB Financial Group† | 1,446 | 808,965 | |||||||||
Synovus Financial Corp. | 1,406 | 68,894 | |||||||||
Umpqua Holdings Corp. | 25,723 | 485,136 | |||||||||
Webster Financial Corp. | 9,830 | 551,660 | |||||||||
Westamerica BanCorp | 12,341 | 746,630 | |||||||||
Western Alliance Bancorp | 515 | 42,652 | |||||||||
Wintrust Financial Corp. | 4,783 | 444,484 | |||||||||
Zions Bancorp NA | 12,738 | 835,103 | |||||||||
7,994,048 | |||||||||||
Banks-Fiduciary — 1.9% | |||||||||||
Northern Trust Corp. | 17,184 | 2,001,077 | |||||||||
State Street Corp. | 29,948 | 2,609,070 | |||||||||
4,610,147 | |||||||||||
Banks-Super Regional — 1.5% | |||||||||||
Comerica, Inc. | 7,532 | 681,119 | |||||||||
Fifth Third Bancorp | 44,740 | 1,925,609 | |||||||||
Huntington Bancshares, Inc. | 15,026 | 219,680 | |||||||||
KeyCorp | 37,384 | 836,654 | |||||||||
3,663,062 | |||||||||||
Batteries/Battery Systems — 0.1% | |||||||||||
Energizer Holdings, Inc. | 7,696 | 236,729 | |||||||||
Beverages-Non-alcoholic — 0.2% | |||||||||||
Coca-Cola Europacific Partners PLC | 8,382 | 407,449 | |||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
Brown-Forman Corp., Class A | 240 | 15,058 | |||||||||
Brown-Forman Corp., Class B | 967 | 64,808 | |||||||||
79,866 | |||||||||||
Brewery — 0.3% | |||||||||||
Carlsberg A/S, Class B | 4,951 | 604,489 | |||||||||
Molson Coors Beverage Co., Class B | 1,868 | 99,714 | |||||||||
704,203 | |||||||||||
Broadcast Services/Program — 0.5% | |||||||||||
Discovery, Inc., Class A† | 1,728 | 43,062 | |||||||||
Discovery, Inc., Class C† | 16,844 | 420,595 | |||||||||
Fox Corp., Class A | 15,768 | 622,047 | |||||||||
Fox Corp., Class B | 1,552 | 56,306 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series A† | 251 | 15,846 | |||||||||
Liberty Media Corp. - Liberty Formula One, Series C† | 2,074 | 144,848 | |||||||||
1,302,704 | |||||||||||
Building & Construction Products-Misc. — 0.9% | |||||||||||
Armstrong World Industries, Inc. | 3,313 | 298,203 | |||||||||
AZEK Co., Inc.† | 532 | 13,215 | |||||||||
Builders FirstSource, Inc.† | 5,700 | 367,878 | |||||||||
Fortune Brands Home & Security, Inc. | 6,411 | 476,209 | |||||||||
Hayward Holdings, Inc.† | 519 | 8,626 | |||||||||
Louisiana-Pacific Corp. | 850 | 52,802 | |||||||||
Owens Corning | 1,049 | 95,983 | |||||||||
Summit Materials, Inc., Class A† | 29,932 | 929,688 | |||||||||
2,242,604 |
Security Description | Shares | Value (Note 2) | |||||||||
Building & Construction-Misc. — 0.3% | |||||||||||
Frontdoor, Inc.† | 281 | $ | 8,388 | ||||||||
Mohawk Industries, Inc.† | 4,996 | 620,503 | |||||||||
TopBuild Corp.† | 59 | 10,702 | |||||||||
639,593 | |||||||||||
Building Products-Air & Heating — 0.5% | |||||||||||
Carrier Global Corp. | 4,766 | 218,616 | |||||||||
Johnson Controls International PLC | 13,634 | 893,981 | |||||||||
Lennox International, Inc. | 345 | 88,962 | |||||||||
1,201,559 | |||||||||||
Building Products-Cement — 0.7% | |||||||||||
Eagle Materials, Inc. | 405 | 51,986 | |||||||||
Martin Marietta Materials, Inc. | 651 | 250,563 | |||||||||
MDU Resources Group, Inc. | 2,109 | 56,205 | |||||||||
Vulcan Materials Co. | 6,850 | 1,258,345 | |||||||||
1,617,099 | |||||||||||
Building Products-Wood — 0.3% | |||||||||||
Masco Corp. | 12,336 | 629,136 | |||||||||
Building-Heavy Construction — 0.0% | |||||||||||
MasTec, Inc.† | 604 | 52,608 | |||||||||
Building-Maintenance & Services — 0.0% | |||||||||||
Rollins, Inc. | 168 | 5,888 | |||||||||
Terminix Global Holdings, Inc.† | 1,268 | 57,859 | |||||||||
63,747 | |||||||||||
Building-Mobile Home/Manufactured Housing — 0.0% | |||||||||||
Thor Industries, Inc. | 330 | 25,971 | |||||||||
Building-Residential/Commercial — 0.5% | |||||||||||
D.R. Horton, Inc. | 2,018 | 150,361 | |||||||||
Lennar Corp., Class A | 2,692 | 218,510 | |||||||||
Lennar Corp., Class B | 164 | 11,210 | |||||||||
NVR, Inc.† | 11 | 49,140 | |||||||||
PulteGroup, Inc. | 1,837 | 76,970 | |||||||||
Toll Brothers, Inc. | 15,361 | 722,274 | |||||||||
1,228,465 | |||||||||||
Cable/Satellite TV — 0.7% | |||||||||||
Altice USA, Inc., Class A† | 12,380 | 154,502 | |||||||||
Cable One, Inc. | 27 | 39,535 | |||||||||
DISH Network Corp., Class A† | 18,943 | 599,546 | |||||||||
Liberty Broadband Corp., Class A† | 246 | 32,241 | |||||||||
Liberty Broadband Corp., Class C† | 5,430 | 734,788 | |||||||||
Sirius XM Holdings, Inc. | 9,099 | 60,235 | |||||||||
1,620,847 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 676 | 44,467 | |||||||||
MGM Resorts International | 3,950 | 165,663 | |||||||||
210,130 | |||||||||||
Casino Services — 0.0% | |||||||||||
Caesars Entertainment, Inc.† | 809 | 62,584 | |||||||||
Chemicals-Diversified — 1.7% | |||||||||||
Celanese Corp. | 4,623 | 660,488 | |||||||||
DuPont de Nemours, Inc. | 9,752 | 717,552 | |||||||||
Eastman Chemical Co. | 8,531 | 955,984 | |||||||||
FMC Corp. | 4,002 | 526,543 |
207
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Chemicals-Diversified (continued) | |||||||||||
Huntsman Corp. | 2,169 | $ | 81,359 | ||||||||
LyondellBasell Industries NV, Class A | 2,384 | 245,123 | |||||||||
Olin Corp. | 1,369 | 71,571 | |||||||||
PPG Industries, Inc. | 3,327 | 436,070 | |||||||||
Westlake Chemical Corp. | 4,111 | 507,298 | |||||||||
4,201,988 | |||||||||||
Chemicals-Specialty — 0.7% | |||||||||||
Albemarle Corp. | 1,216 | 268,918 | |||||||||
Ashland Global Holdings, Inc. | 5,889 | 579,537 | |||||||||
Chemours Co. | 807 | 25,404 | |||||||||
Diversey Holdings, Ltd.† | 183 | 1,385 | |||||||||
Element Solutions, Inc. | 2,420 | 52,998 | |||||||||
International Flavors & Fragrances, Inc. | 4,894 | 642,729 | |||||||||
NewMarket Corp. | 66 | 21,409 | |||||||||
Valvoline, Inc. | 1,894 | 59,775 | |||||||||
1,652,155 | |||||||||||
Coatings/Paint — 0.2% | |||||||||||
Axalta Coating Systems, Ltd.† | 22,075 | 542,603 | |||||||||
RPM International, Inc. | 556 | 45,281 | |||||||||
587,884 | |||||||||||
Commercial Services — 0.6% | |||||||||||
Cintas Corp. | 482 | 205,038 | |||||||||
Clarivate PLC† | 4,868 | 81,588 | |||||||||
CoStar Group, Inc.† | 918 | 61,148 | |||||||||
Dun & Bradstreet Holdings, Inc.† | 17,105 | 299,680 | |||||||||
GXO Logistics, Inc.† | 145 | 10,344 | |||||||||
Legalzoom.com, Inc.† | 403 | 5,698 | |||||||||
Nielsen Holdings PLC | 3,739 | 101,850 | |||||||||
Quanta Services, Inc. | 4,527 | 595,799 | |||||||||
1,361,145 | |||||||||||
Commercial Services-Finance — 0.4% | |||||||||||
Equifax, Inc. | 784 | 185,886 | |||||||||
Euronet Worldwide, Inc.† | 155 | 20,173 | |||||||||
FleetCor Technologies, Inc.† | 641 | 159,648 | |||||||||
Global Payments, Inc. | 4,309 | 589,644 | |||||||||
H&R Block, Inc. | 336 | 8,749 | |||||||||
Morningstar, Inc. | 23 | 6,283 | |||||||||
Paysafe, Ltd.† | 3,752 | 12,719 | |||||||||
StoneCo, Ltd., Class A† | 160 | 1,872 | |||||||||
TransUnion | 635 | 65,621 | |||||||||
WEX, Inc.† | 154 | 27,481 | |||||||||
1,078,076 | |||||||||||
Computer Aided Design — 0.2% | |||||||||||
ANSYS, Inc.† | 532 | 168,990 | |||||||||
Synopsys, Inc.† | 581 | 193,630 | |||||||||
362,620 | |||||||||||
Computer Services — 1.2% | |||||||||||
Amdocs, Ltd. | 9,635 | 792,094 | |||||||||
CACI International, Inc., Class A† | 243 | 73,206 | |||||||||
DXC Technology Co.† | 2,549 | 83,174 | |||||||||
Genpact, Ltd. | 1,820 | 79,188 | |||||||||
KBR, Inc. | 18,184 | 995,210 | |||||||||
Leidos Holdings, Inc. | 6,903 | 745,662 |
Security Description | Shares | Value (Note 2) | |||||||||
Computer Services (continued) | |||||||||||
Science Applications International Corp. | 595 | $ | 54,841 | ||||||||
Thoughtworks Holding, Inc.† | 288 | 5,993 | |||||||||
2,829,368 | |||||||||||
Computer Software — 0.1% | |||||||||||
Akamai Technologies, Inc.† | 1,682 | 200,814 | |||||||||
Citrix Systems, Inc. | 834 | 84,151 | |||||||||
Cloudflare, Inc., Class A† | 156 | 18,673 | |||||||||
Dynatrace, Inc.† | 123 | 5,793 | |||||||||
Fastly, Inc., Class A† | 1,106 | 19,222 | |||||||||
SolarWinds Corp. | 365 | 4,858 | |||||||||
Teradata Corp.† | 165 | 8,133 | |||||||||
341,644 | |||||||||||
Computers — 0.2% | |||||||||||
Hewlett Packard Enterprise Co. | 13,604 | 227,323 | |||||||||
HP, Inc. | 7,404 | 268,765 | |||||||||
496,088 | |||||||||||
Computers-Integrated Systems — 0.1% | |||||||||||
NCR Corp.† | 7,010 | 281,732 | |||||||||
Computers-Memory Devices — 0.1% | |||||||||||
NetApp, Inc. | 785 | 65,155 | |||||||||
Pure Storage, Inc., Class A† | 183 | 6,462 | |||||||||
Western Digital Corp.† | 3,266 | 162,157 | |||||||||
233,774 | |||||||||||
Computers-Other — 0.0% | |||||||||||
Lumentum Holdings, Inc.† | 758 | 73,981 | |||||||||
Consulting Services — 0.1% | |||||||||||
FTI Consulting, Inc.† | 351 | 55,184 | |||||||||
Verisk Analytics, Inc. | 603 | 129,422 | |||||||||
184,606 | |||||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Clorox Co. | 244 | 33,923 | |||||||||
Kimberly-Clark Corp. | 4,563 | 561,979 | |||||||||
Reynolds Consumer Products, Inc. | 568 | 16,665 | |||||||||
Spectrum Brands Holdings, Inc. | 419 | 37,174 | |||||||||
649,741 | |||||||||||
Containers-Metal/Glass — 0.4% | |||||||||||
Ardagh Group SA | 205 | 4,167 | |||||||||
Ball Corp. | 2,337 | 210,330 | |||||||||
Crown Holdings, Inc. | 6,070 | 759,296 | |||||||||
Silgan Holdings, Inc. | 876 | 40,497 | |||||||||
1,014,290 | |||||||||||
Containers-Paper/Plastic — 1.0% | |||||||||||
Amcor PLC | 15,829 | 179,343 | |||||||||
AptarGroup, Inc. | 687 | 80,722 | |||||||||
Ardagh Metal Packaging SA† | 1,149 | 9,341 | |||||||||
Berry Global Group, Inc.† | 10,653 | 617,448 | |||||||||
Graphic Packaging Holding Co. | 30,996 | 621,160 | |||||||||
Packaging Corp. of America | 981 | 153,144 | |||||||||
Sealed Air Corp. | 709 | 47,475 | |||||||||
Sonoco Products Co. | 1,026 | 64,186 | |||||||||
WestRock Co. | 13,473 | 633,635 | |||||||||
2,406,454 |
208
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Coty, Inc., Class A† | 3,656 | $ | 32,867 | ||||||||
Cruise Lines — 0.2% | |||||||||||
Carnival Corp.† | 9,030 | 182,587 | |||||||||
Norwegian Cruise Line Holdings, Ltd.† | 3,863 | 84,522 | |||||||||
Royal Caribbean Cruises, Ltd.† | 2,293 | 192,108 | |||||||||
459,217 | |||||||||||
Data Processing/Management — 0.1% | |||||||||||
Broadridge Financial Solutions, Inc. | 111 | 17,284 | |||||||||
Jack Henry & Associates, Inc. | 560 | 110,348 | |||||||||
Paychex, Inc. | 431 | 58,818 | |||||||||
186,450 | |||||||||||
Decision Support Software — 0.1% | |||||||||||
MSCI, Inc. | 241 | 121,194 | |||||||||
Dental Supplies & Equipment — 1.2% | |||||||||||
DENTSPLY SIRONA, Inc. | 31,412 | 1,546,099 | |||||||||
Patterson Cos., Inc. | 38,651 | 1,251,133 | |||||||||
2,797,232 | |||||||||||
Diagnostic Equipment — 0.4% | |||||||||||
Adaptive Biotechnologies Corp.† | 124 | 1,721 | |||||||||
PerkinElmer, Inc. | 5,152 | 898,818 | |||||||||
Repligen Corp.† | 33 | 6,207 | |||||||||
Waters Corp.† | 44 | 13,657 | |||||||||
920,403 | |||||||||||
Diagnostic Kits — 0.5% | |||||||||||
Exact Sciences Corp.† | 136 | 9,509 | |||||||||
Hologic, Inc.† | 13,124 | 1,008,186 | |||||||||
Natera, Inc.† | 59 | 2,400 | |||||||||
QIAGEN NV† | 2,375 | 116,375 | |||||||||
Quidel Corp.† | 385 | 43,297 | |||||||||
1,179,767 | |||||||||||
Dialysis Centers — 0.2% | |||||||||||
DaVita, Inc.† | 198 | 22,396 | |||||||||
Fresenius SE & Co. KGaA | 13,676 | 503,224 | |||||||||
525,620 | |||||||||||
Disposable Medical Products — 0.1% | |||||||||||
ICU Medical, Inc.† | 208 | 46,309 | |||||||||
Teleflex, Inc. | 403 | 142,997 | |||||||||
189,306 | |||||||||||
Distribution/Wholesale — 0.6% | |||||||||||
Core & Main, Inc., Class A† | 285 | 6,894 | |||||||||
Fastenal Co. | 679 | 40,333 | |||||||||
Leslie's, Inc.† | 189 | 3,659 | |||||||||
LKQ Corp. | 20,131 | 914,149 | |||||||||
SiteOne Landscape Supply, Inc.† | 221 | 35,733 | |||||||||
Univar Solutions, Inc.† | 8,802 | 282,896 | |||||||||
Watsco, Inc. | 342 | 104,187 | |||||||||
WW Grainger, Inc. | 82 | 42,295 | |||||||||
1,430,146 |
Security Description | Shares | Value (Note 2) | |||||||||
Diversified Manufacturing Operations — 1.7% | |||||||||||
A.O. Smith Corp. | 1,353 | $ | 86,443 | ||||||||
Carlisle Cos., Inc. | 332 | 81,645 | |||||||||
Eaton Corp. PLC | 5,552 | 842,572 | |||||||||
ITT, Inc. | 5,591 | 420,499 | |||||||||
Parker-Hannifin Corp. | 1,123 | 318,663 | |||||||||
Textron, Inc. | 28,035 | 2,085,243 | |||||||||
Trane Technologies PLC | 1,251 | 191,028 | |||||||||
4,026,093 | |||||||||||
E-Commerce/Products — 0.0% | |||||||||||
Figs, Inc., Class A† | 592 | 12,740 | |||||||||
Wayfair, Inc., Class A† | 355 | 39,327 | |||||||||
52,067 | |||||||||||
E-Commerce/Services — 0.0% | |||||||||||
DoorDash, Inc., Class A† | 184 | 21,563 | |||||||||
Opendoor Technologies, Inc.† | 3,810 | 32,957 | |||||||||
TripAdvisor, Inc.† | 402 | 10,902 | |||||||||
65,422 | |||||||||||
Electric Products-Misc. — 0.2% | |||||||||||
AMETEK, Inc. | 2,413 | 321,363 | |||||||||
Littelfuse, Inc. | 250 | 62,353 | |||||||||
383,716 | |||||||||||
Electric-Distribution — 0.4% | |||||||||||
Consolidated Edison, Inc. | 3,705 | 350,789 | |||||||||
Sempra Energy | 3,882 | 652,642 | |||||||||
1,003,431 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Brookfield Renewable Corp., Class A | 1,001 | 43,844 | |||||||||
Electric-Integrated — 6.2% | |||||||||||
AES Corp. | 35,281 | 907,780 | |||||||||
Alliant Energy Corp. | 2,618 | 163,573 | |||||||||
Ameren Corp. | 8,290 | 777,270 | |||||||||
Avangrid, Inc. | 597 | 27,904 | |||||||||
CenterPoint Energy, Inc. | 50,245 | 1,539,507 | |||||||||
CMS Energy Corp. | 12,663 | 885,650 | |||||||||
DTE Energy Co. | 2,019 | 266,932 | |||||||||
Edison International | 10,115 | 709,061 | |||||||||
Entergy Corp. | 2,097 | 244,825 | |||||||||
Evergy, Inc. | 2,393 | 163,538 | |||||||||
Eversource Energy | 9,878 | 871,141 | |||||||||
FirstEnergy Corp. | 56,997 | 2,613,882 | |||||||||
Hawaiian Electric Industries, Inc. | 1,103 | 46,668 | |||||||||
IDACORP, Inc. | 526 | 60,679 | |||||||||
OGE Energy Corp. | 2,088 | 85,149 | |||||||||
PG&E Corp.† | 234,618 | 2,801,339 | |||||||||
Pinnacle West Capital Corp. | 8,508 | 664,475 | |||||||||
PPL Corp. | 7,869 | 224,739 | |||||||||
Public Service Enterprise Group, Inc. | 16,208 | 1,134,560 | |||||||||
WEC Energy Group, Inc. | 3,303 | 329,672 | |||||||||
Xcel Energy, Inc. | 5,635 | 406,678 | |||||||||
14,925,022 | |||||||||||
Electronic Components-Misc. — 0.4% | |||||||||||
Garmin, Ltd. | 1,584 | 187,878 | |||||||||
Hubbell, Inc. | 566 | 104,014 |
209
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Misc. (continued) | |||||||||||
Jabil, Inc. | 304 | $ | 18,766 | ||||||||
nVent Electric PLC | 1,742 | 60,587 | |||||||||
Sensata Technologies Holding PLC† | 12,002 | 610,301 | |||||||||
981,546 | |||||||||||
Electronic Components-Semiconductors — 0.8% | |||||||||||
GlobalFoundries, Inc.† | 260 | 16,229 | |||||||||
IPG Photonics Corp.† | 351 | 38,526 | |||||||||
Marvell Technology, Inc. | 8,826 | 632,913 | |||||||||
Microchip Technology, Inc. | 901 | 67,701 | |||||||||
ON Semiconductor Corp.† | 13,025 | 815,495 | |||||||||
Qorvo, Inc.† | 1,132 | 140,481 | |||||||||
Skyworks Solutions, Inc. | 911 | 121,418 | |||||||||
Wolfspeed, Inc.† | 1,206 | 137,315 | |||||||||
1,970,078 | |||||||||||
Electronic Connectors — 0.3% | |||||||||||
Amphenol Corp., Class A | 1,766 | 133,068 | |||||||||
TE Connectivity, Ltd. | 3,984 | 521,824 | |||||||||
654,892 | |||||||||||
Electronic Measurement Instruments — 0.6% | |||||||||||
Agilent Technologies, Inc. | 326 | 43,139 | |||||||||
Fortive Corp. | 3,419 | 208,320 | |||||||||
Keysight Technologies, Inc.† | 1,069 | 168,870 | |||||||||
National Instruments Corp. | 17,294 | 701,963 | |||||||||
Trimble, Inc.† | 2,620 | 189,007 | |||||||||
Vontier Corp. | 812 | 20,617 | |||||||||
1,331,916 | |||||||||||
Electronic Parts Distribution — 0.1% | |||||||||||
Arrow Electronics, Inc.† | 705 | 83,634 | |||||||||
Avnet, Inc. | 1,037 | 42,092 | |||||||||
SYNNEX Corp. | 435 | 44,896 | |||||||||
170,622 | |||||||||||
Electronic Security Devices — 0.0% | |||||||||||
Allegion PLC | 224 | 24,591 | |||||||||
Electronics-Military — 0.0% | |||||||||||
Mercury Systems, Inc.† | 586 | 37,768 | |||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
First Solar, Inc.† | 1,109 | 92,868 | |||||||||
Fluence Energy, Inc.† | 221 | 2,897 | |||||||||
Shoals Technologies Group, Inc., Class A† | 1,092 | 18,608 | |||||||||
Sunrun, Inc.† | 2,117 | 64,293 | |||||||||
178,666 | |||||||||||
Engineering/R&D Services — 0.1% | |||||||||||
AECOM | 1,399 | 107,457 | |||||||||
Jacobs Engineering Group, Inc. | 1,352 | 186,319 | |||||||||
293,776 | |||||||||||
Enterprise Software/Service — 0.5% | |||||||||||
Black Knight, Inc.† | 8,595 | 498,424 | |||||||||
Ceridian HCM Holding, Inc.† | 1,370 | 93,653 | |||||||||
Guidewire Software, Inc.† | 878 | 83,076 | |||||||||
Manhattan Associates, Inc.† | 309 | 42,861 | |||||||||
Paycor HCM, Inc.† | 137 | 3,988 |
Security Description | Shares | Value (Note 2) | |||||||||
Enterprise Software/Service (continued) | |||||||||||
Pegasystems, Inc. | 24 | $ | 1,936 | ||||||||
SS&C Technologies Holdings, Inc. | 2,345 | 175,922 | |||||||||
Tyler Technologies, Inc.† | 56 | 24,914 | |||||||||
Verint Systems, Inc.† | 5,382 | 278,250 | |||||||||
1,203,024 | |||||||||||
Entertainment Software — 0.3% | |||||||||||
Electronic Arts, Inc. | 3,201 | 404,958 | |||||||||
Take-Two Interactive Software, Inc.† | 958 | 147,283 | |||||||||
Zynga, Inc., Class A† | 5,633 | 52,049 | |||||||||
604,290 | |||||||||||
Filtration/Separation Products — 0.0% | |||||||||||
Donaldson Co., Inc. | 1,133 | 58,837 | |||||||||
Finance-Auto Loans — 0.1% | |||||||||||
Ally Financial, Inc. | 3,534 | 153,658 | |||||||||
Credit Acceptance Corp.† | 76 | 41,828 | |||||||||
195,486 | |||||||||||
Finance-Consumer Loans — 0.4% | |||||||||||
OneMain Holdings, Inc. | 1,144 | 54,237 | |||||||||
SLM Corp. | 38,999 | 716,022 | |||||||||
Synchrony Financial | 4,425 | 154,034 | |||||||||
924,293 | |||||||||||
Finance-Credit Card — 0.3% | |||||||||||
Bread Financial Holdings, Inc. | 520 | 29,198 | |||||||||
Discover Financial Services | 6,589 | 726,042 | |||||||||
Western Union Co. | 3,090 | 57,907 | |||||||||
813,147 | |||||||||||
Finance-Investment Banker/Broker — 0.3% | |||||||||||
Evercore, Inc., Class A | 398 | 44,305 | |||||||||
Interactive Brokers Group, Inc., Class A | 840 | 55,365 | |||||||||
Jefferies Financial Group, Inc. | 2,241 | 73,617 | |||||||||
Lazard, Ltd., Class A | 11,160 | 385,020 | |||||||||
Tradeweb Markets, Inc., Class A | 1,098 | 96,481 | |||||||||
Virtu Financial, Inc., Class A | 917 | 34,131 | |||||||||
688,919 | |||||||||||
Finance-Leasing Companies — 0.0% | |||||||||||
Air Lease Corp. | 1,120 | 50,008 | |||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
UWM Holdings Corp. | 492 | 2,229 | |||||||||
Finance-Other Services — 0.4% | |||||||||||
Cboe Global Markets, Inc. | 4,942 | 565,464 | |||||||||
Nasdaq, Inc. | 1,217 | 216,869 | |||||||||
SEI Investments Co. | 1,118 | 67,315 | |||||||||
849,648 | |||||||||||
Financial Guarantee Insurance — 0.0% | |||||||||||
Assured Guaranty, Ltd. | 705 | 44,880 | |||||||||
MGIC Investment Corp. | 3,337 | 45,217 | |||||||||
90,097 | |||||||||||
Food-Baking — 0.8% | |||||||||||
Flowers Foods, Inc. | 71,350 | 1,834,408 |
210
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Catering — 0.4% | |||||||||||
Aramark | 17,080 | $ | 642,208 | ||||||||
Compass Group PLC | 18,227 | 392,811 | |||||||||
1,035,019 | |||||||||||
Food-Confectionery — 0.3% | |||||||||||
Hershey Co. | 217 | 47,009 | |||||||||
J.M. Smucker Co. | 4,459 | 603,793 | |||||||||
650,802 | |||||||||||
Food-Flour & Grain — 0.0% | |||||||||||
Seaboard Corp. | 3 | 12,616 | |||||||||
Food-Meat Products — 0.2% | |||||||||||
Hormel Foods Corp. | 2,959 | 152,507 | |||||||||
Tyson Foods, Inc., Class A | 3,006 | 269,428 | |||||||||
421,935 | |||||||||||
Food-Misc./Diversified — 1.2% | |||||||||||
Beyond Meat, Inc.† | 74 | 3,575 | |||||||||
Campbell Soup Co. | 23,335 | 1,040,041 | |||||||||
Conagra Brands, Inc. | 4,902 | 164,560 | |||||||||
Hain Celestial Group, Inc.† | 922 | 31,717 | |||||||||
Ingredion, Inc. | 6,261 | 545,646 | |||||||||
Kellogg Co. | 9,268 | 597,693 | |||||||||
Kraft Heinz Co. | 2,071 | 81,577 | |||||||||
Lamb Weston Holdings, Inc. | 1,075 | 64,403 | |||||||||
McCormick & Co., Inc. | 2,611 | 260,578 | |||||||||
Post Holdings, Inc.† | 600 | 41,556 | |||||||||
2,831,346 | |||||||||||
Food-Retail — 0.5% | |||||||||||
Albertsons Cos., Inc., Class A | 19,880 | 661,010 | |||||||||
Grocery Outlet Holding Corp.† | 914 | 29,961 | |||||||||
Kroger Co. | 7,651 | 438,938 | |||||||||
1,129,909 | |||||||||||
Food-Wholesale/Distribution — 0.7% | |||||||||||
Performance Food Group Co.† | 6,481 | 329,948 | |||||||||
Sysco Corp. | 14,074 | 1,149,142 | |||||||||
US Foods Holding Corp.† | 2,311 | 86,963 | |||||||||
1,566,053 | |||||||||||
Footwear & Related Apparel — 0.2% | |||||||||||
Skechers U.S.A., Inc., Class A† | 13,884 | 565,912 | |||||||||
Funeral Services & Related Items — 0.0% | |||||||||||
Service Corp. International | 1,679 | 110,512 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
International Game Technology PLC | 11,347 | 280,044 | |||||||||
Garden Products — 0.2% | |||||||||||
Scotts Miracle-Gro Co. | 3,500 | 430,360 | |||||||||
Gas-Distribution — 0.7% | |||||||||||
Atmos Energy Corp. | 4,478 | 535,076 | |||||||||
National Fuel Gas Co. | 13,905 | 955,274 | |||||||||
NiSource, Inc. | 4,098 | 130,316 | |||||||||
UGI Corp. | 2,176 | 78,815 | |||||||||
1,699,481 |
Security Description | Shares | Value (Note 2) | |||||||||
Gold Mining — 1.4% | |||||||||||
AngloGold Ashanti, Ltd. ADR | 33,855 | $ | 802,025 | ||||||||
Centerra Gold, Inc. | 8,745 | 85,970 | |||||||||
Franco-Nevada Corp. | 11,825 | 1,881,747 | |||||||||
Gold Fields, Ltd. ADR | 35,380 | 546,975 | |||||||||
Royal Gold, Inc. | 685 | 96,777 | |||||||||
3,413,494 | |||||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Clean Harbors, Inc.† | 530 | 59,169 | |||||||||
Stericycle, Inc.† | 957 | 56,387 | |||||||||
115,556 | |||||||||||
Healthcare Safety Devices — 0.0% | |||||||||||
Tandem Diabetes Care, Inc.† | 39 | 4,535 | |||||||||
Home Decoration Products — 0.2% | |||||||||||
Newell Brands, Inc. | 27,365 | 585,885 | |||||||||
Home Furnishings — 0.0% | |||||||||||
Leggett & Platt, Inc. | 1,391 | 48,407 | |||||||||
Hotels/Motels — 0.2% | |||||||||||
Hilton Worldwide Holdings, Inc.† | 946 | 143,546 | |||||||||
Hyatt Hotels Corp., Class A† | 4,208 | 401,654 | |||||||||
Travel & Leisure Co. | 297 | 17,208 | |||||||||
Wyndham Hotels & Resorts, Inc. | 354 | 29,980 | |||||||||
592,388 | |||||||||||
Human Resources — 0.0% | |||||||||||
ManpowerGroup, Inc. | 568 | 53,347 | |||||||||
Robert Half International, Inc. | 140 | 15,985 | |||||||||
69,332 | |||||||||||
Independent Power Producers — 0.2% | |||||||||||
NRG Energy, Inc. | 1,390 | 53,320 | |||||||||
Vistra Corp. | 13,279 | 308,737 | |||||||||
362,057 | |||||||||||
Industrial Automated/Robotic — 0.1% | |||||||||||
Enovis Corp.† | 1,455 | 57,895 | |||||||||
Rockwell Automation, Inc. | 477 | 133,574 | |||||||||
191,469 | |||||||||||
Instruments-Controls — 0.0% | |||||||||||
Woodward, Inc. | 645 | 80,567 | |||||||||
Insurance Brokers — 1.7% | |||||||||||
Arthur J. Gallagher & Co. | 7,251 | 1,266,025 | |||||||||
Brown & Brown, Inc. | 19,774 | 1,429,067 | |||||||||
Marsh & McLennan Cos., Inc. | 2,632 | 448,545 | |||||||||
Willis Towers Watson PLC | 4,240 | 1,001,573 | |||||||||
4,145,210 | |||||||||||
Insurance-Life/Health — 1.5% | |||||||||||
Aflac, Inc. | 6,744 | 434,246 | |||||||||
Brighthouse Financial, Inc.† | 10,333 | 533,803 | |||||||||
Equitable Holdings, Inc. | 25,811 | 797,818 | |||||||||
Globe Life, Inc. | 1,048 | 105,429 | |||||||||
GoHealth, Inc., Class A† | 72 | 85 | |||||||||
Jackson Financial, Inc., Class A | 9,200 | 406,916 | |||||||||
Lincoln National Corp. | 1,596 | 104,315 | |||||||||
Primerica, Inc. | 410 | 56,096 | |||||||||
Principal Financial Group, Inc. | 2,700 | 198,207 |
211
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Life/Health (continued) | |||||||||||
Prudential Financial, Inc. | 3,960 | $ | 467,953 | ||||||||
Unum Group | 2,132 | 67,179 | |||||||||
Voya Financial, Inc. | 6,529 | 433,199 | |||||||||
3,605,246 | |||||||||||
Insurance-Multi-line — 2.5% | |||||||||||
American Financial Group, Inc. | 709 | 103,245 | |||||||||
Cincinnati Financial Corp. | 3,973 | 540,169 | |||||||||
CNA Financial Corp. | 20,217 | 982,950 | |||||||||
Hartford Financial Services Group, Inc. | 22,408 | 1,609,118 | |||||||||
Kemper Corp. | 14,027 | 793,087 | |||||||||
Loews Corp. | 31,661 | 2,052,266 | |||||||||
6,080,835 | |||||||||||
Insurance-Property/Casualty — 0.9% | |||||||||||
Alleghany Corp.† | 124 | 105,028 | |||||||||
Arch Capital Group, Ltd.† | 2,960 | 143,323 | |||||||||
Assurant, Inc. | 4,762 | 865,875 | |||||||||
Erie Indemnity Co., Class A | 81 | 14,267 | |||||||||
Fidelity National Financial, Inc. | 2,854 | 139,389 | |||||||||
First American Financial Corp. | 1,114 | 72,210 | |||||||||
Hanover Insurance Group, Inc. | 3,037 | 454,092 | |||||||||
Lemonade, Inc.† | 358 | 9,441 | |||||||||
Markel Corp.† | 118 | 174,078 | |||||||||
Mercury General Corp. | 278 | 15,290 | |||||||||
Old Republic International Corp. | 2,928 | 75,747 | |||||||||
White Mountains Insurance Group, Ltd. | 31 | 35,223 | |||||||||
WR Berkley Corp. | 2,166 | 144,234 | |||||||||
2,248,197 | |||||||||||
Insurance-Reinsurance — 1.0% | |||||||||||
Axis Capital Holdings, Ltd. | 810 | 48,981 | |||||||||
Everest Re Group, Ltd. | 2,645 | 797,150 | |||||||||
Reinsurance Group of America, Inc. | 4,334 | 474,399 | |||||||||
RenaissanceRe Holdings, Ltd. | 6,115 | 969,289 | |||||||||
2,289,819 | |||||||||||
Internet Content-Entertainment — 0.1% | |||||||||||
Twitter, Inc.† | 7,306 | 282,669 | |||||||||
Internet Content-Information/News — 0.0% | |||||||||||
IAC/InterActiveCorp† | 800 | 80,224 | |||||||||
Vimeo, Inc.† | 120 | 1,426 | |||||||||
81,650 | |||||||||||
Internet Financial Services — 0.1% | |||||||||||
Open Lending Corp., Class A† | 13,400 | 253,394 | |||||||||
Internet Infrastructure Software — 0.1% | |||||||||||
F5, Inc.† | 630 | 131,638 | |||||||||
Internet Security — 0.1% | |||||||||||
Mandiant, Inc.† | 1,733 | 38,663 | |||||||||
NortonLifeLock, Inc. | 4,227 | 112,100 | |||||||||
150,763 | |||||||||||
Investment Companies — 0.3% | |||||||||||
Groupe Bruxelles Lambert SA | 7,548 | 782,764 |
Security Description | Shares | Value (Note 2) | |||||||||
Investment Management/Advisor Services — 1.4% | |||||||||||
Affiliated Managers Group, Inc. | 424 | $ | 59,763 | ||||||||
Ameriprise Financial, Inc. | 516 | 154,986 | |||||||||
Apollo Global Management, Inc. | 14,671 | 909,455 | |||||||||
Franklin Resources, Inc. | 3,025 | 84,458 | |||||||||
Invesco, Ltd. | 19,460 | 448,748 | |||||||||
Janus Henderson Group PLC | 1,769 | 61,950 | |||||||||
Raymond James Financial, Inc. | 9,322 | 1,024,581 | |||||||||
Stifel Financial Corp. | 1,067 | 72,449 | |||||||||
T. Rowe Price Group, Inc. | 1,594 | 240,997 | |||||||||
TPG, Inc.† | 10,115 | 304,866 | |||||||||
3,362,253 | |||||||||||
Lasers-System/Components — 0.0% | |||||||||||
Coherent, Inc.† | 26 | 7,107 | |||||||||
Lighting Products & Systems — 0.0% | |||||||||||
Acuity Brands, Inc. | 362 | 68,527 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Oshkosh Corp. | 694 | 69,851 | |||||||||
Machinery-Electrical — 0.3% | |||||||||||
BWX Technologies, Inc. | 238 | 12,819 | |||||||||
Regal Rexnord Corp. | 5,129 | 763,092 | |||||||||
775,911 | |||||||||||
Machinery-Farming — 0.1% | |||||||||||
AGCO Corp. | 2,262 | 330,320 | |||||||||
Toro Co. | 59 | 5,044 | |||||||||
335,364 | |||||||||||
Machinery-General Industrial — 0.6% | |||||||||||
Gates Industrial Corp. PLC† | 995 | 14,985 | |||||||||
IDEX Corp. | 795 | 152,425 | |||||||||
Middleby Corp.† | 403 | 66,068 | |||||||||
Nordson Corp. | 503 | 114,221 | |||||||||
Otis Worldwide Corp. | 4,452 | 342,581 | |||||||||
Westinghouse Air Brake Technologies Corp. | 7,652 | 735,893 | |||||||||
�� | 1,426,173 | ||||||||||
Machinery-Pumps — 0.5% | |||||||||||
Dover Corp. | 1,502 | 235,664 | |||||||||
Flowserve Corp. | 1,360 | 48,824 | |||||||||
Graco, Inc. | 666 | 46,433 | |||||||||
Ingersoll Rand, Inc. | 15,000 | 755,250 | |||||||||
Xylem, Inc. | 639 | 54,481 | |||||||||
1,140,652 | |||||||||||
Marine Services — 0.1% | |||||||||||
SEACOR Marine Holdings, Inc.† | 15,857 | 127,966 | |||||||||
Medical Information Systems — 0.2% | |||||||||||
Cerner Corp. | 3,059 | 286,200 | |||||||||
Change Healthcare, Inc.† | 2,617 | 57,051 | |||||||||
Definitive Healthcare Corp.† | 126 | 3,106 | |||||||||
Signify Health, Inc., Class A† | 670 | 12,160 | |||||||||
358,517 | |||||||||||
Medical Instruments — 0.0% | |||||||||||
Integra LifeSciences Holdings Corp.† | 756 | 48,581 |
212
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical Labs & Testing Services — 1.2% | |||||||||||
Catalent, Inc.† | 1,362 | $ | 151,046 | ||||||||
Charles River Laboratories International, Inc.† | 33 | 9,371 | |||||||||
ICON PLC† | 2,208 | 537,030 | |||||||||
IQVIA Holdings, Inc.† | 1,010 | 233,522 | |||||||||
Laboratory Corp. of America Holdings† | 3,123 | 823,410 | |||||||||
Quest Diagnostics, Inc. | 4,964 | 679,373 | |||||||||
Syneos Health, Inc.† | 4,689 | 379,574 | |||||||||
2,813,326 | |||||||||||
Medical Products — 1.8% | |||||||||||
Baxter International, Inc. | 8,945 | 693,595 | |||||||||
Cooper Cos., Inc. | 506 | 211,300 | |||||||||
Envista Holdings Corp.† | 1,683 | 81,979 | |||||||||
Globus Medical, Inc., Class A† | 778 | 57,401 | |||||||||
Henry Schein, Inc.† | 1,452 | 126,600 | |||||||||
Koninklijke Philips NV | 33,151 | 1,014,188 | |||||||||
Masimo Corp.† | 144 | 20,958 | |||||||||
STERIS PLC | 771 | 186,405 | |||||||||
Zimmer Biomet Holdings, Inc. | 14,304 | 1,829,482 | |||||||||
Zimvie, Inc.† | 1,979 | 45,200 | |||||||||
4,267,108 | |||||||||||
Medical-Biomedical/Gene — 0.5% | |||||||||||
ACADIA Pharmaceuticals, Inc.† | 3,195 | 77,383 | |||||||||
Bio-Rad Laboratories, Inc., Class A† | 222 | 125,037 | |||||||||
BioMarin Pharmaceutical, Inc.† | 5,195 | 400,534 | |||||||||
Certara, Inc.† | 514 | 11,041 | |||||||||
Exelixis, Inc.† | 466 | 10,564 | |||||||||
Horizon Therapeutics PLC† | 1,857 | 195,375 | |||||||||
Incyte Corp.† | 2,327 | 184,810 | |||||||||
Ionis Pharmaceuticals, Inc.† | 116 | 4,297 | |||||||||
Iovance Biotherapeutics, Inc.† | 1,085 | 18,065 | |||||||||
Mirati Therapeutics, Inc.† | 73 | 6,002 | |||||||||
Nektar Therapeutics† | 1,879 | 10,128 | |||||||||
Royalty Pharma PLC, Class A | 1,388 | 54,076 | |||||||||
Sage Therapeutics, Inc.† | 537 | 17,775 | |||||||||
Seagen, Inc.† | 151 | 21,752 | |||||||||
Ultragenyx Pharmaceutical, Inc.† | 174 | 12,636 | |||||||||
United Therapeutics Corp.† | 462 | 82,887 | |||||||||
1,232,362 | |||||||||||
Medical-Drugs — 0.6% | |||||||||||
Alkermes PLC† | 19,257 | 506,652 | |||||||||
Galapagos NV† | 4,689 | 290,953 | |||||||||
Jazz Pharmaceuticals PLC† | 627 | 97,605 | |||||||||
Organon & Co. | 14,159 | 494,574 | |||||||||
1,389,784 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Perrigo Co. PLC | 1,397 | 53,687 | |||||||||
Viatris, Inc. | 12,646 | 137,588 | |||||||||
191,275 | |||||||||||
Medical-HMO — 0.3% | |||||||||||
Centene Corp.† | 7,702 | 648,431 | |||||||||
Molina Healthcare, Inc.† | 512 | 170,798 | |||||||||
819,229 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Hospitals — 0.9% | |||||||||||
Acadia Healthcare Co., Inc.† | 925 | $ | 60,615 | ||||||||
Select Medical Holdings Corp. | 54,667 | 1,311,461 | |||||||||
Universal Health Services, Inc., Class B | 5,044 | 731,128 | |||||||||
2,103,204 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Amedisys, Inc.† | 39 | 6,719 | |||||||||
Chemed Corp. | 116 | 58,760 | |||||||||
Oak Street Health, Inc.† | 98 | 2,634 | |||||||||
Teladoc Health, Inc.† | 1,581 | 114,038 | |||||||||
182,151 | |||||||||||
Medical-Wholesale Drug Distribution — 1.5% | |||||||||||
AmerisourceBergen Corp. | 6,075 | 939,863 | |||||||||
Cardinal Health, Inc. | 38,232 | 2,167,754 | |||||||||
Covetrus, Inc.† | 5,098 | 85,596 | |||||||||
McKesson Corp. | 1,344 | 411,439 | |||||||||
Premier, Inc., Class A | 1,239 | 44,096 | |||||||||
3,648,748 | |||||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Crane Co. | 516 | 55,873 | |||||||||
Timken Co. | 672 | 40,790 | |||||||||
96,663 | |||||||||||
Metal-Aluminum — 0.1% | |||||||||||
Alcoa Corp. | 1,926 | 173,398 | |||||||||
Metal-Copper — 0.5% | |||||||||||
Freeport-McMoRan, Inc. | 23,782 | 1,182,917 | |||||||||
Motorcycle/Motor Scooter — 0.0% | |||||||||||
Harley-Davidson, Inc. | 1,602 | 63,119 | |||||||||
Multimedia — 0.5% | |||||||||||
FactSet Research Systems, Inc. | 55 | 23,878 | |||||||||
Paramount Global, Class A | 86 | 3,475 | |||||||||
Paramount Global, Class B | 33,993 | 1,285,276 | |||||||||
1,312,629 | |||||||||||
Networking Products — 0.0% | |||||||||||
Arista Networks, Inc.† | 267 | 37,108 | |||||||||
Non-Ferrous Metals — 0.8% | |||||||||||
Cameco Corp. | 60,066 | 1,747,920 | |||||||||
NAC Kazatomprom JSC GDR | 4,674 | 139,753 | |||||||||
1,887,673 | |||||||||||
Non-Hazardous Waste Disposal — 0.5% | |||||||||||
GFL Environmental, Inc. | 8,086 | 263,118 | |||||||||
Republic Services, Inc. | 6,776 | 897,820 | |||||||||
1,160,938 | |||||||||||
Office Automation & Equipment — 0.3% | |||||||||||
Xerox Holdings Corp. | 1,326 | 26,746 | |||||||||
Zebra Technologies Corp., Class A† | 1,609 | 665,643 | |||||||||
692,389 | |||||||||||
Office Supplies & Forms — 0.0% | |||||||||||
Avery Dennison Corp. | 406 | 70,632 |
213
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Oil Companies-Exploration & Production — 3.4% | |||||||||||
APA Corp. | 21,093 | $ | 871,774 | ||||||||
Canadian Natural Resources, Ltd. | 15,838 | 981,639 | |||||||||
Continental Resources, Inc. | 610 | 37,411 | |||||||||
Coterra Energy, Inc. | 22,642 | 610,655 | |||||||||
Devon Energy Corp. | 22,087 | 1,306,004 | |||||||||
Diamondback Energy, Inc. | 6,244 | 855,928 | |||||||||
EQT Corp. | 22,700 | 781,107 | |||||||||
Hess Corp. | 9,111 | 975,241 | |||||||||
Marathon Oil Corp. | 8,103 | 203,466 | |||||||||
Occidental Petroleum Corp. | 7,721 | 438,090 | |||||||||
Pioneer Natural Resources Co. | 4,897 | 1,224,397 | |||||||||
8,285,712 | |||||||||||
Oil Companies-Integrated — 0.8% | |||||||||||
Imperial Oil, Ltd. | 37,450 | 1,809,584 | |||||||||
Oil Field Machinery & Equipment — 0.4% | |||||||||||
NOV, Inc. | 44,143 | 865,644 | |||||||||
Oil Refining & Marketing — 0.8% | |||||||||||
HF Sinclair Corp.† | 1,565 | 62,365 | |||||||||
Marathon Petroleum Corp. | 6,436 | 550,278 | |||||||||
Phillips 66 | 4,890 | 422,447 | |||||||||
Valero Energy Corp. | 8,986 | 912,439 | |||||||||
1,947,529 | |||||||||||
Oil-Field Services — 1.4% | |||||||||||
Baker Hughes Co. | 7,713 | 280,830 | |||||||||
Expro Group Holdings NV† | 38,562 | 685,633 | |||||||||
Halliburton Co. | 20,636 | 781,485 | |||||||||
TechnipFMC PLC† | 148,088 | 1,147,682 | |||||||||
Tidewater, Inc.† | 25,432 | 552,892 | |||||||||
3,448,522 | |||||||||||
Paper & Related Products — 0.1% | |||||||||||
International Paper Co. | 4,048 | 186,815 | |||||||||
Sylvamo Corp.† | 372 | 12,380 | |||||||||
199,195 | |||||||||||
Pastoral & Agricultural — 0.1% | |||||||||||
Darling Ingredients, Inc.† | 1,601 | 128,688 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.0% | |||||||||||
Encompass Health Corp. | 436 | 31,004 | |||||||||
Physicians Practice Management — 0.0% | |||||||||||
agilon health, Inc.† | 108 | 2,738 | |||||||||
Pipelines — 1.1% | |||||||||||
Antero Midstream Corp. | 3,497 | 38,012 | |||||||||
DT Midstream, Inc. | 1,010 | 54,803 | |||||||||
Equitrans Midstream Corp. | 72,965 | 615,825 | |||||||||
ONEOK, Inc. | 4,643 | 327,935 | |||||||||
Plains GP Holdings LP, Class A | 33,033 | 381,531 | |||||||||
Targa Resources Corp. | 9,867 | 744,663 | |||||||||
Williams Cos., Inc. | 12,723 | 425,075 | |||||||||
2,587,844 | |||||||||||
Poultry — 0.0% | |||||||||||
Pilgrim's Pride Corp.† | 294 | 7,379 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
ChargePoint Holdings, Inc.† | 2,385 | 47,414 |
Security Description | Shares | Value (Note 2) | |||||||||
Precious Metals — 0.3% | |||||||||||
Cia de Minas Buenaventura SAA ADR† | 61,399 | $ | 618,288 | ||||||||
Private Equity — 0.2% | |||||||||||
Ares Management Corp., Class A | 180 | 14,622 | |||||||||
Carlyle Group, Inc. | 1,698 | 83,049 | |||||||||
KKR & Co., Inc., Class A | 5,822 | 340,412 | |||||||||
438,083 | |||||||||||
Professional Sports — 0.2% | |||||||||||
Madison Square Garden Entertainment Corp.† | 2,600 | 216,606 | |||||||||
Madison Square Garden Sports Corp.† | 1,262 | 226,352 | |||||||||
442,958 | |||||||||||
Protection/Safety — 0.0% | |||||||||||
ADT, Inc. | 1,653 | 12,546 | |||||||||
Publishing-Books — 0.2% | |||||||||||
Scholastic Corp. | 12,907 | 519,894 | |||||||||
Publishing-Newspapers — 0.9% | |||||||||||
New York Times Co., Class A | 1,726 | 79,120 | |||||||||
News Corp., Class A | 88,066 | 1,950,662 | |||||||||
News Corp., Class B | 1,267 | 28,533 | |||||||||
2,058,315 | |||||||||||
Racetracks — 0.0% | |||||||||||
Penn National Gaming, Inc.† | 1,614 | 68,466 | |||||||||
Radio — 0.1% | |||||||||||
Liberty Media Corp. - Liberty SiriusXM, Series A† | 972 | 44,430 | |||||||||
Liberty Media Corp. - Liberty SiriusXM, Series C† | 1,672 | 76,461 | |||||||||
120,891 | |||||||||||
Real Estate Investment Trusts — 8.4% | |||||||||||
AGNC Investment Corp. | 5,484 | 71,840 | |||||||||
Alexandria Real Estate Equities, Inc. | 1,742 | 350,577 | |||||||||
American Campus Communities, Inc. | 1,432 | 80,149 | |||||||||
American Homes 4 Rent, Class A | 3,080 | 123,292 | |||||||||
Americold Realty Trust | 2,790 | 77,785 | |||||||||
Annaly Capital Management, Inc. | 14,777 | 104,030 | |||||||||
Apartment Income REIT Corp. | 2,740 | 146,480 | |||||||||
Apartment Investment & Management Co., Class A† | 51,997 | 380,618 | |||||||||
AvalonBay Communities, Inc. | 1,459 | 362,372 | |||||||||
Boston Properties, Inc. | 3,819 | 491,887 | |||||||||
Brixmor Property Group, Inc. | 25,471 | 657,407 | |||||||||
Camden Property Trust | 1,034 | 171,851 | |||||||||
Cousins Properties, Inc. | 1,550 | 62,450 | |||||||||
CubeSmart | 2,280 | 118,628 | |||||||||
Douglas Emmett, Inc. | 1,740 | 58,151 | |||||||||
Duke Realty Corp. | 3,978 | 230,963 | |||||||||
EPR Properties | 774 | 42,346 | |||||||||
Equity Commonwealth† | 37,833 | 1,067,269 | |||||||||
Equity LifeStyle Properties, Inc. | 874 | 66,844 | |||||||||
Equity Residential | 11,152 | 1,002,788 | |||||||||
Essex Property Trust, Inc. | 678 | 234,235 | |||||||||
Extra Space Storage, Inc. | 1,250 | 257,000 | |||||||||
Federal Realty Investment Trust | 816 | 99,609 |
214
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
First Industrial Realty Trust, Inc. | 1,346 | $ | 83,331 | ||||||||
Gaming and Leisure Properties, Inc. | 2,438 | 114,415 | |||||||||
Healthcare Trust of America, Inc., Class A | 2,276 | 71,330 | |||||||||
Healthpeak Properties, Inc. | 5,641 | 193,656 | |||||||||
Highwoods Properties, Inc. | 1,075 | 49,171 | |||||||||
Host Hotels & Resorts, Inc. | 32,724 | 635,827 | |||||||||
Hudson Pacific Properties, Inc. | 1,550 | 43,013 | |||||||||
Invitation Homes, Inc. | 6,245 | 250,924 | |||||||||
Iron Mountain, Inc. | 887 | 49,149 | |||||||||
JBG SMITH Properties | 1,278 | 37,343 | |||||||||
Kilroy Realty Corp. | 1,214 | 92,774 | |||||||||
Kimco Realty Corp. | 6,078 | 150,127 | |||||||||
Lamar Advertising Co., Class A | 114 | 13,245 | |||||||||
Life Storage, Inc. | 7,508 | 1,054,348 | |||||||||
Medical Properties Trust, Inc. | 6,182 | 130,687 | |||||||||
Mid-America Apartment Communities, Inc. | 5,409 | 1,132,915 | |||||||||
National Retail Properties, Inc. | 1,827 | 82,105 | |||||||||
New Residential Investment Corp. | 4,526 | 49,695 | |||||||||
Omega Healthcare Investors, Inc. | 4,996 | 155,675 | |||||||||
Orion Office REIT, Inc. | 591 | 8,274 | |||||||||
Park Hotels & Resorts, Inc. | 2,456 | 47,966 | |||||||||
Rayonier, Inc. | 33,304 | 1,369,460 | |||||||||
Realty Income Corp. | 5,919 | 410,187 | |||||||||
Regency Centers Corp. | 13,661 | 974,576 | |||||||||
Rexford Industrial Realty, Inc. | 1,681 | 125,386 | |||||||||
SBA Communications Corp. | 944 | 324,830 | |||||||||
Simon Property Group, Inc. | 447 | 58,807 | |||||||||
SL Green Realty Corp. | 708 | 57,475 | |||||||||
Spirit Realty Capital, Inc. | 7,630 | 351,133 | |||||||||
STAG Industrial, Inc. | 6,268 | 259,182 | |||||||||
Starwood Property Trust, Inc. | 3,029 | 73,211 | |||||||||
STORE Capital Corp. | 2,555 | 74,683 | |||||||||
Sun Communities, Inc. | 4,964 | 870,140 | |||||||||
UDR, Inc. | 3,312 | 190,009 | |||||||||
Ventas, Inc. | 4,170 | 257,539 | |||||||||
VICI Properties, Inc. | 30,217 | 859,976 | |||||||||
Vornado Realty Trust | 9,135 | 413,998 | |||||||||
Welltower, Inc. | 4,557 | 438,110 | |||||||||
Weyerhaeuser Co. | 46,006 | 1,743,627 | |||||||||
WP Carey, Inc. | 8,387 | 678,005 | |||||||||
20,234,875 | |||||||||||
Real Estate Management/Services — 0.2% | |||||||||||
CBRE Group, Inc., Class A† | 3,309 | 302,840 | |||||||||
Jones Lang LaSalle, Inc.† | 528 | 126,435 | |||||||||
429,275 | |||||||||||
Real Estate Operations & Development — 0.1% | |||||||||||
Howard Hughes Corp.† | 434 | 44,967 | |||||||||
St. Joe Co. | 3,610 | 213,856 | |||||||||
258,823 | |||||||||||
Recreational Centers — 0.0% | |||||||||||
Planet Fitness, Inc., Class A† | 272 | 22,979 |
Security Description | Shares | Value (Note 2) | |||||||||
Recreational Vehicles — 0.3% | |||||||||||
Brunswick Corp. | 6,151 | $ | 497,554 | ||||||||
Polaris, Inc. | 3,005 | 316,487 | |||||||||
814,041 | |||||||||||
Rental Auto/Equipment — 0.2% | |||||||||||
AMERCO | 94 | 56,112 | |||||||||
Element Fleet Management Corp. | 31,021 | 300,247 | |||||||||
United Rentals, Inc.† | 494 | 175,474 | |||||||||
531,833 | |||||||||||
Resorts/Theme Parks — 0.0% | |||||||||||
Marriott Vacations Worldwide Corp. | 436 | 68,757 | |||||||||
Six Flags Entertainment Corp.† | 498 | 21,663 | |||||||||
90,420 | |||||||||||
Respiratory Products — 0.0% | |||||||||||
ResMed, Inc. | 151 | 36,619 | |||||||||
Retail-Apparel/Shoe — 0.0% | |||||||||||
Burlington Stores, Inc.† | 40 | 7,287 | |||||||||
Foot Locker, Inc. | 912 | 27,050 | |||||||||
Gap, Inc. | 2,106 | 29,652 | |||||||||
Victoria's Secret & Co.† | 331 | 17,000 | |||||||||
80,989 | |||||||||||
Retail-Auto Parts — 0.4% | |||||||||||
Advance Auto Parts, Inc. | 652 | 134,938 | |||||||||
AutoZone, Inc.† | 170 | 347,578 | |||||||||
Genuine Parts Co. | 1,457 | 183,611 | |||||||||
O'Reilly Automotive, Inc.† | 485 | 332,206 | |||||||||
998,333 | |||||||||||
Retail-Automobile — 0.1% | |||||||||||
AutoNation, Inc.† | 432 | 43,018 | |||||||||
CarMax, Inc.† | 1,560 | 150,509 | |||||||||
Lithia Motors, Inc. | 280 | 84,034 | |||||||||
Penske Automotive Group, Inc. | 322 | 30,178 | |||||||||
Vroom, Inc.† | 903 | 2,402 | |||||||||
310,141 | |||||||||||
Retail-Catalog Shopping — 0.0% | |||||||||||
MSC Industrial Direct Co., Inc., Class A | 469 | 39,964 | |||||||||
Qurate Retail, Inc., Series A | 3,786 | 18,021 | |||||||||
57,985 | |||||||||||
Retail-Consumer Electronics — 0.1% | |||||||||||
Best Buy Co., Inc. | 1,935 | 175,891 | |||||||||
Retail-Convenience Store — 0.0% | |||||||||||
Casey's General Stores, Inc. | 386 | 76,494 | |||||||||
Retail-Discount — 0.5% | |||||||||||
Dollar Tree, Inc.† | 7,680 | 1,229,952 | |||||||||
Ollie's Bargain Outlet Holdings, Inc.† | 657 | 28,225 | |||||||||
1,258,177 | |||||||||||
Retail-Home Furnishings — 0.0% | |||||||||||
Williams-Sonoma, Inc. | 182 | 26,390 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Nordstrom, Inc. | 181 | 4,907 |
215
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Misc./Diversified — 0.0% | |||||||||||
Bath & Body Works, Inc. | 1,051 | $ | 50,238 | ||||||||
Retail-Perfume & Cosmetics — 0.0% | |||||||||||
Olaplex Holdings, Inc.† | 681 | 10,644 | |||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
Petco Health & Wellness Co., Inc.† | 542 | 10,607 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Kohl's Corp. | 1,445 | 87,365 | |||||||||
Retail-Restaurants — 0.5% | |||||||||||
Darden Restaurants, Inc. | 426 | 56,637 | |||||||||
Domino's Pizza, Inc. | 121 | 49,248 | |||||||||
Wendy's Co. | 26,699 | 586,577 | |||||||||
Yum China Holdings, Inc. | 4,133 | 171,685 | |||||||||
Yum! Brands, Inc. | 2,771 | 328,446 | |||||||||
1,192,593 | |||||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Dick's Sporting Goods, Inc. | 631 | 63,113 | |||||||||
Savings & Loans/Thrifts — 0.1% | |||||||||||
Capitol Federal Financial, Inc. | 15,742 | 171,273 | |||||||||
New York Community Bancorp, Inc. | 4,722 | 50,620 | |||||||||
People's United Financial, Inc. | 4,448 | 88,915 | |||||||||
TFS Financial Corp. | 515 | 8,549 | |||||||||
319,357 | |||||||||||
Schools — 0.4% | |||||||||||
Bright Horizons Family Solutions, Inc.† | 127 | 16,852 | |||||||||
Chegg, Inc.† | 337 | 12,226 | |||||||||
Grand Canyon Education, Inc.† | 4,933 | 479,044 | |||||||||
Strategic Education, Inc. | 7,063 | 468,842 | |||||||||
976,964 | |||||||||||
Semiconductor Components-Integrated Circuits — 0.3% | |||||||||||
Cirrus Logic, Inc.† | 595 | 50,450 | |||||||||
NXP Semiconductors NV | 3,658 | 677,023 | |||||||||
727,473 | |||||||||||
Semiconductor Equipment — 0.1% | |||||||||||
Applied Materials, Inc. | 1,853 | 244,225 | |||||||||
Azenta, Inc. | 135 | 11,189 | |||||||||
MKS Instruments, Inc. | 90 | 13,500 | |||||||||
268,914 | |||||||||||
Shipbuilding — 0.0% | |||||||||||
Huntington Ingalls Industries, Inc. | 412 | 82,169 | |||||||||
Silver Mining — 0.3% | |||||||||||
Fresnillo PLC | 77,850 | 753,209 | |||||||||
Soap & Cleaning Preparation — 0.2% | |||||||||||
Church & Dwight Co., Inc. | 2,399 | 238,412 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 4,372 | 292,802 | |||||||||
531,214 | |||||||||||
Steel Pipe & Tube — 0.0% | |||||||||||
Valmont Industries, Inc. | 218 | 52,015 |
Security Description | Shares | Value (Note 2) | |||||||||
Steel-Producers — 0.4% | |||||||||||
Cleveland-Cliffs, Inc.† | 4,670 | $ | 150,421 | ||||||||
Nucor Corp. | 2,850 | 423,653 | |||||||||
Reliance Steel & Aluminum Co. | 652 | 119,544 | |||||||||
Steel Dynamics, Inc. | 1,603 | 133,738 | |||||||||
United States Steel Corp. | 2,706 | 102,124 | |||||||||
929,480 | |||||||||||
Telecom Equipment-Fiber Optics — 0.3% | |||||||||||
Ciena Corp.† | 1,613 | 97,796 | |||||||||
Corning, Inc. | 19,646 | 725,134 | |||||||||
822,930 | |||||||||||
Telecommunication Equipment — 0.1% | |||||||||||
Juniper Networks, Inc. | 3,342 | 124,189 | |||||||||
Telephone-Integrated — 0.1% | |||||||||||
Lumen Technologies, Inc. | 10,670 | 120,251 | |||||||||
Telephone & Data Systems, Inc. | 3,022 | 57,055 | |||||||||
177,306 | |||||||||||
Television — 0.0% | |||||||||||
Nexstar Media Group, Inc., Class A | 384 | 72,376 | |||||||||
World Wrestling Entertainment, Inc., Class A | 61 | 3,809 | |||||||||
76,185 | |||||||||||
Theaters — 0.0% | |||||||||||
Live Nation Entertainment, Inc.�� | 890 | 104,700 | |||||||||
Tools-Hand Held — 0.4% | |||||||||||
MSA Safety, Inc. | 273 | 36,227 | |||||||||
Snap-on, Inc. | 552 | 113,425 | |||||||||
Stanley Black & Decker, Inc. | 6,528 | 912,549 | |||||||||
1,062,201 | |||||||||||
Toys — 0.2% | |||||||||||
Hasbro, Inc. | 1,338 | 109,609 | |||||||||
Mattel, Inc.† | 18,294 | 406,310 | |||||||||
515,919 | |||||||||||
Transport-Marine — 0.0% | |||||||||||
Kirby Corp.† | 623 | 44,974 | |||||||||
Transport-Services — 0.3% | |||||||||||
C.H. Robinson Worldwide, Inc. | 5,089 | 548,136 | |||||||||
Expeditors International of Washington, Inc. | 477 | 49,208 | |||||||||
Ryder System, Inc. | 546 | 43,314 | |||||||||
640,658 | |||||||||||
Transport-Truck — 0.6% | |||||||||||
JB Hunt Transport Services, Inc. | 2,477 | 497,357 | |||||||||
Knight-Swift Transportation Holdings, Inc. | 9,295 | 469,026 | |||||||||
Landstar System, Inc. | 45 | 6,787 | |||||||||
Old Dominion Freight Line, Inc. | 85 | 25,388 | |||||||||
Schneider National, Inc., Class B | 542 | 13,821 | |||||||||
XPO Logistics, Inc.† | 5,213 | 379,506 | |||||||||
1,391,885 | |||||||||||
Travel Services — 0.0% | |||||||||||
Virgin Galactic Holdings, Inc.† | 150 | 1,482 |
216
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Elanco Animal Health, Inc.† | 4,657 | $ | 121,501 | ||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd.† | 887 | 26,929 | |||||||||
Water — 0.2% | |||||||||||
American Water Works Co., Inc. | 1,900 | 314,507 | |||||||||
Essential Utilities, Inc. | 2,412 | 123,326 | |||||||||
437,833 | |||||||||||
Water Treatment Systems — 0.0% | |||||||||||
Pentair PLC | 1,730 | 93,783 | |||||||||
Web Hosting/Design — 0.2% | |||||||||||
GoDaddy, Inc., Class A† | 1,577 | 131,995 | |||||||||
VeriSign, Inc.† | 1,018 | 226,464 | |||||||||
358,459 | |||||||||||
Wireless Equipment — 0.5% | |||||||||||
Motorola Solutions, Inc. | 4,750 | 1,150,450 | |||||||||
Ubiquiti, Inc. | 7 | 2,038 | |||||||||
ViaSat, Inc.† | 738 | 36,015 | |||||||||
1,188,503 | |||||||||||
Total Common Stocks (cost $172,693,025) | 233,751,909 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.8% | |||||||||||
iShares Russell Mid-Cap Value ETF (cost $1,823,773) | 15,590 | 1,865,188 | |||||||||
FOREIGN CORPORATE BONDS & NOTES — 0.0% | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Weatherford International, Ltd. Company Guar. Notes 11.00% due 12/01/2024* (cost $19,435) | $ | 24,000 | 24,840 | ||||||||
Total Long-Term Investment Securities (cost $174,536,233) | 235,641,937 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.9% | |||||||||||
Registered Investment Companies — 1.8% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(1) | 2,003,027 | 2,003,027 | |||||||||
T. Rowe Price Government Reserve Fund 0.29%(1) | 2,354,259 | 2,354,259 | |||||||||
4,357,286 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 0.08% due 08/11/2022(2) | $ | 100,000 | $ | 99,695 | |||||||
Total Short-Term Investment Securities (cost $4,457,259) | 4,456,981 | ||||||||||
REPURCHASE AGREEMENTS — 0.7% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 03/31/2022, to be repurchased 04/01/2022 in the amount of $1,666,000 and collateralized by $1,705,500 of United States Treasury Notes, bearing interest at 2.38% due 03/31/2029 and having an approximate value of $1,699,370 (cost $1,666,000) | 1,666,000 | 1,666,000 | |||||||||
TOTAL INVESTMENTS (cost $180,659,492)(3) | 100.2 | % | 241,764,918 | ||||||||
Liabilities in excess of other assets | (0.2 | ) | (372,009 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 241,392,909 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $24,840 representing 0.0% of net assets.
(1) The rate shown is the 7-day yield as of March 31, 2022.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(3) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
ETF — Exchange-Traded Funds
GDR — Global Depositary Receipt
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
1 | Long | S&P 400 E-Mini Index | June 2022 | $ | 257,794 | $ | 268,920 | $ | 11,126 |
* 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.
217
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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: | |||||||||||||||||||
Containers-Metal/Glass | $ | 1,010,123 | $ | 4,167 | $ | — | $ | 1,014,290 | |||||||||||
Other Industries | 227,365,957 | 5,371,662 | ** | — | 232,737,619 | ||||||||||||||
Exchange-Traded Funds | 1,865,188 | — | — | 1,865,188 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 24,840 | — | 24,840 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 4,357,286 | — | — | 4,357,286 | |||||||||||||||
U.S. Government Treasuries | — | 99,695 | — | 99,695 | |||||||||||||||
Repurchase Agreements | — | 1,666,000 | — | 1,666,000 | |||||||||||||||
Total Investments at Value | $ | 234,598,554 | $ | 7,166,364 | $ | — | $ | 241,764,918 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 11,126 | $ | — | $ | — | $ | 11,126 |
* 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
218
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Banks-Commercial | 8.5 | % | |||||
Real Estate Investment Trusts | 6.5 | ||||||
Medical-Biomedical/Gene | 2.7 | ||||||
Oil Companies-Exploration & Production | 2.7 | ||||||
Chemicals-Specialty | 2.5 | ||||||
Medical Products | 2.5 | ||||||
Medical-Drugs | 2.1 | ||||||
Electronic Components-Semiconductors | 1.8 | ||||||
Savings & Loans/Thrifts | 1.6 | ||||||
Computer Services | 1.5 | ||||||
Enterprise Software/Service | 1.3 | ||||||
Human Resources | 1.3 | ||||||
Electronic Components-Misc. | 1.3 | ||||||
Distribution/Wholesale | 1.3 | ||||||
Registered Investment Companies | 1.3 | ||||||
Commercial Services | 1.2 | ||||||
Gas-Distribution | 1.2 | ||||||
Semiconductor Equipment | 1.2 | ||||||
Telecommunication Equipment | 1.1 | ||||||
Real Estate Operations & Development | 1.0 | ||||||
Medical Labs & Testing Services | 1.0 | ||||||
Oil-Field Services | 1.0 | ||||||
Building & Construction-Misc. | 1.0 | ||||||
Insurance-Property/Casualty | 1.0 | ||||||
Retail-Automobile | 1.0 | ||||||
Aerospace/Defense-Equipment | 0.9 | ||||||
Pastoral & Agricultural | 0.9 | ||||||
Metal Processors & Fabrication | 0.9 | ||||||
Disposable Medical Products | 0.9 | ||||||
Computer Software | 0.9 | ||||||
Building-Maintenance & Services | 0.9 | ||||||
E-Services/Consulting | 0.9 | ||||||
Machinery-General Industrial | 0.9 | ||||||
Insurance-Reinsurance | 0.8 | ||||||
Water | 0.8 | ||||||
Building-Residential/Commercial | 0.8 | ||||||
Auto/Truck Parts & Equipment-Original | 0.8 | ||||||
Diversified Manufacturing Operations | 0.8 | ||||||
Building-Heavy Construction | 0.8 | ||||||
Building-Mobile Home/Manufactured Housing | 0.8 | ||||||
Finance-Investment Banker/Broker | 0.7 | ||||||
Building & Construction Products-Misc. | 0.7 | ||||||
Retail-Restaurants | 0.7 | ||||||
Electronic Measurement Instruments | 0.6 | ||||||
Data Processing/Management | 0.6 | ||||||
Medical Instruments | 0.6 | ||||||
Retail-Apparel/Shoe | 0.6 | ||||||
Electric-Integrated | 0.6 | ||||||
Rental Auto/Equipment | 0.6 | ||||||
Footwear & Related Apparel | 0.5 | ||||||
Beverages-Non-alcoholic | 0.5 | ||||||
Commercial Services-Finance | 0.5 | ||||||
Computers-Other | 0.5 | ||||||
Office Furnishings-Original | 0.5 | ||||||
Pharmacy Services | 0.5 | ||||||
Wireless Equipment | 0.5 | ||||||
Food-Wholesale/Distribution | 0.5 | ||||||
Apparel Manufacturers | 0.5 | ||||||
Chemicals-Diversified | 0.4 | ||||||
Food-Misc./Diversified | 0.4 |
Investment Management/Advisor Services | 0.4 | % | |||||
Linen Supply & Related Items | 0.4 | ||||||
Insurance-Multi-line | 0.4 | ||||||
Computer Data Security | 0.4 | ||||||
Machinery-Pumps | 0.4 | ||||||
Investment Companies | 0.4 | ||||||
Building Products-Wood | 0.4 | ||||||
Oil Refining & Marketing | 0.4 | ||||||
Medical Information Systems | 0.4 | ||||||
Applications Software | 0.4 | ||||||
Transport-Services | 0.4 | ||||||
Financial Guarantee Insurance | 0.4 | ||||||
Filtration/Separation Products | 0.4 | ||||||
Telecom Services | 0.4 | ||||||
Energy-Alternate Sources | 0.4 | ||||||
Vitamins & Nutrition Products | 0.4 | ||||||
Audio/Video Products | 0.4 | ||||||
Gambling (Non-Hotel) | 0.4 | ||||||
Steel Pipe & Tube | 0.4 | ||||||
Metal-Aluminum | 0.4 | ||||||
Oil & Gas Drilling | 0.4 | ||||||
Environmental Consulting & Engineering | 0.4 | ||||||
Exchange-Traded Funds | 0.3 | ||||||
Miscellaneous Manufacturing | 0.3 | ||||||
Insurance Brokers | 0.3 | ||||||
Building Products-Cement | 0.3 | ||||||
Networking Products | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Paper & Related Products | 0.3 | ||||||
Computers-Integrated Systems | 0.3 | ||||||
Airlines | 0.3 | ||||||
Medical-Wholesale Drug Distribution | 0.3 | ||||||
Professional Sports | 0.3 | ||||||
Schools | 0.3 | ||||||
Telecom Equipment-Fiber Optics | 0.3 | ||||||
Coal | 0.3 | ||||||
Steel-Producers | 0.3 | ||||||
Advertising Services | 0.3 | ||||||
Finance-Consumer Loans | 0.3 | ||||||
Consumer Products-Misc. | 0.3 | ||||||
Retail-Petroleum Products | 0.3 | ||||||
Transport-Truck | 0.3 | ||||||
Insurance-Life/Health | 0.3 | ||||||
Retail-Sporting Goods | 0.3 | ||||||
Real Estate Management/Services | 0.3 | ||||||
Finance-Mortgage Loan/Banker | 0.2 | ||||||
Diagnostic Kits | 0.2 | ||||||
Television | 0.2 | ||||||
Machinery-Electrical | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Consulting Services | 0.2 | ||||||
Engineering/R&D Services | 0.2 | ||||||
Resorts/Theme Parks | 0.2 | ||||||
Semiconductor Components-Integrated Circuits | 0.2 | ||||||
Retail-Jewelry | 0.2 | ||||||
Retail-Regional Department Stores | 0.2 | ||||||
Theaters | 0.2 | ||||||
Internet Content-Information/News | 0.2 | ||||||
Retail-Office Supplies | 0.2 | ||||||
Medical-Nursing Homes | 0.2 |
219
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Cosmetics & Toiletries | 0.2 | % | |||||
Banks-Super Regional | 0.2 | ||||||
Agricultural Operations | 0.2 | ||||||
E-Commerce/Services | 0.2 | ||||||
Building Products-Air & Heating | 0.2 | ||||||
Building Products-Doors & Windows | 0.2 | ||||||
X-Ray Equipment | 0.2 | ||||||
Therapeutics | 0.2 | ||||||
Auto-Truck Trailers | 0.1 | ||||||
Diversified Minerals | 0.1 | ||||||
Steel-Specialty | 0.1 | ||||||
Home Furnishings | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Publishing-Books | 0.1 | ||||||
Banks-Mortgage | 0.1 | ||||||
Casino Hotels | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Medical Imaging Systems | 0.1 | ||||||
Retail-Misc./Diversified | 0.1 | ||||||
Medical-Outpatient/Home Medical | 0.1 | ||||||
Satellite Telecom | 0.1 | ||||||
Medical-Generic Drugs | 0.1 | ||||||
Retail-Building Products | 0.1 | ||||||
Auto/Truck Parts & Equipment-Replacement | 0.1 | ||||||
Advanced Materials | 0.1 | ||||||
Recycling | 0.1 | ||||||
Retail-Bedding | 0.1 | ||||||
Travel Services | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Protection/Safety | 0.1 | ||||||
Telephone-Integrated | 0.1 | ||||||
Food-Baking | 0.1 | ||||||
Wire & Cable Products | 0.1 | ||||||
Tobacco | 0.1 | ||||||
Circuit Boards | 0.1 | ||||||
Optical Supplies | 0.1 | ||||||
Internet Connectivity Services | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Retail-Discount | 0.1 | ||||||
Oil Field Machinery & Equipment | 0.1 | ||||||
Multilevel Direct Selling | 0.1 | ||||||
Food-Retail | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
E-Marketing/Info | 0.1 | ||||||
Communications Software | 0.1 | ||||||
Repurchase Agreements | 0.1 | ||||||
Web Hosting/Design | 0.1 | ||||||
Transport-Air Freight | 0.1 | ||||||
Identification Systems | 0.1 | ||||||
Quarrying | 0.1 | ||||||
Electric-Distribution | 0.1 | ||||||
Hazardous Waste Disposal | 0.1 | ||||||
Athletic Equipment | 0.1 | ||||||
Appliances | 0.1 | ||||||
Medical-HMO | 0.1 | ||||||
Food-Canned | 0.1 | ||||||
Transport-Equipment & Leasing | 0.1 | ||||||
Transport-Marine | 0.1 | ||||||
Finance-Commercial | 0.1 | ||||||
Health Care Cost Containment | 0.1 |
Printing-Commercial | 0.1 | % | |||||
Retail-Home Furnishings | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
B2B/E-Commerce | 0.1 | ||||||
Auto Repair Centers | 0.1 | ||||||
Veterinary Diagnostics | 0.1 | ||||||
99.5 | % |
* Calculated as a percentage of net assets
220
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.8% | |||||||||||
Advanced Materials — 0.1% | |||||||||||
Haynes International, Inc. | 951 | $ | 40,513 | ||||||||
Materion Corp. | 2,511 | 215,293 | |||||||||
255,806 | |||||||||||
Advertising Services — 0.3% | |||||||||||
National CineMedia, Inc. | 10,800 | 27,432 | |||||||||
Stagwell, Inc.† | 82,857 | 599,885 | |||||||||
627,317 | |||||||||||
Aerospace/Defense — 0.1% | |||||||||||
AeroVironment, Inc.† | 1,763 | 165,969 | |||||||||
National Presto Industries, Inc. | 387 | 29,779 | |||||||||
195,748 | |||||||||||
Aerospace/Defense-Equipment — 0.9% | |||||||||||
AAR Corp.† | 5,047 | 244,426 | |||||||||
Aerojet Rocketdyne Holdings, Inc.† | 5,719 | 225,043 | |||||||||
Astronics Corp.† | 8,200 | 106,026 | |||||||||
Barnes Group, Inc. | 4,658 | 187,205 | |||||||||
Hexcel Corp. | 15,377 | 914,470 | |||||||||
Kaman Corp. | 2,127 | 92,482 | |||||||||
Moog, Inc., Class A | 2,919 | 256,288 | |||||||||
Park Aerospace Corp. | 1,485 | 19,380 | |||||||||
Triumph Group, Inc.† | 4,936 | 124,782 | |||||||||
2,170,102 | |||||||||||
Agricultural Operations — 0.2% | |||||||||||
Andersons, Inc. | 5,724 | 287,688 | |||||||||
Fresh Del Monte Produce, Inc. | 2,542 | 65,863 | |||||||||
353,551 | |||||||||||
Airlines — 0.3% | |||||||||||
Allegiant Travel Co.† | 1,911 | 310,327 | |||||||||
Hawaiian Holdings, Inc.† | 3,912 | 77,067 | |||||||||
SkyWest, Inc.† | 11,248 | 324,505 | |||||||||
711,899 | |||||||||||
Apparel Manufacturers — 0.5% | |||||||||||
Deckers Outdoor Corp.† | 850 | 232,704 | |||||||||
Fossil Group, Inc.† | 3,625 | 34,945 | |||||||||
Kontoor Brands, Inc. | 3,634 | 150,266 | |||||||||
Oxford Industries, Inc. | 7,326 | 663,003 | |||||||||
1,080,918 | |||||||||||
Appliances — 0.1% | |||||||||||
iRobot Corp.† | 2,059 | 130,541 | |||||||||
Traeger, Inc.† | 1,744 | 12,975 | |||||||||
143,516 | |||||||||||
Applications Software — 0.4% | |||||||||||
Agilysys, Inc.† | 1,491 | 59,461 | |||||||||
Alkami Technology, Inc.† | 865 | 12,378 | |||||||||
Cerence, Inc.† | 2,992 | 108,011 | |||||||||
Digi International, Inc.† | 2,673 | 57,523 | |||||||||
DigitalOcean Holdings, Inc.† | 3,924 | 227,004 | |||||||||
Ebix, Inc. | 1,820 | 60,333 | |||||||||
JFrog, Ltd.† | 700 | 18,865 | |||||||||
Loyalty Ventures, Inc.† | 1,521 | 25,142 | |||||||||
ON24, Inc.† | 6,708 | 88,210 | |||||||||
PDF Solutions, Inc.† | 2,282 | 63,599 | |||||||||
Sprout Social, Inc., Class A† | 2,300 | 184,276 | |||||||||
904,802 |
Security Description | Shares | Value (Note 2) | |||||||||
Athletic Equipment — 0.1% | |||||||||||
Vista Outdoor, Inc.† | 4,298 | $ | 153,396 | ||||||||
Audio/Video Products — 0.4% | |||||||||||
Snap One Holdings Corp.† | 25,980 | 383,205 | |||||||||
Sonos, Inc.† | 15,548 | 438,765 | |||||||||
Universal Electronics, Inc.† | 1,001 | 31,271 | |||||||||
853,241 | |||||||||||
Auto Repair Centers — 0.1% | |||||||||||
Monro, Inc. | 2,563 | 113,643 | |||||||||
Auto-Truck Trailers — 0.1% | |||||||||||
Wabash National Corp. | 22,040 | 327,074 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.8% | |||||||||||
American Axle & Manufacturing Holdings, Inc.† | 8,713 | 67,613 | |||||||||
Dorman Products, Inc.† | 2,174 | 206,595 | |||||||||
Gentherm, Inc.† | 12,265 | 895,836 | |||||||||
Lear Corp. | 600 | 85,554 | |||||||||
Meritor, Inc.† | 9,306 | 331,014 | |||||||||
Methode Electronics, Inc. | 2,847 | 123,133 | |||||||||
Titan International, Inc.† | 3,907 | 57,550 | |||||||||
1,767,295 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.1% | |||||||||||
Douglas Dynamics, Inc. | 3,100 | 107,229 | |||||||||
Motorcar Parts of America, Inc.† | 1,467 | 26,157 | |||||||||
Standard Motor Products, Inc. | 1,462 | 63,071 | |||||||||
XPEL, Inc.† | 1,266 | 66,604 | |||||||||
263,061 | |||||||||||
B2B/E-Commerce — 0.1% | |||||||||||
ePlus, Inc.† | 2,054 | 115,147 | |||||||||
Banks-Commercial — 8.5% | |||||||||||
1st Source Corp. | 1,140 | 52,725 | |||||||||
Allegiance Bancshares, Inc. | 1,445 | 64,563 | |||||||||
Ameris Bancorp | 5,053 | 221,726 | |||||||||
Atlantic Union Bankshares Corp. | 963 | 35,332 | |||||||||
BancFirst Corp. | 1,444 | 120,155 | |||||||||
Bancorp, Inc.† | 4,382 | 124,142 | |||||||||
BankUnited, Inc. | 6,542 | 287,586 | |||||||||
Banner Corp. | 6,416 | 375,528 | |||||||||
Business First Bancshares, Inc. | 2,300 | 55,959 | |||||||||
Byline Bancorp, Inc. | 4,900 | 130,732 | |||||||||
Cadence Bank | 13,420 | 392,669 | |||||||||
Cambridge Bancorp | 5,303 | 450,755 | |||||||||
Cathay General Bancorp | 4,100 | 183,475 | |||||||||
Central Pacific Financial Corp. | 8,017 | 223,674 | |||||||||
City Holding Co. | 1,155 | 90,899 | |||||||||
Columbia Banking System, Inc. | 12,138 | 391,693 | |||||||||
Community Bank System, Inc. | 4,116 | 288,737 | |||||||||
ConnectOne Bancorp, Inc. | 3,300 | 105,633 | |||||||||
Customers Bancorp, Inc.† | 2,313 | 120,600 | |||||||||
CVB Financial Corp. | 18,949 | 439,806 | |||||||||
Dime Community Bancshares, Inc. | 2,498 | 86,356 | |||||||||
Eagle Bancorp, Inc. | 2,440 | 139,104 | |||||||||
Eastern Bankshares, Inc. | 27,050 | 582,657 | |||||||||
Enterprise Financial Services Corp. | 1,800 | 85,158 | |||||||||
Equity Bancshares, Inc., Class A | 1,400 | 45,234 | |||||||||
FB Financial Corp. | 2,724 | 121,000 |
221
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Banks-Commercial (continued) | |||||||||||
Financial Institutions, Inc. | 500 | $ | 15,065 | ||||||||
First Bancorp | 2,640 | 110,273 | |||||||||
First BanCorp/Puerto Rico | 80,316 | 1,053,746 | |||||||||
First Bancshares, Inc. | 500 | 16,830 | |||||||||
First Citizens BancShares, Inc., Class A | 110 | 73,216 | |||||||||
First Commonwealth Financial Corp. | 15,098 | 228,886 | |||||||||
First Community Bankshares, Inc. | 486 | 13,710 | |||||||||
First Financial Bancorp | 7,192 | 165,776 | |||||||||
First Hawaiian, Inc. | 10,940 | 305,117 | |||||||||
First Interstate BancSystem, Inc., Class A | 24,723 | 909,065 | |||||||||
First Merchants Corp. | 29,956 | 1,246,170 | |||||||||
Flagstar Bancorp, Inc. | 4,064 | 172,314 | |||||||||
Glacier Bancorp, Inc. | 2,150 | 108,102 | |||||||||
Hancock Whitney Corp. | 3,800 | 198,170 | |||||||||
Hanmi Financial Corp. | 2,323 | 57,169 | |||||||||
HarborOne Bancorp, Inc. | 2,100 | 29,442 | |||||||||
Heritage Commerce Corp. | 3,000 | 33,750 | |||||||||
Heritage Financial Corp. | 27,509 | 689,376 | |||||||||
Hilltop Holdings, Inc. | 4,645 | 136,563 | |||||||||
Home BancShares, Inc. | 8,900 | 201,140 | |||||||||
HomeStreet, Inc. | 4,234 | 200,607 | |||||||||
Hope Bancorp, Inc. | 27,226 | 437,794 | |||||||||
Independent Bank Corp. | 2,300 | 50,600 | |||||||||
Independent Bank Corp. | 6,150 | 502,393 | |||||||||
Lakeland Financial Corp. | 1,933 | 141,109 | |||||||||
Luther Burbank Corp. | 1,585 | 21,065 | |||||||||
Merchants Bancorp | 300 | 8,214 | |||||||||
Meta Financial Group, Inc. | 4,280 | 235,058 | |||||||||
NBT Bancorp, Inc. | 3,311 | 119,626 | |||||||||
Nicolet Bankshares, Inc.† | 200 | 18,714 | |||||||||
OFG Bancorp | 3,792 | 101,019 | |||||||||
Old National Bancorp | 14,900 | 244,062 | |||||||||
Old Second Bancorp, Inc. | 1,305 | 18,936 | |||||||||
Origin Bancorp, Inc. | 500 | 21,145 | |||||||||
Park National Corp. | 1,103 | 144,912 | |||||||||
Peapack-Gladstone Financial Corp. | 600 | 20,850 | |||||||||
Peoples Bancorp, Inc. | 700 | 21,917 | |||||||||
Pinnacle Financial Partners, Inc. | 1,900 | 174,952 | |||||||||
Preferred Bank | 1,032 | 76,461 | |||||||||
Premier Financial Corp. | 900 | 27,297 | |||||||||
QCR Holdings, Inc. | 800 | 45,272 | |||||||||
RBB Bancorp | 583 | 13,695 | |||||||||
Renasant Corp. | 4,259 | 142,464 | |||||||||
Republic Bancorp, Inc., Class A | 300 | 13,482 | |||||||||
S&T Bancorp, Inc. | 3,006 | 88,917 | |||||||||
Sandy Spring Bancorp, Inc. | 2,000 | 89,840 | |||||||||
Seacoast Banking Corp. of Florida | 31,124 | 1,089,962 | |||||||||
ServisFirst Bancshares, Inc. | 3,728 | 355,241 | |||||||||
Simmons First National Corp., Class A | 10,210 | 267,706 | |||||||||
South Plains Financial, Inc. | 256 | 6,804 | |||||||||
South State Corp. | 11,496 | 937,959 | |||||||||
Southside Bancshares, Inc. | 2,471 | 100,891 | |||||||||
Tompkins Financial Corp. | 907 | 70,991 | |||||||||
Triumph Bancorp, Inc.† | 1,807 | 169,894 | |||||||||
TrustCo Bank Corp. | 1,468 | 46,873 | |||||||||
Trustmark Corp. | 9,709 | 295,057 |
Security Description | Shares | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
UMB Financial Corp. | 1,900 | $ | 184,604 | ||||||||
United Community Banks, Inc. | 39,938 | 1,389,842 | |||||||||
Valley National Bancorp | 4,400 | 57,288 | |||||||||
Veritex Holdings, Inc. | 5,871 | 224,096 | |||||||||
Webster Financial Corp. | 3,500 | 196,420 | |||||||||
Westamerica BanCorp | 4,327 | 261,783 | |||||||||
19,615,590 | |||||||||||
Banks-Mortgage — 0.1% | |||||||||||
Walker & Dunlop, Inc. | 2,252 | 291,454 | |||||||||
Banks-Super Regional — 0.2% | |||||||||||
Independent Bank Group, Inc. | 3,809 | 271,048 | |||||||||
National Bank Holdings Corp., Class A | 2,289 | 92,201 | |||||||||
363,249 | |||||||||||
Beverages-Non-alcoholic — 0.5% | |||||||||||
Celsius Holdings, Inc.† | 2,918 | 161,015 | |||||||||
Coca-Cola Consolidated, Inc. | 355 | 176,382 | |||||||||
National Beverage Corp. | 1,782 | 77,517 | |||||||||
Primo Water Corp. | 58,146 | 828,581 | |||||||||
1,243,495 | |||||||||||
Beverages-Wine/Spirits — 0.0% | |||||||||||
MGP Ingredients, Inc. | 956 | 81,824 | |||||||||
Broadcast Services/Program — 0.0% | |||||||||||
Hemisphere Media Group, Inc.† | 6,100 | 27,877 | |||||||||
Building & Construction Products-Misc. — 0.7% | |||||||||||
American Woodmark Corp.† | 1,266 | 61,971 | |||||||||
Gibraltar Industries, Inc.† | 13,131 | 563,976 | |||||||||
Louisiana-Pacific Corp. | 2,200 | 136,664 | |||||||||
Simpson Manufacturing Co., Inc. | 7,482 | 815,837 | |||||||||
1,578,448 | |||||||||||
Building & Construction-Misc. — 1.0% | |||||||||||
Comfort Systems USA, Inc. | 8,553 | 761,302 | |||||||||
EMCOR Group, Inc. | 4,125 | 464,599 | |||||||||
MYR Group, Inc.† | 6,889 | 647,842 | |||||||||
NV5 Global, Inc.† | 906 | 120,770 | |||||||||
TopBuild Corp.† | 1,800 | 326,502 | |||||||||
2,321,015 | |||||||||||
Building Products-Air & Heating — 0.2% | |||||||||||
AAON, Inc. | 3,164 | 176,330 | |||||||||
SPX Corp.† | 3,469 | 171,403 | |||||||||
347,733 | |||||||||||
Building Products-Cement — 0.3% | |||||||||||
Eagle Materials, Inc. | 6,091 | 781,841 | |||||||||
Building Products-Doors & Windows — 0.2% | |||||||||||
Apogee Enterprises, Inc. | 1,899 | 90,127 | |||||||||
Cornerstone Building Brands, Inc.† | 4,200 | 102,144 | |||||||||
Griffon Corp. | 3,613 | 72,368 | |||||||||
PGT Innovations, Inc.† | 4,555 | 81,899 | |||||||||
346,538 | |||||||||||
Building Products-Wood — 0.4% | |||||||||||
Boise Cascade Co. | 5,579 | 387,573 | |||||||||
UFP Industries, Inc. | 7,078 | 546,139 | |||||||||
933,712 |
222
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Building-Heavy Construction — 0.8% | |||||||||||
Arcosa, Inc. | 3,692 | $ | 211,367 | ||||||||
Granite Construction, Inc. | 7,901 | 259,153 | |||||||||
MasTec, Inc.† | 4,300 | 374,530 | |||||||||
Primoris Services Corp. | 38,347 | 913,425 | |||||||||
1,758,475 | |||||||||||
Building-Maintenance & Services — 0.9% | |||||||||||
ABM Industries, Inc. | 13,442 | 618,870 | |||||||||
Terminix Global Holdings, Inc.† | 31,192 | 1,423,291 | |||||||||
2,042,161 | |||||||||||
Building-Mobile Home/Manufactured Housing — 0.8% | |||||||||||
Cavco Industries, Inc.† | 3,482 | 838,640 | |||||||||
LCI Industries | 1,931 | 200,457 | |||||||||
Skyline Champion Corp.† | 9,881 | 542,269 | |||||||||
Winnebago Industries, Inc. | 2,747 | 148,421 | |||||||||
1,729,787 | |||||||||||
Building-Residential/Commercial — 0.8% | |||||||||||
Century Communities, Inc. | 2,270 | 121,604 | |||||||||
Installed Building Products, Inc. | 1,793 | 151,491 | |||||||||
LGI Homes, Inc.† | 1,632 | 159,414 | |||||||||
M/I Homes, Inc.† | 2,223 | 98,590 | |||||||||
MDC Holdings, Inc. | 4,319 | 163,431 | |||||||||
Meritage Homes Corp.† | 3,450 | 273,343 | |||||||||
Tri Pointe Homes, Inc.† | 41,500 | 833,320 | |||||||||
1,801,193 | |||||||||||
Casino Hotels — 0.1% | |||||||||||
Boyd Gaming Corp. | 4,400 | 289,432 | |||||||||
Chemicals-Diversified — 0.4% | |||||||||||
AdvanSix, Inc. | 4,749 | 242,626 | |||||||||
Innospec, Inc. | 1,883 | 174,272 | |||||||||
Koppers Holdings, Inc. | 2,328 | 64,066 | |||||||||
Quaker Chemical Corp. | 1,025 | 177,130 | |||||||||
Stepan Co. | 1,627 | 160,764 | |||||||||
Trinseo PLC | 4,217 | 202,079 | |||||||||
1,020,937 | |||||||||||
Chemicals-Fibers — 0.0% | |||||||||||
Rayonier Advanced Materials, Inc.† | 4,869 | 31,989 | |||||||||
Unifi, Inc.† | 1,060 | 19,186 | |||||||||
51,175 | |||||||||||
Chemicals-Other — 0.0% | |||||||||||
American Vanguard Corp. | 2,056 | 41,778 | |||||||||
Chemicals-Specialty — 2.5% | |||||||||||
Ashland Global Holdings, Inc. | 9,891 | 973,373 | |||||||||
Balchem Corp. | 9,513 | 1,300,427 | |||||||||
Cabot Corp. | 3,575 | 244,566 | |||||||||
Ecovyst, Inc. | 2,200 | 25,432 | |||||||||
Element Solutions, Inc. | 42,536 | 931,538 | |||||||||
Ferro Corp.† | 6,321 | 137,419 | |||||||||
GCP Applied Technologies, Inc.† | 4,123 | 129,545 | |||||||||
H.B. Fuller Co. | 6,435 | 425,161 | |||||||||
Hawkins, Inc. | 1,436 | 65,912 | |||||||||
Ingevity Corp.† | 3,000 | 192,210 | |||||||||
Minerals Technologies, Inc. | 975 | 64,496 | |||||||||
Rogers Corp.† | 1,431 | 388,803 |
Security Description | Shares | Value (Note 2) | |||||||||
Chemicals-Specialty (continued) | |||||||||||
Tronox Holdings PLC, Class A | 7,000 | $ | 138,530 | ||||||||
Valvoline, Inc. | 25,620 | 808,567 | |||||||||
Zymergen, Inc.† | 10,300 | 29,767 | |||||||||
5,855,746 | |||||||||||
Circuit Boards — 0.1% | |||||||||||
TTM Technologies, Inc.† | 15,172 | 224,849 | |||||||||
Coal — 0.3% | |||||||||||
Arch Resources, Inc. | 1,450 | 199,201 | |||||||||
CONSOL Energy, Inc.† | 2,423 | 91,177 | |||||||||
Peabody Energy Corp.† | 2,300 | 56,419 | |||||||||
SunCoke Energy, Inc. | 15,947 | 142,088 | |||||||||
Warrior Met Coal, Inc. | 4,227 | 156,864 | |||||||||
645,749 | |||||||||||
Commercial Services — 1.2% | |||||||||||
Forrester Research, Inc.† | 849 | 47,900 | |||||||||
John Wiley & Sons, Inc., Class A | 12,800 | 678,784 | |||||||||
LiveRamp Holdings, Inc.† | 28,912 | 1,081,020 | |||||||||
Medifast, Inc. | 1,237 | 211,255 | |||||||||
Progyny, Inc.† | 14,742 | 757,739 | |||||||||
WW International, Inc.† | 4,065 | 41,585 | |||||||||
2,818,283 | |||||||||||
Commercial Services-Finance — 0.5% | |||||||||||
EVERTEC, Inc. | 7,363 | 301,367 | |||||||||
Green Dot Corp., Class A† | 4,177 | 114,784 | |||||||||
HealthEquity, Inc.† | 1,500 | 101,160 | |||||||||
Marathon Digital Holdings, Inc.† | 2,200 | 61,490 | |||||||||
Riot Blockchain, Inc.† | 1,900 | 40,223 | |||||||||
Sabre Corp.† | 54,353 | 621,255 | |||||||||
1,240,279 | |||||||||||
Communications Software — 0.1% | |||||||||||
8x8, Inc.† | 9,039 | 113,801 | |||||||||
Consensus Cloud Solutions, Inc.† | 1,216 | 73,118 | |||||||||
186,919 | |||||||||||
Computer Data Security — 0.4% | |||||||||||
OneSpan, Inc.† | 2,626 | 37,919 | |||||||||
Ping Identity Holding Corp.† | 9,000 | 246,870 | |||||||||
Qualys, Inc.† | 400 | 56,964 | |||||||||
Rapid7, Inc.† | 3,225 | 358,749 | |||||||||
Varonis Systems, Inc.† | 5,800 | 275,732 | |||||||||
976,234 | |||||||||||
Computer Services — 1.5% | |||||||||||
CACI International, Inc., Class A† | 650 | 195,819 | |||||||||
ExlService Holdings, Inc.† | 2,544 | 364,479 | |||||||||
Insight Enterprises, Inc.† | 3,165 | 339,668 | |||||||||
KBR, Inc. | 1,800 | 98,514 | |||||||||
Science Applications International Corp. | 12,461 | 1,148,531 | |||||||||
TTEC Holdings, Inc. | 1,400 | 115,528 | |||||||||
Unisys Corp.† | 5,130 | 110,859 | |||||||||
WNS Holdings, Ltd. ADR† | 13,368 | 1,142,830 | |||||||||
3,516,228 | |||||||||||
Computer Software — 0.9% | |||||||||||
Box, Inc., Class A† | 19,322 | 561,498 | |||||||||
Simulations Plus, Inc. | 3,902 | 198,924 |
223
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Computer Software (continued) | |||||||||||
Teradata Corp.† | 16,387 | $ | 807,715 | ||||||||
Xperi Holding Corp. | 18,285 | 316,696 | |||||||||
Zuora, Inc., Class A† | 14,000 | 209,720 | |||||||||
2,094,553 | |||||||||||
Computers-Integrated Systems — 0.3% | |||||||||||
Diebold Nixdorf, Inc.† | 5,566 | 37,459 | |||||||||
NetScout Systems, Inc.† | 22,240 | 713,459 | |||||||||
750,918 | |||||||||||
Computers-Other — 0.5% | |||||||||||
3D Systems Corp.† | 9,757 | 162,747 | |||||||||
Corsair Gaming, Inc.† | 2,522 | 53,365 | |||||||||
Lumentum Holdings, Inc.† | 10,327 | 1,007,915 | |||||||||
1,224,027 | |||||||||||
Consulting Services — 0.2% | |||||||||||
Huron Consulting Group, Inc.† | 4,200 | 192,402 | |||||||||
Kelly Services, Inc., Class A | 13,052 | 283,098 | |||||||||
475,500 | |||||||||||
Consumer Products-Misc. — 0.3% | |||||||||||
Central Garden & Pet Co.† | 745 | 32,750 | |||||||||
Central Garden & Pet Co., Class A† | 4,528 | 184,652 | |||||||||
Helen of Troy, Ltd.† | 400 | 78,336 | |||||||||
Quanex Building Products Corp. | 6,151 | 129,109 | |||||||||
WD-40 Co. | 1,046 | 191,659 | |||||||||
616,506 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Greif, Inc., Class A | 2,300 | 149,638 | |||||||||
O-I Glass, Inc.† | 11,888 | 156,684 | |||||||||
306,322 | |||||||||||
Containers-Paper/Plastic — 0.1% | |||||||||||
Graphic Packaging Holding Co. | 1,900 | 38,076 | |||||||||
Matthews International Corp., Class A | 2,410 | 77,988 | |||||||||
116,064 | |||||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
e.l.f. Beauty, Inc.† | 3,663 | 94,615 | |||||||||
Edgewell Personal Care Co. | 4,131 | 151,484 | |||||||||
Inter Parfums, Inc. | 1,357 | 119,484 | |||||||||
365,583 | |||||||||||
Data Processing/Management — 0.6% | |||||||||||
Bottomline Technologies DE, Inc.† | 2,954 | 167,433 | |||||||||
CommVault Systems, Inc.† | 15,882 | 1,053,770 | |||||||||
CSG Systems International, Inc. | 3,182 | 202,280 | |||||||||
1,423,483 | |||||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Adaptive Biotechnologies Corp.† | 1,300 | 18,044 | |||||||||
Diagnostic Kits — 0.2% | |||||||||||
Meridian Bioscience, Inc.† | 3,326 | 86,343 | |||||||||
Natera, Inc.† | 10,772 | 438,205 | |||||||||
OraSure Technologies, Inc.† | 5,503 | 37,310 | |||||||||
561,858 |
Security Description | Shares | Value (Note 2) | |||||||||
Disposable Medical Products — 0.9% | |||||||||||
BioLife Solutions, Inc.† | 2,291 | $ | 52,074 | ||||||||
CONMED Corp. | 2,234 | 331,861 | |||||||||
ICU Medical, Inc.† | 6,537 | 1,455,398 | |||||||||
Merit Medical Systems, Inc.† | 3,881 | 258,164 | |||||||||
2,097,497 | |||||||||||
Distribution/Wholesale — 1.3% | |||||||||||
Avient Corp. | 5,600 | 268,800 | |||||||||
G-III Apparel Group, Ltd.† | 6,239 | 168,765 | |||||||||
KAR Auction Services, Inc.† | 9,255 | 167,053 | |||||||||
Resideo Technologies, Inc.† | 11,029 | 262,821 | |||||||||
ScanSource, Inc.† | 12,156 | 422,907 | |||||||||
Titan Machinery, Inc.† | 2,900 | 81,954 | |||||||||
Univar Solutions, Inc.† | 32,991 | 1,060,331 | |||||||||
Veritiv Corp.† | 2,359 | 315,139 | |||||||||
WESCO International, Inc.† | 1,300 | 169,182 | |||||||||
2,916,952 | |||||||||||
Diversified Manufacturing Operations — 0.8% | |||||||||||
EnPro Industries, Inc. | 11,032 | 1,078,157 | |||||||||
Fabrinet† | 5,026 | 528,384 | |||||||||
Federal Signal Corp. | 4,665 | 157,444 | |||||||||
1,763,985 | |||||||||||
Diversified Minerals — 0.1% | |||||||||||
Livent Corp.† | 12,342 | 321,756 | |||||||||
Diversified Operations/Commercial Services — 0.0% | |||||||||||
Viad Corp.† | 1,568 | 55,884 | |||||||||
Drug Delivery Systems — 0.0% | |||||||||||
Heron Therapeutics, Inc.† | 11,600 | 66,352 | |||||||||
Drug Detection Systems — 0.0% | |||||||||||
Rapid Micro Biosystems, Inc., Class A† | 8,197 | 55,658 | |||||||||
E-Commerce/Products — 0.0% | |||||||||||
Liquidity Services, Inc.† | 2,038 | 34,891 | |||||||||
E-Commerce/Services — 0.2% | |||||||||||
Cars.com, Inc.† | 4,962 | 71,602 | |||||||||
EverQuote, Inc., Class A† | 1,300 | 21,034 | |||||||||
Shutterstock, Inc. | 1,777 | 165,403 | |||||||||
Upwork, Inc.† | 3,900 | 90,636 | |||||||||
348,675 | |||||||||||
E-Marketing/Info — 0.1% | |||||||||||
QuinStreet, Inc.† | 16,334 | 189,474 | |||||||||
E-Services/Consulting — 0.9% | |||||||||||
Perficient, Inc.† | 18,126 | 1,995,491 | |||||||||
Electric-Distribution — 0.1% | |||||||||||
Unitil Corp. | 1,521 | 75,867 | |||||||||
Via Renewables, Inc. | 9,800 | 80,752 | |||||||||
156,619 | |||||||||||
Electric-Integrated — 0.6% | |||||||||||
ALLETE, Inc. | 650 | 43,537 | |||||||||
Avista Corp. | 13,068 | 590,020 | |||||||||
IDACORP, Inc. | 1,650 | 190,344 | |||||||||
PNM Resources, Inc. | 1,700 | 81,039 | |||||||||
Portland General Electric Co. | 6,700 | 369,505 | |||||||||
1,274,445 |
224
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Electronic Components-Misc. — 1.3% | |||||||||||
Advanced Energy Industries, Inc. | 2,878 | $ | 247,738 | ||||||||
Atkore, Inc.† | 3,400 | 334,696 | |||||||||
Benchmark Electronics, Inc. | 19,591 | 490,559 | |||||||||
Comtech Telecommunications Corp. | 2,013 | 31,584 | |||||||||
CTS Corp. | 2,462 | 87,007 | |||||||||
Kimball Electronics, Inc.† | 1,600 | 31,984 | |||||||||
Knowles Corp.† | 16,213 | 349,066 | |||||||||
OSI Systems, Inc.† | 7,956 | 677,215 | |||||||||
Plexus Corp.† | 2,146 | 175,564 | |||||||||
Sanmina Corp.† | 7,555 | 305,373 | |||||||||
Vishay Intertechnology, Inc. | 9,700 | 190,120 | |||||||||
2,920,906 | |||||||||||
Electronic Components-Semiconductors — 1.8% | |||||||||||
Ambarella, Inc.† | 575 | 60,329 | |||||||||
Amkor Technology, Inc. | 5,000 | 108,600 | |||||||||
CEVA, Inc.† | 1,755 | 71,341 | |||||||||
Diodes, Inc.† | 4,239 | 368,750 | |||||||||
Lattice Semiconductor Corp.† | 1,400 | 85,330 | |||||||||
MACOM Technology Solutions Holdings, Inc.† | 18,819 | 1,126,693 | |||||||||
Photronics, Inc.† | 4,708 | 79,895 | |||||||||
Rambus, Inc.† | 21,254 | 677,790 | |||||||||
Semtech Corp.† | 15,344 | 1,063,953 | |||||||||
Silicon Laboratories, Inc.† | 1,850 | 277,870 | |||||||||
SiTime Corp.† | 400 | 99,128 | |||||||||
SMART Global Holdings, Inc.† | 3,584 | 92,575 | |||||||||
Synaptics, Inc.† | 400 | 79,800 | |||||||||
4,192,054 | |||||||||||
Electronic Measurement Instruments — 0.6% | |||||||||||
Badger Meter, Inc. | 2,234 | 222,752 | |||||||||
FARO Technologies, Inc.† | 1,391 | 72,221 | |||||||||
Itron, Inc.† | 3,458 | 182,167 | |||||||||
Mesa Laboratories, Inc. | 3,520 | 897,178 | |||||||||
Schweitzer-Mauduit International, Inc. | 2,403 | 66,082 | |||||||||
1,440,400 | |||||||||||
Energy-Alternate Sources — 0.4% | |||||||||||
FutureFuel Corp. | 7,872 | 76,594 | |||||||||
Green Plains, Inc.† | 7,094 | 219,985 | |||||||||
Renewable Energy Group, Inc.† | 3,840 | 232,896 | |||||||||
REX American Resources Corp.† | 1,023 | 101,891 | |||||||||
SunPower Corp.† | 2,900 | 62,292 | |||||||||
Sunrun, Inc.† | 5,400 | 163,998 | |||||||||
857,656 | |||||||||||
Engineering/R&D Services — 0.2% | |||||||||||
Exponent, Inc. | 3,981 | 430,147 | |||||||||
Fluor Corp.† | 1,500 | 43,035 | |||||||||
473,182 | |||||||||||
Enterprise Software/Service — 1.3% | |||||||||||
American Software, Inc., Class A | 2,513 | 52,371 | |||||||||
Blackline, Inc.† | 3,800 | 278,236 | |||||||||
Cardlytics, Inc.† | 3,500 | 192,430 | |||||||||
Donnelley Financial Solutions, Inc.† | 4,828 | 160,579 | |||||||||
eGain Corp.† | 20,200 | 233,916 | |||||||||
HireRight Holdings Corp.† | 10,440 | 178,524 | |||||||||
LivePerson, Inc.† | 5,153 | 125,836 |
Security Description | Shares | Value (Note 2) | |||||||||
Enterprise Software/Service (continued) | |||||||||||
ManTech International Corp., Class A | 2,955 | $ | 254,692 | ||||||||
Momentive Global, Inc.† | 15,400 | 250,404 | |||||||||
PagerDuty, Inc.† | 7,100 | 242,749 | |||||||||
Paycor HCM, Inc.† | 3,773 | 109,832 | |||||||||
Progress Software Corp. | 3,375 | 158,929 | |||||||||
SPS Commerce, Inc.† | 2,947 | 386,646 | |||||||||
Workiva, Inc.† | 4,075 | 480,850 | |||||||||
3,105,994 | |||||||||||
Environmental Consulting & Engineering — 0.4% | |||||||||||
Tetra Tech, Inc. | 4,925 | 812,330 | |||||||||
Filtration/Separation Products — 0.4% | |||||||||||
ESCO Technologies, Inc. | 12,358 | 864,071 | |||||||||
Finance-Commercial — 0.1% | |||||||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 2,600 | 123,318 | |||||||||
Finance-Consumer Loans — 0.3% | |||||||||||
Encore Capital Group, Inc.† | 1,894 | 118,811 | |||||||||
Enova International, Inc.† | 2,608 | 99,026 | |||||||||
EZCORP, Inc., Class A† | 4,091 | 24,710 | |||||||||
LendingTree, Inc.† | 876 | 104,831 | |||||||||
Navient Corp. | 2,300 | 39,192 | |||||||||
Nelnet, Inc., Class A | 250 | 21,247 | |||||||||
PRA Group, Inc.† | 3,332 | 150,206 | |||||||||
World Acceptance Corp.† | 315 | 60,430 | |||||||||
618,453 | |||||||||||
Finance-Investment Banker/Broker — 0.7% | |||||||||||
B. Riley Financial, Inc. | 1,229 | 85,981 | |||||||||
Cowen, Inc., Class A | 3,600 | 97,560 | |||||||||
Greenhill & Co., Inc. | 1,027 | 15,888 | |||||||||
Houlihan Lokey, Inc. | 6,223 | 546,379 | |||||||||
Perella Weinberg Partners | 58,448 | 552,333 | |||||||||
Piper Sandler Cos. | 1,627 | 213,544 | |||||||||
StoneX Group, Inc.† | 1,307 | 97,019 | |||||||||
1,608,704 | |||||||||||
Finance-Mortgage Loan/Banker — 0.2% | |||||||||||
Mr. Cooper Group, Inc.† | 9,613 | 439,026 | |||||||||
PennyMac Financial Services, Inc. | 2,400 | 127,680 | |||||||||
566,706 | |||||||||||
Financial Guarantee Insurance — 0.4% | |||||||||||
Assured Guaranty, Ltd. | 5,332 | 339,435 | |||||||||
MGIC Investment Corp. | 7,300 | 98,915 | |||||||||
NMI Holdings, Inc., Class A† | 8,550 | 176,301 | |||||||||
Radian Group, Inc. | 13,000 | 288,730 | |||||||||
903,381 | |||||||||||
Firearms & Ammunition — 0.0% | |||||||||||
Sturm Ruger & Co., Inc. | 1,344 | 93,569 | |||||||||
Food-Baking — 0.1% | |||||||||||
Hostess Brands, Inc.† | 10,570 | 231,906 | |||||||||
Food-Canned — 0.1% | |||||||||||
Seneca Foods Corp., Class A† | 2,563 | 132,097 | |||||||||
Food-Catering — 0.3% | |||||||||||
Healthcare Services Group, Inc. | 9,594 | 178,161 | |||||||||
Sovos Brands, Inc.† | 40,467 | 573,822 | |||||||||
751,983 |
225
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Food-Confectionery — 0.0% | |||||||||||
Tootsie Roll Industries, Inc. | 1,363 | $ | 47,643 | ||||||||
Food-Misc./Diversified — 0.4% | |||||||||||
B&G Foods, Inc. | 4,957 | 133,740 | |||||||||
Cal-Maine Foods, Inc. | 2,861 | 157,984 | |||||||||
J&J Snack Foods Corp. | 1,139 | 176,659 | |||||||||
John B. Sanfilippo & Son, Inc. | 1,982 | 165,378 | |||||||||
Simply Good Foods Co.† | 6,462 | 245,233 | |||||||||
TreeHouse Foods, Inc.† | 4,261 | 137,460 | |||||||||
1,016,454 | |||||||||||
Food-Retail — 0.1% | |||||||||||
Sprouts Farmers Market, Inc.† | 6,300 | 201,474 | |||||||||
Food-Wholesale/Distribution — 0.5% | |||||||||||
Calavo Growers, Inc. | 1,350 | 49,207 | |||||||||
Chefs' Warehouse, Inc.† | 18,272 | 595,667 | |||||||||
Performance Food Group Co.† | 3,480 | 177,167 | |||||||||
SpartanNash Co. | 3,146 | 103,787 | |||||||||
United Natural Foods, Inc.† | 4,437 | 183,470 | |||||||||
1,109,298 | |||||||||||
Footwear & Related Apparel — 0.5% | |||||||||||
Steven Madden, Ltd. | 29,010 | 1,120,946 | |||||||||
Wolverine World Wide, Inc. | 6,292 | 141,948 | |||||||||
1,262,894 | |||||||||||
Gambling (Non-Hotel) — 0.4% | |||||||||||
Golden Entertainment, Inc.† | 1,554 | 90,241 | |||||||||
Monarch Casino & Resort, Inc.† | 1,002 | 87,404 | |||||||||
Red Rock Resorts, Inc., Class A | 13,703 | 665,418 | |||||||||
843,063 | |||||||||||
Gas-Distribution — 1.2% | |||||||||||
Chesapeake Utilities Corp. | 6,075 | 836,892 | |||||||||
New Jersey Resources Corp. | 8,100 | 371,466 | |||||||||
Northwest Natural Holding Co. | 4,847 | 250,687 | |||||||||
ONE Gas, Inc. | 10,461 | 923,079 | |||||||||
South Jersey Industries, Inc. | 8,590 | 296,784 | |||||||||
2,678,908 | |||||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Heritage-Crystal Clean, Inc.† | 1,400 | 41,454 | |||||||||
US Ecology, Inc.† | 2,389 | 114,385 | |||||||||
155,839 | |||||||||||
Health Care Cost Containment — 0.1% | |||||||||||
CorVel Corp.† | 717 | 120,771 | |||||||||
Home Furnishings — 0.1% | |||||||||||
Ethan Allen Interiors, Inc. | 4,081 | 106,392 | |||||||||
Hooker Furniture Corp. | 1,110 | 21,023 | |||||||||
Sleep Number Corp.† | 3,530 | 179,006 | |||||||||
306,421 | |||||||||||
Hotels/Motels — 0.0% | |||||||||||
Marcus Corp.† | 1,670 | 29,559 | |||||||||
Housewares — 0.0% | |||||||||||
Tupperware Brands Corp.† | 3,734 | 72,626 | |||||||||
Human Resources — 1.3% | |||||||||||
AMN Healthcare Services, Inc.† | 4,811 | 501,932 | |||||||||
ASGN, Inc.† | 10,092 | 1,177,837 |
Security Description | Shares | Value (Note 2) | |||||||||
Human Resources (continued) | |||||||||||
Barrett Business Services, Inc. | 896 | $ | 69,413 | ||||||||
Cross Country Healthcare, Inc.† | 2,700 | 58,509 | |||||||||
Heidrick & Struggles International, Inc. | 1,997 | 79,041 | |||||||||
Kforce, Inc. | 3,100 | 229,307 | |||||||||
Korn Ferry | 6,307 | 409,577 | |||||||||
Resources Connection, Inc. | 2,336 | 40,039 | |||||||||
TriNet Group, Inc.† | 700 | 68,852 | |||||||||
TrueBlue, Inc.† | 10,510 | 303,634 | |||||||||
2,938,141 | |||||||||||
Identification Systems — 0.1% | |||||||||||
Brady Corp., Class A | 3,689 | 170,690 | |||||||||
Independent Power Producers — 0.0% | |||||||||||
Clearway Energy, Inc., Class A | 2,100 | 69,972 | |||||||||
Clearway Energy, Inc., Class C | 500 | 18,255 | |||||||||
88,227 | |||||||||||
Industrial Automated/Robotic — 0.0% | |||||||||||
Ichor Holdings, Ltd.† | 2,170 | 77,295 | |||||||||
Insurance Brokers — 0.3% | |||||||||||
eHealth, Inc.† | 1,814 | 22,512 | |||||||||
Ryan Specialty Group Holdings, Inc., Class A† | 18,955 | 735,264 | |||||||||
Selectquote, Inc.† | 9,519 | 26,558 | |||||||||
784,334 | |||||||||||
Insurance-Life/Health — 0.3% | |||||||||||
American Equity Investment Life Holding Co. | 7,679 | 306,469 | |||||||||
CNO Financial Group, Inc. | 1,900 | 47,671 | |||||||||
Trupanion, Inc.† | 2,621 | 233,583 | |||||||||
587,723 | |||||||||||
Insurance-Multi-line — 0.4% | |||||||||||
Genworth Financial, Inc., Class A† | 38,759 | 146,509 | |||||||||
Kemper Corp. | 14,798 | 836,679 | |||||||||
983,188 | |||||||||||
Insurance-Property/Casualty — 1.0% | |||||||||||
Ambac Financial Group, Inc.† | 3,537 | 36,785 | |||||||||
AMERISAFE, Inc. | 1,479 | 73,462 | |||||||||
Employers Holdings, Inc. | 3,428 | 140,617 | |||||||||
First American Financial Corp. | 800 | 51,856 | |||||||||
HCI Group, Inc. | 611 | 41,658 | |||||||||
Horace Mann Educators Corp. | 3,162 | 132,266 | |||||||||
James River Group Holdings, Ltd. | 22,293 | 551,529 | |||||||||
Kinsale Capital Group, Inc. | 1,125 | 256,522 | |||||||||
Palomar Holdings, Inc.† | 1,844 | 117,998 | |||||||||
ProAssurance Corp. | 4,124 | 110,853 | |||||||||
RLI Corp. | 2,450 | 271,043 | |||||||||
Safety Insurance Group, Inc. | 1,087 | 98,754 | |||||||||
Selective Insurance Group, Inc. | 1,400 | 125,104 | |||||||||
Stewart Information Services Corp. | 3,254 | 197,225 | |||||||||
United Fire Group, Inc. | 1,650 | 51,266 | |||||||||
Universal Insurance Holdings, Inc. | 2,143 | 28,909 | |||||||||
2,285,847 |
226
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Insurance-Reinsurance — 0.8% | |||||||||||
Axis Capital Holdings, Ltd. | 12,800 | $ | 774,016 | ||||||||
Essent Group, Ltd. | 6,550 | 269,925 | |||||||||
Reinsurance Group of America, Inc. | 7,882 | 862,764 | |||||||||
SiriusPoint, Ltd.† | 6,569 | 49,136 | |||||||||
1,955,841 | |||||||||||
Internet Connectivity Services — 0.1% | |||||||||||
Cogent Communications Holdings, Inc. | 3,241 | 215,040 | |||||||||
Internet Content-Information/News — 0.2% | |||||||||||
HealthStream, Inc.† | 1,929 | 38,426 | |||||||||
TechTarget, Inc.† | 2,037 | 165,567 | |||||||||
Yelp, Inc.† | 6,500 | 221,715 | |||||||||
425,708 | |||||||||||
Investment Companies — 0.4% | |||||||||||
Compass Diversified Holdings | 40,460 | 961,734 | |||||||||
Investment Management/Advisor Services — 0.4% | |||||||||||
AssetMark Financial Holdings, Inc.† | 2,100 | 46,725 | |||||||||
Blucora, Inc.† | 13,322 | 260,445 | |||||||||
BrightSphere Investment Group, Inc. | 2,675 | 64,869 | |||||||||
Federated Hermes, Inc. | 400 | 13,624 | |||||||||
Focus Financial Partners, Inc., Class A† | 4,550 | 208,117 | |||||||||
Stifel Financial Corp. | 2,175 | 147,682 | |||||||||
Virtus Investment Partners, Inc. | 930 | 223,191 | |||||||||
WisdomTree Investments, Inc. | 8,313 | 48,797 | |||||||||
1,013,450 | |||||||||||
Linen Supply & Related Items — 0.4% | |||||||||||
UniFirst Corp. | 5,462 | 1,006,537 | |||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Astec Industries, Inc. | 1,739 | 74,777 | |||||||||
Manitowoc Co, Inc.† | 6,800 | 102,544 | |||||||||
Terex Corp. | 1,000 | 35,660 | |||||||||
212,981 | |||||||||||
Machinery-Electrical — 0.2% | |||||||||||
Argan, Inc. | 7,100 | 288,189 | |||||||||
Franklin Electric Co., Inc. | 2,979 | 247,376 | |||||||||
535,565 | |||||||||||
Machinery-Farming — 0.1% | |||||||||||
Alamo Group, Inc. | 756 | 108,705 | |||||||||
Lindsay Corp. | 838 | 131,575 | |||||||||
240,280 | |||||||||||
Machinery-General Industrial — 0.9% | |||||||||||
Albany International Corp., Class A | 14,496 | 1,222,303 | |||||||||
Altra Industrial Motion Corp. | 4,300 | 167,399 | |||||||||
Applied Industrial Technologies, Inc. | 2,938 | 301,615 | |||||||||
DXP Enterprises, Inc.† | 1,318 | 35,704 | |||||||||
Kadant, Inc. | 800 | 155,352 | |||||||||
Tennant Co. | 1,416 | 111,581 | |||||||||
1,993,954 | |||||||||||
Machinery-Pumps — 0.4% | |||||||||||
Cactus, Inc., Class A | 9,381 | 532,278 | |||||||||
CIRCOR International, Inc.† | 1,547 | 41,181 | |||||||||
SPX FLOW, Inc. | 3,806 | 328,153 | |||||||||
Watts Water Technologies, Inc., Class A | 500 | 69,795 | |||||||||
971,407 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical Imaging Systems — 0.1% | |||||||||||
Lantheus Holdings, Inc.† | 5,171 | $ | 286,008 | ||||||||
Medical Information Systems — 0.4% | |||||||||||
Allscripts Healthcare Solutions, Inc.† | 16,513 | 371,873 | |||||||||
Apollo Medical Holdings, Inc.† | 2,885 | 139,836 | |||||||||
Computer Programs & Systems, Inc.† | 1,119 | 38,549 | |||||||||
NextGen Healthcare, Inc.† | 17,490 | 365,716 | |||||||||
915,974 | |||||||||||
Medical Instruments — 0.6% | |||||||||||
AngioDynamics, Inc.† | 16,458 | 354,505 | |||||||||
Natus Medical, Inc.† | 8,309 | 218,361 | |||||||||
NuVasive, Inc.† | 14,300 | 810,810 | |||||||||
1,383,676 | |||||||||||
Medical Labs & Testing Services — 1.0% | |||||||||||
Fulgent Genetics, Inc.† | 5,181 | 323,346 | |||||||||
LifeStance Health Group, Inc.† | 15,100 | 152,661 | |||||||||
MEDNAX, Inc.† | 6,511 | 152,878 | |||||||||
Medpace Holdings, Inc.† | 2,400 | 392,616 | |||||||||
Neuronetics, Inc.† | 46,325 | 140,365 | |||||||||
OPKO Health, Inc.† | 30,700 | 105,608 | |||||||||
Personalis, Inc.† | 8,900 | 72,891 | |||||||||
Syneos Health, Inc.† | 12,559 | 1,016,651 | |||||||||
2,357,016 | |||||||||||
Medical Laser Systems — 0.0% | |||||||||||
Cutera, Inc.† | 1,248 | 86,112 | |||||||||
Medical Products — 2.5% | |||||||||||
Accuray, Inc.† | 118,800 | 393,228 | |||||||||
Artivion, Inc.† | 3,004 | 64,226 | |||||||||
Avanos Medical, Inc.† | 3,681 | 123,313 | |||||||||
Bioventus, Inc., Class A† | 6,500 | 91,650 | |||||||||
Cardiovascular Systems, Inc.† | 20,100 | 454,260 | |||||||||
Envista Holdings Corp.† | 27,899 | 1,358,960 | |||||||||
Glaukos Corp.† | 3,582 | 207,111 | |||||||||
Hanger, Inc.† | 2,809 | 51,489 | |||||||||
Inogen, Inc.† | 1,562 | 50,640 | |||||||||
Inspire Medical Systems, Inc.† | 1,050 | 269,524 | |||||||||
Integer Holdings Corp.† | 6,647 | 535,549 | |||||||||
LeMaitre Vascular, Inc. | 1,468 | 68,218 | |||||||||
LivaNova PLC† | 14,948 | 1,223,195 | |||||||||
Omnicell, Inc.† | 3,357 | 434,698 | |||||||||
Orthofix Medical, Inc.† | 1,508 | 49,312 | |||||||||
SeaSpine Holdings Corp.† | 1,300 | 15,808 | |||||||||
Sientra, Inc.† | 78,682 | 174,674 | |||||||||
Surmodics, Inc.† | 1,068 | 48,412 | |||||||||
Tactile Systems Technology, Inc.† | 1,514 | 30,522 | |||||||||
Zimvie, Inc.† | 1,595 | 36,430 | |||||||||
Zynex, Inc. | 12,720 | 79,246 | |||||||||
5,760,465 | |||||||||||
Medical-Biomedical/Gene — 2.7% | |||||||||||
2seventy Bio, Inc.† | 386 | 6,585 | |||||||||
ACADIA Pharmaceuticals, Inc.† | 3,700 | 89,614 | |||||||||
Amicus Therapeutics, Inc.† | 34,900 | 330,503 | |||||||||
ANI Pharmaceuticals, Inc.† | 972 | 27,323 | |||||||||
Arrowhead Pharmaceuticals, Inc.† | 3,500 | 160,965 | |||||||||
Atara Biotherapeutics, Inc.† | 20,000 | 185,800 | |||||||||
Avid Bioservices, Inc.† | 4,704 | 95,820 |
227
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Medical-Biomedical/Gene (continued) | |||||||||||
Beam Therapeutics, Inc.† | 2,100 | $ | 120,330 | ||||||||
Biohaven Pharmaceutical Holding Co., Ltd.† | 1,025 | 121,534 | |||||||||
Black Diamond Therapeutics, Inc.† | 11,800 | 32,686 | |||||||||
Bluebird Bio, Inc.† | 1,160 | 5,626 | |||||||||
Bridgebio Pharma, Inc.† | 2,000 | 20,300 | |||||||||
Cara Therapeutics, Inc.† | 3,198 | 38,856 | |||||||||
CytomX Therapeutics, Inc.† | 17,600 | 46,992 | |||||||||
Decibel Therapeutics, Inc.† | 102 | 310 | |||||||||
Eiger BioPharmaceuticals, Inc.† | 6,100 | 50,630 | |||||||||
Emergent BioSolutions, Inc.† | 4,058 | 166,622 | |||||||||
Esperion Therapeutics, Inc.† | 800 | 3,712 | |||||||||
Evolus, Inc.† | 53,213 | 597,050 | |||||||||
Fate Therapeutics, Inc.† | 6,300 | 244,251 | |||||||||
FibroGen, Inc.† | 22,766 | 273,647 | |||||||||
Global Blood Therapeutics, Inc.† | 7,400 | 256,336 | |||||||||
Homology Medicines, Inc.† | 1,500 | 4,560 | |||||||||
Innoviva, Inc.† | 4,778 | 92,454 | |||||||||
Insmed, Inc.† | 900 | 21,150 | |||||||||
Intercept Pharmaceuticals, Inc.† | 10,900 | 177,343 | |||||||||
Intra-Cellular Therapies, Inc.† | 11,200 | 685,328 | |||||||||
iTeos Therapeutics, Inc.† | 6,836 | 219,983 | |||||||||
Ligand Pharmaceuticals, Inc.† | 2,727 | 306,760 | |||||||||
Myriad Genetics, Inc.† | 6,100 | 153,720 | |||||||||
Nektar Therapeutics† | 14,098 | 75,988 | |||||||||
NeoGenomics, Inc.† | 38,368 | 466,171 | |||||||||
Organogenesis Holdings, Inc.† | 4,815 | 36,690 | |||||||||
Puma Biotechnology, Inc.† | 8,000 | 23,040 | |||||||||
REGENXBIO, Inc.† | 2,875 | 95,421 | |||||||||
Sana Biotechnology, Inc.† | 101 | 834 | |||||||||
Sensei Biotherapeutics, Inc.† | 9,300 | 21,483 | |||||||||
Sigilon Therapeutics, Inc.† | 5,800 | 8,526 | |||||||||
Sutro Biopharma, Inc.† | 1,000 | 8,220 | |||||||||
TG Therapeutics, Inc.† | 11,200 | 106,512 | |||||||||
Travere Therapeutics, Inc.† | 4,600 | 118,542 | |||||||||
Turning Point Therapeutics, Inc.† | 850 | 22,823 | |||||||||
Tyra Biosciences, Inc.† | 14,800 | 158,360 | |||||||||
UroGen Pharma, Ltd.† | 3,200 | 27,872 | |||||||||
Vericel Corp.† | 3,576 | 136,675 | |||||||||
Wave Life Sciences, Ltd.† | 10,500 | 21,000 | |||||||||
Xencor, Inc.† | 15,067 | 401,988 | |||||||||
6,266,935 | |||||||||||
Medical-Drugs — 2.1% | |||||||||||
Aerie Pharmaceuticals, Inc.† | 30,353 | 276,212 | |||||||||
Amphastar Pharmaceuticals, Inc.† | 6,614 | 237,443 | |||||||||
Athenex, Inc.† | 5,700 | 4,728 | |||||||||
Catalyst Pharmaceuticals, Inc.† | 46,200 | 382,998 | |||||||||
Coherus Biosciences, Inc.† | 33,968 | 438,527 | |||||||||
Collegium Pharmaceutical, Inc.† | 2,641 | 53,771 | |||||||||
Corcept Therapeutics, Inc.† | 12,483 | 281,117 | |||||||||
Cytokinetics, Inc.† | 6,408 | 235,879 | |||||||||
Eagle Pharmaceuticals, Inc.† | 3,268 | 161,733 | |||||||||
Enanta Pharmaceuticals, Inc.† | 1,394 | 99,225 | |||||||||
Fulcrum Therapeutics, Inc.† | 12,144 | 287,206 | |||||||||
Gritstone Bio, Inc.† | 900 | 3,708 | |||||||||
Harmony Biosciences Holdings, Inc.† | 1,742 | 84,748 | |||||||||
Harpoon Therapeutics, Inc.† | 12,358 | 61,419 |
Security Description | Shares | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
Intellia Therapeutics, Inc.† | 3,525 | $ | 256,162 | ||||||||
Landos Biopharma, Inc.† | 7,339 | 10,825 | |||||||||
Lannett Co., Inc.† | 21,622 | 17,036 | |||||||||
Madrigal Pharmaceuticals, Inc.† | 1,650 | 161,898 | |||||||||
Marinus Pharmaceuticals, Inc.† | 18,000 | 168,300 | |||||||||
Pacira BioSciences, Inc.† | 11,673 | 890,883 | |||||||||
Phibro Animal Health Corp., Class A | 1,554 | 31,002 | |||||||||
Prestige Consumer Healthcare, Inc.† | 3,835 | 203,025 | |||||||||
Supernus Pharmaceuticals, Inc.† | 4,062 | 131,284 | |||||||||
uniQure NV† | 2,754 | 49,765 | |||||||||
Vanda Pharmaceuticals, Inc.† | 23,756 | 268,680 | |||||||||
Y-mAbs Therapeutics, Inc.† | 300 | 3,564 | |||||||||
4,801,138 | |||||||||||
Medical-Generic Drugs — 0.1% | |||||||||||
Amneal Pharmaceuticals, Inc.† | 19,100 | 79,647 | |||||||||
Arvinas, Inc.† | 2,200 | 148,060 | |||||||||
Endo International PLC† | 17,850 | 41,234 | |||||||||
268,941 | |||||||||||
Medical-HMO — 0.1% | |||||||||||
Tivity Health, Inc.† | 4,282 | 137,752 | |||||||||
Medical-Hospitals — 0.2% | |||||||||||
Community Health Systems, Inc.† | 9,486 | 112,599 | |||||||||
Select Medical Holdings Corp. | 8,095 | 194,199 | |||||||||
Tenet Healthcare Corp.† | 2,000 | 171,920 | |||||||||
478,718 | |||||||||||
Medical-Nursing Homes — 0.2% | |||||||||||
Ensign Group, Inc. | 3,998 | 359,860 | |||||||||
Pennant Group, Inc.† | 2,067 | 38,508 | |||||||||
398,368 | |||||||||||
Medical-Outpatient/Home Medical — 0.1% | |||||||||||
Addus HomeCare Corp.† | 1,217 | 113,534 | |||||||||
Joint Corp.† | 1,101 | 38,964 | |||||||||
ModivCare, Inc.† | 1,041 | 120,121 | |||||||||
272,619 | |||||||||||
Medical-Wholesale Drug Distribution — 0.3% | |||||||||||
AdaptHealth Corp.† | 19,154 | 307,039 | |||||||||
Covetrus, Inc.† | 7,894 | 132,540 | |||||||||
Owens & Minor, Inc. | 5,764 | 253,731 | |||||||||
693,310 | |||||||||||
Metal Processors & Fabrication — 0.9% | |||||||||||
AZZ, Inc. | 2,886 | 139,221 | |||||||||
Mueller Industries, Inc. | 6,632 | 359,255 | |||||||||
Proto Labs, Inc.† | 11,083 | 586,291 | |||||||||
Standex International Corp. | 10,066 | 1,005,795 | |||||||||
Tredegar Corp. | 1,959 | 23,488 | |||||||||
2,114,050 | |||||||||||
Metal Products-Distribution — 0.0% | |||||||||||
Olympic Steel, Inc. | 711 | 27,345 | |||||||||
Worthington Industries, Inc. | 400 | 20,564 | |||||||||
47,909 | |||||||||||
Metal-Aluminum — 0.4% | |||||||||||
Alcoa Corp. | 2,300 | 207,069 | |||||||||
Arconic Corp.† | 12,534 | 321,121 |
228
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Metal-Aluminum (continued) | |||||||||||
Century Aluminum Co.† | 3,855 | $ | 101,425 | ||||||||
Constellium SE† | 5,000 | 90,000 | |||||||||
Kaiser Aluminum Corp. | 1,212 | 114,122 | |||||||||
833,737 | |||||||||||
Miscellaneous Manufacturing — 0.3% | |||||||||||
Hillenbrand, Inc. | 11,262 | 497,442 | |||||||||
John Bean Technologies Corp. | 2,427 | 287,527 | |||||||||
784,969 | |||||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Lions Gate Entertainment Corp., Class A† | 17,700 | 287,625 | |||||||||
MRI/Medical Diagnostic Imaging — 0.0% | |||||||||||
RadNet, Inc.† | 3,561 | 79,660 | |||||||||
Multilevel Direct Selling — 0.1% | |||||||||||
Nu Skin Enterprises, Inc., Class A | 4,300 | 205,884 | |||||||||
Multimedia — 0.0% | |||||||||||
E.W. Scripps Co., Class A† | 4,368 | 90,811 | |||||||||
Networking Products — 0.3% | |||||||||||
A10 Networks, Inc. | 21,700 | 302,715 | |||||||||
Extreme Networks, Inc.† | 33,870 | 413,553 | |||||||||
NETGEAR, Inc.† | 2,235 | 55,160 | |||||||||
771,428 | |||||||||||
Office Automation & Equipment — 0.0% | |||||||||||
Pitney Bowes, Inc. | 12,642 | 65,738 | |||||||||
Office Furnishings-Original — 0.5% | |||||||||||
HNI Corp. | 7,827 | 289,991 | |||||||||
Interface, Inc. | 50,962 | 691,554 | |||||||||
Steelcase, Inc., Class A | 14,000 | 167,300 | |||||||||
1,148,845 | |||||||||||
Oil & Gas Drilling — 0.4% | |||||||||||
Helmerich & Payne, Inc. | 8,059 | 344,764 | |||||||||
Nabors Industries, Ltd.† | 592 | 90,410 | |||||||||
Patterson-UTI Energy, Inc. | 25,232 | 390,592 | |||||||||
825,766 | |||||||||||
Oil Companies-Exploration & Production — 2.7% | |||||||||||
Antero Resources Corp.† | 10,800 | 329,724 | |||||||||
Callon Petroleum Co.† | 3,609 | 213,220 | |||||||||
Civitas Resources, Inc. | 5,506 | 328,763 | |||||||||
CNX Resources Corp.† | 16,400 | 339,808 | |||||||||
Falcon Minerals Corp. | 1,200 | 8,088 | |||||||||
Laredo Petroleum, Inc.† | 1,095 | 86,658 | |||||||||
Magnolia Oil & Gas Corp., Class A | 15,900 | 376,035 | |||||||||
Matador Resources Co. | 27,175 | 1,439,732 | |||||||||
Oasis Petroleum, Inc. | 2,550 | 373,065 | |||||||||
Ovintiv, Inc. | 16,600 | 897,562 | |||||||||
PDC Energy, Inc. | 7,400 | 537,832 | |||||||||
Range Resources Corp.† | 4,700 | 142,786 | |||||||||
Ranger Oil Corp.† | 1,611 | 55,628 | |||||||||
SM Energy Co. | 9,279 | 361,417 | |||||||||
Southwestern Energy Co.† | 85,121 | 610,318 | |||||||||
Talos Energy, Inc.† | 3,127 | 49,375 | |||||||||
Whiting Petroleum Corp. | 300 | 24,453 | |||||||||
6,174,464 |
Security Description | Shares | Value (Note 2) | |||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
Murphy Oil Corp. | 1,000 | $ | 40,390 | ||||||||
Oil Field Machinery & Equipment — 0.1% | |||||||||||
Dril-Quip, Inc.† | 2,703 | 100,957 | |||||||||
US Silica Holdings, Inc.† | 5,696 | 106,287 | |||||||||
207,244 | |||||||||||
Oil Refining & Marketing — 0.4% | |||||||||||
Delek US Holdings, Inc.† | 33,167 | 703,804 | |||||||||
Par Pacific Holdings, Inc.† | 3,494 | 45,492 | |||||||||
PBF Energy, Inc., Class A† | 7,256 | 176,828 | |||||||||
926,124 | |||||||||||
Oil-Field Services — 1.0% | |||||||||||
Archrock, Inc. | 12,938 | 119,418 | |||||||||
Bristow Group, Inc.† | 1,770 | 65,632 | |||||||||
ChampionX Corp.† | 1,800 | 44,064 | |||||||||
Core Laboratories NV | 3,535 | 111,812 | |||||||||
DMC Global, Inc.† | 1,472 | 44,896 | |||||||||
Helix Energy Solutions Group, Inc.† | 15,135 | 72,345 | |||||||||
MRC Global, Inc.† | 17,100 | 203,661 | |||||||||
National Energy Services Reunited Corp.† | 3,000 | 25,200 | |||||||||
NexTier Oilfield Solutions, Inc.† | 12,800 | 118,272 | |||||||||
NOW, Inc.† | 48,745 | 537,657 | |||||||||
Oceaneering International, Inc.† | 14,423 | 218,653 | |||||||||
Oil States International, Inc.† | 10,188 | 70,806 | |||||||||
ProPetro Holding Corp.† | 11,175 | 155,668 | |||||||||
RPC, Inc.† | 5,370 | 57,298 | |||||||||
Select Energy Services, Inc., Class A† | 3,100 | 26,567 | |||||||||
Solaris Oilfield Infrastructure, Inc., Class A | 42,105 | 475,365 | |||||||||
2,347,314 | |||||||||||
Optical Supplies — 0.1% | |||||||||||
STAAR Surgical Co.† | 2,800 | 223,748 | |||||||||
Paper & Related Products — 0.3% | |||||||||||
Clearwater Paper Corp.† | 1,675 | 46,950 | |||||||||
Glatfelter Corp. | 3,401 | 42,105 | |||||||||
Mercer International, Inc. | 3,077 | 42,924 | |||||||||
Neenah, Inc. | 13,352 | 529,540 | |||||||||
Sylvamo Corp.† | 2,695 | 89,690 | |||||||||
751,209 | |||||||||||
Pastoral & Agricultural — 0.9% | |||||||||||
Darling Ingredients, Inc.† | 26,463 | 2,127,096 | |||||||||
Pharmacy Services — 0.5% | |||||||||||
Option Care Health, Inc.† | 39,900 | 1,139,544 | |||||||||
Physical Therapy/Rehabilitation Centers — 0.0% | |||||||||||
U.S. Physical Therapy, Inc. | 986 | 98,058 | |||||||||
Pipelines — 0.0% | |||||||||||
Golar LNG, Ltd.† | 2,500 | 61,950 | |||||||||
Power Converter/Supply Equipment — 0.0% | |||||||||||
Powell Industries, Inc. | 3,892 | 75,583 | |||||||||
Precious Metals — 0.0% | |||||||||||
Coeur Mining, Inc.† | 7,400 | 32,930 | |||||||||
Hecla Mining Co. | 4,000 | 26,280 | |||||||||
59,210 |
229
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Printing-Commercial — 0.1% | |||||||||||
Deluxe Corp. | 3,255 | $ | 98,431 | ||||||||
Ennis, Inc. | 1,200 | 22,164 | |||||||||
120,595 | |||||||||||
Private Corrections — 0.0% | |||||||||||
CoreCivic, Inc.† | 9,188 | 102,630 | |||||||||
Professional Sports — 0.3% | |||||||||||
Madison Square Garden Entertainment Corp.† | 8,179 | 681,392 | |||||||||
Protection/Safety — 0.1% | |||||||||||
Alarm.com Holdings, Inc.† | 3,518 | 233,806 | |||||||||
Publishing-Books — 0.1% | |||||||||||
Houghton Mifflin Harcourt Co.† | 10,100 | 212,201 | |||||||||
Scholastic Corp. | 2,316 | 93,288 | |||||||||
305,489 | |||||||||||
Publishing-Newspapers — 0.0% | |||||||||||
Gannett Co, Inc.† | 10,872 | 49,033 | |||||||||
Publishing-Periodicals — 0.0% | |||||||||||
Thryv Holdings, Inc.† | 1,297 | 36,472 | |||||||||
Quarrying — 0.1% | |||||||||||
Compass Minerals International, Inc. | 2,602 | 163,380 | |||||||||
Real Estate Investment Trusts — 6.5% | |||||||||||
Acadia Realty Trust | 6,757 | 146,424 | |||||||||
Agree Realty Corp. | 7,895 | 523,912 | |||||||||
Alexander & Baldwin, Inc. | 10,396 | 241,083 | |||||||||
American Assets Trust, Inc. | 5,122 | 194,073 | |||||||||
Apollo Commercial Real Estate Finance, Inc. | 10,092 | 140,582 | |||||||||
Apple Hospitality REIT, Inc. | 16,400 | 294,708 | |||||||||
Ares Commercial Real Estate Corp. | 8,000 | 124,160 | |||||||||
Armada Hoffler Properties, Inc. | 5,143 | 75,088 | |||||||||
ARMOUR Residential REIT, Inc. | 6,851 | 57,548 | |||||||||
Blackstone Mtg. Trust, Inc., Class A | 7,800 | 247,962 | |||||||||
Brandywine Realty Trust | 13,072 | 184,838 | |||||||||
Broadstone Net Lease, Inc. | 2,500 | 54,450 | |||||||||
CareTrust REIT, Inc. | 9,812 | 189,372 | |||||||||
Centerspace | 1,946 | 190,942 | |||||||||
Chatham Lodging Trust† | 4,525 | 62,400 | |||||||||
City Office REIT, Inc. | 3,200 | 56,512 | |||||||||
Community Healthcare Trust, Inc. | 3,094 | 130,598 | |||||||||
Corporate Office Properties Trust | 4,100 | 117,014 | |||||||||
DiamondRock Hospitality Co.† | 20,889 | 210,979 | |||||||||
DigitalBridge Group, Inc.† | 9,600 | 69,120 | |||||||||
Diversified Healthcare Trust | 18,256 | 58,419 | |||||||||
Douglas Emmett, Inc. | 32,416 | 1,083,343 | |||||||||
Easterly Government Properties, Inc. | 8,480 | 179,267 | |||||||||
EastGroup Properties, Inc. | 1,350 | 274,428 | |||||||||
Ellington Financial, Inc. | 9,667 | 171,589 | |||||||||
Essential Properties Realty Trust, Inc. | 11,587 | 293,151 | |||||||||
First Industrial Realty Trust, Inc. | 2,525 | 156,323 | |||||||||
Four Corners Property Trust, Inc. | 11,059 | 299,035 | |||||||||
Franklin BSP Realty Trust, Inc. | 3,357 | 46,931 | |||||||||
Franklin Street Properties Corp. | 7,262 | 42,846 | |||||||||
GEO Group, Inc.† | 9,360 | 61,870 | |||||||||
Getty Realty Corp. | 7,013 | 200,712 | |||||||||
Gladstone Commercial Corp. | 2,400 | 52,848 |
Security Description | Shares | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Global Medical REIT, Inc. | 1,800 | $ | 29,376 | ||||||||
Global Net Lease, Inc. | 7,914 | 124,487 | |||||||||
Granite Point Mtg. Trust, Inc. | 4,109 | 45,692 | |||||||||
Healthcare Realty Trust, Inc. | 8,200 | 225,336 | |||||||||
Hersha Hospitality Trust† | 2,523 | 22,909 | |||||||||
Highwoods Properties, Inc. | 800 | 36,592 | |||||||||
Independence Realty Trust, Inc. | 21,157 | 559,391 | |||||||||
Industrial Logistics Properties Trust | 4,996 | 113,259 | |||||||||
Innovative Industrial Properties, Inc. | 2,007 | 412,238 | |||||||||
Invesco Mtg. Capital, Inc. | 23,813 | 54,294 | |||||||||
iStar, Inc. | 5,307 | 124,237 | |||||||||
Kite Realty Group Trust | 7,628 | 173,690 | |||||||||
KKR Real Estate Finance Trust, Inc. | 14,522 | 299,298 | |||||||||
Ladder Capital Corp. | 9,500 | 112,765 | |||||||||
LTC Properties, Inc. | 3,008 | 115,718 | |||||||||
LXP Industrial Trust | 26,304 | 412,973 | |||||||||
MFA Financial, Inc. | 5,416 | 21,827 | |||||||||
National Storage Affiliates Trust | 5,300 | 332,628 | |||||||||
Necessity Retail REIT, Inc. | 3,400 | 26,894 | |||||||||
New York Mtg. Trust, Inc. | 28,973 | 105,751 | |||||||||
NexPoint Residential Trust, Inc. | 1,736 | 156,778 | |||||||||
Office Properties Income Trust | 3,699 | 95,175 | |||||||||
Orion Office REIT, Inc. | 4,326 | 60,564 | |||||||||
Paramount Group, Inc. | 4,800 | 52,368 | |||||||||
PennyMac Mtg. Investment Trust | 7,249 | 122,436 | |||||||||
Phillips Edison & Co., Inc. | 2,600 | 89,414 | |||||||||
Physicians Realty Trust | 4,000 | 70,160 | |||||||||
Piedmont Office Realty Trust, Inc., Class A | 4,800 | 82,656 | |||||||||
Plymouth Industrial REIT, Inc. | 4,700 | 127,370 | |||||||||
PotlatchDeltic Corp. | 2,300 | 121,279 | |||||||||
Ready Capital Corp. | 9,135 | 137,573 | |||||||||
Redwood Trust, Inc. | 15,410 | 162,267 | |||||||||
Retail Opportunity Investments Corp. | 17,775 | 344,657 | |||||||||
RLJ Lodging Trust | 6,900 | 97,152 | |||||||||
RPT Realty | 6,439 | 88,665 | |||||||||
Ryman Hospitality Properties, Inc.† | 1,300 | 120,601 | |||||||||
Safehold, Inc. | 1,080 | 59,886 | |||||||||
Saul Centers, Inc. | 996 | 52,489 | |||||||||
Service Properties Trust | 12,611 | 111,355 | |||||||||
SITE Centers Corp. | 16,814 | 280,962 | |||||||||
STAG Industrial, Inc. | 5,200 | 215,020 | |||||||||
Summit Hotel Properties, Inc.† | 9,832 | 97,927 | |||||||||
Sunstone Hotel Investors, Inc.† | 2,600 | 30,628 | |||||||||
Tanger Factory Outlet Centers, Inc. | 7,943 | 136,540 | |||||||||
Terreno Realty Corp. | 15,209 | 1,126,226 | |||||||||
TPG RE Finance Trust, Inc. | 4,300 | 50,783 | |||||||||
Two Harbors Investment Corp. | 26,270 | 145,273 | |||||||||
UMH Properties, Inc. | 2,500 | 61,475 | |||||||||
Uniti Group, Inc. | 18,033 | 248,134 | |||||||||
Universal Health Realty Income Trust | 979 | 57,144 | |||||||||
Urban Edge Properties | 8,411 | 160,650 | |||||||||
Urstadt Biddle Properties, Inc., Class A | 2,304 | 43,338 | |||||||||
Veris Residential, Inc.† | 6,114 | 106,322 | |||||||||
Washington Real Estate Investment Trust | 6,465 | 164,858 | |||||||||
Whitestone REIT | 3,527 | 46,733 | |||||||||
Xenia Hotels & Resorts, Inc.† | 19,324 | 372,760 | |||||||||
15,079,500 |
230
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Real Estate Management/Services — 0.3% | |||||||||||
Cushman & Wakefield PLC† | 5,800 | $ | 118,958 | ||||||||
Douglas Elliman, Inc. | 5,046 | 36,836 | |||||||||
Marcus & Millichap, Inc. | 1,909 | 100,566 | |||||||||
RE/MAX Holdings, Inc., Class A | 1,443 | 40,014 | |||||||||
Realogy Holdings Corp.† | 18,306 | 287,038 | |||||||||
583,412 | |||||||||||
Real Estate Operations & Development — 1.0% | |||||||||||
Kennedy-Wilson Holdings, Inc. | 54,071 | 1,318,792 | |||||||||
McGrath RentCorp | 10,986 | 933,590 | |||||||||
St. Joe Co. | 2,519 | 149,226 | |||||||||
2,401,608 | |||||||||||
Recycling — 0.1% | |||||||||||
Harsco Corp.† | 6,050 | 74,052 | |||||||||
PureCycle Technologies, Inc.† | 22,263 | 178,104 | |||||||||
252,156 | |||||||||||
Rental Auto/Equipment — 0.6% | |||||||||||
Aaron's Co., Inc. | 2,405 | 48,292 | |||||||||
Avis Budget Group, Inc.† | 625 | 164,563 | |||||||||
Custom Truck One Source, Inc.† | 54,830 | 460,024 | |||||||||
Herc Holdings, Inc. | 1,825 | 304,939 | |||||||||
PROG Holdings, Inc.† | 6,200 | 178,374 | |||||||||
Rent-A-Center, Inc. | 4,620 | 116,378 | |||||||||
1,272,570 | |||||||||||
Resorts/Theme Parks — 0.2% | |||||||||||
Marriott Vacations Worldwide Corp. | 2,050 | 323,285 | |||||||||
Membership Collective Group, Inc.† Class A | 19,196 | 148,961 | |||||||||
472,246 | |||||||||||
Retail-Apparel/Shoe — 0.6% | |||||||||||
Abercrombie & Fitch Co., Class A† | 12,915 | 413,151 | |||||||||
Boot Barn Holdings, Inc.† | 2,266 | 214,794 | |||||||||
Buckle, Inc. | 2,244 | 74,142 | |||||||||
Caleres, Inc. | 2,910 | 56,250 | |||||||||
Cato Corp., Class A | 1,455 | 21,330 | |||||||||
Chico's FAS, Inc.† | 9,361 | 44,933 | |||||||||
Children's Place, Inc.† | 1,042 | 51,371 | |||||||||
Designer Brands, Inc., Class A† | 4,712 | 63,659 | |||||||||
Genesco, Inc.† | 1,049 | 66,727 | |||||||||
Guess?, Inc. | 7,678 | 167,764 | |||||||||
Shoe Carnival, Inc. | 1,334 | 38,900 | |||||||||
Vera Bradley, Inc.† | 1,932 | 14,818 | |||||||||
Winmark Corp. | 275 | 60,500 | |||||||||
1,288,339 | |||||||||||
Retail-Appliances — 0.0% | |||||||||||
Conn's, Inc.† | 1,466 | 22,591 | |||||||||
Retail-Automobile — 1.0% | |||||||||||
America's Car-Mart, Inc.† | 462 | 37,219 | |||||||||
Asbury Automotive Group, Inc.† | 8,757 | 1,402,872 | |||||||||
Group 1 Automotive, Inc. | 2,664 | 447,099 | |||||||||
Lithia Motors, Inc. | 200 | 60,024 | |||||||||
Rush Enterprises, Inc., Class A | 1,100 | 56,001 | |||||||||
Sonic Automotive, Inc., Class A | 4,485 | 190,657 | |||||||||
2,193,872 |
Security Description | Shares | Value (Note 2) | |||||||||
Retail-Bedding — 0.1% | |||||||||||
Bed Bath & Beyond, Inc.† | 11,159 | $ | 251,412 | ||||||||
Retail-Bookstores — 0.0% | |||||||||||
Barnes & Noble Education, Inc.† | 2,780 | 9,952 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
GMS, Inc.† | 3,289 | 163,694 | |||||||||
Patrick Industries, Inc. | 1,717 | 103,535 | |||||||||
267,229 | |||||||||||
Retail-Computer Equipment — 0.0% | |||||||||||
PC Connection, Inc. | 841 | 44,060 | |||||||||
Retail-Discount — 0.1% | |||||||||||
Big Lots, Inc. | 2,333 | 80,722 | |||||||||
BJ's Wholesale Club Holdings, Inc.† | 1,900 | 128,459 | |||||||||
209,181 | |||||||||||
Retail-Drug Store — 0.0% | |||||||||||
OptimizeRx Corp.† | 1,357 | 51,172 | |||||||||
Retail-Floor Coverings — 0.0% | |||||||||||
Lumber Liquidators Holdings, Inc.† | 2,222 | 31,152 | |||||||||
Retail-Home Furnishings — 0.1% | |||||||||||
Haverty Furniture Cos., Inc. | 1,137 | 31,177 | |||||||||
La-Z-Boy, Inc. | 3,354 | 88,445 | |||||||||
119,622 | |||||||||||
Retail-Jewelry — 0.2% | |||||||||||
Movado Group, Inc. | 1,251 | 48,852 | |||||||||
Signet Jewelers, Ltd. | 5,420 | 394,034 | |||||||||
442,886 | |||||||||||
Retail-Leisure Products — 0.0% | |||||||||||
MarineMax, Inc.† | 1,674 | 67,395 | |||||||||
Retail-Misc./Diversified — 0.1% | |||||||||||
PriceSmart, Inc. | 1,839 | 145,042 | |||||||||
Sally Beauty Holdings, Inc.† | 8,408 | 131,417 | |||||||||
276,459 | |||||||||||
Retail-Office Supplies — 0.2% | |||||||||||
ODP Corp.† | 8,706 | 398,996 | |||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash Holdings, Inc. | 1,200 | 84,408 | |||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
PetMed Express, Inc. | 1,603 | 41,357 | |||||||||
Retail-Petroleum Products — 0.3% | |||||||||||
Murphy USA, Inc. | 2,425 | 484,903 | |||||||||
World Fuel Services Corp. | 4,825 | 130,468 | |||||||||
615,371 | |||||||||||
Retail-Regional Department Stores — 0.2% | |||||||||||
Dillard's, Inc., Class A | 425 | 114,066 | |||||||||
Macy's, Inc. | 13,400 | 326,424 | |||||||||
440,490 | |||||||||||
Retail-Restaurants — 0.7% | |||||||||||
BJ's Restaurants, Inc.† | 1,780 | 50,374 | |||||||||
Bloomin' Brands, Inc. | 18,004 | 395,008 | |||||||||
Brinker International, Inc.† | 3,407 | 130,011 | |||||||||
Cheesecake Factory, Inc.† | 3,706 | 147,462 | |||||||||
Chuy's Holdings, Inc.† | 1,513 | 40,851 | |||||||||
Dave & Buster's Entertainment, Inc.† | 2,959 | 145,287 | |||||||||
Dine Brands Global, Inc. | 1,315 | 102,504 |
231
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
El Pollo Loco Holdings, Inc.† | 1,480 | $ | 17,197 | ||||||||
Fiesta Restaurant Group, Inc.† | 1,309 | 9,785 | |||||||||
Jack in the Box, Inc. | 1,612 | 150,577 | |||||||||
Portillo's, Inc., Class A† | 3,802 | 93,377 | |||||||||
Red Robin Gourmet Burgers, Inc.† | 1,201 | 20,249 | |||||||||
Ruth's Hospitality Group, Inc. | 2,424 | 55,461 | |||||||||
Shake Shack, Inc., Class A† | 2,990 | 203,021 | |||||||||
1,561,164 | |||||||||||
Retail-Sporting Goods — 0.3% | |||||||||||
Academy Sports & Outdoors, Inc. | 6,695 | 263,783 | |||||||||
Hibbett, Inc. | 2,483 | 110,096 | |||||||||
Zumiez, Inc.† | 5,592 | 213,671 | |||||||||
587,550 | |||||||||||
Rubber-Tires — 0.0% | |||||||||||
Goodyear Tire & Rubber Co.† | 1,051 | 15,019 | |||||||||
Rubber/Plastic Products — 0.0% | |||||||||||
Myers Industries, Inc. | 2,768 | 59,789 | |||||||||
Satellite Telecom — 0.1% | |||||||||||
EchoStar Corp., Class A† | 11,100 | 270,174 | |||||||||
Savings & Loans/Thrifts — 1.6% | |||||||||||
Axos Financial, Inc.† | 6,291 | 291,839 | |||||||||
Banc of California, Inc. | 4,133 | 80,015 | |||||||||
Berkshire Hills Bancorp, Inc. | 3,718 | 107,710 | |||||||||
Brookline Bancorp, Inc. | 27,329 | 432,345 | |||||||||
Capitol Federal Financial, Inc. | 9,864 | 107,320 | |||||||||
Flushing Financial Corp. | 1,534 | 34,285 | |||||||||
HomeTrust Bancshares, Inc. | 1,600 | 47,248 | |||||||||
Investors Bancorp, Inc. | 22,539 | 336,507 | |||||||||
Northfield Bancorp, Inc. | 11,612 | 166,748 | |||||||||
Northwest Bancshares, Inc. | 9,672 | 130,669 | |||||||||
OceanFirst Financial Corp. | 47,305 | 950,831 | |||||||||
Pacific Premier Bancorp, Inc. | 7,210 | 254,874 | |||||||||
People's United Financial, Inc. | 2,606 | 52,094 | |||||||||
Provident Financial Services, Inc. | 5,832 | 136,469 | |||||||||
Washington Federal, Inc. | 6,500 | 213,330 | |||||||||
WSFS Financial Corp. | 5,002 | 233,193 | |||||||||
3,575,477 | |||||||||||
Schools — 0.3% | |||||||||||
Adtalem Global Education, Inc.† | 10,005 | 297,249 | |||||||||
American Public Education, Inc.† | 1,429 | 30,352 | |||||||||
Coursera, Inc.† | 1,092 | 25,160 | |||||||||
Perdoceo Education Corp.† | 17,555 | 201,531 | |||||||||
Strategic Education, Inc. | 1,729 | 114,771 | |||||||||
669,063 | |||||||||||
Security Services — 0.0% | |||||||||||
Brink's Co. | 1,000 | 68,000 | |||||||||
Semiconductor Components-Integrated Circuits — 0.2% | |||||||||||
Cirrus Logic, Inc.† | 1,000 | 84,790 | |||||||||
MaxLinear, Inc.† | 6,596 | 384,877 | |||||||||
469,667 | |||||||||||
Semiconductor Equipment — 1.2% | |||||||||||
Allegro MicroSystems, Inc.† | 32,747 | 930,015 | |||||||||
Axcelis Technologies, Inc.† | 2,545 | 192,224 |
Security Description | Shares | Value (Note 2) | |||||||||
Semiconductor Equipment (continued) | |||||||||||
Cohu, Inc.† | 10,019 | $ | 296,562 | ||||||||
FormFactor, Inc.† | 5,974 | 251,087 | |||||||||
Kulicke & Soffa Industries, Inc. | 4,759 | 266,599 | |||||||||
Onto Innovation, Inc.† | 3,764 | 327,054 | |||||||||
Ultra Clean Holdings, Inc.† | 3,430 | 145,398 | |||||||||
Veeco Instruments, Inc.† | 9,758 | 265,320 | |||||||||
2,674,259 | |||||||||||
Steel Pipe & Tube — 0.4% | |||||||||||
TimkenSteel Corp.† | 3,141 | 68,725 | |||||||||
Valmont Industries, Inc. | 3,238 | 772,587 | |||||||||
841,312 | |||||||||||
Steel-Producers — 0.3% | |||||||||||
Carpenter Technology Corp. | 3,687 | 154,780 | |||||||||
Cleveland-Cliffs, Inc.† | 3,500 | 112,735 | |||||||||
Commercial Metals Co. | 7,100 | 295,502 | |||||||||
Schnitzer Steel Industries, Inc., Class A | 1,300 | 67,522 | |||||||||
630,539 | |||||||||||
Steel-Specialty — 0.1% | |||||||||||
Allegheny Technologies, Inc.† | 11,620 | 311,881 | |||||||||
Telecom Equipment-Fiber Optics — 0.3% | |||||||||||
Ciena Corp.† | 10,721 | 650,014 | |||||||||
Telecom Services — 0.4% | |||||||||||
ATN International, Inc. | 834 | 33,260 | |||||||||
Consolidated Communications Holdings, Inc.† | 5,480 | 32,332 | |||||||||
Vonage Holdings Corp.† | 39,186 | 795,084 | |||||||||
860,676 | |||||||||||
Telecommunication Equipment — 1.1% | |||||||||||
ADTRAN, Inc. | 3,751 | 69,206 | |||||||||
Harmonic, Inc.† | 7,865 | 73,066 | |||||||||
Plantronics, Inc.† | 26,916 | 1,060,490 | |||||||||
Viavi Solutions, Inc.† | 86,137 | 1,385,083 | |||||||||
2,587,845 | |||||||||||
Telephone-Integrated — 0.1% | |||||||||||
Shenandoah Telecommunications Co. | 3,817 | 90,005 | |||||||||
Telephone & Data Systems, Inc. | 7,546 | 142,468 | |||||||||
232,473 | |||||||||||
Television — 0.2% | |||||||||||
AMC Networks, Inc., Class A† | 7,433 | 302,003 | |||||||||
Sinclair Broadcast Group, Inc., Class A | 8,800 | 246,576 | |||||||||
548,579 | |||||||||||
Theaters — 0.2% | |||||||||||
AMC Entertainment Holdings, Inc., Class A† | 9,900 | 243,936 | |||||||||
Cinemark Holdings, Inc.† | 10,733 | 185,466 | |||||||||
429,402 | |||||||||||
Therapeutics — 0.2% | |||||||||||
Akebia Therapeutics, Inc.† | 43,100 | 30,942 | |||||||||
Anika Therapeutics, Inc.† | 1,103 | 27,696 | |||||||||
Sarepta Therapeutics, Inc.† | 3,650 | 285,138 | |||||||||
343,776 |
232
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Tobacco — 0.1% | |||||||||||
Universal Corp. | 1,880 | $ | 109,171 | ||||||||
Vector Group, Ltd. | 9,997 | 120,364 | |||||||||
229,535 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Enerpac Tool Group Corp. | 4,608 | 100,869 | |||||||||
Traffic Management Sys — 0.0% | |||||||||||
Arlo Technologies, Inc.† | 6,439 | 57,050 | |||||||||
Transport-Air Freight — 0.1% | |||||||||||
Atlas Air Worldwide Holdings, Inc.† | 2,062 | 178,095 | |||||||||
Transport-Equipment & Leasing — 0.1% | |||||||||||
Greenbrier Cos., Inc. | 2,486 | 128,054 | |||||||||
Transport-Marine — 0.1% | |||||||||||
Dorian LPG, Ltd. | 5,392 | 78,130 | |||||||||
Safe Bulkers, Inc. | 10,000 | 47,600 | |||||||||
125,730 | |||||||||||
Transport-Services — 0.4% | |||||||||||
Forward Air Corp. | 2,059 | 201,329 | |||||||||
Hub Group, Inc., Class A† | 4,090 | 315,789 | |||||||||
Matson, Inc. | 3,211 | 387,311 | |||||||||
904,429 | |||||||||||
Transport-Truck — 0.3% | |||||||||||
ArcBest Corp. | 5,025 | 404,512 | |||||||||
Heartland Express, Inc. | 4,857 | 68,338 | |||||||||
Marten Transport, Ltd. | 4,567 | 81,110 | |||||||||
Schneider National, Inc., Class B | 1,100 | 28,050 | |||||||||
Werner Enterprises, Inc. | 800 | 32,800 | |||||||||
614,810 | |||||||||||
Travel Services — 0.1% | |||||||||||
Liberty TripAdvisor Holdings, Inc., Class A† | 120,400 | 246,820 | |||||||||
Veterinary Diagnostics — 0.1% | |||||||||||
Heska Corp.† | 818 | 113,113 | |||||||||
Vitamins & Nutrition Products — 0.4% | |||||||||||
BellRing Brands, Inc.† | 20,650 | 476,602 | |||||||||
Herbalife Nutrition, Ltd.† | 1,600 | 48,576 | |||||||||
USANA Health Sciences, Inc.† | 4,167 | 331,068 | |||||||||
856,246 | |||||||||||
Water — 0.8% | |||||||||||
American States Water Co. | 9,446 | 840,883 | |||||||||
California Water Service Group | 4,019 | 238,247 | |||||||||
Middlesex Water Co. | 1,337 | 140,612 | |||||||||
SJW Group | 10,457 | 727,598 | |||||||||
1,947,340 | |||||||||||
Web Hosting/Design — 0.1% | |||||||||||
Q2 Holdings, Inc.† | 2,900 | 178,785 | |||||||||
Wire & Cable Products — 0.1% | |||||||||||
Encore Wire Corp. | 1,547 | 176,466 | |||||||||
Insteel Industries, Inc. | 1,483 | 54,856 | |||||||||
231,322 | |||||||||||
Wireless Equipment — 0.5% | |||||||||||
CalAmp Corp.† | 2,743 | 20,051 | |||||||||
InterDigital, Inc. | 2,343 | 149,483 | |||||||||
Maxar Technologies, Inc. | 23,912 | 943,568 | |||||||||
1,113,102 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
X-Ray Equipment — 0.2% | |||||||||||
Varex Imaging Corp.† | 5,225 | $ | 111,240 | ||||||||
ViewRay, Inc.† | 59,900 | 234,808 | |||||||||
346,048 | |||||||||||
Total Common Stocks (cost $190,649,339) | 225,352,284 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.3% | |||||||||||
iShares Core S&P Small-Cap ETF (cost $824,608) | 7,611 | 821,075 | |||||||||
WARRANTS† — 0.0% | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Ltd. Expires 06/11/2026 (cost $0) | 231 | 5,313 | |||||||||
Total Long-Term Investment Securities (cost $191,473,947) | 226,178,672 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 1.3% | |||||||||||
Registered Investment Companies — 1.3% | |||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%(1) | 2,889,763 | 2,889,474 | |||||||||
U.S. Government Treasuries — 0.0% | |||||||||||
United States Treasury Bills 0.04% due 05/19/2022(2) | $ | 50,000 | 49,984 | ||||||||
Total Short-Term Investment Securities (cost $2,939,775) | 2,939,458 | ||||||||||
REPURCHASE AGREEMENTS — 0.1% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 03/31/2022, to be repurchased 04/01/2022 in the amount of $184,000 and collateralized by $188,400 of United States Treasury Notes, bearing interest at 2.38% due 03/31/2029 and having an approximate value of $187,723. (cost $184,000) | 184,000 | 184,000 | |||||||||
TOTAL INVESTMENTS (cost $194,597,722)(3) | 99.5 | % | 229,302,130 | ||||||||
Other assets less liabilities | 0.5 | 1,205,829 | |||||||||
NET ASSETS | 100.0 | % | $ | 230,507,959 |
† Non-income producing security
(1) The rate shown is the 7-day yield as of March 31, 2022.
(2) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(3) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
ETF — Exchange-Traded Fund
233
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
20 | Long | E-Mini Russell 2000 Index | June 2022 | $ | 2,047,425 | $ | 2,066,400 | $ | 18,975 |
* Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 225,352,284 | $ | — | $ | — | $ | 225,352,284 | |||||||||||
Exchange-Traded Funds | 821,075 | — | — | 821,075 | |||||||||||||||
Warrants | 5,313 | — | — | 5,313 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 2,889,474 | — | — | 2,889,474 | |||||||||||||||
U.S. Government Treasuries | — | 49,984 | — | 49,984 | |||||||||||||||
Repurchase Agreements | — | 184,000 | — | 184,000 | |||||||||||||||
Total Investments at Value | $ | 229,068,146 | $ | 233,984 | $ | — | $ | 229,302,130 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 18,975 | $ | — | $ | — | $ | 18,975 |
* 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.
See Notes to Financial Statements
234
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Medical-Drugs | 9.5 | % | |||||
Banks-Commercial | 7.2 | ||||||
Diversified Banking Institutions | 4.0 | ||||||
Oil Companies-Integrated | 3.8 | ||||||
Insurance-Life/Health | 3.0 | ||||||
Auto-Cars/Light Trucks | 3.0 | ||||||
Food-Misc./Diversified | 2.9 | ||||||
Semiconductor Equipment | 2.3 | ||||||
Industrial Automated/Robotic | 1.8 | ||||||
Cosmetics & Toiletries | 1.7 | ||||||
Telephone-Integrated | 1.7 | ||||||
Electronic Components-Semiconductors | 1.7 | ||||||
Diversified Manufacturing Operations | 1.6 | ||||||
Semiconductor Components-Integrated Circuits | 1.5 | ||||||
Audio/Video Products | 1.5 | ||||||
Insurance-Multi-line | 1.5 | ||||||
Enterprise Software/Service | 1.4 | ||||||
Medical Products | 1.3 | ||||||
Retail-Apparel/Shoe | 1.3 | ||||||
Beverages-Wine/Spirits | 1.1 | ||||||
Power Converter/Supply Equipment | 1.1 | ||||||
Food-Retail | 1.1 | ||||||
Chemicals-Diversified | 1.0 | ||||||
Electric-Distribution | 1.0 | ||||||
Insurance-Property/Casualty | 0.9 | ||||||
Electric-Integrated | 0.9 | ||||||
Commercial Services | 0.9 | ||||||
Electronic Components-Misc. | 0.9 | ||||||
Machinery-Electrical | 0.8 | ||||||
Diversified Minerals | 0.8 | ||||||
Metal-Diversified | 0.8 | ||||||
Computer Services | 0.8 | ||||||
Cellular Telecom | 0.8 | ||||||
Import/Export | 0.8 | ||||||
Electric-Generation | 0.8 | ||||||
Transport-Rail | 0.7 | ||||||
Auto/Truck Parts & Equipment-Original | 0.7 | ||||||
Soap & Cleaning Preparation | 0.7 | ||||||
Chemicals-Specialty | 0.7 | ||||||
Apparel Manufacturers | 0.7 | ||||||
Finance-Other Services | 0.7 | ||||||
Human Resources | 0.7 | ||||||
Medical Instruments | 0.7 | ||||||
Rubber-Tires | 0.7 | ||||||
E-Commerce/Services | 0.6 | ||||||
Retail-Building Products | 0.6 | ||||||
Optical Supplies | 0.6 | ||||||
Insurance-Reinsurance | 0.6 | ||||||
Distribution/Wholesale | 0.6 | ||||||
Real Estate Investment Trusts | 0.5 | ||||||
Building-Residential/Commercial | 0.5 | ||||||
Metal-Copper | 0.5 | ||||||
E-Commerce/Products | 0.5 | ||||||
Commercial Services-Finance | 0.5 | ||||||
Rental Auto/Equipment | 0.5 | ||||||
Medical Labs & Testing Services | 0.5 | ||||||
Coatings/Paint | 0.5 | ||||||
Building & Construction Products-Misc. | 0.5 | ||||||
Energy-Alternate Sources | 0.5 | ||||||
Food-Confectionery | 0.5 |
Non-Ferrous Metals | 0.5 | % | |||||
Investment Management/Advisor Services | 0.4 | ||||||
Electric Products-Misc. | 0.4 | ||||||
Internet Content-Information/News | 0.4 | ||||||
Retail-Jewelry | 0.4 | ||||||
Machinery-Material Handling | 0.4 | ||||||
Industrial Gases | 0.4 | ||||||
Aerospace/Defense-Equipment | 0.4 | ||||||
Building Products-Air & Heating | 0.4 | ||||||
Textile-Apparel | 0.4 | ||||||
Networking Products | 0.4 | ||||||
Medical-Biomedical/Gene | 0.4 | ||||||
Machinery-Construction & Mining | 0.4 | ||||||
Brewery | 0.4 | ||||||
Real Estate Operations & Development | 0.3 | ||||||
Building-Heavy Construction | 0.3 | ||||||
Investment Companies | 0.3 | ||||||
Food-Catering | 0.3 | ||||||
Wireless Equipment | 0.3 | ||||||
Machinery-Farming | 0.3 | ||||||
Miscellaneous Manufacturing | 0.3 | ||||||
Auto-Heavy Duty Trucks | 0.3 | ||||||
Tobacco | 0.3 | ||||||
Web Portals/ISP | 0.3 | ||||||
Metal Products-Distribution | 0.3 | ||||||
Telecommunication Equipment | 0.3 | ||||||
Machine Tools & Related Products | 0.3 | ||||||
Oil Refining & Marketing | 0.3 | ||||||
Food-Flour & Grain | 0.3 | ||||||
Machinery-General Industrial | 0.3 | ||||||
Paper & Related Products | 0.2 | ||||||
Advertising Agencies | 0.2 | ||||||
Transport-Services | 0.2 | ||||||
Dialysis Centers | 0.2 | ||||||
Finance-Investment Banker/Broker | 0.2 | ||||||
Hotels/Motels | 0.2 | ||||||
Wire & Cable Products | 0.2 | ||||||
Private Equity | 0.2 | ||||||
Consulting Services | 0.2 | ||||||
E-Marketing/Info | 0.2 | ||||||
Real Estate Management/Services | 0.2 | ||||||
Finance-Mortgage Loan/Banker | 0.2 | ||||||
Finance-Leasing Companies | 0.2 | ||||||
Oil Companies-Exploration & Production | 0.2 | ||||||
Building Products-Cement | 0.2 | ||||||
Office Automation & Equipment | 0.2 | ||||||
Gambling (Non-Hotel) | 0.2 | ||||||
U.S. Government Treasuries | 0.1 | ||||||
Advertising Services | 0.1 | ||||||
Toys | 0.1 | ||||||
Gas-Distribution | 0.1 | ||||||
Containers-Paper/Plastic | 0.1 | ||||||
Aerospace/Defense | 0.1 | ||||||
Steel-Producers | 0.1 | ||||||
Athletic Footwear | 0.1 | ||||||
Registered Investment Companies | 0.1 | ||||||
Food-Dairy Products | 0.1 | ||||||
Public Thoroughfares | 0.1 | ||||||
Water | 0.1 | ||||||
Resorts/Theme Parks | 0.1 |
235
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Industry Allocation* (continued) | |||||||
Retail-Drug Store | 0.1 | % | |||||
Exchange-Traded Funds | 0.1 | ||||||
Computer Aided Design | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Footwear & Related Apparel | 0.1 | ||||||
Photo Equipment & Supplies | 0.1 | ||||||
Publishing-Periodicals | 0.1 | ||||||
Electronic Security Devices | 0.1 | ||||||
Computer Data Security | 0.1 | ||||||
98.1 | % | ||||||
Country Allocation* | |||||||
Japan | 20.5 | % | |||||
United Kingdom | 16.9 | ||||||
Switzerland | 9.8 | ||||||
Germany | 8.4 | ||||||
France | 7.8 | ||||||
Netherlands | 5.0 | ||||||
Australia | 4.8 | ||||||
Hong Kong | 2.3 | ||||||
Canada | 2.3 | ||||||
Norway | 2.0 | ||||||
Sweden | 2.0 | ||||||
Spain | 1.8 | ||||||
United States | 1.7 | ||||||
Italy | 1.7 | ||||||
Denmark | 1.3 | ||||||
Taiwan | 1.2 | ||||||
South Korea | 1.2 | ||||||
Belgium | 1.1 | ||||||
Singapore | 1.0 | ||||||
Cayman Islands | 1.0 | ||||||
Finland | 0.9 | ||||||
Jersey | 0.6 | ||||||
Austria | 0.5 | ||||||
Israel | 0.5 | ||||||
India | 0.4 | ||||||
Ireland | 0.4 | ||||||
China | 0.2 | ||||||
Indonesia | 0.2 | ||||||
Brazil | 0.2 | ||||||
Luxembourg | 0.2 | ||||||
New Zealand | 0.1 | ||||||
Portugal | 0.1 | ||||||
98.1 | % |
* Calculated as a percentage of net assets
236
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 97.8% | |||||||||||
Australia — 4.8% | |||||||||||
Ampol, Ltd. | 1,681 | $ | 38,200 | ||||||||
APA Group | 8,290 | 65,740 | |||||||||
Aristocrat Leisure, Ltd. | 4,234 | 114,789 | |||||||||
ASX, Ltd. | 1,360 | 82,552 | |||||||||
Aurizon Holdings, Ltd. | 12,979 | 35,639 | |||||||||
Australia & New Zealand Banking Group, Ltd. | 47,822 | 979,985 | |||||||||
BGP Holdings PLC†(1) | 98,723 | 0 | |||||||||
BHP Group, Ltd. | 28,515 | 1,093,267 | |||||||||
BHP Group, Ltd. | 46,300 | 1,803,383 | |||||||||
BlueScope Steel, Ltd. | 3,473 | 53,667 | |||||||||
Brambles, Ltd. | 10,079 | 74,323 | |||||||||
Challenger, Ltd. | 53,977 | 268,801 | |||||||||
Cochlear, Ltd. | 462 | 76,969 | |||||||||
Coles Group, Ltd. | 9,372 | 124,917 | |||||||||
Commonwealth Bank of Australia | 11,989 | 941,409 | |||||||||
Computershare, Ltd. | 3,818 | 69,851 | |||||||||
Crown Resorts, Ltd.† | 2,626 | 24,959 | |||||||||
CSL, Ltd. | 3,364 | 668,080 | |||||||||
Dexus† | 7,557 | 61,500 | |||||||||
Domino's Pizza Enterprises, Ltd. | 427 | 27,821 | |||||||||
Endeavour Group, Ltd. | 9,424 | 51,272 | |||||||||
Evolution Mining, Ltd. | 12,900 | 41,916 | |||||||||
Fortescue Metals Group, Ltd. | 11,898 | 182,585 | |||||||||
Goodman Group | 11,813 | 200,641 | |||||||||
GPT Group | 13,483 | 51,863 | |||||||||
IDP Education, Ltd. | 1,470 | 34,284 | |||||||||
IGO, Ltd. | 151,663 | 1,585,839 | |||||||||
Insurance Australia Group, Ltd. | 17,320 | 56,403 | |||||||||
Lendlease Corp., Ltd. | 4,855 | 40,351 | |||||||||
Macquarie Group, Ltd. | 17,397 | 2,617,007 | |||||||||
Medibank Private, Ltd. | 19,420 | 44,468 | |||||||||
Mineral Resources, Ltd. | 1,194 | 46,674 | |||||||||
Mirvac Group | 27,766 | 51,401 | |||||||||
National Australia Bank, Ltd. | 22,991 | 552,289 | |||||||||
Newcrest Mining, Ltd. | 5,747 | 114,087 | |||||||||
Northern Star Resources, Ltd. | 7,794 | 61,771 | |||||||||
Orica, Ltd. | 2,869 | 33,976 | |||||||||
Origin Energy, Ltd. | 12,374 | 57,260 | |||||||||
Qantas Airways, Ltd.† | 6,517 | 25,038 | |||||||||
QBE Insurance Group, Ltd. | 10,374 | 88,414 | |||||||||
Ramsay Health Care, Ltd. | 1,286 | 62,282 | |||||||||
REA Group, Ltd. | 373 | 37,294 | |||||||||
Reece, Ltd. | 2,050 | 28,920 | |||||||||
Rio Tinto, Ltd. | 6,180 | 547,445 | |||||||||
Santos, Ltd. | 22,607 | 129,995 | |||||||||
Scentre Group | 270,643 | 612,916 | |||||||||
SEEK, Ltd. | 2,369 | 52,128 | |||||||||
Sonic Healthcare, Ltd. | 3,201 | 84,289 | |||||||||
South32, Ltd. | 206,442 | 768,751 | |||||||||
Stockland | 16,773 | 52,947 | |||||||||
Suncorp Group, Ltd. | 8,871 | 73,353 | |||||||||
Tabcorp Holdings, Ltd. | 15,666 | 62,124 | |||||||||
Telstra Corp., Ltd. | 29,115 | 85,863 | |||||||||
Transurban Group | 21,568 | 217,290 | |||||||||
Treasury Wine Estates, Ltd. | 5,090 | 43,600 |
Security Description | Shares | Value (Note 2) | |||||||||
Australia (continued) | |||||||||||
Vicinity Centres | 27,285 | $ | 37,726 | ||||||||
Washington H. Soul Pattinson & Co., Ltd. | 1,527 | 32,427 | |||||||||
Wesfarmers, Ltd. | 7,967 | 299,356 | |||||||||
Westpac Banking Corp. | 25,775 | 464,155 | |||||||||
WiseTech Global, Ltd. | 1,031 | 38,841 | |||||||||
Woodside Petroleum, Ltd. | 6,813 | 162,554 | |||||||||
Woolworths Group, Ltd. | 8,515 | 236,505 | |||||||||
Worley, Ltd. | 67,711 | 649,947 | |||||||||
17,324,099 | |||||||||||
Austria — 0.5% | |||||||||||
Erste Group Bank AG | 41,222 | 1,495,053 | |||||||||
OMV AG | 1,034 | 49,305 | |||||||||
Raiffeisen Bank International AG | 1,044 | 14,758 | |||||||||
Verbund AG | 478 | 50,330 | |||||||||
voestalpine AG | 818 | 24,299 | |||||||||
1,633,745 | |||||||||||
Belgium — 1.1% | |||||||||||
Ageas SA/NV | 1,210 | 60,894 | |||||||||
Anheuser-Busch InBev SA NV | 6,102 | 365,994 | |||||||||
Elia Group SA | 218 | 33,274 | |||||||||
Etablissements Franz Colruyt NV | 376 | 15,591 | |||||||||
Groupe Bruxelles Lambert SA | 769 | 79,749 | |||||||||
KBC Group NV | 1,757 | 126,363 | |||||||||
Proximus SADP | 1,073 | 19,971 | |||||||||
Sofina SA | 109 | 39,528 | |||||||||
Solvay SA, Class A | 521 | 51,295 | |||||||||
UCB SA | 15,661 | 1,874,817 | |||||||||
Umicore SA | 31,965 | 1,380,796 | |||||||||
4,048,272 | |||||||||||
Bermuda — 0.0% | |||||||||||
CK Infrastructure Holdings, Ltd. | 5,000 | 33,457 | |||||||||
Hongkong Land Holdings, Ltd. | 8,100 | 39,513 | |||||||||
Jardine Matheson Holdings, Ltd. | 1,603 | 87,922 | |||||||||
160,892 | |||||||||||
Brazil — 0.2% | |||||||||||
B3 SA — Brasil Bolsa Balcao | 186,815 | 616,432 | |||||||||
Canada — 2.3% | |||||||||||
Canadian National Railway Co. | 11,922 | 1,599,264 | |||||||||
Definity Financial Corp. | 5,867 | 149,849 | |||||||||
Element Fleet Management Corp. | 71,079 | 687,962 | |||||||||
Magna International, Inc. | 14,050 | 903,555 | |||||||||
Manulife Financial Corp. | 30,861 | 658,124 | |||||||||
National Bank of Canada | 15,771 | 1,208,923 | |||||||||
Sun Life Financial, Inc. | 23,274 | 1,299,464 | |||||||||
Toronto-Dominion Bank | 20,914 | 1,659,369 | |||||||||
8,166,510 | |||||||||||
Cayman Islands — 1.0% | |||||||||||
Alibaba Group Holding, Ltd.† | 58,124 | 795,560 | |||||||||
Alibaba Group Holding, Ltd. ADR† | 1,483 | 161,351 | |||||||||
Budweiser Brewing Co. APAC, Ltd.* | 12,100 | 32,112 | |||||||||
Chow Tai Fook Jewellery Group, Ltd. | 14,000 | 25,357 | |||||||||
CK Asset Holdings, Ltd. | 14,360 | 98,147 | |||||||||
CK Hutchison Holdings, Ltd. | 18,860 | 138,275 |
237
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Cayman Islands (continued) | |||||||||||
ESR Cayman, Ltd.†* | 13,800 | $ | 42,722 | ||||||||
Futu Holdings, Ltd. ADR† | 359 | 11,689 | |||||||||
Grab Holdings, Ltd., Class A† | 7,626 | 26,691 | |||||||||
JD.com, Inc., Class A Lock-Up Shares†(2) | 799 | 23,271 | |||||||||
Kingdee International Software Group Co., Ltd.† | 226,000 | 498,720 | |||||||||
Melco Resorts & Entertainment, Ltd. ADR† | 1,512 | 11,552 | |||||||||
Sands China, Ltd.† | 16,800 | 40,321 | |||||||||
Sea, Ltd. ADR† | 2,215 | 265,335 | |||||||||
SITC International Holdings Co., Ltd. | 10,000 | 35,300 | |||||||||
Tencent Holdings, Ltd. | 19,200 | 905,767 | |||||||||
WH Group, Ltd.* | 58,500 | 36,802 | |||||||||
Wharf Real Estate Investment Co., Ltd. | 12,000 | 59,300 | |||||||||
Xinyi Glass Holdings, Ltd. | 13,000 | 31,230 | |||||||||
XP, Inc., Class A† | 12,834 | 386,303 | |||||||||
3,625,805 | |||||||||||
China — 0.2% | |||||||||||
PICC Property & Casualty Co., Ltd. | 532,000 | 542,837 | |||||||||
Ping An Insurance Group Co. of China, Ltd. | 40,000 | 282,223 | |||||||||
825,060 | |||||||||||
Denmark — 1.3% | |||||||||||
Ambu A/S, Class B | 1,181 | 17,344 | |||||||||
AP Moller — Maersk A/S, Series A | 23 | 67,968 | |||||||||
AP Moller — Maersk A/S, Series B | 40 | 120,566 | |||||||||
Carlsberg A/S, Class B | 705 | 86,077 | |||||||||
Chr. Hansen Holding A/S | 743 | 54,601 | |||||||||
Coloplast A/S, Class B | 835 | 126,463 | |||||||||
Danske Bank A/S | 4,846 | 80,087 | |||||||||
Demant A/S† | 762 | 34,470 | |||||||||
DSV A/S | 1,433 | 274,013 | |||||||||
Genmab A/S† | 1,358 | 491,951 | |||||||||
GN Store Nord A/S | 877 | 42,798 | |||||||||
Novo Nordisk A/S, Class B | 11,832 | 1,310,355 | |||||||||
Novozymes A/S, Class B | 1,446 | 98,967 | |||||||||
Orsted A/S* | 1,329 | 167,350 | |||||||||
Pandora A/S | 702 | 66,416 | |||||||||
ROCKWOOL International A/S, Class B | 59 | 19,487 | |||||||||
Tryg A/S | 2,530 | 61,339 | |||||||||
Vestas Wind Systems A/S | 55,460 | 1,637,464 | |||||||||
4,757,716 | |||||||||||
Finland — 0.9% | |||||||||||
Elisa Oyj | 999 | 60,209 | |||||||||
Fortum Oyj | 3,121 | 56,657 | |||||||||
Kesko Oyj, Class B | 1,919 | 52,966 | |||||||||
Kone Oyj, Class B | 2,388 | 125,073 | |||||||||
Neste Oyj | 2,973 | 135,440 | |||||||||
Nokia Oyj† | 37,882 | 208,536 | |||||||||
Nordea Bank Abp | 22,524 | 231,946 |
Security Description | Shares | Value (Note 2) | |||||||||
Finland (continued) | |||||||||||
Orion Oyj, Class B | 748 | $ | 33,942 | ||||||||
Sampo Oyj, Class A | 25,657 | 1,252,368 | |||||||||
Stora Enso Oyj, Class R | 43,103 | 843,367 | |||||||||
UPM-Kymmene Oyj | 3,750 | 122,365 | |||||||||
Wartsila Oyj Abp | 3,338 | 30,487 | |||||||||
3,153,356 | |||||||||||
France — 7.8% | |||||||||||
Accor SA† | 1,198 | 38,392 | |||||||||
Aeroports de Paris† | 209 | 31,300 | |||||||||
Air Liquide SA | 8,028 | 1,404,412 | |||||||||
Alstom SA | 2,229 | 51,960 | |||||||||
Amundi SA* | 9,796 | 668,413 | |||||||||
Arkema SA | 431 | 51,419 | |||||||||
AXA SA | 71,633 | 2,091,964 | |||||||||
BioMerieux | 292 | 31,123 | |||||||||
BNP Paribas SA | 19,214 | 1,093,992 | |||||||||
Bollore SE | 6,233 | 32,557 | |||||||||
Bouygues SA | 1,611 | 56,161 | |||||||||
Bureau Veritas SA | 2,066 | 59,012 | |||||||||
Capgemini SE | 1,127 | 250,693 | |||||||||
Carrefour SA | 4,361 | 94,606 | |||||||||
Cie de Saint-Gobain | 3,555 | 211,558 | |||||||||
Cie Generale des Etablissements Michelin SCA | 1,193 | 161,166 | |||||||||
CNP Assurances | 1,210 | 29,174 | |||||||||
Covivio | 367 | 29,118 | |||||||||
Credit Agricole SA | 8,690 | 103,821 | |||||||||
Danone SA | 4,590 | 252,853 | |||||||||
Dassault Aviation SA | 177 | 28,140 | |||||||||
Dassault Systemes SE | 4,671 | 230,163 | |||||||||
Edenred | 1,757 | 86,858 | |||||||||
Eiffage SA | 586 | 60,064 | |||||||||
Electricite de France SA | 3,334 | 31,411 | |||||||||
Engie SA | 96,101 | 1,259,731 | |||||||||
EssilorLuxottica SA | 12,078 | 2,204,779 | |||||||||
Eurazeo SE | 280 | 23,532 | |||||||||
Faurecia SE | 852 | 22,040 | |||||||||
Gecina SA | 324 | 40,767 | |||||||||
Getlink SE | 3,092 | 55,685 | |||||||||
Hermes International | 223 | 316,299 | |||||||||
Ipsen SA | 3,611 | 451,081 | |||||||||
Kering SA | 1,350 | 852,792 | |||||||||
Klepierre SA | 1,430 | 38,021 | |||||||||
L'Oreal SA | 4,583 | 1,834,418 | |||||||||
La Francaise des Jeux SAEM* | 673 | 26,676 | |||||||||
Legrand SA | 16,600 | 1,578,112 | |||||||||
LVMH Moet Hennessy Louis Vuitton SE | 1,951 | 1,389,248 | |||||||||
Orange SA | 14,017 | 165,747 | |||||||||
Orpea SA | 365 | 15,752 | |||||||||
Pernod Ricard SA | 1,472 | 322,842 | |||||||||
Publicis Groupe SA | 1,602 | 97,316 | |||||||||
Remy Cointreau SA | 159 | 32,759 | |||||||||
Renault SA† | 1,355 | 35,419 | |||||||||
Safran SA | 7,373 | 866,550 | |||||||||
Sanofi | 26,754 | 2,728,487 |
238
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
France (continued) | |||||||||||
Sartorius Stedim Biotech | 194 | $ | 79,510 | ||||||||
Schneider Electric SE | 14,977 | 2,500,507 | |||||||||
SEB SA | 195 | 27,201 | |||||||||
Societe Generale SA | 5,696 | 152,378 | |||||||||
Sodexo SA | 621 | 50,415 | |||||||||
Teleperformance | 1,915 | 730,229 | |||||||||
Thales SA | 749 | 94,580 | |||||||||
TotalEnergies SE | 43,412 | 2,202,670 | |||||||||
Ubisoft Entertainment SA† | 660 | 29,055 | |||||||||
Valeo | 1,619 | 29,746 | |||||||||
Veolia Environnement SA | 4,606 | 146,974 | |||||||||
Vinci SA | 3,783 | 386,765 | |||||||||
Vivendi SE | 5,461 | 71,274 | |||||||||
Wendel SE | 189 | 19,230 | |||||||||
Worldline SA†* | 1,675 | 72,617 | |||||||||
28,131,534 | |||||||||||
Germany — 8.4% | |||||||||||
adidas AG | 1,338 | 312,445 | |||||||||
Allianz SE | 2,870 | 685,340 | |||||||||
BASF SE | 16,273 | 927,964 | |||||||||
Bayer AG | 23,629 | 1,616,630 | |||||||||
Bayerische Motoren Werke AG | 16,806 | 1,455,640 | |||||||||
Bayerische Motoren Werke AG (Preference Shares) | 407 | 31,538 | |||||||||
Bechtle AG | 577 | 32,562 | |||||||||
Beiersdorf AG | 708 | 74,398 | |||||||||
Brenntag SE | 1,085 | 87,732 | |||||||||
Carl Zeiss Meditec AG | 283 | 45,888 | |||||||||
Commerzbank AG† | 7,040 | 53,753 | |||||||||
Continental AG† | 774 | 55,829 | |||||||||
Covestro AG* | 10,571 | 534,133 | |||||||||
Daimler Truck Holding AG† | 26,593 | 738,781 | |||||||||
Delivery Hero SE†* | 1,146 | 50,480 | |||||||||
Deutsche Bank AG† | 14,521 | 185,420 | |||||||||
Deutsche Boerse AG | 1,335 | 239,818 | |||||||||
Deutsche Lufthansa AG† | 4,215 | 34,171 | |||||||||
Deutsche Post AG | 6,965 | 334,449 | |||||||||
Deutsche Telekom AG | 22,773 | 425,334 | |||||||||
E.ON SE | 15,775 | 183,458 | |||||||||
Evonik Industries AG | 1,479 | 41,120 | |||||||||
Evotec SE† | 9,690 | 292,852 | |||||||||
Fresenius Medical Care AG & Co. KGaA | 1,441 | 96,637 | |||||||||
Fresenius SE & Co. KGaA | 21,425 | 788,358 | |||||||||
Fuchs Petrolub SE (Preference Shares) | 490 | 17,801 | |||||||||
GEA Group AG | 1,082 | 44,704 | |||||||||
Hannover Rueck SE | 424 | 72,214 | |||||||||
HeidelbergCement AG | 1,047 | 59,879 | |||||||||
HelloFresh SE† | 1,162 | 52,507 | |||||||||
Henkel AG & Co. KGaA | 730 | 48,387 | |||||||||
Henkel AG & Co. KGaA (Preference Shares) | 1,252 | 83,849 | |||||||||
Infineon Technologies AG | 45,393 | 1,550,780 | |||||||||
KION Group AG | 10,699 | 711,497 | |||||||||
Knorr-Bremse AG | 13,448 | 1,033,176 |
Security Description | Shares | Value (Note 2) | |||||||||
Germany (continued) | |||||||||||
LANXESS AG | 576 | $ | 25,473 | ||||||||
LEG Immobilien SE | 513 | 58,586 | |||||||||
Mercedes-Benz Group AG | 14,561 | 1,022,716 | |||||||||
Merck KGaA | 4,667 | 977,404 | |||||||||
MTU Aero Engines AG | 376 | 87,362 | |||||||||
Muenchener Rueckversicherungs- Gesellschaft AG | 6,927 | 1,855,510 | |||||||||
Nemetschek SE | 407 | 39,481 | |||||||||
Porsche Automobil Holding SE (Preference Shares) | 1,076 | 104,243 | |||||||||
Puma SE | 742 | 63,333 | |||||||||
Rational AG | 36 | 24,980 | |||||||||
RWE AG | 4,513 | 196,850 | |||||||||
SAP SE | 35,181 | 3,925,612 | |||||||||
Sartorius AG (Preference Shares) | 184 | 81,716 | |||||||||
Scout24 SE* | 588 | 33,730 | |||||||||
Siemens AG | 36,957 | 5,120,843 | |||||||||
Siemens Energy AG | 2,808 | 64,159 | |||||||||
Siemens Healthineers AG* | 16,445 | 1,019,732 | |||||||||
Stroeer SE & Co. KGaA | 4,870 | 336,389 | |||||||||
Symrise AG | 933 | 112,009 | |||||||||
Telefonica Deutschland Holding AG | 7,341 | 20,051 | |||||||||
Uniper SE | 645 | 16,589 | |||||||||
United Internet AG | 684 | 23,525 | |||||||||
Volkswagen AG | 228 | 56,808 | |||||||||
Volkswagen AG (Preference Shares) | 1,304 | 225,483 | |||||||||
Vonovia SE | 5,184 | 242,389 | |||||||||
Zalando SE†* | 28,456 | 1,444,460 | |||||||||
30,178,957 | |||||||||||
Hong Kong — 2.3% | |||||||||||
AIA Group, Ltd. | 330,600 | 3,461,195 | |||||||||
Beijing Enterprises Holdings, Ltd. | 65,000 | 205,482 | |||||||||
BOC Hong Kong Holdings, Ltd. | 434,500 | 1,634,946 | |||||||||
CLP Holdings, Ltd. | 12,000 | 116,939 | |||||||||
Galaxy Entertainment Group, Ltd. | 16,000 | 95,093 | |||||||||
Hang Lung Properties, Ltd. | 15,000 | 30,179 | |||||||||
Hang Seng Bank, Ltd. | 5,400 | 103,871 | |||||||||
Henderson Land Development Co., Ltd. | 11,062 | 45,924 | |||||||||
Hong Kong & China Gas Co., Ltd. | 78,533 | 94,995 | |||||||||
Hong Kong Exchanges & Clearing, Ltd. | 24,963 | 1,176,431 | |||||||||
Link REIT | 14,700 | 125,294 | |||||||||
MTR Corp., Ltd. | 11,500 | 62,063 | |||||||||
New World Development Co., Ltd. | 11,000 | 44,666 | |||||||||
Power Assets Holdings, Ltd. | 10,000 | 65,137 | |||||||||
Sino Land Co., Ltd. | 24,000 | 30,986 | |||||||||
Sun Hung Kai Properties, Ltd. | 9,500 | 113,165 | |||||||||
Swire Pacific, Ltd., Class A | 3,500 | 21,358 | |||||||||
Swire Properties, Ltd. | 8,200 | 20,331 | |||||||||
Techtronic Industries Co., Ltd. | 56,500 | 910,203 | |||||||||
8,358,258 |
239
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
India — 0.4% | |||||||||||
HDFC Bank, Ltd. ADR | 14,985 | $ | 919,030 | ||||||||
Housing Development Finance Corp., Ltd. | 18,602 | 581,160 | |||||||||
1,500,190 | |||||||||||
Indonesia — 0.2% | |||||||||||
Bank Central Asia Tbk PT | 1,420,600 | 787,068 | |||||||||
Ireland — 0.4% | |||||||||||
CRH PLC | 5,428 | 217,335 | |||||||||
DCC PLC | 7,287 | 564,778 | |||||||||
Flutter Entertainment PLC† | 1,171 | 134,321 | |||||||||
James Hardie Industries PLC CDI | 3,127 | 94,103 | |||||||||
Kerry Group PLC, Class A | 1,118 | 124,918 | |||||||||
Kingspan Group PLC | 1,083 | 105,259 | |||||||||
Smurfit Kappa Group PLC | 1,732 | 76,767 | |||||||||
1,317,481 | |||||||||||
Isle of Man — 0.0% | |||||||||||
Entain PLC† | 4,120 | 88,368 | |||||||||
Israel — 0.5% | |||||||||||
Azrieli Group, Ltd. | 300 | 26,321 | |||||||||
Bank Hapoalim BM | 7,982 | 78,698 | |||||||||
Bank Leumi Le-Israel BM | 10,208 | 109,583 | |||||||||
Check Point Software Technologies, Ltd.† | 710 | 98,165 | |||||||||
CyberArk Software, Ltd.† | 273 | 46,069 | |||||||||
Elbit Systems, Ltd. | 186 | 40,718 | |||||||||
Fiverr International, Ltd.† | 192 | 14,605 | |||||||||
ICL Group, Ltd. | 4,962 | 58,992 | |||||||||
Inmode, Ltd.† | 384 | 14,173 | |||||||||
Israel Discount Bank, Ltd., Class A | 8,179 | 50,820 | |||||||||
Kornit Digital, Ltd.† | 288 | 23,815 | |||||||||
Mizrahi Tefahot Bank, Ltd. | 990 | 38,511 | |||||||||
NICE, Ltd.† | 444 | 97,196 | |||||||||
NICE, Ltd. ADR† | 3,760 | 823,440 | |||||||||
Teva Pharmaceutical Industries, Ltd. ADR† | 7,718 | 72,472 | |||||||||
Wix.com, Ltd.† | 363 | 37,919 | |||||||||
1,631,497 | |||||||||||
Italy — 1.7% | |||||||||||
Amplifon SpA | 878 | 39,204 | |||||||||
Assicurazioni Generali SpA | 7,776 | 177,927 | |||||||||
Atlantia SpA† | 3,481 | 72,390 | |||||||||
DiaSorin SpA | 178 | 27,872 | |||||||||
Enel SpA | 57,145 | 381,617 | |||||||||
Eni SpA | 17,733 | 259,985 | |||||||||
FinecoBank Banca Fineco SpA | 72,324 | 1,098,441 | |||||||||
Infrastrutture Wireless Italiane SpA* | 2,370 | 26,578 | |||||||||
Intesa Sanpaolo SpA | 896,223 | 2,048,504 | |||||||||
Mediobanca Banca di Credito Finanziario SpA | 4,380 | 44,378 | |||||||||
Moncler SpA | 11,983 | 667,330 | |||||||||
Nexi SpA†* | 3,683 | 42,543 | |||||||||
Poste Italiane SpA* | 3,685 | 41,803 | |||||||||
Prysmian SpA | 22,703 | 773,344 |
Security Description | Shares | Value (Note 2) | |||||||||
Italy (continued) | |||||||||||
Recordati Industria Chimica e Farmaceutica SpA | 738 | $ | 37,101 | ||||||||
Snam SpA | 14,168 | 81,820 | |||||||||
Telecom Italia SpA | 70,263 | 25,800 | |||||||||
Terna — Rete Elettrica Nazionale SpA | 9,886 | 85,026 | |||||||||
UniCredit SpA | 14,859 | 160,432 | |||||||||
6,092,095 | |||||||||||
Japan — 20.5% | |||||||||||
Advantest Corp. | 1,500 | 117,655 | |||||||||
Aeon Co., Ltd. | 4,600 | 98,135 | |||||||||
AGC, Inc. | 1,400 | 55,953 | |||||||||
Aisin Corp. | 1,100 | 37,584 | |||||||||
Ajinomoto Co., Inc. | 3,300 | 93,710 | |||||||||
ANA Holdings, Inc.† | 1,200 | 25,053 | |||||||||
Asahi Group Holdings, Ltd. | 3,200 | 116,171 | |||||||||
Asahi Intecc Co., Ltd. | 1,600 | 31,307 | |||||||||
Asahi Kasei Corp. | 68,800 | 595,553 | |||||||||
Astellas Pharma, Inc. | 95,900 | 1,503,359 | |||||||||
Azbil Corp. | 900 | 29,977 | |||||||||
Bandai Namco Holdings, Inc. | 1,500 | 113,632 | |||||||||
Benefit One, Inc. | 600 | 12,562 | |||||||||
Bridgestone Corp. | 48,000 | 1,857,670 | |||||||||
Brother Industries, Ltd. | 1,700 | 30,957 | |||||||||
Canon, Inc. | 7,000 | 170,399 | |||||||||
Capcom Co., Ltd. | 1,300 | 31,438 | |||||||||
Central Japan Railway Co. | 4,700 | 612,588 | |||||||||
Chiba Bank, Ltd. | 3,700 | 21,809 | |||||||||
Chubu Electric Power Co., Inc. | 4,500 | 46,623 | |||||||||
Chugai Pharmaceutical Co., Ltd. | 4,700 | 157,184 | |||||||||
Concordia Financial Group, Ltd. | 7,700 | 28,725 | |||||||||
Cosmos Pharmaceutical Corp. | 156 | 18,949 | |||||||||
CyberAgent, Inc. | 53,904 | 668,341 | |||||||||
Dai Nippon Printing Co., Ltd. | 1,600 | 37,579 | |||||||||
Dai-ichi Life Holdings, Inc. | 7,100 | 144,442 | |||||||||
Daifuku Co., Ltd. | 11,248 | 803,527 | |||||||||
Daiichi Sankyo Co., Ltd. | 12,300 | 269,843 | |||||||||
Daikin Industries, Ltd. | 6,800 | 1,238,109 | |||||||||
Daito Trust Construction Co., Ltd. | 500 | 53,050 | |||||||||
Daiwa House Industry Co., Ltd. | 3,900 | 101,890 | |||||||||
Daiwa House REIT Investment Corp. | 16 | 43,055 | |||||||||
Daiwa Securities Group, Inc. | 10,200 | 57,755 | |||||||||
Denso Corp. | 11,100 | 708,307 | |||||||||
Dentsu Group, Inc. | 1,600 | 65,429 | |||||||||
Disco Corp. | 5,500 | 1,534,177 | |||||||||
East Japan Railway Co. | 2,200 | 127,688 | |||||||||
Eisai Co., Ltd. | 1,700 | 78,783 | |||||||||
Electric Power Development Co., Ltd. | 20,500 | 293,655 | |||||||||
ENEOS Holdings, Inc. | 21,550 | 80,996 | |||||||||
FANUC Corp. | 1,400 | 246,202 | |||||||||
Fast Retailing Co., Ltd. | 400 | 205,491 | |||||||||
Fuji Electric Co., Ltd. | 900 | 44,887 | |||||||||
FUJIFILM Holdings Corp. | 2,500 | 152,942 | |||||||||
Fujitsu, Ltd. | 1,400 | 208,715 | |||||||||
GLP J-REIT | 30 | 45,662 |
240
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
GMO Payment Gateway, Inc. | 300 | $ | 30,627 | ||||||||
Hakuhodo DY Holdings, Inc. | 1,700 | 21,363 | |||||||||
Hamamatsu Photonics KK | 11,100 | 590,760 | |||||||||
Hankyu Hanshin Holdings, Inc. | 1,700 | 49,173 | |||||||||
Hikari Tsushin, Inc. | 200 | 22,780 | |||||||||
Hino Motors, Ltd. | 2,100 | 12,287 | |||||||||
Hirose Electric Co., Ltd. | 225 | 32,694 | |||||||||
Hitachi Construction Machinery Co., Ltd. | 800 | 20,730 | |||||||||
Hitachi Metals, Ltd.† | 1,600 | 26,771 | |||||||||
Hitachi, Ltd. | 6,800 | 340,738 | |||||||||
Honda Motor Co., Ltd. | 21,500 | 610,949 | |||||||||
Hoshizaki Corp. | 400 | 27,435 | |||||||||
Hoya Corp. | 2,600 | 296,690 | |||||||||
Hulic Co., Ltd. | 2,700 | 24,242 | |||||||||
Ibiden Co., Ltd. | 800 | 39,242 | |||||||||
Idemitsu Kosan Co., Ltd. | 1,479 | 40,804 | |||||||||
Iida Group Holdings Co., Ltd. | 1,100 | 19,041 | |||||||||
Inpex Corp. | 7,200 | 85,496 | |||||||||
Isuzu Motors, Ltd. | 4,100 | 52,969 | |||||||||
Ito En, Ltd. | 419 | 20,559 | |||||||||
ITOCHU Corp. | 8,400 | 284,945 | |||||||||
Itochu Techno-Solutions Corp. | 700 | 17,879 | |||||||||
Japan Airlines Co., Ltd.† | 1,100 | 20,473 | |||||||||
Japan Exchange Group, Inc. | 3,600 | 67,078 | |||||||||
Japan Metropolitan Fund Investment Corp. | 49 | 41,405 | |||||||||
Japan Post Bank Co., Ltd. | 2,900 | 23,357 | |||||||||
Japan Post Holdings Co., Ltd. | 17,200 | 126,341 | |||||||||
Japan Post Insurance Co., Ltd. | 1,500 | 26,239 | |||||||||
Japan Real Estate Investment Corp. | 9 | 47,160 | |||||||||
Japan Tobacco, Inc. | 8,500 | 145,504 | |||||||||
JFE Holdings, Inc. | 3,500 | 49,255 | |||||||||
JSR Corp. | 1,500 | 44,228 | |||||||||
Kajima Corp. | 3,200 | 38,971 | |||||||||
Kakaku.com, Inc. | 1,000 | 22,366 | |||||||||
Kansai Electric Power Co., Inc. | 5,000 | 47,174 | |||||||||
Kansai Paint Co., Ltd. | 1,300 | 20,887 | |||||||||
Kao Corp. | 3,400 | 139,576 | |||||||||
KDDI Corp. | 41,900 | 1,376,260 | |||||||||
Keio Corp. | 800 | 31,232 | |||||||||
Keisei Electric Railway Co., Ltd. | 900 | 25,048 | |||||||||
Keyence Corp. | 4,200 | 1,952,697 | |||||||||
Kikkoman Corp. | 1,100 | 72,854 | |||||||||
Kintetsu Group Holdings Co., Ltd. | 1,300 | 37,192 | |||||||||
Kirin Holdings Co., Ltd. | 26,400 | 394,831 | |||||||||
Kobayashi Pharmaceutical Co., Ltd. | 399 | 31,987 | |||||||||
Kobe Bussan Co., Ltd. | 964 | 29,612 | |||||||||
Koei Tecmo Holdings Co, Ltd. | 390 | 12,754 | |||||||||
Koito Manufacturing Co., Ltd. | 800 | 32,387 | |||||||||
Komatsu, Ltd. | 6,100 | 146,374 | |||||||||
Konami Holdings Corp. | 700 | 44,245 | |||||||||
Kose Corp. | 240 | 25,101 | |||||||||
Kubota Corp. | 53,800 | 1,008,641 | |||||||||
Kurita Water Industries, Ltd. | 700 | 25,837 | |||||||||
Kyocera Corp. | 2,300 | 129,280 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Kyowa Kirin Co., Ltd. | 2,000 | $ | 46,401 | ||||||||
Lasertec Corp.† | 590 | 99,193 | |||||||||
Lawson, Inc. | 400 | 15,288 | |||||||||
Lion Corp. | 1,600 | 17,836 | |||||||||
LIXIL Corp. | 1,900 | 35,357 | |||||||||
M3, Inc. | 3,100 | 112,194 | |||||||||
Makita Corp. | 1,600 | 51,246 | |||||||||
Marubeni Corp. | 10,900 | 127,165 | |||||||||
Mazda Motor Corp. | 4,000 | 29,590 | |||||||||
McDonald's Holdings Co. Japan, Ltd. | 600 | 24,991 | |||||||||
Medipal Holdings Corp. | 1,300 | 21,424 | |||||||||
MEIJI Holdings Co., Ltd. | 900 | 48,810 | |||||||||
Mercari, Inc.† | 800 | 20,746 | |||||||||
Minebea Mitsumi, Inc. | 2,600 | 56,638 | |||||||||
MISUMI Group, Inc. | 32,300 | 961,044 | |||||||||
Mitsubishi Chemical Holdings Corp. | 9,000 | 59,885 | |||||||||
Mitsubishi Corp. | 26,600 | 1,002,237 | |||||||||
Mitsubishi Electric Corp. | 94,300 | 1,085,373 | |||||||||
Mitsubishi Estate Co., Ltd. | 8,400 | 124,929 | |||||||||
Mitsubishi Gas Chemical Co., Inc. | 1,200 | 20,374 | |||||||||
Mitsubishi HC Capital, Inc. | 59,700 | 277,864 | |||||||||
Mitsubishi Heavy Industries, Ltd. | 2,300 | 75,746 | |||||||||
Mitsubishi UFJ Financial Group, Inc. | 546,500 | 3,392,221 | |||||||||
Mitsui & Co., Ltd. | 10,900 | 296,913 | |||||||||
Mitsui Chemicals, Inc. | 1,300 | 32,748 | |||||||||
Mitsui Fudosan Co., Ltd. | 48,200 | 1,031,238 | |||||||||
Mitsui OSK Lines, Ltd. | 2,400 | 66,626 | |||||||||
Miura Co., Ltd. | 686 | 16,919 | |||||||||
Mizuho Financial Group, Inc. | 16,940 | 216,831 | |||||||||
MonotaRO Co., Ltd. | 1,800 | 38,573 | |||||||||
MS&AD Insurance Group Holdings, Inc. | 3,200 | 103,969 | |||||||||
Murata Manufacturing Co., Ltd. | 31,600 | 2,088,939 | |||||||||
Nabtesco Corp. | 35,900 | 950,971 | |||||||||
NEC Corp. | 1,800 | 75,513 | |||||||||
Nexon Co., Ltd. | 3,500 | 83,753 | |||||||||
NGK Insulators, Ltd. | 1,900 | 27,126 | |||||||||
Nidec Corp. | 3,200 | 253,522 | |||||||||
Nihon M&A Center Holdings, Inc. | 2,240 | 31,128 | |||||||||
Nintendo Co., Ltd. | 800 | 403,650 | |||||||||
Nippon Building Fund, Inc. | 11 | 62,466 | |||||||||
Nippon Express Holdings, Inc. | 562 | 38,631 | |||||||||
Nippon Paint Holdings Co., Ltd. | 5,900 | 51,773 | |||||||||
Nippon Prologis REIT, Inc. | 15 | 43,872 | |||||||||
Nippon Sanso Holdings Corp. | 1,100 | 20,902 | |||||||||
Nippon Shinyaku Co., Ltd. | 400 | 27,197 | |||||||||
Nippon Steel Corp. | 6,100 | 108,139 | |||||||||
Nippon Telegraph & Telephone Corp. | 82,600 | 2,400,096 | |||||||||
Nippon Yusen KK | 1,200 | 104,871 | |||||||||
Nissan Chemical Corp. | 900 | 52,822 | |||||||||
Nissan Motor Co., Ltd.† | 16,300 | 72,562 | |||||||||
Nisshin Seifun Group, Inc. | 1,400 | 19,545 | |||||||||
Nissin Foods Holdings Co., Ltd. | 500 | 35,111 | |||||||||
Nitori Holdings Co., Ltd. | 600 | 75,349 | |||||||||
Nitto Denko Corp. | 1,000 | 71,667 | |||||||||
Nomura Holdings, Inc. | 21,600 | 90,514 | |||||||||
Nomura Real Estate Holdings, Inc. | 900 | 21,553 |
241
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Nomura Real Estate Master Fund, Inc. | 30 | $ | 39,665 | ||||||||
Nomura Research Institute, Ltd. | 2,500 | 81,763 | |||||||||
NTT Data Corp. | 73,400 | 1,439,642 | |||||||||
Obayashi Corp. | 4,600 | 33,824 | |||||||||
OBIC Co., Ltd. | 500 | 74,919 | |||||||||
Odakyu Electric Railway Co., Ltd. | 2,200 | 36,531 | |||||||||
Oji Holdings Corp. | 5,700 | 28,338 | |||||||||
Olympus Corp. | 7,800 | 148,187 | |||||||||
Omron Corp. | 6,700 | 446,707 | |||||||||
Ono Pharmaceutical Co., Ltd. | 2,600 | 65,298 | |||||||||
Open House Group Co., Ltd. | 600 | 26,550 | |||||||||
Oracle Corp. Japan | 300 | 20,834 | |||||||||
Oriental Land Co., Ltd. | 1,500 | 286,382 | |||||||||
ORIX Corp. | 8,500 | 169,651 | |||||||||
Orix JREIT, Inc. | 19 | 25,758 | |||||||||
Osaka Gas Co., Ltd. | 2,600 | 44,637 | |||||||||
Otsuka Corp. | 800 | 28,409 | |||||||||
Otsuka Holdings Co., Ltd. | 18,000 | 622,663 | |||||||||
Pan Pacific International Holdings Corp. | 2,900 | 46,512 | |||||||||
Panasonic Holdings Corp. | 79,100 | 766,015 | |||||||||
Persol Holdings Co., Ltd. | 1,301 | 29,163 | |||||||||
Pola Orbis Holdings, Inc. | 7,644 | 99,463 | |||||||||
Rakuten Group, Inc. | 6,100 | 48,089 | |||||||||
Recruit Holdings Co., Ltd. | 54,000 | 2,363,972 | |||||||||
Renesas Electronics Corp.† | 40,821 | 472,347 | |||||||||
Resona Holdings, Inc. | 14,500 | 62,092 | |||||||||
Ricoh Co., Ltd. | 4,700 | 40,776 | |||||||||
Rinnai Corp. | 300 | 22,461 | |||||||||
Rohm Co., Ltd. | 600 | 46,633 | |||||||||
Ryohin Keikaku Co., Ltd. | 1,900 | 22,158 | |||||||||
Santen Pharmaceutical Co., Ltd. | 2,500 | 25,026 | |||||||||
SBI Holdings, Inc. | 1,800 | 45,489 | |||||||||
SCSK Corp. | 1,124 | 19,262 | |||||||||
Secom Co., Ltd. | 1,500 | 108,685 | |||||||||
Seiko Epson Corp. | 2,000 | 29,986 | |||||||||
Sekisui Chemical Co., Ltd. | 64,800 | 928,098 | |||||||||
Sekisui House, Ltd. | 4,300 | 83,375 | |||||||||
Seven & i Holdings Co., Ltd. | 27,600 | 1,313,214 | |||||||||
SG Holdings Co., Ltd. | 2,344 | 44,175 | |||||||||
Sharp Corp. | 1,600 | 14,984 | |||||||||
Shimadzu Corp. | 1,700 | 58,539 | |||||||||
Shimano, Inc. | 500 | 114,368 | |||||||||
Shimizu Corp. | 3,800 | 22,838 | |||||||||
Shin-Etsu Chemical Co., Ltd. | 2,500 | 380,963 | |||||||||
Shionogi & Co., Ltd. | 1,900 | 116,686 | |||||||||
Shiseido Co., Ltd. | 2,800 | 141,907 | |||||||||
Shizuoka Bank, Ltd. | 3,200 | 22,599 | |||||||||
SMC Corp. | 3,600 | 2,010,648 | |||||||||
SoftBank Corp. | 20,200 | 236,093 | |||||||||
SoftBank Group Corp. | 16,100 | 724,132 | |||||||||
Sohgo Security Services Co., Ltd. | 500 | 16,328 | |||||||||
Sompo Holdings, Inc. | 2,300 | 101,171 | |||||||||
Sony Group Corp. | 43,400 | 4,479,357 | |||||||||
Square Enix Holdings Co., Ltd. | 600 | 26,560 | |||||||||
Stanley Electric Co., Ltd. | 15,900 | 300,269 |
Security Description | Shares | Value (Note 2) | |||||||||
Japan (continued) | |||||||||||
Subaru Corp. | 4,300 | $ | 68,310 | ||||||||
SUMCO Corp. | 2,412 | 39,575 | |||||||||
Sumitomo Pharma Co., Ltd. | 1,300 | 12,838 | |||||||||
Sumitomo Chemical Co., Ltd. | 10,500 | 48,133 | |||||||||
Sumitomo Corp. | 47,100 | 816,734 | |||||||||
Sumitomo Electric Industries, Ltd. | 5,300 | 63,033 | |||||||||
Sumitomo Metal Mining Co., Ltd. | 1,800 | 90,887 | |||||||||
Sumitomo Mitsui Financial Group, Inc. | 9,200 | 293,611 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. | 14,100 | 460,640 | |||||||||
Sumitomo Realty & Development Co., Ltd. | 2,300 | 63,574 | |||||||||
Sumitomo Rubber Industries, Ltd. | 16,100 | 147,714 | |||||||||
Suntory Beverage & Food, Ltd. | 1,000 | 38,132 | |||||||||
Suzuki Motor Corp. | 15,000 | 514,174 | |||||||||
Sysmex Corp. | 1,200 | 87,137 | |||||||||
T&D Holdings, Inc. | 3,700 | 50,197 | |||||||||
Taisei Corp. | 1,400 | 40,471 | |||||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 300 | 13,915 | |||||||||
Takeda Pharmaceutical Co., Ltd. | 11,100 | 317,680 | |||||||||
TDK Corp. | 2,700 | 97,486 | |||||||||
TechnoPro Holdings, Inc. | 23,700 | 636,747 | |||||||||
Terumo Corp. | 37,900 | 1,147,830 | |||||||||
THK Co., Ltd. | 12,700 | 280,126 | |||||||||
TIS, Inc. | 1,552 | 36,300 | |||||||||
Tobu Railway Co., Ltd. | 1,400 | 34,062 | |||||||||
Toho Co., Ltd. | 800 | 30,247 | |||||||||
Tokio Marine Holdings, Inc. | 45,400 | 2,640,563 | |||||||||
Tokyo Century Corp. | 300 | 11,008 | |||||||||
Tokyo Electric Power Co. Holdings, Inc.† | 10,800 | 35,707 | |||||||||
Tokyo Electron, Ltd. | 3,000 | 1,540,423 | |||||||||
Tokyo Gas Co., Ltd. | 2,600 | 47,628 | |||||||||
Tokyu Corp. | 3,600 | 46,759 | |||||||||
Toppan, Inc. | 1,900 | 33,566 | |||||||||
Toray Industries, Inc. | 9,700 | 50,557 | |||||||||
Toshiba Corp. | 2,800 | 106,248 | |||||||||
Tosoh Corp. | 7,100 | 104,997 | |||||||||
TOTO, Ltd. | 1,000 | 40,168 | |||||||||
Toyo Suisan Kaisha, Ltd. | 700 | 25,032 | |||||||||
Toyota Industries Corp. | 1,100 | 75,713 | |||||||||
Toyota Motor Corp. | 268,700 | 4,813,359 | |||||||||
Toyota Tsusho Corp. | 1,600 | 65,835 | |||||||||
Trend Micro, Inc. | 1,000 | 58,374 | |||||||||
Tsuruha Holdings, Inc. | 287 | 18,227 | |||||||||
Unicharm Corp. | 2,900 | 103,132 | |||||||||
USS Co., Ltd. | 1,600 | 26,912 | |||||||||
Welcia Holdings Co., Ltd. | 10,000 | 246,047 | |||||||||
West Japan Railway Co. | 1,600 | 66,410 | |||||||||
Yakult Honsha Co., Ltd. | 900 | 48,037 | |||||||||
Yamaha Corp. | 1,000 | 43,608 | |||||||||
Yamaha Motor Co., Ltd. | 2,200 | 49,304 | |||||||||
Yamato Holdings Co., Ltd. | 2,100 | 39,313 | |||||||||
Yaskawa Electric Corp. | 1,800 | 70,301 | |||||||||
Yokogawa Electric Corp. | 1,700 | 29,002 |
242
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Japan (continued) | |||||||||||
Z Holdings Corp. | 99,300 | $ | 431,148 | ||||||||
ZOZO, Inc. | 930 | 24,707 | |||||||||
73,969,908 | |||||||||||
Jersey — 0.6% | |||||||||||
Amcor PLC CDI | 36,180 | 411,784 | |||||||||
Experian PLC | 6,483 | 250,017 | |||||||||
Ferguson PLC | 1,553 | 210,804 | |||||||||
Glencore PLC | 69,675 | 452,802 | |||||||||
WPP PLC | 70,686 | 925,013 | |||||||||
2,250,420 | |||||||||||
Luxembourg — 0.2% | |||||||||||
ArcelorMittal SA | 4,488 | 144,259 | |||||||||
Aroundtown SA | 7,045 | 40,468 | |||||||||
Eurofins Scientific SE | 944 | 93,581 | |||||||||
InPost SA† | 1,410 | 8,863 | |||||||||
Samsonite International SA†* | 122,700 | 275,742 | |||||||||
Tenaris SA | 3,330 | 50,188 | |||||||||
613,101 | |||||||||||
Netherlands — 5.0% | |||||||||||
Aalberts NV | 15,848 | 819,076 | |||||||||
ABN AMRO Bank NV CVA* | 2,982 | 38,149 | |||||||||
Adyen NV†* | 709 | 1,400,679 | |||||||||
Aegon NV | 12,579 | 66,385 | |||||||||
AerCap Holdings NV† | 946 | 47,565 | |||||||||
Airbus SE† | 4,143 | 500,779 | |||||||||
Akzo Nobel NV | 19,178 | 1,647,700 | |||||||||
Argenx SE† | 322 | 101,252 | |||||||||
ASM International NV | 329 | 119,263 | |||||||||
ASML Holding NV | 9,775 | 6,519,919 | |||||||||
CNH Industrial NV | 7,189 | 113,831 | |||||||||
Davide Campari-Milano NV | 3,686 | 42,875 | |||||||||
Euronext NV* | 603 | 54,755 | |||||||||
EXOR NV | 762 | 58,119 | |||||||||
Ferrari NV | 886 | 193,753 | |||||||||
Heineken Holding NV | 810 | 63,396 | |||||||||
Heineken NV | 1,821 | 173,612 | |||||||||
IMCD NV | 401 | 68,181 | |||||||||
ING Groep NV | 122,815 | 1,283,512 | |||||||||
JDE Peet's NV | 707 | 20,227 | |||||||||
Just Eat Takeaway.com NV†* | 1,269 | 42,595 | |||||||||
Koninklijke Ahold Delhaize NV | 7,347 | 236,178 | |||||||||
Koninklijke DSM NV | 1,228 | 219,467 | |||||||||
Koninklijke KPN NV | 23,623 | 82,043 | |||||||||
Koninklijke Philips NV | 32,123 | 982,739 | |||||||||
NN Group NV | 1,898 | 95,661 | |||||||||
NXP Semiconductors NV | 5,679 | 1,051,069 | |||||||||
Prosus NV | 6,556 | 347,057 | |||||||||
QIAGEN NV† | 1,621 | 79,568 | |||||||||
Randstad NV | 840 | 50,419 | |||||||||
Stellantis NV (Borsa Italiana) | 14,306 | 231,993 | |||||||||
Stellantis NV (Euronext Paris) | 39,580 | 640,500 | |||||||||
STMicroelectronics NV | 4,798 | 208,431 |
Security Description | Shares | Value (Note 2) | |||||||||
Netherlands (continued) | |||||||||||
Universal Music Group NV | 5,096 | $ | 135,287 | ||||||||
Wolters Kluwer NV | 1,844 | 196,293 | |||||||||
17,932,328 | |||||||||||
New Zealand — 0.1% | |||||||||||
Auckland International Airport, Ltd.† | 8,827 | 47,733 | |||||||||
Fisher & Paykel Healthcare Corp., Ltd. | 4,054 | 68,121 | |||||||||
Mercury NZ, Ltd. | 4,804 | 19,736 | |||||||||
Meridian Energy, Ltd. | 9,034 | 31,492 | |||||||||
Ryman Healthcare, Ltd. | 2,997 | 19,423 | |||||||||
Spark New Zealand, Ltd. | 13,166 | 41,714 | |||||||||
Xero, Ltd.† | 941 | 71,273 | |||||||||
299,492 | |||||||||||
Norway — 2.0% | |||||||||||
Adevinta ASA† | 2,048 | 18,660 | |||||||||
Aker BP ASA | 888 | 33,088 | |||||||||
DNB Bank ASA | 104,400 | 2,363,659 | |||||||||
Equinor ASA | 98,954 | 3,713,065 | |||||||||
Gjensidige Forsikring ASA | 1,410 | 34,980 | |||||||||
Mowi ASA | 3,088 | 83,247 | |||||||||
Norsk Hydro ASA | 9,449 | 92,073 | |||||||||
Orkla ASA | 5,277 | 46,930 | |||||||||
Schibsted ASA, Class A | 516 | 12,675 | |||||||||
Schibsted ASA, Class B | 687 | 14,629 | |||||||||
Storebrand ASA | 82,030 | 819,742 | |||||||||
Telenor ASA | 4,916 | 70,656 | |||||||||
Yara International ASA | 1,165 | 58,095 | |||||||||
7,361,499 | |||||||||||
Portugal — 0.1% | |||||||||||
Banco Espirito Santo SA†(1) | 59,101 | 0 | |||||||||
EDP — Energias de Portugal SA | 19,538 | 96,233 | |||||||||
Galp Energia SGPS SA | 3,535 | 44,735 | |||||||||
Jeronimo Martins SGPS SA | 1,993 | 47,746 | |||||||||
188,714 | |||||||||||
Singapore — 1.0% | |||||||||||
Ascendas Real Estate Investment Trust | 23,600 | 50,891 | |||||||||
CapitaLand Integrated Commercial Trust | 34,192 | 56,624 | |||||||||
Capitaland Investment, Ltd.† | 18,500 | 54,235 | |||||||||
City Developments, Ltd. | 2,900 | 16,788 | |||||||||
DBS Group Holdings, Ltd. | 33,200 | 872,839 | |||||||||
Genting Singapore, Ltd. | 42,600 | 25,518 | |||||||||
Keppel Corp., Ltd. | 10,300 | 48,633 | |||||||||
Mapletree Commercial Trust | 15,200 | 21,140 | |||||||||
Mapletree Logistics Trust | 21,911 | 29,810 | |||||||||
Oversea-Chinese Banking Corp., Ltd. | 23,800 | 216,319 | |||||||||
Singapore Airlines, Ltd.† | 9,400 | 37,942 | |||||||||
Singapore Exchange, Ltd. | 5,700 | 41,799 | |||||||||
Singapore Technologies Engineering, Ltd. | 10,900 | 33,041 | |||||||||
Singapore Telecommunications, Ltd. | 58,010 | 112,664 | |||||||||
United Overseas Bank, Ltd. | 50,400 | 1,182,185 | |||||||||
UOL Group, Ltd. | 3,300 | 17,106 |
243
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Singapore (continued) | |||||||||||
Venture Corp., Ltd. | 2,048 | $ | 26,419 | ||||||||
Wilmar International, Ltd. | 242,400 | 840,522 | |||||||||
3,684,475 | |||||||||||
South Korea — 1.2% | |||||||||||
KT Corp. | 12,236 | 359,387 | |||||||||
NAVER Corp. | 2,017 | 564,000 | |||||||||
Samsung Electronics Co., Ltd. | 34,614 | 1,977,416 | |||||||||
Samsung SDI Co., Ltd. | 2,551 | 1,244,747 | |||||||||
4,145,550 | |||||||||||
Spain — 1.8% | |||||||||||
ACS Actividades de Construccion y Servicios SA | 1,638 | 44,030 | |||||||||
Aena SME SA†* | 527 | 87,301 | |||||||||
Amadeus IT Group SA† | 9,794 | 637,942 | |||||||||
Banco Bilbao Vizcaya Argentaria SA | 205,832 | 1,176,900 | |||||||||
Banco Santander SA | 121,836 | 413,385 | |||||||||
CaixaBank SA | 31,149 | 104,984 | |||||||||
Cellnex Telecom SA* | 16,795 | 805,019 | |||||||||
EDP Renovaveis SA | 2,025 | 52,156 | |||||||||
Enagas SA | 1,755 | 38,998 | |||||||||
Endesa SA | 2,231 | 48,687 | |||||||||
Ferrovial SA | 3,408 | 90,223 | |||||||||
Grifols SA | 2,104 | 38,060 | |||||||||
Iberdrola SA | 230,801 | 2,512,119 | |||||||||
Industria de Diseno Textil SA | 7,664 | 166,760 | |||||||||
Naturgy Energy Group SA | 1,368 | 40,852 | |||||||||
Red Electrica Corp. SA | 3,041 | 62,455 | |||||||||
Repsol SA | 10,195 | 134,055 | |||||||||
Siemens Gamesa Renewable Energy SA† | 1,681 | 29,510 | |||||||||
Telefonica SA | 37,023 | 179,706 | |||||||||
6,663,142 | |||||||||||
SupraNational — 0.0% | |||||||||||
HK Electric Investments & HK Electric Investments, Ltd. | 18,500 | 18,059 | |||||||||
HKT Trust & HKT, Ltd. | 27,000 | 37,055 | |||||||||
Unibail-Rodamco-Westfield† | 840 | 62,843 | |||||||||
117,957 | |||||||||||
Sweden — 2.0% | |||||||||||
Alfa Laval AB | 2,214 | 76,137 | |||||||||
Assa Abloy AB, Class B | 7,042 | 189,877 | |||||||||
Atlas Copco AB, Class A | 4,718 | 244,857 | |||||||||
Atlas Copco AB, Class B | 2,741 | 124,305 | |||||||||
Boliden AB | 1,922 | 97,466 | |||||||||
Electrolux AB, Class B | 1,591 | 24,072 | |||||||||
Elekta AB, Series B | 39,083 | 306,668 | |||||||||
Embracer Group AB† | 3,931 | 32,943 | |||||||||
Epiroc AB, Class A | 4,638 | 99,247 | |||||||||
Epiroc AB, Class B | 2,739 | 49,303 | |||||||||
EQT AB | 2,082 | 81,532 | |||||||||
Essity AB, Class B | 4,283 | 100,914 | |||||||||
Evolution AB* | 1,209 | 123,384 | |||||||||
Fastighets AB Balder, Class B† | 739 | 48,358 | |||||||||
Getinge AB, Class B | 1,610 | 64,086 |
Security Description | Shares | Value (Note 2) | |||||||||
Sweden (continued) | |||||||||||
Hennes & Mauritz AB, Class B | 5,131 | $ | 68,523 | ||||||||
Hexagon AB, Class B | 13,676 | 191,870 | |||||||||
Husqvarna AB, Class B | 2,951 | 30,758 | |||||||||
Industrivarden AB, Class A | 916 | 26,034 | |||||||||
Industrivarden AB, Class C | 1,142 | 31,869 | |||||||||
Investment AB Latour, Class B | 1,044 | 33,164 | |||||||||
Investor AB, Class A | 3,510 | 81,547 | |||||||||
Investor AB, Class B | 12,802 | 278,008 | |||||||||
Kinnevik AB, Class B† | 1,706 | 44,400 | |||||||||
L E Lundbergforetagen AB, Class B | 536 | 27,228 | |||||||||
Lifco AB | 1,641 | 41,644 | |||||||||
Lundin Energy AB | 1,406 | 59,607 | |||||||||
Nibe Industrier AB, Class B | 10,039 | 110,639 | |||||||||
Sagax AB, Class B | 1,133 | 34,274 | |||||||||
Sandvik AB | 43,553 | 924,648 | |||||||||
Securitas AB, Class B | 2,208 | 24,877 | |||||||||
Sinch AB†* | 3,676 | 24,891 | |||||||||
Skandinaviska Enskilda Banken AB, Class A | 11,435 | 123,819 | |||||||||
Skanska AB, Class B | 2,390 | 53,468 | |||||||||
SKF AB, Class B | 2,691 | 43,742 | |||||||||
Svenska Cellulosa AB SCA, Class B | 4,257 | 82,657 | |||||||||
Svenska Handelsbanken AB, Class A | 179,441 | 1,651,426 | |||||||||
Swedbank AB, Class A | 6,362 | 94,946 | |||||||||
Swedish Match AB | 11,101 | 83,502 | |||||||||
Tele2 AB, Class B | 3,532 | 53,322 | |||||||||
Telefonaktiebolaget LM Ericsson, Class B | 123,052 | 1,125,923 | |||||||||
Telia Co. AB | 18,677 | 74,794 | |||||||||
Volvo AB, Class A | 1,414 | 27,028 | |||||||||
Volvo AB, Class B | 10,045 | 187,354 | |||||||||
7,299,111 | |||||||||||
Switzerland — 9.8% | |||||||||||
ABB, Ltd. | 43,723 | 1,414,594 | |||||||||
Adecco Group AG | 1,123 | 50,828 | |||||||||
Alcon, Inc. | 21,499 | 1,698,273 | |||||||||
Bachem Holding AG | 43 | 23,596 | |||||||||
Baloise Holding AG | 322 | 57,379 | |||||||||
Barry Callebaut AG | 261 | 611,168 | |||||||||
Chocoladefabriken Lindt & Spruengli AG | 1 | 120,794 | |||||||||
Chocoladefabriken Lindt & Spruengli AG (Participation Certificate) | 75 | 889,412 | |||||||||
Cie Financiere Richemont SA | 10,825 | 1,373,135 | |||||||||
Clariant AG | 1,521 | 26,338 | |||||||||
Coca-Cola HBC AG | 1,414 | 29,488 | |||||||||
Credit Suisse Group AG | 18,624 | 146,945 | |||||||||
EMS-Chemie Holding AG | 49 | 47,404 | |||||||||
Geberit AG | 252 | 155,133 | |||||||||
Givaudan SA | 65 | 267,569 | |||||||||
Holcim, Ltd. | 3,679 | 179,615 | |||||||||
Julius Baer Group, Ltd. | 13,675 | 793,242 | |||||||||
Kuehne & Nagel International AG | 381 | 107,955 | |||||||||
Logitech International SA | 1,216 | 90,119 | |||||||||
Lonza Group AG | 1,805 | 1,307,692 | |||||||||
Nestle SA | 81,100 | 10,528,468 |
244
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
Switzerland (continued) | |||||||||||
Novartis AG | 35,305 | $ | 3,096,300 | ||||||||
Partners Group Holding AG | 159 | 197,536 | |||||||||
Roche Holding AG (BR) | 225 | 98,375 | |||||||||
Roche Holding AG (NES) | 18,846 | 7,453,128 | |||||||||
Schindler Holding AG (Participation Certificate) | 286 | 60,976 | |||||||||
Schindler Holding AG | 141 | 29,896 | |||||||||
SGS SA | 42 | 116,702 | |||||||||
Sika AG | 3,073 | 1,012,421 | |||||||||
Sonova Holding AG | 377 | 157,247 | |||||||||
Straumann Holding AG | 73 | 116,811 | |||||||||
Swatch Group AG (TRQX) | 371 | 20,144 | |||||||||
Swatch Group AG (XEGT) | 204 | 57,968 | |||||||||
Swiss Life Holding AG | 222 | 141,700 | |||||||||
Swiss Prime Site AG | 534 | 52,641 | |||||||||
Swiss Re AG | 2,119 | 201,640 | |||||||||
Swisscom AG | 182 | 109,271 | |||||||||
Temenos AG | 473 | 45,321 | |||||||||
UBS Group AG | 24,712 | 482,798 | |||||||||
VAT Group AG* | 190 | 72,447 | |||||||||
Vifor Pharma AG | 343 | 60,846 | |||||||||
Zurich Insurance Group AG | 3,436 | 1,694,046 | |||||||||
35,197,361 | |||||||||||
Taiwan — 1.2% | |||||||||||
Largan Precision Co., Ltd. | 3,000 | 196,310 | |||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 194,000 | 4,010,840 | |||||||||
4,207,150 | |||||||||||
United Kingdom — 16.9% | |||||||||||
3i Group PLC | 6,838 | 123,692 | |||||||||
Abrdn PLC | 15,378 | 43,041 | |||||||||
Admiral Group PLC | 1,368 | 45,827 | |||||||||
Anglo American PLC | 8,988 | 463,569 | |||||||||
Antofagasta PLC | 86,668 | 1,892,503 | |||||||||
Ashtead Group PLC | 17,080 | 1,076,691 | |||||||||
ASOS PLC† | 16,291 | 343,102 | |||||||||
Associated British Foods PLC | 2,503 | 54,359 | |||||||||
AstraZeneca PLC | 34,567 | 4,583,970 | |||||||||
AstraZeneca PLC ADR | 22,672 | 1,504,060 | |||||||||
Auto Trader Group PLC* | 6,679 | 55,290 | |||||||||
AVEVA Group PLC | 849 | 27,106 | |||||||||
Aviva PLC | 26,629 | 157,189 | |||||||||
BAE Systems PLC | 22,288 | 210,097 | |||||||||
Barclays PLC | 409,953 | 796,379 | |||||||||
Barratt Developments PLC | 7,181 | 48,994 | |||||||||
Berkeley Group Holdings PLC | 791 | 38,501 | |||||||||
BP PLC | 138,730 | 677,978 | |||||||||
Bridgepoint Group PLC†* | 61,563 | 282,927 | |||||||||
British American Tobacco PLC | 15,316 | 640,613 | |||||||||
British Land Co. PLC | 6,208 | 42,999 | |||||||||
BT Group PLC | 62,723 | 149,494 | |||||||||
Bunzl PLC | 40,943 | 1,591,875 | |||||||||
Burberry Group PLC | 49,757 | 1,086,550 | |||||||||
Close Brothers Group PLC | 12,207 | 189,476 | |||||||||
Coca-Cola Europacific Partners PLC | 1,440 | 69,998 |
Security Description | Shares | Value (Note 2) | |||||||||
United Kingdom (continued) | |||||||||||
Compass Group PLC | 56,556 | $ | 1,218,842 | ||||||||
Croda International PLC | 982 | 100,922 | |||||||||
Diageo PLC | 69,812 | 3,528,521 | |||||||||
Direct Line Insurance Group PLC | 98,766 | 356,054 | |||||||||
Dr. Martens PLC | 71,026 | 220,958 | |||||||||
GlaxoSmithKline PLC | 141,762 | 3,056,946 | |||||||||
GlaxoSmithKline PLC ADR | 20,525 | 894,069 | |||||||||
Great Portland Estates PLC | 54,513 | 508,257 | |||||||||
Halma PLC | 2,672 | 87,219 | |||||||||
Hargreaves Lansdown PLC | 2,509 | 33,057 | |||||||||
Hikma Pharmaceuticals PLC | 1,221 | 32,850 | |||||||||
HSBC Holdings PLC | 438,904 | 3,007,391 | |||||||||
Imperial Brands PLC | 6,650 | 140,023 | |||||||||
Informa PLC† | 10,561 | 82,885 | |||||||||
InterContinental Hotels Group PLC | 1,287 | 87,152 | |||||||||
Intertek Group PLC | 1,134 | 77,441 | |||||||||
J Sainsbury PLC | 12,308 | 40,755 | |||||||||
JD Sports Fashion PLC | 18,187 | 35,219 | |||||||||
Johnson Matthey PLC | 23,206 | 568,637 | |||||||||
Kingfisher PLC | 540,321 | 1,803,241 | |||||||||
Land Securities Group PLC | 4,950 | 50,817 | |||||||||
Legal & General Group PLC | 41,947 | 148,739 | |||||||||
Lloyds Banking Group PLC | 1,508,971 | 923,788 | |||||||||
London Stock Exchange Group PLC | 2,312 | 241,548 | |||||||||
M&G PLC | 18,267 | 52,911 | |||||||||
Melrose Industries PLC | 378,400 | 612,516 | |||||||||
Mondi PLC | 3,412 | 66,146 | |||||||||
National Grid PLC | 205,822 | 3,161,362 | |||||||||
Natwest Group PLC | 39,734 | 111,804 | |||||||||
Next PLC | 8,400 | 662,386 | |||||||||
Ocado Group PLC† | 16,798 | 256,769 | |||||||||
Pearson PLC | 5,333 | 52,103 | |||||||||
Persimmon PLC | 21,580 | 606,965 | |||||||||
Phoenix Group Holdings PLC | 4,916 | 39,415 | |||||||||
Prudential PLC | 79,869 | 1,179,807 | |||||||||
Reckitt Benckiser Group PLC | 32,088 | 2,452,710 | |||||||||
RELX PLC | 59,760 | 1,861,414 | |||||||||
Rentokil Initial PLC | 13,086 | 90,131 | |||||||||
Rio Tinto PLC | 7,892 | 626,040 | |||||||||
Rolls-Royce Holdings PLC† | 58,893 | 77,432 | |||||||||
Sage Group PLC | 7,188 | 65,916 | |||||||||
Schroders PLC | 877 | 36,958 | |||||||||
Segro PLC | 8,448 | 148,821 | |||||||||
Severn Trent PLC | 1,762 | 71,121 | |||||||||
Shell PLC (Euronext Amsterdam) | 142,259 | 3,918,526 | |||||||||
Shell PLC (LSE) | 54,095 | 1,484,570 | |||||||||
Shell PLC ADR | 11,333 | 622,522 | |||||||||
Smith & Nephew PLC | 69,661 | 1,110,368 | |||||||||
Smiths Group PLC | 2,780 | 52,697 | |||||||||
Spirax-Sarco Engineering PLC | 520 | 85,214 | |||||||||
SSE PLC | 7,487 | 171,433 | |||||||||
St James's Place PLC | 3,803 | 71,704 | |||||||||
Standard Chartered PLC | 61,188 | 405,759 | |||||||||
Taylor Wimpey PLC | 25,710 | 43,871 | |||||||||
Tesco PLC | 257,714 | 931,724 | |||||||||
THG PLC† | 27,117 | 32,429 |
245
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
COMMON STOCKS (continued) | |||||||||||
United Kingdom (continued) | |||||||||||
Unilever PLC (Euronext Amsterdam) | 11,407 | $ | 516,331 | ||||||||
Unilever PLC (LSE) | 65,709 | 2,974,628 | |||||||||
United Utilities Group PLC | 4,791 | 70,617 | |||||||||
Vodafone Group PLC | 929,523 | 1,525,038 | |||||||||
Vodafone Group PLC ADR | 46,371 | 770,686 | |||||||||
Whitbread PLC† | 17,168 | 638,873 | |||||||||
61,101,328 | |||||||||||
United States — 1.4% | |||||||||||
Autoliv, Inc. SDR | 5,085 | 385,754 | |||||||||
Booking Holdings, Inc.† | 590 | 1,385,585 | |||||||||
Broadcom, Inc. | 2,384 | 1,501,157 | |||||||||
Coupang, Inc.† | 4,078 | 72,099 | |||||||||
Lululemon Athletica, Inc.† | 2,711 | 990,138 | |||||||||
MercadoLibre, Inc.† | 720 | 856,426 | |||||||||
5,191,159 | |||||||||||
Total Common Stocks (cost $295,490,960) | 352,620,030 | ||||||||||
EXCHANGE-TRADED FUNDS — 0.1% | |||||||||||
iShares MSCI EAFE ETF (cost $259,035) | 3,500 | 257,600 | |||||||||
WARRANTS† — 0.0% | |||||||||||
Switzerland — 0.0% | |||||||||||
Cie Financiere Richemont SA Expires 11/22/2023 (cost $0) | 8,154 | 6,441 | |||||||||
RIGHTS† — 0.0% | |||||||||||
France — 0.0% | |||||||||||
Electricite De France SA Expires 04/04/2022 (cost $0) | 3,471 | 1,290 | |||||||||
Total Long-Term Investment Securities (cost $295,749,995) | 352,885,361 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 0.2% | |||||||||||
Registered Investments Companies — 0.1% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(4) | 306,676 | 306,676 | |||||||||
T. Rowe Price Government Reserve Fund 0.29%(4) | 119 | 119 | |||||||||
306,795 | |||||||||||
U.S. Government Treasuries — 0.1% | |||||||||||
United States Treasury Bills 0.07% due 06/16/2022(3) | $ | 5,000 | 4,995 | ||||||||
0.07% due 07/14/2022(3) | 100,000 | 99,823 | |||||||||
1.56% due 03/23/2023(3) | 500,000 | 492,299 | |||||||||
597,117 | |||||||||||
Total Short-Term Investment Securities (cost $904,085) | 903,912 | ||||||||||
TOTAL INVESTMENTS (cost $296,654,080)(5) | 98.1 | % | 353,789,273 | ||||||||
Other assets less liabilities | 1.9 | 6,833,496 | |||||||||
NET ASSETS | 100.0 | % | $ | 360,622,769 |
† Non-income producing security
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $7,503,330 representing 2.1% of net assets.
(1) Securities classified as Level 3 (see Note 2).
(2) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||||||||
JD.com, Inc., Class A Lock-Up Shares | 01/20/2022 | 799 | $ | 29,148 | $ | 23,271 | $ | 29.13 | 0.01 | % |
(3) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
(4) The rate shown is the 7-day yield as of March 31, 2022.
(5) See Note 4 for cost of investments on a tax basis.
ADR — American Depositary Receipt
Borsa Italiana — Italian Stock Exchange
BR — Bearer Shares
CDI — Chess Depositary Interest
CVA — Certification Van Aandelen (Dutch Cert.)
ETF — Exchange-Traded Funds
Euronext Amsterdam — Amsterdam Stock Exchange
Euronext Paris — Paris Stock Exchange
LSE — London Stock Exchange
NES — Non-voting Equity Securities
SDR — Swedish Depositary Receipt
TRQX — Turquoise Stock Exchange
XEGT — Equiduct Stock Exchange
246
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis# | Notional Value# | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
47 | Long | MSCI EAFE Index | June 2022 | $ | 5,094,688 | $ | 5,039,340 | $ | (55,348 | ) |
# Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | — | $ | 17,324,099 | ** | $ | 0 | $ | 17,324,099 | ||||||||||
Cayman Islands | 862,921 | 2,762,884 | # | — | 3,625,805 | ||||||||||||||
Portugal | — | 188,714 | ** | 0 | 188,714 | ||||||||||||||
Other countries | 20,598,004 | 310,883,408 | ** | — | 331,481,412 | ||||||||||||||
Exchange-Traded Funds | 257,600 | — | — | 257,600 | |||||||||||||||
Warrants | 6,441 | — | — | 6,441 | |||||||||||||||
Rights | 1,290 | — | — | 1,290 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Registered Investment Companies | 306,795 | — | — | 306,795 | |||||||||||||||
U.S. Government Treasuries | — | 597,117 | — | 597,117 | |||||||||||||||
Total Investments at Value | $ | 22,033,051 | $ | 331,756,222 | $ | 0 | $ | 353,789,273 | |||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 55,348 | $ | — | $ | — | $ | 55,348 |
* 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.
# Amount includes $2,739,613 that represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 2).
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
247
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 28.4 | % | |||||
Uniform Mtg. Backed Securities | 14.8 | ||||||
Diversified Financial Services | 13.9 | ||||||
United States Treasury Bonds | 10.7 | ||||||
Government National Mtg. Assoc. | 6.1 | ||||||
Diversified Banking Institutions | 6.1 | ||||||
Federal National Mtg. Assoc. | 5.3 | ||||||
Electric-Integrated | 2.7 | ||||||
Sovereign | 2.6 | ||||||
Registered Investment Companies | 2.2 | ||||||
Federal Home Loan Mtg. Corp. | 1.7 | ||||||
Cable/Satellite TV | 1.4 | ||||||
Pipelines | 1.2 | ||||||
Medical-Drugs | 1.0 | ||||||
Electronic Components-Semiconductors | 0.9 | ||||||
Real Estate Investment Trusts | 0.8 | ||||||
Enterprise Software/Service | 0.8 | ||||||
Oil Companies-Exploration & Production | 0.7 | ||||||
Oil Companies-Integrated | 0.7 | ||||||
Banks-Super Regional | 0.7 | ||||||
Banks-Commercial | 0.7 | ||||||
Telephone-Integrated | 0.7 | ||||||
Motion Pictures & Services | 0.6 | ||||||
Insurance-Life/Health | 0.6 | ||||||
Cellular Telecom | 0.5 | ||||||
Tobacco | 0.5 | ||||||
Municipal Bonds & Notes | 0.5 | ||||||
Computers | 0.5 | ||||||
Broadcast Services/Program | 0.4 | ||||||
Repurchase Agreements | 0.4 | ||||||
Aerospace/Defense | 0.4 | ||||||
Insurance Brokers | 0.4 | ||||||
Auto-Cars/Light Trucks | 0.4 | ||||||
Finance-Credit Card | 0.4 | ||||||
Medical-HMO | 0.4 | ||||||
Computer Services | 0.4 | ||||||
Commercial Services-Finance | 0.4 | ||||||
Brewery | 0.3 | ||||||
Pharmacy Services | 0.3 | ||||||
Medical Products | 0.3 | ||||||
Banks-Fiduciary | 0.3 | ||||||
Semiconductor Components-Integrated Circuits | 0.3 | ||||||
Medical-Biomedical/Gene | 0.3 | ||||||
Electric-Distribution | 0.3 | ||||||
Chemicals-Specialty | 0.3 | ||||||
Gas-Distribution | 0.2 | ||||||
Medical-Hospitals | 0.2 | ||||||
Transport-Rail | 0.2 | ||||||
Food-Meat Products | 0.2 | ||||||
Trucking/Leasing | 0.2 | ||||||
Office Automation & Equipment | 0.2 | ||||||
Rental Auto/Equipment | 0.2 | ||||||
Insurance-Mutual | 0.2 | ||||||
Retail-Building Products | 0.2 | ||||||
Building & Construction Products-Misc. | 0.2 | ||||||
Medical Instruments | 0.2 | ||||||
Food-Misc./Diversified | 0.2 | ||||||
Transactional Software | 0.2 | ||||||
Machinery-General Industrial | 0.2 | ||||||
E-Commerce/Products | 0.2 |
Funeral Services & Related Items | 0.1 | % | |||||
Hazardous Waste Disposal | 0.1 | ||||||
Finance-Leasing Companies | 0.1 | ||||||
E-Commerce/Services | 0.1 | ||||||
Chemicals-Diversified | 0.1 | ||||||
Containers-Metal/Glass | 0.1 | ||||||
Retail-Restaurants | 0.1 | ||||||
SupraNational Banks | 0.1 | ||||||
Federal Home Loan Bank | 0.1 | ||||||
Telecom Services | 0.1 | ||||||
Applications Software | 0.1 | ||||||
Transport-Equipment & Leasing | 0.1 | ||||||
Airport Development/Maintenance | 0.1 | ||||||
Energy-Alternate Sources | 0.1 | ||||||
Cosmetics & Toiletries | 0.1 | ||||||
Insurance-Property/Casualty | 0.1 | ||||||
Metal-Iron | 0.1 | ||||||
Oil Refining & Marketing | 0.1 | ||||||
Paper & Related Products | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Internet Security | 0.1 | ||||||
Networking Products | 0.1 | ||||||
Tennessee Valley Authority | 0.1 | ||||||
Independent Power Producers | 0.1 | ||||||
Finance-Consumer Loans | 0.1 | ||||||
Machinery-Construction & Mining | 0.1 | ||||||
Commercial Services | 0.1 | ||||||
Building-Residential/Commercial | 0.1 | ||||||
Schools | 0.1 | ||||||
Electric-Transmission | 0.1 | ||||||
Food-Wholesale/Distribution | 0.1 | ||||||
Building-Heavy Construction | 0.1 | ||||||
Hotels/Motels | 0.1 | ||||||
Machinery-Farming | 0.1 | ||||||
Cruise Lines | 0.1 | ||||||
Consulting Services | 0.1 | ||||||
Gold Mining | 0.1 | ||||||
Medical Information Systems | 0.1 | ||||||
Gambling (Non-Hotel) | 0.1 | ||||||
Agricultural Operations | 0.1 | ||||||
120.3 | % |
* Calculated as a percentage of net assets
248
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited) (continued)
Credit Quality†# | |||||||
Aaa | 62.1 | % | |||||
Aa | 1.0 | ||||||
A | 8.5 | ||||||
Baa | 15.1 | ||||||
Ba | 3.5 | ||||||
B | 1.4 | ||||||
Caa | 0.5 | ||||||
Ca | 0.1 | ||||||
Not Rated## | 7.8 | ||||||
100.0 | % |
† Source: Moody's
# Calculated as a percentage of total debt issues, excluding short-term securities.
## Represents debt issues that either have no rating, or the rating is unavailable from the data source.
249
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES — 13.8% | |||||||||||
Diversified Financial Services — 13.8% | |||||||||||
1211 Avenue of the Americas Trust Series 2015-1211, Class A1A2 3.90% due 08/10/2035*(1) | $ | 1,440,000 | $ | 1,446,438 | |||||||
510 Asset Backed Trust Series 2021-NPL2, Class A1 2.12% due 06/25/2061*(3) | 958,841 | 917,097 | |||||||||
AASET Trust Series 2020-1A, Class A 3.35% due 01/16/2040* | 196,201 | 172,618 | |||||||||
Adjustable Rate Mtg. Trust FRS Series 2005-10, Class 6A21 0.96% (1 ML+0.50%) due 01/25/2036(2) | 64,228 | 62,710 | |||||||||
Adjustable Rate Mtg. Trust FRS Series 2005-9, Class 5A1 1.00% (1 ML+0.54%) due 11/25/2035(2) | 45,818 | 46,092 | |||||||||
Affirm Asset Securitization Trust Series 2020-Z2, Class A 1.90% due 01/15/2025* | 250,708 | 248,201 | |||||||||
Affirm Asset Securitization Trust Series 2020-Z1, Class A 3.46% due 10/15/2024* | 111,633 | 112,028 | |||||||||
Alternative Loan Trust Series 2005-64CB, Class 3A1 5.50% due 12/25/2035(2) | 95,355 | 82,814 | |||||||||
American Home Mtg. Assets Trust FRS Series 2006-3, Class 2A11 1.08% (12 MTA+0.94%) due 10/25/2046(2) | 38,719 | 30,995 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2022-1, Class C 2.98% due 09/20/2027 | 100,000 | 98,153 | |||||||||
AmeriCredit Automobile Receivables Trust Series 2019-3, Class D 2.58% due 09/18/2025 | 545,000 | 542,701 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-2, Class A1 0.99% due 04/25/2066*(2)(4) | 358,173 | 341,677 | |||||||||
Angel Oak Mtg. Trust VRS Series 2020-R1, Class A1 0.99% due 04/25/2053*(2)(4) | 382,097 | 375,685 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-3, Class A1 1.07% due 05/25/2066*(2)(4) | 690,218 | 651,668 | |||||||||
Angel Oak Mtg. Trust VRS Series 2021-8, Class A1 1.82% due 11/25/2066*(2)(4) | 555,398 | 520,179 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Angel Oak Mtg. Trust VRS Series 2019-5, Class A1 2.59% due 10/25/2049*(2)(4) | $ | 155,236 | $ | 155,352 | |||||||
Angel Oak Mtg. Trust I LLC VRS Series 2019-4, Class A1 2.99% due 07/26/2049*(2)(4) | 67,868 | 67,752 | |||||||||
Apex Credit CLO, Ltd. FRS Series 2017-1A, Class A1R 1.26% (3 ML+1.00%) due 04/24/2029*(6) | 900,548 | 899,530 | |||||||||
Arbor Realty Collateralized Loan Obligation, Ltd. FRS Series 2021-FL2, Class A 1.50% (1 ML+1.10%) due 05/15/2036* | 200,000 | 197,882 | |||||||||
Avant Loans Funding Trust Series 2021-REV1, Class A 1.21% due 07/15/2030* | 435,000 | 420,388 | |||||||||
BA Credit Card Trust Series 2019-A1, Class A1 1.74% due 01/15/2025 | 100,000 | 100,175 | |||||||||
Bain Capital Credit CLO, Ltd. FRS Series 2019-1A, Class AR 1.38% (3 ML+1.13%) due 04/19/2034*(6) | 1,055,000 | 1,044,385 | |||||||||
Bain Capital Credit CLO, Ltd. FRS Series 2017-2A, Class AR2 1.44% (3 ML+1.18%) due 07/25/2034*(6) | 1,260,000 | 1,246,716 | |||||||||
Banc of America Funding Trust FRS Series 2007-1, Class TA1A 0.52% (1 ML+0.06%) due 01/25/2037(2) | 7,360 | 6,746 | |||||||||
Banc of America Funding Trust FRS Series 2007-A, Class 2A5 0.91% (1 ML+0.46%) due 02/20/2047(2) | 138,157 | 135,085 | |||||||||
BANK VRS Series 2018-BN14, Class XA 0.49% due 09/15/2060(1)(4)(5) | 8,666,823 | 212,754 | |||||||||
BANK VRS Series 2019-BN24, Class XA 0.64% due 11/15/2062(1)(4)(5) | 2,251,623 | 94,717 | |||||||||
BANK VRS Series 2019-BN23, Class XA 0.70% due 12/15/2052(1)(4)(5) | 6,796,570 | 298,663 |
250
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
BANK VRS Series 2017-BNK8, Class XA 0.72% due 11/15/2050(1)(4)(5) | $ | 8,483,844 | $ | 279,620 | |||||||
BANK VRS Series 2019-BN20, Class XA 0.85% due 09/15/2062(1)(4)(5) | 4,552,152 | 224,973 | |||||||||
BANK VRS Series 2019-BN18, Class XA 0.90% due 05/15/2062(1)(4)(5) | 2,890,923 | 150,730 | |||||||||
BANK VRS Series 2020-BN28, Class XA 1.78% due 03/15/2063(1)(4)(5) | 4,821,069 | 556,399 | |||||||||
BANK Series 2017-BNK8, Class A4 3.49% due 11/15/2050(1) | 470,000 | 473,606 | |||||||||
BANK Series 2019-BN17, Class A4 3.71% due 04/15/2052(1) | 1,190,000 | 1,216,027 | |||||||||
Barclays Commercial Mtg. Securities Trust Series 2017-C1, Class A4 3.67% due 02/15/2050(1) | 1,325,000 | 1,346,514 | |||||||||
Bayview Koitere Fund Trust VRS Series 2017-RT4, Class A 3.50% due 07/28/2057*(4) | 579,894 | 576,185 | |||||||||
Bayview Mtg. Fund Trust VRS Series 2017-RT3, Class A 3.50% due 01/28/2058*(4) | 387,919 | 382,159 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-RT6, Class A 3.50% due 10/28/2057*(4) | 527,614 | 516,042 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL5, Class A 3.50% due 06/28/2057*(4) | 315,371 | 313,853 | |||||||||
Bayview Opportunity Master Fund Trust VRS Series 2017-SPL1, Class A 4.00% due 10/28/2064*(4) | 508,064 | 502,633 | |||||||||
BCAP LLC Trust FRS Series 2006-AA2, Class A1 0.80% (1 ML+0.34%) due 01/25/2037(2) | 10,685 | 10,058 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2006-1, Class 11A1 0.94% (1 ML+0.48%) due 02/25/2036(2) | 29,401 | 29,582 | |||||||||
Bear Stearns ALT-A Trust FRS Series 2005-10, Class 11A1 0.96% (1 ML+0.50%) due 01/25/2036(2) | 76,673 | 111,335 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Bear Stearns Mtg. Funding Trust FRS Series 2006-AR3, Class 1A1 0.64% (1 ML+0.18%) due 10/25/2036(2) | $ | 38,851 | $ | 36,596 | |||||||
Bear Stearns Mtg. Funding Trust FRS Series 2007-AR1, Class 2A3 0.66% (1 ML+0.20%) due 02/25/2037(2) | 100,380 | 95,641 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B1, Class XA 0.49% due 01/15/2051(1)(4)(5) | 2,544,541 | 56,938 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class XA 0.51% due 07/15/2051(1)(4)(5) | 4,401,253 | 93,865 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B8, Class XA 0.64% due 01/15/2052(1)(4)(5) | 8,908,533 | 290,569 | |||||||||
Benchmark Mtg. Trust VRS Series 2019-B12, Class XA 1.06% due 08/15/2052(1)(4)(5) | 2,023,674 | 104,943 | |||||||||
Benchmark Mtg. Trust VRS Series 2019-B10, Class XA 1.23% due 03/15/2062(1)(4)(5) | 5,769,389 | 360,348 | |||||||||
Benchmark Mtg. Trust VRS Series 2020-B22, Class XA 1.52% due 01/15/2054(1)(4)(5) | 2,166,572 | 224,867 | |||||||||
Benchmark Mtg. Trust VRS Series 2020-B18, Class XA 1.79% due 07/15/2053(1)(4)(5) | 1,256,987 | 119,742 | |||||||||
Benchmark Mtg. Trust Series 2019-B11, Class A2 3.41% due 05/15/2052(1) | 1,165,000 | 1,162,007 | |||||||||
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(1) | 386,704 | 387,797 | |||||||||
Benchmark Mtg. Trust VRS Series 2018-B4, Class A5 4.12% due 07/15/2051(1)(4) | 1,000,000 | 1,039,349 | |||||||||
Benefit Street Partners CLO X, Ltd. FRS Series 2016-10A, Class A1RR 1.46% (3ML+1.21%) due 04/20/2034*(6) | 680,000 | 676,149 | |||||||||
BlueMountain CLO XXIV, Ltd. FRS Series 2019-24A, Class AR 1.35% (3 ML+1.10%) due 04/20/2034*(6) | 795,000 | 789,270 |
251
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
BlueMountain CLO XXXI, Ltd. FRS Series 2021-31A, Class A1 1.40% (3 ML+1.15%) due 04/19/2034*(6) | $ | 1,505,000 | $ | 1,496,459 | |||||||
BRAVO Residential Funding Trust VRS Series 2021-NQM1, Class A1 0.94% due 02/25/2049*(2)(4) | 265,230 | 257,395 | |||||||||
BRAVO Residential Funding Trust VRS Series 2021-NQM2, Class A1 0.97% due 03/25/2060*(2)(4) | 330,131 | 322,245 | |||||||||
Bunker Hill Loan Depositary Trust Series 2019-2, Class A1 2.88% due 07/25/2049*(2)(3) | 533,876 | 530,110 | |||||||||
BX Commercial Mtg. Trust FRS Series 2019-XL, Class A 1.32% (1 ML+0.92%) due 10/15/2036*(1) | 1,026,112 | 1,021,644 | |||||||||
BX Commercial Mtg. Trust FRS Series 2019-IMC, Class A 1.40% (1 ML+1.00%) due 04/15/2034*(1) | 200,000 | 197,757 | |||||||||
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class F 2.95% (1 ML + 2.55%) due 12/15/2037*(1) | 675,000 | 663,446 | |||||||||
Capital One Multi-Asset Execution Trust Series 2021-A1, Class A1 0.55% due 07/15/2026 | 400,000 | 381,187 | |||||||||
Capital One Multi-Asset Execution Trust Series 2021-A2, Class A2 1.39% due 07/15/2030 | 50,000 | 45,764 | |||||||||
Capital One Multi-Asset Execution Trust Series 2022-A1, Class A1 2.80% due 03/15/2027 | 150,000 | 148,916 | |||||||||
Capital One Prime Auto Receivables Trust Series 2019-2, Class A3 1.92% due 05/15/2024 | 39,859 | 39,905 | |||||||||
CarMax Auto Owner Trust Series 2019-3, Class A3 2.18% due 08/15/2024 | 80,117 | 80,282 | |||||||||
CarMax Auto Owner Trust Series 2019-2, Class A3 2.68% due 03/15/2024 | 29,584 | 29,683 | |||||||||
CarMax Auto Owner Trust Series 2018-4, Class A3 3.36% due 09/15/2023 | 29,857 | 29,965 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
CD Mtg. Trust VRS Series 2016-CD2, Class A4 3.53% due 11/10/2049(1)(4) | $ | 1,300,000 | $ | 1,306,885 | |||||||
CF Hippolyta LLC Series 2021-1A, Class B1 1.98% due 03/15/2061* | 110,918 | 102,153 | |||||||||
CF Hippolyta LLC Series 2020-1, Class A2 1.99% due 07/15/2060* | 231,736 | 213,251 | |||||||||
Chase Mtg. Finance Trust VRS Series 2016-SH2, Class M2 3.75% due 12/25/2045*(2)(4) | 124,798 | 122,597 | |||||||||
Chase Mtg. Finance Trust VRS Series 2005-A1, Class 2A2 2.95% due 12/25/2035(2)(4) | 67,814 | 66,999 | |||||||||
Chase Mtg. Finance Trust Series 2005-S3, Class A10 5.50% due 11/25/2035(2) | 115,354 | 102,289 | |||||||||
CHL Mtg. Pass Through Trust VRS Series 2007-HY4, Class 1A1 2.89% due 09/25/2047(2)(4) | 74,392 | 70,325 | |||||||||
CIFC Funding, Ltd. FRS Series 2012-2RA, Class A1 1.05% (3 ML+0.80%) due 01/20/2028*(6) | 1,092,948 | 1,085,572 | |||||||||
CIM Trust VRS Series 2017-7, Class A 3.00% due 04/25/2057*(2)(4) | 220,219 | 220,957 | |||||||||
Cirrus Funding, Ltd. Series 2018-1A, Class A 4.80% due 01/25/2037*(6) | 975,000 | 978,934 | |||||||||
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7 3.96% due 10/13/2030 | 100,000 | 106,624 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2014-GC23, Class XA 0.91% due 07/10/2047(1)(4)(5) | 2,968,897 | 52,607 | |||||||||
Citigroup Commercial Mtg. Trust VRS Series 2015-GC29, Class XA 1.02% due 04/10/2048(1)(4)(5) | 2,777,978 | 69,455 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-P1, Class A5 3.72% due 09/15/2048(1) | 1,029,000 | 1,039,358 | |||||||||
Citigroup Commercial Mtg. Trust Series 2015-GC35, Class A4 3.82% due 11/10/2048(1) | 1,235,000 | 1,249,635 |
252
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2019-IMC1, Class A1 2.72% due 07/25/2049*(2)(4) | $ | 78,166 | $ | 77,375 | |||||||
Citigroup Mtg. Loan Trust, Inc. Series 2019-E, Class A1 3.23% due 11/25/2070*(2)(3) | 321,018 | 320,904 | |||||||||
Citigroup Mtg. Loan Trust, Inc. VRS Series 2018-RP3, Class A1 3.25% due 03/25/2061*(2)(4) | 577,414 | 576,037 | |||||||||
COLT Funding LLC VRS Series 2021-1, Class A1 0.91% due 06/25/2066*(2)(4) | 541,183 | 498,105 | |||||||||
COLT Mtg. Loan Trust VRS Series 2021-3, Class A1 0.96% due 09/27/2066*(2)(4) | 874,137 | 809,997 | |||||||||
Columbia Cent CLO, Ltd. FRS Series 2018-27A, Class AR 1.44% (3 ML+1.19%) due 01/25/2035*(6) | 720,000 | 712,608 | |||||||||
Commercial Mtg. Trust Series 2022-HC, Class A 2.82% due 01/10/2039*(1) | 186,000 | 178,709 | |||||||||
Commercial Mtg. Trust VRS Series 2022-HC, Class D 3.90% due 01/10/2039*(1)(4) | 190,000 | 183,648 | |||||||||
Commercial Mtg. Trust Series 2013-300P, Class A1 4.35% due 08/10/2030*(1) | 845,000 | 853,920 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-72, Class A1 1.00% (1 ML+0.54%) due 01/25/2036(2) | 71,426 | 70,184 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-56, Class 5A1 1.10% (1 ML+0.64%) due 11/25/2035(2) | 29,851 | 25,905 | |||||||||
Countrywide Alternative Loan Trust FRS Series 2005-64CB, Class 1A12 1.26% (1 ML+0.80%) due 12/25/2035(2) | 51,818 | 45,100 | |||||||||
Countrywide Alternative Loan Trust Series 2006-9T1, Class A1 5.75% due 05/25/2036(2) | 96,621 | 53,908 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Countrywide Home Loan Mtg. Pass Through Trust FRS Series 2005-2, Class 2A3 1.14% (1 ML+0.68%) due 03/25/2035(2) | $ | 31,164 | $ | 28,785 | |||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB3, Class 2A2A 2.58% due 06/20/2035(2)(4) | 29,798 | 29,570 | |||||||||
Countrywide Home Loan Mtg. Pass Through Trust VRS Series 2005-HYB7, Class 6A1 2.71% due 11/20/2035(2)(4) | 16,310 | 15,225 | |||||||||
Credit Acceptance Auto Loan Trust Series 2021-3A, Class A 1.00% due 05/15/2030* | 355,000 | 342,600 | |||||||||
Credit Suisse Mtg. Trust VRS Series 2021-NQM2, Class A1 1.18% due 02/25/2066*(2)(4) | 749,688 | 723,087 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2015-C2, Class XA 0.74% due 06/15/2057(1)(4)(5) | 8,968,752 | 158,615 | |||||||||
CSAIL Commercial Mtg. Trust VRS Series 2016-C6, Class XA 1.87% due 01/15/2049(1)(4)(5) | 1,770,660 | 105,310 | |||||||||
CSAIL Commercial Mtg. Trust Series 2019-C17, Class A2 3.00% due 09/15/2052(1) | 225,000 | 220,895 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C3, Class A3 3.45% due 08/15/2048(1) | 696,980 | 689,672 | |||||||||
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(1) | 1,448,000 | 1,451,978 | |||||||||
CSMC Trust VRS Series 2021-NQM5, Class A1 0.94% due 05/25/2066*(2)(4) | 466,388 | 440,384 | |||||||||
CSMC Trust VRS Series 2021-RPL4, Class A1 1.80% due 12/27/2060*(2)(4) | 322,901 | 307,366 | |||||||||
CSMC Trust VRS Series 2021-NQM8, Class A1 1.84% due 10/25/2066*(2)(4) | 529,880 | 506,036 | |||||||||
CSMC Trust VRS Series 2017-FHA1, Class A1 3.25% due 04/25/2047*(2)(4) | 397,123 | 386,093 |
253
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | 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(1)(4) | $ | 1,536,000 | $ | 1,550,661 | |||||||
DBJPM Mtg. Trust VRS Series 2020-C9, Class XA 1.71% due 09/15/2053(1)(4)(5) | 956,649 | 81,035 | |||||||||
DBJPM Mtg. Trust Series 2016-C3, Class A5 2.89% due 08/10/2049(1) | 1,625,000 | 1,599,094 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2021-2, Class A1 0.90% due 04/25/2066*(2)(4) | 250,481 | 235,618 | |||||||||
Dell Equipment Finance Trust Series 2021-2, Class A3 0.53% due 12/22/2026* | 180,000 | 172,882 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-RMP1, Class A2 0.61% (1 ML+0.15%) due 12/25/2036(2) | 100,855 | 99,262 | |||||||||
Deutsche Alt-A Securities Mtg. Loan Trust FRS Series 2007-AR2, Class A1 0.76% (1 ML+0.30%) due 03/25/2037(2) | 9,185 | 9,233 | |||||||||
Domino's Pizza Master Issuer LLC Series 2021-1A, Class A2I 2.66% due 04/25/2051* | 496,250 | 461,225 | |||||||||
Domino's Pizza Master Issuer LLC Series 2019-1A, Class A2 3.67% due 10/25/2049* | 333,200 | 320,092 | |||||||||
Domino's Pizza Master Issuer LLC Series 2018-1A, Class A2I 4.12% due 07/25/2048* | 735,300 | 738,788 | |||||||||
Drive Auto Receivables Trust Series 2019-4, Class D 2.70% due 02/16/2027 | 470,000 | 469,624 | |||||||||
Dryden 57 CLO, Ltd. FRS Series 2018-57A, Class A 1.52% (3 ML + 1.01%) due 05/15/2031*(6) | 1,160,000 | 1,154,621 | |||||||||
DSLA Mtg. Loan Trust FRS Series 2006-AR1, Class 1A1A 1.06% (12 MTA+0.92%) due 03/19/2046(2) | 150,090 | 129,752 | |||||||||
Eagle RE, Ltd. FRS Series 2018-1, Class M1 1.89% (1 ML+1.70%) due 11/25/2028*(2) | 232,975 | 232,532 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Ellington Financial Mtg. Trust VRS Series 2021-2, Class A1 0.93% due 06/25/2066*(2)(4) | $ | 216,592 | $ | 202,598 | |||||||
Exeter Automobile Receivables Trust Series 2019-4A, Class D 2.58% due 09/15/2025* | 1,065,000 | 1,061,222 | |||||||||
Exeter Automobile Receivables Trust Series 2020-1A, Class D 2.73% due 12/15/2025* | 320,000 | 318,756 | |||||||||
First Franklin Mtg. Loan Trust FRS Series 2006-FF12, Class A5 0.77% (1 ML+0.31%) due 09/25/2036 | 449,298 | 429,315 | |||||||||
GCAT Trust VRS Series 2021-NQM2, Class A1 1.04% due 05/25/2066*(2)(4) | 472,404 | 446,846 | |||||||||
GM Financial Consumer Automobile Receivables Trust Series 2019-3, Class A3 2.18% due 04/16/2024 | 35,957 | 36,049 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2005-AR5, Class 4A1 2.64% due 09/19/2035(2)(4) | 15,897 | 14,977 | |||||||||
GMACM Mtg. Loan Trust VRS Series 2006-AR1, Class 1A1 2.89% due 04/19/2036(2)(4) | 119,110 | 99,895 | |||||||||
GreenPoint Mtg. Funding Trust FRS Series 2005-AR4, Class 3A1 1.54% (12 MTA+1.40%) due 10/25/2045(2) | 115,903 | 96,576 | |||||||||
GS Mtg. Securities Corp. II Series 2012-BWTR, Class A 2.95% due 11/05/2034*(1) | 1,285,000 | 1,283,025 | |||||||||
GS Mtg. Securities Corp. II Series 2005-ROCK, Class A 5.37% due 05/03/2032*(1) | 155,000 | 162,108 | |||||||||
GS Mtg. Securities Corp. Trust VRS Series 2020-GC45, Class XA 0.67% due 02/13/2053(1)(4)(5) | 5,038,999 | 203,168 | |||||||||
GS Mtg. Securities Corp. Trust Series 2016-GS2, Class A4 3.05% due 05/10/2049(1) | 1,199,000 | 1,179,653 | |||||||||
GS Mtg. Securities Corp. Trust Series 2015-GS1, Class A3 3.73% due 11/10/2048(1) | 1,307,000 | 1,319,118 | |||||||||
GS Mtg. Securities Corp. Trust Series 2017-GS7, Class A4 3.43% due 08/10/2050(1) | 1,255,000 | 1,263,345 |
254
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
GS Mtg. Securities Corp. Trust Series 2012-ALOH, Class A 3.55% due 04/10/2034*(1) | $ | 1,225,000 | $ | 1,224,458 | |||||||
GSAA Home Equity Trust Series 2005-7, Class AF4 5.56% due 05/25/2035(3) | 219,525 | 217,731 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 2A1A 0.56% (1 ML+0.10%) due 12/25/2046 | 22,906 | 13,420 | |||||||||
GSAA Home Equity Trust FRS Series 2006-20, Class 1A1 0.60% (1 ML+0.14%) due 12/25/2046 | 55,675 | 19,678 | |||||||||
GSAA Home Equity Trust FRS Series 2007-1, Class 1A1 0.62% (1 ML+0.16%) due 02/25/2037 | 295,822 | 108,897 | |||||||||
GSAA Home Equity Trust FRS Series 2006-19, Class A1 0.64% (1 ML+0.18%) due 12/25/2036 | 11,136 | 3,812 | |||||||||
GSAA Home Equity Trust FRS Series 2006-3, Class A3 1.06% (1 ML+0.60%) due 03/25/2036 | 12,384 | 7,787 | |||||||||
GSAA Home Equity Trust FRS Series 2007-5, Class 2A3A 1.10% (1 ML+0.64%) due 04/25/2047 | 103,700 | 56,688 | |||||||||
GSAA Home Equity Trust VRS Series 2006-10, Class AF3 5.98% due 06/25/2036(4) | 270,565 | 94,343 | |||||||||
GSAA Home Equity Trust Series 2006-15, Class AF6 6.38% due 09/25/2036(3) | 84,622 | 30,115 | |||||||||
GSR Mtg. Loan Trust FRS Series 2007-1F, Class 4A1 0.76% (1 ML+0.30%) due 01/25/2037(2) | 324,032 | 74,258 | |||||||||
GSR Mtg. Loan Trust VRS Series 2005-AR5, Class 2A3 2.64% due 10/25/2035(2)(4) | 47,127 | 31,457 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A1 2.87% due 01/25/2036(2)(4) | 3,809 | 3,881 | |||||||||
GSR Mtg. Loan Trust VRS Series 2006-AR1, Class 2A4 2.87% due 01/25/2036(2)(4) | 49,312 | 49,911 | |||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A2A 0.64% (1 ML+0.19%) due 01/19/2038(2) | 6,490 | 6,141 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
HarborView Mtg. Loan Trust FRS Series 2006-12, Class 2A13 0.69% (1 ML+0.24%) due 12/19/2036(2) | $ | 144,737 | $ | 147,341 | |||||||
Harriman Park CLO, Ltd. FRS Series 2020-1A, Class A1R 1.37% (3 ML + 1.12%) due 04/20/2034*(6) | 1,595,000 | 1,586,033 | |||||||||
Hertz Vehicle Financing LLC Series 2021-1A, Class A 1.21% due 12/26/2025* | 100,000 | 94,752 | |||||||||
Home Re, Ltd. FRS Series 2018-1, Class M1 2.06% (1 ML + 1.60%) due 10/25/2028*(2) | 210,114 | 209,760 | |||||||||
Honda Auto Receivables Owner Trust Series 2020-3, Class A4 0.46% due 04/19/2027 | 60,000 | 57,889 | |||||||||
Honda Auto Receivables Owner Trust Series 2020-2, Class A4 1.09% due 10/15/2026 | 100,000 | 97,855 | |||||||||
Honda Auto Receivables Owner Trust Series 2019-1, Class A3 2.83% due 03/20/2023 | 5,122 | 5,135 | |||||||||
HSI Asset Securitization Corp. Trust FRS Series 2006-OPT3, Class 3A4 1.00% (1 ML+0.54%) due 02/25/2036 | 172,498 | 170,886 | |||||||||
IndyMac Index Mtg. Loan Trust FRS Series 2005-AR14, Class 1A1A 1.02% (1 ML+0.56%) due 07/25/2035(2) | 3,301 | 2,591 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2006-AR3, Class 1A1 2.92% due 12/25/2036(2)(4) | 111,568 | 103,857 | |||||||||
IndyMac Index Mtg. Loan Trust VRS Series 2007-AR9, Class 2A1 3.01% due 04/25/2037(2)(4) | 114,010 | 75,988 | |||||||||
JPMBB Commercial Mtg. Securities Trust Series 2014-C21, Class A5 3.77% due 08/15/2047(1) | 290,000 | 293,192 | |||||||||
JPMDB Commercial Mtg. Securities Trust Series 2016-C4, Class A3 3.14% due 12/15/2049(1) | 1,110,000 | 1,103,293 |
255
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2017-JP5, Class A5 3.72% due 03/15/2050(1) | $ | 1,355,000 | $ | 1,378,152 | |||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2020-NNN, Class AFX 2.81% due 01/16/2037*(1) | 305,000 | 296,223 | |||||||||
JPMorgan Chase Commercial Mtg. Securities Trust Series 2012-HSBC, Class A 3.09% due 07/05/2032*(1) | 883,132 | 883,095 | |||||||||
JPMorgan Mtg. Trust VRS Series 2006-A3, Class 3A2 3.07% due 05/25/2036(2)(4) | 46,641 | 41,138 | |||||||||
KKR CLO, Ltd. FRS Series 22A, Class A 1.40% (3 ML+1.15%) due 07/20/2031*(6) | 1,440,000 | 1,432,925 | |||||||||
Legacy Mtg. Asset Trust Series 2021-GS2, Class A1 1.75% due 04/25/2061*(2)(3) | 306,854 | 292,569 | |||||||||
Legacy Mtg. Asset Trust Series 2021-GS3, Class A1 1.75% due 07/25/2061*(2)(3) | 412,064 | 392,293 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS6, Class A1 3.00% due 06/25/2059*(2)(3) | 583,807 | 582,622 | |||||||||
Legacy Mtg. Asset Trust Series 2019-GS7, Class A1 3.25% due 11/25/2059*(2)(3) | 828,486 | 824,740 | |||||||||
Lehman XS Trust FRS Series 2006-16N, Class A4A 0.84% (1 ML+0.38%) due 11/25/2046(2) | 218,405 | 205,710 | |||||||||
LIFE Mtg. Trust FRS Series 2021-BMR, Class D 1.80% (1 ML+1.40%) due 03/15/2038*(1) | 201,509 | 194,699 | |||||||||
LSTAR Securities Investment Trust FRS Series 2021-1, Class A 1.91% (1 ML+1.80%) due 02/01/2026*(2) | 484,921 | 480,936 | |||||||||
LSTAR Securities Investment Trust FRS Series 2019-4, Class A1 2.61% (1 ML + 2.50%) due 05/01/2024*(2) | 550,342 | 542,179 | |||||||||
Madison Park Funding XXXVIII, Ltd. FRS Series 2021-38A, Class A 1.36% (3 ML + 1.12%) due 07/17/2034*(6) | 1,275,000 | 1,264,199 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Marlette Funding Trust Series 2021-2A, Class B 1.06% due 09/15/2031* | $ | 225,000 | $ | 217,956 | |||||||
MASTR Adjustable Rate Mtg. Trust VRS Series 2004-13, Class 3A7 2.76% due 11/21/2034(2)(4) | 31,550 | 31,456 | |||||||||
Mercedes-Benz Auto Receivables Trust Series 2021-1, Class A3 0.46% due 06/15/2026 | 215,000 | 206,435 | |||||||||
Mercury Financial Credit Card Master Trust Series 2021-1A, Class A 1.54% due 03/20/2026* | 465,000 | 451,251 | |||||||||
Merrill Lynch Mtg. Investors Trust VRS Series 2005-A4, Class 1A 2.79% due 07/25/2035(2)(4) | 101,135 | 61,843 | |||||||||
MetLife Securitization Trust VRS Series 2017-1A, Class A 3.00% due 04/25/2055*(2)(4) | 179,644 | 178,061 | |||||||||
MFA Trust VRS Series 2020-NQM3, Class A1 1.01% due 01/26/2065*(2)(4) | 82,755 | 80,868 | |||||||||
MFRA Trust VRS Series 2021-NQM2, Class A1 1.03% due 11/25/2064*(2)(4) | 374,066 | 353,850 | |||||||||
MFRA Trust VRS Series 2021-NQM1, Class A1 1.15% due 04/25/2065*(2)(4) | 344,097 | 338,123 | |||||||||
MFRA Trust Series 2021-NPL1, Class A1 2.36% due 03/25/2060*(3) | 878,471 | 858,397 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2019-GS1, Class A1 2.75% due 07/25/2059*(2)(4) | 883,347 | 878,351 | |||||||||
Mill City Mtg. Loan Trust VRS Series 2018-3, Class A1 3.50% due 08/25/2058*(2)(4) | 490,622 | 488,821 | |||||||||
Morgan Stanley ABS Capital I, Inc. Trust FRS Series 2006-NC4, Class A2C 0.76% (1 ML+0.15%) due 06/25/2036 | 4,014 | 3,632 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust VRS Series 2014-C19, Class XA 0.96% due 12/15/2047(1)(4)(5) | 1,691,061 | 33,131 |
256
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C20, Class A4 3.25% due 02/15/2048(1) | $ | 791,000 | $ | 788,065 | |||||||
Morgan Stanley Capital I Trust VRS Series 2017-H1, Class XA 1.34% due 06/15/2050(1)(4)(5) | 1,582,591 | 74,028 | |||||||||
Morgan Stanley Capital I Trust Series 2016-BNK2, Class A4 3.05% due 11/15/2049(1) | 1,475,000 | 1,457,516 | |||||||||
Morgan Stanley Mtg. Loan Trust FRS Series 2006-16AX, Class 2A2 0.80% (1 ML+0.34%) due 11/25/2036 | 217,202 | 79,076 | |||||||||
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class A 1.30% (1 ML+0.90%) due 12/15/2033*(1) | 300,000 | 295,904 | |||||||||
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class D 2.20% (1 ML+1.80%) due 12/15/2033*(1) | 575,000 | 557,568 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2021-NQ2R, Class A1 0.94% due 10/25/2058*(2)(4) | 296,307 | 288,853 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2018-4A, Class A1S 1.21% (1 ML + 0.75%) due 01/25/2048*(2) | 547,287 | 543,730 | |||||||||
New Residential Mtg. Loan Trust FRS Series 2017-5A, Class A1 1.96% (1 ML+1.50%) due 06/25/2057*(2) | 452,734 | 456,444 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-NQM4, Class A1 2.49% due 09/25/2059*(2)(4) | 111,079 | 110,402 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2019-5A, Class A1B 3.50% due 08/25/2059*(2)(4) | 410,958 | 409,443 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2016-2A, Class A1 3.75% due 11/26/2035*(2)(4) | 456,946 | 457,087 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
New Residential Mtg. Loan Trust VRS Series 2016-4A, Class A1 3.75% due 11/25/2056*(2)(4) | $ | 433,715 | $ | 437,689 | |||||||
New Residential Mtg. Loan Trust VRS Series 2017-1A, Class A1 4.00% due 02/25/2057*(2)(4) | 786,263 | 788,418 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-2A, Class A3 4.00% due 03/25/2057*(2)(4) | 829,029 | 831,682 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-3A, Class A1 4.00% due 04/25/2057*(2)(4) | 674,600 | 677,040 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-4A, Class A1 4.00% due 05/25/2057*(2)(4) | 465,386 | 466,451 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2017-6A, Class A1 4.00% due 08/27/2057*(2)(4) | 706,481 | 710,985 | |||||||||
New Residential Mtg. Loan Trust VRS Series 2018-5A, Class A1 4.75% due 12/25/2057*(2)(4) | 393,515 | 399,539 | |||||||||
NMLT Trust VRS Series 2021-INV1, Class A1 1.19% due 05/25/2056*(2)(4) | 951,324 | 893,757 | |||||||||
Nomura Asset Acceptance Corp. Alternative Loan Trust VRS Series 2006-AF1, Class 3A1 3.66% due 06/25/2036(2)(4) | 87,343 | 75,207 | |||||||||
NRZ Excess Spread- Collateralized Notes Series 2020-PLS1, Class A 3.84% due 12/25/2025* | 123,759 | 120,513 | |||||||||
OBX Trust VRS Series 2021-NQM3, Class A1 1.05% due 07/25/2061*(2)(4) | 557,454 | 523,139 | |||||||||
OBX Trust VRS Series 2021-NQM1, Class A1 1.07% due 02/25/2066*(2)(4) | 685,100 | 663,379 | |||||||||
One Bryant Park Trust Series 2019-OBP, Class A 2.52% due 09/15/2054*(1) | 320,000 | 296,285 |
257
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
OZLM XII, Ltd. FRS Series 2015-12A, Class A1R 1.35% (3 ML+1.05%) due 04/30/2027*(6) | $ | 270,464 | $ | 270,339 | |||||||
OZLM XVIII, Ltd. FRS Series 2018-18A, Class A 1.26% (3 ML+1.02%) due 04/15/2031*(6) | 870,000 | 863,031 | |||||||||
OZLM, Ltd. FRS Series 2014-7RA, Class A1R 1.25% (3 ML+1.01%) due 07/17/2029*(6) | 282,745 | 281,233 | |||||||||
Preston Ridge Partners Mtg. Series 2020-6, Class A1 2.36% due 11/25/2025*(2)(3) | 162,786 | 158,389 | |||||||||
PRET LLC Series 2021-RN2, Class A1 1.74% due 07/25/2051*(3) | 554,541 | 525,622 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2021-NPL3, Class A1 1.87% due 07/25/2051*(3) | 459,887 | 435,589 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2021-RN1, Class A1 1.99% due 02/25/2061*(3) | 1,136,643 | 1,082,802 | |||||||||
Pretium Mtg. Credit Partners LLC Series 2022-NPL1, Class A1 2.98% due 01/25/2052*(3) | 1,192,318 | 1,153,813 | |||||||||
PRPM LLC Series 2021-5, Class A1 1.79% due 06/25/2026*(2)(3) | 588,270 | 557,672 | |||||||||
PRPM LLC Series 2021-3, Class A1 1.87% due 04/25/2026*(2)(3) | 450,365 | 430,293 | |||||||||
PRPM LLC Series 2021-4, Class A1 1.87% due 04/25/2026*(2)(3) | 594,303 | 565,651 | |||||||||
PRPM LLC VRS Series 2021-2, Class A1 2.12% due 03/25/2026*(2)(4) | 258,089 | 250,017 | |||||||||
PRPM LLC Series 2021-9, Class A1 2.36% due 10/25/2026*(2)(3) | 1,084,811 | 1,036,952 | |||||||||
RALI Series Trust FRS Series 2006-QA3, Class A2 1.06% (1 ML+0.60%) due 04/25/2036(2) | 305,306 | 281,283 | |||||||||
RALI Series Trust Series 2005-QS17, Class A9 6.00% due 12/25/2035(2) | 42,968 | 41,560 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
RCO VII Mortgage LLC Series 2021-1, Class A1 1.87% due 05/26/2026*(3) | $ | 419,268 | $ | 407,465 | |||||||
Regatta VI Funding, Ltd. FRS Series 2016-1A, Class AR2 1.41% (3 ML+1.16%) due 04/20/2034*(6) | 1,100,000 | 1,089,307 | |||||||||
Renaissance Home Equity Loan Trust Series 2007-1, Class AF5 5.91% due 04/25/2037(3) | 338,398 | 126,862 | |||||||||
Renaissance Home Equity Loan Trust Series 2006-3, Class AF5 6.12% due 11/25/2036(3) | 149,542 | 73,200 | |||||||||
RFMSI Series Trust VRS Series 2007-SA2, Class 2A1 3.33% due 04/25/2037(2)(4) | 10,784 | 9,761 | |||||||||
RR 1 LLC FRS Series 2017-1A, Class A1AB 1.39% (3 ML + 1.15%) due 07/15/2035*(6) | 1,305,000 | 1,294,877 | |||||||||
RR 16, Ltd. FRS Series 2021-16A, Class A1 1.35% (3 ML + 1.11%) due 07/15/2036*(6) | 1,080,000 | 1,068,799 | |||||||||
Santander Drive Auto Receivables Trust Series 2020-4, Class D 1.48% due 01/15/2027 | 135,000 | 131,373 | |||||||||
Sapphire Aviation Finance II, Ltd. Series 2020-1A, Class A 3.23% due 03/15/2040* | 200,201 | 180,724 | |||||||||
Securitized Asset Backed Receivables LLC Trust FRS Series 2006-HE1, Class A2B 0.64% (1 ML+0.18%) due 07/25/2036 | 150,593 | 63,980 | |||||||||
SG Commercial Mtg. Securities Trust Series 2020-COVE, Class A 2.63% due 03/15/2037*(1) | 1,225,000 | 1,189,742 | |||||||||
Shellpoint Co-Originator Trust VRS Series 2017-2, Class A1 3.50% due 10/25/2047*(2)(4) | 37,774 | 37,064 | |||||||||
Sound Point CLO XXIX, Ltd. FRS Series 2021-1A, Class A 1.33% (3 ML+1.07%) due 04/25/2034*(6) | 1,255,000 | 1,245,944 | |||||||||
Soundview Home Loan Trust FRS Series 2007-OPT2, Class 2A3 0.64% (1 ML+0.18%) due 07/25/2037 | 29,293 | 27,457 |
258
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Soundview Home Loan Trust FRS Series 2006-3, Class A4 0.96% (1 ML+0.50%) due 11/25/2036 | $ | 263,621 | $ | 254,471 | |||||||
STAR Trust VRS Series 2021-1, Class A1 1.22% due 05/25/2065*(2)(4) | 628,250 | 615,415 | |||||||||
Starwood Mtg. Residential Trust VRS Series 2021-2, Class A1 0.94% due 05/25/2065*(2)(4) | 232,179 | 226,890 | |||||||||
Starwood Mtg. Residential Trust VRS Series 2021-6, Class A1 1.92% due 11/25/2066*(2)(4) | 837,691 | 789,803 | |||||||||
Structured Adjustable Rate Mtg. Loan Trust FRS Series 2004-13, Class A2 0.76% (1 ML+0.30%) due 09/25/2034(2) | 15,061 | 14,179 | |||||||||
Structured Asset Mtg. Investments II Trust FRS Series 2006-AR1, Class 3A1 0.92% (1 ML+0.46%) due 02/25/2036(2) | 81,191 | 77,168 | |||||||||
Summit Issuer LLC Series 2020-1A, Class A2 2.29% due 12/20/2050* | 290,000 | 273,580 | |||||||||
Symphony CLO XIV, Ltd. FRS Series 2014-14A, Class AR 1.19% (3 ML+0.95%) due 07/14/2026*(6) | 233,806 | 232,750 | |||||||||
Toorak Mtg. Corp. Series 2021-1, Class A1 2.24% due 06/25/2024*(2)(3) | 640,000 | 605,724 | |||||||||
Towd Point Mtg. Trust VRS Series 2021-R1, Class A1 2.92% due 11/30/2060*(2)(4) | 1,168,477 | 1,136,847 | |||||||||
Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56% due 11/25/2031* | 100,000 | 99,339 | |||||||||
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024 | 117,296 | 117,794 | |||||||||
Triangle Re, Ltd. FRS Series 2021-2, Class M1A 2.51% (1 ML+2.05%) due 10/25/2033*(2) | 495,000 | 494,290 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Upstart Securitization Trust Series 2021-3, Class A 0.83% due 07/20/2031* | $ | 234,015 | $ | 229,821 | |||||||
VCAT LLC Series 2021-NPL3, Class A1 1.74% due 05/25/2051*(3) | 575,673 | 548,038 | |||||||||
VCAT LLC Series 2021-NPL2, Class A1 2.12% due 03/27/2051*(3) | 179,938 | 174,339 | |||||||||
Venture 42 CLO, Ltd. FRS Series 2021-42A, Class A1A 1.37% (3 ML+1.13%) due 04/15/2034*(6) | 1,255,000 | 1,236,213 | |||||||||
Venture XIII CLO, Ltd. FRS Series 2021-43A, Class A1 1.48% (3 ML+1.24%) due 04/15/2034*(6) | 485,000 | 482,021 | |||||||||
Verus Securitization Trust VRS Series 2021-R2, Class A1 0.92% due 02/25/2064*(2)(4) | 350,700 | 343,438 | |||||||||
Verus Securitization Trust VRS Series 2021-4, Class A1 0.94% due 07/25/2066*(2)(4) | 390,811 | 366,822 | |||||||||
Verus Securitization Trust VRS Series 2021-2, Class A1 1.03% due 02/25/2066*(2)(4) | 298,375 | 287,235 | |||||||||
Verus Securitization Trust VRS Series 2021-8, Class A1 1.82% due 11/25/2066*(2)(4) | 598,278 | 572,714 | |||||||||
Verus Securitization Trust VRS Series 2021-7, Class A1 1.83% due 10/25/2066*(2)(4) | 1,176,651 | 1,112,009 | |||||||||
Verus Securitization Trust Series 2019-3, Class A1 2.78% due 07/25/2059*(2)(3) | 150,430 | 150,468 | |||||||||
VNDO Mtg. Trust Series 2012-6AVE, Class A 3.00% due 11/15/2030*(1) | 1,195,000 | 1,199,797 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR17, Class 1A 0.92% (12 MTA+0.82%) due 12/25/2046(2) | 229,494 | 209,704 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR13, Class 1A 1.02% (12 MTA+0.88%) due 10/25/2046(2) | 100,485 | 94,250 | |||||||||
WaMu Mtg. Pass-Through Certs. Trust FRS Series 2006-AR15, Class 2A 1.72% (COFI 11+1.50%) due 11/25/2046(2) | 39,393 | 38,022 |
259
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
WaMu Mtg. Pass-Through Certs. Trust VRS Series 2007-HY6, Class 1A1 2.81% due 06/25/2037(2)(4) | $ | 81,019 | $ | 77,493 | |||||||
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-AR9, Class 1A 0.97% (12 MTA+0.83%) due 11/25/2046(2) | 87,621 | 82,930 | |||||||||
Washington Mutual Mtg. Pass-Through Certs. Trust FRS Series 2006-5, Class 1A1 1.06% (1 ML+0.60%) due 07/25/2036(2) | 46,240 | 31,296 | |||||||||
Wellfleet CLO X, Ltd. FRS Series 2019-XA, Class A1R 1.42% (3 ML+1.17%) due 07/20/2032*(6) | 920,000 | 914,167 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS3, Class XA 0.90% due 09/15/2057(1)(4)(5) | 5,351,670 | 144,290 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class XA 1.08% due 05/15/2048(1)(4)(5) | 2,639,739 | 66,114 | |||||||||
Wells Fargo Commercial Mtg. Trust Series 2017-C39, Class A5 3.42% due 09/15/2050(1) | 1,365,000 | 1,369,589 | |||||||||
Wells Fargo Commercial Mtg. Trust VRS Series 2015-NXS1, Class D 4.15% due 05/15/2048(1)(4) | 75,000 | 71,306 | |||||||||
Wells Fargo Mtg. Backed Securities Trust VRS Series 2006-AR16, Class A1 2.24% due 10/25/2036(2)(4) | 28,689 | 27,308 | |||||||||
Wendy's Funding LLC Series 2021-1A, Class A2I 2.37% due 06/15/2051* | 1,121,525 | 999,898 | |||||||||
Wendy's Funding LLC Series 2018-1A, Class A2II 3.88% due 03/15/2048* | 430,875 | 426,330 | |||||||||
Westlake Automobile Receivables Trust Series 2020-3A, Class D 1.65% due 02/17/2026* | 395,000 | 382,732 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
Westlake Automobile Receivables Trust Series 2019-3A, Class D 2.72% due 11/15/2024* | $ | 785,000 | $ | 786,313 | |||||||
Wingstop Funding LLC Series 2020-1A, Class A2 2.84% due 12/05/2050* | 159,200 | 148,028 | |||||||||
Total Asset Backed Securities (cost $127,793,193) | 123,551,223 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 27.1% | |||||||||||
Aerospace/Defense — 0.4% | |||||||||||
Boeing Co. Senior Notes 5.04% due 05/01/2027 | 1,360,000 | 1,434,134 | |||||||||
Northrop Grumman Corp. Senior Bonds 5.15% due 05/01/2040 | 585,000 | 681,370 | |||||||||
Raytheon Technologies Corp. Senior Notes 3.95% due 08/16/2025 | 860,000 | 887,704 | |||||||||
Raytheon Technologies Corp. Senior Notes 4.45% due 11/16/2038 | 180,000 | 195,379 | |||||||||
Raytheon Technologies Corp. Senior Notes 4.63% due 11/16/2048 | 195,000 | 220,257 | |||||||||
United Technologies Corp. Senior Notes 3.75% due 11/01/2046 | 160,000 | 157,426 | |||||||||
3,576,270 | |||||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029 | 190,000 | 182,659 | |||||||||
Agricultural Chemicals — 0.0% | |||||||||||
CF Industries, Inc. Company Guar. Notes 5.38% due 03/15/2044 | 97,000 | 109,068 | |||||||||
Airlines — 0.0% | |||||||||||
American Airlines Group, Inc. Company Guar. Notes 3.75% due 03/01/2025* | 60,000 | 54,635 | |||||||||
American Airlines, Inc. Senior Sec. Notes 11.75% due 07/15/2025* | 39,000 | 45,523 | |||||||||
British Airways Pass Through Trust Pass-Through Certs. 2.90% due 09/15/2036* | 98,934 | 90,993 | |||||||||
United Airlines, Inc. Senior Sec. Notes 4.63% due 04/15/2029* | 70,000 | 66,567 | |||||||||
257,718 |
260
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Apparel Manufacturers — 0.0% | |||||||||||
William Carter Co. Company Guar. Notes 5.63% due 03/15/2027* | $ | 151,000 | $ | 153,229 | |||||||
Applications Software — 0.1% | |||||||||||
CDK Global, Inc. Senior Notes 5.25% due 05/15/2029* | 128,000 | 128,640 | |||||||||
Microsoft Corp. Senior Notes 2.92% due 03/17/2052 | 800,000 | 750,238 | |||||||||
878,878 | |||||||||||
Auction Houses/Art Dealers — 0.0% | |||||||||||
Sotheby's Senior Sec. Notes 7.38% due 10/15/2027* | 85,000 | 87,048 | |||||||||
Auto Repair Centers — 0.0% | |||||||||||
Metis Merger Sub LLC Senior Notes 6.50% due 05/15/2029* | 30,000 | 28,232 | |||||||||
Auto-Cars/Light Trucks — 0.4% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.90% due 04/09/2025* | 144,000 | 147,080 | |||||||||
Ford Motor Co. Senior Notes 3.25% due 02/12/2032 | 30,000 | 26,749 | |||||||||
Ford Motor Co. Senior Notes 4.75% due 01/15/2043 | 81,000 | 73,217 | |||||||||
Ford Motor Credit Co. LLC Senior Notes 4.00% due 11/13/2030 | 270,000 | 254,394 | |||||||||
General Motors Co. Senior Notes 4.88% due 10/02/2023 | 780,000 | 804,078 | |||||||||
General Motors Financial Co., Inc. Senior Notes 1.50% due 06/10/2026 | 1,935,000 | 1,770,910 | |||||||||
General Motors Financial Co., Inc. Senior Notes 2.70% due 06/10/2031 | 63,000 | 55,481 | |||||||||
General Motors Financial Co., Inc. Senior Notes 2.75% due 06/20/2025 | 104,000 | 101,131 | |||||||||
Hyundai Capital America Senior Notes 3.40% due 06/20/2024* | 101,000 | 100,887 | |||||||||
Toyota Motor Credit Corp. Senior Notes 1.90% due 04/06/2028 | 142,000 | 131,933 | |||||||||
3,465,860 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Auto-Heavy Duty Trucks — 0.0% | |||||||||||
Allison Transmission, Inc. Company Guar. Notes 3.75% due 01/30/2031* | $ | 26,000 | $ | 23,674 | |||||||
JB Poindexter & Co., Inc. Senior Notes 7.13% due 04/15/2026* | 55,000 | 55,950 | |||||||||
PACCAR Financial Corp. Senior Notes 0.80% due 06/08/2023 | 71,000 | 69,874 | |||||||||
149,498 | |||||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Dornoch Debt Merger Sub, Inc. Senior Notes 6.63% due 10/15/2029* | 26,000 | 22,606 | |||||||||
Banks-Commercial — 0.3% | |||||||||||
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025 | 159,000 | 166,138 | |||||||||
BankUnited, Inc. Sub. Notes 5.13% due 06/11/2030 | 359,000 | 369,598 | |||||||||
Citizens Financial Group, Inc. Sub. Notes 2.64% due 09/30/2032 | 282,000 | 248,789 | |||||||||
Citizens Financial Group, Inc. Senior Notes 3.25% due 04/30/2030 | 41,000 | 40,076 | |||||||||
First Horizon Bank Sub. Notes 5.75% due 05/01/2030 | 250,000 | 282,675 | |||||||||
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037 | 154,000 | 202,894 | |||||||||
Signature Bank Sub. Notes 4.00% due 10/15/2030 | 266,000 | 262,791 | |||||||||
Texas Capital Bancshares, Inc. Sub. Bonds 4.00% due 05/06/2031 | 128,000 | 125,069 | |||||||||
Truist Bank Sub. Notes 2.25% due 03/11/2030 | 815,000 | 747,144 | |||||||||
Valley National Bancorp Sub. Notes 3.00% due 06/15/2031 | 175,000 | 167,454 | |||||||||
Zions Bancorp NA Sub. Notes 3.25% due 10/29/2029 | 250,000 | 238,937 | |||||||||
2,851,565 | |||||||||||
Banks-Fiduciary — 0.3% | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.05% due 01/26/2027 | 1,605,000 | 1,548,681 |
261
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Banks-Fiduciary (continued) | |||||||||||
Bank of New York Mellon Corp. Senior Notes 2.10% due 10/24/2024 | $ | 1,070,000 | $ | 1,056,262 | |||||||
2,604,943 | |||||||||||
Banks-Super Regional — 0.7% | |||||||||||
Fifth Third Bancorp Senior Notes 1.71% due 11/01/2027 | 1,485,000 | 1,376,052 | |||||||||
PNC Financial Services Group, Inc. Senior Notes 2.55% due 01/22/2030 | 440,000 | 420,143 | |||||||||
US Bancorp Sub. Notes 2.49% due 11/03/2036 | 259,000 | 232,151 | |||||||||
Wells Fargo & Co. Senior Notes 2.39% due 06/02/2028 | 42,000 | 39,777 | |||||||||
Wells Fargo & Co. Senior Notes 2.41% due 10/30/2025 | 1,060,000 | 1,038,642 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 04/22/2026 | 515,000 | 509,868 | |||||||||
Wells Fargo & Co. Senior Notes 3.00% due 10/23/2026 | 935,000 | 923,267 | |||||||||
Wells Fargo & Co. Senior Notes 3.07% due 04/30/2041 | 74,000 | 66,380 | |||||||||
Wells Fargo & Co. Senior Notes 3.35% due 03/02/2033 | 505,000 | 490,990 | |||||||||
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027 | 387,000 | 401,767 | |||||||||
Wells Fargo & Co. Sub. Notes 4.75% due 12/07/2046 | 205,000 | 222,766 | |||||||||
Wells Fargo & Co. Sub. Notes 5.38% due 11/02/2043 | 305,000 | 354,090 | |||||||||
Wells Fargo & Co. Sub. Notes 5.61% due 01/15/2044 | 305,000 | 364,759 | |||||||||
6,440,652 | |||||||||||
Batteries/Battery Systems — 0.0% | |||||||||||
Energizer Holdings, Inc. Company Guar. Notes 4.38% due 03/31/2029* | 66,000 | 57,782 | |||||||||
EnerSys Company Guar. Notes 4.38% due 12/15/2027* | 44,000 | 42,130 | |||||||||
99,912 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Beverages-Non-alcoholic — 0.0% | |||||||||||
PepsiCo, Inc. Senior Notes 2.25% due 03/19/2025 | $ | 113,000 | $ | 111,987 | |||||||
Brewery — 0.3% | |||||||||||
Anheuser-Busch Cos. LLC/ Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046 | 245,000 | 272,349 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048 | 179,000 | 192,388 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.75% due 04/15/2058 | 1,079,000 | 1,169,364 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.45% due 01/23/2039 | 740,000 | 864,855 | |||||||||
Constellation Brands, Inc. Senior Notes 2.25% due 08/01/2031 | 120,000 | 105,681 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 3.15% due 08/01/2029 | 325,000 | 313,438 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.40% due 11/15/2025 | 140,000 | 144,641 | |||||||||
Constellation Brands, Inc. Company Guar. Notes 4.65% due 11/15/2028 | 5,000 | 5,283 | |||||||||
3,067,999 | |||||||||||
Broadcast Services/Program — 0.4% | |||||||||||
Discovery Communications LLC Company Guar. Notes 3.80% due 03/13/2024 | 793,000 | 799,191 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 06/15/2025 | 509,000 | 514,526 | |||||||||
Discovery Communications LLC Company Guar. Notes 3.95% due 03/20/2028 | 235,000 | 235,134 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.00% due 09/15/2055 | 617,000 | 532,039 | |||||||||
Discovery Communications LLC Company Guar. Notes 4.13% due 05/15/2029 | 40,000 | 40,364 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.20% due 09/20/2047 | 171,000 | 177,797 | |||||||||
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049 | 1,382,000 | 1,444,681 |
262
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Broadcast Services/Program (continued) | |||||||||||
Fox Corp. Senior Notes 4.03% due 01/25/2024 | $ | 150,000 | $ | 153,232 | |||||||
Univision Communications, Inc. Senior Sec. Notes 6.63% due 06/01/2027* | 35,000 | 36,662 | |||||||||
3,933,626 | |||||||||||
Building & Construction Products-Misc. — 0.2% | |||||||||||
Builders FirstSource, Inc. Company Guar. Notes 5.00% due 03/01/2030* | 745,000 | 736,961 | |||||||||
Standard Industries, Inc. Senior Notes 3.38% due 01/15/2031* | 26,000 | 22,783 | |||||||||
Standard Industries, Inc. Senior Notes 4.38% due 07/15/2030* | 690,000 | 634,800 | |||||||||
1,394,544 | |||||||||||
Building & Construction-Misc. — 0.0% | |||||||||||
VM Consolidated, Inc. Company Guar. Notes 5.50% due 04/15/2029* | 30,000 | 28,160 | |||||||||
Building Products-Air & Heating — 0.0% | |||||||||||
Carrier Global Corp. Senior Notes 3.38% due 04/05/2040 | 98,000 | 89,163 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
PGT Innovations, Inc. Company Guar. Notes 4.38% due 10/01/2029* | 18,000 | 16,825 | |||||||||
Building-Residential/Commercial — 0.1% | |||||||||||
PulteGroup, Inc. Company Guar. Notes 5.50% due 03/01/2026 | 555,000 | 591,083 | |||||||||
Cable/Satellite TV — 1.3% | |||||||||||
Block Communications, Inc. Company Guar. Notes 4.88% due 03/01/2028* | 30,000 | 28,950 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 4.50% due 08/15/2030* | 54,000 | 50,668 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028* | 36,000 | 35,622 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026* | 14,000 | 14,214 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.50% due 06/01/2041 | 39,000 | 32,531 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 3.85% due 04/01/2061 | $ | 168,000 | $ | 134,987 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.40% due 04/01/2033 | 1,655,000 | 1,650,365 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050 | 115,000 | 109,187 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.05% due 03/30/2029 | 190,000 | 201,306 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.13% due 07/01/2049 | 260,000 | 258,107 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038 | 17,000 | 17,466 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 05/01/2047 | 1,520,000 | 1,559,892 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035 | 60,000 | 67,795 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.48% due 10/23/2045 | 1,845,000 | 2,102,232 | |||||||||
Comcast Corp. Company Guar. Notes 2.89% due 11/01/2051* | 205,000 | 172,717 | |||||||||
Comcast Corp. Company Guar. Notes 2.99% due 11/01/2063* | 101,000 | 82,593 |
263
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | 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 | $ | 860,489 | |||||||
Comcast Corp. Company Guar. Notes 3.25% due 11/01/2039 | 720,000 | 683,098 | |||||||||
Comcast Corp. Company Guar. Notes 3.40% due 07/15/2046 | 85,000 | 79,754 | |||||||||
Comcast Corp. Company Guar. Notes 3.75% due 04/01/2040 | 500,000 | 502,960 | |||||||||
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038 | 44,000 | 45,325 | |||||||||
Comcast Corp. Company Guar. Notes 4.05% due 11/01/2052 | 88,000 | 90,968 | |||||||||
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038 | 137,000 | 151,512 | |||||||||
Comcast Corp. Company Guar. Notes 7.05% due 03/15/2033 | 179,000 | 233,617 | |||||||||
Cox Communications, Inc. Senior Notes 2.60% due 06/15/2031* | 600,000 | 542,186 | |||||||||
Cox Communications, Inc. Senior Notes 3.15% due 08/15/2024* | 304,000 | 304,743 | |||||||||
CSC Holdings LLC Company Guar. Notes 3.38% due 02/15/2031* | 1,020,000 | 859,279 | |||||||||
CSC Holdings LLC Senior Notes 5.75% due 01/15/2030* | 200,000 | 179,343 | |||||||||
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023 | 300,000 | 300,816 | |||||||||
Sirius XM Radio, Inc. Company Guar. Notes 4.00% due 07/15/2028* | 11,000 | 10,450 | |||||||||
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037 | 122,000 | 140,329 | |||||||||
11,503,501 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Las Vegas Sands Corp. Senior Notes 3.50% due 08/18/2026 | 100,000 | 94,331 | |||||||||
Casino Services — 0.0% | |||||||||||
Caesars Entertainment, Inc. Senior Sec. Notes 6.25% due 07/01/2025* | 28,000 | 28,939 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Cellular Telecom — 0.3% | |||||||||||
T-Mobile USA, Inc. Senior Sec. Notes 2.05% due 02/15/2028 | $ | 1,230,000 | $ | 1,125,377 | |||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.00% due 02/15/2041 | 146,000 | 123,540 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.50% due 04/15/2025 | 780,000 | 786,016 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.60% due 11/15/2060 | 56,000 | 48,067 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.60% due 11/15/2060* | 63,000 | 54,075 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 3.88% due 04/15/2030 | 450,000 | 451,782 | |||||||||
T-Mobile USA, Inc. Senior Sec. Notes 4.50% due 04/15/2050 | 380,000 | 385,132 | |||||||||
2,973,989 | |||||||||||
Chemicals-Diversified — 0.1% | |||||||||||
DuPont de Nemours, Inc. Senior Notes 4.21% due 11/15/2023 | 490,000 | 501,691 | |||||||||
LYB International Finance III LLC Company Guar. Notes 1.25% due 10/01/2025 | 290,000 | 268,774 | |||||||||
Westlake Chemical Corp. Senior Notes 3.13% due 08/15/2051 | 73,000 | 59,971 | |||||||||
Westlake Chemical Corp. Senior Notes 3.38% due 08/15/2061 | 41,000 | 33,328 | |||||||||
863,764 | |||||||||||
Chemicals-Specialty — 0.1% | |||||||||||
Ecolab, Inc. Senior Notes 0.90% due 12/15/2023 | 56,000 | 54,608 | |||||||||
Ecolab, Inc. Senior Notes 2.70% due 12/15/2051 | 95,000 | 81,319 | |||||||||
International Flavors & Fragrances, Inc. Senior Notes 2.30% due 11/01/2030* | 555,000 | 496,097 | |||||||||
Minerals Technologies, Inc. Company Guar. Notes 5.00% due 07/01/2028* | 24,000 | 22,860 | |||||||||
654,884 | |||||||||||
Circuit Boards — 0.0% | |||||||||||
TTM Technologies, Inc. Company Guar. Notes 4.00% due 03/01/2029* | 28,000 | 25,900 |
264
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Coal — 0.0% | |||||||||||
Warrior Met Coal, Inc. Senior Sec. Notes 7.88% due 12/01/2028* | $ | 23,000 | $ | 24,179 | |||||||
Coatings/Paint — 0.0% | |||||||||||
RPM International, Inc. Senior Notes 2.95% due 01/15/2032 | 60,000 | 55,008 | |||||||||
RPM International, Inc. Senior Notes 4.55% due 03/01/2029 | 141,000 | 147,533 | |||||||||
202,541 | |||||||||||
Commercial Services — 0.0% | |||||||||||
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.63% due 10/01/2028* | 10,000 | 10,072 | |||||||||
Quanta Services, Inc. Senior Bonds 3.05% due 10/01/2041 | 53,000 | 43,645 | |||||||||
53,717 | |||||||||||
Commercial Services-Finance — 0.3% | |||||||||||
Global Payments, Inc. Senior Notes 2.15% due 01/15/2027 | 225,000 | 211,490 | |||||||||
Global Payments, Inc. Senior Notes 3.20% due 08/15/2029 | 920,000 | 874,243 | |||||||||
MoneyGram International, Inc. Senior Sec. Notes 5.38% due 08/01/2026* | 28,000 | 29,149 | |||||||||
MPH Acquisition Holdings LLC Company Guar. Notes 5.75% due 11/01/2028* | 118,000 | 106,925 | |||||||||
S&P Global, Inc. Senior Notes 2.45% due 03/01/2027* | 300,000 | 292,212 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.70% due 03/01/2029* | 628,000 | 609,906 | |||||||||
S&P Global, Inc. Company Guar. Notes 2.90% due 03/01/2032* | 380,000 | 368,637 | |||||||||
2,492,562 | |||||||||||
Computer Data Security — 0.0% | |||||||||||
Condor Merger Sub, Inc. Senior Notes 7.38% due 02/15/2030* | 32,000 | 30,640 | |||||||||
Computer Services — 0.3% | |||||||||||
Ahead DB Holdings LLC Company Guar. Notes 6.63% due 05/01/2028* | 30,000 | 26,625 | |||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 3.88% due 09/01/2028* | 930,000 | 898,977 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Computer Services (continued) | |||||||||||
Booz Allen Hamilton, Inc. Company Guar. Notes 4.00% due 07/01/2029* | $ | 175,000 | $ | 170,877 | |||||||
International Business Machines Corp. Senior Notes 2.72% due 02/09/2032 | 560,000 | 531,848 | |||||||||
Kyndryl Holdings, Inc. Senior Notes 2.05% due 10/15/2026* | 81,000 | 72,414 | |||||||||
Kyndryl Holdings, Inc. Senior Notes 3.15% due 10/15/2031* | 701,000 | 590,876 | |||||||||
Leidos, Inc. Company Guar. Notes 3.63% due 05/15/2025 | 541,000 | 540,865 | |||||||||
2,832,482 | |||||||||||
Computer Software — 0.0% | |||||||||||
Rackspace Technology Global, Inc. Senior Sec. Notes 3.50% due 02/15/2028* | 19,000 | 17,021 | |||||||||
Rackspace Technology Global, Inc. Company Guar. Notes 5.38% due 12/01/2028* | 32,000 | 27,751 | |||||||||
44,772 | |||||||||||
Computers — 0.5% | |||||||||||
Apple, Inc. Senior Notes 1.13% due 05/11/2025 | 575,000 | 549,666 | |||||||||
Apple, Inc. Senior Notes 1.40% due 08/05/2028 | 1,175,000 | 1,075,321 | |||||||||
Apple, Inc. Senior Notes 2.20% due 09/11/2029 | 535,000 | 509,949 | |||||||||
Apple, Inc. Senior Notes 2.65% due 02/08/2051 | 515,000 | 443,954 | |||||||||
Apple, Inc. Senior Notes 3.45% due 02/09/2045 | 160,000 | 158,857 | |||||||||
Apple, Inc. Senior Notes 3.85% due 05/04/2043 | 230,000 | 242,178 | |||||||||
Apple, Inc. Senior Notes 4.45% due 05/06/2044 | 605,000 | 686,032 | |||||||||
Dell International LLC/ EMC Corp. Senior Notes 8.10% due 07/15/2036 | 69,000 | 90,749 | |||||||||
Dell International LLC/ EMC Corp. Company Guar. Notes 3.38% due 12/15/2041* | 65,000 | 54,480 |
265
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Computers (continued) | |||||||||||
Hewlett Packard Enterprise Co. Senior Notes 1.75% due 04/01/2026 | $ | 233,000 | $ | 217,805 | |||||||
Hewlett Packard Enterprise Co. Senior Notes 6.35% due 10/15/2045 | 50,000 | 58,845 | |||||||||
4,087,836 | |||||||||||
Computers-Integrated Systems — 0.0% | |||||||||||
NCR Corp. Company Guar. Notes 5.13% due 04/15/2029* | 26,000 | 25,020 | |||||||||
Consulting Services — 0.1% | |||||||||||
Gartner, Inc. Company Guar. Notes 3.63% due 06/15/2029* | 195,000 | 182,813 | |||||||||
Gartner, Inc. Company Guar. Notes 3.75% due 10/01/2030* | 220,000 | 205,975 | |||||||||
388,788 | |||||||||||
Containers-Metal/Glass — 0.1% | |||||||||||
Ball Corp. Company Guar. Notes 4.00% due 11/15/2023 | 1,055,000 | 1,066,869 | |||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Amcor Flexibles North America, Inc. Company Guar. Notes 2.69% due 05/25/2031 | 51,000 | 46,828 | |||||||||
Clydesdale Acquisition Holdings, Inc. Senior Sec. Notes 6.63% due 04/15/2029* | 5,000 | 5,056 | |||||||||
LABL, Inc. Senior Sec. Notes 5.88% due 11/01/2028* | 24,000 | 22,500 | |||||||||
Sonoco Products Co. Senior Notes 1.80% due 02/01/2025 | 259,000 | 248,460 | |||||||||
322,844 | |||||||||||
Cosmetics & Toiletries — 0.1% | |||||||||||
Edgewell Personal Care Co. Company Guar. Notes 4.13% due 04/01/2029* | 46,000 | 42,330 | |||||||||
GSK Consumer Healthcare Capital US LLC Company Guar. Notes 3.38% due 03/24/2029* | 250,000 | 247,644 | |||||||||
GSK Consumer Healthcare Capital US LLC Company Guar. Notes 3.63% due 03/24/2032* | 250,000 | 250,142 | |||||||||
GSK Consumer Healthcare Capital US LLC Company Guar. Bonds 4.00% due 03/24/2052* | 250,000 | 250,339 | |||||||||
790,455 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Cruise Lines — 0.0% | |||||||||||
Lindblad Expeditions LLC Senior Sec. Notes 6.75% due 02/15/2027* | $ | 16,000 | $ | 16,040 | |||||||
Distribution/Wholesale — 0.0% | |||||||||||
H&E Equipment Services, Inc. Company Guar. Notes 3.88% due 12/15/2028* | 40,000 | 37,450 | |||||||||
Diversified Banking Institutions — 5.0% | |||||||||||
Bank of America Corp. Senior Notes 1.49% due 05/19/2024 | 215,000 | 211,950 | |||||||||
Bank of America Corp. Senior Notes 1.66% due 03/11/2027 | 1,005,000 | 937,986 | |||||||||
Bank of America Corp. Senior Notes 2.46% due 10/22/2025 | 1,084,000 | 1,066,071 | |||||||||
Bank of America Corp. Senior Notes 2.57% due 10/20/2032 | 440,000 | 399,872 | |||||||||
Bank of America Corp. Senior Notes 2.59% due 04/29/2031 | 51,000 | 47,057 | |||||||||
Bank of America Corp. Senior Notes 3.31% due 04/22/2042 | 1,051,000 | 973,953 | |||||||||
Bank of America Corp. Senior Notes 3.38% due 04/02/2026 | 63,000 | 62,987 | |||||||||
Bank of America Corp. Senior Notes 3.71% due 04/24/2028 | 89,000 | 89,703 | |||||||||
Bank of America Corp. Senior Notes 3.86% due 07/23/2024 | 295,000 | 298,655 | |||||||||
Bank of America Corp. Senior Bonds 3.95% due 01/23/2049 | 595,000 | 601,889 | |||||||||
Bank of America Corp. Senior Notes 4.08% due 04/23/2040 | 135,000 | 137,889 | |||||||||
Bank of America Corp. Senior Notes 4.08% due 03/20/2051 | 1,735,000 | 1,788,388 | |||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | 87,000 | 88,822 | |||||||||
Bank of America Corp. Senior Notes 4.44% due 01/20/2048 | 235,000 | 255,449 | |||||||||
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037 | 594,000 | 709,720 | |||||||||
Citigroup, Inc. Senior Notes 1.28% due 11/03/2025 | 430,000 | 409,355 | |||||||||
Citigroup, Inc. Senior Notes 2.52% due 11/03/2032 | 815,000 | 731,292 |
266
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Citigroup, Inc. Senior Notes 3.35% due 04/24/2025 | $ | 855,000 | $ | 857,708 | |||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 210,000 | 208,367 | |||||||||
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028 | 63,000 | 63,113 | |||||||||
Citigroup, Inc. Senior Notes 3.70% due 01/12/2026 | 1,730,000 | 1,751,874 | |||||||||
Citigroup, Inc. Senior Notes 4.08% due 04/23/2029 | 405,000 | 413,489 | |||||||||
Citigroup, Inc. Sub. Notes 4.30% due 11/20/2026 | 1,120,000 | 1,153,361 | |||||||||
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027 | 165,000 | 170,457 | |||||||||
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033 | 116,000 | 133,305 | |||||||||
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033 | 309,000 | 358,628 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 0.93% due 10/21/2024 | 705,000 | 683,753 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.54% due 09/10/2027 | 126,000 | 115,314 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.99% due 01/27/2032 | 210,000 | 181,945 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.38% due 07/21/2032 | 706,000 | 625,399 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.62% due 04/22/2032 | 1,705,000 | 1,549,831 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.65% due 10/21/2032 | 150,000 | 136,369 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 2.91% due 07/24/2023 | 1,610,000 | 1,611,962 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.10% due 02/24/2033 | 210,000 | 197,967 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.21% due 04/22/2042 | 80,000 | 72,476 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.50% due 11/16/2026 | 121,000 | 121,482 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Banking Institutions (continued) | |||||||||||
Goldman Sachs Group, Inc. Senior Notes 4.00% due 03/03/2024 | $ | 1,575,000 | $ | 1,608,301 | |||||||
Goldman Sachs Group, Inc. Senior Notes 4.41% due 04/23/2039 | 210,000 | 221,698 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 6.25% due 02/01/2041 | 575,000 | 742,963 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037 | 496,000 | 625,147 | |||||||||
JPMorgan Chase & Co. Senior Notes 0.65% due 09/16/2024 | 148,000 | 143,989 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.01% due 03/13/2026 | 342,000 | 330,075 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.07% due 06/01/2029 | 80,000 | 73,862 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.53% due 11/19/2041 | 322,000 | 264,724 | |||||||||
JPMorgan Chase & Co. Senior Bonds 2.55% due 11/08/2032 | 1,030,000 | 941,302 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.58% due 04/22/2032 | 370,000 | 339,026 | |||||||||
JPMorgan Chase & Co. Sub. Notes 2.96% due 05/13/2031 | 1,040,000 | 973,250 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2041 | 320,000 | 289,477 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.11% due 04/22/2051 | 285,000 | 252,256 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.16% due 04/22/2042 | 1,100,000 | 1,001,692 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.22% due 03/01/2025 | 1,105,000 | 1,109,158 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029 | 1,230,000 | 1,226,408 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.70% due 05/06/2030 | 1,000,000 | 1,004,881 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.80% due 07/23/2024 | 1,455,000 | 1,472,269 | |||||||||
JPMorgan Chase & Co. Senior Notes 3.96% due 01/29/2027 | 1,560,000 | 1,594,152 |
267
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
JPMorgan Chase & Co. Senior Notes 4.02% due 12/05/2024 | $ | 975,000 | $ | 991,216 | |||||||
Merrill Lynch & Co., Inc. Sub. Notes 7.75% due 05/14/2038 | 265,000 | 370,081 | |||||||||
Morgan Stanley Senior Notes 1.16% due 10/21/2025 | 394,000 | 374,629 | |||||||||
Morgan Stanley Senior Notes 1.51% due 07/20/2027 | 164,000 | 150,952 | |||||||||
Morgan Stanley Senior Notes 1.59% due 05/04/2027 | 690,000 | 641,885 | |||||||||
Morgan Stanley Senior Notes 1.79% due 02/13/2032 | 1,575,000 | 1,354,581 | |||||||||
Morgan Stanley Senior Notes 1.93% due 04/28/2032 | 830,000 | 717,508 | |||||||||
Morgan Stanley Senior Notes 2.24% due 07/21/2032 | 700,000 | 622,261 | |||||||||
Morgan Stanley Senior Notes 2.48% due 01/21/2028 | 900,000 | 860,015 | |||||||||
Morgan Stanley Sub. Notes 2.48% due 09/16/2036 | 17,000 | 14,565 | |||||||||
Morgan Stanley Senior Notes 2.51% due 10/20/2032 | 360,000 | 324,509 | |||||||||
Morgan Stanley Senior Notes 2.70% due 01/22/2031 | 820,000 | 769,558 | |||||||||
Morgan Stanley Senior Notes 3.13% due 07/27/2026 | 1,445,000 | 1,434,408 | |||||||||
Morgan Stanley Senior Notes 3.22% due 04/22/2042 | 94,000 | 86,559 | |||||||||
Morgan Stanley Senior Notes 3.63% due 01/20/2027 | 338,000 | 341,394 | |||||||||
Morgan Stanley Senior Notes 3.70% due 10/23/2024 | 205,000 | 208,872 | |||||||||
Morgan Stanley Senior Notes 3.88% due 01/27/2026 | 1,060,000 | 1,081,412 | |||||||||
Morgan Stanley Senior Notes 4.00% due 07/23/2025 | 540,000 | 554,056 | |||||||||
44,330,929 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Illinois Tool Works, Inc. Senior Notes 3.50% due 03/01/2024 | $ | 95,000 | $ | 96,621 | |||||||
Drug Delivery Systems — 0.0% | |||||||||||
Embecta Corp. Senior Sec. Notes 5.00% due 02/15/2030* | 13,000 | 12,262 | |||||||||
E-Commerce/Products — 0.1% | |||||||||||
Amazon.com, Inc. Senior Notes 3.88% due 08/22/2037 | 370,000 | 391,704 | |||||||||
E-Commerce/Services — 0.1% | |||||||||||
Expedia Group, Inc. Company Guar. Notes 2.95% due 03/15/2031 | 128,000 | 118,410 | |||||||||
Go Daddy Operating Co. LLC/GD Finance Co., Inc. Company Guar. Notes 5.25% due 12/01/2027* | 938,000 | 942,690 | |||||||||
GrubHub Holdings, Inc. Company Guar. Notes 5.50% due 07/01/2027* | 19,000 | 16,450 | |||||||||
1,077,550 | |||||||||||
Electric-Distribution — 0.3% | |||||||||||
Commonwealth Edison Co. 1st Mtg. Notes 3.65% due 06/15/2046 | 465,000 | 459,777 | |||||||||
Commonwealth Edison Co. 1st. Mtg. Notes 3.85% due 03/15/2052 | 26,000 | 26,861 | |||||||||
Commonwealth Edison Co. 1st Mtg. Bonds 4.00% due 03/01/2048 | 240,000 | 254,818 | |||||||||
National Rural Utilities Cooperative Finance Corp. Senior Notes 1.88% due 02/07/2025 | 78,000 | 75,647 | |||||||||
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.85% due 01/27/2025 | 330,000 | 328,291 | |||||||||
Sempra Energy Senior Notes 3.40% due 02/01/2028 | 820,000 | 819,369 | |||||||||
Sempra Energy Senior Notes 3.80% due 02/01/2038 | 355,000 | 348,459 | |||||||||
2,313,222 | |||||||||||
Electric-Generation — 0.0% | |||||||||||
Liberty Utilities Finance GP Company Guar. Notes 2.05% due 09/15/2030* | 66,000 | 57,873 | |||||||||
Pattern Energy Operations LP/Pattern Energy Operations, Inc. Company Guar. Notes 4.50% due 08/15/2028* | 65,000 | 63,050 |
268
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Generation (continued) | |||||||||||
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027* | $ | 130,000 | $ | 127,895 | |||||||
248,818 | |||||||||||
Electric-Integrated — 2.5% | |||||||||||
AES Corp. Senior Notes 2.45% due 01/15/2031 | 133,000 | 119,229 | |||||||||
AES Corp. Senior Notes 3.30% due 07/15/2025* | 530,000 | 519,983 | |||||||||
Alabama Power Co. Senior Notes 3.45% due 10/01/2049 | 595,000 | 554,719 | |||||||||
Alabama Power Co. Senior Notes 4.15% due 08/15/2044 | 445,000 | 452,212 | |||||||||
Avangrid, Inc. Senior Notes 3.20% due 04/15/2025 | 250,000 | 249,506 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 3.38% due 09/15/2029 | 555,000 | 530,474 | |||||||||
Cleco Corporate Holdings LLC Senior Notes 4.97% due 05/01/2046 | 35,000 | 36,916 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 3.20% due 12/01/2051 | 490,000 | 432,979 | |||||||||
Consolidated Edison Co. of New York, Inc. Senior Notes 3.60% due 06/15/2061 | 163,000 | 149,747 | |||||||||
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033 | 202,000 | 225,678 | |||||||||
DTE Electric Co. General Refunding Mtg. 3.95% due 03/01/2049 | 108,000 | 111,461 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 3.45% due 04/15/2051 | 200,000 | 195,253 | |||||||||
Duke Energy Carolinas LLC 1st. Mtg. Notes 3.55% due 03/15/2052 | 33,000 | 32,607 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 4.00% due 09/30/2042 | 145,000 | 148,405 | |||||||||
Duke Energy Carolinas LLC 1st Mtg. Notes 6.00% due 01/15/2038 | 40,000 | 49,319 | |||||||||
Duke Energy Carolinas LLC Senior Notes 6.10% due 06/01/2037 | 10,000 | 11,851 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Duke Energy Corp. Senior Notes 2.55% due 06/15/2031 | $ | 1,405,000 | $ | 1,284,775 | |||||||
Duke Energy Indiana LLC 1st Mtg. Notes 2.75% due 04/01/2050 | 675,000 | 570,876 | |||||||||
Duke Energy Indiana LLC 1st Mtg. Notes 4.90% due 07/15/2043 | 135,000 | 150,195 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.00% due 04/01/2052 | 260,000 | 275,449 | |||||||||
Duke Energy Progress LLC 1st Mtg. Notes 4.15% due 12/01/2044 | 900,000 | 927,085 | |||||||||
Duquesne Light Holdings, Inc. Senior Notes 2.78% due 01/07/2032* | 460,000 | 411,190 | |||||||||
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046 | 106,000 | 110,446 | |||||||||
Entergy Mississippi LLC 1st Mtg. Notes 3.50% due 06/01/2051 | 44,000 | 41,061 | |||||||||
Entergy Texas, Inc. 1st Mtg. Bonds 4.50% due 03/30/2039 | 121,000 | 125,363 | |||||||||
Evergy, Inc. Senior Notes 2.90% due 09/15/2029 | 925,000 | 884,730 | |||||||||
Exelon Corp. Senior Bonds 4.10% due 03/15/2052* | 125,000 | 126,889 | |||||||||
Exelon Corp. Senior Notes 4.70% due 04/15/2050 | 70,000 | 76,963 | |||||||||
FirstEnergy Corp. Senior Notes 1.60% due 01/15/2026 | 100,000 | 93,500 | |||||||||
FirstEnergy Corp. Senior Notes 2.25% due 09/01/2030 | 150,000 | 133,125 | |||||||||
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031 | 172,000 | 212,420 | |||||||||
FirstEnergy Transmission LLC Senior Notes 4.55% due 04/01/2049* | 106,000 | 101,222 | |||||||||
Georgia Power Co. Senior Notes 3.25% due 03/15/2051 | 109,000 | 94,449 | |||||||||
Georgia Power Co. Senior Notes 4.30% due 03/15/2042 | 550,000 | 556,632 | |||||||||
Georgia Power Co. Senior Notes 4.75% due 09/01/2040 | 195,000 | 205,799 | |||||||||
Interstate Power & Light Co. Senior Notes 3.50% due 09/30/2049 | 78,000 | 70,839 |
269
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electric-Integrated (continued) | |||||||||||
IPALCO Enterprises, Inc. Senior Sec. Notes 3.70% due 09/01/2024 | $ | 925,000 | $ | 928,151 | |||||||
Jersey Central Power & Light Co. Senior Notes 2.75% due 03/01/2032* | 435,000 | 405,130 | |||||||||
MidAmerican Energy Co. 1st Mtg. Notes 3.15% due 04/15/2050 | 430,000 | 394,691 | |||||||||
MidAmerican Energy Co. 1st Mtg. Bonds 3.65% due 08/01/2048 | 240,000 | 237,660 | |||||||||
NextEra Energy Capital Holdings, Inc. Company Guar. Notes 2.94% due 03/21/2024 | 54,000 | 54,034 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 4.40% due 03/01/2032 | 640,000 | 629,266 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.50% due 07/01/2040 | 40,000 | 36,449 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. 5.25% due 03/01/2052 | 250,000 | 250,765 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.10% due 08/01/2027 | 230,000 | 206,999 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 2.50% due 02/01/2031 | 1,585,000 | 1,366,455 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 3.95% due 12/01/2047 | 105,000 | 86,725 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Notes 4.30% due 03/15/2045 | 97,000 | 82,737 | |||||||||
Pacific Gas & Electric Co. 1st Mtg. Bonds 4.95% due 07/01/2050 | 1,420,000 | 1,336,861 | |||||||||
PacifiCorp 1st Mtg. Notes 4.13% due 01/15/2049 | 122,000 | 126,093 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 2.70% due 01/15/2051 | 175,000 | 148,133 | |||||||||
Public Service Co. of Colorado 1st Mtg. Notes 3.70% due 06/15/2028 | 128,000 | 130,806 | |||||||||
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048 | 89,000 | 94,108 | |||||||||
Public Service Co. of Oklahoma Senior Notes 2.20% due 08/15/2031 | 94,000 | 84,216 | |||||||||
Puget Energy, Inc. Senior Sec. Notes 3.65% due 05/15/2025 | 1,840,000 | 1,845,968 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Sierra Pacific Power Co. General Refunding Mtg. 2.60% due 05/01/2026 | $ | 115,000 | $ | 113,088 | |||||||
South Carolina Electric & Gas Co. 1st Mtg. Bonds 5.10% due 06/01/2065 | 143,000 | 168,558 | |||||||||
Southern California Edison Co. 1st Mtg. Bonds 1.10% due 04/01/2024 | 253,000 | 244,324 | |||||||||
Southern California Edison Co. 1st Mtg. 2.75% due 02/01/2032 | 815,000 | 756,521 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 2.85% due 08/01/2029 | 55,000 | 52,345 | |||||||||
Southern California Edison Co. 1st Mtg. Bonds 3.65% due 02/01/2050 | 210,000 | 194,380 | |||||||||
Southern California Edison Co. 1st Mtg. Notes 4.00% due 04/01/2047 | 374,000 | 359,171 | |||||||||
Southern Co. Senior Notes 3.70% due 04/30/2030 | 200,000 | 200,868 | |||||||||
Union Electric Co Senior Sec. Notes 2.95% due 06/15/2027 | 101,000 | 99,614 | |||||||||
Union Electric Co. 1ST Mtg. 3.90% due 04/01/2052 | 47,000 | 48,596 | |||||||||
Xcel Energy, Inc. Senior Notes 1.75% due 03/15/2027 | 1,535,000 | 1,422,864 | |||||||||
22,378,923 | |||||||||||
Electric-Transmission — 0.1% | |||||||||||
ITC Holdings Corp. Senior Notes 2.95% due 05/14/2030* | 605,000 | 573,213 | |||||||||
Electronic Components-Semiconductors — 0.9% | |||||||||||
Broadcom, Inc. Company Guar. Notes 2.45% due 02/15/2031* | 121,000 | 107,627 | |||||||||
Broadcom, Inc. Senior Notes 3.19% due 11/15/2036* | 126,000 | 110,510 | |||||||||
Broadcom, Inc. Senior Notes 3.42% due 04/15/2033* | 420,000 | 392,669 | |||||||||
Broadcom, Inc. Senior Notes 3.47% due 04/15/2034* | 706,000 | 653,949 | |||||||||
Broadcom, Inc. Senior Notes 4.00% due 04/15/2029* | 2,910,000 | 2,908,574 | |||||||||
Intel Corp. Senior Notes 2.45% due 11/15/2029 | 405,000 | 386,580 | �� |
270
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Electronic Components-Semiconductors (continued) | |||||||||||
Intel Corp. Senior Notes 3.10% due 02/15/2060 | $ | 570,000 | $ | 489,473 | |||||||
Marvell Technology, Inc. Company Guar. Notes 2.45% due 04/15/2028 | 845,000 | 778,362 | |||||||||
Marvell Technology, Inc. Company Guar. Notes 2.95% due 04/15/2031 | 680,000 | 628,642 | |||||||||
Microchip Technology, Inc. Sec. Notes 2.67% due 09/01/2023 | 1,265,000 | 1,261,422 | |||||||||
NVIDIA Corp. Senior Bonds 3.50% due 04/01/2040 | 615,000 | 617,389 | |||||||||
8,335,197 | |||||||||||
Electronic Measurement Instruments — 0.0% | |||||||||||
Trimble, Inc. Senior Notes 4.75% due 12/01/2024 | 13,000 | 13,380 | |||||||||
Trimble, Inc. Senior Notes 4.90% due 06/15/2028 | 39,000 | 40,459 | |||||||||
Vontier Corp. Company Guar. Notes 2.95% due 04/01/2031 | 223,000 | 198,035 | |||||||||
251,874 | |||||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Imola Merger Corp. Senior Sec. Notes 4.75% due 05/15/2029* | 30,000 | 28,889 | |||||||||
Enterprise Software/Service — 0.7% | |||||||||||
Clarivate Science Holdings Corp. Senior Sec. Notes 3.88% due 07/01/2028* | 5,000 | 4,762 | |||||||||
Clarivate Science Holdings Corp. Company Guar. Notes 4.88% due 07/01/2029* | 28,000 | 26,343 | |||||||||
Oracle Corp. Senior Notes 2.30% due 03/25/2028 | 1,174,000 | 1,074,229 | |||||||||
Oracle Corp. Senior Notes 2.88% due 03/25/2031 | 795,000 | 725,444 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2040 | 1,128,000 | 979,424 | |||||||||
Oracle Corp. Senior Notes 3.60% due 04/01/2050 | 539,000 | 447,063 | |||||||||
Oracle Corp. Senior Notes 3.80% due 11/15/2037 | 191,000 | 172,773 | |||||||||
Oracle Corp. Senior Notes 3.85% due 04/01/2060 | 965,000 | 791,483 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Enterprise Software/Service (continued) | |||||||||||
Oracle Corp. Senior Notes 3.95% due 03/25/2051 | $ | 580,000 | $ | 506,778 | |||||||
Oracle Corp. Senior Notes 4.00% due 07/15/2046 | 460,000 | 407,982 | |||||||||
Oracle Corp. Senior Notes 4.00% due 11/15/2047 | 429,000 | 379,207 | |||||||||
Oracle Corp. Senior Notes 4.10% due 03/25/2061 | 300,000 | 255,602 | |||||||||
Oracle Corp. Senior Notes 4.13% due 05/15/2045 | 35,000 | 31,416 | |||||||||
5,802,506 | |||||||||||
Finance-Auto Loans — 0.0% | |||||||||||
Cobra AcquisitionCo LLC Company Guar. Notes 6.38% due 11/01/2029* | 40,000 | 34,300 | |||||||||
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026 | 37,000 | 37,740 | |||||||||
72,040 | |||||||||||
Finance-Commercial — 0.0% | |||||||||||
Burford Capital Global Finance LLC Company Guar. Notes 6.25% due 04/15/2028* | 30,000 | 30,456 | |||||||||
Finance-Consumer Loans — 0.1% | |||||||||||
Curo Group Holdings Corp. Senior Sec. Notes 7.50% due 08/01/2028* | 86,000 | 73,960 | |||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024* | 10,000 | 9,925 | |||||||||
Enova International, Inc. Company Guar. Notes 8.50% due 09/15/2025* | 51,000 | 50,809 | |||||||||
LFS Topco LLC Company Guar. Notes 5.88% due 10/15/2026* | 24,000 | 22,500 | |||||||||
Synchrony Financial Senior Notes 2.88% due 10/28/2031 | 56,000 | 49,636 | |||||||||
Synchrony Financial Senior Notes 4.50% due 07/23/2025 | 416,000 | 424,815 | |||||||||
631,645 | |||||||||||
Finance-Credit Card — 0.4% | |||||||||||
Alliance Data Systems Corp. Company Guar. Notes 4.75% due 12/15/2024* | 30,000 | 29,494 | |||||||||
American Express Co. Senior Notes 2.55% due 03/04/2027 | 470,000 | 458,109 |
271
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Finance-Credit Card (continued) | |||||||||||
American Express Co. Senior Notes 3.40% due 02/22/2024 | $ | 57,000 | $ | 57,810 | |||||||
American Express Co. Senior Notes 4.20% due 11/06/2025 | 73,000 | 76,093 | |||||||||
Capital One Financial Corp. Senior Notes 1.88% due 11/02/2027 | 1,485,000 | 1,372,145 | |||||||||
Capital One Financial Corp. Senior Notes 3.90% due 01/29/2024 | 830,000 | 843,515 | |||||||||
Mastercard, Inc. Senior Notes 2.00% due 03/03/2025 | 138,000 | 135,969 | |||||||||
Mastercard, Inc. Senior Notes 2.95% due 03/15/2051 | 395,000 | 361,179 | |||||||||
Visa, Inc. Senior Notes 0.75% due 08/15/2027 | 42,000 | 38,106 | |||||||||
3,372,420 | |||||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Aretec Escrow Issuer, Inc. Senior Notes 7.50% due 04/01/2029* | 35,000 | 33,630 | |||||||||
Charles Schwab Corp. Senior Notes 2.45% due 03/03/2027 | 53,000 | 51,523 | |||||||||
LPL Holdings, Inc. Company Guar. Notes 4.00% due 03/15/2029* | 59,000 | 55,990 | |||||||||
141,143 | |||||||||||
Finance-Mortgage Loan/Banker — 0.0% | |||||||||||
Enact Holdings, Inc. Senior Notes 6.50% due 08/15/2025* | 37,000 | 38,171 | |||||||||
Rocket Mtg. LLC/Rocket Mtg. Co-Issuer, Inc. Company Guar. Notes 3.63% due 03/01/2029* | 17,000 | 15,562 | |||||||||
53,733 | |||||||||||
Financial Guarantee Insurance — 0.0% | |||||||||||
NMI Holdings, Inc. Senior Sec. Notes 7.38% due 06/01/2025* | 15,000 | 15,750 | |||||||||
Food-Confectionery — 0.1% | |||||||||||
Mondelez International, Inc. Senior Notes 2.63% due 03/17/2027 | 450,000 | 439,744 | |||||||||
Mondelez International, Inc. Senior Notes 3.00% due 03/17/2032 | 340,000 | 327,928 | |||||||||
767,672 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Food-Meat Products — 0.1% | |||||||||||
Hormel Foods Corp. Senior Notes 0.65% due 06/03/2024 | $ | 113,000 | $ | 108,571 | |||||||
NBM US Holdings, Inc. Company Guar. Notes 7.00% due 05/14/2026* | 675,000 | 700,569 | |||||||||
Smithfield Foods, Inc. Company Guar. Notes 4.25% due 02/01/2027* | 81,000 | 81,983 | |||||||||
Smithfield Foods, Inc. Senior Notes 5.20% due 04/01/2029* | 70,000 | 73,387 | |||||||||
964,510 | |||||||||||
Food-Misc./Diversified — 0.2% | |||||||||||
Conagra Brands, Inc. Senior Notes 4.30% due 05/01/2024 | 290,000 | 298,159 | |||||||||
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048 | 100,000 | 114,764 | |||||||||
Conagra Brands, Inc. Senior Notes 7.00% due 10/01/2028 | 118,000 | 139,524 | |||||||||
Kellogg Co. Senior Notes 3.40% due 11/15/2027 | 495,000 | 494,806 | |||||||||
Kraft Heinz Foods Co. Company Guar. Notes 4.38% due 06/01/2046 | 101,000 | 99,448 | |||||||||
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025* | 184,000 | 187,542 | |||||||||
Post Holdings, Inc. Senior Notes 4.50% due 09/15/2031* | 28,000 | 24,766 | |||||||||
1,359,009 | |||||||||||
Food-Wholesale/Distribution — 0.1% | |||||||||||
C&S Group Enterprises LLC Company Guar. Notes 5.00% due 12/15/2028* | 26,000 | 22,425 | |||||||||
Performance Food Group, Inc. Company Guar. Notes 5.50% due 10/15/2027* | 29,000 | 28,891 | |||||||||
Sysco Corp. Company Guar. Notes 4.45% due 03/15/2048 | 181,000 | 187,608 | |||||||||
Sysco Corp. Company Guar. Notes 4.50% due 04/01/2046 | 101,000 | 104,812 | |||||||||
Sysco Corp. Company Guar. Notes 5.95% due 04/01/2030 | 25,000 | 28,977 | |||||||||
Sysco Corp. Company Guar. Notes 6.60% due 04/01/2050 | 39,000 | 52,392 | |||||||||
425,105 |
272
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Funeral Services & Related Items — 0.1% | |||||||||||
Service Corp. International Senior Notes 3.38% due 08/15/2030 | $ | 560,000 | $ | 504,493 | |||||||
Service Corp. International Senior Notes 5.13% due 06/01/2029 | 724,000 | 736,735 | |||||||||
1,241,228 | |||||||||||
Gambling (Non-Hotel) — 0.0% | |||||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. Company Guar. Notes 5.88% due 09/01/2031* | 47,000 | 40,185 | |||||||||
Gas-Distribution — 0.2% | |||||||||||
Dominion Energy Gas Holdings LLC Senior Notes 2.50% due 11/15/2024 | 615,000 | 609,174 | |||||||||
NiSource, Inc. Senior Notes 3.49% due 05/15/2027 | 525,000 | 524,119 | |||||||||
NiSource, Inc. Senior Notes 3.60% due 05/01/2030 | 689,000 | 683,368 | |||||||||
1,816,661 | |||||||||||
Hazardous Waste Disposal — 0.1% | |||||||||||
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027* | 1,175,000 | 1,172,062 | |||||||||
Hotels/Motels — 0.1% | |||||||||||
Hilton Grand Vacations Borrower Escrow LLC/ Hilton Grand Vacations Borrower Escrow, Inc. Company Guar. Notes 4.88% due 07/01/2031* | 69,000 | 63,998 | |||||||||
Hilton Grand Vacations Borrower Escrow LLC/ Hilton Grand Vacations Borrower Escrow, Inc. Senior Notes 5.00% due 06/01/2029* | 33,000 | 31,622 | |||||||||
Marriott International, Inc. Senior Notes 2.85% due 04/15/2031 | 174,000 | 158,831 | |||||||||
Marriott International, Inc. Senior Notes 4.63% due 06/15/2030 | 177,000 | 183,339 | |||||||||
Travel & Leisure Co. Senior Sec. Notes 6.00% due 04/01/2027 | 26,000 | 26,780 | |||||||||
464,570 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Human Resources — 0.0% | |||||||||||
Korn Ferry International Company Guar. Notes 4.63% due 12/15/2027* | $ | 19,000 | $ | 18,532 | |||||||
TriNet Group, Inc. Company Guar. Notes 3.50% due 03/01/2029* | 28,000 | 25,760 | |||||||||
44,292 | |||||||||||
Independent Power Producers — 0.1% | |||||||||||
Calpine Corp. Senior Sec. Notes 3.75% due 03/01/2031* | 48,000 | 42,969 | |||||||||
NRG Energy, Inc. Senior Sec. Notes 2.45% due 12/02/2027* | 585,000 | 540,061 | |||||||||
NRG Energy, Inc. Company Guar. Notes 3.63% due 02/15/2031* | 75,000 | 65,969 | |||||||||
648,999 | |||||||||||
Industrial Gases — 0.0% | |||||||||||
Air Products & Chemicals, Inc. Senior Notes 1.50% due 10/15/2025 | 120,000 | 114,489 | |||||||||
Insurance Brokers — 0.4% | |||||||||||
Aon Corp. Company Guar. Notes 2.20% due 11/15/2022 | 815,000 | 816,516 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 2.85% due 05/28/2027 | 115,000 | 112,676 | |||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 3.90% due 02/28/2052 | 320,000 | 315,557 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 03/10/2025 | 365,000 | 367,980 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.05% due 10/15/2023 | 525,000 | 532,950 | |||||||||
Marsh & McLennan Cos., Inc. Senior Notes 4.75% due 03/15/2039 | 435,000 | 478,039 | |||||||||
Ryan Specialty Group LLC Senior Sec. Notes 4.38% due 02/01/2030* | 16,000 | 15,120 | |||||||||
Willis North America, Inc. Company Guar. Notes 3.60% due 05/15/2024 | 660,000 | 664,273 | |||||||||
3,303,111 | |||||||||||
Insurance-Life/Health — 0.6% | |||||||||||
Americo Life, Inc. Senior Notes 3.45% due 04/15/2031* | 72,000 | 64,918 |
273
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Life/Health (continued) | |||||||||||
Athene Global Funding Sec. Notes 1.73% due 10/02/2026* | $ | 157,000 | $ | 142,758 | |||||||
Athene Global Funding Sec. Notes 2.65% due 10/04/2031* | 890,000 | 785,523 | |||||||||
Brighthouse Financial Global Funding Senior Sec. Notes 0.60% due 06/28/2023* | 119,000 | 116,181 | |||||||||
Brighthouse Financial, Inc. Senior Notes 5.63% due 05/15/2030 | 1,005,000 | 1,101,821 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 0.50% due 04/06/2023* | 194,000 | 190,557 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 1.30% due 07/12/2026* | 122,000 | 112,187 | |||||||||
Equitable Financial Life Global Funding Sec. Notes 1.80% due 03/08/2028* | 1,225,000 | 1,103,784 | |||||||||
F&G Global Funding Senior Sec. Notes 0.90% due 09/20/2024* | 105,000 | 99,071 | |||||||||
F&G Global Funding Secured Notes 2.30% due 04/11/2027* | 202,000 | 189,108 | |||||||||
Jackson National Life Global Funding Sec. Notes 1.75% due 01/12/2025* | 150,000 | 143,792 | |||||||||
Ohio National Financial Services, Inc. Senior Notes 5.80% due 01/24/2030* | 200,000 | 206,327 | |||||||||
Primerica, Inc. Senior Notes 2.80% due 11/19/2031 | 56,000 | 51,670 | |||||||||
Principal Life Global Funding II Sec. Notes 0.50% due 01/08/2024* | 107,000 | 102,821 | |||||||||
Prudential Financial, Inc. Senior Notes 1.50% due 03/10/2026 | 242,000 | 228,129 | |||||||||
SBL Holdings, Inc. Senior Notes 5.00% due 02/18/2031* | 85,000 | 81,954 | |||||||||
Security Benefit Global Funding Sec. Notes 1.25% due 05/17/2024* | 68,000 | 65,033 | |||||||||
Unum Group Senior Notes 4.13% due 06/15/2051 | 105,000 | 91,624 | |||||||||
4,877,258 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Insurance-Mutual — 0.2% | |||||||||||
New York Life Global Funding Sec. Notes 2.00% due 01/22/2025* | $ | 1,390,000 | $ | 1,349,492 | |||||||
New York Life Insurance Co. Sub. Notes 3.75% due 05/15/2050* | 80,000 | 77,506 | |||||||||
1,426,998 | |||||||||||
Internet Security — 0.1% | |||||||||||
NortonLifeLock, Inc. Senior Notes 5.00% due 04/15/2025* | 745,000 | 745,000 | |||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
AG Issuer LLC Senior Sec. Notes 6.25% due 03/01/2028* | 63,000 | 62,843 | |||||||||
NFP Corp. Senior Sec. Notes 4.88% due 08/15/2028* | 16,000 | 15,280 | |||||||||
78,123 | |||||||||||
Lottery Services — 0.0% | |||||||||||
Scientific Games Holdings LP/Scientific Games US FinCo, Inc. Senior Notes 6.63% due 03/01/2030* | 28,000 | 27,602 | |||||||||
Machinery-Construction & Mining — 0.0% | |||||||||||
Caterpillar Financial Services Corp. Senior Notes 0.65% due 07/07/2023 | 155,000 | 152,039 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 0.95% due 01/10/2024 | 124,000 | 120,876 | |||||||||
Caterpillar Financial Services Corp. Senior Notes 1.70% due 01/08/2027 | 84,000 | 79,207 | |||||||||
352,122 | |||||||||||
Machinery-Farming — 0.1% | |||||||||||
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024 | 196,000 | 200,021 | |||||||||
John Deere Capital Corp. Senior Notes 0.63% due 09/10/2024 | 76,000 | 72,796 | |||||||||
John Deere Capital Corp. Senior Notes 0.90% due 01/10/2024 | 118,000 | 114,895 | |||||||||
John Deere Capital Corp. Senior Notes 1.30% due 10/13/2026 | 56,000 | 52,178 | |||||||||
439,890 |
274
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Otis Worldwide Corp. Senior Notes 2.57% due 02/15/2030 | $ | 635,000 | $ | 593,542 | |||||||
Medical Information Systems — 0.0% | |||||||||||
Minerva Merger Sub, Inc. Senior Notes 6.50% due 02/15/2030* | 50,000 | 48,620 | |||||||||
Medical Instruments — 0.2% | |||||||||||
Alcon Finance Corp. Company Guar. Notes 2.75% due 09/23/2026* | 535,000 | 518,712 | |||||||||
Alcon Finance Corp. Company Guar. Notes 3.00% due 09/23/2029* | 560,000 | 535,493 | |||||||||
Boston Scientific Corp. Senior Notes 1.90% due 06/01/2025 | 480,000 | 461,280 | |||||||||
1,515,485 | |||||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Roche Holdings, Inc. Company Guar. Notes 2.13% due 03/10/2025* | 239,000 | 234,529 | |||||||||
Medical Products — 0.3% | |||||||||||
Baxter International Inc Senior Notes 2.54% due 02/01/2032* | 2,880,000 | 2,630,248 | |||||||||
Medical-Biomedical/Gene — 0.1% | |||||||||||
Amgen, Inc. Senior Notes 2.80% due 08/15/2041 | 183,000 | 158,063 | |||||||||
Amgen, Inc. Senior Notes 3.35% due 02/22/2032 | 125,000 | 123,849 | |||||||||
Amgen, Inc. Senior Notes 4.20% due 02/22/2052 | 25,000 | 25,840 | |||||||||
Baxalta, Inc. Company Guar. Notes 3.60% due 06/23/2022 | 24,000 | 24,024 | |||||||||
Bio-Rad Laboratories, Inc. Senior Notes 3.30% due 03/15/2027 | 39,000 | 38,429 | |||||||||
Gilead Sciences, Inc. Senior Notes 3.70% due 04/01/2024 | 565,000 | 574,979 | |||||||||
945,184 | |||||||||||
Medical-Drugs — 0.8% | |||||||||||
AbbVie, Inc. Senior Notes 3.20% due 11/21/2029 | 1,080,000 | 1,066,398 | |||||||||
AbbVie, Inc. Senior Notes 4.05% due 11/21/2039 | 92,000 | 94,329 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Medical-Drugs (continued) | |||||||||||
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049 | $ | 114,000 | $ | 118,328 | |||||||
AbbVie, Inc. Senior Notes 4.63% due 10/01/2042 | 110,000 | 117,108 | |||||||||
Astrazeneca Finance LLC Company Guar. Notes 1.75% due 05/28/2028 | 1,490,000 | 1,375,510 | |||||||||
Bayer US Finance II LLC Company Guar. Notes 4.25% due 12/15/2025* | 860,000 | 875,550 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 0.75% due 11/13/2025 | 925,000 | 857,799 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 1.45% due 11/13/2030 | 735,000 | 642,415 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.55% due 11/13/2050 | 170,000 | 141,027 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 2.95% due 03/15/2032 | 255,000 | 249,473 | |||||||||
Bristol-Myers Squibb Co. Senior Notes 3.55% due 03/15/2042 | 1,180,000 | 1,166,815 | |||||||||
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023 | 67,000 | 67,991 | |||||||||
6,772,743 | |||||||||||
Medical-Generic Drugs — 0.0% | |||||||||||
Viatris, Inc. Company Guar. Notes 3.85% due 06/22/2040 | 79,000 | 68,266 | |||||||||
Viatris, Inc. Company Guar. Notes 4.00% due 06/22/2050 | 212,000 | 178,873 | |||||||||
247,139 | |||||||||||
Medical-HMO — 0.4% | |||||||||||
Centene Corp. Senior Notes 4.63% due 12/15/2029 | 870,000 | 880,440 | |||||||||
Humana, Inc. Senior Notes 1.35% due 02/03/2027 | 59,000 | 53,520 | |||||||||
Humana, Inc. Senior Notes 2.15% due 02/03/2032 | 390,000 | 341,761 | |||||||||
Humana, Inc. Senior Notes 3.70% due 03/23/2029 | 905,000 | 908,670 | |||||||||
UnitedHealth Group, Inc. Senior Notes 1.25% due 01/15/2026 | 132,000 | 124,351 |
275
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Medical-HMO (continued) | |||||||||||
UnitedHealth Group, Inc. Senior Notes 2.75% due 05/15/2040 | $ | 430,000 | $ | 386,511 | |||||||
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039 | 490,000 | 486,519 | |||||||||
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025 | 90,000 | 92,761 | |||||||||
3,274,533 | |||||||||||
Medical-Hospitals — 0.2% | |||||||||||
CHS/Community Health Systems, Inc. Senior Sec. Notes 5.63% due 03/15/2027* | 12,000 | 12,246 | |||||||||
CommonSpirit Health Senior Sec. Notes 3.35% due 10/01/2029 | 295,000 | 286,449 | |||||||||
HCA, Inc. Company Guar. Notes 3.50% due 09/01/2030 | 47,000 | 45,225 | |||||||||
HCA, Inc. Senior Sec. Notes 3.50% due 07/15/2051 | 130,000 | 112,101 | |||||||||
HCA, Inc. Senior Sec. Notes 3.63% due 03/15/2032* | 265,000 | 259,644 | |||||||||
HCA, Inc. Senior Sec. Bonds 4.63% due 03/15/2052* | 297,000 | 299,402 | |||||||||
Kaiser Foundation Hospitals Notes 2.81% due 06/01/2041 | 195,000 | 170,451 | |||||||||
Kaiser Foundation Hospitals Notes 3.00% due 06/01/2051 | 430,000 | 378,569 | |||||||||
LifePoint Health, Inc. Senior Sec. Notes 4.38% due 02/15/2027* | 23,000 | 22,253 | |||||||||
Select Medical Corp. Company Guar. Notes 6.25% due 08/15/2026* | 48,000 | 49,580 | |||||||||
Sutter Health Notes 3.36% due 08/15/2050 | 340,000 | 303,020 | |||||||||
Tenet Healthcare Corp. Senior Sec. Notes 4.63% due 07/15/2024 | 11,000 | 11,047 | |||||||||
1,949,987 | |||||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Cardinal Health, Inc. Senior Notes 4.60% due 03/15/2043 | 143,000 | 143,620 | |||||||||
Metal Processors & Fabrication — 0.0% | |||||||||||
Timken Co. Senior Notes 4.13% due 04/01/2032 | 32,000 | 31,796 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Motion Pictures & Services — 0.6% | |||||||||||
Magallanes, Inc. Company Guar. Notes 3.64% due 03/15/2025* | $ | 790,000 | $ | 794,928 | |||||||
Magallanes, Inc. Company Guar. Notes 4.28% due 03/15/2032* | 1,168,000 | 1,173,020 | |||||||||
Magallanes, Inc. Company Guar. Bonds 5.14% due 03/15/2052* | 2,965,000 | 3,034,217 | |||||||||
Magallanes, Inc. Company Guar. Bonds 5.39% due 03/15/2062* | 96,000 | 98,994 | |||||||||
5,101,159 | |||||||||||
Multimedia — 0.0% | |||||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 270,000 | 257,222 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Covanta Holding Corp. Company Guar. Notes 5.00% due 09/01/2030 | 48,000 | 45,480 | |||||||||
Non-Profit Charity — 0.0% | |||||||||||
Ford Foundation Notes 2.82% due 06/01/2070 | 85,000 | 70,065 | |||||||||
Office Automation & Equipment — 0.2% | |||||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 2.67% due 12/01/2026 | 230,000 | 216,412 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.25% due 02/15/2029 | 711,000 | 653,274 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.28% due 12/01/2028 | 215,000 | 202,508 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 3.57% due 12/01/2031 | 200,000 | 185,290 | |||||||||
CDW LLC/CDW Finance Corp. Company Guar. Notes 4.13% due 05/01/2025 | 405,000 | 407,126 | |||||||||
1,664,610 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Inc. Company Guar. Notes 7.38% due 05/15/2027* | 20,000 | 20,807 | |||||||||
Oil Companies-Exploration & Production — 0.3% | |||||||||||
Antero Resources Corp. Company Guar. Notes 5.38% due 03/01/2030* | 51,000 | 52,148 | |||||||||
Apache Corp. Senior Notes 4.38% due 10/15/2028 | 43,000 | 43,994 | |||||||||
Apache Corp. Senior Notes 5.35% due 07/01/2049 | 96,000 | 92,288 |
276
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
California Resources Corp. Company Guar. Notes 7.13% due 02/01/2026* | $ | 44,000 | $ | 45,728 | |||||||
Civitas Resources, Inc. Company Guar. Notes 5.00% due 10/15/2026* | 67,000 | 66,416 | |||||||||
ConocoPhillips Co. Company Guar. Notes 3.80% due 03/15/2052 | 120,000 | 122,033 | |||||||||
ConocoPhillips Co. Company Guar. Notes 4.03% due 03/15/2062* | 210,000 | 212,877 | |||||||||
Continental Resources, Inc. Company Guar. Notes 5.75% due 01/15/2031* | 275,000 | 300,795 | |||||||||
Crescent Energy Finance LLC Company Guar. Notes 7.25% due 05/01/2026* | 35,000 | 35,163 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 3.50% due 12/01/2029 | 224,000 | 221,832 | |||||||||
Diamondback Energy, Inc. Company Guar. Notes 4.40% due 03/24/2051 | 90,000 | 91,252 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. Senior Notes 5.75% due 01/30/2028* | 14,000 | 14,476 | |||||||||
Hess Corp. Senior Notes 6.00% due 01/15/2040 | 203,000 | 236,518 | |||||||||
Hess Corp. Senior Notes 7.13% due 03/15/2033 | 179,000 | 220,909 | |||||||||
Hess Corp. Senior Notes 7.30% due 08/15/2031 | 635,000 | 778,448 | |||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 6.00% due 02/01/2031* | 67,000 | 67,167 | |||||||||
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037 | 113,000 | 137,412 | |||||||||
Marathon Oil Corp. Senior Notes 6.80% due 03/15/2032 | 77,000 | 92,237 | |||||||||
Oasis Petroleum, Inc. Company Guar. Notes 6.38% due 06/01/2026* | 24,000 | 24,660 | |||||||||
Occidental Petroleum Corp. Senior Notes 3.50% due 08/15/2029 | 34,000 | 33,524 | |||||||||
Occidental Petroleum Corp. Senior Notes 6.38% due 09/01/2028 | 74,000 | 83,342 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Rockcliff Energy II LLC Senior Notes 5.50% due 10/15/2029* | $ | 21,000 | $ | 21,044 | |||||||
Southwestern Energy Co. Company Guar. Notes 5.38% due 02/01/2029 | 77,000 | 78,251 | |||||||||
3,072,514 | |||||||||||
Oil Companies-Integrated — 0.4% | |||||||||||
BP Capital Markets America, Inc. Company Guar. Notes 2.94% due 06/04/2051 | 865,000 | 737,138 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.00% due 02/24/2050 | 130,000 | 112,221 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.06% due 06/17/2041 | 180,000 | 161,458 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.38% due 02/08/2061 | 310,000 | 276,688 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.54% due 04/06/2027 | 298,000 | 301,804 | |||||||||
BP Capital Markets America, Inc. Company Guar. Notes 3.63% due 04/06/2030 | 830,000 | 844,616 | |||||||||
Chevron Corp. Senior Notes 1.55% due 05/11/2025 | 165,000 | 159,372 | |||||||||
Chevron USA, Inc. Company Guar. Notes 4.20% due 10/15/2049 | 60,000 | 64,602 | |||||||||
Exxon Mobil Corp. Senior Notes 4.23% due 03/19/2040 | 670,000 | 724,468 | |||||||||
Exxon Mobil Corp. Senior Notes 4.33% due 03/19/2050 | 90,000 | 100,288 | |||||||||
Murphy Oil Corp. Senior Notes 6.38% due 07/15/2028 | 27,000 | 28,114 | |||||||||
3,510,769 | |||||||||||
Oil Refining & Marketing — 0.1% | |||||||||||
Marathon Petroleum Corp. Senior Notes 4.70% due 05/01/2025 | 745,000 | 775,027 | |||||||||
PBF Holding Co. LLC/PBF Finance Corp. Company Guar. Notes 6.00% due 02/15/2028 | 41,000 | 32,945 | |||||||||
807,972 |
277
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. Company Guar. Notes 6.25% due 04/01/2028* | $ | 15,000 | $ | 14,784 | |||||||
Archrock Partners LP/Archrock Partners Finance Corp. Company Guar. Notes 6.88% due 04/01/2027* | 67,000 | 67,765 | |||||||||
Halliburton Co. Senior Notes 4.75% due 08/01/2043 | 59,000 | 61,823 | |||||||||
Halliburton Co. Senior Notes 4.85% due 11/15/2035 | 103,000 | 110,684 | |||||||||
Schlumberger Holdings Corp. Senior Notes 3.90% due 05/17/2028* | 63,000 | 63,755 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026 | 46,000 | 46,540 | |||||||||
365,351 | |||||||||||
Paper & Related Products — 0.0% | |||||||||||
Georgia-Pacific LLC Senior Notes 0.95% due 05/15/2026* | 395,000 | 360,871 | |||||||||
Glatfelter Corp. Company Guar. Notes 4.75% due 11/15/2029* | 21,000 | 17,798 | |||||||||
378,669 | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
Cigna Corp. Senior Notes 1.25% due 03/15/2026 | 1,585,000 | 1,481,519 | |||||||||
Cigna Corp. Senior Notes 3.40% due 03/15/2050 | 76,000 | 68,432 | |||||||||
CVS Health Corp. Senior Notes 4.78% due 03/25/2038 | 174,000 | 190,307 | |||||||||
CVS Health Corp. Senior Notes 5.13% due 07/20/2045 | 875,000 | 988,708 | |||||||||
2,728,966 | |||||||||||
Pipelines — 1.0% | |||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. Company Guar. Notes 5.75% due 01/15/2028* | 29,000 | 29,616 | |||||||||
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028* | 28,000 | 26,740 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
Cheniere Energy Partners LP Company Guar. Notes 3.25% due 01/31/2032* | $ | 54,000 | $ | 49,140 | |||||||
DCP Midstream Operating LP Company Guar. Notes 5.63% due 07/15/2027 | 42,000 | 44,032 | |||||||||
DT Midstream, Inc. Company Guar. Notes 4.13% due 06/15/2029* | 23,000 | 22,053 | |||||||||
DT Midstream, Inc. Senior Sec. Notes 4.30% due 04/15/2032* | 62,000 | 62,213 | |||||||||
DT Midstream, Inc. Company Guar. Notes 4.38% due 06/15/2031* | 18,000 | 17,235 | |||||||||
Energy Transfer LP Senior Notes 4.00% due 10/01/2027 | 90,000 | 90,665 | |||||||||
Energy Transfer LP Senior Notes 4.95% due 05/15/2028 | 97,000 | 100,625 | |||||||||
Energy Transfer LP Senior Notes 6.13% due 12/15/2045 | 1,327,000 | 1,463,986 | |||||||||
Energy Transfer Operating LP Senior Notes 4.90% due 03/15/2035 | 99,000 | 100,114 | |||||||||
Energy Transfer Operating LP Senior Notes 4.95% due 06/15/2028 | 510,000 | 534,820 | |||||||||
Energy Transfer Operating LP Senior Notes 6.00% due 06/15/2048 | 330,000 | 365,642 | |||||||||
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045 | 34,000 | 27,540 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.20% due 02/15/2052 | 51,000 | 43,009 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 3.30% due 02/15/2053 | 190,000 | 162,035 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.25% due 02/15/2048 | 230,000 | 230,849 | |||||||||
Enterprise Products Operating LLC Company Guar. Notes 4.95% due 10/15/2054 | 270,000 | 293,395 | |||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.50% due 10/01/2025 | 25,000 | 24,657 |
278
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Pipelines (continued) | |||||||||||
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 8.00% due 01/15/2027 | $ | 94,000 | $ | 96,139 | |||||||
Gray Oak Pipeline LLC Senior Notes 2.00% due 09/15/2023* | 69,000 | 68,013 | |||||||||
Gray Oak Pipeline LLC Senior Notes 3.45% due 10/15/2027* | 171,000 | 164,820 | |||||||||
Harvest Midstream I LP Senior Notes 7.50% due 09/01/2028* | 60,000 | 61,452 | |||||||||
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 5.00% due 02/01/2028* | 38,000 | 36,052 | |||||||||
Howard Midstream Energy Partners LLC Senior Notes 6.75% due 01/15/2027* | 47,000 | 46,060 | |||||||||
ITT Holdings LLC Senior Notes 6.50% due 08/01/2029* | 37,000 | 34,178 | |||||||||
MPLX LP Senior Notes 1.75% due 03/01/2026 | 290,000 | 272,070 | |||||||||
MPLX LP Senior Notes 4.95% due 03/14/2052 | 720,000 | 751,603 | |||||||||
MPLX LP Senior Notes 5.20% due 03/01/2047 | 115,000 | 123,370 | |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. Senior Sec. Notes 7.50% due 02/01/2026* | 44,000 | 43,282 | |||||||||
NGL Energy Partners LP/NGL Energy Finance Corp. Company Guar. Notes 6.13% due 03/01/2025 | 18,000 | 15,638 | |||||||||
NGPL PipeCo LLC Senior Notes 3.25% due 07/15/2031* | 405,000 | 378,179 | |||||||||
NuStar Logistics LP Company Guar. Notes 6.38% due 10/01/2030 | 27,000 | 27,366 | |||||||||
ONEOK Partners LP Company Guar. Notes 6.65% due 10/01/2036 | 160,000 | 183,054 | |||||||||
ONEOK, Inc. Company Guar. Notes 3.10% due 03/15/2030 | 490,000 | 459,308 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Pipelines (continued) | |||||||||||
ONEOK, Inc. Company Guar. Notes 4.55% due 07/15/2028 | $ | 185,000 | $ | 190,416 | |||||||
ONEOK, Inc. Company Guar. Notes 5.85% due 01/15/2026 | 230,000 | 247,468 | |||||||||
ONEOK, Inc. Company Guar. Notes 6.35% due 01/15/2031 | 107,000 | 123,758 | |||||||||
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 4.30% due 01/31/2043 | 46,000 | 40,767 | |||||||||
Plains All American Pipeline LP/PAA Finance Corp. Senior Notes 6.65% due 01/15/2037 | 60,000 | 68,082 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 4.50% due 05/15/2030 | 380,000 | 397,438 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.88% due 06/30/2026 | 405,000 | 438,318 | |||||||||
Targa Resources Corp. Company Guar. Notes 4.20% due 02/01/2033 | 348,000 | 351,494 | |||||||||
Targa Resources Corp. Company Guar. Notes 4.95% due 04/15/2052 | 50,000 | 50,915 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 4.88% due 02/01/2031 | 22,000 | 22,220 | |||||||||
Venture Global Calcasieu Pass LLC Senior Sec. Notes 3.88% due 08/15/2029* | 34,000 | 33,008 | |||||||||
Williams Cos., Inc. Senior Notes 3.50% due 10/15/2051 | 67,000 | 58,611 | |||||||||
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044 | 160,000 | 184,384 | |||||||||
8,655,829 | |||||||||||
Poultry — 0.0% | |||||||||||
Simmons Foods, Inc. Sec. Notes 4.63% due 03/01/2029* | 19,000 | 17,813 | |||||||||
Printing-Commercial — 0.0% | |||||||||||
Deluxe Corp. Company Guar. Notes 8.00% due 06/01/2029* | 32,000 | 32,502 | |||||||||
Protection/Safety — 0.0% | |||||||||||
APX Group, Inc. Company Guar. Notes 5.75% due 07/15/2029* | 4,000 | 3,660 |
279
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts — 0.8% | |||||||||||
Alexandria Real Estate Equities, Inc. Company Guar. Notes 2.95% due 03/15/2034 | $ | 31,000 | $ | 29,143 | |||||||
American Tower Corp. Senior Notes 1.45% due 09/15/2026 | 320,000 | 292,357 | |||||||||
American Tower Corp. Senior Notes 1.50% due 01/31/2028 | 120,000 | 106,222 | |||||||||
American Tower Corp. Senior Notes 2.40% due 03/15/2025 | 605,000 | 589,176 | |||||||||
American Tower Corp. Senior Notes 3.65% due 03/15/2027 | 520,000 | 519,938 | |||||||||
Apollo Commercial Real Estate Finance, Inc. Senior Sec. Notes 4.63% due 06/15/2029* | 40,000 | 36,300 | |||||||||
Corporate Office Properties LP Company Guar. Notes 2.90% due 12/01/2033 | 61,000 | 53,857 | |||||||||
EPR Properties Senior Notes 3.60% due 11/15/2031 | 361,000 | 327,330 | |||||||||
EPR Properties Senior Notes 3.75% due 08/15/2029 | 520,000 | 486,807 | |||||||||
EPR Properties Company Guar. Notes 4.95% due 04/15/2028 | 890,000 | 892,334 | |||||||||
Equinix, Inc. Senior Notes 2.00% due 05/15/2028 | 357,000 | 322,238 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 3.25% due 01/15/2032 | 420,000 | 381,066 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2030 | 315,000 | 305,742 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 4.00% due 01/15/2031 | 305,000 | 295,813 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.30% due 01/15/2029 | 575,000 | 604,078 | |||||||||
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.75% due 06/01/2028 | 185,000 | 199,111 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Real Estate Investment Trusts (continued) | |||||||||||
HAT Holdings I LLC/HAT Holdings II LLC Company Guar. Notes 3.38% due 06/15/2026* | $ | 70,000 | $ | 66,500 | |||||||
Hospitality Properties Trust Senior Notes 4.38% due 02/15/2030 | 55,000 | 45,658 | |||||||||
Host Hotels & Resorts LP Senior Notes 3.50% due 09/15/2030 | 154,000 | 146,852 | |||||||||
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. Company Guar. Notes 4.25% due 02/01/2027* | 48,000 | 46,001 | |||||||||
Lexington Realty Trust Company Guar. Notes 2.38% due 10/01/2031 | 43,000 | 38,147 | |||||||||
National Health Investors, Inc. Company Guar. Notes 3.00% due 02/01/2031 | 64,000 | 55,700 | |||||||||
Office Properties Income Trust Senior Notes 3.45% due 10/15/2031 | 61,000 | 52,562 | |||||||||
Omega Healthcare Investors, Inc. Company Guar. Notes 3.25% due 04/15/2033 | 173,000 | 150,900 | |||||||||
Omega Healthcare Investors, Inc. Company Guar. Notes 3.38% due 02/01/2031 | 90,000 | 82,459 | |||||||||
Realty Income Corp. Senior Notes 2.20% due 06/15/2028 | 45,000 | 41,590 | |||||||||
Realty Income Corp. Senior Notes 2.85% due 12/15/2032 | 50,000 | 47,125 | |||||||||
Realty Income Corp. Senior Notes 3.40% due 01/15/2028 | 165,000 | 164,811 | |||||||||
SBA Tower Trust Mtg. Notes 2.84% due 01/15/2025* | 550,000 | 541,426 | |||||||||
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025 | 50,000 | 50,624 | |||||||||
Vornado Realty LP Senior Notes 2.15% due 06/01/2026 | 54,000 | 50,534 | |||||||||
Weyerhaeuser Co. Senior Notes 4.00% due 03/09/2052 | 43,000 | 42,890 | |||||||||
7,065,291 | |||||||||||
Real Estate Management/Services — 0.0% | |||||||||||
Cushman & Wakefield US Borrower LLC Senior Sec. Notes 6.75% due 05/15/2028* | 21,000 | 21,945 |
280
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Recreational Vehicles — 0.0% | |||||||||||
Brunswick Corp. Senior Notes 2.40% due 08/18/2031 | $ | 106,000 | $ | 89,786 | |||||||
Recycling — 0.0% | |||||||||||
Harsco Corp. Company Guar. Notes 5.75% due 07/31/2027* | 31,000 | 30,014 | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023* | 50,000 | 46,375 | |||||||||
Ashtead Capital, Inc. Company Guar. Notes 4.38% due 08/15/2027* | 1,000,000 | 1,012,520 | |||||||||
Hertz Corp. Company Guar. Notes 5.00% due 12/01/2029* | 80,000 | 72,557 | |||||||||
PROG Holdings, Inc. Company Guar. Notes 6.00% due 11/15/2029* | 29,000 | 26,897 | |||||||||
Rent-A-Center, Inc. Company Guar. Notes 6.38% due 02/15/2029* | 40,000 | 36,635 | |||||||||
1,194,984 | |||||||||||
Resort/Theme Parks — 0.0% | |||||||||||
SeaWorld Parks & Entertainment, Inc. Company Guar. Notes 5.25% due 08/15/2029* | 90,000 | 85,837 | |||||||||
Retail-Apparel/Shoe — 0.0% | |||||||||||
Gap, Inc. Company Guar. Notes 3.63% due 10/01/2029* | 65,000 | 57,652 | |||||||||
Retail-Auto Parts — 0.0% | |||||||||||
Genuine Parts Co. Senior Notes 1.75% due 02/01/2025 | 39,000 | 37,279 | |||||||||
Retail-Automobile — 0.0% | |||||||||||
Asbury Automotive Group, Inc. Company Guar. Notes 4.63% due 11/15/2029* | 51,000 | 47,708 | |||||||||
Carvana Co. Company Guar. Notes 5.50% due 04/15/2027* | 66,000 | 58,905 | |||||||||
Ken Garff Automotive LLC Senior Notes 4.88% due 09/15/2028* | 33,000 | 31,020 | |||||||||
137,633 | |||||||||||
Retail-Building Products — 0.1% | |||||||||||
Home Depot, Inc. Senior Bonds 3.30% due 04/15/2040 | 880,000 | 848,382 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.35% due 04/01/2027 | 170,000 | 171,159 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Retail-Building Products (continued) | |||||||||||
Lowe's Cos., Inc. Senior Notes 3.75% due 04/01/2032 | $ | 115,000 | $ | 116,333 | |||||||
Lowe's Cos., Inc. Senior Bonds 4.45% due 04/01/2062 | 63,000 | 65,023 | |||||||||
Park River Holdings, Inc. Senior Notes 6.75% due 08/01/2029* | 30,000 | 25,036 | |||||||||
1,225,933 | |||||||||||
Retail-Discount — 0.0% | |||||||||||
Target Corp. Senior Notes 1.95% due 01/15/2027 | 94,000 | 90,913 | |||||||||
Retail-Major Department Stores — 0.0% | |||||||||||
Nordstrom, Inc. Senior Notes 2.30% due 04/08/2024 | 45,000 | 44,366 | |||||||||
Nordstrom, Inc. Senior Notes 5.00% due 01/15/2044 | 53,000 | 47,456 | |||||||||
91,822 | |||||||||||
Retail-Pawn Shops — 0.0% | |||||||||||
FirstCash, Inc. Company Guar. Notes 4.63% due 09/01/2028* | 331,000 | 308,244 | |||||||||
FirstCash, Inc. Company Guar. Notes 5.63% due 01/01/2030* | 8,000 | 7,706 | |||||||||
315,950 | |||||||||||
Retail-Petroleum Products — 0.0% | |||||||||||
Murphy Oil USA, Inc. Company Guar. Notes 3.75% due 02/15/2031* | 15,000 | 13,688 | |||||||||
Murphy Oil USA, Inc. Company Guar. Notes 4.75% due 09/15/2029 | 21,000 | 20,823 | |||||||||
34,511 | |||||||||||
Retail-Propane Distribution — 0.0% | |||||||||||
Ferrellgas Escrow LLC/FG Operating Finance Escrow Corp. Senior Notes 5.38% due 04/01/2026* | 80,000 | 75,974 | |||||||||
Retail-Regional Department Stores — 0.0% | |||||||||||
Kohl's Corp. Senior Notes 5.55% due 07/17/2045 | 228,000 | 225,235 | |||||||||
Retail-Restaurants — 0.1% | |||||||||||
Carrols Restaurant Group, Inc. Company Guar. Notes 5.88% due 07/01/2029* | 39,000 | 31,785 | |||||||||
CEC Entertainment LLC Senior Sec. Notes 6.75% due 05/01/2026* | 30,000 | 28,650 |
281
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Retail-Restaurants (continued) | |||||||||||
Dave & Buster's, Inc. Senior Sec. Notes 7.63% due 11/01/2025* | $ | 22,000 | $ | 23,147 | |||||||
McDonald's Corp. Senior Notes 3.63% due 09/01/2049 | 820,000 | 784,694 | |||||||||
McDonald's Corp. Senior Notes 4.20% due 04/01/2050 | 150,000 | 156,502 | |||||||||
1,024,778 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026 | 26,000 | 26,899 | |||||||||
Savings & Loans/Thrifts — 0.0% | |||||||||||
New York Community Bancorp, Inc. Sub. Notes 5.90% due 11/06/2028 | 246,000 | 255,967 | |||||||||
Schools — 0.1% | |||||||||||
Howard University Notes 2.29% due 10/01/2026 | 100,000 | 93,313 | |||||||||
Howard University Notes 2.70% due 10/01/2029 | 250,000 | 233,014 | |||||||||
Howard University Notes 2.80% due 10/01/2030 | 100,000 | 93,895 | |||||||||
Howard University Notes 2.90% due 10/01/2031 | 100,000 | 92,574 | |||||||||
Howard University Notes 3.48% due 10/01/2041 | 95,000 | 85,209 | |||||||||
598,005 | |||||||||||
Security Services — 0.0% | |||||||||||
Brink's Co. Company Guar. Notes 4.63% due 10/15/2027* | 16,000 | 15,561 | |||||||||
Brink's Co. Company Guar. Notes 5.50% due 07/15/2025* | 29,000 | 29,227 | |||||||||
44,788 | |||||||||||
Steel-Producers — 0.0% | |||||||||||
Cliffs Natural Resources, Inc. Senior Notes 6.25% due 10/01/2040 | 49,000 | 48,395 | |||||||||
Nucor Corp. Senior Notes 3.13% due 04/01/2032 | 36,000 | 34,737 | |||||||||
83,132 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Steel-Specialty — 0.0% | |||||||||||
Allegheny Technologies, Inc. Senior Notes 4.88% due 10/01/2029 | $ | 16,000 | $ | 15,163 | |||||||
Telecom Equipment-Fiber Optics — 0.0% | |||||||||||
Corning, Inc. Senior Notes 5.45% due 11/15/2079 | 155,000 | 171,205 | |||||||||
Telephone-Integrated — 0.7% | |||||||||||
AT&T, Inc. Senior Notes 3.50% due 02/01/2061 | 1,835,000 | 1,542,080 | |||||||||
AT&T, Inc. Senior Notes 3.65% due 09/15/2059 | 1,232,000 | 1,074,957 | |||||||||
AT&T, Inc. Senior Notes 3.80% due 12/01/2057 | 617,000 | 562,574 | |||||||||
AT&T, Inc. Senior Notes 3.85% due 06/01/2060 | 34,000 | 30,415 | |||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 305,000 | 322,215 | |||||||||
AT&T, Inc. Senior Notes 4.50% due 05/15/2035 | 253,000 | 267,692 | |||||||||
AT&T, Inc. Senior Notes 4.85% due 07/15/2045 | 97,000 | 103,218 | |||||||||
AT&T, Inc. Senior Notes 4.90% due 08/15/2037 | 289,000 | 318,315 | |||||||||
CenturyLink, Inc. Senior Notes 5.13% due 12/15/2026* | 5,000 | 4,766 | |||||||||
Lumen Technologies, Inc. Senior Notes 5.38% due 06/15/2029* | 39,000 | 34,658 | |||||||||
Verizon Communications, Inc. Senior Bonds 2.85% due 09/03/2041 | 247,000 | 217,649 | |||||||||
Verizon Communications, Inc. Senior Notes 2.99% due 10/30/2056 | 460,000 | 378,374 | |||||||||
Verizon Communications, Inc. Senior Notes 3.00% due 11/20/2060 | 64,000 | 52,155 | |||||||||
Verizon Communications, Inc. Senior Notes 3.40% due 03/22/2041 | 315,000 | 295,579 | |||||||||
Verizon Communications, Inc. Senior Notes 3.55% due 03/22/2051 | 185,000 | 174,227 | |||||||||
Verizon Communications, Inc. Senior Notes 3.85% due 11/01/2042 | 190,000 | 189,469 |
282
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Telephone-Integrated (continued) | |||||||||||
Verizon Communications, Inc. Senior Notes 3.88% due 03/01/2052 | $ | 64,000 | $ | 64,361 | |||||||
Verizon Communications, Inc. Senior Notes 4.00% due 03/22/2050 | 75,000 | 75,687 | |||||||||
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034 | 78,000 | 83,001 | |||||||||
Zayo Group Holdings, Inc. Senior Notes 6.13% due 03/01/2028* | 20,000 | 17,900 | |||||||||
5,809,292 | |||||||||||
Television — 0.0% | |||||||||||
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027 | 52,000 | 59,280 | |||||||||
Gray Television, Inc. Company Guar. Notes 4.75% due 10/15/2030* | 19,000 | 17,694 | |||||||||
76,974 | |||||||||||
Theaters — 0.0% | |||||||||||
AMC Entertainment Holdings, Inc. Sec. Notes 10.00% due 06/15/2026* | 40,000 | 36,028 | |||||||||
Tobacco — 0.4% | |||||||||||
BAT Capital Corp. Company Guar. Notes 2.26% due 03/25/2028 | 360,000 | 323,598 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.73% due 03/25/2031 | 305,000 | 268,834 | |||||||||
BAT Capital Corp. Company Guar. Notes 2.79% due 09/06/2024 | 1,730,000 | 1,708,780 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.74% due 03/16/2032 | 645,000 | 648,904 | |||||||||
BAT Capital Corp. Company Guar. Notes 4.76% due 09/06/2049 | 50,000 | 45,972 | |||||||||
BAT Capital Corp. Company Guar. Notes 5.65% due 03/16/2052 | 300,000 | 304,201 | |||||||||
3,300,289 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. Senior Notes 2.30% due 02/24/2025 | 116,000 | 113,979 | |||||||||
Stanley Black & Decker, Inc. Senior Notes 3.00% due 05/15/2032 | 87,000 | 84,069 | |||||||||
198,048 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Transactional Software — 0.2% | |||||||||||
Black Knight InfoServ LLC Company Guar. Notes 3.63% due 09/01/2028* | $ | 1,523,000 | $ | 1,439,235 | |||||||
Transport-Air Freight — 0.0% | |||||||||||
Cargo Aircraft Management, Inc. Company Guar. Notes 4.75% due 02/01/2028* | 81,000 | 79,062 | |||||||||
Transport-Equipment & Leasing — 0.1% | |||||||||||
DAE Funding LLC Company Guar. Notes 1.55% due 08/01/2024* | 845,000 | 798,789 | |||||||||
GATX Corp. Senior Notes 4.35% due 02/15/2024 | 170,000 | 173,806 | |||||||||
972,595 | |||||||||||
Transport-Rail — 0.2% | |||||||||||
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048 | 59,000 | 65,087 | |||||||||
Norfolk Southern Corp. Senior Notes 3.70% due 03/15/2053 | 72,000 | 71,126 | |||||||||
Norfolk Southern Corp. Senior Notes 4.10% due 05/15/2049 | 83,000 | 86,227 | |||||||||
Union Pacific Corp. Senior Notes 2.38% due 05/20/2031 | 1,095,000 | 1,024,697 | |||||||||
Union Pacific Corp. Senior Notes 2.80% due 02/14/2032 | 340,000 | 326,493 | |||||||||
Union Pacific Corp. Senior Notes 2.97% due 09/16/2062 | 35,000 | 29,596 | |||||||||
Union Pacific Corp. Senior Notes 3.84% due 03/20/2060 | 80,000 | 80,227 | |||||||||
1,683,453 | |||||||||||
Transport-Services — 0.0% | |||||||||||
FedEx Corp. Pass Through Trust Senior Sec. Notes Series 2020-1, Class AA 1.88% due 08/20/2035 | 132,450 | 120,730 | |||||||||
United Parcel Service, Inc. Senior Notes 3.90% due 04/01/2025 | 74,000 | 76,460 | |||||||||
197,190 | |||||||||||
Trucking/Leasing — 0.2% | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 2.70% due 11/01/2024* | 845,000 | 832,954 | |||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 3.40% due 11/15/2026* | 148,000 | 147,522 |
283
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Trucking/Leasing (continued) | |||||||||||
Penske Truck Leasing Co. LP/ PTL Finance Corp. Senior Notes 4.00% due 07/15/2025* | $ | 685,000 | $ | 692,443 | |||||||
1,672,919 | |||||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
HLF Financing Sarl LLC/ Herbalife International, Inc. Company Guar. Notes 4.88% due 06/01/2029* | 35,000 | 30,701 | |||||||||
Water — 0.0% | |||||||||||
American Water Capital Corp. Senior Notes 4.15% due 06/01/2049 | 230,000 | 238,316 | |||||||||
Essential Utilities, Inc. Senior Bonds 3.35% due 04/15/2050 | 64,000 | 56,883 | |||||||||
295,199 | |||||||||||
Total U.S. Corporate Bonds & Notes (cost $254,208,634) | 243,083,304 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 5.0% | |||||||||||
Agricultural Operations — 0.1% | |||||||||||
Kernel Holding SA Senior Notes 6.50% due 10/17/2024 | 540,000 | 273,575 | |||||||||
Airport Development/Maintenance — 0.1% | |||||||||||
International Airport Finance SA Senior Sec. Notes 12.00% due 03/15/2033* | 938,822 | 970,507 | |||||||||
Auto-Cars/Light Trucks — 0.0% | |||||||||||
Kia Corp. Senior Notes 1.00% due 04/16/2024* | 99,000 | 94,624 | |||||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Aptiv PLC/Aptiv Corp. Company Guar. Notes 3.25% due 03/01/2032 | 42,000 | 39,814 | |||||||||
Banks-Commercial — 0.4% | |||||||||||
Bangkok Bank PCL Sub. Notes 3.47% due 09/23/2036* | 775,000 | 697,619 | |||||||||
Bank of Montreal Senior Notes 1.50% due 01/10/2025 | 198,000 | 189,884 | |||||||||
BPCE SA Sub. Bonds 3.58% due 10/19/2042* | 250,000 | 216,701 | |||||||||
Canadian Imperial Bank of Commerce Senior Notes 0.50% due 12/14/2023 | 100,000 | 96,625 | |||||||||
Canadian Imperial Bank of Commerce Senior Notes 0.95% due 10/23/2025 | 71,000 | 65,404 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Banks-Commercial (continued) | |||||||||||
Canadian Imperial Bank of Commerce Senior Notes 2.25% due 01/28/2025 | $ | 174,000 | $ | 170,121 | |||||||
Canadian Imperial Bank of Commerce Senior Notes 3.30% due 04/07/2025 | 159,000 | 158,929 | |||||||||
Cooperatieve Rabobank UA Senior Notes 1.00% due 09/24/2026* | 286,000 | 263,653 | |||||||||
Danske Bank A/S Senior Notes 0.98% due 09/10/2025* | 200,000 | 187,596 | |||||||||
ING Groep NV Senior Notes 1.40% due 07/01/2026* | 261,000 | 241,754 | |||||||||
Intesa Sanpaolo SpA Sub. Notes 4.95% due 06/01/2042* | 215,000 | 184,098 | |||||||||
National Bank of Canada Company Guar. Notes 0.55% due 11/15/2024 | 250,000 | 240,677 | |||||||||
Royal Bank of Canada Senior Notes 2.30% due 11/03/2031 | 81,000 | 73,705 | |||||||||
Sumitomo Mitsui Trust Bank, Ltd. Senior Notes 0.85% due 03/25/2024* | 339,000 | 325,062 | |||||||||
Swedbank AB Senior Notes 1.54% due 11/16/2026* | 254,000 | 235,830 | |||||||||
Toronto-Dominion Bank Senior Notes 1.25% due 12/13/2024 | 130,000 | 125,031 | |||||||||
3,472,689 | |||||||||||
Banks-Special Purpose — 0.0% | |||||||||||
Development Bank of Japan, Inc. Senior Notes 1.75% due 02/18/2025* | 268,000 | 260,670 | |||||||||
Building-Residential/Commercial — 0.0% | |||||||||||
Mattamy Group Corp. Senior Notes 5.25% due 12/15/2027* | 20,000 | 19,825 | |||||||||
Cable/Satellite TV — 0.0% | |||||||||||
Altice Financing SA Senior Sec. Notes 5.00% due 01/15/2028* | 200,000 | 179,270 | |||||||||
Comcast Corp. Company Guar. Notes 4.15% due 10/15/2028 | 75,000 | 78,885 | |||||||||
258,155 |
284
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Melco Resorts Finance, Ltd. Senior Notes 5.38% due 12/04/2029* | $ | 17,000 | $ | 14,408 | |||||||
Wynn Macau, Ltd. Senior Notes 5.13% due 12/15/2029* | 200,000 | 169,500 | |||||||||
183,908 | |||||||||||
Cellular Telecom — 0.2% | |||||||||||
Altice France SA Senior Sec. Notes 5.50% due 10/15/2029* | 200,000 | 179,456 | |||||||||
Empresa Nacional de Telecomunicaciones SA Senior Notes 3.05% due 09/14/2032* | 150,000 | 136,163 | |||||||||
Rogers Communications, Inc. Company Guar. Notes 3.80% due 03/15/2032* | 230,000 | 227,860 | |||||||||
Rogers Communications, Inc. Company Guar. Notes 4.55% due 03/15/2052* | 615,000 | 614,377 | |||||||||
Telefonica Celular del Paraguay SA Senior Notes 5.88% due 04/15/2027* | 735,000 | 744,187 | |||||||||
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048 | 39,000 | 43,655 | |||||||||
1,945,698 | |||||||||||
Chemicals-Diversified — 0.0% | |||||||||||
Braskem Netherlands Finance BV Company Guar. Notes 4.50% due 01/31/2030* | 202,000 | 195,493 | |||||||||
Trinseo Materials Operating SCA/ Trinseo Materials Finance, Inc. Company Guar. Notes 5.13% due 04/01/2029* | 16,000 | 14,764 | |||||||||
210,257 | |||||||||||
Chemicals-Specialty — 0.0% | |||||||||||
Methanex Corp. Senior Notes 5.13% due 10/15/2027 | 27,000 | 27,168 | |||||||||
Coffee — 0.0% | |||||||||||
JDE Peet's NV Company Guar. Notes 2.25% due 09/24/2031* | 150,000 | 130,433 | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Paysafe Finance PLC/ Paysafe Holdings US Corp. Senior Sec. Notes 4.00% due 06/15/2029* | 30,000 | 25,538 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Cruise Lines — 0.1% | |||||||||||
Carnival Corp. Senior Notes 5.75% due 03/01/2027* | $ | 95,000 | $ | 90,504 | |||||||
NCL Corp., Ltd. Senior Notes 3.63% due 12/15/2024* | 105,000 | 99,657 | |||||||||
Royal Caribbean Cruises, Ltd. Senior Notes 4.25% due 07/01/2026* | 93,000 | 86,490 | |||||||||
276,651 | |||||||||||
Diversified Banking Institutions — 1.1% | |||||||||||
Bank of Nova Scotia Senior Notes 0.40% due 09/15/2023 | 97,000 | 94,288 | |||||||||
Barclays PLC Sub. Notes 3.56% due 09/23/2035 | 408,000 | 375,830 | |||||||||
BNP Paribas SA Senior Notes 1.32% due 01/13/2027* | 370,000 | 337,309 | |||||||||
BNP Paribas SA Senior Notes 1.68% due 06/30/2027* | 200,000 | 183,125 | |||||||||
BNP Paribas SA Senior Notes 2.16% due 09/15/2029* | 235,000 | 209,476 | |||||||||
BNP Paribas SA Senior Notes 2.22% due 06/09/2026* | 705,000 | 671,183 | |||||||||
BNP Paribas SA Senior Notes 2.87% due 04/19/2032* | 223,000 | 202,847 | |||||||||
Deutsche Bank AG Senior Notes 2.22% due 09/18/2024 | 150,000 | 146,797 | |||||||||
Deutsche Bank AG Sub. Notes 3.74% due 01/07/2033 | 200,000 | 176,778 | |||||||||
Deutsche Bank AG/ New York NY Senior Notes 2.31% due 11/16/2027 | 905,000 | 830,525 | |||||||||
HSBC Holdings PLC Senior Notes 1.59% due 05/24/2027 | 785,000 | 717,410 | |||||||||
HSBC Holdings PLC Senior Notes 2.21% due 08/17/2029 | 200,000 | 180,237 | |||||||||
HSBC Holdings PLC Senior Notes 2.25% due 11/22/2027 | 200,000 | 186,612 | |||||||||
HSBC Holdings PLC Senior Notes 4.29% due 09/12/2026 | 200,000 | 202,829 | |||||||||
HSBC Holdings PLC VRS Senior Notes 4.58% due 06/19/2029(4) | 1,725,000 | 1,777,984 |
285
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
HSBC Holdings PLC Sub. Notes 4.76% due 03/29/2033 | $ | 1,950,000 | $ | 2,002,818 | |||||||
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.19% due 02/25/2025 | 206,000 | 199,375 | |||||||||
Mizuho Financial Group, Inc. Senior Notes 2.56% due 09/13/2025 | 332,000 | 325,471 | |||||||||
Natwest Group PLC Sub. Notes 3.03% due 11/28/2035 | 200,000 | 177,461 | |||||||||
UBS Group AG Senior Notes 1.49% due 08/10/2027* | 200,000 | 181,785 | |||||||||
UniCredit SpA Senior Notes 3.13% due 06/03/2032* | 200,000 | 175,860 | |||||||||
UniCredit SpA Sub. Bonds 5.46% due 06/30/2035* | 340,000 | 324,924 | |||||||||
9,680,924 | |||||||||||
Diversified Financial Services — 0.1% | |||||||||||
Power Finance Corp., Ltd. Senior Notes 3.95% due 04/23/2030* | 975,000 | 930,111 | |||||||||
Diversified Manufacturing Operations — 0.0% | |||||||||||
Trane Technologies Luxembourg Finance SA Company Guar. Notes 4.50% due 03/21/2049 | 175,000 | 186,316 | |||||||||
Diversified Minerals — 0.0% | |||||||||||
FMG Resources August 2006 Pty., Ltd. Company Guar. Notes 4.50% due 09/15/2027* | 27,000 | 26,302 | |||||||||
Teck Resources, Ltd. Senior Notes 6.25% due 07/15/2041 | 96,000 | 114,795 | |||||||||
141,097 | |||||||||||
E-Commerce/Products — 0.1% | |||||||||||
Alibaba Group Holding, Ltd. Senior Notes 3.40% due 12/06/2027 | 465,000 | 457,008 | |||||||||
Electric-Generation — 0.0% | |||||||||||
Colbun SA Senior Notes 3.15% due 01/19/2032* | 200,000 | 182,000 | |||||||||
Electric-Integrated — 0.1% | |||||||||||
Enel Finance International NV Company Guar. Notes 1.38% due 07/12/2026* | 775,000 | 711,874 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Electronic Components-Semiconductors — 0.0% | |||||||||||
NXP BV/NXP Funding LLC/ NXP USA, Inc. Company Guar. Notes 3.15% due 05/01/2027* | $ | 105,000 | $ | 102,034 | |||||||
NXP BV/NXP Funding LLC/ NXP USA, Inc. Company Guar. Notes 4.30% due 06/18/2029* | 49,000 | 50,588 | |||||||||
152,622 | |||||||||||
Electronic Connectors — 0.0% | |||||||||||
Tyco Electronics Group SA Company Guar. Notes 2.50% due 02/04/2032 | 65,000 | 60,780 | |||||||||
Energy-Alternate Sources — 0.1% | |||||||||||
Energo-Pro AS Senior Notes 8.50% due 02/04/2027* | 580,000 | 545,200 | |||||||||
FS Luxembourg Sarl Senior Sec. Notes 10.00% due 12/15/2025* | 200,000 | 209,618 | |||||||||
Investment Energy Resources, Ltd. Senior Sec. Notes 6.25% due 04/26/2029* | 200,000 | 202,002 | |||||||||
956,820 | |||||||||||
Finance-Consumer Loans — 0.0% | |||||||||||
goeasy, Ltd. Company Guar. Notes 4.38% due 05/01/2026* | 13,000 | 12,253 | |||||||||
Finance-Leasing Companies — 0.1% | |||||||||||
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust Company Guar. Notes 2.45% due 10/29/2026 | 150,000 | 138,709 | |||||||||
AerCap Ireland Capital DAC/ AerCap Global Aviation Trust Company Guar. Notes 3.30% due 01/30/2032 | 1,065,000 | 960,198 | |||||||||
1,098,907 | |||||||||||
Food-Meat Products — 0.1% | |||||||||||
JBS Finance Luxembourg SARL Company Guar. Notes 2.50% due 01/15/2027* | 800,000 | 743,008 | |||||||||
Gold Mining — 0.1% | |||||||||||
AngloGold Ashanti Holdings PLC Company Guar. Notes 3.38% due 11/01/2028 | 200,000 | 187,940 | |||||||||
AngloGold Ashanti Holdings PLC Company Guar. Notes 3.75% due 10/01/2030 | 208,000 | 194,584 | |||||||||
382,524 |
286
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Athene Holding, Ltd. Senior Notes 3.45% due 05/15/2052 | $ | 31,000 | $ | 26,161 | |||||||
Insurance-Property/Casualty — 0.0% | |||||||||||
Enstar Group, Ltd. Senior Notes 3.10% due 09/01/2031 | 65,000 | 58,144 | |||||||||
Enstar Group, Ltd. Senior Notes 4.95% due 06/01/2029 | 205,000 | 212,825 | |||||||||
270,969 | |||||||||||
Internet Financial Services — 0.0% | |||||||||||
ION Trading Technologies SARL Senior Sec. Notes 5.75% due 05/15/2028* | 200,000 | 192,750 | |||||||||
Machinery-Construction & Mining — 0.1% | |||||||||||
Weir Group PLC Senior Notes 2.20% due 05/13/2026* | 290,000 | 271,181 | |||||||||
Machinery-Pumps — 0.0% | |||||||||||
nVent Finance SARL Company Guar. Notes 2.75% due 11/15/2031 | 94,000 | 84,513 | |||||||||
Medical Products — 0.0% | |||||||||||
STERIS PLC Company Guar. Notes 3.75% due 03/15/2051 | 154,000 | 143,183 | |||||||||
Medical-Biomedical/Gene — 0.2% | |||||||||||
Royalty Pharma PLC Company Guar. Notes 2.15% due 09/02/2031 | 1,009,000 | 867,981 | |||||||||
Royalty Pharma PLC Company Guar. Notes 2.20% due 09/02/2030 | 840,000 | 734,507 | |||||||||
1,602,488 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
AstraZeneca PLC Senior Notes 6.45% due 09/15/2037 | 315,000 | 418,447 | |||||||||
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026 | 109,000 | 109,328 | |||||||||
Takeda Pharmaceutical Co., Ltd. Senior Notes 3.03% due 07/09/2040 | 345,000 | 307,580 | |||||||||
835,355 | |||||||||||
Metal-Copper — 0.0% | |||||||||||
Hudbay Minerals, Inc. Company Guar. Notes 6.13% due 04/01/2029* | 26,000 | 26,780 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Metal-Iron — 0.1% | |||||||||||
Mineral Resources, Ltd. Senior Notes 8.13% due 05/01/2027* | $ | 26,000 | $ | 26,877 | |||||||
Vale Overseas, Ltd. Company Guar. Notes 3.75% due 07/08/2030 | 565,000 | 544,118 | |||||||||
Vale Overseas, Ltd. Company Guar. Notes 6.25% due 08/10/2026 | 265,000 | 291,884 | |||||||||
862,879 | |||||||||||
Networking Products — 0.1% | |||||||||||
Nokia Oyj Senior Notes 4.38% due 06/12/2027 | 725,000 | 735,418 | |||||||||
Non-Hazardous Waste Disposal — 0.0% | |||||||||||
Waste Connections, Inc. Senior Notes 2.20% due 01/15/2032 | 40,000 | 35,747 | |||||||||
Waste Connections, Inc. Senior Bonds 2.95% due 01/15/2052 | 50,000 | 42,583 | |||||||||
78,330 | |||||||||||
Oil & Gas Drilling — 0.0% | |||||||||||
Nabors Industries, Ltd. Company Guar. Notes 7.25% due 01/15/2026* | 21,000 | 21,000 | |||||||||
Oil Companies-Exploration & Production — 0.4% | |||||||||||
EnCana Corp. Company Guar. Notes 6.63% due 08/15/2037 | 630,000 | 745,625 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.50% due 03/30/2024* | 175,000 | 172,856 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 4.88% due 03/30/2026* | 150,000 | 144,750 | |||||||||
Energean Israel Finance, Ltd. Senior Sec. Notes 5.88% due 03/30/2031* | 175,000 | 166,644 | |||||||||
EQT Corp. Senior Notes 3.63% due 05/15/2031* | 209,000 | 199,072 | |||||||||
Leviathan Bond, Ltd. Senior Sec. Notes 6.50% due 06/30/2027* | 460,000 | 470,657 | |||||||||
Lundin Energy Finance BV Company Guar. Notes 2.00% due 07/15/2026* | 310,000 | 289,056 | |||||||||
Lundin Energy Finance BV Company Guar. Notes 3.10% due 07/15/2031* | 1,000,000 | 926,215 | |||||||||
Santos Finance, Ltd. Company Guar. Notes 3.65% due 04/29/2031* | 105,000 | 98,380 | |||||||||
Strathcona Resources, Ltd. Senior Notes 6.88% due 08/01/2026* | 85,000 | 85,638 |
287
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Oil Companies-Exploration & Production (continued) | |||||||||||
Tullow Oil PLC Company Guar. Notes 7.00% due 03/01/2025* | $ | 540,000 | $ | 445,500 | |||||||
3,744,393 | |||||||||||
Oil Companies-Integrated — 0.3% | |||||||||||
Ecopetrol SA Senior Notes 4.63% due 11/02/2031 | 1,545,000 | 1,403,401 | |||||||||
Equinor ASA Company Guar. Notes 1.75% due 01/22/2026 | 595,000 | 570,411 | |||||||||
Petro-Canada Senior Notes 5.95% due 05/15/2035 | 58,000 | 67,738 | |||||||||
Shell International Finance BV Company Guar. Notes 2.88% due 11/26/2041 | 195,000 | 175,251 | |||||||||
Shell International Finance BV Company Guar. Notes 3.00% due 11/26/2051 | 245,000 | 219,153 | |||||||||
Shell International Finance BV Company Guar. Notes 3.25% due 04/06/2050 | 500,000 | 468,919 | |||||||||
2,904,873 | |||||||||||
Oil-Field Services — 0.0% | |||||||||||
Weatherford International, Ltd. Senior Sec. Notes 6.50% due 09/15/2028* | 16,000 | 16,480 | |||||||||
Paper & Related Products — 0.1% | |||||||||||
Inversiones CMPC SA Company Guar. Notes 3.00% due 04/06/2031* | 200,000 | 180,252 | |||||||||
Suzano Austria GmbH Company Guar. Notes 2.50% due 09/15/2028 | 66,000 | 59,555 | |||||||||
Suzano Austria GmbH Company Guar. Notes 3.13% due 01/15/2032 | 74,000 | 65,518 | |||||||||
Suzano Austria GmbH Company Guar. Notes 3.75% due 01/15/2031 | 118,000 | 111,097 | |||||||||
416,422 | |||||||||||
Pipelines — 0.2% | |||||||||||
Galaxy Pipeline Assets Bidco, Ltd. Senior Sec. Notes 2.16% due 03/31/2034* | 677,406 | 623,111 | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. Senior Sec. Notes 2.63% due 03/31/2036* | 1,140,000 | 1,021,879 | |||||||||
Galaxy Pipeline Assets Bidco, Ltd. Senior Sec. Notes 2.94% due 09/30/2040* | 393,044 | 354,397 | |||||||||
1,999,387 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Rental Auto/Equipment — 0.1% | |||||||||||
Triton Container International, Ltd. Company Guar. Notes 2.05% due 04/15/2026* | $ | 216,000 | $ | 201,676 | |||||||
Triton Container International, Ltd. Company Guar. Notes 3.15% due 06/15/2031* | 206,000 | 188,369 | |||||||||
Triton Container International, Ltd./ TAL International Container Corp. Company Guar. Notes 3.25% due 03/15/2032 | 61,000 | 56,189 | |||||||||
446,234 | |||||||||||
Satellite Telecom — 0.0% | |||||||||||
Telesat Canada/Telesat LLC Senior Sec. Notes 4.88% due 06/01/2027* | 14,000 | 10,220 | |||||||||
Telesat Canada/Telesat LLC Company Guar. Notes 6.50% due 10/15/2027* | 18,000 | 8,969 | |||||||||
19,189 | |||||||||||
Security Services — 0.0% | |||||||||||
Garda World Security Corp. Senior Notes 6.00% due 06/01/2029* | 68,000 | 61,267 | |||||||||
Semiconductor Components-Integrated Circuits — 0.3% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.63% due 06/01/2023* | 695,000 | 706,076 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.88% due 03/01/2024* | 1,362,000 | 1,401,827 | |||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 5.55% due 12/01/2028* | 275,000 | 302,630 | |||||||||
TSMC Global, Ltd. Company Guar. Notes 0.75% due 09/28/2025* | 200,000 | 185,461 | |||||||||
2,595,994 | |||||||||||
SupraNational Banks — 0.1% | |||||||||||
African Development Bank Senior Notes 0.75% due 04/03/2023 | 121,000 | 119,619 | |||||||||
Asian Infrastructure Investment Bank Senior Notes 0.50% due 10/30/2024 | 189,000 | 179,005 | |||||||||
European Bank for Reconstruction & Development Senior Notes 1.50% due 02/13/2025 | 193,000 | 187,339 |
288
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
SupraNational Banks (continued) | |||||||||||
Inter-American Development Bank Bonds 1.13% due 07/20/2028 | $ | 227,000 | $ | 208,624 | |||||||
International Bank for Reconstruction & Development Senior Notes 0.75% due 11/24/2027 | 208,000 | 188,377 | |||||||||
International Bank for Reconstruction & Development Senior Notes 3.13% due 11/20/2025 | 138,000 | 140,538 | |||||||||
1,023,502 | |||||||||||
Telecom Services — 0.1% | |||||||||||
NTT Finance Corp. Company Guar. Notes 1.16% due 04/03/2026* | 1,060,000 | 978,542 | |||||||||
Telephone-Integrated — 0.0% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048 | 150,000 | 155,027 | |||||||||
Tobacco — 0.1% | |||||||||||
BAT International Finance PLC Company Guar. Notes 4.45% due 03/16/2028 | 1,150,000 | 1,154,377 | |||||||||
Transport-Rail — 0.0% | |||||||||||
Canadian Pacific Railway Co. Company Guar. Notes 1.35% due 12/02/2024 | 129,000 | 123,807 | |||||||||
Canadian Pacific Railway Co. Company Guar. Notes 3.00% due 12/02/2041 | 25,000 | 22,512 | |||||||||
Canadian Pacific Railway Co. Company Guar. Notes 6.13% due 09/15/2115 | 50,000 | 63,539 | |||||||||
209,858 | |||||||||||
Vitamins & Nutrition Products — 0.0% | |||||||||||
Herbalife Nutrition, Ltd./ HLF Financing, Inc. Company Guar. Notes 7.88% due 09/01/2025* | 31,000 | 31,775 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $47,663,385) | 44,794,083 | ||||||||||
U.S. GOVERNMENT AGENCIES — 28.1% | |||||||||||
Federal Home Loan Bank — 0.1% | |||||||||||
1.88% due 12/09/2022 | 1,000,000 | 1,003,358 | |||||||||
Federal Home Loan Mtg. Corp. — 1.7% | |||||||||||
1.74% (6 ML+1.49%) due 02/01/2037 FRS | 8,248 | 8,505 | |||||||||
2.00% due 09/01/2051 | 1,542,325 | 1,434,330 | |||||||||
2.19% (12 ML+1.88%) due 11/01/2037 FRS | 79,331 | 83,078 | |||||||||
2.50% due 01/01/2028 | 49,691 | 49,271 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
2.50% due 04/01/2028 | $ | 165,010 | $ | 163,633 | |||||||
2.50% due 03/01/2031 | 90,568 | 89,725 | |||||||||
2.50% due 10/01/2032 | 112,079 | 111,036 | |||||||||
2.50% due 11/01/2032 | 530,136 | 526,008 | |||||||||
2.50% due 09/01/2051 | 682,642 | 653,113 | |||||||||
3.00% due 08/01/2027 | 100,121 | 101,241 | |||||||||
3.00% due 10/01/2042 | 155,171 | 155,303 | |||||||||
3.00% due 11/01/2042 | 125,841 | 125,922 | |||||||||
3.00% due 02/01/2043 | 241,426 | 243,275 | |||||||||
3.00% due 04/01/2043 | 133,382 | 133,372 | |||||||||
3.00% due 08/01/2043 | 535,450 | 535,149 | |||||||||
3.00% due 07/01/2045 | 334,389 | 333,337 | |||||||||
3.00% due 10/01/2045 | 172,736 | 172,034 | |||||||||
3.00% due 08/01/2046 | 197,819 | 196,934 | |||||||||
3.50% due 01/01/2032 | 310,574 | 319,240 | |||||||||
3.50% due 11/01/2041 | 95,874 | 97,947 | |||||||||
3.50% due 03/01/2042 | 62,700 | 64,047 | |||||||||
3.50% due 08/01/2042 | 120,901 | 123,513 | |||||||||
3.50% due 09/01/2043 | 41,604 | 42,499 | |||||||||
3.50% due 03/01/2045 | 239,780 | 244,451 | |||||||||
3.50% due 07/01/2045 | 656,056 | 668,292 | |||||||||
3.50% due 08/01/2045 | 155,067 | 158,287 | |||||||||
3.50% due 10/01/2045 | 184,594 | 187,875 | |||||||||
3.50% due 11/01/2045 | 239,163 | 243,614 | |||||||||
3.50% due 01/01/2046 | 8,668 | 8,822 | |||||||||
3.50% due 11/01/2047 | 255,279 | 258,666 | |||||||||
3.50% due 02/01/2052 | 641,180 | 643,840 | |||||||||
4.00% due 09/01/2040 | 69,612 | 72,935 | |||||||||
4.00% due 07/01/2044 | 114,926 | 119,864 | |||||||||
4.00% due 10/01/2045 | 89,514 | 93,348 | |||||||||
4.00% due 01/01/2046 | 737,107 | 767,309 | |||||||||
4.00% due 07/01/2049 | 72,823 | 75,193 | |||||||||
4.00% due 01/01/2050 | 126,690 | 129,505 | |||||||||
4.50% due 07/01/2045 | 425,354 | 441,459 | |||||||||
4.50% due 05/01/2048 | 135,097 | 141,815 | |||||||||
5.00% due 09/01/2031 | 164,601 | 173,218 | |||||||||
5.00% due 11/01/2043 | 176,323 | 190,908 | |||||||||
5.50% due 01/01/2036 | 65,610 | 71,512 | |||||||||
6.00% due 03/01/2040 | 5,410 | 6,045 | |||||||||
6.25% due 07/15/2032 | 206,000 | 273,525 | |||||||||
6.75% due 03/15/2031 | 100,000 | 133,025 | |||||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS Series K064, Class X1 0.60% due 03/25/2027(1)(4)(5) | 4,861,643 | 124,134 | |||||||||
Series K124, Class X1 0.72% due 12/25/2030(1)(4)(5) | 3,485,121 | 179,606 | |||||||||
Series K122, Class X1 0.88% due 11/25/2030(1)(4)(5) | 888,345 | 54,064 | |||||||||
Series K121, Class X1 1.03% due 10/25/2030(1)(4)(5) | 1,621,104 | 112,658 |
289
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal Home Loan Mtg. Corp. (continued) | |||||||||||
Series K114, Class X1 1.12% due 06/25/2030(1)(4)(5) | $ | 2,892,198 | $ | 217,056 | |||||||
Series K104, Class X1 1.12% due 01/25/2030(1)(4)(5) | 2,473,224 | 176,217 | |||||||||
Series K111, Class X1 1.57% due 05/25/2030(1)(4)(5) | 1,121,004 | 116,092 | |||||||||
Federal Home Loan Mtg. Corp. REMIC Series 4216, Class KQ 1.70% due 10/15/2039(2) | 205,358 | 203,573 | |||||||||
Series 4961, Class JB 2.50% due 12/15/2042(2) | 428,180 | 416,042 | |||||||||
Series 3883, Class PB 3.00% due 05/15/2041(2) | 143,510 | 142,635 | |||||||||
Series 4740, Class BA 3.00% due 09/15/2045(2) | 88,365 | 87,631 | |||||||||
Federal Home Loan Mtg. Corp. SCRT Series 2020-1, Class MA 2.50% due 08/25/2059(2) | 384,152 | 376,236 | |||||||||
Series 2019-3, Class MV 3.50% due 10/25/2058(2) | 225,581 | 229,643 | |||||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2018-HRP1, Class M2 2.11% (1 ML+1.65%) due 04/25/2043*(2) | 49,338 | 49,214 | |||||||||
Series 2019-HQA3, Class M2 2.31% (1 ML + 1.85%) due 09/25/2049*(2) | 343,975 | 343,437 | |||||||||
Series 2019-DNA3, Class M2 2.51% (1 ML + 2.05%) due 07/25/2049*(2) | 387,899 | 387,898 | |||||||||
Series 2019-HQA1, Class M2 2.81% (1 ML + 2.35%) due 02/25/2049*(2) | 854,226 | 854,225 | |||||||||
Series 2019-DNA2, Class M2 2.91% (1 ML+2.45%) due 03/25/2049*(2) | 525,504 | 526,154 | |||||||||
15,462,535 | |||||||||||
Federal National Mtg. Assoc. — 5.3% | |||||||||||
1.50% due 12/01/2050 | 1,616,765 | 1,446,583 | |||||||||
1.88% due 09/24/2026 | 837,000 | 815,951 | |||||||||
2.00% due 11/01/2035 | 333,561 | 324,353 | |||||||||
2.00% due 10/01/2050 | 443,543 | 413,332 | |||||||||
2.00% due 07/01/2035 | 676,870 | 658,296 | |||||||||
2.00% due 05/01/2036 | 521,666 | 507,313 | |||||||||
2.00% due 05/01/2041 | 457,578 | 429,663 | |||||||||
2.00% due 12/01/2050 | 844,312 | 786,873 | |||||||||
2.00% due 04/01/2051 | 1,927,477 | 1,794,422 | |||||||||
2.00% due 05/01/2051 | 324,723 | 302,372 | |||||||||
2.00% due 06/01/2051 | 656,052 | 610,543 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
2.00% due 11/01/2051 | $ | 981,748 | $ | 913,551 | |||||||
2.00% due 12/01/2051 | 2,267,050 | 2,111,261 | |||||||||
2.00% due 03/01/2052 | 2,093,523 | 1,945,777 | |||||||||
2.50% due 04/01/2028 | 129,273 | 128,103 | |||||||||
2.50% due 08/01/2031 | 359,765 | 356,178 | |||||||||
2.50% due 01/01/2032 | 460,030 | 455,444 | |||||||||
2.50% due 06/01/2050 | 537,906 | 515,625 | |||||||||
2.50% due 07/01/2050 | 949,500 | 911,079 | |||||||||
2.50% due 10/01/2050 | 394,145 | 377,442 | |||||||||
2.50% due 05/01/2051 | 259,877 | 248,659 | |||||||||
2.50% due 11/01/2051 | 1,478,559 | 1,417,558 | |||||||||
2.50% due 02/01/2052 | 1,987,540 | 1,901,744 | |||||||||
2.50% due 03/01/2052 | 2,990,751 | 2,861,081 | |||||||||
2.63% due 09/06/2024 | 2,025,000 | 2,038,085 | |||||||||
3.00% due 10/01/2027 | 159,841 | 161,433 | |||||||||
3.00% due 10/01/2030 | 133,211 | 134,556 | |||||||||
3.00% due 07/01/2034 | 288,073 | 290,477 | |||||||||
3.00% due 03/01/2042 | 201,244 | 201,277 | |||||||||
3.00% due 12/01/2042 | 75,441 | 75,445 | |||||||||
3.00% due 05/01/2043 | 139,369 | 139,041 | |||||||||
3.00% due 02/01/2045 | 87,639 | 87,225 | |||||||||
3.00% due 08/01/2046 | 227,635 | 226,221 | |||||||||
3.00% due 09/01/2046 | 114,844 | 114,070 | |||||||||
3.00% due 12/01/2046 | 177,509 | 177,506 | |||||||||
3.00% due 01/01/2047 | 80,401 | 79,530 | |||||||||
3.00% due 09/01/2048 | 235,703 | 234,219 | |||||||||
3.00% due 11/01/2048 | 353,408 | 351,398 | |||||||||
3.00% due 06/01/2049 | 341,229 | 336,656 | |||||||||
3.00% due 03/01/2050 | 502,459 | 494,536 | |||||||||
3.00% due 04/01/2052 | 2,000,000 | 1,960,802 | |||||||||
3.50% due 08/01/2026 | 41,379 | 42,308 | |||||||||
3.50% due 09/01/2026 | 61,278 | 62,661 | |||||||||
3.50% due 08/01/2027 | 10,192 | 10,410 | |||||||||
3.50% due 10/01/2028 | 22,246 | 22,899 | |||||||||
3.50% due 03/01/2042 | 141,168 | 144,095 | |||||||||
3.50% due 08/01/2042 | 321,520 | 326,302 | |||||||||
3.50% due 07/01/2045 | 110,798 | 112,942 | |||||||||
3.50% due 08/01/2045 | 187,281 | 190,920 | |||||||||
3.50% due 09/01/2045 | 135,506 | 137,814 | |||||||||
3.50% due 10/01/2045 | 222,097 | 226,411 | |||||||||
3.50% due 11/01/2045 | 100,269 | 101,814 | |||||||||
3.50% due 12/01/2045 | 213,550 | 216,887 | |||||||||
3.50% due 02/01/2046 | 91,128 | 92,821 | |||||||||
3.50% due 03/01/2046 | 128,623 | 130,230 | |||||||||
3.50% due 07/01/2046 | 311,474 | 317,513 | |||||||||
3.50% due 12/01/2047 | 1,086,136 | 1,098,977 | |||||||||
3.50% due 04/01/2048 | 623,231 | 631,365 | |||||||||
3.50% due 08/01/2049 | 170,532 | 171,204 | |||||||||
4.00% due 03/01/2039 | 107,115 | 110,742 | |||||||||
4.00% due 10/01/2040 | 41,813 | 43,709 | |||||||||
4.00% due 11/01/2040 | 90,689 | 94,842 | |||||||||
4.00% due 10/01/2041 | 91,267 | 95,333 | |||||||||
4.00% due 11/01/2041 | 60,891 | 63,630 | |||||||||
4.00% due 01/01/2043 | 363,662 | 380,632 | |||||||||
4.00% due 02/01/2045 | 293,010 | 306,008 | |||||||||
4.00% due 02/01/2046 | 15,114 | 15,703 |
290
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
4.00% due 01/01/2047 | $ | 257,018 | $ | 266,305 | |||||||
4.00% due 05/01/2047 | 39,815 | 41,136 | |||||||||
4.00% due 07/01/2047 | 507,239 | 523,904 | |||||||||
4.00% due 08/01/2047 | 100,632 | 103,848 | |||||||||
4.00% due 06/01/2048 | 293,667 | 302,810 | |||||||||
4.00% due 09/01/2048 | 237,832 | 245,034 | |||||||||
4.00% due 01/01/2049 | 235,793 | 241,295 | |||||||||
4.00% due 03/01/2049 | 35,275 | 36,085 | |||||||||
4.50% due 10/01/2024 | 9,582 | 9,829 | |||||||||
4.50% due 08/01/2045 | 441,427 | 470,194 | |||||||||
4.50% due 06/01/2048 | 322,981 | 336,989 | |||||||||
4.50% due 11/01/2048 | 172,878 | 179,740 | |||||||||
4.50% due 12/01/2048 | 223,048 | 232,190 | |||||||||
5.00% due 05/01/2040 | 61,881 | 65,983 | |||||||||
5.00% due 06/01/2040 | 8,042 | 8,703 | |||||||||
5.00% due 07/01/2040 | 175,723 | 187,587 | |||||||||
5.00% due 02/01/2045 | 233,566 | 252,776 | |||||||||
5.50% due 12/01/2029 | 14,316 | 15,240 | |||||||||
5.50% due 08/01/2037 | 85,798 | 94,021 | |||||||||
5.50% due 06/01/2038 | 33,930 | 37,158 | |||||||||
6.00% due 11/01/2038 | 4,097 | 4,578 | |||||||||
6.00% due 06/01/2040 | 35,540 | 39,680 | |||||||||
6.50% due 10/01/2037 | 336 | 363 | |||||||||
6.63% due 11/15/2030 | 871,000 | 1,141,935 | |||||||||
7.25% due 05/15/2030 | 2,260,000 | 3,030,761 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS 2.56% (1 ML +2.10%) due 06/25/2039*(2) | 9,421 | 9,422 | |||||||||
Series 2019-R03, Class 1M2 2.61% (1 ML+2.15%) due 09/25/2031*(2) | 56,813 | 56,813 | |||||||||
Series 2019-HRP1, Class M2 2.61% (1 ML+2.15%) due 11/25/2039*(2) | 234,050 | 230,292 | |||||||||
Series 2016-C07, Class 2M2 4.81% (1 ML+4.35%) due 05/25/2029(2) | 497,384 | 518,237 | |||||||||
Series 2014-C04, Class 1M2 5.36% (1 ML+4.90%) due 11/25/2024(2) | 103,476 | 106,532 | |||||||||
Series 2015-C04, Class 1M2 6.16% (1 ML+5.70%) due 04/25/2028(2) | 77,299 | 82,684 | |||||||||
Series 2016-C02, Class 1M2 6.46% (1 ML+6.00%) due 09/25/2028(2) | 34,592 | 36,465 | |||||||||
Federal National Mtg. Assoc. FRS 1.85% (12 ML+1.57%) due 05/01/2037 | 13,162 | 13,659 | |||||||||
1.92% (6 ML+1.54%) due 09/01/2035 | 84,280 | 87,073 | |||||||||
2.03% (12 ML+1.67%) due 07/01/2039 | 51,870 | 53,475 | |||||||||
2.04% (12 ML+1.77%) due 05/01/2040 | 68,149 | 70,638 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Federal National Mtg. Assoc. (continued) | |||||||||||
2.07% (12 ML+1.82%) due 10/01/2040 | $ | 12,695 | $ | 13,205 | |||||||
2.08% (12 ML+1.83%) due 10/01/2040 | 33,352 | 34,627 | |||||||||
2.20% (12 ML+1.91%) due 08/01/2035 | 48,419 | 50,570 | |||||||||
2.28% (1 Yr USTYCR+2.22%) due 10/01/2035 | 61,304 | 63,725 | |||||||||
2.36% (1 Yr USTYCR+2.27%) due 11/01/2036 | 27,320 | 28,690 | |||||||||
Federal National Mtg. Assoc., REMIC Series 2013-43, Class XP 1.50% due 08/25/2041(2) | 297,956 | 290,208 | |||||||||
Series 2012-128, Class PD 1.50% due 06/25/2042(2) | 414,092 | 400,036 | |||||||||
Series 2013-77, Class BP 1.70% due 06/25/2043(2) | 190,795 | 188,572 | |||||||||
Series 2012-21, Class PQ 2.00% due 09/25/2041(2) | 96,576 | 93,218 | |||||||||
Series 2012-18, Class GA 2.00% due 12/25/2041(2) | 161,789 | 155,718 | |||||||||
Series 2012-75, Class KC 2.50% due 12/25/2041(2) | 147,683 | 145,120 | |||||||||
Series 2015-48, Class QB 3.00% due 02/25/2043(2) | 240,168 | 240,751 | |||||||||
Series 2018-27, Class EA 3.00% due 05/25/2048(2) | 354,299 | 347,901 | |||||||||
Series 2018-35, Class CD 3.00% due 05/25/2048(2) | 210,830 | 210,027 | |||||||||
Series 2019-45, Class PT 3.00% due 08/25/2049(2) | 312,281 | 306,924 | |||||||||
Series 2017-96, Class PA 3.00% due 12/25/2054(2) | 312,390 | 310,553 | |||||||||
Series 2012-52, Class PA 3.50% due 05/25/2042(2) | 123,367 | 124,346 | |||||||||
Series 2018-38, Class PC 3.50% due 03/25/2045(2) | 16,221 | 16,255 | |||||||||
Series 2018-77, Class PA 3.50% due 02/25/2048(2) | 76,150 | 76,294 | |||||||||
Series 2018-23, Class LA 3.50% due 04/25/2048(2) | 292,597 | 291,201 | |||||||||
Series 2019-7, Class CA 3.50% due 11/25/2057(2) | 270,670 | 275,526 | |||||||||
47,280,753 | |||||||||||
Government National Mtg. Assoc. — 6.1% | |||||||||||
2.00% due 11/20/2050 | 1,642,545 | 1,570,292 | |||||||||
2.00% due April 30 TBA | 4,500,000 | 4,280,578 | |||||||||
2.50% due 07/20/2051 | 1,228,062 | 1,193,996 | |||||||||
2.50% due 09/20/2051 | 1,933,858 | 1,880,212 | |||||||||
3.00% due 02/20/2045 | 82,236 | 82,098 | |||||||||
3.00% due 05/20/2045 | 64,836 | 64,721 | |||||||||
3.00% due 07/20/2045 | 15,419 | 15,387 | |||||||||
3.00% due 03/20/2046 | 364,073 | 363,092 | |||||||||
3.00% due 05/20/2046 | 230,437 | 229,771 | |||||||||
3.00% due 05/20/2050 | 420,326 | 417,573 | |||||||||
3.00% due April 30 TBA | 10,150,000 | 10,040,818 | |||||||||
3.00% due May 30 TBA | 10,150,000 | 10,014,650 |
291
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
3.50% due 03/20/2045 | $ | 55,285 | $ | 56,579 | |||||||
3.50% due 04/20/2045 | 81,507 | 83,487 | |||||||||
3.50% due 07/20/2045 | 26,475 | 27,194 | |||||||||
3.50% due April 30 TBA | 14,300,000 | 14,381,082 | |||||||||
4.00% due 03/15/2039 | 33,790 | 35,708 | |||||||||
4.00% due 04/15/2039 | 3,334 | 3,481 | |||||||||
4.00% due 05/15/2039 | 27,242 | 28,203 | |||||||||
4.00% due 08/15/2039 | 2,529 | 2,676 | |||||||||
4.00% due 10/15/2039 | 16,392 | 17,292 | |||||||||
4.00% due 03/15/2040 | 7,752 | 8,000 | |||||||||
4.00% due 09/15/2040 | 18,145 | 18,776 | |||||||||
4.00% due 10/15/2040 | 6,678 | 7,045 | |||||||||
4.00% due 12/15/2040 | 9,934 | 10,400 | |||||||||
4.00% due 02/15/2041 | 1,376 | 1,420 | |||||||||
4.00% due 06/15/2041 | 55,410 | 58,879 | |||||||||
4.00% due 07/15/2041 | 10,580 | 11,137 | |||||||||
4.00% due 08/15/2041 | 139,823 | 145,270 | |||||||||
4.00% due 09/15/2041 | 26,961 | 28,296 | |||||||||
4.00% due 10/15/2041 | 68,678 | 72,027 | |||||||||
4.00% due 11/15/2041 | 57,254 | 59,513 | |||||||||
4.00% due 12/15/2041 | 22,843 | 23,934 | |||||||||
4.00% due 01/15/2042 | 11,597 | 12,015 | |||||||||
4.00% due 02/15/2042 | 3,571 | 3,686 | |||||||||
4.00% due 03/15/2042 | 44,004 | 45,608 | |||||||||
4.00% due 03/20/2044 | 44,989 | 47,298 | |||||||||
4.00% due 07/20/2045 | 119,256 | 125,287 | |||||||||
4.00% due 05/20/2048 | 9,687 | 9,943 | |||||||||
4.50% due 09/15/2033 | 20,223 | 21,596 | |||||||||
4.50% due 03/15/2039 | 34,705 | 37,442 | |||||||||
4.50% due 05/15/2039 | 21,161 | 22,828 | |||||||||
4.50% due 07/15/2039 | 10,318 | 11,143 | |||||||||
4.50% due 10/15/2039 | 38,154 | 41,058 | |||||||||
4.50% due 01/15/2040 | 8,948 | 9,647 | |||||||||
4.50% due 02/15/2040 | 25,118 | 27,133 | |||||||||
4.50% due 03/15/2040 | 6,707 | 7,151 | |||||||||
4.50% due 04/15/2040 | 398 | 428 | |||||||||
4.50% due 05/15/2040 | 968 | 1,039 | |||||||||
4.50% due 07/15/2040 | 15,491 | 16,737 | |||||||||
4.50% due 04/15/2041 | 9,371 | 9,999 | |||||||||
4.50% due 05/15/2041 | 72,317 | 77,534 | |||||||||
4.50% due 06/15/2041 | 3,664 | 3,957 | |||||||||
4.50% due 07/15/2041 | 29,946 | 32,173 | |||||||||
4.50% due 08/15/2041 | 29,605 | 31,969 | |||||||||
4.50% due 04/20/2047 | 54,524 | 57,646 | |||||||||
4.50% due April 30 TBA | 6,800,000 | 7,034,812 | |||||||||
5.00% due 06/15/2033 | 960 | 1,051 | |||||||||
5.00% due 08/15/2033 | 7,278 | 7,898 | |||||||||
5.00% due 09/15/2033 | 16,946 | 18,592 | |||||||||
5.00% due 10/15/2033 | 8,966 | 9,873 | |||||||||
5.00% due 11/15/2033 | 1,998 | 2,175 | |||||||||
5.00% due 06/15/2034 | 24,392 | 26,562 | |||||||||
5.00% due 05/15/2035 | 1,556 | 1,680 | |||||||||
5.00% due 09/15/2035 | 544 | 588 | |||||||||
5.00% due 02/15/2036 | 21,641 | 23,379 | |||||||||
5.00% due 02/20/2036 | 41,463 | 44,638 | |||||||||
5.00% due 05/15/2036 | 52,123 | 56,858 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
5.00% due 06/15/2036 | $ | 16,963 | $ | 18,328 | |||||||
5.00% due 08/15/2038 | 51,093 | 56,138 | |||||||||
5.50% due 02/15/2032 | 337 | 359 | |||||||||
5.50% due 03/15/2032 | 1,735 | 1,919 | |||||||||
5.50% due 12/15/2032 | 1,324 | 1,415 | |||||||||
5.50% due 01/15/2033 | 1,047 | 1,158 | |||||||||
5.50% due 02/15/2033 | 6,661 | 7,156 | |||||||||
5.50% due 03/15/2033 | 25,634 | 27,431 | |||||||||
5.50% due 04/15/2033 | 18,308 | 19,824 | |||||||||
5.50% due 06/15/2033 | 22,887 | 24,879 | |||||||||
5.50% due 07/15/2033 | 90,005 | 97,540 | |||||||||
5.50% due 08/15/2033 | 21,225 | 22,788 | |||||||||
5.50% due 09/15/2033 | 4,467 | 4,788 | |||||||||
5.50% due 12/15/2033 | 610 | 651 | |||||||||
5.50% due 01/15/2034 | 30,995 | 34,118 | |||||||||
5.50% due 02/15/2034 | 25,054 | 26,765 | |||||||||
6.00% due 04/15/2028 | 34,281 | 37,613 | |||||||||
6.00% due 01/15/2029 | 6,628 | 7,074 | |||||||||
6.00% due 03/15/2029 | 14,888 | 15,892 | |||||||||
6.00% due 12/15/2031 | 2,463 | 2,629 | |||||||||
6.00% due 04/15/2032 | 3,754 | 4,077 | |||||||||
6.00% due 09/15/2032 | 4,752 | 5,255 | |||||||||
6.00% due 10/15/2032 | 36,165 | 40,577 | |||||||||
6.00% due 11/15/2032 | 7,866 | 8,774 | |||||||||
6.00% due 01/15/2033 | 1,144 | 1,274 | |||||||||
6.00% due 02/15/2033 | 13,317 | 14,814 | |||||||||
6.00% due 03/15/2033 | 3,435 | 3,694 | |||||||||
6.00% due 09/15/2033 | 10,747 | 11,489 | |||||||||
6.00% due 01/15/2034 | 59,050 | 63,054 | |||||||||
6.00% due 03/15/2034 | 11,292 | 12,058 | |||||||||
6.00% due 05/15/2034 | 785 | 836 | |||||||||
6.00% due 07/15/2034 | 3,442 | 3,679 | |||||||||
6.00% due 08/15/2034 | 20,392 | 21,782 | |||||||||
6.00% due 09/15/2034 | 1,552 | 1,666 | |||||||||
6.00% due 11/15/2034 | 58,905 | 63,037 | |||||||||
6.00% due 03/15/2035 | 8,610 | 9,192 | |||||||||
6.00% due 08/15/2035 | 28,720 | 31,079 | |||||||||
6.00% due 01/15/2036 | 15,963 | 17,652 | |||||||||
6.00% due 04/15/2036 | 11,249 | 12,015 | |||||||||
6.00% due 05/15/2036 | 16,561 | 17,890 | |||||||||
6.00% due 06/15/2036 | 26,132 | 28,667 | |||||||||
6.00% due 07/15/2036 | 3,520 | 3,759 | |||||||||
6.00% due 08/15/2036 | 28,806 | 31,826 | |||||||||
6.00% due 09/15/2036 | 11,084 | 11,860 | |||||||||
6.00% due 10/15/2036 | 55,254 | 59,500 | |||||||||
6.00% due 11/15/2036 | 15,950 | 17,267 | |||||||||
6.00% due 12/15/2036 | 4,679 | 4,998 | |||||||||
6.50% due 09/15/2028 | 1,381 | 1,476 | |||||||||
6.50% due 09/15/2031 | 695 | 757 | |||||||||
6.50% due 10/15/2031 | 1,022 | 1,092 | |||||||||
6.50% due 11/15/2031 | 944 | 1,009 | |||||||||
6.50% due 12/15/2031 | 3,145 | 3,361 | |||||||||
7.50% due 09/15/2030 | 10,182 | 10,222 |
292
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES (continued) | |||||||||||
Government National Mtg. Assoc. (continued) | |||||||||||
Government National Mtg. Assoc., REMIC Series 2015-56, Class LB 1.50% due 04/16/2040(2) | $ | 217,100 | $ | 216,126 | |||||||
Series 2015-151, Class BA 1.70% due 10/20/2045(2) | 97,777 | 97,853 | |||||||||
54,357,142 | |||||||||||
Tennessee Valley Authority — 0.1% | |||||||||||
4.25% due 09/15/2065 | 577,000 | 711,403 | |||||||||
Uniform Mtg. Backed Securities — 14.8% | |||||||||||
1.50% due April 15 TBA | 1,150,000 | 1,090,434 | |||||||||
2.00% due April 15 TBA | 1,525,000 | 1,481,275 | |||||||||
2.00% due April 30 TBA | 31,850,000 | 29,579,113 | |||||||||
2.00% due June 30 TBA | 14,650,000 | 13,550,073 | |||||||||
2.50% due April 15 TBA | 829,000 | 819,415 | |||||||||
2.50% due April 30 TBA | 19,851,000 | 18,963,909 | |||||||||
2.50% due May 30 TBA | 17,000,000 | 16,201,952 | |||||||||
3.00% due April 30 TBA | 18,688,000 | 18,300,095 | |||||||||
3.50% due April 30 TBA | 20,860,000 | 20,912,557 | |||||||||
4.00% due April 30 TBA | 10,300,000 | 10,522,094 | |||||||||
4.50% due April 30 TBA | 1,300,000 | 1,348,547 | |||||||||
132,769,464 | |||||||||||
Total U.S. Government Agencies (cost $255,756,103) | 251,584,655 | ||||||||||
U.S. GOVERNMENT TREASURIES — 39.1% | |||||||||||
United States Treasury Bonds — 10.7% | |||||||||||
0.13% due 02/15/2051 TIPS(8) | 394,050 | 410,161 | |||||||||
0.88% due 02/15/2047 TIPS(8) | 2,049,309 | 2,485,427 | |||||||||
1.13% due 05/15/2040 | 2,606,000 | 2,055,584 | |||||||||
1.25% due 05/15/2050 | 8,004,000 | 5,981,739 | |||||||||
1.38% due 11/15/2040 | 2,440,000 | 1,998,989 | |||||||||
1.38% due 08/15/2050 | 3,218,000 | 2,482,134 | |||||||||
1.75% due 08/15/2041 | 2,224,000 | 1,929,668 | |||||||||
1.88% due 02/15/2041 | 4,849,000 | 4,323,565 | |||||||||
1.88% due 11/15/2051 | 917,000 | 803,808 | |||||||||
2.00% due 11/15/2041 | 306,000 | 277,217 | |||||||||
2.00% due 02/15/2050 | 4,354,000 | 3,923,192 | |||||||||
2.00% due 08/15/2051 | 324,000 | 292,157 | |||||||||
2.25% due 08/15/2046 | 1,686,000 | 1,580,164 | |||||||||
2.25% due 08/15/2049 | 2,426,000 | 2,308,206 | |||||||||
2.25% due 02/15/2052 | 81,000 | 77,646 | |||||||||
2.38% due 02/15/2042 | 1,413,000 | 1,364,428 | |||||||||
2.38% due 11/15/2049 | 5,418,000 | 5,301,809 | |||||||||
2.38% due 05/15/2051 | 3,190,000 | 3,127,197 | |||||||||
2.50% due 02/15/2046 | 5,853,000 | 5,741,884 | |||||||||
2.50% due 05/15/2046 | 1,283,000 | 1,259,545 | |||||||||
2.75% due 11/15/2042 | 413,000 | 420,115 | |||||||||
2.75% due 08/15/2047 | 568,000 | 588,989 | |||||||||
2.75% due 11/15/2047 | 704,000 | 730,813 | |||||||||
2.88% due 05/15/2043 | 1,014,000 | 1,051,233 | |||||||||
2.88% due 08/15/2045 | 2,423,000 | 2,531,562 | |||||||||
2.88% due 11/15/2046 | 499,000 | 525,841 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
United States Treasury Bonds (continued) | |||||||||||
2.88% due 05/15/2049 | $ | 2,491,000 | $ | 2,680,258 | |||||||
3.00% due 05/15/2042 | 875,000 | 928,081 | |||||||||
3.00% due 11/15/2045 | 1,642,000 | 1,755,336 | |||||||||
3.00% due 02/15/2047 | 648,000 | 698,853 | |||||||||
3.00% due 05/15/2047 | 2,224,000 | 2,402,789 | |||||||||
3.00% due 02/15/2048 | 1,255,000 | 1,368,244 | |||||||||
3.00% due 08/15/2048 | 806,000 | 880,461 | |||||||||
3.00% due 02/15/2049 | 1,783,000 | 1,961,091 | |||||||||
3.13% due 02/15/2043 | 1,267,000 | 1,365,489 | |||||||||
3.13% due 08/15/2044(15) | 3,378,000 | 3,657,873 | |||||||||
3.13% due 05/15/2048 | 626,000 | 699,506 | |||||||||
3.38% due 05/15/2044 | 869,000 | 977,286 | |||||||||
3.38% due 11/15/2048 | 1,188,000 | 1,392,095 | |||||||||
3.63% due 08/15/2043 | 1,329,000 | 1,544,236 | |||||||||
3.63% due 02/15/2044 | 1,706,000 | 1,987,090 | |||||||||
3.75% due 11/15/2043 | 1,049,000 | 1,242,327 | |||||||||
3.88% due 08/15/2040 | 640,000 | 764,925 | |||||||||
4.38% due 11/15/2039 | 1,082,000 | 1,375,493 | |||||||||
4.38% due 05/15/2040 | 953,000 | 1,212,879 | |||||||||
4.50% due 02/15/2036 | 1,034,000 | 1,308,172 | |||||||||
4.63% due 02/15/2040 | 1,159,000 | 1,519,150 | |||||||||
4.75% due 02/15/2041 | 1,123,000 | 1,495,520 | |||||||||
5.25% due 11/15/2028 | 1,045,000 | 1,225,548 | |||||||||
5.25% due 02/15/2029 | 1,966,000 | 2,318,267 | |||||||||
5.38% due 02/15/2031 | 1,289,000 | 1,602,992 | |||||||||
6.13% due 11/15/2027 | 544,000 | 648,380 | |||||||||
6.25% due 08/15/2023 | 1,613,000 | 1,704,991 | |||||||||
6.38% due 08/15/2027 | 1,217,000 | 1,457,690 | |||||||||
6.75% due 08/15/2026 | 377,000 | 443,594 | |||||||||
96,191,689 | |||||||||||
United States Treasury Notes — 28.4% | |||||||||||
0.13% due 05/15/2023 | 6,182,000 | 6,066,088 | |||||||||
0.13% due 12/15/2023 | 100,000 | 96,527 | |||||||||
0.13% due 01/15/2024 | 7,088,000 | 6,824,138 | |||||||||
0.25% due 09/30/2023 | 300,000 | 291,820 | |||||||||
0.25% due 06/30/2025 | 6,492,000 | 6,037,306 | |||||||||
0.25% due 08/31/2025 | 6,066,000 | 5,619,106 | |||||||||
0.38% due 10/31/2023 | 4,116,000 | 4,002,488 | |||||||||
0.38% due 09/15/2024 | 4,200,000 | 3,993,773 | |||||||||
0.38% due 04/30/2025 | 3,294,000 | 3,087,482 | |||||||||
0.38% due 07/31/2027 | 2,516,000 | 2,258,601 | |||||||||
0.38% due 09/30/2027 | 6,239,000 | 5,576,837 | |||||||||
0.50% due 02/28/2026 | 3,549,000 | 3,284,905 | |||||||||
0.50% due 05/31/2027 | 5,410,000 | 4,901,967 | |||||||||
0.50% due 10/31/2027 | 6,469,000 | 5,814,772 | |||||||||
0.63% due 03/31/2027 | 3,002,000 | 2,748,589 | |||||||||
0.63% due 12/31/2027 | 7,360,000 | 6,643,838 | |||||||||
0.63% due 05/15/2030 | 2,899,000 | 2,528,811 | |||||||||
0.63% due 08/15/2030(15) | 11,088,000 | 9,639,197 | |||||||||
0.75% due 04/30/2026 | 500,000 | 466,270 | |||||||||
0.75% due 01/31/2028 | 4,300,000 | 3,905,105 | |||||||||
0.88% due 01/31/2024 | 690,000 | 672,885 | |||||||||
0.88% due 11/15/2030 | 6,958,000 | 6,166,528 | |||||||||
1.13% due 02/15/2031 | 5,164,000 | 4,665,150 | |||||||||
1.25% due 12/31/2026 | 315,000 | 298,032 | |||||||||
1.25% due 09/30/2028 | 3,342,000 | 3,104,796 |
293
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
U.S. GOVERNMENT TREASURIES (continued) | |||||||||||
United States Treasury Notes (continued) | |||||||||||
1.25% due 08/15/2031 | $ | 9,710,000 | $ | 8,831,548 | |||||||
1.38% due 08/31/2023 | 6,396,000 | 6,335,538 | |||||||||
1.38% due 11/15/2031 | 13,512,000 | 12,403,594 | |||||||||
1.50% due 02/29/2024 | 518,000 | 510,817 | |||||||||
1.50% due 09/30/2024 | 4,507,000 | 4,404,536 | |||||||||
1.50% due 08/15/2026 | 7,344,000 | 7,047,371 | |||||||||
1.50% due 01/31/2027 | 236,000 | 225,859 | |||||||||
1.50% due 02/15/2030 | 875,000 | 820,928 | |||||||||
1.63% due 10/31/2023 | 4,501,000 | 4,465,484 | |||||||||
1.63% due 02/15/2026 | 4,015,000 | 3,885,610 | |||||||||
1.63% due 05/15/2026 | 3,971,000 | 3,836,203 | |||||||||
1.63% due 08/15/2029 | 1,097,000 | 1,041,379 | |||||||||
1.63% due 05/15/2031 | 2,791,000 | 2,629,209 | |||||||||
1.75% due 05/15/2023 | 4,495,000 | 4,489,908 | |||||||||
1.75% due 07/31/2024 | 1,377,000 | 1,356,506 | |||||||||
1.88% due 08/31/2024 | 4,617,000 | 4,556,041 | |||||||||
1.88% due 02/28/2027 | 1,938,000 | 1,888,944 | |||||||||
1.88% due 02/15/2032 | 3,001,000 | 2,882,367 | |||||||||
2.00% due 02/15/2023 | 1,755,000 | 1,761,239 | |||||||||
2.00% due 05/31/2024 | 2,637,000 | 2,616,398 | |||||||||
2.00% due 02/15/2025 | 5,373,000 | 5,302,689 | |||||||||
2.00% due 08/15/2025 | 3,825,000 | 3,761,648 | |||||||||
2.00% due 11/15/2026 | 4,877,000 | 4,776,793 | |||||||||
2.13% due 02/29/2024 | 2,824,000 | 2,815,727 | |||||||||
2.13% due 03/31/2024 | 3,254,000 | 3,242,433 | |||||||||
2.13% due 07/31/2024 | 4,388,000 | 4,360,061 | |||||||||
2.13% due 09/30/2024 | 1,983,000 | 1,967,973 | |||||||||
2.13% due 05/15/2025 | 5,012,000 | 4,955,811 | |||||||||
2.25% due 11/15/2024 | 3,725,000 | 3,704,774 | |||||||||
2.25% due 12/31/2024 | 3,515,000 | 3,494,542 | |||||||||
2.25% due 11/15/2025 | 3,509,000 | 3,477,337 | |||||||||
2.25% due 02/15/2027 | 1,843,000 | 1,826,154 | |||||||||
2.25% due 08/15/2027 | 1,496,000 | 1,481,683 | |||||||||
2.25% due 11/15/2027 | 2,095,000 | 2,073,232 | |||||||||
2.38% due 08/15/2024 | 5,657,000 | 5,648,824 | |||||||||
2.38% due 05/15/2027 | 1,145,000 | 1,141,422 | |||||||||
2.50% due 08/15/2023 | 6,555,000 | 6,595,713 | |||||||||
2.50% due 05/15/2024 | 3,886,000 | 3,896,778 | |||||||||
2.63% due 03/31/2025 | 3,886,000 | 3,902,090 | |||||||||
2.63% due 02/15/2029 | 4,416,000 | 4,474,133 | |||||||||
2.75% due 02/15/2028 | 2,348,000 | 2,387,072 | |||||||||
2.88% due 07/31/2025 | 2,474,000 | 2,503,669 | |||||||||
2.88% due 05/15/2028 | 1,784,000 | 1,827,624 | |||||||||
254,302,672 | |||||||||||
Total U.S. Government Treasuries (cost $362,538,889) | 350,494,361 | ||||||||||
MUNICIPAL BONDS & NOTES — 0.5% | |||||||||||
Chicago Board of Education General Obligation Bonds 6.04% due 12/01/2029 | 85,000 | 89,667 | |||||||||
Chicago Board of Education General Obligation Bonds 6.14% due 12/01/2039 | 335,000 | 366,292 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
MUNICIPAL BONDS & NOTES (continued) | |||||||||||
Chicago Board of Education General Obligation Bonds 6.32% due 11/01/2029 | $ | 355,000 | $ | 387,038 | |||||||
Chicago Transit Authority Revenue Bonds 3.91% due 12/01/2040 | 160,000 | 159,664 | |||||||||
Florida State Board of Administration Finance Corp. Revenue Bonds Series A 1.26% due 07/01/2025 | 925,000 | 878,681 | |||||||||
Philadelphia Authority for Industrial Development Revenue Bonds Series C 6.55% due 10/15/2028 | 1,260,000 | 1,488,360 | |||||||||
State of Illinois General Obligation Bonds 4.95% due 06/01/2023 | 460,727 | 468,938 | |||||||||
State of Illinois General Obligation Bonds 5.00% due 01/01/2023 | 70,000 | 71,384 | |||||||||
State of Illinois General Obligation Bonds 5.95% due 04/01/2022 | 220,000 | 220,000 | |||||||||
Total Municipal Bonds & Notes (cost $4,144,078) | 4,130,024 | ||||||||||
LOANS(9)(10)(11) — 1.4% | |||||||||||
Advertising Sales — 0.0% | |||||||||||
Clear Channel Outdoor Holdings, Inc. FRS BTL 3.80% (3 ML +3.50%) due 08/21/2026 | 136,500 | 134,060 | |||||||||
Aerospace/Defense-Equipment — 0.0% | |||||||||||
TransDigm, Inc. FRS BTL-E 2.70% (1 ML +2.25%) due 05/30/2025 | 200,704 | 196,885 | |||||||||
Airlines — 0.0% | |||||||||||
SkyMiles IP, Ltd. FRS BTL 4.75% (3 ML +3.75%) due 10/20/2027 | 100,000 | 103,125 | |||||||||
WestJet Airlines, Ltd. FRS BTL-B 4.00% (3 ML +3.00%) due 12/11/2026 | 97,750 | 93,738 | |||||||||
196,863 | |||||||||||
Applications Software — 0.0% | |||||||||||
SS&C Technologies, Inc. FRS BTL-B5 2.21% (1 ML +1.75%) due 04/16/2025 | 95,262 | 93,809 |
294
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
LOANS(9)(10)(11) (continued) | |||||||||||
Auto Repair Centers — 0.0% | |||||||||||
Belron Finance US LLC FRS BTL-B 3.25% (3 ML +2.75%) due 04/13/2028 | $ | 99,000 | $ | 97,886 | |||||||
Auto/Truck Parts & Equipment-Original — 0.0% | |||||||||||
Clarios Global LP FRS BTL-B 3.25% (1 ME +3.25%) due 04/30/2026 | EUR | 96,675 | 104,440 | ||||||||
Clarios Global LP FRS BTL-B 3.71% (1 ML +3.25%) due 04/30/2026 | 97,199 | 95,893 | |||||||||
200,333 | |||||||||||
Auto/Truck Parts & Equipment-Replacement — 0.0% | |||||||||||
Adient US LLC FRS BTL-B 3.71% (1 ML +3.25%) due 04/10/2028 | 99,250 | 97,596 | |||||||||
Building & Construction Products-Misc. — 0.0% | |||||||||||
ACProducts Holdings, Inc. FRS BTL-B 4.75% (3 ML +4.25%) due 05/17/2028 | 148,875 | 133,946 | |||||||||
Building Products-Cement — 0.0% | |||||||||||
Quikrete Holdings, Inc. FRS 1st Lien 3.08% (1 ML +2.63%) due 02/01/2027 | 122,188 | 118,936 | |||||||||
Building Products-Doors & Windows — 0.0% | |||||||||||
Cornerstone Building Brands, Inc. FRS BTL-B 3.75% (1 ML +3.25%) due 04/12/2028 | 195,277 | 188,687 | |||||||||
Building-Heavy Construction — 0.1% | |||||||||||
Brand Industrial Services, Inc. FRS BTL 5.25% (3 ML +4.25%) due 06/21/2024 | 285,750 | 272,257 | |||||||||
PowerTeam Services LLC FRS BTL 4.26% (3 ML +3.25%) due 03/06/2025 | 234,098 | 218,101 | |||||||||
490,358 | |||||||||||
Cable/Satellite TV — 0.1% | |||||||||||
CSC Holdings LLC FRS BTL-B 2.65% (1 ML +2.25%) due 07/17/2025 | 143,768 | 141,132 | |||||||||
Telenet Financing USD LLC FRS BTL 2.40% (1 ML +2.00%) due 04/30/2028 | 100,000 | 97,516 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Cable/Satellite TV (continued) | |||||||||||
UPC Financing Partnership FRS BTL 3.40% (1 ML +3.00%) due 01/31/2029 | $ | 160,000 | $ | 158,160 | |||||||
396,808 | |||||||||||
Casino Hotels — 0.0% | |||||||||||
Caesars Resort Collection LLC FRS BTL-B 3.21% (1 ML +2.75%) due 12/23/2024 | 142,081 | 141,215 | |||||||||
Cellular Telecom — 0.0% | |||||||||||
Numericable Group SA FRS BTL-B 3.93% (3 ML +3.69%) due 01/31/2026 | 95,750 | 93,506 | |||||||||
Chemicals-Specialty — 0.2% | |||||||||||
Axalta Coating Systems US Holdings, Inc. FRS BTL-B2 2.76% (3 ML +1.75%) due 06/01/2024 | 968,609 | 960,133 | |||||||||
Diamod BC BV FRS BTL-B 3.25% (1 ML +2.75%) due 09/29/2028 | 124,688 | 121,960 | |||||||||
Starfruit US HoldCo. LLC FRS BTL-B 4.01% (3 ML +3.00%) due 10/01/2025 | 111,994 | 109,941 | |||||||||
1,192,034 | |||||||||||
Commercial Services — 0.1% | |||||||||||
AVSC Holding Corp. FRS BTL-B1 4.50% (3 ML +3.25%) due 03/03/2025 | 168,612 | 158,706 | |||||||||
Brightview Landscapes LLC FRS BTL-B 3.00% (1 ML +2.50%) due 08/15/2025 | 240,987 | 237,598 | |||||||||
Techem Techem Verwaltungsgesellschaft FRS BTL-B4 2.63% (6 ME +2.63%) due 07/15/2025 | EUR | 70,979 | 77,032 | ||||||||
WW International, Inc. FRS BTL-B 3.96% (1 ML +3.50%) due 04/13/2028 | 94,500 | 85,428 | |||||||||
558,764 | |||||||||||
Commercial Services-Finance — 0.1% | |||||||||||
MPH Acquisition Holdings LLC FRS BTL-B 4.76% (3 ML +4.25%) due 09/01/2028 | 124,375 | 120,644 |
295
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
LOANS(9)(10)(11) (continued) | |||||||||||
Commercial Services-Finance (continued) | |||||||||||
WEX, Inc. FRS BTL 2.71% (1 ML +2.25%) due 03/31/2028 | $ | 242,550 | $ | 239,366 | |||||||
360,010 | |||||||||||
Computer Data Security — 0.0% | |||||||||||
McAfee LLC FRS BTL-B 4.50% (SOFR + 4.00%) due 03/01/2029 | 130,000 | 128,668 | |||||||||
Computer Services — 0.1% | |||||||||||
Peraton Corp. FRS BTL-B 4.50% (1 ML +3.75%) due 02/01/2028 | 97,211 | 96,205 | |||||||||
Tempo Acquisition LLC FRS BTL-B 3.50% (SOFR +3.00%) due 08/31/2028 | 184,577 | 183,116 | |||||||||
279,321 | |||||||||||
Containers-Paper/Plastic — 0.0% | |||||||||||
Flex Acquisition Co., Inc. FRS BTL 4.00% (3 ML +3.50%) due 03/02/2028 | 82,989 | 82,587 | |||||||||
Proampac PG Borrower LLC FRS BTL 4.55% (3 ML +3.75%) due 11/03/2025 | 99,003 | 96,733 | |||||||||
179,320 | |||||||||||
Cosmetics & Toiletries — 0.0% | |||||||||||
Sunshine Luxembourg VII SARL FRS BTL-B3 4.76% (3 ML +3.75%) due 10/01/2026 | 161,716 | 160,453 | |||||||||
Cruise Lines — 0.0% | |||||||||||
Carnival Corp. FRS BTL-B 4.00% (3 ML +3.25%) due 10/18/2028 | 124,688 | 121,570 | |||||||||
Data Processing/Management — 0.0% | |||||||||||
Dun & Bradstreet Corp. FRS BTL 3.70% (1 ML +3.25%) due 02/06/2026 | 196,019 | 194,059 | |||||||||
Diagnostic Equipment — 0.0% | |||||||||||
Avantor, Inc. FRS BTL-B5 2.75% (1 ML +2.25%) due 11/08/2027 | 113,853 | 112,857 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Direct Marketing — 0.0% | |||||||||||
Terrier Media Buyer, Inc. FRS BTL 3.96% (1 ML +3.50%) due 12/17/2026 | $ | 117,315 | $ | 115,430 | |||||||
Disposable Medical Products ��� 0.0% | |||||||||||
Medline Industries, Inc. FRS BTL-B 3.75% (1 ML +3.25%) due 10/23/2028 | 190,000 | 187,884 | |||||||||
Electronic Parts Distribution — 0.0% | |||||||||||
Ingram Micro, Inc. FRS BTL-B 4.51% (3 ML +3.50%) due 06/30/2028 | 109,175 | 108,056 | |||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Dcert Buyer, Inc. FRS BTL-B 4.46% (1 ML +4.00%) due 10/16/2026 | 132,300 | 131,237 | |||||||||
Finastra USA, Inc. FRS BTL-B 4.50% (3 ML +3.50%) due 06/13/2024 | 217,451 | 214,325 | |||||||||
Solera LLC FRS BTL-B 4.50% (1 ML +4.00%) due 06/02/2028 | 104,475 | 103,613 | |||||||||
UKG, Inc. FRS BTL 3.75% (3 ML +3.25%) due 05/04/2026 | 98,754 | 97,855 | |||||||||
547,030 | |||||||||||
Entertainment Software — 0.0% | |||||||||||
Playtika Holding Corp. FRS BTL 3.21% (1 ML +2.75%) due 03/13/2028 | 99,000 | 97,577 | |||||||||
Finance-Credit Card — 0.0% | |||||||||||
Blackhawk Network Holdings, Inc. FRS 1st Lien 3.46% (1 ML +3.00%) due 06/15/2025 | 96,250 | 94,325 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Deerfield Dakota Holding LLC FRS BTL 4.75% (1 ML +3.75%) due 04/09/2027 | 260,363 | 258,931 | |||||||||
Food-Baking — 0.0% | |||||||||||
Hostess Brands LLC FRS BTL 3.00% (1 ML +2.25%) due 08/03/2025 | 38,441 | 37,903 |
296
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
LOANS(9)(10)(11) (continued) | |||||||||||
Food-Baking (continued) | |||||||||||
Hostess Brands LLC FRS BTL 3.00% (3 ML +2.25%) due 08/03/2025 | $ | 102,387 | $ | 100,954 | |||||||
138,857 | |||||||||||
Food-Misc./Diversified — 0.0% | |||||||||||
Froneri US, Inc. FRS BTL 2.71% (1 ML +2.25%) due 01/29/2027 | 98,250 | 96,334 | |||||||||
Food-Wholesale/Distribution — 0.0% | |||||||||||
US Foods, Inc. FRS BTL-B 2.51% (3 ML +2.00%) due 09/13/2026 | 131,625 | 128,828 | |||||||||
Gambling (Non-Hotel) — 0.1% | |||||||||||
Golden Entertainment, Inc. FRS 1st Lien 3.75% (1 ML +3.00%) due 10/21/2024 | 164,063 | 161,909 | |||||||||
Scientific Games International, Inc. FRS BTL-B5 3.21% (1 ML +2.75%) due 08/14/2024 | 110,124 | 109,497 | |||||||||
271,406 | |||||||||||
Gas-Distribution — 0.0% | |||||||||||
UGI Energy Services LLC FRS BTL-B 4.21% (1 ML +3.75%) due 08/13/2026 | 145,875 | 145,146 | |||||||||
Insurance Brokers — 0.0% | |||||||||||
HUB International, Ltd. FRS BTL-B 3.27% (3 ML +3.00%) due 04/25/2025 | 168,438 | 166,332 | |||||||||
USI, Inc. FRS BTL 4.01% (3 ML +3.00%) due 05/16/2024 | 105,050 | 104,286 | |||||||||
270,618 | |||||||||||
Insurance-Multi-line — 0.0% | |||||||||||
Acrisure LLC FRS BTL-B 3.96% (1 ML +3.50%) due 02/15/2027 | 98,741 | 97,013 | |||||||||
Insurance-Property/Casualty — 0.1% | |||||||||||
Asurion LLC FRS BTL-B6 3.58% (1 ML +3.13%) due 11/03/2023 | 156,433 | 155,338 | |||||||||
Asurion LLC FRS BTL-B1 3.71% (1 ML +3.25%) due 12/23/2026 | 98,750 | 96,475 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Insurance-Property/Casualty (continued) | |||||||||||
Asurion LLC FRS BTL-B4 5.71% (1 ML +5.25%) due 01/20/2029 | $ | 100,000 | $ | 97,700 | |||||||
Sedgwick Claims Management Services, Inc. FRS BTL 3.71% (1 ML +3.25%) due 12/31/2025 | 96,750 | 95,662 | |||||||||
Sedgwick Claims Management Services, Inc. FRS BTL-B 4.21% (1 ML +3.75%) due 09/03/2026 | 160,463 | 159,316 | |||||||||
604,491 | |||||||||||
Internet Content-Information/News — 0.0% | |||||||||||
MH Sub I LLC FRS BTL 4.75% (1 ML +3.75%) due 09/13/2024 | 99,494 | 98,395 | |||||||||
Investment Management/Advisor Services — 0.0% | |||||||||||
Russell Investments US Institutional Holdco, Inc. FRS BTL 4.50% (3 ML +3.50%) due 05/30/2025 | 125,000 | 123,281 | |||||||||
Leisure Products — 0.0% | |||||||||||
Hayward Industries, Inc. FRS BTL 3.00% (1 ML +2.50%) due 05/30/2028 | 99,250 | 97,947 | |||||||||
Machinery-Electrical — 0.0% | |||||||||||
Brookfield WEC Holdings, Inc. FRS BTL 3.25% (1 ML +2.75%) due 08/01/2025 | 96,775 | 94,916 | |||||||||
Machinery-General Industrial — 0.1% | |||||||||||
Gardner Denver, Inc. FRS 1st Lien 2.21% (1 ML +1.75%) due 03/01/2027 | 120,342 | 118,221 | |||||||||
Vertical US Newco, Inc. FRS BTL-B 4.02% (6 ML +3.50%) due 07/30/2027 | 261,050 | 258,309 | |||||||||
376,530 | |||||||||||
Medical Information Systems — 0.1% | |||||||||||
Zelis Payments Buyer, Inc. FRS BTL 3.73% (1 ML +3.50%) due 09/30/2026 | 293,530 | 290,136 |
297
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
LOANS(9)(10)(11) (continued) | |||||||||||
Medical Labs & Testing Services — 0.0% | |||||||||||
Envision Healthcare Corp. FRS 1st Lien 4.21% (1 ML +3.75%) due 10/10/2025 | $ | 111,263 | $ | 74,069 | |||||||
LGC Group Holdings, Ltd. FRS BTL-B 3.00% (1 ME +3.00%) due 04/21/2027 | EUR | 100,000 | 108,343 | ||||||||
182,412 | |||||||||||
Medical-Drugs — 0.1% | |||||||||||
Bausch Health Americas, Inc. FRS BTL 3.46% (1 ML +3.00%) due 06/02/2025 | 57,443 | 56,886 | |||||||||
Endo Luxembourg Finance Co. I SARL FRS BTL 5.75% (1 ML +5.00%) due 03/27/2028 | 177,552 | 165,678 | |||||||||
Jazz Financing Lux SARL FRS BTL 4.00% (1 ML +3.50%) due 05/05/2028 | 99,250 | 98,823 | |||||||||
Organon & Co. FRS BTL 3.56% (3 ML +3.00%) due 06/02/2028 | 120,521 | 119,655 | |||||||||
441,042 | |||||||||||
Medical-Nursing Homes — 0.0% | |||||||||||
ADMI Corp. FRS BTL-B2 3.88% (1 ML +3.38%) due 12/23/2027 | 99,000 | 97,164 | |||||||||
Medical-Wholesale Drug Distribution — 0.0% | |||||||||||
Milano Acquisition Corp. FRS BTL-B 5.01% (3 ML +4.00%) due 10/01/2027 | 98,997 | 98,255 | |||||||||
Multimedia — 0.0% | |||||||||||
EW Scripps Co. FRS BTL-B3 3.75% (1 ML +3.00%) due 01/07/2028 | 83,125 | 82,588 | |||||||||
Pharmacy Services — 0.0% | |||||||||||
Change Healthcare Holdings LLC FRS BTL 3.50% (1 ML +2.50%) due 03/01/2024 | 97,449 | 96,840 | |||||||||
Professional Sports — 0.0% | |||||||||||
Delta 2 Luxembourg SARL FRS BTL-B3 3.50% (1 ML +2.50%) due 02/01/2024 | 153,800 | 152,532 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Protection/Safety — 0.0% | |||||||||||
APX Group, Inc. FRS BTL-B 4.00% (1 ML +3.50%) due 07/10/2028 | $ | 99,481 | $ | 98,092 | |||||||
APX Group, Inc. FRS BTL-B 6.00% (USFRBPLR +2.50%) due 07/10/2028 | 19 | 19 | |||||||||
98,111 | |||||||||||
Retail-Arts & Crafts — 0.0% | |||||||||||
Michaels Cos., Inc. FRS BTL-B 5.26% (3 ML +4.25%) due 04/15/2028 | 99,250 | 92,509 | |||||||||
Retail-Auto Parts — 0.0% | |||||||||||
Harbor Freight Tools USA, Inc. FRS BTL-B 3.25% (1 ML +2.75%) due 10/19/2027 | 109,439 | 106,976 | |||||||||
Retail-Building Products — 0.1% | |||||||||||
LBM Acquisition LLC FRS BTL-B 4.50% (3 ML +3.75%) due 12/17/2027 | 99,332 | 96,880 | |||||||||
SRS Distribution, Inc. FRS BTL-B 4.00%-4.02% (3 ML +3.50%) due 06/02/2028 | 109,450 | 107,671 | |||||||||
White Cap Buyer LLC FRS BTL-B 4.25% (SOFR +3.75%) due 10/19/2027 | 103,688 | 102,359 | |||||||||
306,910 | |||||||||||
Retail-Office Supplies — 0.0% | |||||||||||
Staples, Inc. FRS BTL 5.32% (3 ML +5.00%) due 04/16/2026 | 124,845 | 117,713 | |||||||||
Retail-Pet Food & Supplies — 0.0% | |||||||||||
PetSmart, Inc. FRS BTL-B 4.50% (3 ML +3.75%) due 02/11/2028 | 99,500 | 98,953 | |||||||||
Retail-Petroleum Products — 0.0% | |||||||||||
EG America LLC FRS BTL 4.75% (3 ML +4.25%) due 03/31/2026 | 99,394 | 97,841 | |||||||||
Retail-Sporting Goods — 0.0% | |||||||||||
Great Outdoors Group LLC FRS BTL-B1 4.50% (1 ML +3.75%) due 03/06/2028 | 103,691 | 103,172 |
298
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
LOANS(9)(10)(11) (continued) | |||||||||||
Security Services — 0.0% | |||||||||||
Verisure Holding AB FRS BTL-B 3.25% (6 ME +3.25%) due 07/20/2026 | EUR | 115,000 | $ | 124,634 | |||||||
Verisure Holding AB FRS BTL 3.25% (6 ME +3.25%) due 03/27/2028 | EUR | 100,000 | 108,551 | ||||||||
233,185 | |||||||||||
Telephone-Integrated — 0.0% | |||||||||||
CenturyLink, Inc. FRS BTL-B 2.71% (1 ML +2.25%) due 03/15/2027 | 97,750 | 95,047 | |||||||||
Theaters — 0.0% | |||||||||||
Cineworld, Ltd. FRS BTL 4.00% (3 ML +2.50%) due 02/28/2025 | 84,230 | 64,844 | |||||||||
Crown Finance US, Inc. FRS BTL-B1 9.25% (3 ML +8.25%) due 02/28/2025 | 3,666 | 3,895 | |||||||||
68,739 | |||||||||||
Veterinary Diagnostics — 0.0% | |||||||||||
Elanco Animal Health, Inc. FRS BTL 2.21% (1 ML +1.75%) due 08/01/2027 | 198,357 | 194,921 | |||||||||
Web Hosting/Design — 0.0% | |||||||||||
Go Daddy Operating Co. LLC FRS BTL-B4 2.45% (1 ML +2.00%) due 08/10/2027 | 112,988 | 111,716 | |||||||||
Total Loans (cost $13,269,444) | 12,987,701 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.6% | |||||||||||
Banks-Special Purpose — 0.0% | |||||||||||
Industrial Bank of Korea Senior Notes 1.04% due 06/22/2025* | 341,000 | 320,294 | |||||||||
Sovereign — 2.6% | |||||||||||
Arab Republic of Egypt Senior Notes 7.63% due 05/29/2032* | 235,000 | 212,614 | |||||||||
Arab Republic of Egypt Senior Notes 8.50% due 01/31/2047 | 200,000 | 170,156 | |||||||||
Dominican Republic Senior Notes 6.40% due 06/05/2049* | 1,110,000 | 1,037,861 | |||||||||
Federative Republic of Brazil Notes 10.00% due 01/01/2031 | BRL | 10,630,000 | 2,099,438 |
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
Sovereign (continued) | |||||||||||
Finance Department Government of Sharjah Senior Notes 3.63% due 03/10/2033* | $ | 520,000 | $ | 479,076 | |||||||
Government of Bermuda Senior Notes 2.38% due 08/20/2030* | 200,000 | 183,000 | |||||||||
Government of Hungary Senior Notes 1.63% due 04/28/2032 | EUR | 1,240,000 | 1,300,282 | ||||||||
Government of Romania Bonds 2.63% due 12/02/2040* | EUR | 645,000 | 542,020 | ||||||||
Government of Romania Notes 2.75% due 04/14/2041 | EUR | 255,000 | 215,399 | ||||||||
Government of Romania Senior Notes 3.38% due 02/08/2038 | EUR | 255,000 | 243,620 | ||||||||
Government of Romania Senior Notes 4.63% due 04/03/2049 | EUR | 730,000 | 791,734 | ||||||||
Kingdom of Morocco Senior Notes 2.00% due 09/30/2030 | EUR | 585,000 | 564,949 | ||||||||
Kingdom of Saudi Arabia Senior Notes 2.00% due 07/09/2039 | EUR | 210,000 | 214,079 | ||||||||
Republic of Angola Senior Notes 8.00% due 11/26/2029 | 325,000 | 326,177 | |||||||||
Republic of Angola Senior Notes 8.25% due 05/09/2028 | 200,000 | 203,500 | |||||||||
Republic of Benin Senior Notes 4.95% due 01/22/2035* | EUR | 585,000 | 526,785 | ||||||||
Republic of Chile Senior Notes 1.25% due 01/22/2051 | EUR | 1,005,000 | 824,234 | ||||||||
Republic of Chile Senior Notes 3.10% due 05/07/2041 | 624,000 | 550,911 | |||||||||
Republic of Chile Senior Notes 3.25% due 09/21/2071 | 225,000 | 182,421 | |||||||||
Republic of Chile Senior Notes 3.50% due 01/31/2034 | 200,000 | 197,282 | |||||||||
Republic of Chile Senior Notes 4.00% due 01/31/2052 | 255,000 | 252,057 | |||||||||
Republic of Croatia Notes 1.50% due 06/17/2031 | EUR | 990,000 | 1,026,738 | ||||||||
Republic of Indonesia Senior Notes 1.10% due 03/12/2033 | EUR | 1,075,000 | 1,034,573 |
299
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount(14) | Value (Note 2) | |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||||||||||
Sovereign (continued) | |||||||||||
Republic of North Macedonia Senior Notes 2.75% due 01/18/2025 | EUR | 410,000 | $ | 441,189 | |||||||
Republic of North Macedonia Senior Notes 3.68% due 06/03/2026* | EUR | 480,000 | 529,715 | ||||||||
Republic of Panama Senior Notes 3.87% due 07/23/2060 | 1,070,000 | 937,523 | |||||||||
Republic of Panama Senior Notes 4.30% due 04/29/2053 | 200,000 | 192,228 | |||||||||
Republic of Panama Senior Notes 4.50% due 01/19/2063 | 235,000 | 225,786 | |||||||||
Republic of Philippines Senior Notes 1.20% due 04/28/2033 | EUR | 1,085,000 | 1,066,690 | ||||||||
Republic of Philippines Senior Notes 1.75% due 04/28/2041 | EUR | 300,000 | 281,679 | ||||||||
Republic of Senegal Senior Notes 4.75% due 03/13/2028 | EUR | 200,000 | 214,612 | ||||||||
Republic of Senegal Senior Notes 6.25% due 05/23/2033 | 480,000 | 452,611 | |||||||||
Russian Federation Bonds 5.90% due 03/12/2031†(7)(12) | RUB | 142,880,000 | 52,756 | ||||||||
Sultanate of Oman Bonds 6.75% due 01/17/2048* | 200,000 | 199,524 | |||||||||
United Mexican States Senior Notes 1.13% due 01/17/2030 | EUR | 210,000 | 207,326 | ||||||||
United Mexican States Senior Notes 1.45% due 10/25/2033 | EUR | 1,305,000 | 1,215,558 | ||||||||
United Mexican States Senior Notes 3.75% due 04/19/2071 | 300,000 | 238,797 | |||||||||
United Mexican States Senior Notes 4.28% due 08/14/2041 | 451,000 | 421,302 | |||||||||
United Mexican States Bonds 4.75% due 03/08/2044 | 76,000 | 74,846 | |||||||||
United Mexican States Bonds 7.75% due 05/29/2031 | MXN | 69,067,700 | 3,345,564 | ||||||||
23,276,612 | |||||||||||
Total Foreign Government Obligations (cost $29,249,602) | 23,596,906 |
Security Description | Shares/ Principal Amount(14) | Value (Note 2) | |||||||||
COMMON STOCKS — 0.0% | |||||||||||
Coal — 0.0% | |||||||||||
Foresight Energy LLC†(12) | 1,359 | $ | 21,742 | ||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC†(7)(12) | 11,973 | 14,966 | |||||||||
Oil Field Machinery & Equipment — 0.0% | |||||||||||
Hi-Crush, Inc.†(7)(12) | 3,065 | 858 | |||||||||
Total Common Stocks (cost $52,566) | 37,566 | ||||||||||
PREFERRED SECURITIES/CAPITAL SECURITIES — 0.1% | |||||||||||
Cellular Telecom — 0.0% | |||||||||||
Vodafone Group PLC 5.13% due 06/04/2081 | $ | 36,000 | 31,743 | ||||||||
Diversified Banking Institutions — 0.0% | |||||||||||
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(13) | 127,000 | 128,143 | |||||||||
Electric-Distribution — 0.0% | |||||||||||
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043 | 94,000 | 91,718 | |||||||||
Electric-Integrated — 0.1% | |||||||||||
CMS Energy Corp. 3.75% due 12/01/2050 | 55,000 | 48,538 | |||||||||
CMS Energy Corp. 4.75% due 06/01/2050 | 73,000 | 72,270 | |||||||||
Dominion Resources, Inc. 5.75% due 10/01/2054 | 80,000 | 81,245 | |||||||||
202,053 | |||||||||||
Insurance-Life/Health — 0.0% | |||||||||||
Prudential Financial, Inc. 5.63% due 06/15/2043 | 111,000 | 111,694 | |||||||||
Prudential Financial, Inc. 5.70% due 09/15/2048 | 57,000 | 58,150 | |||||||||
169,844 | |||||||||||
Insurance-Mutual — 0.0% | |||||||||||
Liberty Mutual Group, Inc. Company Guar. Notes 4.30% due 02/01/2061* | 184,000 | 146,243 | |||||||||
Oil Companies-Integrated — 0.0% | |||||||||||
BP Capital Markets PLC 4.88% due 03/22/2030(13) | 61,000 | 61,152 | |||||||||
Pipelines — 0.0% | |||||||||||
EnLink Midstream Partners LP 6.00% due 12/15/2022(13) | 91,000 | 66,742 | |||||||||
Enterprise Products Operating LLC 5.25% due 08/16/2077 | 71,000 | 66,754 | |||||||||
133,496 | |||||||||||
Tools-Hand Held — 0.0% | |||||||||||
Stanley Black & Decker, Inc. 4.00% due 03/15/2060 | 167,000 | 165,285 | |||||||||
Total Preferred Securities/Capital Securities (cost $1,205,531) | 1,129,677 |
300
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares/ Principal Amount(14) | Value (Note 2) | |||||||||
WARRANTS — 0.0% | |||||||||||
Oil Companies-Exploration & Production — 0.0% | |||||||||||
Ascent Resources — Marcellus LLC†(7)(12) (cost $296) | 3,100 | $ | 50 | ||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
ION Media Networks, Inc.†(7) | 22 | 78 | |||||||||
Paragon Offshore Finance Co. Escrow Loans†(7) | 587 | 0 | |||||||||
Total Escrows and Litigation Trusts (cost $587) | 78 | ||||||||||
Total Long-Term Investment Securities (cost $1,095,882,308) | 1,055,389,628 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 2.2% | |||||||||||
Registered Investment Companies — 2.2% | |||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.31%(16) (cost $19,505,872) | 19,506,119 | 19,504,168 | |||||||||
REPURCHASE AGREEMENTS — 0.4% | |||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(17) | $ | 840,000 | 840,000 | ||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(17) | 675,000 | 675,000 | |||||||||
BNP Paribas SA Joint Repurchase Agreement(17) | 585,000 | 585,000 | |||||||||
Deutsche Bank AG Joint Repurchase Agreement(17) | 895,000 | 895,000 | |||||||||
RBS Securities, Inc. Joint Repurchase Agreement(17) | 875,000 | 875,000 | |||||||||
Total Repurchase Agreements (cost $3,870,000) | 3,870,000 | ||||||||||
TOTAL INVESTMENTS (cost $1,119,258,180)(18) | 120.3 | % | 1,078,763,796 | ||||||||
Liabilities in excess of other assets | (20.3 | ) | (182,294,501 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 896,469,295 |
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $162,515,732 representing 18.1% of net assets.
† Non-income producing security
(1) Commercial Mortgage Backed Security
(2) Collateralized Mortgage Obligation
(3) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2022.
(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) Interest Only
(6) Collateralized Loan Obligation
(7) Securities classified as Level 3 (see Note 2).
(8) Principal amount of security is adjusted for inflation.
(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) All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.
(12) Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the "1933 Act"); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of March 31, 2022, the Portfolio held the following restricted securities:
Description | Acquisition Date | Shares/ Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | |||||||||||||||||||||
Common Stocks: | |||||||||||||||||||||||||||
Ascent Resources — Marcellus LLC | 03/30/2018 | 11,973 | $ | 36,240 | $ | 14,966 | $ | 1.25 | 0.00 | % | |||||||||||||||||
Foresight Energy LLC | 06/30/2020 | 1,359 | 12,284 | 21,742 | 16.00 | 0.00 | |||||||||||||||||||||
Hi-Crush, Inc. | 01/29/2021 | 3,065 | 4,043 | 858 | 0.28 | 0.00 | |||||||||||||||||||||
Foreign Government Obligations: | |||||||||||||||||||||||||||
Russian Federation Bonds, 5.90% due 03/12/2031 | 05/27/2021 | RUB | 142,880,000 | 1,789,656 | 52,756 | 0.00 | 0.00 | ||||||||||||||||||||
Warrants: | |||||||||||||||||||||||||||
Ascent Resources — Marcellus LLC | 03/30/2018 | 3,100 | 296 | 50 | 0.02 | 0.00 | |||||||||||||||||||||
$ | 90,372 | 0.00 | % |
(13) Perpetual maturity — maturity date reflects the next call date.
(14) Denominated in United States dollars unless otherwise indicated.
(15) The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.
301
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
(16) The rate shown is the 7-day yield as of March 31, 2022.
(17) See Note 2 for details of Joint Repurchase Agreements.
(18) See Note 4 for cost of investments on a tax basis.
BRL — Brazilian Real
BTL — Bank Term Loan
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
EUR — Euro Currency
MXN — Mexican Peso
REMIC — Real Estate Mortgage Investment Conduit
RUB — Russian Ruble
SCRT — Seasoned Credit Risk Transfer Trust
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 the FRS and VRS are the current interest rates at March 31, 2022 and unless otherwise indicated, the dates are the original maturity dates.
Index Legend
1 ME — 1 Month Euribor
1 ML — 1 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 Curve Rate
COFI 11 — 11th District Cost of Funds
SOFR — Secured Overnight Financing Rate
USFRBPLR — US Federal Reserve Bank Prime Loan Rate
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | |||||||||||||||||||||
6 | Short | Euro Buxl 30 Year Bonds | June 2022 | $ | 1,326,371 | $ | 1,235,902 | $ | 90,469 | ||||||||||||||||||
110 | Short | Euro Bund | June 2022 | 20,045,180 | 19,306,934 | 738,246 | |||||||||||||||||||||
211 | Short | U.S. Treasury 10 Year Ultra Bonds | June 2022 | 29,148,554 | 28,583,906 | 564,648 | |||||||||||||||||||||
126 | Short | U.S. Treasury Ultra Bonds | June 2022 | 23,069,439 | 22,317,750 | 751,689 | |||||||||||||||||||||
$ | 2,145,052 | ||||||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||||||
16 | Short | U.S. Treasury 2 Year Notes | June 2022 | $ | 3,384,750 | $ | 3,390,750 | $ | (6,000 | ) | |||||||||||||||||
50 | Long | U.S. Treasury 5 Year Notes | June 2022 | 5,911,753 | 5,734,375 | (177,378 | ) | ||||||||||||||||||||
74 | Short | U.S. Treasury 10 Year Notes | June 2022 | 9,085,297 | 9,092,750 | (7,453 | ) | ||||||||||||||||||||
48 | Long | U.S. Treasury Long Bonds | June 2022 | 7,406,594 | 7,203,000 | (203,594 | ) | ||||||||||||||||||||
$ | (394,425 | ) | |||||||||||||||||||||||||
Net Unrealized Appreciation (Depreciation) | $ | 1,750,627 |
* 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
302
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | ||||||||||||||||||||||||||
Citibank N.A. | MXN | 49,880,000 | USD | 2,349,528 | 06/15/2022 | $ | — | $ | (126,454 | ) | |||||||||||||||||||||
Deutsche Bank AG | EUR | 489,000 | USD | 541,532 | 04/29/2022 | 179 | — | ||||||||||||||||||||||||
EUR | 10,757,000 | USD | 12,054,509 | 06/15/2022 | 122,439 | — | |||||||||||||||||||||||||
122,618 | — | ||||||||||||||||||||||||||||||
Goldman Sachs International | BRL | 10,010,000 | USD | 1,929,973 | 06/15/2022 | — | (130,012 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | EUR | 515,000 | USD | 566,424 | 06/15/2022 | — | (4,834 | ) | |||||||||||||||||||||||
Natwest Markets PLC | USD | 235,716 | EUR | 215,000 | 06/15/2022 | 2,770 | — | ||||||||||||||||||||||||
Standard Chartered Bank | USD | 571,440 | EUR | 515,000 | 06/15/2022 | — | (182 | ) | |||||||||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 125,388 | $ | (261,482 | ) |
BRL — Brazilian Real
EUR — Euro Currency
MXN — Mexican Peso
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | — | $ | 123,551,223 | $ | — | $ | 123,551,223 | |||||||||||
U.S. Corporate Bonds & Notes | — | 243,083,304 | — | 243,083,304 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 44,794,083 | — | 44,794,083 | |||||||||||||||
U.S. Government Agencies | — | 251,584,655 | — | 251,584,655 | |||||||||||||||
U.S. Government Treasuries | — | 350,494,361 | — | 350,494,361 | |||||||||||||||
Municipal Bond & Notes | — | 4,130,024 | — | 4,130,024 | |||||||||||||||
Loans | — | 12,987,701 | — | 12,987,701 | |||||||||||||||
Foreign Government Obligations: | |||||||||||||||||||
Sovereign | — | 23,223,856 | 52,756 | 23,276,612 | |||||||||||||||
Other Foreign Government Obligations | — | 320,294 | — | 320,294 | |||||||||||||||
Common Stocks: | |||||||||||||||||||
Coal | — | 21,742 | — | 21,742 | |||||||||||||||
Other Industries | — | — | 15,824 | 15,824 | |||||||||||||||
Preferred Securities/Capital Securities | — | 1,129,677 | — | 1,129,677 | |||||||||||||||
Warrants | — | — | 50 | 50 | |||||||||||||||
Escrows and Litigation Trusts | — | — | 78 | 78 | |||||||||||||||
Short-Term Investment Securities | 19,504,168 | — | — | 19,504,168 | |||||||||||||||
Repurchase Agreements | — | 3,870,000 | — | 3,870,000 | |||||||||||||||
Total Investments at Value | $ | 19,504,168 | $ | 1,059,190,920 | $ | 68,708 | $ | 1,078,763,796 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 2,145,052 | $ | — | $ | — | $ | 2,145,052 | |||||||||||
Forward Foreign Currency Contracts | — | 125,388 | — | 125,388 | |||||||||||||||
Total Other Financial Instruments | $ | 2,145,052 | $ | 125,388 | $ | — | $ | 2,270,440 |
303
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Futures Contracts | $ | 394,425 | $ | — | $ | — | $ | 394,425 | |||||||||||
Forward Foreign Currency Contracts | — | 261,482 | — | 261,482 | |||||||||||||||
Total Other Financial Instruments | $ | 394,425 | $ | 261,482 | $ | — | $ | 655,907 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
304
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
United States Treasury Notes | 37.0 | % | |||||
United States Treasury Bonds | 18.9 | ||||||
Diversified Financial Services | 17.4 | ||||||
Diversified Banking Institutions | 6.7 | ||||||
Registered Investment Companies | 3.4 | ||||||
Federal Home Loan Mtg. Corp. | 2.3 | ||||||
Federal National Mtg. Assoc. | 1.9 | ||||||
Banks-Commercial | 1.6 | ||||||
Commercial Paper | 1.5 | ||||||
Telephone-Integrated | 1.3 | ||||||
Finance-Leasing Companies | 1.1 | ||||||
Investment Companies | 1.1 | ||||||
Auto-Cars/Light Trucks | 0.9 | ||||||
Insurance-Life/Health | 0.8 | ||||||
Electric-Integrated | 0.8 | ||||||
Real Estate Investment Trusts | 0.6 | ||||||
Pipelines | 0.6 | ||||||
Diagnostic Equipment | 0.5 | ||||||
Medical Labs & Testing Services | 0.5 | ||||||
Electronic Components-Semiconductors | 0.5 | ||||||
Pharmacy Services | 0.3 | ||||||
Medical-Drugs | 0.3 | ||||||
Banks-Super Regional | 0.3 | ||||||
Computers | 0.3 | ||||||
Building Societies | 0.3 | ||||||
Retail-Building Products | 0.3 | ||||||
Medical-Hospitals | 0.3 | ||||||
Aerospace/Defense | 0.3 | ||||||
Advertising Agencies | 0.2 | ||||||
Cosmetics & Toiletries | 0.2 | ||||||
Finance-Commercial | 0.2 | ||||||
Building-Residential/Commercial | 0.2 | ||||||
Electric-Distribution | 0.1 | ||||||
Cable/Satellite TV | 0.1 | ||||||
Motion Pictures & Services | 0.1 | ||||||
Multimedia | 0.1 | ||||||
Insurance Brokers | 0.1 | ||||||
Food-Confectionery | 0.1 | ||||||
Airlines | 0.1 | ||||||
Water | 0.1 | ||||||
Venture Capital | 0.1 | ||||||
Broadcast Services/Program | 0.1 | ||||||
Financial Guarantee Insurance | 0.1 | ||||||
Enterprise Software/Service | 0.1 | ||||||
Insurance-Reinsurance | 0.1 | ||||||
103.9 | % |
Credit Quality†# | |||||||
Aaa | 60.3 | % | |||||
Aa | 2.5 | ||||||
A | 6.2 | ||||||
Baa | 13.6 | ||||||
Ba | 0.5 | ||||||
Not Rated## | 16.9 | ||||||
100.0 | % |
@ See Note 1
* 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.
305
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. GOVERNMENT AGENCIES — 4.2% | |||||||||||
Federal Home Loan Mtg. Corp. — 2.3% | |||||||||||
6.25% due 07/15/2032 | $ | 3,500,000 | $ | 4,647,264 | |||||||
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2021-DNA2, Class M1 0.90% (SOFR30A+0.80%) due 08/25/2033*(1) | 1,235,359 | 1,226,617 | |||||||||
Series 2018-HRP2, Class M3AS 1.46% (1 ML+1.00%) due 02/25/2047*(1) | 1,950,000 | 1,930,048 | |||||||||
Series 2019-HQA2, Class M2 2.51% (1 ML + 2.05%) due 04/25/2049*(1) | 3,656,436 | 3,654,282 | |||||||||
Series 2019-DNA1, Class M2 3.11% (1 ML + 2.65%) due 01/25/2049*(1) | 3,184,165 | 3,200,143 | |||||||||
Series 2020-HQA3, Class M2 4.06% (1 ML + 3.60%) due 07/25/2050*(1) | 1,493,192 | 1,494,962 | |||||||||
16,153,316 | |||||||||||
Federal National Mtg. Assoc. — 1.9% | |||||||||||
6.63% due 11/15/2030 | 4,000,000 | 5,244,247 | |||||||||
Federal National Mtg. Assoc. Connecticut Avenue Securities FRS Series 2017-C07, Class 1EB2 1.46% (1 ML + 1.00%) due 05/25/2030(1) | 1,866,518 | 1,853,535 | |||||||||
Series 2017-C01, Class 1EB1 1.71% (1 ML + 1.25%) due 07/25/2029(1) | 2,204,535 | 2,188,487 | |||||||||
Series 2017-C02, Class 2ED3 1.81% (1 ML+1.35%) due 09/25/2029(1) | 1,973,002 | 1,956,981 | |||||||||
Series 2019-R03, Class 1M2 2.61% (1 ML+2.15%) due 09/25/2031*(1) | 79,655 | 79,655 | |||||||||
Series 2018-C01, Class 1M2 2.71% (1 ML+2.25%) due 07/25/2030(1) | 2,197,782 | 2,214,335 | |||||||||
13,537,240 | |||||||||||
Total U.S. Government Agencies (cost $29,745,532) | 29,690,556 | ||||||||||
U.S. GOVERNMENT TREASURIES — 55.9% | |||||||||||
United States Treasury Bonds TIPS(2) — 18.9% | |||||||||||
0.13% due 02/15/2051 | 502,009 | 522,534 | |||||||||
0.13% due 02/15/2052 | 11,359,013 | 11,982,871 | |||||||||
0.25% due 02/15/2050 | 6,339,815 | 6,762,717 | |||||||||
0.63% due 02/15/2043 | 12,225,300 | 13,789,756 | |||||||||
0.75% due 02/15/2042 | 18,658,500 | 21,548,867 | |||||||||
0.75% due 02/15/2045 | 14,991,742 | 17,410,917 | |||||||||
0.88% due 02/15/2047 | 11,969,826 | 14,517,155 | |||||||||
1.00% due 02/15/2046 | 11,862,400 | 14,611,449 | |||||||||
1.00% due 02/15/2048 | 6,838,860 | 8,596,305 | |||||||||
1.00% due 02/15/2049 | 653,433 | 828,575 | |||||||||
2.13% due 02/15/2041 | 16,685,370 | 23,832,487 | |||||||||
134,403,633 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
United States Treasury Notes TIPS(2) — 37.0% | |||||||||||
0.13% due 07/15/2024 | $ | 14,796,625 | $ | 15,542,525 | |||||||
0.13% due 10/15/2024(9) | 32,865,600 | 34,432,493 | |||||||||
0.13% due 10/15/2026 | 30,858,000 | 32,473,826 | |||||||||
0.13% due 07/15/2030 | 23,377,745 | 24,900,342 | |||||||||
0.13% due 07/15/2031 | 8,788,106 | 9,396,293 | |||||||||
0.13% due 01/15/2032 | 27,376,920 | 29,292,592 | |||||||||
0.25% due 07/15/2029 | 32,964,600 | 35,267,830 | |||||||||
0.38% due 07/15/2023 | 18,116,700 | 19,026,781 | |||||||||
0.50% due 01/15/2028 | 3,897,056 | 4,178,375 | |||||||||
0.75% due 07/15/2028 | 14,623,804 | 16,028,775 | |||||||||
0.88% due 01/15/2029 | 37,963,981 | 42,016,932 | |||||||||
262,556,764 | |||||||||||
Total U.S. Government Treasuries (cost $398,216,040) | 396,960,397 | ||||||||||
ASSET BACKED SECURITIES — 17.4% | |||||||||||
Diversified Financial Services — 17.4% | |||||||||||
Aligned Data Centers Issuer LLC Series 2021-1A, Class B 2.48% due 08/15/2046* | 2,500,000 | 2,303,143 | |||||||||
Applebee's Funding LLC/IHOP Funding LLC Series 2019-1A, Class A2I 4.19% due 06/05/2049* | 2,128,500 | 2,113,543 | |||||||||
BANK VRS Series 2020-BN29, Class XA 1.35% due 11/15/2053(3)(4)(5) | 7,151,751 | 634,567 | |||||||||
Barings CLO, Ltd. FRS Series 2018-3A, Class B1 1.70% (3 ML+1.45%) due 07/20/2029*(7) | 3,000,000 | 2,963,460 | |||||||||
Barings CLO, Ltd. FRS Series 2017-1A, Class C 2.64% (3 ML+2.40%) due 07/18/2029*(7) | 3,000,000 | 2,980,476 | |||||||||
Bean Creek CLO, Ltd. FRS Series 2015-1A, Class AR 1.27% (3 ML+1.02%) due 04/20/2031*(7) | 2,770,000 | 2,748,834 | |||||||||
Bean Creek CLO, Ltd. FRS Series 2015-1A, Class BR 1.70% (3 ML+1.45%) due 04/20/2031*(7) | 3,115,000 | 3,073,312 | |||||||||
Bellemeade Re, Ltd. FRS Series 2017-1, Class M2 3.81% (1 ML+3.35%) due 10/25/2027*(1) | 2,074,953 | 2,083,465 | |||||||||
BSPRT Issuer, Ltd. FRS Series 2018-FL4, Class D 3.15% (1 ML+2.75%) due 09/15/2035* | 3,000,000 | 2,988,966 | |||||||||
BX Commercial Mtg. Trust VRS Series 2020-VIV2, Class C 3.54% due 03/09/2044*(3)(4) | 2,728,000 | 2,496,708 | |||||||||
BX Trust Series 2019-OC11, Class A 3.20% due 12/09/2041*(4) | 2,700,000 | 2,609,186 |
306
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
CLI Funding VI LLC Series 2020-3A, Class A 2.07% due 10/18/2045* | $ | 3,102,298 | $ | 2,883,740 | |||||||
CLI Funding VIII LLC Series 2021-1A, Class A 1.64% due 02/18/2046* | 1,783,762 | 1,621,147 | |||||||||
Cologix Data Centers US Issuer LLC Series 2021-1A, Class A2 3.30% due 12/26/2051* | 2,175,000 | 2,093,387 | |||||||||
Commercial Mtg. Trust Series 2015-CR23, Class ASB 3.26% due 05/10/2048(4) | 2,546,240 | 2,562,951 | |||||||||
CSMC Trust FRS Series 2019-ICE4, Class D 2.00% (1 ML +1.60%) due 05/15/2036*(4) | 3,000,000 | 2,966,166 | |||||||||
CSMC Trust VRS Series 2022-NQM2, A3 4.00% due 02/25/2067*(1)(3) | 3,600,650 | 3,508,045 | |||||||||
DB Master Finance LLC Series 2019-1A, Class A2II 4.02% due 05/20/2049* | 2,113,800 | 2,118,323 | |||||||||
DBJPM Mtg. Trust Series 2016-C1, Class AM 3.54% due 05/10/2049(4) | 2,961,000 | 2,936,756 | |||||||||
Deephaven Residential Mtg. Trust Series 2020-2, Class A3 2.86% due 05/25/2065*(1) | 2,100,000 | 2,088,469 | |||||||||
Deephaven Residential Mtg. Trust VRS Series 2022-2, ClassA1 4.30% due 03/25/2067*(1)(3) | 3,250,000 | 3,250,913 | |||||||||
Domino's Pizza Master Issuer LLC Series 2017-1A, Class A23 4.12% due 07/25/2047* | 2,735,040 | 2,714,437 | |||||||||
Extended Stay America Trust FRS Series 2021-ESH, Class E 3.25% (1 ML + 2.85%) due 07/15/2038*(4) | 2,453,897 | 2,412,304 | |||||||||
FS Rialto, Ltd. FRS Series 2019-FL1, Class B 2.33% (1 ML + 1.90%) due 12/16/2036* | 2,000,000 | 1,969,728 | |||||||||
Greenwood Park CLO, Ltd. FRS Series 2018-1A, Class A1 1.27% (3 ML + 1.03%) due 04/15/2031*(7) | 3,000,000 | 2,985,555 | |||||||||
InTown Hotel Portfolio Trust FRS Series 2018-STAY, Class C 2.05% (1 ML + 1.65%) due 01/15/2033*(4) | 1,740,000 | 1,731,678 | |||||||||
J.P. Morgan Chase Commercial Mtg. Securities Trust Series 2018-AON, Class A 4.13% due 07/05/2031*(4) | 2,899,000 | 2,922,849 | |||||||||
JP Morgan Mtg. Trust VRS Series 2022-LTV1, Class A3 3.52% due 07/25/2052*(1)(3) | 2,647,030 | 2,516,285 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Diversified Financial Services (continued) | |||||||||||
MFRA Trust VRS Series 2021-NQM1, Class A1 1.15% due 04/25/2065*(1)(3) | $ | 453,371 | $ | 445,500 | |||||||
MTN Commercial Mtg. Trust FRS Series 2022-LPFL, Class D 2.99% (TSFR1M +2.94%) due 03/15/2039*(4) | 2,973,000 | 2,954,530 | |||||||||
Octagon Investment Partners XXI, Ltd. FRS Series 2014-1A, Class A2R3 1.79% (3 ML +1.40%) due 02/14/2031*(7) | 2,000,000 | 1,963,290 | |||||||||
Palmer Square CLO, Ltd. FRS Series 2014-1A, Class A1R2 1.37% (3 ML +1.13%) due 01/17/2031*(7) | 3,000,000 | 2,985,906 | |||||||||
Palmer Square CLO, Ltd. FRS Series 2018-2A, Class A2 1.89% (3 ML + 1.65%) due 07/16/2031*(7) | 2,000,000 | 1,983,132 | |||||||||
Palmer Square Loan Funding, Ltd. FRS Series 2019-4A, Class B 2.36% (3 ML + 2.10%) due 10/24/2027*(7) | 2,000,000 | 1,975,330 | |||||||||
Palmer Square Loan Funding, Ltd. FRS Series 2019-3A, Class B 2.58% (3 ML + 2.10%) due 08/20/2027*(7) | 2,500,000 | 2,497,300 | |||||||||
Rockford Tower CLO, Ltd. FRS Series 2017-2A, Class BR 1.74% (3 ML + 1.50%) due 10/15/2029*(7) | 3,053,000 | 3,038,590 | |||||||||
Sierra Timeshare Receivables Funding LLC Series 2022-1A, Class C 3.94% due 10/20/2038* | 1,400,000 | 1,384,402 | |||||||||
Starwood Mtg. Residential Trust VRS Series 2021-2, Class A1 0.94% due 05/25/2065*(1)(3) | 148,699 | 145,312 | |||||||||
Starwood Mtg. Residential Trust VRS Series 2020-3, Class A1 1.49% due 04/25/2065*(1)(3) | 1,255,282 | 1,236,937 | |||||||||
Stonepeak ABS Series 2021-1A, Class AA 2.30% due 02/28/2033* | 1,840,418 | 1,734,411 | |||||||||
Stratus CLO, Ltd. FRS Series 2021-1A, Class A 0.89% (3 ML +0.80%) due 12/29/2029*(7) | 2,350,000 | 2,329,748 | |||||||||
Towd Point Mtg. Trust VRS Series 2021-R1, Class A1 2.92% due 11/30/2060*(1)(3) | 7,077 | 6,886 | |||||||||
Traingle Re, Ltd. FRS Series 2021-1, Class M1C 3.86% (1 ML + 3.40%) due 08/25/2033*(1) | 3,000,000 | 3,002,276 | |||||||||
Tricon Residential Trust Series 2022-SFR1, Class D 4.75% due 04/17/2039* | 3,000,000 | 3,003,780 |
307
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
ASSET BACKED SECURITIES (continued) | |||||||||||
Diversified Financial Services (continued) | |||||||||||
Triton Container Finance VIII LLC Series 2021-1A, Class A 1.86% due 03/20/2046* | $ | 1,830,000 | $ | 1,657,776 | |||||||
Verus Securitization Trust VRS Series 2021-2, Class A1 1.03% due 02/25/2066*(1)(3) | 392,115 | 377,475 | |||||||||
Verus Securitization Trust Series 2020-1, Class A3 2.72% due 01/25/2060*(1)(8) | 3,335,937 | 3,317,224 | |||||||||
Verus Securitization Trust VRS Series 2019-INV2, Class M1 3.50% due 07/25/2059*(1)(3) | 3,253,000 | 3,256,338 | |||||||||
Verus Securitization Trust Series 2022-3, Class A1 4.13% due 02/25/2067*(1) | 3,600,000 | 3,588,876 | |||||||||
Verus Securitization Trust VRS Series 2022-3, Class A3 4.13% due 02/25/2067*(1)(3) | 3,525,000 | 3,481,301 | |||||||||
Vista Point Securitization Trust VRS Series 2020-1, Class A2 2.77% due 03/25/2065*(1)(3) | 3,500,000 | 3,473,988 | |||||||||
Wendy's Funding LLC Series 2022-1A, Class A2I 4.24% due 03/15/2052* | 3,175,000 | 3,156,125 | |||||||||
Wingstop Funding LLC Series 2020-1A, Class A2 2.84% due 12/05/2050* | 203,975 | 189,661 | |||||||||
Total Asset Backed Securities (cost $123,956,051) | 123,464,487 | ||||||||||
U.S. CORPORATE BONDS & NOTES — 15.4% | |||||||||||
Advertising Agencies — 0.2% | |||||||||||
Omnicom Group, Inc. Senior Notes 2.60% due 08/01/2031 | 1,765,000 | 1,631,846 | |||||||||
Aerospace/Defense — 0.3% | |||||||||||
United Technologies Corp. Senior Notes 4.13% due 11/16/2028 | 1,720,000 | 1,801,213 | |||||||||
Airlines — 0.1% | |||||||||||
British Airways Pass Through Trust Pass-Through Certs. 2.90% due 09/15/2036* | 609,594 | 560,663 | |||||||||
Auto-Cars/Light Trucks — 0.6% | |||||||||||
BMW US Capital LLC Company Guar. Notes 3.25% due 04/01/2025* | 947,000 | 951,798 | |||||||||
General Motors Financial Co., Inc. Senior Notes 2.70% due 08/20/2027 | 2,490,000 | 2,346,451 | |||||||||
Toyota Motor Credit Corp. Senior Notes 2.50% due 03/22/2024 | 1,253,000 | 1,253,467 | |||||||||
4,551,716 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Banks-Commercial — 0.8% | |||||||||||
Discover Bank Sub. Notes 4.68% due 08/09/2028 | $ | 2,400,000 | $ | 2,434,931 | |||||||
First-Citizens Bank & Trust Co. Senior Notes 3.93% due 06/19/2024 | 3,000,000 | 3,031,670 | |||||||||
5,466,601 | |||||||||||
Banks-Super Regional — 0.3% | |||||||||||
US Bancorp Sub. Notes 2.49% due 11/03/2036 | 1,960,000 | 1,756,818 | |||||||||
Wells Fargo & Co. Senior Notes 3.53% due 03/24/2028 | 634,000 | 632,266 | |||||||||
2,389,084 | |||||||||||
Broadcast Services/Program — 0.1% | |||||||||||
Discovery Communications LLC Company Guar. Notes 4.65% due 05/15/2050 | 420,000 | 406,876 | |||||||||
Building-Residential/Commercial — 0.2% | |||||||||||
Lennar Corp. Company Guar. Notes 4.75% due 05/30/2025 | 1,250,000 | 1,295,883 | |||||||||
Cable/Satellite TV — 0.1% | |||||||||||
Time Warner Cable LLC Senior Sec. Notes 4.50% due 09/15/2042 | 1,135,000 | 1,050,768 | |||||||||
Commercial Services-Finance — 0.0% | |||||||||||
Total System Services, Inc. Senior Notes 3.75% due 06/01/2023 | 305,000 | 308,061 | |||||||||
Computers — 0.3% | |||||||||||
Dell International LLC/EMC Corp. Senior Notes 4.90% due 10/01/2026 | 1,750,000 | 1,837,903 | |||||||||
HP, Inc. Senior Notes 4.00% due 04/15/2029 | 315,000 | 314,129 | |||||||||
2,152,032 | |||||||||||
Diagnostic Equipment — 0.5% | |||||||||||
Thermo Fisher Scientific, Inc. Senior Notes 1.22% due 10/18/2024 | 4,000,000 | 3,850,176 | |||||||||
Diversified Banking Institutions — 3.9% | |||||||||||
Bank of America Corp. Senior Notes 2.88% due 10/22/2030 | 1,154,000 | 1,094,451 | |||||||||
Bank of America Corp. Senior Notes 3.38% due 04/02/2026 | 720,000 | 719,849 | |||||||||
Bank of America Corp. Senior Notes 3.42% due 12/20/2028 | 1,406,000 | 1,394,136 |
308
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027 | $ | 7,000,000 | $ | 7,146,632 | |||||||
Citigroup, Inc. Senior Notes 3.07% due 02/24/2028 | 380,000 | 370,948 | |||||||||
Citigroup, Inc. Senior Notes 3.52% due 10/27/2028 | 600,000 | 595,334 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.76% due 01/24/2025 | 1,495,000 | 1,458,455 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 1.95% due 10/21/2027 | 3,770,000 | 3,508,565 | |||||||||
Goldman Sachs Group, Inc. Senior Notes 3.81% due 04/23/2029 | 550,000 | 554,962 | |||||||||
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025 | 1,355,000 | 1,389,629 | �� | ||||||||
JPMorgan Chase & Co. Senior Notes 1.58% due 04/22/2027 | 4,235,000 | 3,949,383 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.07% due 06/01/2029 | 2,180,000 | 2,012,740 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.52% due 04/22/2031 | 685,000 | 635,091 | |||||||||
JPMorgan Chase & Co. Senior Notes 2.95% due 02/24/2028 | 490,000 | 478,885 | |||||||||
Morgan Stanley Senior Notes 0.53% due 01/25/2024 | 1,835,000 | 1,805,694 | |||||||||
Morgan Stanley Sub. Notes 2.48% due 09/16/2036 | 520,000 | 445,507 | |||||||||
27,560,261 | |||||||||||
Electric-Distribution — 0.1% | |||||||||||
Sempra Energy Senior Notes 3.25% due 06/15/2027 | 330,000 | 325,795 | |||||||||
Sempra Energy Senior Notes 3.30% due 04/01/2025 | 726,000 | 726,902 | |||||||||
1,052,697 | |||||||||||
Electric-Integrated — 0.8% | |||||||||||
Ameren Corp Senior Notes 1.95% due 03/15/2027 | 2,090,000 | 1,959,092 | |||||||||
CenterPoint Energy, Inc. Senior Notes 2.65% due 06/01/2031 | 500,000 | 461,275 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Electric-Integrated (continued) | |||||||||||
Dominion Energy, Inc. Senior Notes 1.45% due 04/15/2026 | $ | 1,920,000 | $ | 1,787,461 | |||||||
Duke Energy Florida LLC 1st. Mtg. Notes 1.75% due 06/15/2030 | 600,000 | 531,713 | |||||||||
Duke Energy Progress LLC 1st. Mtg. Notes 2.00% due 08/15/2031 | 1,150,000 | 1,029,161 | |||||||||
5,768,702 | |||||||||||
Electronic Components-Semiconductors — 0.4% | |||||||||||
Broadcom, Inc. Senior Notes 4.00% due 04/15/2029* | 343,000 | 342,832 | |||||||||
Qorvo, Inc. Company Guar. Notes 3.38% due 04/01/2031* | 505,000 | 462,055 | |||||||||
Qorvo, Inc. Company Guar. Notes 4.38% due 10/15/2029 | 2,000,000 | 2,000,670 | |||||||||
2,805,557 | |||||||||||
Enterprise Software/Service — 0.1% | |||||||||||
Workday, Inc. Senior Notes 3.50% due 04/01/2027 | 395,000 | 395,781 | |||||||||
Finance-Commercial — 0.2% | |||||||||||
Antares Holdings LP Senior Notes 3.95% due 07/15/2026* | 1,500,000 | 1,399,983 | |||||||||
Finance-Investment Banker/Broker — 0.0% | |||||||||||
Charles Schwab Corp. Senior Notes 2.45% due 03/03/2027 | 250,000 | 243,032 | |||||||||
Finance-Leasing Companies — 0.3% | |||||||||||
BOC Aviation USA Corp. Company Guar. Notes 1.63% due 04/29/2024* | 1,968,000 | 1,891,661 | |||||||||
Financial Guarantee Insurance — 0.1% | |||||||||||
Assured Guaranty U.S. Holdings, Inc. Company Guar. Notes 3.60% due 09/15/2051 | 465,000 | 400,954 | |||||||||
Food-Confectionery — 0.1% | |||||||||||
Mondelez International, Inc. Senior Notes 2.13% due 03/17/2024 | 584,000 | 580,127 | |||||||||
Insurance Brokers — 0.1% | |||||||||||
Aon Corp./Aon Global Holdings PLC Company Guar. Notes 2.85% due 05/28/2027 | 895,000 | 876,911 | |||||||||
Insurance-Life/Health — 0.8% | |||||||||||
Athene Global Funding Sec. Notes 1.99% due 08/19/2028* | 535,000 | 470,906 | |||||||||
Athene Global Funding Sec. Notes 3.21% due 03/08/2027* | 2,270,000 | 2,188,449 |
309
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Insurance-Life/Health (continued) | |||||||||||
Brighthouse Financial Global Funding Senior Sec. Notes 2.00% due 06/28/2028* | $ | 360,000 | $ | 321,008 | |||||||
Protective Life Global Funding Sec. Notes 3.22% due 03/28/2025* | 261,000 | 260,849 | |||||||||
Sammons Financial Group, Inc. Senior Notes 3.35% due 04/16/2031* | 2,300,000 | 2,119,049 | |||||||||
SBL Holdings, Inc. Senior Notes 5.13% due 11/13/2026* | 540,000 | 546,191 | |||||||||
5,906,452 | |||||||||||
Insurance-Reinsurance — 0.1% | |||||||||||
Global Atlantic Finance Co. Company Guar. Notes 3.13% due 06/15/2031* | 385,000 | 343,986 | |||||||||
Investment Companies — 1.1% | |||||||||||
Ares Capital Corp. Senior Notes 3.50% due 02/10/2023 | 1,490,000 | 1,498,015 | |||||||||
Ares Capital Corp. Senior Notes 4.20% due 06/10/2024 | 690,000 | 695,516 | |||||||||
Blackstone Private Credit Fund Senior Notes 2.63% due 12/15/2026* | 160,000 | 144,198 | |||||||||
Blackstone Private Credit Fund Senior Notes 3.25% due 03/15/2027* | 800,000 | 736,749 | |||||||||
FS KKR Capital Corp. Senior Notes 4.25% due 02/14/2025* | 190,000 | 187,110 | |||||||||
Golub Capital BDC, Inc. Senior Notes 2.50% due 08/24/2026 | 265,000 | 243,774 | |||||||||
Main Street Capital Corp. Senior Notes 3.00% due 07/14/2026 | 450,000 | 417,750 | |||||||||
Main Street Capital Corp. Senior Notes 5.20% due 05/01/2024 | 1,042,000 | 1,064,116 | |||||||||
Owl Rock Capital Corp. Senior Notes 3.40% due 07/15/2026 | 2,750,000 | 2,583,901 | |||||||||
7,571,129 | |||||||||||
Medical Labs & Testing Services — 0.5% | |||||||||||
Roche Holdings, Inc. Company Guar. Notes 2.31% due 03/10/2027* | 3,800,000 | 3,689,665 | |||||||||
Medical-Hospitals — 0.3% | |||||||||||
HCA, Inc. Senior Sec. Notes 3.13% due 03/15/2027* | 2,097,000 | 2,052,008 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Motion Pictures & Services — 0.1% | |||||||||||
Magallanes, Inc. Company Guar. Notes 3.64% due 03/15/2025* | $ | 589,000 | $ | 592,674 | |||||||
Magallanes, Inc. Company Guar. Notes 3.76% due 03/15/2027* | 449,000 | 448,148 | |||||||||
1,040,822 | |||||||||||
Multimedia — 0.1% | |||||||||||
Viacom, Inc. Senior Notes 4.38% due 03/15/2043 | 520,000 | 495,390 | |||||||||
ViacomCBS, Inc. Senior Notes 4.20% due 06/01/2029 | 500,000 | 506,427 | |||||||||
1,001,817 | |||||||||||
Pharmacy Services — 0.3% | |||||||||||
CVS Health Corp. Senior Notes 1.30% due 08/21/2027 | 2,675,000 | 2,435,303 | |||||||||
Pipelines — 0.3% | |||||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.63% due 03/01/2025 | 235,000 | 248,705 | |||||||||
Sabine Pass Liquefaction LLC Senior Sec. Notes 5.88% due 06/30/2026 | 1,360,000 | 1,471,885 | |||||||||
Transcontinental Gas Pipe Line Co., LLC Senior Notes 3.25% due 05/15/2030 | 400,000 | 390,683 | |||||||||
2,111,273 | |||||||||||
Real Estate Investment Trusts — 0.6% | |||||||||||
American Tower Corp. Senior Notes 3.65% due 03/15/2027 | 393,000 | 392,953 | |||||||||
American Tower Corp. Senior Notes 3.95% due 03/15/2029 | 145,000 | 145,330 | |||||||||
Broadstone Net Lease LLC Company Guar. Notes 2.60% due 09/15/2031 | 365,000 | 325,064 | |||||||||
Lexington Realty Trust Company Guar. Notes 2.38% due 10/01/2031 | 950,000 | 842,789 | |||||||||
Phillips Edison Grocery Center Operating Partnership I LP Company Guar. Notes 2.63% due 11/15/2031 | 355,000 | 312,603 | |||||||||
Piedmont Operating Partnership LP Company Guar. Notes 2.75% due 04/01/2032 | 635,000 | 565,903 | |||||||||
Rexford Industrial Realty LP Company Guar. Notes 2.15% due 09/01/2031 | 865,000 | 750,984 |
310
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
U.S. CORPORATE BONDS & NOTES (continued) | |||||||||||
Real Estate Investment Trusts (continued) | |||||||||||
Safehold Operating Partnership LP Company Guar. Notes 2.85% due 01/15/2032 | $ | 815,000 | $ | 718,160 | |||||||
STORE Capital Corp. Senior Notes 2.70% due 12/01/2031 | 365,000 | 321,875 | |||||||||
4,375,661 | |||||||||||
Retail-Building Products — 0.3% | |||||||||||
Home Depot, Inc. Senior Notes 2.70% due 04/15/2025 | 800,000 | 799,367 | |||||||||
Lowe's Cos., Inc. Senior Notes 3.35% due 04/01/2027 | 1,289,000 | 1,297,789 | |||||||||
2,097,156 | |||||||||||
Telephone-Integrated — 1.1% | |||||||||||
AT&T, Inc. Senior Notes 4.35% due 03/01/2029 | 2,935,000 | 3,100,663 | |||||||||
AT&T, Inc. Senior Notes 4.55% due 03/09/2049 | 590,000 | 616,731 | |||||||||
AT&T, Inc. Senior Notes 4.80% due 06/15/2044 | 165,000 | 175,493 | |||||||||
AT&T, Inc. Senior Notes 4.90% due 08/15/2037 | 660,000 | 726,948 | |||||||||
AT&T, Inc. Senior Notes 5.15% due 03/15/2042 | 885,000 | 995,759 | |||||||||
AT&T, Inc. Senior Notes 5.25% due 03/01/2037 | 820,000 | 932,271 | |||||||||
Verizon Communications, Inc. Senior Notes 4.33% due 09/21/2028 | 920,000 | 972,276 | |||||||||
7,520,141 | |||||||||||
Venture Capital — 0.1% | |||||||||||
Hercules Capital, Inc. Senior Notes 2.63% due 09/16/2026 | 505,000 | 464,420 | |||||||||
Water — 0.1% | |||||||||||
Essential Utilities, Inc. Senior Notes 2.70% due 04/15/2030 | 530,000 | 500,486 | |||||||||
Total U.S. Corporate Bonds & Notes (cost $110,399,130) | 109,550,904 | ||||||||||
FOREIGN CORPORATE BONDS & NOTES — 6.1% | |||||||||||
Auto-Cars/Light Trucks — 0.3% | |||||||||||
Honda Motor Co., Ltd. Senior Notes 2.27% due 03/10/2025 | 2,130,000 | 2,096,054 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Banks-Commercial — 0.8% | |||||||||||
Bank of Ireland Group PLC Senior Notes 2.03% due 09/30/2027* | $ | 600,000 | $ | 543,402 | |||||||
Canadian Imperial Bank of Commerce Senior Notes 3.30% due 04/07/2025 | 1,080,000 | 1,079,519 | |||||||||
Commonwealth Bank of Australia Sub. Notes 3.61% due 09/12/2034* | 740,000 | 710,474 | |||||||||
Cooperatieve Rabobank UA Senior Notes 3.65% due 04/06/2028* | 109,000 | 108,881 | |||||||||
DNB Bank ASA Senior Notes 2.97% due 03/28/2025* | 1,450,000 | 1,449,609 | |||||||||
ING Groep NV Senior Notes 3.87% due 03/28/2026 | 794,000 | 798,225 | |||||||||
National Australia Bank, Ltd. Sub. Notes 2.33% due 08/21/2030* | 495,000 | 430,652 | |||||||||
Swedbank AB Senior Notes 3.36% due 04/04/2025* | 200,000 | 200,616 | |||||||||
Westpac Banking Corp. Sub. Notes 3.02% due 11/18/2036 | 425,000 | 377,712 | |||||||||
5,699,090 | |||||||||||
Building Societies — 0.3% | |||||||||||
Nationwide Building Society Sub. Notes 4.13% due 10/18/2032* | 2,160,000 | 2,130,567 | |||||||||
Cosmetics & Toiletries — 0.2% | |||||||||||
GSK Consumer Healthcare Capital UK PLC Company Guar. Notes 3.13% due 03/24/2025* | 1,444,000 | 1,441,435 | |||||||||
Diversified Banking Institutions — 2.8% | |||||||||||
Banco Santander SA Senior Notes 4.18% due 03/24/2028 | 400,000 | 402,636 | |||||||||
Banco Santander SA Sub. Notes 5.18% due 11/19/2025 | 1,400,000 | 1,448,150 | |||||||||
Barclays PLC Senior Notes 2.28% due 11/24/2027 | 1,970,000 | 1,831,503 | |||||||||
BNP Paribas SA Sub. Notes 4.38% due 03/01/2033* | 680,000 | 675,802 | |||||||||
Deutsche Bank AG Senior Notes 2.31% due 11/16/2027 | 1,100,000 | 1,009,478 | |||||||||
Deutsche Bank AG Senior Notes 3.96% due 11/26/2025 | 3,000,000 | 3,000,569 |
311
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Principal Amount | Value (Note 2) | |||||||||
FOREIGN CORPORATE BONDS & NOTES (continued) | |||||||||||
Diversified Banking Institutions (continued) | |||||||||||
HSBC Holdings PLC Senior Notes 1.16% due 11/22/2024 | $ | 3,000,000 | $ | 2,898,443 | |||||||
HSBC Holdings PLC Senior Notes 2.80% due 05/24/2032 | 425,000 | 387,233 | |||||||||
HSBC Holdings PLC Senior Notes 3.00% due 03/10/2026 | 1,500,000 | 1,472,287 | |||||||||
Societe Generale SA Sub. Notes 5.00% due 01/17/2024* | 1,800,000 | 1,835,570 | |||||||||
UBS Group AG Senior Notes 1.49% due 08/10/2027* | 2,300,000 | 2,090,524 | |||||||||
UniCredit SpA Senior Notes 7.83% due 12/04/2023* | 2,375,000 | 2,520,730 | |||||||||
19,572,925 | |||||||||||
Electronic Components-Semiconductors — 0.1% | |||||||||||
Broadcom Corp./Broadcom Cayman Finance, Ltd. Company Guar. Notes 3.88% due 01/15/2027 | 463,000 | 466,725 | |||||||||
Finance-Leasing Companies — 0.8% | |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Company Guar. Notes 1.15% due 10/29/2023 | 926,000 | 886,920 | |||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Company Guar. Notes 3.00% due 10/29/2028 | 1,315,000 | 1,209,740 | |||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust Company Guar. Notes 6.50% due 07/15/2025 | 980,000 | 1,038,827 | |||||||||
Air Lease Corp. Senior Notes 2.88% due 01/15/2026 | 1,078,000 | 1,041,158 | |||||||||
Avolon Holdings Funding, Ltd. Company Guar. Notes 2.53% due 11/18/2027* | 1,050,000 | 929,078 | |||||||||
Avolon Holdings Funding, Ltd. Senior Notes 2.75% due 02/21/2028* | 865,000 | 770,566 | |||||||||
5,876,289 | |||||||||||
Medical-Drugs — 0.3% | |||||||||||
AbbVie, Inc. Senior Notes 2.95% due 11/21/2026 | 2,450,000 | 2,433,854 | |||||||||
Pipelines — 0.3% | |||||||||||
Enbridge, Inc. Company Guar. Notes 1.60% due 10/04/2026 | 1,980,000 | 1,832,487 |
Security Description | Principal Amount | Value (Note 2) | |||||||||
Semiconductor Components-Integrated Circuits — 0.0% | |||||||||||
NXP BV/NXP Funding LLC Company Guar. Notes 4.63% due 06/01/2023* | $ | 200,000 | $ | 203,187 | |||||||
Telephone-Integrated — 0.2% | |||||||||||
Telefonica Emisiones SAU Company Guar. Notes 4.90% due 03/06/2048 | 1,230,000 | 1,271,219 | |||||||||
Total Foreign Corporate Bonds & Notes (cost $43,329,363) | 43,023,832 | ||||||||||
ESCROWS AND LITIGATION TRUSTS — 0.0% | |||||||||||
ION Media Networks, Inc.†(6) (cost $0) | 233 | 830 | |||||||||
Total Long-Term Investment Securities (cost $705,646,116) | 702,691,006 | ||||||||||
SHORT-TERM INVESTMENT SECURITIES — 4.9% | |||||||||||
Commercial Paper — 1.5% | |||||||||||
Caterpillar Financial Services Corp. 0.48% due 05/25/2022 | 10,800,000 | 10,790,545 | |||||||||
Registered Investment Companies — 3.4% | |||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(10) | 23,914,666 | 23,914,666 | |||||||||
Total Short-Term Investment Securities (cost $34,706,890) | 34,705,211 | ||||||||||
TOTAL INVESTMENTS (cost $740,353,006)(11) | 103.9 | % | 737,396,217 | ||||||||
Liabilities in excess of other assets | (3.9 | ) | (27,378,788 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 710,017,429 |
@ See Note 1
* Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At March 31, 2022, the aggregate value of these securities was $164,666,995 representing 23.2% of net assets.
† Non-income producing security
(1) Collateralized Mortgage Obligation
(2) Principal amount of security is adjusted for inflation.
(3) Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.
(4) Commercial Mortgage Backed Security
(5) Interest Only
(6) Securities classified as Level 3 (see Note 2).
(7) Collateralized Loan Obligation
(8) "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of March 31, 2022.
(9) The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts.
312
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
(10) The rate shown is the 7-day yield as of March 31, 2022.
(11) See Note 4 for cost of investments on a tax basis.
CLO — Collateralized Loan Obligation
DAC — Designated Activity Company
TIPS — Treasury Inflation Protected Securities
FRS — Floating Rate Security
VRS — Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at March 31, 2022 and unless otherwise indicated, the dates shown are the original maturity dates.
Index Legend
1 ML — 1 Month USD LIBOR
3 ML — 3 Month USD LIBOR
SOFR30A — Secured Overnight Financing Rate 30 Day Average
TSFR1M — Term Secured Overnight Financing Rate 1 Month
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 | ||||||||||||||||||
USD | 20,000 | 03/17/2032 | USD-12 Month-CPI/At Maturity | 3.04%/At Maturity | $ | 713 | $ | 161,325 | |||||||||||||||
USD | 10,000 | 03/21/2032 | USD-12 Month-CPI/At Maturity | 3.06%/At Maturity | 606 | 52,639 | |||||||||||||||||
$ | 213,964 | ||||||||||||||||||||||
Unrealized (Depreciation) | |||||||||||||||||||||||
USD | 50,000 | 03/16/2027 | USD-12 Month-CPI/At Maturity | 3.54%/At Maturity | $ | 798 | $ | (68,818 | ) | ||||||||||||||
USD | 50,000 | 03/16/2027 | USD-12 Month-CPI/At Maturity | 3.54%/At Maturity | 798 | (62,380 | ) | ||||||||||||||||
USD | 15,000 | 03/25/2032 | USD-12 Month-CPI/At Maturity | 3.13%/At Maturity | 661 | (34,532 | ) | ||||||||||||||||
USD | 25,000 | 03/28/2027 | USD-12 Month-CPI/At Maturity | 3.71%/At Maturity | 651 | (301,218 | ) | ||||||||||||||||
$ | (466,948 | ) | |||||||||||||||||||||
$ | 4,227 | $ | (252,984 | ) |
CPI — Consumer Priced Index
USD — United States Dollar
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
U.S. Government Agencies | $ | — | $ | 29,690,556 | $ | — | $ | 29,690,556 | |||||||||||
U.S. Government Treasuries | — | 396,960,397 | — | 396,960,397 | |||||||||||||||
Asset Backed Securities | — | 123,464,487 | — | 123,464,487 | |||||||||||||||
U.S. Corporate Bonds & Notes | — | 109,550,904 | — | 109,550,904 | |||||||||||||||
Foreign Corporate Bonds & Notes | — | 43,023,832 | — | 43,023,832 | |||||||||||||||
Escrows and Litigation Trusts | — | — | 830 | 830 | |||||||||||||||
Short-Term Investment Securities: | |||||||||||||||||||
Commercial Paper | — | 10,790,545 | — | 10,790,545 | |||||||||||||||
Registered Investment Companies | 23,914,666 | — | — | 23,914,666 | |||||||||||||||
Total Investments at Value | $ | 23,914,666 | $ | 713,480,721 | $ | 830 | $ | 737,396,217 | |||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | $ | — | $ | 213,964 | $ | — | $ | 213,964 |
313
Seasons Series Trust SA American Century Inflation Protection Portfolio@
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||||||||||||||
LIABILITIES: | |||||||||||||||||||
Other Financial Instruments:† | |||||||||||||||||||
Centrally Cleared Interest Rate Swap Contracts | $ | — | $ | 466,948 | $ | — | $ | 466,948 |
* 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.
Level 3 investments in securities were not considered a significant portion of the Portfolio's net assets.
See Notes to Financial Statements
314
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Diversified Banking Institutions | 10.8 | % | |||||
Electric-Integrated | 9.2 | ||||||
Medical-HMO | 4.7 | ||||||
Chemicals-Diversified | 4.4 | ||||||
Telephone-Integrated | 4.3 | ||||||
Gold Mining | 3.7 | ||||||
Insurance-Multi-line | 3.7 | ||||||
Banks-Super Regional | 3.6 | ||||||
Metal-Copper | 3.6 | ||||||
Networking Products | 3.2 | ||||||
Telecom Equipment-Fiber Optics | 3.2 | ||||||
Transport-Rail | 3.1 | ||||||
Retail-Building Products | 3.1 | ||||||
Pipelines | 3.0 | ||||||
Medical-Drugs | 3.0 | ||||||
Oil Refining & Marketing | 2.9 | ||||||
Tobacco | 2.9 | ||||||
Airlines | 2.7 | ||||||
Semiconductor Components-Integrated Circuits | 2.6 | ||||||
Pharmacy Services | 2.6 | ||||||
Aerospace/Defense | 2.5 | ||||||
Computer Software | 2.5 | ||||||
Medical Products | 2.5 | ||||||
Semiconductor Equipment | 2.3 | ||||||
Repurchase Agreements | 2.1 | ||||||
Oil Companies-Integrated | 1.9 | ||||||
Oil-Field Services | 1.7 | ||||||
Machinery-Construction & Mining | 1.6 | ||||||
Retail-Catalog Shopping | 1.2 | ||||||
Computer Services | 0.1 | ||||||
98.7 | % |
* Calculated as a percentage of net assets
315
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
COMMON STOCKS — 96.2% | |||||||||||
Aerospace/Defense — 2.5% | |||||||||||
Raytheon Technologies Corp. | 93,165 | $ | 9,229,857 | ||||||||
Airlines — 2.7% | |||||||||||
Southwest Airlines Co.† | 214,162 | 9,808,620 | |||||||||
Banks-Super Regional — 3.6% | |||||||||||
Wells Fargo & Co. | 272,283 | 13,194,834 | |||||||||
Chemicals-Diversified — 4.4% | |||||||||||
FMC Corp. | 120,287 | 15,826,161 | |||||||||
Computer Services — 0.1% | |||||||||||
EPAM Systems, Inc.† | 1,518 | 450,254 | |||||||||
Computer Software — 2.5% | |||||||||||
Teradata Corp.† | 184,671 | 9,102,434 | |||||||||
Diversified Banking Institutions — 10.8% | |||||||||||
Bank of America Corp. | 289,295 | 11,924,740 | |||||||||
Citigroup, Inc. | 165,583 | 8,842,132 | |||||||||
JPMorgan Chase & Co. | 70,705 | 9,638,506 | |||||||||
Morgan Stanley | 101,546 | 8,875,120 | |||||||||
39,280,498 | |||||||||||
Electric-Integrated — 9.2% | |||||||||||
AES Corp. | 360,892 | 9,285,751 | |||||||||
FirstEnergy Corp. | 321,805 | 14,757,977 | |||||||||
PG&E Corp.† | 799,567 | 9,546,830 | |||||||||
33,590,558 | |||||||||||
Gold Mining — 3.7% | |||||||||||
Barrick Gold Corp. | 547,968 | 13,441,655 | |||||||||
Insurance-Multi-line — 3.7% | |||||||||||
MetLife, Inc. | 190,548 | 13,391,713 | |||||||||
Machinery-Construction & Mining — 1.6% | |||||||||||
Caterpillar, Inc. | 25,922 | 5,775,940 | |||||||||
Medical Products — 2.5% | |||||||||||
Baxter International, Inc. | 115,851 | 8,983,086 | |||||||||
Medical-Drugs — 3.0% | |||||||||||
Bristol-Myers Squibb Co. | 147,104 | 10,743,005 | |||||||||
Medical-HMO — 4.7% | |||||||||||
Centene Corp.† | 119,571 | 10,066,683 | |||||||||
Humana, Inc. | 15,731 | 6,845,659 | |||||||||
16,912,342 | |||||||||||
Metal-Copper — 3.6% | |||||||||||
Freeport-McMoRan, Inc. | 262,140 | 13,038,844 | |||||||||
Networking Products — 3.2% | |||||||||||
Cisco Systems, Inc. | 209,979 | 11,708,429 | |||||||||
Oil Companies-Integrated — 1.9% | |||||||||||
Chevron Corp. | 41,944 | 6,829,741 | |||||||||
Oil Refining & Marketing — 2.9% | |||||||||||
Marathon Petroleum Corp. | 122,378 | 10,463,319 | |||||||||
Oil-Field Services — 1.7% | |||||||||||
TechnipFMC PLC† | 789,097 | 6,115,502 | |||||||||
Pharmacy Services — 2.6% | |||||||||||
Cigna Corp. | 39,219 | 9,397,265 | |||||||||
Pipelines — 3.0% | |||||||||||
Williams Cos., Inc. | 330,187 | 11,031,548 |
Security Description | Shares/ Principal Amount | Value (Note 2) | |||||||||
Retail-Building Products — 3.1% | |||||||||||
Lowe's Cos., Inc. | 55,194 | $ | 11,159,675 | ||||||||
Retail-Catalog Shopping — 0.8% | |||||||||||
Qurate Retail, Inc., Series A | 633,798 | 3,016,878 | |||||||||
Semiconductor Components-Integrated Circuits — 2.6% | |||||||||||
QUALCOMM, Inc. | 62,548 | 9,558,585 | |||||||||
Semiconductor Equipment — 2.3% | |||||||||||
Applied Materials, Inc. | 63,757 | 8,403,173 | |||||||||
Telecom Equipment-Fiber Optics — 3.2% | |||||||||||
Corning, Inc. | 317,117 | 11,704,788 | |||||||||
Telephone-Integrated — 4.3% | |||||||||||
Verizon Communications, Inc. | 307,226 | 15,650,092 | |||||||||
Tobacco — 2.9% | |||||||||||
Philip Morris International, Inc. | 111,286 | 10,454,207 | |||||||||
Transport-Rail — 3.1% | |||||||||||
CSX Corp. | 178,698 | 6,692,240 | |||||||||
Union Pacific Corp. | 16,557 | 4,523,538 | |||||||||
11,215,778 | |||||||||||
Total Common Stocks (cost $231,394,320) | 349,478,781 | ||||||||||
PREFERRED SECURITIES — 0.4% | |||||||||||
Retail-Catalog Shopping — 0.4% | |||||||||||
Qurate Retail, Inc. 8.00% (cost $3,006,983) | 16,906 | 1,454,085 | |||||||||
Total Long-Term Investment Securities (cost $234,401,303) | 350,932,866 | ||||||||||
REPURCHASE AGREEMENTS — 2.1% | |||||||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 03/31/2022, to be repurchased 04/01/2022 in the amount of $7,652,000 and collateralized by $8,289,900 of United States Treasury Notes, bearing interest at 1.50% due 11/30/2028 and having an approximate value of $7,805,132 (cost $7,652,000) | $ | 7,652,000 | 7,652,000 | ||||||||
TOTAL INVESTMENTS (cost $242,053,303)(1) | 98.7 | % | 358,584,866 | ||||||||
Other assets less liabilities | 1.3 | 4,902,988 | |||||||||
NET ASSETS | 100.0 | % | $ | 363,487,854 |
† Non-income producing security
(1) See Note 4 for cost of investments on a tax basis.
316
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 349,478,781 | $ | — | $ | — | $ | 349,478,781 | |||||||||||
Preferred Securities | 1,454,085 | — | — | 1,454,085 | |||||||||||||||
Repurchase Agreements | — | 7,652,000 | — | 7,652,000 | |||||||||||||||
Total Investments at Value | $ | 350,932,866 | $ | 7,652,000 | $ | — | $ | 358,584,866 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
317
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 60.5 | % | |||||
International Equity Investment Companies | 21.4 | ||||||
Domestic Fixed Income Investment Companies | 18.1 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
318
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 60.5% | |||||||||||
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | 390,798 | $ | 9,160,296 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,607,682 | 22,925,544 | |||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,298,730 | 22,532,961 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 149,181 | 2,537,562 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 313,917 | 6,215,555 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 388,476 | 5,259,970 | |||||||||
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | 391,376 | 9,349,968 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 253,941 | 16,544,227 | |||||||||
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | 176,233 | 3,364,286 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 363,407 | 6,105,242 | |||||||||
SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 740,829 | 17,920,651 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 160,031 | 3,389,447 | |||||||||
SunAmerica Series Trust SA Franklin U.S. Smart Equity Beta Portfolio, Class 1 | 196,021 | 4,083,114 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 436,432 | 4,045,721 | |||||||||
SunAmerica Series Trust SA Invesco Main Street Large Cap Portfolio, Class 1 | 551,949 | 14,930,218 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | 466,204 | 9,888,186 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 497,482 | 20,361,920 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 346,935 | 7,899,702 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 315,291 | 8,613,762 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 621,976 | 22,160,996 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 419,458 | 8,242,354 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 550,407 | 9,268,858 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 258,041 | 3,826,751 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 253,305 | 3,523,478 | |||||||||
Total Domestic Equity Investment Companies (cost $222,023,518) | 242,150,769 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies — 18.1% | |||||||||||
Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | 227,109 | $ | 2,330,136 | ||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 1,040,947 | 11,304,682 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 7,078 | 72,906 | |||||||||
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | 895,198 | 11,333,213 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,128,297 | 11,486,062 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 833,838 | 8,413,424 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 1,239,426 | 10,894,557 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 945,412 | 5,048,501 | |||||||||
SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 802,923 | 11,562,098 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $77,910,240) | 72,445,579 | ||||||||||
International Equity Investment Companies — 21.4% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 2,362,987 | 21,834,004 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 234,844 | 3,628,337 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM International Growth Portfolio, Class 1 | 652,103 | 11,724,813 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 371,065 | 4,649,442 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 664,782 | 5,870,023 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 1,406,593 | 14,923,952 | |||||||||
SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | 450,032 | 6,421,955 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 1,475,622 | 16,394,160 | |||||||||
Total International Equity Investment Companies (cost $82,950,561) | 85,446,686 | ||||||||||
TOTAL INVESTMENTS (cost $382,884,319)(2) | 100.0 | % | 400,043,034 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (182,183 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 399,860,851 |
319
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
# The Seasons Series Trust SA Allocation Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (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 | $ | 400,043,034 | $ | — | $ | — | $ | 400,043,034 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
320
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 50.7 | % | |||||
Domestic Fixed Income Investment Companies | 32.6 | ||||||
International Equity Investment Companies | 16.7 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
321
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 50.7% | |||||||||||
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | 454,518 | $ | 10,653,899 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 1,713,674 | 24,436,997 | |||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 1,379,734 | 23,938,392 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 175,363 | 2,982,931 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 277,299 | 5,490,517 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 381,555 | 5,166,257 | |||||||||
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | 443,435 | 10,593,664 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 284,814 | 18,555,644 | |||||||||
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | 231,384 | 4,417,126 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 412,120 | 6,923,614 | |||||||||
SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 853,536 | 20,647,044 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 172,979 | 3,663,688 | |||||||||
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1 | 240,413 | 5,007,803 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 457,556 | 4,241,545 | |||||||||
SunAmerica Series Trust SA Invesco Main Street Large Cap Portfolio, Class 1 | 621,522 | 16,812,168 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | 538,068 | 11,412,413 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 552,434 | 22,611,129 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 373,026 | 8,493,810 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 338,868 | 9,257,867 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 633,178 | 22,560,140 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class1 | 536,518 | 10,542,575 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 614,288 | 10,344,605 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 266,605 | 3,953,749 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 281,255 | 3,912,253 | |||||||||
Total Domestic Equity Investment Companies (cost $231,548,490) | 266,619,830 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies — 32.6% | |||||||||||
Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | 219,014 | $ | 2,247,086 | ||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class1 | 3,912,544 | 42,490,232 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 15,073 | 155,253 | |||||||||
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | 1,327,240 | 16,802,858 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,853,365 | 18,867,252 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 1,623,563 | 16,381,746 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 3,671,586 | 32,273,243 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 2,003,867 | 10,700,652 | |||||||||
SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 2,210,143 | 31,826,058 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $182,221,711) | 171,744,380 | ||||||||||
International Equity Investment Companies — 16.7% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 2,420,805 | 22,368,242 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 221,106 | 3,416,093 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | 687,223 | 12,356,262 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 344,687 | 4,318,928 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 708,772 | 6,258,460 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 1,418,127 | 15,046,325 | |||||||||
SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | 450,285 | 6,425,566 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 1,572,152 | 17,466,604 | |||||||||
Total International Equity Investment Companies (cost $82,043,379) | 87,656,480 | ||||||||||
TOTAL INVESTMENTS (cost $495,813,580)(2) | 100.0 | % | 526,020,690 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (228,961 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 525,791,729 |
322
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
# The Seasons Series Trust SA Allocation Moderate Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the 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.
(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 March 31, 2022 (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 | $ | 526,020,690 | $ | — | $ | — | $ | 526,020,690 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
323
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Domestic Equity Investment Companies | 44.5 | % | |||||
Domestic Fixed Income Investment Companies | 42.5 | ||||||
International Equity Investment Companies | 13.0 | ||||||
100.0 | % |
* Calculated as a percentage of net assets
324
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0% | |||||||||||
Domestic Equity Investment Companies — 44.5% | |||||||||||
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | 169,011 | $ | 3,961,626 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 865,243 | 12,338,371 | |||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 730,663 | 12,676,996 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 82,479 | 1,402,961 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 131,500 | 2,603,700 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 230,624 | 3,122,645 | |||||||||
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | 249,462 | 5,959,647 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 149,889 | 9,765,258 | |||||||||
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | 112,826 | 2,153,845 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 215,944 | 3,627,852 | |||||||||
SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 450,029 | 10,886,210 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 97,382 | 2,062,552 | |||||||||
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1 | 121,201 | 2,524,627 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 244,117 | 2,262,965 | |||||||||
SunAmerica Series Trust SA Invesco Main Street Large Cap Portfolio, Class 1 | 320,753 | 8,676,371 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | 282,026 | 5,981,778 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 308,789 | 12,638,735 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 196,095 | 4,465,078 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 189,762 | 5,184,296 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 313,431 | 11,167,543 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 289,070 | 5,680,228 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 317,794 | 5,351,654 | |||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 165,407 | 2,452,984 | |||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 143,875 | 2,001,307 | |||||||||
Total Domestic Equity Investment Companies (cost $121,093,809) | 138,949,229 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Fixed Income Investment Companies — 42.5% | |||||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,319,637 | $ | 36,051,261 | ||||||||
Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | 316,094 | 3,243,118 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 7,884 | 81,207 | |||||||||
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | 645,122 | 8,167,240 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,292,636 | 13,159,031 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 1,368,170 | 13,804,837 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 2,993,313 | 26,311,224 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,307,087 | 6,979,845 | |||||||||
SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 1,742,486 | 25,091,804 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $141,481,391) | 132,889,567 | ||||||||||
International Equity Investment Companies — 13.0% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 1,187,600 | 10,973,421 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 71,143 | 1,099,154 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | 320,618 | 5,764,711 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 167,652 | 2,100,684 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 325,226 | 2,871,742 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 638,823 | 6,777,914 | |||||||||
SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | 219,603 | 3,133,740 | |||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 706,376 | 7,847,835 | |||||||||
Total International Equity Investment Companies (cost $38,776,105) | 40,569,201 | ||||||||||
TOTAL INVESTMENTS (cost $301,351,305)(2) | 100.0 | % | 312,407,997 | ||||||||
Liabilities in excess of other assets | (0.0 | ) | (154,510 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 312,253,487 |
325
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
# The Seasons Series Trust SA Allocation Moderate Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the 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.
(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 March 31, 2022 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Signifcant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Affiliated Registered Investment Companies | $ | 312,407,997 | $ | — | $ | — | $ | 312,407,997 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
326
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO PROFILE — March 31, 2022 (unaudited)
Industry Allocation* | |||||||
Domestic Fixed Income Investment Companies | 57.6 | % | |||||
Domestic Equity Investment Companies | 33.3 | ||||||
International Equity Investment Companies | 9.2 | ||||||
100.1 | % |
* Calculated as a percentage of net assets
327
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.1% | |||||||||||
Domestic Equity Investment Companies — 33.3% | |||||||||||
Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | 111,381 | $ | 2,610,768 | ||||||||
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | 539,644 | 7,695,317 | |||||||||
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | 415,999 | 7,217,579 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | 56,162 | 955,315 | |||||||||
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 90,050 | 1,782,993 | |||||||||
Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | 136,185 | 1,843,945 | |||||||||
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | 167,221 | 3,994,899 | |||||||||
SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | 96,439 | 6,282,993 | |||||||||
SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | 74,103 | 1,414,628 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 148,444 | 2,493,862 | |||||||||
SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | 303,367 | 7,338,451 | |||||||||
SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | 57,197 | 1,211,440 | |||||||||
SunAmerica Series Trust SA Franklin U.S. Equity Smart Beta Portfolio, Class 1 | 91,548 | 1,906,938 | |||||||||
SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | 158,686 | 1,471,016 | |||||||||
SunAmerica Series Trust SA Invesco Main Street Large Cap Portfolio, Class 1 | 199,265 | 5,390,119 | |||||||||
SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | 176,296 | 3,739,231 | |||||||||
SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | 197,377 | 8,078,647 | |||||||||
SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | 119,144 | 2,712,902 | |||||||||
SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | 112,147 | 3,063,850 | |||||||||
SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | 190,491 | 6,787,185 | |||||||||
SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | 178,923 | 3,515,842 | |||||||||
SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | 222,461 | 3,746,243 |
Security Description | Shares | Value (Note 2) | |||||||||
Domestic Equity Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | 103,277 | $ | 1,531,604 | ||||||||
SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | 96,558 | 1,343,119 | |||||||||
Total Domestic Equity Investment Companies (cost $78,416,951) | 88,128,886 | ||||||||||
Domestic Fixed Income Investment Companies — 57.6% | |||||||||||
Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | 588,259 | 6,035,534 | |||||||||
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 3,963,556 | 43,044,222 | |||||||||
SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1 | 3,623 | 37,322 | |||||||||
SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | 420,826 | 5,327,657 | |||||||||
SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | 1,448,640 | 14,747,158 | |||||||||
SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | 1,556,317 | 15,703,242 | |||||||||
SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | 3,733,012 | 32,813,178 | |||||||||
SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | 1,057,870 | 5,649,026 | |||||||||
SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | 2,016,142 | 29,032,449 | |||||||||
Total Domestic Fixed Income Investment Companies (cost $162,666,466) | 152,389,788 | ||||||||||
International Equity Investment Companies — 9.2% | |||||||||||
Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | 667,727 | 6,169,794 | |||||||||
SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | 37,600 | 580,913 | |||||||||
SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | 203,370 | 3,656,594 | |||||||||
SunAmerica Series Trust SA International Index Portfolio, Class 1 | 97,036 | 1,215,867 | |||||||||
SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | 188,470 | 1,664,192 | |||||||||
SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | 388,075 | 4,117,476 | |||||||||
SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | 121,013 | 1,726,854 |
328
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — March 31, 2022 (continued)
Security Description | Shares | Value (Note 2) | |||||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) (continued) | |||||||||||
International Equity Investment Companies (continued) | |||||||||||
SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | 466,095 | $ | 5,178,316 | ||||||||
Total International Equity Investment Companies (cost $23,261,781) | 24,310,006 | ||||||||||
TOTAL INVESTMENTS (cost $264,345,198)(2) | 100.1 | % | 264,828,680 | ||||||||
Liabilities in excess of other assets | (0.1 | ) | (137,636 | ) | |||||||
NET ASSETS | 100.0 | % | $ | 264,691,044 |
# The Seasons Series Trust SA Allocation Balanced Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of the Seasons Series Trust and the SunAmerica Series Trust, some of which are not presented in this report. Additional information of the underlying portfolios, including such portfolios' prospectuses and shareholder reports are available on our website, www.aig.com/getprospectus.
(1) See Note 8
(2) See Note 4 for cost of investments on a tax basis.
The following is a summary of the inputs used to value the Portfolio's net assets as of March 31, 2022 (see Note 2):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Signifcant Unobservable Inputs | Total | ||||||||||||||||
ASSETS: | |||||||||||||||||||
Investments at Value:* | |||||||||||||||||||
Affiliated Registered Investment Companies | $ | 264,828,680 | $ | — | $ | — | $ | 264,828,680 |
* For a detailed presentation of investments, please refer to the Portfolio of Investments.
See Notes to Financial Statements
329
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
March 31, 2022
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)* | $ | 47,370,922 | $ | 87,665,390 | $ | 58,706,670 | $ | 49,529,888 | $ | 208,956,698 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 665,000 | 1,500,000 | 1,425,000 | 835,000 | 8,045,000 | ||||||||||||||||||
Cash | 235,928 | 382,454 | 12 | — | 695,600 | ||||||||||||||||||
Foreign cash* | 1,597 | 2,582 | 2,920 | 2,175 | 62,609 | ||||||||||||||||||
Cash collateral for futures contracts | 16,268 | 22,988 | 1,021 | 1,030 | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | 47 | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 86,523 | 57,825 | 37,884 | 16,692 | 117,590 | ||||||||||||||||||
Dividends and interest | 73,958 | 217,600 | 214,428 | 210,835 | 659,062 | ||||||||||||||||||
Investments sold | 71,853 | 129,425 | 62,482 | 246,472 | 4,861,665 | ||||||||||||||||||
Investments sold on an extended settlement basis | 1,351,244 | 3,766,386 | 4,226,447 | 3,136,216 | 41,733 | ||||||||||||||||||
Receipts on swap contracts | 23 | — | 24 | 73 | — | ||||||||||||||||||
Prepaid expenses and other assets | 4,443 | 4,555 | 4,394 | 4,345 | 5,044 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 2,521 | 3,194 | 1,569 | 945 | 27,059 | ||||||||||||||||||
Variation margin on futures contracts | 688 | 1,172 | 141 | 563 | 8,656 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 1,287 | 15,166 | 15,041 | 15,099 | 13,745 | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | 10,090 | — | 10,571 | 18,835 | 4,536 | ||||||||||||||||||
Total assets | 49,892,345 | 93,768,784 | 64,708,604 | 54,018,168 | 223,498,997 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 2,792 | 11,907 | 3,238 | 2,618 | 27,504 | ||||||||||||||||||
Investments purchased | 154,165 | 309,692 | 240,661 | 260,698 | 713,737 | ||||||||||||||||||
Investments purchased on an extended settlement basis | 5,239,466 | 15,905,266 | 17,205,730 | 16,297,673 | 10,661,263 | ||||||||||||||||||
Payments on swap contracts | 487 | — | 510 | 996 | 46 | ||||||||||||||||||
Investment advisory and management fees | 32,053 | 54,300 | 31,776 | 24,243 | 153,332 | ||||||||||||||||||
Service fees — Class 2 | 2,127 | 4,848 | 3,119 | 2,707 | 6,188 | ||||||||||||||||||
Service fees — Class 3 | 3,494 | 6,074 | 3,324 | 2,550 | 31,795 | ||||||||||||||||||
Transfer agent fees and expenses | 145 | 145 | 145 | 182 | 763 | ||||||||||||||||||
Trustees' fees and expenses | 635 | 1,100 | 674 | 520 | 2,702 | ||||||||||||||||||
Other accrued expenses | 124,216 | 130,290 | 118,601 | 117,158 | 169,643 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | 16,524 | ||||||||||||||||||
Line of credit | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | 13,558 | 43,293 | 39,135 | 40,853 | 34,835 | ||||||||||||||||||
Due to custodian | — | — | — | 183,768 | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | 10,323 | 10,000 | 10,820 | 17,879 | 32,495 | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 7,161 | 19,485 | 19,783 | 18,814 | 108,876 | ||||||||||||||||||
Swap premiums received | 647 | — | 678 | 548 | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 5,591,269 | 16,496,400 | 17,678,194 | 16,971,207 | 11,959,703 | ||||||||||||||||||
NET ASSETS | $ | 44,301,076 | $ | 77,272,384 | $ | 47,030,410 | $ | 37,046,961 | $ | 211,539,294 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 50,235,919 | $ | 91,541,700 | $ | 62,807,572 | $ | 52,065,723 | $ | 185,426,504 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | 1,756 | $ | 3,131 | $ | 3,475 | $ | 2,728 | $ | 62,603 |
See Notes to Financial Statements
330
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
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 | $ | 41,661,052 | $ | 74,849,755 | $ | 49,406,401 | $ | 38,929,945 | $ | 155,819,004 | |||||||||||||
Total accumulated earnings (loss) | 2,640,024 | 2,422,629 | (2,375,991 | ) | (1,882,984 | ) | 55,720,290 | ||||||||||||||||
NET ASSETS | $ | 44,301,076 | $ | 77,272,384 | $ | 47,030,410 | $ | 37,046,961 | $ | 211,539,294 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 9,640,289 | $ | 8,781,403 | $ | 6,075,215 | $ | 3,819,808 | $ | 13,474,861 | |||||||||||||
Shares of beneficial interest issued and outstanding | 730,364 | 817,385 | 657,586 | 393,595 | 952,334 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.20 | $ | 10.74 | $ | 9.24 | $ | 9.70 | $ | 14.15 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 17,428,599 | $ | 39,046,920 | $ | 25,088,646 | $ | 21,200,327 | $ | 46,755,728 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,326,650 | 3,642,773 | 2,719,418 | 2,187,389 | 3,304,431 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.14 | $ | 10.72 | $ | 9.23 | $ | 9.69 | $ | 14.15 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 17,232,188 | $ | 29,444,061 | $ | 15,866,549 | $ | 12,026,826 | $ | 151,308,705 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,319,180 | 2,752,310 | 1,718,638 | 1,240,524 | 10,745,173 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.06 | $ | 10.70 | $ | 9.23 | $ | 9.69 | $ | 14.08 |
See Notes to Financial Statements
331
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
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)* | $ | 416,528,733 | $ | 504,967,174 | $ | 765,942,618 | $ | 203,304,831 | $ | 240,098,918 | |||||||||||||
Investments at value (affiliated)* | — | — | 694,989 | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | — | 382,000 | 1,845,000 | 955,000 | 1,666,000 | ||||||||||||||||||
Cash | — | 709 | 10,850,749 | 151,002 | 1,858 | ||||||||||||||||||
Foreign cash* | 12 | 1,589 | 90 | 1 | 18,460 | ||||||||||||||||||
Cash collateral for futures contracts | — | — | 24 | — | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | — | ||||||||||||||||||
Due from broker | — | — | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 632,958 | 859,559 | 623,704 | 319,145 | 211,986 | ||||||||||||||||||
Dividends and interest | 50,364 | 68,936 | 1,247,112 | 56,605 | 363,402 | ||||||||||||||||||
Investments sold | 707,551 | 5,474,483 | 4,519,182 | 236,203 | 214,701 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,965 | 6,384 | 7,500 | 5,307 | 5,187 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 30,675 | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 48,912 | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total assets | 417,925,583 | 511,791,509 | 785,779,880 | 205,028,094 | 242,580,512 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 140,698 | 949,604 | 1,723,279 | 391,986 | 551,196 | ||||||||||||||||||
Investments purchased | 2,161,308 | 8,086,586 | 8,620,188 | 85,881 | 332,576 | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | — | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 277,220 | 317,556 | 488,362 | 143,351 | 171,004 | ||||||||||||||||||
Service fees — Class 2 | 4,391 | 4,037 | 2,986 | 2,795 | 2,772 | ||||||||||||||||||
Service fees — Class 3 | 5,615 | 3,624 | 2,399 | 2,803 | 2,840 | ||||||||||||||||||
Transfer agent fees and expenses | 835 | 436 | 400 | 545 | 545 | ||||||||||||||||||
Trustees' fees and expenses | 5,811 | 7,037 | 9,653 | 3,085 | 2,895 | ||||||||||||||||||
Other accrued expenses | 103,043 | 121,160 | 151,455 | 111,293 | 119,903 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | — | ||||||||||||||||||
Line of credit | — | — | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | — | 6,525 | 9,788 | 3,850 | 3,850 | ||||||||||||||||||
Due to custodian | — | — | — | — | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | 110,000 | — | 5 | 22 | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 71,376 | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | — | ||||||||||||||||||
Total liabilities | 2,698,921 | 9,606,565 | 11,079,886 | 745,594 | 1,187,603 | ||||||||||||||||||
NET ASSETS | $ | 415,226,662 | $ | 502,184,944 | $ | 774,699,994 | $ | 204,282,500 | $ | 241,392,909 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 285,114,343 | $ | 374,073,049 | $ | 642,380,829 | $ | 181,465,574 | $ | 178,993,492 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | 609,607 | $ | — | $ | — | |||||||||||||
Foreign cash | $ | 12 | $ | 1,599 | $ | 90 | $ | 1 | $ | 18,579 |
See Notes to Financial Statements
332
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
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 | $ | 239,806,273 | $ | 314,113,327 | $ | 538,303,776 | $ | 143,840,172 | $ | 153,116,817 | |||||||||||||
Total accumulated earnings (loss) | 175,420,389 | 188,071,617 | 236,396,218 | 60,442,328 | 88,276,092 | ||||||||||||||||||
NET ASSETS | $ | 415,226,662 | $ | 502,184,944 | $ | 774,699,994 | $ | 204,282,500 | $ | 241,392,909 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 348,810,155 | $ | 450,952,048 | $ | 739,719,671 | $ | 167,780,235 | $ | 205,934,731 | |||||||||||||
Shares of beneficial interest issued and outstanding | 14,600,337 | 31,629,505 | 42,634,541 | 9,862,354 | 10,402,729 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 23.89 | $ | 14.26 | $ | 17.35 | $ | 17.01 | $ | 19.80 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 37,603,377 | $ | 33,224,954 | $ | 23,697,683 | $ | 22,730,382 | $ | 22,040,377 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,675,961 | 2,431,025 | 1,367,606 | 1,471,578 | 1,117,363 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 22.44 | $ | 13.67 | $ | 17.33 | $ | 15.45 | $ | 19.73 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 28,813,130 | $ | 18,007,942 | $ | 11,282,640 | $ | 13,771,883 | $ | 13,417,801 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,336,922 | 1,346,423 | 650,986 | 945,615 | 681,768 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 21.55 | $ | 13.37 | $ | 17.33 | $ | 14.56 | $ | 19.68 |
See Notes to Financial Statements
333
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
SA Multi- Managed Small Cap Portfolio | SA Multi- Managed International Equity Portfolio | SA Multi- Managed Diversified Fixed Income Portfolio | SA American Century Inflation Protection Portfolio# | SA Columbia Focused Value Portfolio | |||||||||||||||||||
ASSETS: | |||||||||||||||||||||||
Investments at value (unaffiliated)* | $ | 229,118,130 | $ | 353,789,273 | $ | 1,074,893,796 | $ | 737,396,217 | $ | 350,932,866 | |||||||||||||
Investments at value (affiliated)* | — | — | — | — | — | ||||||||||||||||||
Repurchase agreements (cost approximates value) | 184,000 | — | 3,870,000 | — | 7,652,000 | ||||||||||||||||||
Cash | 2,079,376 | 691,891 | 522,987 | — | 824 | ||||||||||||||||||
Foreign cash* | — | 550,156 | 28,504 | 138 | — | ||||||||||||||||||
Cash collateral for futures contracts | 216,091 | — | 12,409 | — | — | ||||||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | 22 | 118,668 | — | ||||||||||||||||||
Due from broker | — | 49 | — | — | — | ||||||||||||||||||
Receivable for: | |||||||||||||||||||||||
Fund shares sold | 151,311 | 440,739 | 1,346,814 | 325,929 | 334,278 | ||||||||||||||||||
Dividends and interest | 196,545 | 2,660,507 | 4,913,419 | 2,015,291 | 365,901 | ||||||||||||||||||
Investments sold | 473,475 | 5,039,642 | 9,043,217 | 8,824,357 | 5,162,116 | ||||||||||||||||||
Investments sold on an extended settlement basis | — | — | 47,468,293 | 1,998,897 | — | ||||||||||||||||||
Receipts on swap contracts | — | — | — | — | — | ||||||||||||||||||
Prepaid expenses and other assets | 5,542 | 6,223 | 10,554 | 7,418 | 5,505 | ||||||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | — | 12,034 | — | 37,349 | 96,653 | ||||||||||||||||||
Variation margin on futures contracts | — | — | 37,031 | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 125,388 | — | — | ||||||||||||||||||
Swap premiums paid | — | — | — | 4,227 | — | ||||||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | 213,964 | — | ||||||||||||||||||
Total assets | 232,424,470 | 363,190,514 | 1,142,272,434 | 750,942,455 | 364,550,143 | ||||||||||||||||||
LIABILITIES: | |||||||||||||||||||||||
Payable for: | |||||||||||||||||||||||
Fund shares redeemed | 539,627 | 502,390 | 1,134,403 | 17,203,444 | 661,885 | ||||||||||||||||||
Investments purchased | 1,072,097 | 765,028 | 6,504,451 | 11,436,348 | — | ||||||||||||||||||
Investments purchased on an extended settlement basis | — | — | 236,718,774 | 10,268,505 | — | ||||||||||||||||||
Payments on swap contracts | — | — | — | — | — | ||||||||||||||||||
Investment advisory and management fees | 165,905 | 281,391 | 488,154 | 363,599 | 302,527 | ||||||||||||||||||
Service fees — Class 2 | 1,922 | 2,113 | 2,240 | — | 1,905 | ||||||||||||||||||
Service fees — Class 3 | 2,070 | 2,368 | 1,997 | 95,842 | 1,994 | ||||||||||||||||||
Transfer agent fees and expenses | 400 | 509 | 472 | 581 | 399 | ||||||||||||||||||
Trustees' fees and expenses | 3,004 | 4,935 | 11,801 | 8,226 | 4,290 | ||||||||||||||||||
Other accrued expenses | 109,386 | 236,318 | 228,616 | 170,283 | 89,289 | ||||||||||||||||||
Accrued foreign tax on capital gains | — | 12,153 | — | — | — | ||||||||||||||||||
Line of credit | — | 675,000 | — | — | — | ||||||||||||||||||
Variation margin on futures contracts | 22,100 | 85,540 | 450,749 | — | — | ||||||||||||||||||
Due to custodian | — | — | — | 911,250 | — | ||||||||||||||||||
Due to custodian for foreign cash | — | — | — | — | — | ||||||||||||||||||
Due to broker | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 261,482 | — | — | ||||||||||||||||||
Swap premiums received | — | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | 466,948 | — | ||||||||||||||||||
Total liabilities | 1,916,511 | 2,567,745 | 245,803,139 | 40,925,026 | 1,062,289 | ||||||||||||||||||
NET ASSETS | $ | 230,507,959 | $ | 360,622,769 | $ | 896,469,295 | $ | 710,017,429 | $ | 363,487,854 | |||||||||||||
* Cost | |||||||||||||||||||||||
Investments (unaffiliated) | $ | 194,413,722 | $ | 296,654,080 | $ | 1,115,388,180 | $ | 740,353,006 | $ | 234,401,303 | |||||||||||||
Investments (affiliated) | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Foreign cash | $ | — | $ | 551,308 | $ | 34,407 | $ | 217 | $ | — |
# See Note 1
See Notes to Financial Statements
334
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
SA Multi- Managed Small Cap Portfolio | SA Multi- Managed International Equity Portfolio | SA Multi- Managed Diversified Fixed Income Portfolio | SA American Century Inflation Protection Portfolio# | SA Columbia Focused Value Portfolio | |||||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||||||
Capital paid-in | $ | 163,231,987 | $ | 283,713,277 | $ | 938,613,077 | $ | 692,047,332 | $ | 208,995,679 | |||||||||||||
Total accumulated earnings (loss) | 67,275,972 | 76,909,492 | (42,143,782 | ) | 17,970,097 | 154,492,175 | |||||||||||||||||
NET ASSETS | $ | 230,507,959 | $ | 360,622,769 | $ | 896,469,295 | $ | 710,017,429 | $ | 363,487,854 | |||||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 205,586,405 | $ | 332,409,417 | $ | 870,017,995 | $ | 278,307,587 | $ | 339,287,445 | |||||||||||||
Shares of beneficial interest issued and outstanding | 15,186,956 | 35,982,471 | 80,119,999 | 27,131,451 | 14,475,077 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.54 | $ | 9.24 | $ | 10.86 | $ | 10.26 | $ | 23.44 | |||||||||||||
Class 2 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 15,174,962 | $ | 16,909,274 | $ | 17,263,256 | $ | — | $ | 14,912,123 | |||||||||||||
Shares of beneficial interest issued and outstanding | 1,166,014 | 1,825,694 | 1,590,603 | — | 634,648 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 13.01 | $ | 9.26 | $ | 10.85 | $ | — | $ | 23.50 | |||||||||||||
Class 3 (unlimited shares authorized): | |||||||||||||||||||||||
Net assets | $ | 9,746,592 | $ | 11,304,078 | $ | 9,188,044 | $ | 431,709,842 | $ | 9,288,286 | |||||||||||||
Shares of beneficial interest issued and outstanding | 768,581 | 1,224,733 | 850,870 | 42,561,343 | 395,198 | ||||||||||||||||||
Net asset value, offering and redemption price per share | $ | 12.68 | $ | 9.23 | $ | 10.80 | $ | 10.14 | $ | 23.50 |
# See Note 1
See Notes to Financial Statements
335
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
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)* | 400,043,034 | 526,020,690 | 312,407,997 | 264,828,680 | |||||||||||||||
Repurchase agreements (cost approximates value) | — | — | — | — | |||||||||||||||
Cash | — | — | — | — | |||||||||||||||
Foreign cash* | — | — | — | — | |||||||||||||||
Cash collateral for futures contracts | — | — | — | — | |||||||||||||||
Cash collateral for centrally cleared swap contracts | — | — | — | — | |||||||||||||||
Due from broker | — | — | — | — | |||||||||||||||
Receivable for: | |||||||||||||||||||
Fund shares sold | 857,518 | 750,956 | 858,396 | 1,575,345 | |||||||||||||||
Dividends and interest | — | — | — | — | |||||||||||||||
Investments sold | — | — | — | — | |||||||||||||||
Investments sold on an extended settlement basis | — | — | — | — | |||||||||||||||
Receipts on swap contracts | — | — | — | — | |||||||||||||||
Prepaid expenses and other assets | 4,518 | 5,070 | 4,709 | 4,563 | |||||||||||||||
Due from investment adviser for expense reimbursements/fee waivers | 3,316 | 4,400 | 2,620 | 2,222 | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | |||||||||||||||
Swap premiums paid | — | — | — | — | |||||||||||||||
Unrealized appreciation on swap contracts | — | — | — | — | |||||||||||||||
Total assets | 400,908,386 | 526,781,116 | 313,273,722 | 266,410,810 | |||||||||||||||
LIABILITIES: | |||||||||||||||||||
Payable for: | |||||||||||||||||||
Fund shares redeemed | 38,295 | 198,448 | 41,557 | 21,438 | |||||||||||||||
Investments purchased | 819,222 | 552,508 | 816,839 | 1,553,906 | |||||||||||||||
Investments purchased on an extended settlement basis | — | — | — | — | |||||||||||||||
Payments on swap contracts | — | — | — | — | |||||||||||||||
Investment advisory and management fees | 33,162 | 43,996 | 26,201 | 22,216 | |||||||||||||||
Service fees — Class 2 | — | — | — | — | |||||||||||||||
Service fees — Class 3 | 81,772 | 109,936 | 65,473 | 55,505 | |||||||||||||||
Transfer agent fees and expenses | 254 | 254 | 254 | 254 | |||||||||||||||
Trustees' fees and expenses | 4,464 | 6,594 | 3,926 | 3,186 | |||||||||||||||
Other accrued expenses | 70,366 | 77,651 | 65,985 | 63,261 | |||||||||||||||
Accrued foreign tax on capital gains | — | — | — | — | |||||||||||||||
Line of credit | — | — | — | — | |||||||||||||||
Variation margin on futures contracts | — | — | — | — | |||||||||||||||
Due to custodian | — | — | — | — | |||||||||||||||
Due to custodian for foreign cash | — | — | — | — | |||||||||||||||
Due to broker | — | — | — | — | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | — | |||||||||||||||
Swap premiums received | — | — | — | — | |||||||||||||||
Unrealized depreciation on swap contracts | — | — | — | — | |||||||||||||||
Total liabilities | 1,047,535 | 989,387 | 1,020,235 | 1,719,766 | |||||||||||||||
NET ASSETS | $ | 399,860,851 | $ | 525,791,729 | $ | 312,253,487 | $ | 264,691,044 | |||||||||||
* Cost | |||||||||||||||||||
Investments (unaffiliated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Investments (affiliated) | $ | 382,884,319 | $ | 495,813,580 | $ | 301,351,305 | $ | 264,345,198 | |||||||||||
Foreign cash | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
336
SEASONS SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES — (continued)
March 31, 2022
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
NET ASSETS REPRESENTED BY: | |||||||||||||||||||
Capital paid-in | $ | 353,718,270 | $ | 453,697,449 | $ | 277,804,606 | $ | 247,783,253 | |||||||||||
Total accumulated earnings (loss) | 46,142,581 | 72,094,280 | 34,448,881 | 16,907,791 | |||||||||||||||
NET ASSETS | $ | 399,860,851 | $ | 525,791,729 | $ | 312,253,487 | $ | 264,691,044 | |||||||||||
Class 1 (unlimited shares authorized): | |||||||||||||||||||
Net assets | $ | 5,436,243 | $ | 257,298 | $ | 141,597 | $ | 173,021 | |||||||||||
Shares of beneficial interest issued and outstanding | 333,102 | 22,525 | 12,572 | 16,633 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.32 | $ | 11.42 | $ | 11.26 | $ | 10.40 | |||||||||||
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 | $ | 394,424,608 | $ | 525,534,431 | $ | 312,111,890 | $ | 264,518,023 | |||||||||||
Shares of beneficial interest issued and outstanding | 24,324,926 | 46,172,050 | 27,816,588 | 25,427,006 | |||||||||||||||
Net asset value, offering and redemption price per share | $ | 16.21 | $ | 11.38 | $ | 11.22 | $ | 10.40 |
See Notes to Financial Statements
337
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS
For the Year Ended March 31, 2022
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) | $ | 136,587 | $ | 201,921 | $ | 18,831 | $ | 7,496 | $ | 3,036,764 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | 332,502 | 918,963 | 972,726 | 953,133 | 1,136,322 | ||||||||||||||||||
Total investment income* | 469,089 | 1,120,884 | 991,557 | 960,629 | 4,173,086 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 465,871 | 761,502 | 447,616 | 329,365 | 1,914,399 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 30,196 | 67,584 | 44,505 | 36,368 | 83,783 | ||||||||||||||||||
Class 3 | 52,669 | 85,762 | 45,632 | 35,186 | 382,854 | ||||||||||||||||||
Transfer agent fees and expenses | 587 | 587 | 587 | 734 | 3,082 | ||||||||||||||||||
Custodian and accounting fees | 108,225 | 128,335 | 91,400 | 89,403 | 157,514 | ||||||||||||||||||
Reports to shareholders | 4,032 | 6,256 | 4,377 | 3,698 | 14,758 | ||||||||||||||||||
Audit and tax fees | 68,095 | 68,119 | 65,936 | 65,936 | 91,523 | ||||||||||||||||||
Legal fees | 9,725 | 9,972 | 10,364 | 9,911 | 15,982 | ||||||||||||||||||
Trustees' fees and expenses | 1,745 | 2,962 | 1,809 | 1,395 | 7,227 | ||||||||||||||||||
Interest expense | 32 | 50 | 31 | 50 | 151 | ||||||||||||||||||
Other expenses | 44,168 | 45,460 | 36,039 | 37,657 | 47,188 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 785,345 | 1,176,589 | 748,296 | 609,703 | 2,718,461 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (36,642 | ) | (44,794 | ) | (22,104 | ) | (12,833 | ) | (337,835 | ) | |||||||||||||
Fees paid indirectly (Note 5) | (1,246 | ) | (1,637 | ) | — | — | — | ||||||||||||||||
Net expenses | 747,457 | 1,130,158 | 726,192 | 596,870 | 2,380,626 | ||||||||||||||||||
Net investment income (loss) | (278,368 | ) | (9,274 | ) | 265,365 | 363,759 | 1,792,460 | ||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 5,993,584 | 6,843,304 | 1,558,602 | 427,638 | 32,654,784 | ||||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 88,557 | 266,900 | 276,085 | 185,570 | (2,585,887 | ) | |||||||||||||||||
Forward contracts | 15,464 | 129,177 | 125,425 | 127,933 | (10,202 | ) | |||||||||||||||||
Swap contracts | 30,564 | 23,661 | 37,269 | (9,546 | ) | 900,629 | |||||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | 174 | 1,025 | 1,119 | 1,040 | (27,156 | ) | |||||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 6,128,343 | 7,264,067 | 1,998,500 | 732,635 | 30,932,168 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (13,535,873 | ) | (18,451,978 | ) | (8,678,046 | ) | (4,837,632 | ) | (19,022,599 | ) | |||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 19,611 | 19,068 | 15,416 | 50,764 | 665,619 | ||||||||||||||||||
Forward contracts | (7,724 | ) | (17,239 | ) | (19,486 | ) | (17,019 | ) | (67,681 | ) | |||||||||||||
Swap contracts | (33,606 | ) | (31,327 | ) | (40,299 | ) | 27,512 | (170,376 | ) | ||||||||||||||
Unfunded commitments | — | — | — | — | — | ||||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | (117 | ) | (1,089 | ) | (1,247 | ) | (1,156 | ) | 409 | ||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | 27,293 | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (13,557,709 | ) | (18,482,565 | ) | (8,723,662 | ) | (4,777,531 | ) | (18,567,335 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (7,429,366 | ) | (11,218,498 | ) | (6,725,162 | ) | (4,044,896 | ) | 12,364,833 | ||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (7,707,734 | ) | $ | (11,227,772 | ) | $ | (6,459,797 | ) | $ | (3,681,137 | ) | $ | 14,157,293 | |||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 802 | $ | 1,027 | $ | 480 | $ | 192 | $ | 95,088 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | 48,205 |
See Notes to Financial Statements
338
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2022
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) | $ | 1,380,281 | $ | 2,460,549 | $ | 17,775,383 | $ | 947,824 | $ | 4,089,060 | |||||||||||||
Dividends (affiliated) | — | — | 16,986 | — | — | ||||||||||||||||||
Interest (unaffiliated) | 3,723 | 801 | 1,100 | 1,065 | 21,668 | ||||||||||||||||||
Total investment income* | 1,384,004 | 2,461,350 | 17,793,469 | 948,889 | 4,110,728 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 3,843,528 | 4,298,206 | 6,194,340 | 2,091,876 | 2,157,508 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 65,544 | 58,536 | 36,542 | 39,762 | 34,556 | ||||||||||||||||||
Class 3 | 85,271 | 51,489 | 29,837 | 39,955 | 35,415 | ||||||||||||||||||
Transfer agent fees and expenses | 3,351 | 1,761 | 1,614 | 2,201 | 2,201 | ||||||||||||||||||
Custodian and accounting fees | 66,604 | 71,440 | 135,939 | 74,612 | 90,546 | ||||||||||||||||||
Reports to shareholders | 28,448 | 33,717 | 50,027 | 14,135 | 15,576 | ||||||||||||||||||
Audit and tax fees | 46,269 | 50,483 | 47,926 | 49,451 | 48,910 | ||||||||||||||||||
Legal fees | 20,966 | 20,336 | 14,460 | 10,391 | 11,842 | ||||||||||||||||||
Trustees' fees and expenses | 15,188 | 18,273 | 26,525 | 8,350 | 8,231 | ||||||||||||||||||
Interest expense | — | 535 | 1,643 | 111 | 542 | ||||||||||||||||||
Other expenses | 37,393 | 48,311 | 50,463 | 75,549 | 79,207 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 4,212,562 | 4,653,087 | 6,589,316 | 2,406,393 | 2,484,534 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | (449,004 | ) | — | — | — | |||||||||||||||||
Fees paid indirectly (Note 5) | — | — | (102 | ) | (468 | ) | — | ||||||||||||||||
Net expenses | 4,212,562 | 4,204,083 | 6,589,214 | 2,405,925 | 2,484,534 | ||||||||||||||||||
Net investment income (loss) | (2,828,558 | ) | (1,742,733 | ) | 11,204,255 | (1,457,036 | ) | 1,626,194 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 46,393,097 | 60,161,743 | 110,478,822 | 46,593,717 | 30,284,797 | ||||||||||||||||||
Investments (affiliated) | — | — | 1,621 | — | — | ||||||||||||||||||
Futures contracts | — | 96,398 | 84,218 | 5,532 | (4,284 | ) | |||||||||||||||||
Forward contracts | — | — | 1,431,223 | — | — | ||||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | (1,513 | ) | (15 | ) | 6,121 | 106 | (515 | ) | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 46,391,584 | 60,258,126 | 112,002,005 | 46,599,355 | 30,279,998 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (47,242,512 | ) | (51,559,545 | ) | (21,871,111 | ) | (55,537,414 | ) | (3,467,764 | ) | |||||||||||||
Investments (affiliated) | — | — | 212,913 | — | — | ||||||||||||||||||
Futures contracts | — | 26,185 | 38,517 | 18,789 | 14,957 | ||||||||||||||||||
Forward contracts | — | — | (331,135 | ) | — | — | |||||||||||||||||
Swap contracts | — | — | — | — | — | ||||||||||||||||||
Unfunded commitments | — | — | — | (332,053 | ) | — | |||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | 28 | (6 | ) | (2,670 | ) | (53 | ) | (674 | ) | ||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | — | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (47,242,484 | ) | (51,533,366 | ) | (21,953,486 | ) | (55,850,731 | ) | (3,453,481 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (850,900 | ) | 8,724,760 | 90,048,519 | (9,251,376 | ) | 26,826,517 | ||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (3,679,458 | ) | $ | 6,982,027 | $ | 101,252,774 | $ | (10,708,412 | ) | $ | 28,452,711 | |||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 16,829 | $ | 4,870 | $ | 86,023 | $ | 1,728 | $ | 34,951 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
339
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2022
SA Multi- Managed Small Cap Portfolio | SA Multi- Managed International Equity Portfolio | SA Multi- Managed Diversified Fixed Income Portfolio | SA American Century Inflation Protection Portfolio# | SA Columbia Focused Value Portfolio | |||||||||||||||||||
Investment Income: | |||||||||||||||||||||||
Dividends (unaffiliated) | $ | 2,798,732 | $ | 10,331,448 | $ | 1,825 | $ | — | $ | 8,590,623 | |||||||||||||
Dividends (affiliated) | — | — | — | — | — | ||||||||||||||||||
Interest (unaffiliated) | — | 596 | 23,292,061 | 28,454,406 | — | ||||||||||||||||||
Total investment income* | 2,798,732 | 10,332,044 | 23,293,886 | 28,454,406 | 8,590,623 | ||||||||||||||||||
Expenses: | |||||||||||||||||||||||
Investment advisory and management fees | 2,179,853 | 3,758,539 | 6,221,892 | 4,084,008 | 3,662,724 | ||||||||||||||||||
Service Fees: | |||||||||||||||||||||||
Class 2 | 25,209 | 28,285 | 28,542 | — | 22,363 | ||||||||||||||||||
Class 3 | 26,882 | 32,510 | 26,375 | 1,078,625 | 24,684 | ||||||||||||||||||
Transfer agent fees and expenses | 1,614 | 2,055 | 1,908 | 2,348 | 1,745 | ||||||||||||||||||
Custodian and accounting fees | 108,801 | 197,310 | 286,566 | 145,083 | 40,315 | ||||||||||||||||||
Reports to shareholders | 15,063 | 24,617 | 61,931 | 46,825 | 22,740 | ||||||||||||||||||
Audit and tax fees | 49,553 | 115,303 | 67,354 | 62,983 | 41,693 | ||||||||||||||||||
Legal fees | 6,228 | 21,490 | 15,338 | 51,480 | 11,287 | ||||||||||||||||||
Trustees' fees and expenses | 8,594 | 13,220 | 31,550 | 21,599 | 11,993 | ||||||||||||||||||
Interest expense | 289 | 352 | 303 | 43 | 34 | ||||||||||||||||||
Other expenses | 46,673 | 84,833 | 44,725 | 37,503 | 35,759 | ||||||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 2,468,759 | 4,278,514 | 6,786,484 | 5,530,497 | 3,875,337 | ||||||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | — | (161,494 | ) | — | (356,153 | ) | (1,167,698 | ) | |||||||||||||||
Fees paid indirectly (Note 5) | (6,782 | ) | — | — | — | (4,805 | ) | ||||||||||||||||
Net expenses | 2,461,977 | 4,117,020 | 6,786,484 | 5,174,344 | 2,702,834 | ||||||||||||||||||
Net investment income (loss) | 336,755 | 6,215,024 | 16,507,402 | 23,280,062 | 5,887,789 | ||||||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||
Investments (unaffiliated)** | 34,786,775 | 21,219,046 | (3,242,548 | ) | 15,148,262 | 34,184,642 | |||||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | (262,641 | ) | 138,726 | 2,689,873 | 2,436,140 | — | |||||||||||||||||
Forward contracts | — | — | 1,274,464 | 11,280,147 | — | ||||||||||||||||||
Swap contracts | — | — | (38,623 | ) | (22 | ) | — | ||||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) | — | — | — | — | — | ||||||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | (82,045 | ) | (4,118 | ) | (2,833,284 | ) | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 34,524,134 | 21,275,727 | 679,048 | 26,031,243 | 34,184,642 | ||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||
Investments (unaffiliated) | (33,754,060 | ) | (29,181,794 | ) | (59,910,073 | ) | (19,272,132 | ) | 3,095,323 | ||||||||||||||
Investments (affiliated) | — | — | — | — | — | ||||||||||||||||||
Futures contracts | 55,376 | (51,198 | ) | (495,321 | ) | (886,820 | ) | — | |||||||||||||||
Forward contracts | — | — | (294,616 | ) | (1,048,411 | ) | — | ||||||||||||||||
Swap contracts | — | — | 4,018 | (252,984 | ) | — | |||||||||||||||||
Unfunded commitments | (77,422 | ) | — | — | — | — | |||||||||||||||||
Change in net realized foreign exchange gain (loss) on other assets and liabilities | — | (20,848 | ) | (10,564 | ) | (22,642 | ) | — | |||||||||||||||
Change in accrued capital gains tax on unrealized appreciation (depreciation) | — | 17,338 | — | — | — | ||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (33,776,106 | ) | (29,236,502 | ) | (60,706,556 | ) | (21,482,989 | ) | 3,095,323 | ||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 748,028 | (7,960,775 | ) | (60,027,508 | ) | 4,548,254 | 37,279,965 | ||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,084,783 | $ | (1,745,751 | ) | $ | (43,520,106 | ) | $ | 27,828,316 | $ | 43,167,754 | |||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | 7,068 | $ | 1,009,744 | $ | 62 | $ | 8 | $ | 31,625 | |||||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | 2,165 | $ | — | $ | — | $ | — |
# See Note 1
See Notes to Financial Statements
340
SEASONS SERIES TRUST
STATEMENT OF OPERATIONS — (continued)
For the Year Ended March 31, 2022
SA Allocation Growth Portfolio | SA Allocation Moderate Growth Portfolio | SA Allocation Moderate Portfolio | SA Allocation Balanced Portfolio | ||||||||||||||||
Investment Income: | |||||||||||||||||||
Dividends (unaffiliated) | $ | — | $ | — | $ | — | $ | — | |||||||||||
Dividends (affiliated) | 4,879,048 | 7,783,651 | 4,807,418 | 4,159,664 | |||||||||||||||
Interest (unaffiliated) | — | — | — | — | |||||||||||||||
Total investment income* | 4,879,048 | 7,783,651 | 4,807,418 | 4,159,664 | |||||||||||||||
Expenses: | |||||||||||||||||||
Investment advisory and management fees | 378,654 | 551,891 | 328,449 | 268,020 | |||||||||||||||
Service Fees: | |||||||||||||||||||
Class 2 | — | — | — | — | |||||||||||||||
Class 3 | 942,318 | 1,379,059 | 820,783 | 669,641 | |||||||||||||||
Transfer agent fees and expenses | 1,027 | 1,027 | 1,027 | 979 | |||||||||||||||
Custodian and accounting fees | 11,919 | 11,919 | 11,919 | 11,919 | |||||||||||||||
Reports to shareholders | 25,453 | 34,524 | 21,042 | 17,818 | |||||||||||||||
Audit and tax fees | 31,480 | 31,157 | 31,157 | 34,502 | |||||||||||||||
Legal fees | 11,962 | 11,612 | 10,725 | 10,635 | |||||||||||||||
Trustees' fees and expenses | 11,733 | 17,618 | 10,477 | 8,476 | |||||||||||||||
Interest expense | — | — | — | — | |||||||||||||||
Other expenses | 26,452 | 27,183 | 25,637 | 25,304 | |||||||||||||||
Total expenses before fee waivers, expense reimbursements and expense recoupments and fees paid indirectly | 1,440,998 | 2,065,990 | 1,261,216 | 1,047,294 | |||||||||||||||
Fees waived and expenses reimbursed by investment advisor (Note 3) | (37,865 | ) | (55,188 | ) | (32,846 | ) | (26,802 | ) | |||||||||||
Fees paid indirectly (Note 5) | — | — | — | — | |||||||||||||||
Net expenses | 1,403,133 | 2,010,802 | 1,228,370 | 1,020,492 | |||||||||||||||
Net investment income (loss) | 3,475,915 | 5,772,849 | 3,579,048 | 3,139,172 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||
Investments (unaffiliated)** | — | — | — | — | |||||||||||||||
Investments (affiliated) | 6,524,282 | 12,988,789 | 8,334,296 | 5,708,122 | |||||||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Forward contracts | — | — | — | — | |||||||||||||||
Swap contracts | — | — | — | — | |||||||||||||||
Net realized gain from capital gain distributions received from underlying funds (affiliated) | 21,374,310 | 26,403,294 | 14,410,844 | 9,833,663 | |||||||||||||||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | — | — | — | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 27,898,592 | 39,392,083 | 22,745,140 | 15,541,785 | |||||||||||||||
Change in unrealized appreciation (depreciation) on: | |||||||||||||||||||
Investments (unaffiliated) | — | — | — | — | |||||||||||||||
Investments (affiliated) | (21,770,663 | ) | (32,956,172 | ) | (21,581,027 | ) | (19,038,720 | ) | |||||||||||
Futures contracts | — | — | — | — | |||||||||||||||
Forward contracts | — | — | — | — | |||||||||||||||
Swap contracts | — | — | — | — | |||||||||||||||
Unfunded commitments | — | — | — | — | |||||||||||||||
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 | (21,770,663 | ) | (32,956,172 | ) | (21,581,027 | ) | (19,038,720 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 6,127,929 | 6,435,911 | 1,164,113 | (3,496,935 | ) | ||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 9,603,844 | $ | 12,208,760 | $ | 4,743,161 | $ | (357,763 | ) | ||||||||||
* Net of foreign withholding taxes on interest and dividends of | $ | — | $ | — | $ | — | $ | — | |||||||||||
** Net of foreign withholding taxes on capital gains of | $ | — | $ | — | $ | — | $ | — |
See Notes to Financial Statements
341
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
SA Multi-Managed Growth | SA Multi-Managed Moderate Growth | SA Multi-Managed Income/Equity | |||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (278,368 | ) | $ | (239,436 | ) | $ | (9,274 | ) | $ | (3,556 | ) | $ | 265,365 | $ | 216,704 | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 6,128,343 | 12,506,810 | 7,264,067 | 17,414,796 | 1,998,500 | 7,996,302 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (13,557,709 | ) | 12,400,264 | (18,482,565 | ) | 16,372,547 | (8,723,662 | ) | 4,998,449 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (7,707,734 | ) | 24,667,638 | (11,227,772 | ) | 33,783,787 | (6,459,797 | ) | 13,211,455 | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (2,693,314 | ) | (1,410,153 | ) | (1,994,141 | ) | (1,102,380 | ) | (1,092,007 | ) | (833,170 | ) | |||||||||||||||
Distributable earnings — Class 2 | (4,925,069 | ) | (2,502,859 | ) | (8,784,639 | ) | (4,728,038 | ) | (4,404,941 | ) | (3,411,692 | ) | |||||||||||||||
Distributable earnings — Class 3 | (4,801,299 | ) | (3,013,507 | ) | (6,672,375 | ) | (3,633,633 | ) | (2,793,787 | ) | (1,904,341 | ) | |||||||||||||||
Total distributions to shareholders | (12,419,682 | ) | (6,926,519 | ) | (17,451,155 | ) | (9,464,051 | ) | (8,290,735 | ) | (6,149,203 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 9,192,205 | (1,661,519 | ) | 14,166,110 | 679,782 | 4,365,788 | 3,393,771 | ||||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (10,935,211 | ) | 16,079,600 | (14,512,817 | ) | 24,999,518 | (10,384,744 | ) | 10,456,023 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 55,236,287 | 39,156,687 | 91,785,201 | 66,785,683 | 57,415,154 | 46,959,131 | |||||||||||||||||||||
End of period | $ | 44,301,076 | $ | 55,236,287 | $ | 77,272,384 | $ | 91,785,201 | $ | 47,030,410 | $ | 57,415,154 |
See Notes to Financial Statements
342
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Income | SA Putnam Asset Allocation Diversified Growth | SA T. Rowe Price Growth Stock | |||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 363,759 | $ | 311,189 | $ | 1,792,460 | $ | 2,090,630 | $ | (2,828,558 | ) | $ | (2,201,283 | ) | |||||||||||||
Net realized gain (loss) on investments and foreign currencies | 732,635 | 3,847,673 | 30,932,168 | 15,949,704 | 46,391,584 | 96,031,125 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (4,777,531 | ) | 2,066,827 | (18,567,335 | ) | 51,249,426 | (47,242,484 | ) | 119,769,092 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (3,681,137 | ) | 6,225,689 | 14,157,293 | 69,289,760 | (3,679,458 | ) | 213,598,934 | |||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (423,113 | ) | (412,472 | ) | (1,255,278 | ) | (212,269 | ) | (76,977,920 | ) | (35,426,255 | ) | |||||||||||||||
Distributable earnings — Class 2 | (2,327,571 | ) | (2,037,895 | ) | (4,262,042 | ) | (652,736 | ) | (8,894,168 | ) | (4,402,268 | ) | |||||||||||||||
Distributable earnings — Class 3 | (1,354,453 | ) | (1,157,864 | ) | (11,860,729 | ) | (1,451,437 | ) | (7,071,256 | ) | (3,617,611 | ) | |||||||||||||||
Total distributions to shareholders | (4,105,137 | ) | (3,608,231 | ) | (17,378,049 | ) | (2,316,442 | ) | (92,943,344 | ) | (43,446,134 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 162,921 | 4,517,947 | 2,178,642 | (6,202,745 | ) | 67,809,060 | (90,124,788 | ) | |||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (7,623,353 | ) | 7,135,405 | (1,042,114 | ) | 60,770,573 | (28,813,742 | ) | 80,028,012 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 44,670,314 | 37,534,909 | 212,581,408 | 151,810,835 | 444,040,404 | 364,012,392 | |||||||||||||||||||||
End of period | $ | 37,046,961 | $ | 44,670,314 | $ | 211,539,294 | $ | 212,581,408 | $ | 415,226,662 | $ | 444,040,404 |
See Notes to Financial Statements
343
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Large Cap Growth | SA Multi-Managed Large Cap Value | SA Multi-Managed Mid Cap Growth | |||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,742,733 | ) | $ | (801,254 | ) | $ | 11,204,255 | $ | 13,784,636 | $ | (1,457,036 | ) | $ | (1,410,452 | ) | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 60,258,126 | 137,447,188 | 112,002,005 | 43,266,083 | 46,599,355 | 71,089,877 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (51,533,366 | ) | 137,427,053 | (21,953,486 | ) | 229,709,094 | (55,850,731 | ) | 61,138,066 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 6,982,027 | 274,072,987 | 101,252,774 | 286,759,813 | (10,708,412 | ) | 130,817,491 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (121,538,733 | ) | (59,901,369 | ) | (55,486,967 | ) | (51,381,297 | ) | (56,944,459 | ) | (22,866,374 | ) | |||||||||||||||
Distributable earnings — Class 2 | (9,829,305 | ) | (4,904,322 | ) | (1,706,337 | ) | (1,564,372 | ) | (8,110,581 | ) | (3,037,793 | ) | |||||||||||||||
Distributable earnings — Class 3 | (5,119,610 | ) | (2,616,217 | ) | (815,483 | ) | (761,777 | ) | (5,012,863 | ) | (1,882,160 | ) | |||||||||||||||
Total distributions to shareholders | (136,487,648 | ) | (67,421,908 | ) | (58,008,787 | ) | (53,707,446 | ) | (70,067,903 | ) | (27,786,327 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 122,693,166 | (125,799,998 | ) | (68,153,913 | ) | (16,527,013 | ) | 42,203,576 | (42,113,064 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (6,812,455 | ) | 80,851,081 | (24,909,926 | ) | 216,525,354 | (38,572,739 | ) | 60,918,100 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 508,997,399 | 428,146,318 | 799,609,920 | 583,084,566 | 242,855,239 | 181,937,139 | |||||||||||||||||||||
End of period | $ | 502,184,944 | $ | 508,997,399 | $ | 774,699,994 | $ | 799,609,920 | $ | 204,282,500 | $ | 242,855,239 |
See Notes to Financial Statements
344
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Mid Cap Value | SA Multi-Managed Small Cap | SA Multi-Managed International Equity | |||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,626,194 | $ | 1,955,449 | $ | 336,755 | $ | 523,156 | $ | 6,215,024 | $ | 4,583,401 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 30,279,998 | 10,815,589 | 34,524,134 | 28,808,942 | 21,275,727 | 19,042,516 | |||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (3,453,481 | ) | 104,910,207 | (33,776,106 | ) | 109,468,272 | (29,236,502 | ) | 118,586,291 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 28,452,711 | 117,681,245 | 1,084,783 | 138,800,370 | (1,745,751 | ) | 142,212,208 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (11,231,892 | ) | (9,222,131 | ) | (25,904,912 | ) | (26,750,632 | ) | (22,944,222 | ) | (10,993,940 | ) | |||||||||||||||
Distributable earnings — Class 2 | (1,230,243 | ) | (918,696 | ) | (2,008,034 | ) | (1,986,928 | ) | (1,129,111 | ) | (523,599 | ) | |||||||||||||||
Distributable earnings — Class 3 | (740,037 | ) | (565,259 | ) | (1,290,455 | ) | (1,286,032 | ) | (757,274 | ) | (365,979 | ) | |||||||||||||||
Total distributions to shareholders | (13,202,172 | ) | (10,706,086 | ) | (29,203,401 | ) | (30,023,592 | ) | (24,830,607 | ) | (11,883,518 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | (31,343,217 | ) | (18,374,817 | ) | (919,434 | ) | (9,584,798 | ) | (265,259 | ) | (31,611,393 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (16,092,678 | ) | 88,600,342 | (29,038,052 | ) | 99,191,980 | (26,841,617 | ) | 98,717,297 | ||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 257,485,587 | 168,885,245 | 259,546,011 | 160,354,031 | 387,464,386 | 288,747,089 | |||||||||||||||||||||
End of period | $ | 241,392,909 | $ | 257,485,587 | $ | 230,507,959 | $ | 259,546,011 | $ | 360,622,769 | $ | 387,464,386 |
See Notes to Financial Statements
345
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Multi-Managed Diversified Fixed Income | SA American Century Inflation Protection Portfolio# | SA Columbia Focused Value | |||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||||||||||
OPERATIONS: | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 16,507,402 | $ | 17,495,767 | $ | 23,280,062 | $ | 1,695,539 | $ | 5,887,789 | $ | 9,109,230 | |||||||||||||||
Net realized gain (loss) on investments and foreign currencies | 679,048 | 19,418,071 | 26,031,243 | (6,369,186 | ) | 34,184,642 | 19,362,329 | ||||||||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (60,706,556 | ) | (4,655,339 | ) | (21,482,989 | ) | 48,226,505 | 3,095,323 | 126,195,999 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (43,520,106 | ) | 32,258,499 | 27,828,316 | 43,552,858 | 43,167,754 | 154,667,558 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||||||||||
Distributable earnings — Class 1 | (39,214,342 | ) | (42,518,644 | ) | (6,410,018 | ) | (8,208,981 | ) | (27,577,492 | ) | (22,528,690 | ) | |||||||||||||||
Distributable earnings — Class 2 | (717,545 | ) | (924,053 | ) | — | — | (1,191,632 | ) | (947,444 | ) | |||||||||||||||||
Distributable earnings — Class 3 | (392,420 | ) | (521,061 | ) | (10,493,586 | ) | (13,205,652 | ) | (769,975 | ) | (636,918 | ) | |||||||||||||||
Total distributions to shareholders | (40,324,307 | ) | (43,963,758 | ) | (16,903,604 | ) | (21,414,633 | ) | (29,539,099 | ) | (24,113,052 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 1,070,162 | 93,717,550 | 39,682,004 | 42,617,190 | (9,714,801 | ) | 23,944,021 | ||||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (82,774,251 | ) | 82,012,291 | 50,606,716 | �� | 64,755,415 | 3,913,854 | 154,498,527 | |||||||||||||||||||
NET ASSETS: | |||||||||||||||||||||||||||
Beginning of period | 979,243,546 | 897,231,255 | 659,410,713 | 594,655,298 | 359,574,000 | 205,075,473 | |||||||||||||||||||||
End of period | $ | 896,469,295 | $ | 979,243,546 | $ | 710,017,429 | $ | 659,410,713 | $ | 363,487,854 | $ | 359,574,000 |
# See Note 1
See Notes to Financial Statements
346
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Growth | SA Allocation Moderate Growth | ||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 3,475,915 | $ | 3,227,086 | $ | 5,772,849 | $ | 6,664,602 | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 27,898,592 | 17,873,296 | 39,392,083 | 33,187,869 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (21,770,663 | ) | 70,622,457 | (32,956,172 | ) | 107,397,519 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 9,603,844 | 91,722,839 | 12,208,760 | 147,249,990 | |||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||
Distributable earnings — Class 1 | (44,431 | ) | (10,542 | ) | (20,019 | ) | (9,580 | ) | |||||||||||
Distributable earnings — Class 2 | — | — | — | — | |||||||||||||||
Distributable earnings — Class 3 | (21,666,528 | ) | (13,533,599 | ) | (40,140,056 | ) | (19,860,649 | ) | |||||||||||
Total distributions to shareholders | (21,710,959 | ) | (13,544,141 | ) | (40,160,075 | ) | (19,870,229 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 91,885,740 | 49,569,783 | 23,210,162 | (270,933 | ) | ||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 79,778,625 | 127,748,481 | (4,741,153 | ) | 127,108,828 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 320,082,226 | 192,333,745 | 530,532,882 | 403,424,054 | |||||||||||||||
End of period | $ | 399,860,851 | $ | 320,082,226 | $ | 525,791,729 | $ | 530,532,882 |
See Notes to Financial Statements
347
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
SA Allocation Moderate | SA Allocation Balanced | ||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||||||||||
OPERATIONS: | |||||||||||||||||||
Net investment income (loss) | $ | 3,579,048 | $ | 4,357,687 | $ | 3,139,172 | $ | 3,826,485 | |||||||||||
Net realized gain (loss) on investments and foreign currencies | 22,745,140 | 19,150,537 | 15,541,785 | 12,302,006 | |||||||||||||||
Net unrealized gain (loss) on investments and foreign currencies | (21,581,027 | ) | 55,594,540 | (19,038,720 | ) | 31,642,844 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 4,743,161 | 79,102,764 | (357,763 | ) | 47,771,335 | ||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||||||||||
Distributable earnings — Class 1 | (10,610 | ) | (4,287 | ) | (7,506 | ) | (13,212 | ) | |||||||||||
Distributable earnings — Class 2 | — | — | — | — | |||||||||||||||
Distributable earnings — Class 3 | (23,050,684 | ) | (11,822,993 | ) | (11,080,560 | ) | (11,533,876 | ) | |||||||||||
Total distributions to shareholders | (23,061,294 | ) | (11,827,280 | ) | (11,088,066 | ) | (11,547,088 | ) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions (Note 7) | 11,066,633 | (4,575,751 | ) | 18,894,745 | 14,738,368 | ||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (7,251,500 | ) | 62,699,733 | 7,448,916 | 50,962,615 | ||||||||||||||
NET ASSETS: | |||||||||||||||||||
Beginning of period | 319,504,987 | 256,805,254 | 257,242,128 | 206,279,513 | |||||||||||||||
End of period | $ | 312,253,487 | $ | 319,504,987 | $ | 264,691,044 | $ | 257,242,128 |
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 majority-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 Portfolio" 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 and SunAmerica Series Trust (collectively, the "Underlying Portfolios").
Class 1 shares, Class 2 shares and/or Class 3 shares of each Portfolio may be offered only in connection with certain Variable Contracts. Class 2 and Class 3 shares of a given Portfolio are identical in all respects to Class 1 shares of the same Portfolio, except that (i) each class may bear differing amounts of certain class-specific expenses; (ii) Class 2 and Class 3 shares are subject to service fees, while Class 1 shares are not subject to service fees; and (iii) Class 2 and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 and Class 3 shares. Class 2 and Class 3 shares of each Portfolio, pay service fees at an annual rate of 0.15% and 0.25%, respectively, of each class' average daily net assets.
Effective February 22, 2022, SA Wellington Real Return Portfolio changed its name to the SA American Century Inflation Protection Portfolio and American Century Investment Management, Inc. assumed management of the Portfolio, which was previously managed by Wellington Management Company, LLP.
The investment goal for each Portfolio is as follows:
Seasons Strategies Portfolios
The SA Multi-Managed Growth Portfolio seeks long-term growth of capital by allocating its assets among three distinct, actively-managed investment components, each with a different investment strategy, which include a small-cap growth component, a fixed income component and a growth component.
The SA Multi-Managed Moderate Growth Portfolio seeks long-term growth of capital, with capital preservation as a secondary objective by allocating its assets among three distinct, actively-managed investment components, each with a different investment strategy, which include a small-cap growth component, a fixed income component and a growth component.
The SA Multi-Managed Income/Equity Portfolio seeks conservation of principal while maintaining some potential for long-term growth of capital by allocating its assets among two distinct, actively-managed investment components, each with a different investment strategy, which include a fixed income component and a growth component.
The SA Multi-Managed Income Portfolio seeks capital preservation by allocating its assets among two distinct, actively-managed investment components, each with a different investment strategy which include a fixed income component and a growth component.
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The SA Putnam Asset Allocation Diversified Growth Portfolio seeks capital appreciation by investing, under normal circumstances, through strategic allocation of approximately 80% (with a range of 65-95%) of its assets in equity securities and approximately 20% (with a range of 5-35%) of its assets in fixed income securities.
The SA T. Rowe Price Growth Stock Portfolio seeks long-term capital appreciation with a secondary objective of increasing dividend income by investing, under normal circumstances, at least 80% of its net assets in common stocks of a diversified group of growth companies.
Seasons Select Portfolios
The SA Multi-Managed Large Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large capitalization companies selected through a growth strategy.
The SA Multi-Managed Large Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of large companies selected through a value strategy.
The SA Multi-Managed Mid Cap Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a growth strategy.
The SA Multi-Managed Mid Cap Value Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of medium-capitalization companies selected through a value strategy.
The SA Multi-Managed Small Cap Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of small-cap companies.
The SA Multi-Managed International Equity Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in equity securities of issuers in at least three countries other than the U.S.
The SA Multi-Managed Diversified Fixed Income Portfolio seeks relatively high current income and, secondarily, capital appreciation by investing, under normal circumstances, at least 80% of its net assets in fixed income securities including U.S. and foreign government securities, asset- and mortgage-backed securities, investment-grade debt securities, and lower-rated fixed income securities, or junk bonds.
The SA American Century Inflation Portfolio seeks long-term total return using a strategy that seeks to protect against U.S. inflation.
Seasons Focused Portfolio
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 equity securities 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.
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Each Portfolio is diversified as such term is defined under the Investment Company Act of 1940, as amended (the "1940 Act"), with the exception of the SA Multi-Managed Large Cap Growth Portfolio and SA T. Rowe Price Growth Stock Portfolio, which, effective March 15, 2022, each changed their classification from diversified to non-diversified.
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 1940 Act, of the Trust (collectively, the "Disinterested Trustees"), the Trust provides the Disinterested Trustees with a limited indemnification against liabilities arising out of the performance of their duties to the Trust, whether such liabilities are asserted during or after their service as trustees. In addition, in the normal course of business, the Trust enters into contracts that contain the obligation to indemnify others. The Trust's maximum exposure under these arrangements is unknown. Currently, however, the Trust expects the risk of loss to be remote.
Note 2. Significant Accounting Policies: The preparation of financial statements in accordance with U.S. generally accepted accounting principles ("GAAP") requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The Portfolios are considered investment companies under GAAP and follow the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements:
Security Valuation: In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity's own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 — Unadjusted quoted prices in active markets for identical securities
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board, etc.)
Level 3 — Significant unobservable inputs (includes inputs that reflect the Portfolios' own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment's assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The summary of each Portfolio's assets and liabilities classified in the fair value hierarchy as of March 31, 2022, is reported on a schedule at the end of each Portfolio's Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price ("NOCP"). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
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As of the close of regular trading on the New York Stock Exchange ("NYSE"), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security's price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio's shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans ("Loans") are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.
Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange on which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter ("OTC") market are valued at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Option contracts on swaps ("swaptions") and other option derivatives (i.e., straddle options) are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the OTC market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts ("forward contracts") are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the "PRC Procedures") for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust's fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as
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Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Derivative Instruments
Forward Foreign Currency Contracts: 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: A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the "broker"). Subsequent payments are made or received by a Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statement of Assets and Liabilities as variation margin for changes in the value of the contracts and as cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The primary risk to a Portfolio of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While a Portfolio will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, the Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to a Portfolio since the futures contracts are generally exchange-traded.
Futures contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.
Options: 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
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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).
Credit Default Swap Agreements: 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
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index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to deliver option (the buyer of protection's right to choose the deliverable obligation with the lowest value following a credit event). A Portfolio may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Portfolio owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer's default.
Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Portfolio may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation's default.
Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name's weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Portfolio may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule 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
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offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.
Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.
Equity Swap Agreements: Equity swaps are contracts that are typically entered into for the purpose of investing in a security or index without owning or taking physical custody of securities. Total return swaps are contracts that obligate a party to pay or receive interest in exchange for the payment by the other party of the total return generated by a security, a basket of securities, an index or an index component. To the extent the total return of the security or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Portfolio will receive a payment from or make a payment to the counterparty.
The counterparty to an equity swap will typically be a bank, investment banking firm or broker/dealer. Equity swaps may be structured in different ways. The counterparty will generally agree to pay a Portfolio the amount, if any, by which the notional amount of the equity swap contract would have increased in value had it been invested in particular stocks (or an index of stocks), plus the dividends that would have been received on those stocks. In these cases, a Portfolio may agree to pay to the counterparty a floating rate of interest on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks.
Therefore, the return to a Portfolio on any equity swap should be the gain or loss on the notional amount plus dividends on the stocks less the interest paid by the Portfolio on the notional amount. In other cases, the counterparty and a Portfolio may agree to pay to the other the difference between the relative investment performances that would have been achieved if the notional amount of the equity swap contract had been invested in different stocks (or indices of stocks).
A Portfolio will generally enter into equity swaps only on a net basis, which means that the two payment streams are netted out, with the Portfolio receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of an equity swap contract or periodically during its term. Equity swaps normally do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to equity swaps is normally limited to the net amount of payments that a Portfolio is contractually obligated to make. If the counterparty to an equity swap defaults, a Portfolio's risk of loss consists of the net discounted amount of payments that the Portfolio is contractually entitled to receive, if any. In addition, the value of some components of an equity swap (such as the dividends on a common stock) may also be sensitive to changes in interest rates.
Equity swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio's Portfolio of Investments.
Interest Rate Swap Agreements: 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.
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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 be material to a Portfolio's financial statements. The Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following tables represent the value of derivatives held as of March 31, 2022, by their primary underlying risk exposure and respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the year ended March 31, 2022. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of March 31, 2022, 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 | $ | 688 | $ | 10,090 | $ | — | $ | — | $ | 11,348 | $ | — | $ | — | $ | — | |||||||||||||||||||
SA Multi-Managed Moderate Growth | 1,172 | — | — | — | 39,978 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity | 141 | 10,571 | — | — | 39,135 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income | 563 | 18,835 | — | — | 40,853 | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 8,656 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 37,031 | — | — | — | 450,749 | — | — | — | |||||||||||||||||||||||||||
SA American Century Inflation Protection | — | 213,964 | — | — | — | 466,948 | — | — |
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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) | ||||||||||||||||||||||||||||
Equity Contracts | |||||||||||||||||||||||||||||||||||
Portfolio | Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||||||||||
SA Multi-Managed Growth | $ | — | $ | — | $ | — | $ | — | $ | 2,210 | $ | — | $ | — | $ | — | |||||||||||||||||||
SA Multi-Managed Moderate Growth | — | — | — | — | 3,315 | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | — | 4,536 | — | — | 34,835 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth | — | — | — | — | 6,525 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value | — | — | — | — | 9,788 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth | — | — | — | — | 3,850 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value | — | — | — | — | 3,850 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap | — | — | — | — | 22,100 | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed International Equity | — | — | — | — | 85,540 | — | — | — | |||||||||||||||||||||||||||
Credit Contracts | |||||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||
Foreign Exchange Contracts | |||||||||||||||||||||||||||||||||||
Asset Derivatives | Liability Derivatives | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth | $ | — | $ | — | $ | 8,345 | $ | 1,287 | $ | — | $ | — | $ | — | $ | 7,161 | |||||||||||||||||||
SA Multi-Managed Moderate Growth | — | — | 10,725 | 15,166 | — | — | — | 19,485 | |||||||||||||||||||||||||||
SA Multi-Managed Income/ Equity | — | — | 5,241 | 15,041 | — | — | — | 19,783 | |||||||||||||||||||||||||||
SA Multi-Managed Income | — | — | 2,071 | 15,099 | — | — | — | 18,814 | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | — | — | — | 13,745 | — | — | — | 108,876 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth | — | — | 52,515 | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value | — | — | — | 48,912 | — | — | — | 71,376 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | — | — | — | 125,388 | — | — | — | 261,482 | |||||||||||||||||||||||||||
SA American Century Inflation Protection | — | — | — | — | — | — | — | — |
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
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(8) The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio's Portfolio of Investments in the following amounts:
Portfolio | Cumulative Appreciation (Depreciation) | ||||||
SA Multi-Managed Growth | $ | 82,585 | |||||
SA Multi-Managed Moderate Growth | 181,233 | ||||||
SA Multi-Managed Income/Equity | 169,254 | ||||||
SA Multi-Managed Income | 174,516 | ||||||
SA Putnam Asset Allocation Diversified Growth | 8,010 | ||||||
SA Multi-Managed Large Cap Growth | 27,707 | ||||||
SA Multi-Managed Large Cap Value | 41,560 | ||||||
SA Multi-Managed Mid Cap Growth | 11,126 | ||||||
SA Multi-Managed Mid Cap Value | 11,126 | ||||||
SA Multi-Managed Small Cap | 18,975 | ||||||
SA Multi-Managed International Equity | (55,348 | ) | |||||
SA Multi-Managed Diversified Fixed Income | 1,750,627 |
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 | $ | 101,014 | $ | 30,564 | $ | — | $ | — | $ | — | |||||||||||||
SA Multi-Managed Moderate Growth | 268,212 | 23,661 | — | — | — | ||||||||||||||||||
SA Multi-Managed Income/Equity | 276,085 | 37,269 | — | — | — | ||||||||||||||||||
SA Multi-Managed Income | 185,570 | (9,546 | ) | — | — | — | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | (279,765 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 2,689,873 | — | — | — | — | ||||||||||||||||||
SA American Century Inflation Protection | 2,436,140 | (22 | ) | — | — | — | |||||||||||||||||
Equity Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth | $ | (12,437 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
SA Multi-Managed Moderate Growth | (1,312 | ) | — | — | — | — | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | (2,306,122 | ) | 900,629 | — | — | — | |||||||||||||||||
SA Multi-Managed Large Cap Growth | 96,398 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Large Cap Value | 84,218 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 5,532 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Value | (4,284 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Small Cap | (262,641 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed International Equity | 138,726 | — | — | — | — | ||||||||||||||||||
Credit Contracts | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | $ | — | $ | (38,623 | ) | $ | — | $ | — | $ | — | ||||||||||||
Foreign Exchange Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth | $ | — | $ | — | $ | — | $ | (171,777 | ) | $ | 15,464 | ||||||||||||
SA Multi-Managed Moderate Growth | — | — | — | (216,024 | ) | 129,177 | |||||||||||||||||
SA Multi-Managed Income/Equity | — | — | — | (113,603 | ) | 125,425 | |||||||||||||||||
SA Multi-Managed Income | — | — | — | (45,652 | ) | 127,933 | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | — | — | — | — | (10,202 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Growth | — | — | — | (1,087,214 | ) | — | |||||||||||||||||
SA Multi-Managed Large Cap Value | — | — | — | — | 1,431,223 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | — | — | — | — | 1,274,464 | ||||||||||||||||||
SA American Century Inflation Protection | — | — | — | — | 11,280,147 |
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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 Multi-Managed Growth | $ | 14,138 | $ | (33,606 | ) | $ | — | $ | — | $ | — | ||||||||||||
SA Multi-Managed Moderate Growth | 7,825 | (31,327 | ) | — | — | — | |||||||||||||||||
SA Multi-Managed Income/Equity | 15,416 | (40,299 | ) | — | — | — | |||||||||||||||||
SA Multi-Managed Income | 50,764 | 27,512 | — | — | — | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | (178,945 | ) | — | — | — | — | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | (495,321 | ) | — | — | — | — | |||||||||||||||||
SA American Century Inflation Protection | (886,820 | ) | (252,984 | ) | — | — | — | ||||||||||||||||
Equity Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth | $ | 5,473 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
SA Multi-Managed Moderate Growth | 11,243 | — | — | — | — | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 844,564 | (170,376 | ) | — | — | — | |||||||||||||||||
SA Multi-Managed Large Cap Growth | 26,185 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Large Cap Value | 38,517 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 18,789 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Value | 14,957 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Small Cap | 55,376 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed International Equity | (51,198 | ) | — | — | — | — | |||||||||||||||||
Credit Contracts | |||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | $ | — | $ | 4,018 | $ | — | $ | — | $ | — | |||||||||||||
Foreign Exchange Contracts | |||||||||||||||||||||||
SA Multi-Managed Growth | $ | — | $ | — | $ | — | $ | 42,550 | $ | (7,724 | ) | ||||||||||||
SA Multi-Managed Moderate Growth | — | — | — | 52,470 | (17,239 | ) | |||||||||||||||||
SA Multi-Managed Income/Equity | — | — | — | 32,888 | (19,486 | ) | |||||||||||||||||
SA Multi-Managed Income | — | — | — | 13,860 | (17,019 | ) | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | — | — | — | — | (67,681 | ) | |||||||||||||||||
SA Multi-Managed Large Cap Growth | — | — | — | 276,808 | — | ||||||||||||||||||
SA Multi-Managed Large Cap Value | — | — | — | — | (331,135 | ) | |||||||||||||||||
SA Multi-Managed Diversified Fixed Income | — | — | — | — | (294,616 | ) | |||||||||||||||||
SA American Century Inflation Protection | — | — | — | — | (1,048,411 | ) |
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 year ended March 31, 2022.
Average Amount Outstanding During the Period | |||||||||||||||||||||||||||
Portfolio | Futures Contracts(1) | Foreign Exchange Contracts(1) | Purchased Options Contracts(2) | Interest Rate Swap Contracts(1) | Credit Default Swap Contracts(1) | Total Return Swap Contracts(2) | |||||||||||||||||||||
SA Multi-Managed Growth Portfolio . | $ | 5,100,603 | $ | 263,115 | $ | 22,368 | $ | 167,500 | $ | — | $ | — | |||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | 15,199,714 | 1,901,893 | 28,428 | 170,000 | — | — | |||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | 13,141,761 | 1,903,603 | 13,963 | 267,500 | — | — | |||||||||||||||||||||
SA Multi-Managed Income Portfolio . | 12,242,252 | 1,886,148 | 5,474 | 502,500 | — | — | |||||||||||||||||||||
SA Putnam Asset Allocation: Diversified Growth Portfolio | 35,429,840 | 14,936,059 | — | — | — | 4,546,775 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | 658,660 | — | 139,885 | — | — | — | |||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | 753,881 | 24,666,946 | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | 452,103 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | 271,113 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | 2,104,286 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | 5,649,048 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | 162,306,665 | 19,302,699 | — | — | 557,500 | — | |||||||||||||||||||||
SA American Century Inflation Protection | 164,329,176 | 185,800,937 | — | 14,166,667 | — | — |
(1) Amounts represent notional amounts in US dollars.
(2) Amounts represent values in US dollars.
The following table represents the Portfolio's objectives for using derivative instruments the for the year ended March 31, 2022:
Objectives for Using Derivatives | |||||||||||||||||||||||||||
Portfolio | Futures Contracts | Foreign Exchange Contracts | Purchased Options Contracts | Interest Rate Swap Contracts | Credit Default Swap Contracts | Total Return Swap Contracts | |||||||||||||||||||||
SA Multi-Managed Growth | 2, 3 | 4 | 7 | 3 | — | — | |||||||||||||||||||||
SA Multi-Managed Moderate Growth | 2, 3 | 4 | 7 | 3 | — | — | |||||||||||||||||||||
SA Multi-Managed Income/Equity | 3 | 4 | 7 | 3 | — | — | |||||||||||||||||||||
SA Multi-Managed Income | 3 | 4 | 7 | 3 | — | — | |||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 2, 3 | 4 | — | — | — | 1, 6 | |||||||||||||||||||||
SA Multi-Managed Large Cap Growth | 2 | — | 7 | — | — | — | |||||||||||||||||||||
SA Multi-Managed Large Cap Value | 2 | 4 | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 2 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Mid Cap Value | 2 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Small Cap | 2 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed International Equity | 2 | — | — | — | — | — | |||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 3 | 4 | — | — | 1, 5 | — | |||||||||||||||||||||
SA American Century Inflation Protection | 3 | 4 | — | 6 | — | — |
(1) To enhance total return.
(2) To manage exposures in certain securities markets.
(3) To manage interest rate risk and the duration of the portfolio.
(4) To manage foreign currency exchange rate risk.
(5) To manage credit risk.
(6) To manage against or gain exposure to certain securities and/or sectors.
(7) To manage foreign currency risk resulting directly or indirectly from investments in equity holdings.
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The following tables set forth the Portfolios' derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of March 31, 2022. The repurchase agreements held by the Portfolios as of March 31, 2022, 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 | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 3,524 | $ | — | $ | — | $ | 3,524 | $ | (3,524 | ) | $ | — | $ | (3,524 | ) | |||||||||||||||||||||||
Deutsche Bank AG | 1,184 | — | — | 1,184 | — | — | — | — | 1,184 | — | 1,184 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | 5,959 | 5,959 | 3,637 | — | — | 3,637 | 2,322 | — | 2,322 | ||||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | 2,386 | 2,386 | — | — | — | — | 2,386 | — | 2,386 | ||||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 103 | — | — | 103 | — | — | — | — | 103 | — | 103 | ||||||||||||||||||||||||||||||||||||
Total | $ | 1,287 | $ | — | $ | 8,345 | $ | 9,632 | $ | 7,161 | $ | — | $ | — | $ | 7,161 | $ | 2,471 | $ | — | $ | 2,471 |
(1) Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities.
(2) For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above.
(3) Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement.
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 9,329 | $ | — | $ | — | $ | 9,329 | $ | (9,329 | ) | $ | — | $ | (9,329 | ) | |||||||||||||||||||||||
Deutsche Bank AG | 14,638 | — | — | 14,638 | — | — | — | — | 14,638 | — | 14,638 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | 7,687 | 7,687 | 9,611 | — | — | 9,611 | (1,924 | ) | — | (1,924 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | 3,038 | 3,038 | — | — | — | — | 3,038 | (3,038 | ) | — | |||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | — | — | — | — | 526 | — | — | 526 | (526 | ) | — | (526 | ) | ||||||||||||||||||||||||||||||||||
Natwest Markets PLC | 528 | — | — | 528 | — | — | — | — | 528 | — | 528 | ||||||||||||||||||||||||||||||||||||
Standard Chartered Bank | — | — | — | — | 19 | — | — | 19 | (19 | ) | — | (19 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 15,166 | $ | — | $ | 10,725 | $ | 25,891 | $ | 19,485 | $ | — | $ | — | $ | 19,485 | $ | 6,406 | $ | (3,038 | ) | $ | 3,368 |
(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.
362
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 9,507 | $ | — | $ | — | $ | 9,507 | $ | (9,507 | ) | $ | — | $ | (9,507 | ) | |||||||||||||||||||||||
Deutsche Bank AG | 14,513 | — | — | 14,513 | — | — | — | — | 14,513 | — | 14,513 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | 3,746 | 3,746 | 9,741 | — | — | 9,741 | (5,995 | ) | — | (5,995 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | 1,495 | 1,495 | — | — | — | — | 1,495 | — | 1,495 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | — | — | — | — | 516 | — | — | 516 | (516 | ) | — | (516 | ) | ||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 528 | — | — | 528 | — | — | — | — | 528 | — | 528 | ||||||||||||||||||||||||||||||||||||
Standard Chartered Bank | — | — | — | — | 19 | — | — | 19 | (19 | ) | — | (19 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 15,041 | $ | — | $ | 5,241 | $ | 20,282 | $ | 19,783 | $ | — | $ | — | $ | 19,783 | $ | 499 | $ | — | $ | 499 |
(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 Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 8,974 | $ | — | $ | — | $ | 8,974 | $ | (8,974 | ) | $ | — | $ | (8,974 | ) | |||||||||||||||||||||||
Deutsche Bank AG | 14,558 | — | — | 14,558 | — | — | — | — | 14,558 | — | 14,558 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | 1,492 | 1,492 | 9,287 | — | — | 9,287 | (7,795 | ) | — | (7,795 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | 579 | 579 | — | — | — | — | 579 | — | 579 | ||||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | — | — | — | — | 535 | — | — | 535 | (535 | ) | — | (535 | ) | ||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 541 | — | — | 541 | — | — | — | — | 541 | — | 541 | ||||||||||||||||||||||||||||||||||||
Standard Chartered Bank | — | — | — | — | 18 | — | — | 18 | (18 | ) | — | (18 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 15,099 | $ | — | $ | 2,071 | $ | 17,170 | $ | 18,814 | $ | — | $ | — | $ | 18,814 | $ | (1,644 | ) | $ | — | $ | (1,644 | ) |
(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.
363
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Bank of America N.A. | $ | — | $ | 4,536 | $ | — | $ | 4,536 | $ | — | $ | — | $ | — | $ | — | $ | 4,536 | $ | — | $ | 4,536 | |||||||||||||||||||||||||
Barclays Bank PLC | 38 | — | — | 38 | — | — | — | — | 38 | — | 38 | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | 356 | — | — | 356 | 1,858 | — | — | 1,858 | (1,502 | ) | — | (1,502 | ) | ||||||||||||||||||||||||||||||||||
Goldman Sachs International | 7,149 | — | — | 7,149 | — | — | — | — | 7,149 | — | 7,149 | ||||||||||||||||||||||||||||||||||||
HSBC Bank USA | — | — | — | — | 16,229 | — | — | 16,229 | (16,229 | ) | — | (16,229 | ) | ||||||||||||||||||||||||||||||||||
JPMorgan Chase Bank | 1,858 | — | — | 1,858 | 6,913 | — | — | 6,913 | (5,055 | ) | — | (5,055 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | 1 | — | — | 1 | 6,949 | — | — | 6,949 | (6,948 | ) | — | (6,948 | ) | ||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 318 | — | — | 318 | 52,659 | — | — | 52,659 | (52,341 | ) | — | (52,341 | ) | ||||||||||||||||||||||||||||||||||
State Street Bank and Trust Co. | — | — | — | — | 3,991 | — | — | 3,991 | (3,991 | ) | — | (3,991 | ) | ||||||||||||||||||||||||||||||||||
Toronto Dominion Bank | 3,155 | — | — | 3,155 | — | — | — | — | 3,155 | — | 3,155 | ||||||||||||||||||||||||||||||||||||
UBS AG | 497 | — | — | 497 | — | — | — | — | 497 | — | 497 | ||||||||||||||||||||||||||||||||||||
Westpac Banking Corp. | 373 | — | — | 373 | 20,277 | — | — | 20,277 | (19,904 | ) | — | (19,904 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 13,745 | $ | 4,536 | $ | — | $ | 18,281 | $ | 108,876 | $ | — | $ | — | $ | 108,876 | $ | (90,595 | ) | $ | — | $ | (90,595 | ) |
(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 Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | $ | — | $ | — | $ | 37,391 | $ | 37,391 | $ | — | $ | — | $ | — | $ | — | $ | 37,391 | $ | (37,391 | ) | $ | — | ||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | 15,124 | 15,124 | — | — | — | — | 15,124 | (15,124 | ) | — | |||||||||||||||||||||||||||||||||||
Total | $ | — | $ | — | $ | 52,515 | $ | 52,515 | $ | — | $ | — | $ | — | $ | — | $ | 52,515 | $ | (52,515 | ) | $ | — |
(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.
364
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | ||||||||||||||||||||||||||||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Bank of America, N.A. | $ | 47,633 | $ | — | $ | — | $ | 47,633 | $ | — | $ | — | $ | — | $ | — | $ | 47,633 | $ | — | $ | 47,633 | |||||||||||||||||||||||||
JPMorgan Chase Bank | — | — | — | — | 53,319 | — | — | 53,319 | (53,319 | ) | — | (53,319 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | 1,279 | — | — | 1,279 | 18,057 | — | — | 18,057 | (16,778 | ) | — | (16,778 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 48,912 | $ | — | $ | — | $ | 48,912 | $ | 71,376 | $ | — | $ | — | $ | 71,376 | $ | (22,464 | ) | $ | — | $ | (22,464 | ) |
(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 | OTC Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | OTC Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | ||||||||||||||||||||||||||||||||||||
Citibank N.A. | $ | — | $ | — | $ | — | $ | — | $ | 126,454 | $ | — | $ | — | $ | 126,454 | $ | (126,454 | ) | $ | — | $ | (126,454 | ) | |||||||||||||||||||||||
Deutsche Bank AG | 122,618 | — | — | 122,618 | — | — | — | — | 122,618 | — | 122,618 | ||||||||||||||||||||||||||||||||||||
Goldman Sachs International | — | — | — | — | 130,012 | — | — | 130,012 | (130,012 | ) | — | (130,012 | ) | ||||||||||||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | — | — | — | — | 4,834 | — | — | 4,834 | (4,834 | ) | — | (4,834 | ) | ||||||||||||||||||||||||||||||||||
NatWest Markets PLC | 2,770 | — | — | 2,770 | — | — | — | — | 2,770 | — | 2,770 | ||||||||||||||||||||||||||||||||||||
Standard Chartered Bank | — | — | — | — | 182 | — | — | 182 | (182 | ) | — | (182 | ) | ||||||||||||||||||||||||||||||||||
Total | $ | 125,388 | $ | — | $ | — | $ | 125,388 | $ | 261,482 | $ | — | $ | — | $ | 261,482 | $ | (136,094 | ) | $ | — | $ | (136,094 | ) |
(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.
365
Repurchase Agreements: The Portfolios, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission ("SEC"), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.
In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Trust's custodian takes possession of the collateral pledged for investments in such repurchase agreements ("repo" or collectively "repos"). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Portfolio has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Portfolio may be delayed or limited.
As of March 31, 2022, 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 | 0.15 | % | $ | 140,000 | |||||||
SA Multi-Managed Moderate Growth | 0.35 | 325,000 | |||||||||
SA Multi-Managed Income/Equity | 0.33 | 310,000 | |||||||||
SA Multi-Managed Income | 0.19 | 180,000 | |||||||||
SA Multi-Managed Large Cap Value | 0.43 | 400,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.22 | 205,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 0.90 | 840,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated March 31, 2022, bearing interest at a rate of 0.27% per annum, with a principal amount of $92,990,000, a repurchase price of $92,990,697, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.50 | % | 03/31/2027 | $ | 94,496,000 | $ | 94,760,843 |
As of March 31, 2022, 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 | 0.15 | % | $ | 115,000 | |||||||
SA Multi-Managed Moderate Growth | 0.35 | 260,000 | |||||||||
SA Multi-Managed Income/Equity | 0.33 | 250,000 | |||||||||
SA Multi-Managed Income | 0.19 | 145,000 | |||||||||
SA Multi-Managed Large Cap Value | 0.43 | 320,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.22 | 165,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 0.90 | 675,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated March 31, 2022, bearing interest at a rate of 0.30% per annum, with a principal amount of $75,000,000, a repurchase price of $75,000,625, and a maturity date of April 1, 2022. 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 | $ | 70,426,000 | $ | 76,278,641 |
366
As of March 31, 2022, 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 | 0.15 | % | $ | 100,000 | |||||||
SA Multi-Managed Moderate Growth | 0.35 | 225,000 | |||||||||
SA Multi-Managed Income/Equity | 0.33 | 215,000 | |||||||||
SA Multi-Managed Income | 0.19 | 125,000 | |||||||||
SA Multi-Managed Large Cap Value | 0.43 | 280,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.22 | 145,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 0.90 | 585,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated March 31, 2022, bearing interest at a rate of 0.29% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,524, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Bonds | 2.25 | % | 08/15/2046 | $ | 70,584,700 | $ | 66,075,557 |
As of March 31, 2022, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | |||||||||
SA Multi-Managed Growth | 0.16 | % | $ | 160,000 | |||||||
SA Multi-Managed Moderate Growth | 0.36 | 350,000 | |||||||||
SA Multi-Managed Income/Equity | 0.34 | 330,000 | |||||||||
SA Multi-Managed Income | 0.21 | 200,000 | |||||||||
SA Multi-Managed Large Cap Value | 0.44 | 430,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.23 | 225,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 0.92 | 895,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated March 31, 2022, bearing interest at a rate of 0.26% per annum, with a principal amount of $97,000,000, a repurchase price of $97,000,701, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.63 | % | 02/15/2029 | $ | 97,395,000 | $ | 98,854,159 |
As of March 31, 2022, 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 | 0.15 | % | $ | 150,000 | |||||||
SA Multi-Managed Moderate Growth | 0.35 | 340,000 | |||||||||
SA Multi-Managed Income/Equity | 0.33 | 320,000 | |||||||||
SA Multi-Managed Income | 0.19 | 185,000 | |||||||||
SA Multi-Managed Large Cap Value | 0.43 | 415,000 | |||||||||
SA Multi-Managed Mid Cap Growth | 0.22 | 215,000 | |||||||||
SA Multi-Managed Diversified Fixed Income | 0.90 | 875,000 |
367
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated March 31, 2022, bearing interest at a rate of 0.28% per annum, with a principal amount of $97,000,000 a repurchase price of $97,000,754, and a maturity date of April 1, 2022. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | |||||||||||||||
U.S. Treasury Notes | 2.50 | % | 05/15/2024 | $ | 48,810,000 | $ | 49,386,206 | ||||||||||||
U.S. Treasury Notes | 0.02 | 08/15/2027 | 50,000,000 | 49,610,551 |
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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Each Portfolio recognizes 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. 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. The Portfolios federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
LIBOR Risk: A Portfolio's investments, payment obligations and financing terms may be based on floating rates, such as LIBOR, Euro Interbank Offered Rate and other similar types of reference rates (each, a "Reference Rate"). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority ("FCA"), which regulates LIBOR, announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. On March 5, 2021, the FCA and LIBOR's administrator announced that most LIBOR settings will no longer be published after June 30, 2023. Such announcements indicate that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed. These announcements and any additional regulatory or market changes may have an adverse impact on a Portfolio or its investments.
Regulators and market participants are working together to identify or develop successor Reference Rates. It is expected that market participants will focus on the transition mechanisms by which the Reference Rates in existing contracts or instruments may be amended, whether through market wide protocols, fallback contractual provisions, bespoke negotiations or amendments or otherwise. Nonetheless, the termination of certain Reference Rates presents risks to a Portfolio. At this time, it is not possible to completely identify or predict the effect of any such changes, any establishment of alternative Reference Rates or any other reforms to Reference Rates that may be enacted in the UK or elsewhere. The elimination of a Reference Rate or any other changes or reforms to the determination or supervision of Reference Rates, and these changes could have an adverse impact on the market for or value of any securities or payments linked to those Reference Rates and other financial obligations held by a Portfolio or on its overall financial condition or results of operations. In addition, any substitute Reference Rate and any pricing adjustments imposed by a regulator or by counterparties or otherwise may adversely affect a Portfolio's performance and/or net asset value.
Recent Accounting and Regulatory Developments: In March 2020, the FASB issued ASU No. 2020-04 "Facilitation of the Effects of Reference Rate Reform on Financial Reporting", which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of LIBOR and other interbank offered based reference rates at of the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is evaluating the potential impact of ASU 2020-04 on the financial statements.
On December 3, 2020, the SEC announced that it voted to adopt a new rule that establishes an updated regulatory framework for fund valuation practices (the "Rule"). The Rule, in part, provides (i) a framework for determining fair value in good faith and (ii) provides for a fund Board's assignment of its responsibility for the execution of valuation-related activities to a fund's investment adviser. Further, the SEC is rescinding previously issued guidance on related issues. The Rule became effective on March 8, 2021 and has a compliance date of September 8, 2022 (eighteen months following the effective date). Management is currently evaluating the Rule and its impact to the Portfolios.
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 | % |
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Portfolio | Assets | Management Fees | |||||||||
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 | % | |||||||||
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 American Century Inflation Protection(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) 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. For the year ended March 31, 2022, the amount of advisor fees waived was $36,642.
(2) 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. For the year ended March 31, 2022, the amount of advisor fees waived was $44,794.
(3) 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. For the year ended March 31, 2022, the amount of advisor fees waived was $22,104.
(4) 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. For the year ended March 31, 2022, the amount of advisor fees waived was $12,833.
(5) The Advisor has contractually agreed to waive its advisory fees for the SA Putnam Asset Allocation Diversified Growth Portfolio so that the advisory fee payable on average daily net assets equals 0.70% on the first $250 million, 0.65% on the next $250 million, and 0.60% above $500 million. For the year ended March 31, 2022, the amount of advisor fees waived was $337,835.
(6) 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. For the year ended March 31, 2022, the amount of advisor fees waived was $449,004.
(7) The Adviser contractually agreed to waive its advisory fees for the SA Multi-Managed International Equity Portfolio so that the advisory fee on average daily net assets equals 0.91% on the first $250 million, 0.86% on the next $250 million, and 0.81% above $500 million. For the year ended March 31, 2022, the amount of advisory fees waived was $161,494.
(8) Effective February 22, 2022, the Adviser voluntarily agreed to waive 0.06% of advisory fees for the SA American Century Inflation Protection Portfolio. Prior to February 22, 2022, the Adviser voluntarily agreed to waive 0.05% of advisory fees. For the year ended March 31, 2022, the amount of advisory fees waived was $356,153.
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(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 year ended March 31, 2022, the amount of advisory fees waived was $1,167,698.
(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 year ended March 31, 2022, the amount of advisory fees waived was $37,865, $55,188, $32,846 and $26,802, respectively.
The Agreement authorizes SAAMCo to retain one or more subadvisers to make the investment decisions for the Portfolios, and to place the purchase and sale orders for portfolio transactions. The organizations described below act as Subadvisers (with the exception of SAAMCo, which acts as Adviser) to the Trust and certain of its Portfolios pursuant to Subadvisory Agreements with SAAMCo. Each of the Subadvisers is independent of SAAMCo and discharges its responsibilities subject to the policies of the Trust and the oversight and supervision of SAAMCo, which pays the Subadvisers' fees. All subadvisory fees are payable by the Adviser to the respective Subadviser and do not increase Portfolio expenses. Portfolio management is allocated among the following Managers:
Portfolio | Subadviser/Adviser | ||||||
SA Multi-Managed Growth | Morgan Stanley J.P. Morgan WMC | ||||||
SA Multi-Managed Moderate Growth | Morgan Stanley J.P. Morgan WMC | ||||||
SA Multi-Managed Income/Equity | Morgan Stanley WMC | ||||||
SA Multi-Managed Income | Morgan Stanley 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 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 | Schroder Investment Management 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 American Century Inflation Protection | American Century Investment Management, Inc. | ||||||
SA Columbia Focused Value | Columbia | ||||||
SA Allocation Growth | SAAMCo | ||||||
SA Allocation Moderate Growth | SAAMCo | ||||||
SA Allocation Moderate | SAAMCo | ||||||
SA Allocation Balanced | SAAMCo |
The Trust has entered into a Master Transfer Agency and Service Agreement with VALIC Retirement Services Company ("VRSCO"), a majority-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 Services provided, pursuant to the agreement, which is allocated
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based on shareholder accounts. For the year ended March 31, 2022 transfer agent fees were paid (see Statement of Operations) based on the aforementioned agreement.
Class 2 and Class 3 shares of each Portfolio are subject to Rule 12b-1 plans that provide for service fees payable at the annual rate of 0.15% and 0.25%, respectively, of the average daily net assets of Class 2 and Class 3 shares. The service fees are used to compensate the Life Companies for costs associated with the servicing of Class 2 and Class 3 shares, including the cost of reimbursing the Life Companies for expenditures made to financial intermediaries for providing services to contract holders who are the indirect beneficial owners of the Portfolios' Class 2 and Class 3 shares. For the year ended March 31, 2022, 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, 2022 | |||||||||||||||||||||||
Portfolio | Ordinary Income | Long-term Gains/ Capital Loss Carryover | Unrealized Appreciation (Depreciation)* | Ordinary Income | Long-Term Capital Gains | ||||||||||||||||||
SA Multi-Managed Growth | $ | — | $ | 6,137,728 | $ | (3,401,032 | ) | $ | 7,063,256 | $ | 5,356,426 | ||||||||||||
SA Multi-Managed Moderate Growth | 324,491 | 7,367,576 | (5,165,026 | ) | 10,350,442 | 7,100,713 | |||||||||||||||||
SA Multi-Managed Income/Equity | 244,333 | 2,457,300 | (5,032,617 | ) | 5,022,911 | 3,267,824 | |||||||||||||||||
SA Multi-Managed Income | 408,952 | 1,089,182 | (3,265,247 | ) | 2,658,164 | 1,446,973 | |||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 6,598,266 | 26,243,775 | 23,027,293 | 10,494,567 | 6,883,482 | ||||||||||||||||||
SA T. Rowe Price Growth Stock | — | 46,114,679 | 129,938,009 | 20,232,909 | 72,710,435 | ||||||||||||||||||
SA Multi-Managed Large Cap Growth | 29,666 | 60,958,511 | 127,976,186 | 46,890,880 | 89,596,768 | ||||||||||||||||||
SA Multi-Managed Large Cap Value | 21,152,596 | 97,433,122 | 117,810,490 | 31,944,082 | 26,064,705 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 2,490,577 | 43,472,270 | 14,747,599 | 24,315,713 | 45,752,190 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value | 5,619,755 | 25,359,647 | 57,296,688 | 4,643,935 | 8,558,237 | ||||||||||||||||||
SA Multi-Managed Small Cap | 4,328,989 | 30,604,717 | 32,342,265 | 11,696,610 | 17,506,791 | ||||||||||||||||||
SA Multi-Managed International Equity | 6,316,158 | 19,491,575 | 51,201,144 | 10,446,539 | 14,384,068 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 16,792,316 | (4,077,831 | ) | (50,530,226 | ) | 32,732,580 | 7,591,727 | ||||||||||||||||
SA American Century Inflation Protection | 24,855,483 | — | (3,322,672 | ) | 16,903,604 | — | |||||||||||||||||
SA Columbia Focused Value | 5,650,427 | 33,363,542 | 115,478,202 | 10,637,392 | 18,901,707 | ||||||||||||||||||
SA Allocation Growth | 9,324,721 | 22,056,325 | 14,761,535 | 5,683,785 | 16,027,174 | ||||||||||||||||||
SA Allocation Moderate Growth | 13,608,668 | 31,491,803 | 26,993,809 | 10,234,671 | 29,925,404 | ||||||||||||||||||
SA Allocation Moderate | 8,159,367 | 18,075,727 | 8,213,787 | 6,668,931 | 16,392,363 | ||||||||||||||||||
SA Allocation Balanced | 6,649,554 | 11,844,721 | (1,586,484 | ) | 2,740,453 | 8,347,613 |
* Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency.
Tax Distributions | |||||||||||
For the year ended March 31, 2021 | |||||||||||
Portfolio | Ordinary Income | Long-Term Capital Gains | |||||||||
SA Multi-Managed Growth | $ | 887,668 | $ | 6,038,851 | |||||||
SA Multi-Managed Moderate Growth | 1,919,662 | 7,544,389 | |||||||||
SA Multi-Managed Income/Equity | 2,223,705 | 3,925,498 | |||||||||
SA Multi-Managed Income | 1,830,327 | 1,777,904 | |||||||||
SA Putnam Asset Allocation Diversified Growth | 2,316,442 | — | |||||||||
SA T. Rowe Price Growth Stock | 99,819 | 43,346,315 | |||||||||
SA Multi-Managed Large Cap Growth | 6,553,237 | 60,868,671 | |||||||||
SA Multi-Managed Large Cap Value | 29,782,746 | 23,924,700 | |||||||||
SA Multi-Managed Mid Cap Growth | 1,601,164 | 26,185,163 | |||||||||
SA Multi-Managed Mid Cap Value | 2,762,847 | 7,943,239 | |||||||||
SA Multi-Managed Small Cap | 576,238 | 29,447,354 | |||||||||
SA Multi-Managed International Equity | 6,272,874 | 5,610,644 | |||||||||
SA Multi-Managed Diversified Fixed Income | 42,826,731 | 1,137,027 |
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Tax Distributions | |||||||||||
For the year ended March 31, 2022 | |||||||||||
Portfolio | Ordinary Income | Long-Term Capital Gains | |||||||||
SA American Century Inflation Protection | $ | 21,414,633 | $ | — | |||||||
SA Columbia Focused Value. | 5,307,266 | 18,805,786 | |||||||||
SA Allocation Growth | 2,367,128 | 11,177,013 | |||||||||
SA Allocation Moderate Growth | 173,160 | 19,697,069 | |||||||||
SA Allocation Moderate | 84,116 | 11,743,164 | |||||||||
SA Allocation Balanced | 2,938,089 | 8,608,999 |
As of March 31, 2022, 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 | 2,250,142 | 1,827,689 | |||||||||
SA American Century Inflation Protection | — | — | |||||||||
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 specified ordinary losses may be deferred and treated as occurring on the first day of the following year. For the fiscal year ended March 31, 2022, the Portfolios elected to defer late year ordinary losses and post October capital losses as follows:
Portfolio | Deferred Late Year Ordinary Loss | Deferred Post-October Short-Term Capital Loss | Deferred Post-October Long-Term Capital Loss | ||||||||||||
SA Multi-Managed Growth | $ | 90,238 | $ | — | $ | — | |||||||||
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 | 632,299 | — | — | ||||||||||||
SA Multi-Managed Large Cap Growth | 892,748 | — | — | ||||||||||||
SA Multi-Managed Large Cap Value | — | — | — | ||||||||||||
SA Multi-Managed Mid Cap Growth | 268,131 | — | — | ||||||||||||
SA Multi-Managed Mid Cap Value | — | — | — | ||||||||||||
SA Multi-Managed Small Cap | — | — | — | ||||||||||||
SA Multi-Managed International Equity | — | — | — | ||||||||||||
SA Multi-Managed Diversified Fixed Income | — | — | — | ||||||||||||
SA American Century Inflation Protection | — | — | — |
374
Portfolio | Deferred Late Year Ordinary Loss | Deferred Post-October Short-Term Capital Loss | Deferred Post-October Long-Term Capital Loss | ||||||||||||
SA Columbia Focused Value | $ | — | $ | — | $ | — | |||||||||
SA Allocation Growth | — | — | — | ||||||||||||
SA Allocation Moderate Growth | — | — | — | ||||||||||||
SA Allocation Moderate | — | — | — | ||||||||||||
SA Allocation Balanced | — | — | — |
For the period ended March 31, 2022, the reclassifications arising from book/tax differences resulted in increases (decreases) that were primarily due to net investment losses, treatment of foreign currency, investments in real estate investment trusts, distributions from underlying funds, principal paydown adjustments, investments in partnerships, investments in regulated investment companies and investments in passive foreign investment companies, to the components of net assets as follows:
Portfolio | Accumulated Undistributed Net Investment Income (Loss) | Accumulated Undistributed Net Realized Gain (Loss) | Capital Paid-in | ||||||||||||
SA Multi-Managed Growth | $ | 244,303 | $ | (119,290 | ) | $ | (125,013 | ) | |||||||
SA Multi-Managed Moderate Growth | 23,290 | (23,290 | ) | — | |||||||||||
SA Multi-Managed Income/Equity | 39,139 | (39,140 | ) | 1 | |||||||||||
SA Multi-Managed Income | 93,107 | (93,107 | ) | — | |||||||||||
SA Putnam Asset Allocation Diversified Growth | 692,856 | (692,855 | ) | (1 | ) | ||||||||||
SA T. Rowe Price Growth Stock | 2,793,737 | 1,502 | (2,795,239 | ) | |||||||||||
SA Multi-Managed Large Cap Growth | 1,106,187 | (1,106,187 | ) | — | |||||||||||
SA Multi-Managed Large Cap Value | 1,473,003 | (1,473,004 | ) | 1 | |||||||||||
SA Multi-Managed Mid Cap Growth | 1,697,020 | (1,697,020 | ) | — | |||||||||||
SA Multi-Managed Mid Cap Value | 67,292 | (67,291 | ) | (1 | ) | ||||||||||
SA Multi-Managed Small Cap | 343,839 | (343,839 | ) | — | |||||||||||
SA Multi-Managed International Equity | 257,460 | (257,460 | ) | — | |||||||||||
SA Multi-Managed Diversified Fixed Income | 1,810,391 | (1,810,391 | ) | — | |||||||||||
SA American Century Inflation Protection | 6,947,138 | (6,947,138 | ) | — | |||||||||||
SA Columbia Focused Value | 3,669 | (3,669 | ) | — | |||||||||||
SA Allocation Growth | 5,830,895 | (5,830,895 | ) | — | |||||||||||
SA Allocation Moderate Growth | 7,702,530 | (7,702,530 | ) | — | |||||||||||
SA Allocation Moderate | 4,452,794 | (4,452,794 | ) | — | |||||||||||
SA Allocation Balanced | 3,421,887 | (3,421,887 | ) | — |
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 | $ | 2,981,826 | $ | (6,382,679 | ) | $ | (3,400,853 | ) | $ | 51,446,865 | |||||||||
SA Multi-Managed Moderate Growth | 4,201,406 | (9,365,229 | ) | (5,163,823 | ) | 94,329,212 | |||||||||||||
SA Multi-Managed Income/Equity | 148,987 | (5,180,260 | ) | (5,031,273 | ) | 65,173,514 | |||||||||||||
SA Multi-Managed Income | (51,377 | ) | (3,212,641 | ) | (3,264,018 | ) | 53,647,741 | ||||||||||||
SA Putnam Asset Allocation Diversified Growth | 33,855,178 | (10,814,266 | ) | 23,040,912 | 193,965,428 | ||||||||||||||
SA T. Rowe Price Growth Stock | 147,985,585 | (18,047,639 | ) | 129,937,946 | 286,590,787 | ||||||||||||||
SA Multi-Managed Large Cap Growth | 165,371,796 | (37,395,597 | ) | 127,976,199 | 377,372,975 | ||||||||||||||
SA Multi-Managed Large Cap Value | 141,546,208 | (23,733,841 | ) | 117,812,367 | 650,670,240 | ||||||||||||||
SA Multi-Managed Mid Cap Growth | 41,443,803 | (26,696,204 | ) | 14,747,599 | 183,459,402 | ||||||||||||||
SA Multi-Managed Mid Cap Value | 62,206,871 | (4,910,140 | ) | 57,296,731 | 184,468,186 | ||||||||||||||
SA Multi-Managed Small Cap | 48,397,953 | (16,055,688 | ) | 32,342,265 | 196,959,865 | ||||||||||||||
SA Multi-Managed International Equity | 74,443,501 | (23,226,083 | ) | 51,217,418 | 302,571,855 | ||||||||||||||
SA Multi-Managed Diversified Fixed Income | (1,334,631 | ) | (49,186,586 | ) | (50,521,217 | ) | 1,129,285,013 | ||||||||||||
SA American Century Inflation Protection | 3,030,665 | (6,340,178 | ) | (3,309,513 | ) | 740,452,746 |
375
Portfolio | Aggregate Unrealized Gain | Aggregate Unrealized Loss | Net Unrealized Gain/(Loss) | Cost of Investments | |||||||||||||||
SA Columbia Focused Value | $ | 121,468,943 | $ | (5,990,741 | ) | $ | 115,478,202 | $ | 243,106,664 | ||||||||||
SA Allocation Growth | 29,719,336 | (14,957,801 | ) | 14,761,535 | 385,281,499 | ||||||||||||||
SA Allocation Moderate Growth | 45,382,155 | (18,388,346 | ) | 26,993,809 | 499,026,881 | ||||||||||||||
SA Allocation Moderate | 22,446,596 | (14,232,809 | ) | 8,213,787 | 304,194,210 | ||||||||||||||
SA Allocation Balanced | 13,085,700 | (14,672,184 | ) | (1,586,484 | ) | 266,415,164 |
Note 5. Expense Reductions: Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the year ended March 31, 2022, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.
Note 6. Purchases and Sales of Investment Securities: The cost of purchases and proceeds from sales and maturities of long-term investments during the year ended March 31, 2022 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 | $ | 35,818,074 | $ | 36,332,332 | $ | 2,331,689 | $ | 3,605,460 | |||||||||||
SA Multi-Managed Moderate Growth | 55,616,594 | 50,629,800 | 5,105,900 | 10,512,890 | |||||||||||||||
SA Multi-Managed Income/ Equity | 26,280,990 | 23,641,817 | 6,075,203 | 10,598,679 | |||||||||||||||
SA Multi-Managed Income | 17,372,904 | 15,146,785 | 6,359,993 | 7,490,149 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 163,336,089 | 171,347,362 | 50,736,649 | 48,767,962 | |||||||||||||||
SA T. Rowe Price Growth Stock | 140,787,556 | 172,807,940 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Growth | 235,311,164 | 249,770,406 | — | — | |||||||||||||||
SA Multi-Managed Large Cap Value | 325,540,907 | 438,185,407 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 147,111,122 | 176,880,796 | — | — | |||||||||||||||
SA Multi-Managed Mid Cap Value | 70,523,012 | 109,706,353 | — | — | |||||||||||||||
SA Multi-Managed Small Cap | 125,449,322 | 151,393,938 | — | — | |||||||||||||||
SA Multi-Managed International Equity | 70,791,067 | 91,572,813 | — | — | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 250,646,524 | 244,053,235 | 197,355,001 | 215,702,011 | |||||||||||||||
SA American Century Inflation Protection | 356,107,283 | 373,691,293 | 440,762,353 | 367,389,842 | |||||||||||||||
SA Columbia Focused Value Portfolio | 50,751,744 | 87,730,012 | — | — | |||||||||||||||
SA Allocation Growth | 106,991,075 | 38,182,746 | — | — | |||||||||||||||
SA Allocation Moderate Growth | 57,665,562 | 76,615,646 | — | — | |||||||||||||||
SA Allocation Moderate | 39,783,831 | 52,999,820 | — | — | |||||||||||||||
SA Allocation Balanced | 45,298,309 | 38,500,640 | — | — |
376
Note 7. Capital Share Transactions: Transactions in capital shares of each class of each Portfolio were as follows:
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 68,633 | $ | 1,133,129 | 12,192 | $ | 253,632 | 126,175 | $ | 2,074,120 | 23,481 | $ | 485,101 | |||||||||||||||||||||||
Reinvested dividends | 165,539 | 2,693,314 | 68,521 | 1,410,153 | 304,017 | 4,925,069 | 121,853 | 2,502,859 | |||||||||||||||||||||||||||
Shares redeemed | (64,011 | ) | (1,233,315 | ) | (78,609 | ) | (1,584,897 | ) | (87,551 | ) | (1,582,321 | ) | (160,904 | ) | (3,202,953 | ) | |||||||||||||||||||
Net increase (decrease) | 170,161 | $ | 2,593,128 | 2,104 | $ | 78,888 | 342,641 | $ | 5,416,868 | (15,570 | ) | $ | (214,993 | ) | |||||||||||||||||||||
SA Multi-Managed Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 137,280 | $ | 2,268,225 | 35,860 | $ | 707,999 | |||||||||||||||||||||||||||||
Reinvested dividends | 297,847 | 4,801,299 | 147,216 | 3,013,507 | |||||||||||||||||||||||||||||||
Shares redeemed | (282,771 | ) | (5,887,315 | ) | (270,026 | ) | (5,246,920 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 152,356 | $ | 1,182,209 | (86,950 | ) | $ | (1,525,414 | ) | |||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 63,948 | $ | 840,786 | 19,306 | $ | 301,498 | 290,888 | $ | 3,881,898 | 62,422 | $ | 973,340 | |||||||||||||||||||||||
Reinvested dividends | 156,158 | 1,994,141 | 71,490 | 1,102,380 | 688,991 | 8,784,639 | 307,215 | 4,728,038 | |||||||||||||||||||||||||||
Shares redeemed | (89,354 | ) | (1,317,115 | ) | (79,168 | ) | (1,178,387 | ) | (348,551 | ) | (5,180,760 | ) | (388,132 | ) | (5,765,636 | ) | |||||||||||||||||||
Net increase (decrease) | 130,752 | $ | 1,517,812 | 11,628 | $ | 225,491 | 631,328 | $ | 7,485,777 | (18,495 | ) | $ | (64,258 | ) | |||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 |
| ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 229,965 | $ | 3,032,359 | 89,323 | $ | 1,313,575 | |||||||||||||||||||||||||||||
Reinvested dividends | 524,146 | 6,672,375 | 236,257 | 3,633,633 | |||||||||||||||||||||||||||||||
Shares redeemed | (313,119 | ) | (4,542,213 | ) | (299,118 | ) | (4,428,659 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 440,992 | $ | 5,162,521 | 26,462 | $ | 518,549 | |||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 47,728 | $ | 524,880 | 63,515 | $ | 837,309 | 295,707 | $ | 3,320,903 | 336,386 | $ | 4,344,874 | |||||||||||||||||||||||
Reinvested dividends | 101,299 | 1,092,008 | 65,244 | 833,170 | 409,001 | 4,404,940 | 267,374 | 3,411,692 | |||||||||||||||||||||||||||
Shares redeemed | (123,158 | ) | (1,462,442 | ) | (114,367 | ) | (1,494,473 | ) | (506,872 | ) | (6,137,087 | ) | (420,133 | ) | (5,352,635 | ) | |||||||||||||||||||
Net increase (decrease) | 25,869 | $ | 154,446 | 14,392 | $ | 176,006 | 197,836 | $ | 1,588,756 | 183,627 | $ | 2,403,931 |
377
SA Multi-Managed Income/Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 188,343 | $ | 2,140,225 | 183,720 | $ | 2,394,998 | |||||||||||||||||||||||||||||
Reinvested dividends | 259,164 | 2,793,787 | 149,126 | 1,904,341 | |||||||||||||||||||||||||||||||
Shares redeemed | (202,484 | ) | (2,311,426 | ) | (269,118 | ) | (3,485,505 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 245,023 | $ | 2,622,586 | 63,728 | $ | 813,834 | |||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 23,635 | $ | 265,190 | 75,900 | $ | 963,752 | 125,164 | $ | 1,414,146 | 348,335 | $ | 4,390,557 | |||||||||||||||||||||||
Reinvested dividends | 38,925 | 423,113 | 34,032 | 412,472 | 214,325 | 2,327,571 | 168,282 | 2,037,895 | |||||||||||||||||||||||||||
Shares redeemed | (94,271 | ) | (1,119,468 | ) | (72,630 | ) | (911,730 | ) | (280,219 | ) | (3,232,865 | ) | (309,270 | ) | (3,898,174 | ) | |||||||||||||||||||
Net increase (decrease) | (31,711 | ) | $ | (431,165 | ) | 37,302 | $ | 464,494 | 59,270 | $ | 508,852 | 207,347 | $ | 2,530,278 | |||||||||||||||||||||
SA Multi-Managed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 121,878 | $ | 1,377,712 | 252,694 | $ | 3,126,228 | |||||||||||||||||||||||||||||
Reinvested dividends | 124,605 | 1,354,453 | 95,533 | 1,157,864 | |||||||||||||||||||||||||||||||
Shares redeemed | (235,448 | ) | (2,646,931 | ) | (222,886 | ) | (2,760,917 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 11,035 | $ | 85,234 | 125,341 | $ | 1,523,175 | |||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 2,590 | $ | 38,763 | 133,525 | $ | 1,637,325 | 52,050 | $ | 794,820 | 360,416 | $ | 4,321,302 | |||||||||||||||||||||||
Reinvested dividends | 84,303 | 1,255,277 | 15,216 | 212,269 | 286,235 | 4,262,043 | 46,791 | 652,736 | |||||||||||||||||||||||||||
Shares redeemed | (294,751 | ) | (4,363,813 | ) | (220,531 | ) | (2,860,108 | ) | (952,971 | ) | (14,120,103 | ) | (758,439 | ) | (9,842,598 | ) | |||||||||||||||||||
Net increase (decrease) | (207,858 | ) | $ | (3,069,773 | ) | (71,790 | ) | $ | (1,010,514 | ) | (614,686 | ) | $ | (9,063,240 | ) | (351,232 | ) | $ | (4,868,560 | ) | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio |
| ||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 1,378,001 | $ | 20,476,278 | 1,177,466 | $ | 14,662,382 | |||||||||||||||||||||||||||||
Reinvested dividends | 799,779 | 11,860,729 | 104,420 | 1,451,437 | |||||||||||||||||||||||||||||||
Shares redeemed | (1,214,189 | ) | (18,025,352 | ) | (1,288,871 | ) | (16,437,490 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 963,591 | $ | 14,311,655 | (6,985 | ) | $ | (323,671 | ) |
378
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,783,451 | $ | 53,546,253 | 365,871 | $ | 10,236,550 | 122,808 | $ | 2,884,854 | 35,209 | $ | 922,499 | |||||||||||||||||||||||
Reinvested dividends | 2,632,624 | 76,977,920 | 1,231,361 | 35,426,255 | 323,660 | 8,894,168 | 160,725 | 4,402,268 | |||||||||||||||||||||||||||
Shares redeemed | (2,067,335 | ) | (64,280,291 | ) | (4,478,013 | ) | (124,140,165 | ) | (340,431 | ) | (10,068,982 | ) | (456,533 | ) | (12,030,997 | ) | |||||||||||||||||||
Net increase (decrease) | 2,348,740 | $ | 66,243,882 | (2,880,781 | ) | $ | (78,477,360 | ) | 106,037 | $ | 1,710,040 | (260,599 | ) | $ | (6,706,230 | ) | |||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 103,273 | $ | 2,363,326 | 41,711 | $ | 1,065,509 | |||||||||||||||||||||||||||||
Reinvested dividends | 267,851 | 7,071,256 | 136,257 | 3,617,611 | |||||||||||||||||||||||||||||||
Shares redeemed | (332,425 | ) | (9,579,444 | ) | (377,551 | ) | (9,624,318 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 38,699 | $ | (144,862 | ) | (199,583 | ) | $ | (4,941,198 | ) | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 4,463,358 | $ | 77,927,487 | 503,180 | $ | 9,349,565 | 20,214 | $ | 312,381 | 74,876 | $ | 1,251,372 | |||||||||||||||||||||||
Reinvested dividends | 7,161,976 | 121,538,733 | 3,236,163 | 59,901,369 | 604,137 | 9,829,305 | 273,069 | 4,904,322 | |||||||||||||||||||||||||||
Shares redeemed | (4,377,598 | ) | (83,177,050 | ) | (11,055,234 | ) | (194,609,631 | ) | (341,230 | ) | (6,205,419 | ) | (366,429 | ) | (6,537,900 | ) | |||||||||||||||||||
Net increase (decrease) | 7,247,736 | $ | 116,289,170 | (7,315,891 | ) | $ | (125,358,697 | ) | 283,121 | $ | 3,936,267 | (18,484 | ) | $ | (382,206 | ) | |||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 71,440 | $ | 1,054,518 | 53,467 | $ | 917,971 | |||||||||||||||||||||||||||||
Reinvested dividends | 321,382 | 5,119,610 | 147,976 | 2,616,217 | |||||||||||||||||||||||||||||||
Shares redeemed | (203,592 | ) | (3,706,399 | ) | (209,246 | ) | (3,593,283 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 189,230 | $ | 2,467,729 | (7,803 | ) | $ | (59,095 | ) | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 4,656,830 | $ | 79,997,273 | 2,850,743 | $ | 39,175,079 | 28,592 | $ | 498,175 | 104,627 | $ | 1,571,856 | |||||||||||||||||||||||
Reinvested dividends | 3,314,634 | 55,486,967 | 3,323,499 | 51,381,298 | 102,054 | 1,706,337 | 101,254 | 1,564,372 | |||||||||||||||||||||||||||
Shares redeemed | (11,515,868 | ) | (200,343,113 | ) | (7,134,845 | ) | (105,989,097 | ) | (247,428 | ) | (4,290,095 | ) | (213,060 | ) | (3,147,324 | ) | |||||||||||||||||||
Net increase (decrease) | (3,544,404 | ) | $ | (64,858,873 | ) | (960,603 | ) | $ | (15,432,720 | ) | (116,782 | ) | $ | (2,085,583 | ) | (7,179 | ) | $ | (11,096 | ) |
379
SA Multi-Managed Large Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 22,498 | $ | 389,522 | 25,930 | $ | 362,614 | |||||||||||||||||||||||||||||
Reinvested dividends | 48,744 | 815,483 | 49,274 | 761,776 | |||||||||||||||||||||||||||||||
Shares redeemed | (138,821 | ) | (2,414,462 | ) | (148,222 | ) | (2,207,587 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (67,579 | ) | $ | (1,209,457 | ) | (73,018 | ) | $ | (1,083,197 | ) | |||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 740,136 | $ | 19,188,225 | 63,986 | $ | 1,539,684 | 31,214 | $ | 578,514 | 24,633 | $ | 495,413 | |||||||||||||||||||||||
Reinvested dividends | 2,858,658 | 56,944,459 | 885,950 | 22,866,374 | 448,098 | 8,110,581 | 125,841 | 3,037,793 | |||||||||||||||||||||||||||
Shares redeemed | (1,740,839 | ) | (42,397,237 | ) | (2,888,505 | ) | (64,908,710 | ) | (159,889 | ) | (3,456,517 | ) | (188,443 | ) | (4,237,142 | ) | |||||||||||||||||||
Net increase (decrease) | 1,857,955 | $ | 33,735,447 | (1,938,569 | ) | $ | (40,502,652 | ) | 319,423 | $ | 5,232,578 | (37,969 | ) | $ | (703,936 | ) | |||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 28,496 | $ | 511,637 | 12,884 | $ | 288,360 | |||||||||||||||||||||||||||||
Reinvested dividends | 293,665 | 5,012,863 | 81,163 | 1,882,160 | |||||||||||||||||||||||||||||||
Shares redeemed | (104,529 | ) | (2,288,949 | ) | (143,223 | ) | (3,076,996 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | 217,632 | $ | 3,235,551 | (49,176 | ) | $ | (906,476 | ) | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 790,428 | $ | 15,491,961 | 745,573 | $ | 11,166,595 | 18,515 | $ | 353,688 | 44,082 | $ | 701,396 | |||||||||||||||||||||||
Reinvested dividends | 576,586 | 11,231,892 | 533,997 | 9,222,131 | 63,349 | 1,230,243 | 53,351 | 918,697 | |||||||||||||||||||||||||||
Shares redeemed | (2,744,773 | ) | (53,920,052 | ) | (2,317,768 | ) | (36,048,939 | ) | (205,972 | ) | (4,045,882 | ) | (184,890 | ) | (2,927,676) | ||||||||||||||||||||
Net increase (decrease) | (1,377,759 | ) | $ | (27,196,199 | ) | (1,038,198 | ) | $ | (15,660,213 | ) | (124,108 | ) | $ | (2,461,951 | ) | (87,457 | ) | $ | (1,307,583 | ) | |||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 16,550 | $ | 324,631 | 22,895 | $ | 357,413 | |||||||||||||||||||||||||||||
Reinvested dividends | 38,166 | 740,037 | 32,883 | 565,258 | |||||||||||||||||||||||||||||||
Shares redeemed | (140,180 | ) | (2,749,735 | ) | (150,327 | ) | (2,329,692) | ||||||||||||||||||||||||||||
Net increase (decrease) | (85,464 | ) | $ | (1,685,067 | ) | (94,549 | ) | $ | (1,407,021 | ) |
380
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,672,188 | $ | 25,908,690 | 257,631 | $ | 3,397,607 | 26,401 | $ | 392,050 | 48,844 | $ | 634,397 | |||||||||||||||||||||||
Reinvested dividends | 1,807,740 | 25,904,912 | 1,877,237 | 26,750,632 | 145,721 | 2,008,034 | 144,294 | 1,986,928 | |||||||||||||||||||||||||||
Shares redeemed | (3,408,159 | ) | (51,848,712 | ) | (2,931,243 | ) | (39,921,397 | ) | (201,426 | ) | (2,942,868 | ) | (174,707 | ) | (2,273,193 | ) | |||||||||||||||||||
Net increase (decrease) | 71,769 | $ | (35,110 | ) | (796,375 | ) | $ | (9,773,158 | ) | (29,304 | ) | $ | (542,784 | ) | 18,431 | $ | 348,132 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 20,874 | $ | 286,004 | 22,672 | $ | 268,047 | |||||||||||||||||||||||||||||
Reinvested dividends | 96,088 | 1,290,455 | 95,474 | 1,286,032 | |||||||||||||||||||||||||||||||
Shares redeemed | (134,991 | ) | (1,917,999 | ) | (138,616 | ) | (1,713,851 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (18,029 | ) | $ | (341,540 | ) | (20,470 | ) | $ | (159,772 | ) | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 3,940,411 | $ | 40,574,157 | 3,266,009 | $ | 25,969,336 | 36,341 | $ | 368,304 | 164,328 | $ | 1,554,990 | |||||||||||||||||||||||
Reinvested dividends | 2,317,598 | 22,944,222 | 1,113,874 | 10,993,940 | 113,707 | 1,129,111 | 52,889 | 523,599 | |||||||||||||||||||||||||||
Shares redeemed | (5,948,235 | ) | (61,266,733 | ) | (7,472,956 | ) | (67,556,042 | ) | (268,402 | ) | (2,760,193 | ) | (226,335 | ) | (2,004,865 | ) | |||||||||||||||||||
Net increase (decrease) | 309,774 | $ | 2,251,646 | (3,093,073 | ) | $ | (30,592,766 | ) | (118,354 | ) | $ | (1,262,778 | ) | (9,118 | ) | $ | 73,724 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 32,216 | $ | 327,158 | 24,998 | $ | 215,523 | |||||||||||||||||||||||||||||
Reinvested dividends | 76,570 | 757,274 | 37,080 | 365,979 | |||||||||||||||||||||||||||||||
Shares redeemed | (229,560 | ) | (2,338,559 | ) | (193,696 | ) | (1,673,853 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (120,774 | ) | $ | (1,254,127 | ) | (131,618 | ) | $ | (1,092,351 | ) | |||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 8,443,315 | $ | 101,504,946 | 14,213,580 | $ | 176,265,282 | 147,204 | $ | 1,714,786 | 195,262 | $ | 2,428,892 | |||||||||||||||||||||||
Reinvested dividends | 3,383,463 | 39,214,342 | 3,499,477 | 42,518,644 | 61,911 | 717,545 | 76,116 | 924,053 | |||||||||||||||||||||||||||
Shares redeemed | (11,572,351 | ) | (137,308,042 | ) | (10,062,287 | ) | (125,394,281 | ) | (316,157 | ) | (3,727,162 | ) | (195,852 | ) | (2,425,134 | ) | |||||||||||||||||||
Net increase (decrease) | 254,427 | $ | 3,411,246 | 7,650,770 | $ | 93,389,645 | (107,042 | ) | $ | (1,294,831 | ) | 75,526 | $ | 927,811 |
381
SA Multi-Managed Diversified Fixed Income Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 69,295 | $ | 818,414 | 71,661 | $ | 890,130 | |||||||||||||||||||||||||||||
Reinvested dividends | 34,035 | 392,420 | 43,134 | 521,061 | |||||||||||||||||||||||||||||||
Shares redeemed | (192,056 | ) | (2,257,087 | ) | (162,202 | ) | (2,011,097 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (88,726 | ) | $ | (1,046,253 | ) | (47,407 | ) | $ | (599,906 | ) | |||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 5,280,957 | $ | 54,319,930 | 2,649,051 | $ | 26,741,582 | 5,826,763 | $ | 59,584,627 | 7,688,635 | $ | 78,258,689 | |||||||||||||||||||||||
Reinvested dividends | 622,937 | 6,410,018 | 814,383 | 8,208,980 | 1,030,804 | 10,493,586 | 1,320,565 | 13,205,653 | |||||||||||||||||||||||||||
Shares redeemed | (3,807,972 | ) | (39,412,627 | ) | (5,170,947 | ) | (52,196,756 | ) | (5,069,900 | ) | (51,713,530 | ) | (3,131,104 | ) | (31,600,958 | ) | |||||||||||||||||||
Net increase (decrease) | 2,095,922 | $ | 21,317,321 | (1,707,513 | ) | $ | (17,246,194 | ) | 1,787,667 | $ | 18,364,683 | 5,878,096 | $ | 59,863,384 | |||||||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 1,027,228 | $ | 24,170,191 | 2,711,377 | $ | 48,627,525 | 25,601 | $ | 595,139 | 29,264 | $ | 521,979 | |||||||||||||||||||||||
Reinvested dividends | 1,230,040 | 27,577,492 | 1,066,699 | 22,528,690 | 52,985 | 1,191,632 | 44,733 | 947,444 | |||||||||||||||||||||||||||
Shares redeemed | (2,549,933 | ) | (59,889,700 | ) | (2,350,187 | ) | (46,337,404 | ) | (99,095 | ) | (2,323,136 | ) | (89,134 | ) | (1,705,561 | ) | |||||||||||||||||||
Net increase (decrease) | (292,665 | ) | $ | (8,142,017 | ) | 1,427,889 | $ | 24,818,811 | (20,509 | ) | $ | (536,365 | ) | (15,137 | ) | $ | (236,138 | ) | |||||||||||||||||
SA Columbia Focused Value Portfolio | |||||||||||||||||||||||||||||||||||
Class 3 | |||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||||||
Shares sold | 18,015 | $ | 423,029 | 15,752 | $ | 310,485 | |||||||||||||||||||||||||||||
Reinvested dividends | 34,221 | 769,975 | 30,057 | 636,918 | |||||||||||||||||||||||||||||||
Shares redeemed | (94,858 | ) | (2,229,423 | ) | (80,862 | ) | (1,586,055 | ) | |||||||||||||||||||||||||||
Net increase (decrease) | (42,622 | ) | $ | (1,036,419 | ) | (35,053 | ) | $ | (638,652 | ) | |||||||||||||||||||||||||
SA Allocation Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 320,610 | $ | 5,547,726 | 4,195 | $ | 61,331 | 4,732,951 | $ | 81,907,591 | 3,707,165 | $ | 57,384,754 | |||||||||||||||||||||||
Reinvested dividends | 2,570 | 44,432 | 650 | 10,542 | 1,260,415 | 21,666,527 | 838,513 | 13,533,599 | |||||||||||||||||||||||||||
Shares redeemed | (3,816 | ) | (67,525 | ) | (2,550 | ) | (38,054 | ) | (1,005,580 | ) | (17,213,011 | ) | (1,437,651 | ) | (21,382,389 | ) | |||||||||||||||||||
Net increase (decrease) | 319,364 | $ | 5,524,633 | 2,295 | $ | 33,819 | 4,987,786 | $ | 86,361,107 | 3,108,027 | $ | 49,535,964 |
382
SA Allocation Moderate Growth Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 96 | $ | 1,156 | 132 | $ | 1,518 | 3,278,750 | $ | 40,514,936 | 2,762,550 | $ | 31,062,352 | |||||||||||||||||||||||
Reinvested dividends | 1,654 | 20,019 | 810 | 9,580 | 3,325,605 | 40,140,056 | 1,684,533 | 19,860,649 | |||||||||||||||||||||||||||
Shares redeemed | (545 | ) | (6,706 | ) | (592 | ) | (6,630 | ) | (4,661,951 | ) | (57,459,299 | ) | (4,638,613 | ) | (51,198,402 | ) | |||||||||||||||||||
Net increase (decrease) | 1,205 | $ | 14,469 | 350 | $ | 4,468 | 1,942,404 | $ | 23,195,693 | (191,530 | ) | $ | (275,401 | ) | |||||||||||||||||||||
SA Allocation Moderate Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 2,109 | $ | 26,928 | — | $ | — | 1,779,356 | $ | 21,535,012 | 1,574,153 | $ | 17,578,120 | |||||||||||||||||||||||
Reinvested dividends | 889 | 10,610 | 363 | 4,287 | 1,937,032 | 23,050,684 | 1,006,212 | 11,822,993 | |||||||||||||||||||||||||||
Shares redeemed | (222 | ) | (2,712 | ) | (175 | ) | (1,955 | ) | (2,759,738 | ) | (33,553,889 | ) | (3,051,081 | ) | (33,979,196 | ) | |||||||||||||||||||
Net increase (decrease) | 2,776 | $ | 34,826 | 188 | $ | 2,332 | 956,650 | $ | 11,031,807 | (470,716 | ) | $ | (4,578,083 | ) | |||||||||||||||||||||
SA Allocation Balanced Portfolio | |||||||||||||||||||||||||||||||||||
Class 1 | Class 3 | ||||||||||||||||||||||||||||||||||
For the year ended March 31, 2022 | For the year ended March 31, 2021 | For the year ended March 31, 2022 | For the year ended March 31, 2021 | ||||||||||||||||||||||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||||||||||||||||||||||
Shares sold | 3,477 | $ | 39,151 | 8,666 | $ | 91,683 | 3,124,289 | $ | 34,608,806 | 2,576,933 | $ | 27,168,172 | |||||||||||||||||||||||
Reinvested dividends | 681 | 7,505 | 1,238 | 13,212 | 1,004,584 | 11,080,561 | 1,080,963 | 11,533,876 | |||||||||||||||||||||||||||
Shares redeemed | (134 | ) | (1,489 | ) | (13,081 | ) | (139,788 | ) | (2,404,572 | ) | (26,839,789 | ) | (2,293,857 | ) | (23,928,787 | ) | |||||||||||||||||||
Net increase (decrease) | 4,024 | $ | 45,167 | (3,177 | ) | $ | (34,893 | ) | 1,724,301 | $ | 18,849,578 | 1,364,039 | $ | 14,773,261 |
Note 8. Transactions with Affiliates: As disclosed in the Portfolio of Investments, certain Portfolios owned shares of various portfolios of the Trust and SunAmerica Series Trust and securities issued by American International Group, Inc.("AIG") or an affiliate thereof. For the year ended March 31, 2022, transactions in these securities were as follows:
SA Multi-Managed Large Cap Value Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
American International Group, Inc. | $ | 16,986 | $ | — | $ | 648,049 | $ | 57,187 | $ | 224,782 | $ | 1,621 | $ | 212,914 | $ | 694,989 |
SA Allocation Growth Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | $ | 227,092 | $ | 490,313 | $ | 7,128,811 | $ | 2,328,229 | $ | 554,348 | $ | 84,637 | $ | 172,967 | $ | 9,160,296 | |||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 197,889 | 270,301 | 9,003,628 | 3,568,923 | 220,888 | (6,059 | ) | (1,040,922 | ) | 11,304,682 | |||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 325,270 | 1,065,667 | 16,487,842 | 7,640,946 | 420,131 | 4,307 | (1,878,960 | ) | 21,834,004 |
383
SA Allocation Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | $ | — | $ | 5,705,732 | $ | 19,039,736 | $ | 11,201,239 | $ | 1,450,670 | $ | 283,254 | $ | (6,148,015 | ) | $ | 22,925,544 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 404,756 | 1,284,296 | 22,469,710 | 6,317,231 | 7,414,158 | 302,179 | 857,999 | 22,532,961 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 865,393 | 2,450,139 | 1,470,816 | 329,276 | 22,517 | (1,076,634 | ) | 2,537,562 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 51,702 | 249,130 | 5,180,864 | 1,656,880 | 933,712 | 158,814 | 152,709 | 6,215,555 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 10,281 | 602,343 | 4,428,361 | 1,640,279 | 190,046 | 10,536 | (629,160 | ) | 5,259,970 | ||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | — | 42,439 | 570,338 | 1,791,117 | 36,447 | 1,683 | 3,445 | 2,330,136 | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 1,681,422 | 6,094,996 | 5,486,744 | 168,230 | 19,175 | (2,082,717 | ) | 9,349,968 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 1,185,856 | 11,864,967 | 5,931,392 | 1,297,735 | 399,468 | (353,865 | ) | 16,544,227 | ||||||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 20,445 | 20,030 | 3,379,144 | 674,915 | 866,236 | 420,453 | (243,990 | ) | 3,364,286 | ||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 38 | — | 84,232 | 38 | 10,000 | (172 | ) | (1,192 | ) | 72,906 | |||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 38,536 | — | 5,100,552 | 876,769 | 1,761,246 | 262,947 | (850,685 | ) | 3,628,337 | ||||||||||||||||||||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | 324,711 | 29,776 | 7,870,432 | 4,456,243 | 210,331 | 4,105 | (787,236 | ) | 11,333,213 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 77,791 | — | 2,449,505 | 3,084,044 | 97,739 | 12,936 | 656,496 | 6,105,242 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | 3,076 | 864,775 | 8,116,994 | 5,256,339 | 254,919 | 53,699 | (1,447,300 | ) | 11,724,813 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 238,083 | 134,079 | 7,269,629 | 5,341,981 | 222,534 | 17,106 | (920,120 | ) | 11,486,062 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 105,943 | 10,192 | 4,575,307 | 4,471,964 | 161,793 | 2,275 | (474,329 | ) | 8,413,424 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 34,811 | 171,984 | 4,284,966 | 908,799 | 1,620,276 | 256,433 | (440,475 | ) | 3,389,447 | ||||||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 | 2,290 | — | 3,037,771 | 727,103 | 81,134 | 21,508 | 377,866 | 4,083,114 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 66,913 | 11,186 | 4,100,875 | 1,094,677 | 396,804 | 45,938 | (195,244 | ) | 4,649,442 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 550,414 | 3,633,536 | 2,334,094 | 568,634 | 160,617 | (1,513,892 | ) | 4,045,721 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | 867,530 | 6,306,526 | 4,375,192 | 225,051 | 97,949 | (666,430 | ) | 9,888,186 | ||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 110,958 | — | 5,635,256 | 1,425,161 | 126,886 | 38,982 | (1,102,490 | ) | 5,870,023 |
384
SA Allocation Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | $ | 358,669 | $ | 638,619 | $ | 16,652,032 | $ | 4,785,731 | $ | 2,659,962 | $ | 375,947 | $ | 1,208,172 | $ | 20,361,920 | |||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 247,749 | 83,419 | 7,566,966 | 4,252,967 | 195,623 | 5,250 | (735,003 | ) | 10,894,557 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1# | — | 921,274 | 4,311,980 | 5,562,958 | 536,375 | 172,397 | (1,611,258 | ) | 7,899,702 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 42,131 | 378,035 | 5,641,298 | 2,946,676 | 532,444 | 239,846 | 318,386 | 8,613,762 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 292,890 | 372,464 | 19,641,376 | 5,043,456 | 4,693,931 | 1,724,149 | 445,946 | 22,160,996 | |||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 194,572 | 103,932 | 7,053,837 | 1,927,935 | 1,381,454 | 332,858 | 309,178 | 8,242,354 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 290,153 | 108,135 | 13,825,066 | 3,522,484 | 961,011 | 56,288 | 1,477,824 | 17,920,651 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 17,442 | 910,803 | 6,704,000 | 3,127,345 | 484,920 | 145,770 | (223,337 | ) | 9,268,858 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 26,093 | 158,648 | 3,125,799 | 871,407 | 107,390 | 28,085 | (91,150 | ) | 3,826,751 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 182,909 | — | 12,323,948 | 3,678,456 | 292,022 | 18,354 | (804,784 | ) | 14,923,952 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 90,075 | 615,464 | 11,388,632 | 3,375,900 | 412,071 | 74,259 | 503,498 | 14,930,218 | |||||||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 | 141,665 | 40,615 | 5,330,340 | 1,479,833 | 106,242 | 9,681 | (291,657 | ) | 6,421,955 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 234,364 | — | 8,341,316 | 2,329,736 | 5,496,415 | 596,501 | (722,637 | ) | 5,048,501 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 316,752 | — | 12,960,165 | 3,751,099 | 298,578 | 13,236 | (31,762 | ) | 16,394,160 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 15,752 | 104,241 | 3,186,656 | 842,465 | 150,095 | 54,621 | (410,169 | ) | 3,523,478 | ||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1* | 187,247 | 184,751 | 8,996,533 | 3,749,029 | 228,376 | (9,123 | ) | (945,965 | ) | 11,562,098 | |||||||||||||||||||||||||
SA WellsCap Aggressive Growth Portfolio, Class 1# | — | 651,052 | 2,613,667 | 1,279,627 | 3,370,399 | 10,876 | (533,771 | ) | — | ||||||||||||||||||||||||||
$ | 4,879,048 | $ | 21,374,310 | $ | 320,227,728 | $ | 136,588,219 | $ | 41,526,532 | $ | 6,524,282 | $ | (21,770,663 | ) | $ | 400,043,034 |
† Includes reinvestment of distributions paid.
* Effective November 8, 2021, all of the assets and liabilities of the Anchor Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SunAmerica Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Surviving Fund"). The Surviving Fund inherited the performance and financial history of the Predecessor Fund.
# Effective November 8, 2021, all of the assets and liabilities of the SA WellsCap Aggressive Growth Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SA JPMorgan Mid Cap Growth Portfolio (the "Surviving Fund"). The exchange, valued at $3,343,786 is included in Cost of Purchases on the Surviving Fund and Proceeds from Sales on the Predecessor Fund.
385
SA Allocation Moderate Growth Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | $ | 267,050 | $ | 576,588 | $ | 9,725,618 | $ | 1,241,594 | $ | 681,036 | $ | 117,183 | $ | 250,540 | $ | 10,653,899 | |||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 793,278 | 1,083,557 | 42,752,417 | 6,924,542 | 3,239,514 | 51,162 | (3,998,375 | ) | 42,490,232 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 355,326 | 1,164,139 | 21,322,433 | 4,505,521 | 1,666,038 | 452,991 | (2,246,665 | ) | 22,368,242 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 6,501,875 | 25,468,577 | 8,445,364 | 3,317,598 | 828,434 | (6,987,780 | ) | 24,436,997 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 471,460 | 1,495,947 | 31,752,349 | 2,964,562 | 12,378,408 | 248,519 | 1,351,370 | 23,938,392 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 1,155,402 | 3,850,529 | 1,296,846 | 821,042 | 98,458 | (1,441,860 | ) | 2,982,931 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 45,880 | 221,078 | 5,817,737 | 1,000,472 | 1,661,047 | 201,198 | 132,157 | 5,490,517 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 10,746 | 629,581 | 6,239,212 | 837,350 | 1,308,317 | 302,591 | (904,579 | ) | 5,166,257 | ||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | — | 42,296 | 1,672,084 | 682,992 | 136,720 | 6,481 | 22,249 | 2,247,086 | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 2,007,078 | 8,530,903 | 5,011,430 | 713,072 | 117,960 | (2,353,557 | ) | 10,593,664 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 1,444,949 | 16,657,570 | 4,136,289 | 2,628,847 | 973,255 | (582,623 | ) | 18,555,644 | ||||||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 28,906 | 28,319 | 5,600,447 | 221,555 | 1,713,550 | 831,706 | (523,032 | ) | 4,417,126 | ||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 81 | — | 168,055 | 81 | 10,000 | (171 | ) | (2,712 | ) | 155,253 | |||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 38,526 | — | 6,779,045 | 199,710 | 2,952,760 | 376,069 | (985,971 | ) | 3,416,093 | ||||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 496,711 | 45,548 | 13,687,489 | 5,356,549 | 1,161,585 | 98,698 | (1,178,293 | ) | 16,802,858 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 95,037 | — | 3,559,396 | 2,889,914 | 413,903 | 50,296 | 837,911 | 6,923,614 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | 3,552 | 998,590 | 10,500,154 | 4,323,042 | 1,036,707 | 256,907 | (1,687,134 | ) | 12,356,262 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 423,961 | 238,758 | 18,744,324 | 2,988,111 | 1,465,495 | 117,891 | (1,517,579 | ) | 18,867,252 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 223,786 | 21,529 | 16,293,308 | 2,223,014 | 1,234,101 | 85,553 | (986,028 | ) | 16,381,746 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 40,528 | 200,230 | 6,022,345 | 394,581 | 2,544,500 | 310,323 | (519,061 | ) | 3,663,688 |
386
SA Allocation Moderate Growth Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 | $ | 3,023 | $ | — | $ | 4,658,241 | $ | 169,755 | $ | 397,808 | $ | 100,725 | $ | 476,890 | $ | 5,007,803 | |||||||||||||||||||
SA International Index Portfolio, Class 1 | 74,515 | 12,457 | 5,298,234 | 279,046 | 1,132,178 | 83,256 | (209,430 | ) | 4,318,928 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 629,777 | 4,805,782 | 1,970,964 | 1,080,719 | 253,029 | (1,707,511 | ) | 4,241,545 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | 1,088,678 | 8,652,677 | 4,194,631 | 834,980 | 368,300 | (968,215 | ) | 11,412,413 | ||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 128,173 | — | 7,619,652 | 400,996 | 578,839 | 177,244 | (1,360,593 | ) | 6,258,460 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 420,607 | 748,900 | 22,604,461 | 1,968,620 | 4,038,046 | 593,863 | 1,482,231 | 22,611,129 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 870,575 | 293,129 | 32,024,146 | 4,983,951 | 2,394,548 | 59,284 | (2,399,590 | ) | 32,273,243 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1# | — | 1,075,900 | 5,969,014 | 5,197,079 | 1,297,386 | 453,816 | (1,828,713 | ) | 8,493,810 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 50,756 | 455,426 | 7,909,697 | 1,844,938 | 1,309,759 | 578,129 | 234,862 | 9,257,867 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 330,893 | 420,792 | 25,559,370 | 1,637,613 | 7,370,953 | 2,791,048 | (56,938 | ) | 22,560,140 | ||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 257,814 | 137,713 | 10,844,694 | 780,151 | 1,991,594 | 470,291 | 439,033 | 10,542,575 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 359,971 | 134,155 | 19,857,018 | 1,191,026 | 2,454,135 | 137,079 | 1,916,056 | 20,647,044 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 21,203 | 1,107,244 | 9,512,995 | 2,015,783 | 1,259,667 | 387,036 | (311,542 | ) | 10,344,605 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 29,069 | 176,738 | 4,364,307 | 352,923 | 739,242 | 232,271 | (256,510 | ) | 3,953,749 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 199,809 | — | 15,840,202 | 1,038,275 | 1,156,969 | 84,469 | (759,652 | ) | 15,046,325 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 109,147 | 745,780 | 16,222,943 | 1,443,394 | 1,776,969 | 299,392 | 623,408 | 16,812,168 | |||||||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 | 151,204 | 43,350 | 6,561,194 | 571,168 | 437,090 | 43,347 | (313,053 | ) | 6,425,566 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 528,644 | — | 10,128,440 | 1,872,996 | 773,052 | 48,053 | (575,785 | ) | 10,700,652 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 364,035 | — | 17,066,484 | 1,601,539 | 1,323,383 | 61,247 | 60,717 | 17,466,604 | |||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 18,906 | 125,116 | 4,611,916 | 292,006 | 586,902 | 153,459 | (558,226 | ) | 3,912,253 | ||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1* | 570,479 | 562,877 | 31,827,365 | 5,099,135 | 2,429,636 | 21,228 | (2,692,034 | ) | 31,826,058 | ||||||||||||||||||||||||||
SA WellsCap Aggressive Growth Portfolio, Class 1# | — | 789,798 | 3,668,388 | 1,162,621 | 4,027,173 | 66,719 | (870,555 | ) | — | ||||||||||||||||||||||||||
$ | 7,783,651 | $ | 26,403,294 | $ | 530,751,212 | $ | 95,712,129 | $ | 80,475,268 | $ | 12,988,789 | $ | (32,956,172 | ) | $ | 526,020,690 |
387
† Includes reinvestment of distributions paid.
* Effective November 8, 2021, all of the assets and liabilities of the Anchor Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SunAmerica Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Surviving Fund"). The Surviving Fund inherited the performance and financial history of the Predecessor Fund.
# Effective November 8, 2021, all of the assets and liabilities of the SA WellsCap Aggressive Growth Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SA JPMorgan Mid Cap Growth Portfolio (the "Surviving Fund"). The exchange, valued at $3,859,622 is included in Cost of Purchases on the Surviving Fund and Proceeds from Sales on the Predecessor Fund.
SA Allocation Moderate Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | $ | 99,172 | $ | 214,121 | $ | 3,598,381 | $ | 540,096 | $ | 314,491 | $ | 54,244 | $ | 83,396 | $ | 3,961,626 | |||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 672,060 | 917,982 | 36,786,901 | 5,976,584 | 3,375,854 | 56,866 | (3,393,236 | ) | 36,051,261 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 174,008 | 570,096 | 10,623,977 | 2,545,671 | 1,323,684 | 292,444 | (1,164,987 | ) | 10,973,421 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 3,427,310 | 13,740,833 | 4,070,347 | 2,213,276 | 493,906 | (3,753,439 | ) | 12,338,371 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 256,406 | 813,579 | 18,287,594 | 1,751,914 | 8,358,455 | 203,298 | 792,645 | 12,676,996 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 461,534 | 1,559,047 | 536,703 | 151,249 | 30,618 | (572,158 | ) | 1,402,961 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 24,028 | 115,783 | 3,193,839 | 258,298 | 1,037,681 | 162,861 | 26,383 | 2,603,700 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 5,358 | 313,928 | 3,251,573 | 1,029,702 | 831,842 | 66,612 | (393,400 | ) | 3,122,645 | ||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | — | 76,326 | 3,090,534 | 378,464 | 283,342 | 25,430 | 32,032 | 3,243,118 | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 1,192,751 | 4,987,897 | 3,074,702 | 712,653 | 128,950 | (1,519,249 | ) | 5,959,647 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 776,866 | 8,709,015 | 2,438,772 | 1,530,113 | 575,660 | (428,076 | ) | 9,765,258 | ||||||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 14,090 | 13,803 | 2,847,269 | 129,435 | 980,830 | 476,022 | (318,051 | ) | 2,153,845 | ||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 42 | — | 112,720 | 42 | 29,999 | (516 | ) | (1,040 | ) | 81,207 | |||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | 12,372 | — | 3,001,798 | 77,423 | 1,753,066 | 244,799 | (471,800 | ) | 1,099,154 | ||||||||||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 267,695 | 24,547 | 7,258,727 | 2,275,805 | 771,439 | 64,276 | (660,129 | ) | 8,167,240 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 49,779 | — | 1,881,494 | 1,540,048 | 264,038 | 33,265 | 437,083 | 3,627,852 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | 1,654 | 464,966 | 4,643,128 | 2,330,584 | 529,872 | 130,176 | (809,305 | ) | 5,764,711 |
388
SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $ | 295,682 | $ | 166,516 | $ | 13,307,633 | $ | 2,081,203 | $ | 1,257,117 | $ | 97,644 | $ | (1,070,332 | ) | $ | 13,159,031 | ||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 188,572 | 18,141 | 13,909,478 | 1,923,236 | 1,271,242 | 86,932 | (843,567 | ) | 13,804,837 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 16,540 | 81,719 | 2,803,639 | 789,740 | 1,398,832 | 167,380 | (299,375 | ) | 2,062,552 | ||||||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 | 1,525 | — | 2,331,124 | 114,278 | 211,874 | 55,396 | 235,703 | 2,524,627 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 33,725 | 5,638 | 2,411,102 | 148,519 | 410,186 | 38,032 | (86,783 | ) | 2,100,684 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 319,557 | 2,429,678 | 1,344,642 | 761,677 | 223,273 | (972,951 | ) | 2,262,965 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | 570,650 | 4,605,498 | 2,679,979 | 952,150 | 411,276 | (762,825 | ) | 5,981,778 | ||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 58,745 | — | 3,683,073 | 213,090 | 471,913 | 95,846 | (648,354 | ) | 2,871,742 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 244,797 | 435,866 | 13,374,910 | 1,277,433 | 3,243,280 | 483,404 | 746,268 | 12,638,735 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 721,501 | 242,935 | 26,795,283 | 3,880,943 | 2,431,172 | 55,284 | (1,989,114 | ) | 26,311,224 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1# | — | 565,182 | 3,150,003 | 2,975,398 | 863,213 | 301,671 | (1,098,781 | ) | 4,465,078 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 27,418 | 246,017 | 4,331,126 | 1,275,409 | 858,833 | 372,041 | 64,553 | 5,184,296 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 159,126 | 202,358 | 12,844,536 | 905,919 | 4,013,420 | 1,553,203 | (122,695 | ) | 11,167,543 | ||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 146,624 | 78,320 | 6,241,075 | 498,413 | 1,585,982 | 375,960 | 150,762 | 5,680,228 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 189,677 | 70,689 | 10,615,768 | 727,847 | 1,549,487 | 89,618 | 1,002,464 | 10,886,210 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 10,763 | 562,072 | 4,757,177 | 1,315,493 | 743,752 | 205,666 | (182,930 | ) | 5,351,654 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 18,016 | 109,537 | 2,674,294 | 340,307 | 546,874 | 172,020 | (186,763 | ) | 2,452,984 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 89,988 | — | 7,201,185 | 508,249 | 635,621 | 45,363 | (341,262 | ) | 6,777,914 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 56,308 | 384,743 | 8,481,999 | 831,930 | 1,124,495 | 191,466 | 295,471 | 8,676,371 | |||||||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 | 73,879 | 21,181 | 3,162,800 | 369,186 | 265,652 | 25,563 | (158,157 | ) | 3,133,740 | ||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | 274,349 | — | 5,304,796 | 2,532,965 | 511,879 | 32,053 | (378,090 | ) | 6,979,845 | ||||||||||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 163,567 | — | 7,767,897 | 781,897 | 762,121 | 103,387 | (43,225 | ) | 7,847,835 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 9,677 | 64,044 | 2,269,268 | 171,441 | 233,624 | 57,982 | (263,760 | ) | 2,001,307 |
389
SA Allocation Moderate Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1* | $ | 450,275 | $ | 444,277 | $ | 25,543,926 | $ | 3,973,636 | $ | 2,328,072 | $ | 13,368 | $ | (2,111,054 | ) | $ | 25,091,804 | ||||||||||||||||||
SA WellsCap Aggressive Growth Portfolio, Class 1# | — | 437,810 | 2,080,460 | 610,559 | 2,329,677 | 41,557 | (402,899 | ) | — | ||||||||||||||||||||||||||
$ | 4,807,418 | $ | 14,410,844 | $ | 319,652,455 | $ | 61,226,302 | $ | 55,224,029 | $ | 8,334,296 | $ | (21,581,027 | ) | $ | 312,407,997 |
† Includes reinvestment of distributions paid.
* Effective November 8, 2021, all of the assets and liabilities of the Anchor Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SunAmerica Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Surviving Fund"). The Surviving Fund inherited the performance and financial history of the Predecessor Fund.
# Effective November 8, 2021, all of the assets and liabilities of the SA WellsCap Aggressive Growth Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SA JPMorgan Mid Cap Growth Portfolio (the "Surviving Fund"). The exchange, valued at $2,224,209 is included in Cost of Purchases on the Surviving Fund and Proceeds from Sales on the Predecessor Fund.
SA Allocation Balanced Portfolio
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
Seasons Series Trust | |||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio, Class 1 | $ | 63,555 | $ | 137,221 | $ | 2,218,901 | $ | 476,719 | $ | 170,824 | $ | 30,421 | $ | 55,551 | $ | 2,610,768 | |||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | 776,095 | 1,060,086 | 42,890,658 | 8,374,863 | 4,309,340 | 145,831 | (4,057,790 | ) | 43,044,222 | ||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | 94,628 | 310,025 | 5,559,809 | 1,745,162 | 639,720 | 77,405 | (572,862 | ) | 6,169,794 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | 2,063,605 | 8,167,640 | 2,879,289 | 1,355,045 | 427,523 | (2,424,090 | ) | 7,695,317 | ||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | 145,742 | 462,440 | 10,544,799 | 1,422,742 | 5,322,615 | 269,717 | 302,936 | 7,217,579 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | 303,034 | 1,017,461 | 407,987 | 112,763 | 36,040 | (393,410 | ) | 955,315 | ||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | 15,960 | 76,905 | 2,169,018 | 259,170 | 774,138 | 160,953 | (32,010 | ) | 1,782,993 | ||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | 3,024 | 177,152 | 1,920,252 | 777,685 | 667,934 | 53,826 | (239,884 | ) | 1,843,945 | ||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | — | 140,927 | 5,562,216 | 800,016 | 428,042 | 25,927 | 75,417 | 6,035,534 | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | 778,650 | 3,137,190 | 2,246,490 | 454,771 | 93,591 | (1,027,601 | ) | 3,994,899 | ||||||||||||||||||||||||||
SunAmerica Series Trust | |||||||||||||||||||||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | 473,619 | 5,092,114 | 1,895,745 | 748,141 | 278,343 | (235,068 | ) | 6,282,993 | ||||||||||||||||||||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | 8,923 | 8,742 | 1,764,571 | 154,774 | 600,533 | 290,904 | (195,088 | ) | 1,414,628 | ||||||||||||||||||||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | 20 | — | 48,009 | 20 | 10,000 | (191 | ) | (516 | ) | 37,322 |
390
SA Allocation Balanced Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA Emerging Market Equity Index, Class 1 | $ | 6,385 | $ | — | $ | 1,794,818 | $ | 83,617 | $ | 1,169,549 | $ | 177,154 | $ | (305,127 | ) | $ | 580,913 | ||||||||||||||||||
SA Federated Corporate Bond Portfolio, Class 1 | 166,384 | 15,257 | 4,414,612 | 1,686,099 | 385,750 | 32,757 | (420,061 | ) | 5,327,657 | ||||||||||||||||||||||||||
SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | 32,995 | — | 1,094,514 | 1,244,804 | 132,043 | 16,057 | 270,530 | 2,493,862 | |||||||||||||||||||||||||||
SA Fidelity Institutional International Growth Portfolio, Class 1 | 1,008 | 283,279 | 2,482,727 | 1,859,585 | 237,386 | 83,136 | (531,468 | ) | 3,656,594 | ||||||||||||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | 318,528 | 179,382 | 13,859,756 | 3,073,493 | 1,108,117 | 103,834 | (1,181,808 | ) | 14,747,158 | ||||||||||||||||||||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | 206,276 | 19,844 | 15,016,249 | 2,700,419 | 1,166,438 | 72,423 | (919,411 | ) | 15,703,242 | ||||||||||||||||||||||||||
SA Franklin Small Company Value Portfolio, Class 1 | 9,030 | 44,612 | 1,848,504 | 542,847 | 1,103,276 | 179,670 | (256,305 | ) | 1,211,440 | ||||||||||||||||||||||||||
SA Franklin US Equity Small Beta Portfolio, Class 1 | 1,111 | — | 1,816,323 | 171,660 | 296,364 | 70,425 | 144,894 | 1,906,938 | |||||||||||||||||||||||||||
SA International Index Portfolio, Class 1 | 18,579 | 3,106 | 1,312,624 | 149,183 | 216,508 | 37,829 | (67,261 | ) | 1,215,867 | ||||||||||||||||||||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | 199,481 | 1,467,674 | 1,019,687 | 544,582 | 179,696 | (651,459 | ) | 1,471,016 | ||||||||||||||||||||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | 339,648 | 2,576,698 | 1,847,510 | 448,455 | 153,909 | (390,431 | ) | 3,739,231 | ||||||||||||||||||||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | 32,969 | — | 2,244,368 | 212,857 | 466,589 | 68,561 | (395,005 | ) | 1,664,192 | ||||||||||||||||||||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | 152,768 | 272,007 | 8,284,267 | 1,221,294 | 2,191,656 | 325,979 | 438,763 | 8,078,647 | |||||||||||||||||||||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | 867,392 | 292,057 | 31,813,638 | 5,839,168 | 2,450,216 | 76,387 | (2,465,799 | ) | 32,813,178 | ||||||||||||||||||||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1# | — | 329,475 | 1,799,183 | 1,970,077 | 604,082 | 211,469 | (663,745 | ) | 2,712,902 | ||||||||||||||||||||||||||
SA Large Cap Growth Index Portfolio, Class 1 | 15,707 | 140,932 | 2,354,505 | 896,938 | 420,440 | 182,507 | 50,340 | 3,063,850 | |||||||||||||||||||||||||||
SA Large Cap Index Portfolio, Class 1 | 95,106 | 120,946 | 7,616,722 | 905,026 | 2,578,292 | 955,982 | (112,253 | ) | 6,787,185 | ||||||||||||||||||||||||||
SA Large Cap Value Index Portfolio, Class 1 | 88,446 | 47,244 | 3,676,123 | 492,824 | 968,027 | 235,016 | 79,906 | 3,515,842 | |||||||||||||||||||||||||||
SA Legg Mason BW Large Cap Value Portfolio, Class 1 | 123,465 | 46,013 | 6,772,777 | 815,235 | 951,874 | 51,626 | 650,687 | 7,338,451 | |||||||||||||||||||||||||||
SA MFS Blue Chip Growth, Class 1 | 7,347 | 383,651 | 3,007,795 | 1,034,373 | 288,628 | 77,115 | (84,412 | ) | 3,746,243 | ||||||||||||||||||||||||||
SA Mid Cap Index Portfolio, Class 1 | 10,834 | 65,869 | 1,591,679 | 291,013 | 341,923 | 117,905 | (127,070 | ) | 1,531,604 | ||||||||||||||||||||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | 52,567 | — | 4,109,316 | 502,379 | 311,050 | 26,468 | (209,637 | ) | 4,117,476 | ||||||||||||||||||||||||||
SA Oppenheimer Main Street Large Cap Portfolio, Class 1 | 33,728 | 230,459 | 5,238,366 | 762,715 | 904,372 | 149,660 | 143,750 | 5,390,119 | |||||||||||||||||||||||||||
SA PIMCO RAE International Value, Class 1 | 39,234 | 11,249 | 1,663,927 | 261,033 | 126,364 | 13,385 | (85,127 | ) | 1,726,854 |
391
SA Allocation Balanced Portfolio (continued)
Security | Income | Capital Gain Distribution Received | Value at March 31, 2021 | Cost of Purchases† | Proceeds from Sales | Realized Gain/Loss | Change in Unrealized Gain (Loss) | Value at March 31, 2022 | |||||||||||||||||||||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | $ | 162,422 | $ | — | $ | 3,106,408 | $ | 3,060,011 | $ | 260,890 | $ | 6,740 | $ | (263,243 | ) | $ | 5,649,026 | ||||||||||||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | 103,946 | — | 5,010,089 | 752,474 | 619,372 | 57,845 | (22,720 | ) | 5,178,316 | ||||||||||||||||||||||||||
SA Small Cap Index Portfolio, Class 1 | 6,247 | 41,341 | 1,575,318 | 234,756 | 338,284 | 85,270 | (213,941 | ) | 1,343,119 | ||||||||||||||||||||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1* | 499,243 | 492,590 | 28,395,005 | 5,230,187 | 2,203,988 | 40,269 | (2,429,024 | ) | 29,032,449 | ||||||||||||||||||||||||||
SA WellsCap Aggressive Growth Portfolio, Class 1# | — | 282,815 | 1,331,659 | 409,667 | 1,492,216 | 28,758 | (277,868 | ) | — | ||||||||||||||||||||||||||
$ | 4,159,664 | $ | 9,833,663 | $ | 257,368,282 | $ | 60,711,593 | $ | 39,920,597 | $ | 5,708,122 | $ | (19,038,720 | ) | $ | 264,828,680 |
† Includes reinvestment of distributions paid.
* Effective November 8, 2021, all of the assets and liabilities of the Anchor Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SunAmerica Series Trust — SA Wellington Government & Quality Bond Portfolio (the "Surviving Fund"). The Surviving Fund inherited the performance and financial history of the Predecessor Fund.
# Effective November 8, 2021, all of the assets and liabilities of the SA WellsCap Aggressive Growth Portfolio (the "Predecessor Fund") were transferred in a tax-free exchange for shares of the SA JPMorgan Mid Cap Growth Portfolio (the "Surviving Fund"). The exchange, valued at $1,419,957 is included in Cost of Purchases on the Surviving Fund and Proceeds from Sales on the Predecessor Fund.
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 Portfolios' net assets.
At March 31, 2022, 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 | 1.81 | % | 98.19 | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||
SA Multi-Managed Moderate Growth | 0.60 | 99.40 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income/Equity | 0.56 | 99.44 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Multi-Managed Income | 0.90 | 99.10 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 4.27 | 95.73 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock | 0.20 | 19.58 | 0.95 | 2.22 | 2.52 | 1.42 | 66.57 | 6.54 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth | 0.08 | 11.60 | 1.52 | 4.54 | 4.84 | 2.44 | 36.48 | 38.50 | |||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value | 0.03 | 5.00 | 0.93 | 2.91 | 3.09 | 1.64 | 45.77 | 40.63 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth | 0.38 | 20.74 | 0.46 | 1.21 | 1.43 | 0.67 | 38.94 | 36.17 | |||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value | 0.11 | 15.89 | 0.74 | 2.57 | 2.27 | 1.08 | 54.39 | 22.95 | |||||||||||||||||||||||||||
SA Multi-Managed Small Cap | 0.18 | 11.76 | 0.80 | 2.27 | 2.23 | 1.35 | 33.09 | 48.32 | |||||||||||||||||||||||||||
SA Multi-Managed International Equity | 0.17 | 7.92 | 1.71 | 6.05 | 6.20 | 3.04 | 47.48 | 27.43 | |||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income | 0.05 | 3.09 | 4.80 | 1.26 | 4.74 | 4.02 | 60.88 | 21.16 | |||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio | 3.46 | 57.64 | 0.84 | 0.33 | 0.31 | 0.45 | 25.70 | 11.27 | |||||||||||||||||||||||||||
SA Columbia Focused Value | 0.09 | 6.55 | 0.72 | 2.52 | 2.93 | 1.09 | 59.03 | 27.07 | |||||||||||||||||||||||||||
SA Allocation Growth | 6.47 | 93.53 | — | — | — | — | — | — |
392
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 | 6.94 | % | 93.06 | % | — | % | — | % | — | % | — | % | — | % | — | % | |||||||||||||||||||
SA Allocation Moderate | 7.23 | 92.77 | — | — | — | — | — | — | |||||||||||||||||||||||||||
SA Allocation Balanced | 8.00 | 92.00 | — | — | — | — | — | — |
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.
Certain Portfolios may invest in participations and assignments, or act as a party to the primary lending syndicate of a variable rate senior loan interest to United States corporations, partnerships, and other entities. If the lead lender in a typical lending syndicate becomes insolvent, enters receivership or, if not FDIC insured, enters into bankruptcy, a Portfolio may incur certain costs and delays in receiving payment, or may suffer a loss of principal and/or interest. When a Portfolio purchases a participation of a senior loan interest, the Portfolio typically enters into a contractual agreement with the lender or other third party selling the participation but not with the borrower directly. As such, a Portfolio is subject to the credit risk of the borrower, selling participant, lender or other persons positioned between the Portfolios and the borrower.
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 Growth, 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, along with certain other funds managed by the Adviser, has access to a $75 million committed unsecured line of credit and 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 on each of the committed and uncommitted lines of credit is payable at a variable rate per annum equal to the Applicable Rate plus one and one quarter of one percent (1.25%). The Applicable Rate per annum shall be equal to the higher of (a) the Federal Funds Effective Rate on such date and (b) the Overnight Bank Funding Rate on such date, plus, in each case, 10 basis points. Notwithstanding anything to the contrary, if the Federal Funds Effective Rate or the Overnight Bank Funding Rate shall be less than zero, then the Federal Funds Effective Rate or the Overnight Bank Funding Rate, shall be deemed to be zero for the purposes of determining the rate. 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 $40,000 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 30 basis points per annum on the daily unused portion of the committed line of credit. Borrowings under the line of credit will commence when the respective Portfolio's cash shortfall exceeds $100,000.
For the year ended March 31, 2022, the following Portfolios had borrowings:
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | |||||||||||||||
SA Multi-Managed Growth | 2 | $ | 32 | $ | 400,000 | 1.45 | % | ||||||||||||
SA Multi-Managed Moderate Growth | 6 | 50 | 208,333 | 1.45 | |||||||||||||||
SA Multi-Managed Income/Equity | 2 | 31 | 387,500 | 1.43 | |||||||||||||||
SA Multi-Managed Income | 5 | 50 | 250,000 | 1.45 | |||||||||||||||
SA Putnam Asset Allocation Diversified Growth | 6 | 151 | 629,167 | 1.49 | |||||||||||||||
SA Multi-Managed Large Cap Growth | 40 | 535 | 348,125 | 1.45 | |||||||||||||||
SA Multi-Managed Large Cap Value | 94 | 1,643 | 435,904 | 1.44 |
393
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | |||||||||||||||
SA Multi-Managed Mid Cap Growth | 10 | $ | 111 | $ | 275,000 | 1.46 | % | ||||||||||||
SA Multi-Managed Mid Cap Value | 47 | 542 | 287,766 | 1.44 | |||||||||||||||
SA Multi-Managed Small Cap | 26 | 289 | 278,077 | 1.43 | |||||||||||||||
SA Multi-Managed International Equity | 45 | 352 | 191,667 | 1.48 | |||||||||||||||
SA Multi-Managed Diversified Fixed Income | 4 | 303 | 1,906,250 | 1.43 | |||||||||||||||
SA American Century Inflation Protection | 3 | 43 | 366,667 | 1.42 | |||||||||||||||
SA Columbia Focused Value | 3 | 34 | 283,333 | 1.43 |
As of March 31, 2022, SA Multi-Managed International Equity had an outstanding borrowing balance of $675,000.
Note 11. Security Transactions with Affiliated Portfolios: The Portfolios are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board of Trustees. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions. For the year ended March 31, 2022, 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 | $ | 523,227 | $ | 208,659 | $ | 39,418 | |||||||||
SA Multi-Managed Mid Cap Growth | 115,694 | — | — | ||||||||||||
SA Multi-Managed Mid Cap Value | 62,534 | 8,071 | (2,159 | ) |
Note 12. Interfund Lending Agreement: Pursuant to the exemptive relief granted by the SEC, the Portfolios are permitted to participate in an interfund lending program among investment companies advised by SAAMCo or an affiliate. The interfund lending program allows the participating Portfolios to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the year ended March 31, 2022, none of the Portfolios participated in this program.
Note 13. Other Matters: The coronavirus pandemic and the related governmental and public responses have had and may continue to have an impact on the Portfolios' investments and net asset value and have led and may continue to lead to increased market volatility and the potential for illiquidity in certain classes of securities and sectors of the market. Preventative or protective actions that governments have taken and may continue to take in respect of pandemic or epidemic diseases have resulted and may continue to result in periods of business disruption, business closures, inability to obtain raw materials, supplies and component parts, and reduced or disrupted operations for the issuers in which the Portfolios invests. Government intervention in markets have impacted and may continue to impact interest rates, market volatility and security pricing. The occurrence, reoccurrence and pendency of such diseases could adversely affect or have affected the economies (including through changes in business activity and increased unemployment) and financial markets either in specific countries or worldwide.
In late February 2022, Russia launched a large-scale invasion of Ukraine (the "Invasion"). The extent and duration of Russia's military actions and the consequences of such actions are impossible to predict, but has resulted in, and may continue to result in, significant market disruptions, including in the commodities markets, and may negatively affect global supply chains, global growth and inflation. In response to the Invasion, the United States, the European Union and other countries have imposed broad-ranging economic sanctions on certain Russian individuals and Russian entities. To the extent covered by the sanctions, the Portfolios are currently restricted from trading in Russian securities, including those in their portfolios. In addition, certain index providers have removed Russian securities from their indices. Accordingly, any portfolio repositioning in light of these changes may result in increased transaction costs and higher tracking error, including as a measure of risk against a Portfolio's benchmark index. It is unknown when, or if, sanctions may be lifted or a Portfolio's ability to trade in Russian securities will resume. Even if a Portfolio does not have direct exposure to securities of Russian issuers, the potential for wider conflict in the region or globally may increase volatility and uncertainty in the financial markets. These and any related events could adversely affect a Portfolio's performance and the value and liquidity of an investment in the Portfolio. Information related to each Portfolio's investments in Russian securities as of March 31,2022 is presented within the Portfolio of Investments.
394
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)(2) | Ratio of net investment income to average net assets(1)(2) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | 0.41 | % | 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 | 0.54 | 55 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 16.37 | 0.01 | (0.63 | ) | (0.62 | ) | (0.11 | ) | (1.69 | ) | (1.80 | ) | 13.95 | (4.91 | ) | 7,783 | 1.31 | 0.06 | 97 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 13.95 | (0.06 | ) | 9.41 | 9.35 | — | (2.86 | ) | (2.86 | ) | 20.44 | 66.89 | 11,451 | 1.27 | (0.30 | ) | 74 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 20.44 | (0.07 | ) | (2.11 | ) | (2.18 | ) | — | (5.06 | ) | (5.06 | ) | 13.20 | (15.34 | ) | 9,640 | 1.27 | (0.38 | ) | 68 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 0.26 | 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 | 0.39 | 55 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 16.36 | (0.01 | ) | (0.64 | ) | (0.65 | ) | (0.08 | ) | (1.69 | ) | (1.77 | ) | 13.94 | (5.08 | ) | 13,934 | 1.45 | (0.09 | ) | 97 | ||||||||||||||||||||||||||||||||||
03/31/21 | 13.94 | (0.09 | ) | 9.41 | 9.32 | — | (2.86 | ) | (2.86 | ) | 20.40 | 66.72 | 20,070 | 1.42 | (0.45 | ) | 74 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 20.40 | (0.10 | ) | (2.10 | ) | (2.20 | ) | — | (5.06 | ) | (5.06 | ) | 13.14 | (15.47 | ) | 17,429 | 1.42 | (0.53 | ) | 68 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 0.16 | 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 | 0.29 | 55 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 16.33 | (0.03 | ) | (0.63 | ) | (0.66 | ) | (0.07 | ) | (1.69 | ) | (1.76 | ) | 13.91 | (5.19 | ) | 17,440 | 1.56 | (0.19 | ) | 97 | ||||||||||||||||||||||||||||||||||
03/31/21 | 13.91 | (0.11 | ) | 9.38 | 9.27 | — | (2.86 | ) | (2.86 | ) | 20.32 | 66.50 | 23,715 | 1.52 | (0.55 | ) | 74 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 20.32 | (0.12 | ) | (2.08 | ) | (2.20 | ) | — | (5.06 | ) | (5.06 | ) | 13.06 | (15.56 | ) | 17,232 | 1.52 | (0.63 | ) | 68 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 1 | 0.00 | % | 0.04 | % | 0.07 | % | 0.07 | % | 0.07 | % | |||||||||||||
SA Multi-Managed Growth Portfolio Class 2 | 0.00 | 0.04 | 0.07 | 0.07 | 0.07 | ||||||||||||||||||
SA Multi-Managed Growth Portfolio Class 3 | 0.00 | 0.04 | 0.07 | 0.07 | 0.07 |
See Notes to Financial Statements
395
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 Multi-Managed Moderate Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | % | 0.84 | % | 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 | 1.04 | 53 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 12.61 | 0.08 | (0.32 | ) | (0.24 | ) | (0.17 | ) | (1.03 | ) | (1.20 | ) | 11.17 | (2.64 | ) | 7,539 | 1.12 | 0.66 | 84 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.17 | 0.02 | 5.90 | 5.92 | (0.11 | ) | (1.67 | ) | (1.78 | ) | 15.31 | 52.85 | 10,509 | 1.10 | 0.16 | 70 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 15.31 | 0.02 | (1.48 | ) | (1.46 | ) | (0.03 | ) | (3.08 | ) | (3.11 | ) | 10.74 | (12.79 | ) | 8,781 | 1.09 | 0.16 | 60 | ||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 0.69 | 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 | 0.89 | 53 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 12.59 | 0.06 | (0.32 | ) | (0.26 | ) | (0.15 | ) | (1.03 | ) | (1.18 | ) | 11.15 | (2.81 | ) | 33,790 | 1.27 | 0.50 | 84 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.15 | 0.00 | 5.89 | 5.89 | (0.09 | ) | (1.67 | ) | (1.76 | ) | 15.28 | 52.66 | 46,006 | 1.25 | 0.02 | 70 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 15.28 | 0.00 | (1.47 | ) | (1.47 | ) | (0.01 | ) | (3.08 | ) | (3.09 | ) | 10.72 | (12.88 | ) | 39,047 | 1.24 | 0.01 | 60 | ||||||||||||||||||||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 0.59 | 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 | 0.78 | 53 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 12.58 | 0.05 | (0.33 | ) | (0.28 | ) | (0.13 | ) | (1.03 | ) | (1.16 | ) | 11.14 | (2.92 | ) | 25,456 | 1.37 | 0.41 | 84 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.14 | (0.01 | ) | 5.87 | 5.86 | (0.07 | ) | (1.67 | ) | (1.74 | ) | 15.26 | 52.46 | 35,270 | 1.35 | (0.08 | ) | 70 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 15.26 | (0.01 | ) | (1.47 | ) | (1.48 | ) | — | (3.08 | ) | (3.08 | ) | 10.70 | (12.94 | ) | 29,444 | 1.34 | (0.09 | ) | 60 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 1 | 0.00 | % | 0.03 | % | 0.05 | % | 0.05 | % | 0.05 | % | |||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 2 | 0.00 | 0.03 | 0.05 | 0.05 | 0.05 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Portfolio Class 3 | 0.00 | 0.03 | 0.05 | 0.05 | 0.05 |
See Notes to Financial Statements
396
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 Income/Equity Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.40 | %(1) | 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 | (1)(2) | 1.71 | (1)(2) | 51 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 11.16 | 0.14 | 0.22 | 0.36 | (0.24 | ) | (0.51 | ) | (0.75 | ) | 10.77 | 3.13 | 6,646 | 1.15 | (1)(2) | 1.22 | (1)(2) | 77 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 10.77 | 0.07 | 3.10 | 3.17 | (0.19 | ) | (1.33 | ) | (1.52 | ) | 12.42 | 28.99 | 7,846 | 1.15 | (2) | 0.55 | (2) | 60 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 12.42 | 0.08 | (1.31 | ) | (1.23 | ) | (0.09 | ) | (1.86 | ) | (1.95 | ) | 9.24 | (12.13 | ) | 6,075 | 1.15 | (2) | 0.64 | (2) | 47 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.25 | (1) | 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 | (1)(2) | 1.56 | (1)(2) | 51 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 11.14 | 0.12 | 0.22 | 0.34 | (0.22 | ) | (0.51 | ) | (0.73 | ) | 10.75 | 2.96 | 25,142 | 1.30 | (1)(2) | 1.07 | (1)(2) | 77 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 10.75 | 0.05 | 3.10 | 3.15 | (0.17 | ) | (1.33 | ) | (1.50 | ) | 12.40 | 28.85 | 31,277 | 1.30 | (2) | 0.40 | (2) | 60 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 12.40 | 0.06 | (1.30 | ) | (1.24 | ) | (0.07 | ) | (1.86 | ) | (1.93 | ) | 9.23 | (12.21 | ) | 25,089 | 1.30 | (2) | 0.49 | (2) | 47 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.15 | (1) | 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 | (1)(2) | 1.46 | (1)(2) | 51 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 11.15 | 0.11 | 0.22 | 0.33 | (0.21 | ) | (0.51 | ) | (0.72 | ) | 10.76 | 2.86 | 15,171 | 1.40 | (1)(2) | 0.97 | (1)(2) | 77 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 10.76 | 0.04 | 3.09 | 3.13 | (0.15 | ) | (1.33 | ) | (1.48 | ) | 12.41 | 28.70 | 18,292 | 1.40 | (2) | 0.30 | (2) | 60 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 12.41 | 0.05 | (1.31 | ) | (1.26 | ) | (0.06 | ) | (1.86 | ) | (1.92 | ) | 9.23 | (12.36 | ) | 15,867 | 1.40 | (2) | 0.39 | (2) | 47 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | |||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||
SA Multi-Managed Income/Equity Portfolio Class 2 | 0.00 | 0.00 | 0.00 | ||||||||||||
SA Multi-Managed Income/Equity Portfolio Class 3 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | ||||||||||||||||
Multi-Managed Income/Equity Portfolio Class 1 | 0.03 | % | 0.04 | % | 0.04 | % | 0.04 | % | |||||||||||
Multi-Managed Income/Equity Portfolio Class 2 | 0.03 | 0.04 | 0.04 | 0.04 | |||||||||||||||
Multi-Managed Income/Equity Portfolio Class 3 | 0.03 | 0.04 | 0.04 | 0.04 |
See Notes to Financial Statements
397
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 Income Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.74 | %(1) | 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 | (1)(2) | 2.07 | (1)(2) | 49 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 11.06 | 0.19 | 0.32 | 0.51 | (0.31 | ) | (0.25 | ) | (0.56 | ) | 11.01 | 4.50 | 4,271 | 1.22 | (1)(2) | 1.67 | (1)(2) | 63 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 11.01 | 0.11 | 1.78 | 1.89 | (0.23 | ) | (0.85 | ) | (1.08 | ) | 11.82 | 16.94 | 5,027 | 1.24 | (2) | 0.90 | (2) | 48 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 11.82 | 0.12 | (1.05 | ) | (0.93 | ) | (0.11 | ) | (1.08 | ) | (1.19 | ) | 9.70 | (8.97 | ) | 3,820 | 1.23 | (2) | 1.02 | (2) | 41 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.59 | (1) | 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 | (1)(2) | 1.92 | (1)(2) | 49 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 11.05 | 0.17 | 0.32 | 0.49 | (0.29 | ) | (0.25 | ) | (0.54 | ) | 11.00 | 4.33 | 21,120 | 1.37 | (1)(2) | 1.52 | (1)(2) | 63 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 11.00 | 0.09 | 1.78 | 1.87 | (0.21 | ) | (0.85 | ) | (1.06 | ) | 11.81 | 16.79 | 25,124 | 1.39 | (2) | 0.74 | (2) | 48 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 11.81 | 0.10 | (1.05 | ) | (0.95 | ) | (0.09 | ) | (1.08 | ) | (1.17 | ) | 9.69 | (9.12 | ) | 21,200 | 1.38 | (2) | 0.87 | (2) | 41 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Income Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.49 | (1) | 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 | (1)(2) | 1.82 | (1)(2) | 49 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 11.05 | 0.16 | 0.31 | 0.47 | (0.27 | ) | (0.25 | ) | (0.52 | ) | 11.00 | 4.21 | 12,143 | 1.47 | (1)(2) | 1.41 | (1)(2) | 63 | |||||||||||||||||||||||||||||||||||||
03/31/21 | 11.00 | 0.08 | 1.78 | 1.86 | (0.20 | ) | (0.85 | ) | (1.05 | ) | 11.81 | 16.66 | 14,519 | 1.49 | (2) | 0.65 | (2) | 48 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 11.81 | 0.09 | (1.05 | ) | (0.96 | ) | (0.08 | ) | (1.08 | ) | (1.16 | ) | 9.69 | (9.21 | ) | 12,027 | 1.48 | (2) | 0.77 | (2) | 41 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | |||||||||||||
SA Multi-Managed Income Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||
SA Multi-Managed Income Portfolio Class 2 | 0.00 | 0.00 | 0.00 | ||||||||||||
SA Multi-Managed Income Portfolio Class 3 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | ||||||||||||||||
Multi-Managed Income Portfolio Class 1 | 0.02 | % | 0.03 | % | 0.03 | % | 0.03 | % | |||||||||||
Multi-Managed Income Portfolio Class 2 | 0.02 | 0.03 | 0.03 | 0.03 | |||||||||||||||
Multi-Managed Income Portfolio Class 3 | 0.02 | 0.03 | 0.03 | 0.03 |
See Notes to Financial Statements
398
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(2) | Ratio of net investment income to average net assets(2) | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.49 | %(1) | 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) | 1.47 | (1) | 101 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 11.72 | 0.20 | (1.39 | ) | (1.19 | ) | (0.17 | ) | (0.41 | ) | (0.58 | ) | 9.95 | (10.95 | ) | 12,257 | 0.91 | (1) | 1.68 | (1) | 66 | ||||||||||||||||||||||||||||||||||
03/31/21 | 9.95 | 0.16 | 4.41 | 4.57 | (0.18 | ) | — | (0.18 | ) | 14.34 | 45.93 | 16,639 | 0.86 | 1.29 | 77 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 14.34 | 0.15 | 0.88 | 1.03 | (0.22 | ) | (1.00 | ) | (1.22 | ) | 14.15 | 6.77 | 13,475 | 0.85 | 1.00 | 102 | |||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.33 | (1) | 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) | 1.32 | (1) | 101 | |||||||||||||||||||||||||||||||||||
03/31/20 | 11.72 | 0.18 | (1.39 | ) | (1.21 | ) | (0.15 | ) | (0.41 | ) | (0.56 | ) | 9.95 | (11.09 | ) | 42,497 | 1.06 | (1) | 1.54 | (1) | 66 | ||||||||||||||||||||||||||||||||||
03/31/21 | 9.95 | 0.14 | 4.41 | 4.55 | (0.16 | ) | — | (0.16 | ) | 14.34 | 45.75 | 56,213 | 1.01 | 1.14 | 77 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 14.34 | 0.13 | 0.88 | 1.01 | (0.20 | ) | (1.00 | ) | (1.20 | ) | 14.15 | 6.62 | 46,756 | 1.00 | 0.85 | 102 | |||||||||||||||||||||||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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) | 1.24 | (1) | 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) | 1.23 | (1) | 101 | ||||||||||||||||||||||||||||||||||||
03/31/20 | 11.69 | 0.17 | (1.39 | ) | (1.22 | ) | (0.14 | ) | (0.41 | ) | (0.55 | ) | 9.92 | (11.16 | ) | 97,057 | 1.16 | (1) | 1.42 | (1) | 66 | ||||||||||||||||||||||||||||||||||
03/31/21 | 9.92 | 0.13 | 4.39 | 4.52 | (0.15 | ) | — | (0.15 | ) | 14.29 | 45.59 | 139,730 | 1.11 | 1.04 | 77 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 14.29 | 0.11 | 0.87 | 0.98 | (0.19 | ) | (1.00 | ) | (1.19 | ) | 14.08 | 6.44 | 151,309 | 1.10 | 0.75 | 102 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | |||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | ||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 | 0.10 | % | 0.12 | % | 0.15 | % | 0.15 | % | 0.15 | % | |||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 2 | 0.10 | 0.12 | 0.15 | 0.15 | 0.15 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Portfolio Class 3 | 0.10 | 0.12 | 0.15 | 0.15 | 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 Notes to Financial Statements
399
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 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 | ||||||||||||||||||||||||||||||||||||||||
03/31/20 | 22.70 | (0.04 | ) | (0.71 | ) | (0.75 | ) | — | (2.04 | ) | (2.04 | ) | 19.91 | (4.34 | ) | 301,339 | 0.89 | (0.17 | ) | 44 | |||||||||||||||||||||||||||||||||||
03/31/21 | 19.91 | (0.13 | ) | 12.91 | 12.78 | (0.01 | ) | (2.96 | ) | (2.97 | ) | 29.72 | 64.68 | 364,073 | 0.87 | (0.46 | ) | 32 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 29.72 | (0.17 | ) | 0.87 | 0.70 | — | (6.53 | ) | (6.53 | ) | 23.89 | (1.67 | ) | 348,810 | 0.87 | (0.58 | ) | 30 | |||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 21.84 | (0.07 | ) | (0.67 | ) | (0.74 | ) | — | (2.04 | ) | (2.04 | ) | 19.06 | (4.47 | ) | 34,893 | 1.04 | (0.32 | ) | 44 | |||||||||||||||||||||||||||||||||||
03/31/21 | 19.06 | (0.16 | ) | 12.34 | 12.18 | — | (2.96 | ) | (2.96 | ) | 28.28 | 64.42 | 44,393 | 1.02 | (0.61 | ) | 32 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 28.28 | (0.21 | ) | 0.90 | 0.69 | — | (6.53 | ) | (6.53 | ) | 22.44 | (1.80 | ) | 37,603 | 1.02 | (0.73 | ) | 30 | |||||||||||||||||||||||||||||||||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 21.32 | (0.09 | ) | (0.64 | ) | (0.73 | ) | — | (2.04 | ) | (2.04 | ) | 18.55 | (4.53 | ) | 27,780 | 1.14 | (0.42 | ) | 44 | |||||||||||||||||||||||||||||||||||
03/31/21 | 18.55 | (0.18 | ) | 11.99 | 11.81 | — | (2.96 | ) | (2.96 | ) | 27.40 | 64.18 | 35,574 | 1.12 | (0.71 | ) | 32 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 27.40 | (0.23 | ) | 0.91 | 0.68 | — | (6.53 | ) | (6.53 | ) | 21.55 | (1.90 | ) | 28,813 | 1.12 | (0.83 | ) | 30 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | |||||||
SA T. Rowe Price Growth Stock Portfolio Class 1 | 0.00 | % | |||||
SA T. Rowe Price Growth Stock Portfolio Class 2 | 0.00 | ||||||
SA T. Rowe Price Growth Stock Portfolio Class 3 | 0.00 |
See Notes to Financial Statements
400
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 Large Cap Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | %(1) | 0.49 | %(1) | 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 | (1)(2) | 0.44 | (1)(2) | 45 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 14.36 | 0.03 | (0.18 | ) | (0.15 | ) | (0.07 | ) | (1.88 | ) | (1.95 | ) | 12.26 | (2.43 | ) | 388,579 | 0.76 | (1)(2) | 0.23 | (1)(2) | 69 | ||||||||||||||||||||||||||||||||||
03/31/21 | 12.26 | (0.02 | ) | 8.73 | 8.71 | (0.04 | ) | (2.47 | ) | (2.51 | ) | 18.46 | 71.02 | 450,154 | 0.73 | (2) | (0.13 | )(2) | 45 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 18.46 | (0.05 | ) | 0.93 | 0.88 | — | (5.08 | ) | (5.08 | ) | 14.26 | 0.39 | 450,952 | 0.73 | (2) | (0.29 | )(2) | 42 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1) | 0.34 | (1) | 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 | (1)(2) | 0.28 | (1)(2) | 45 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 14.03 | 0.01 | (0.18 | ) | (0.17 | ) | (0.05 | ) | (1.88 | ) | (1.93 | ) | 11.93 | (2.65 | ) | 25,851 | 0.91 | (1)(2) | 0.08 | (1)(2) | 69 | ||||||||||||||||||||||||||||||||||
03/31/21 | 11.93 | (0.05 | ) | 8.51 | 8.46 | (0.02 | ) | (2.47 | ) | (2.49 | ) | 17.90 | 70.84 | 38,448 | 0.88 | (2) | (0.28 | )(2) | 45 | ||||||||||||||||||||||||||||||||||||
03/31/22 | 17.90 | (0.08 | ) | 0.93 | 0.85 | — | (5.08 | ) | (5.08 | ) | 13.67 | 0.23 | 33,225 | 0.88 | (2) | (0.44 | )(2) | 42 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1) | 0.24 | (1) | 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 | (1)(2) | 0.19 | (1)(2) | 45 | |||||||||||||||||||||||||||||||||||||
03/31/20 | 13.86 | (0.00 | ) | (0.18 | ) | (0.18 | ) | (0.03 | ) | (1.88 | ) | (1.91 | ) | 11.77 | (2.73 | ) | 13,717 | 1.01 | (1)(2) | (0.02 | )(1)(2) | 69 | |||||||||||||||||||||||||||||||||
03/31/21 | 11.77 | (0.07 | ) | 8.39 | 8.32 | — | (2.47 | ) | (2.47 | ) | 17.62 | 70.65 | 20,395 | 0.98 | (2) | (0.38 | )(2) | 45 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 17.62 | (0.10 | ) | 0.93 | 0.83 | — | (5.08 | ) | (5.08 | ) | 13.37 | 0.09 | 18,008 | 0.98 | (2) | (0.54 | )(2) | 42 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | |||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | ||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | ||||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 1 | 0.05 | % | 0.07 | % | 0.08 | % | 0.08 | % | |||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 2 | 0.05 | 0.07 | 0.08 | 0.08 | |||||||||||||||
SA Multi-Managed Large Cap Growth Portfolio Class 3 | 0.05 | 0.07 | 0.08 | 0.08 |
See Notes to Financial Statements
401
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 14.98 | 0.28 | (2.16 | ) | (1.88 | ) | (0.40 | ) | (0.90 | ) | (1.30 | ) | 11.80 | (14.52 | ) | 556,173 | 0.80 | 1.80 | 62 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.80 | 0.28 | 5.56 | 5.84 | (0.26 | ) | (0.85 | ) | (1.11 | ) | 16.53 | 50.22 | 763,236 | 0.79 | 1.94 | 45 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 16.53 | 0.24 | 1.88 | 2.12 | (0.31 | ) | (0.99 | ) | (1.30 | ) | 17.35 | 13.16 | 739,720 | 0.78 | 1.36 | 40 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 14.96 | 0.25 | (2.15 | ) | (1.90 | ) | (0.37 | ) | (0.90 | ) | (1.27 | ) | 11.79 | (14.61 | ) | 17,581 | 0.95 | 1.64 | 62 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.79 | 0.26 | 5.55 | 5.81 | (0.24 | ) | (0.85 | ) | (1.09 | ) | 16.51 | 49.95 | 24,509 | 0.94 | 1.79 | 45 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 16.51 | 0.21 | 1.89 | 2.10 | (0.29 | ) | (0.99 | ) | (1.28 | ) | 17.33 | 13.02 | 23,698 | 0.93 | 1.21 | 40 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 14.96 | 0.24 | (2.16 | ) | (1.92 | ) | (0.35 | ) | (0.90 | ) | (1.25 | ) | 11.79 | (14.71 | ) | 9,330 | 1.05 | 1.54 | 62 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.79 | 0.24 | 5.55 | 5.79 | (0.22 | ) | (0.85 | ) | (1.07 | ) | 16.51 | 49.77 | 11,866 | 1.04 | 1.69 | 45 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 16.51 | 0.19 | 1.89 | 2.08 | (0.27 | ) | (0.99 | ) | (1.26 | ) | 17.33 | 12.90 | 11,283 | 1.03 | 1.11 | 40 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 18.98 | (0.04 | ) | (1.42 | ) | (1.46 | ) | — | (2.07 | ) | (2.07 | ) | 15.45 | (9.65 | ) | 153,668 | 0.95 | (0.19 | ) | 47 | |||||||||||||||||||||||||||||||||||
03/31/21 | 15.45 | (0.13 | ) | 12.47 | 12.34 | — | (2.84 | ) | (2.84 | ) | 24.95 | 79.25 | 199,683 | 0.94 | (0.56 | ) | 65 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 24.95 | (0.13 | ) | (0.16 | ) | (0.29 | ) | — | (7.65 | ) | (7.65 | ) | 17.01 | (5.65 | ) | 167,780 | 0.94 | (0.56 | ) | 60 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 18.02 | (0.06 | ) | (1.32 | ) | (1.38 | ) | — | (2.07 | ) | (2.07 | ) | 14.57 | (9.72 | ) | 17,335 | 1.10 | (0.34 | ) | 47 | |||||||||||||||||||||||||||||||||||
03/31/21 | 14.57 | (0.15 | ) | 11.74 | 11.59 | — | (2.84 | ) | (2.84 | ) | 23.32 | 78.88 | 26,864 | 1.09 | (0.71 | ) | 65 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 23.32 | (0.15 | ) | (0.07 | ) | (0.22 | ) | — | (7.65 | ) | (7.65 | ) | 15.45 | (5.76 | ) | 22,730 | 1.09 | (0.71 | ) | 60 | |||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 17.49 | (0.08 | ) | (1.27 | ) | (1.35 | ) | — | (2.07 | ) | (2.07 | ) | 14.07 | (9.84 | ) | 10,933 | 1.20 | (0.44 | ) | 47 | |||||||||||||||||||||||||||||||||||
03/31/21 | 14.07 | (0.17 | ) | 11.34 | 11.17 | — | (2.84 | ) | (2.84 | ) | 22.40 | 78.69 | 16,308 | 1.19 | (0.81 | ) | 65 | ||||||||||||||||||||||||||||||||||||||
03/31/22 | 22.40 | (0.17 | ) | (0.02 | ) | (0.19 | ) | — | (7.65 | ) | (7.65 | ) | 14.56 | (5.88 | ) | 13,772 | 1.19 | (0.81 | ) | 60 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | |||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Large Cap Value Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
See Notes to Financial Statements
402
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 Mid Cap Value Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | %(1) | 0.85 | %(1) | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 15.70 | 0.20 | (3.54 | ) | (3.34 | ) | (0.22 | ) | (0.88 | ) | (1.10 | ) | 11.26 | (23.20 | ) | 144,314 | 0.96 | 1.25 | 36 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.26 | 0.14 | 8.04 | 8.18 | (0.19 | ) | (0.57 | ) | (0.76 | ) | 18.68 | 73.16 | 220,104 | 0.95 | 0.92 | 29 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 18.68 | 0.13 | 2.10 | 2.23 | (0.19 | ) | (0.92 | ) | (1.11 | ) | 19.80 | 12.04 | 205,935 | 0.95 | 0.67 | 29 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1) | 0.70 | (1) | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 15.65 | 0.17 | (3.53 | ) | (3.36 | ) | (0.19 | ) | (0.88 | ) | (1.07 | ) | 11.22 | (23.34 | ) | 14,917 | 1.11 | 1.09 | 36 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.22 | 0.12 | 8.02 | 8.14 | (0.17 | ) | (0.57 | ) | (0.74 | ) | 18.62 | 73.00 | 23,122 | 1.10 | 0.77 | 29 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 18.62 | 0.10 | 2.10 | 2.20 | (0.17 | ) | (0.92 | ) | (1.09 | ) | 19.73 | 11.89 | 22,040 | 1.10 | 0.51 | 29 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Mid Cap Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1) | 0.60 | (1) | 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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 15.62 | 0.16 | (3.52 | ) | (3.36 | ) | (0.18 | ) | (0.88 | ) | (1.06 | ) | 11.20 | (23.41 | ) | 9,654 | 1.21 | 0.99 | 36 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.20 | 0.10 | 8.01 | 8.11 | (0.15 | ) | (0.57 | ) | (0.72 | ) | 18.59 | 72.87 | 14,260 | 1.20 | 0.67 | 29 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 18.59 | 0.08 | 2.08 | 2.16 | (0.15 | ) | (0.92 | ) | (1.07 | ) | 19.68 | 11.69 | 13,418 | 1.20 | 0.41 | 29 | |||||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1)(2) | 0.19 | (1)(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 | (1)(2) | 0.19 | (1)(2) | 41 | ||||||||||||||||||||||||||||||||||
03/31/20 | 13.06 | 0.03 | (2.95 | ) | (2.92 | ) | (0.03 | ) | (1.11 | ) | (1.14 | ) | 9.00 | (24.88 | ) | 143,176 | 0.96 | (1) | 0.24 | (1) | 65 | ||||||||||||||||||||||||||||||||||
03/31/21 | 9.00 | 0.03 | 8.04 | 8.07 | (0.04 | ) | (1.77 | ) | (1.81 | ) | 15.26 | 91.05 | 230,594 | 0.95 | (1) | 0.26 | (1) | 55 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 15.26 | 0.02 | 0.13 | 0.15 | (0.03 | ) | (1.84 | ) | (1.87 | ) | 13.54 | 0.33 | 205,586 | 0.94 | (1) | 0.15 | (1) | 50 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1)(2) | 0.04 | (1)(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 | (1)(2) | 0.03 | (1)(2) | 41 | ||||||||||||||||||||||||||||||||||
03/31/20 | 12.69 | 0.01 | (2.85 | ) | (2.84 | ) | (0.01 | ) | (1.11 | ) | (1.12 | ) | 8.73 | (24.95 | ) | 10,273 | 1.11 | (1) | 0.10 | (1) | 65 | ||||||||||||||||||||||||||||||||||
03/31/21 | 8.73 | 0.01 | 7.79 | 7.80 | (0.02 | ) | (1.77 | ) | (1.79 | ) | 14.74 | 90.75 | 17,618 | 1.10 | (1) | 0.11 | (1) | 55 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 14.74 | 0.00 | 0.12 | 0.12 | (0.01 | ) | (1.84 | ) | (1.85 | ) | 13.01 | 0.14 | 15,175 | 1.09 | (1) | 0.00 | (1) | 50 | |||||||||||||||||||||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (1)(2) | (0.06 | )(1)(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 | (1)(2) | (0.07 | )(1)(2) | 41 | ||||||||||||||||||||||||||||||||||
03/31/20 | 12.47 | 0.00 | (2.80 | ) | (2.80 | ) | — | (1.11 | ) | (1.11 | ) | 8.56 | (25.05 | ) | 6,905 | 1.21 | (1) | (0.01 | )(1) | 65 | |||||||||||||||||||||||||||||||||||
03/31/21 | 8.56 | 0.00 | 7.62 | 7.62 | (0.00 | ) | (1.77 | ) | (1.77 | ) | 14.41 | 90.49 | 11,334 | 1.20 | (1) | 0.01 | (1) | 55 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 14.41 | (0.01 | ) | 0.12 | 0.11 | — | (1.84 | ) | (1.84 | ) | 12.68 | 0.06 | 9,747 | 1.19 | (1) | (0.10 | )(1) | 50 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(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:
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 1 | 0.00 | % | — | % | — | % | — | % | — | % | |||||||||||||
SA Multi-Managed Mid Cap Value Class 2 | 0.00 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 3 | 0.00 | — | — | — | — | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 1 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||
SA Multi-Managed Small Cap Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
(2) Net of the following expense reimbursements and waivers (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
403
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 8.50 | $ | 0.16 | $ | 1.23 | $ | 1.39 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | $ | 9.69 | 16.37 | %(2) | $ | 577,544 | 0.95 | %(1) | 1.72 | %(1) | 20 | % | |||||||||||||||||||||||||||
03/31/19 | 9.69 | 0.21 | (0.66 | ) | (0.45 | ) | (0.26 | ) | — | (0.26 | ) | 8.98 | (4.44 | ) | 410,320 | 0.99 | (1) | 2.27 | (1) | 22 | |||||||||||||||||||||||||||||||||||
03/31/20 | 8.98 | 0.17 | (1.23 | ) | (1.06 | ) | (0.30 | ) | (0.78 | ) | (1.08 | ) | 6.84 | (14.19 | ) | 265,249 | 1.04 | (1) | 1.88 | (1) | 20 | ||||||||||||||||||||||||||||||||||
03/31/21 | 6.84 | 0.11 | 3.29 | 3.40 | (0.16 | ) | (0.14 | ) | (0.30 | ) | 9.94 | 49.70 | 354,716 | 0.97 | (1) | 1.27 | (1) | 22 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 9.94 | 0.16 | (0.20 | ) | (0.04 | ) | (0.15 | ) | (0.51 | ) | (0.66 | ) | 9.24 | (0.84 | ) | 332,409 | 1.00 | (1) | 1.55 | (1) | 18 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | 8.51 | 0.15 | 1.24 | 1.39 | (0.19 | ) | — | (0.19 | ) | 9.71 | 16.33 | (2) | 21,848 | 1.10 | (1) | 1.54 | (1) | 20 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 9.71 | 0.19 | (0.66 | ) | (0.47 | ) | (0.24 | ) | — | (0.24 | ) | 9.00 | (4.61 | ) | 17,959 | 1.14 | (1) | 2.07 | (1) | 22 | |||||||||||||||||||||||||||||||||||
03/31/20 | 9.00 | 0.14 | (1.22 | ) | (1.08 | ) | (0.28 | ) | (0.78 | ) | (1.06 | ) | 6.86 | (14.30 | ) | 13,398 | 1.19 | (1) | 1.61 | (1) | 20 | ||||||||||||||||||||||||||||||||||
03/31/21 | 6.86 | 0.10 | 3.29 | 3.39 | (0.14 | ) | (0.14 | ) | (0.28 | ) | 9.97 | 49.49 | 19,379 | 1.12 | (1) | 1.15 | (1) | 22 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 9.97 | 0.14 | (0.20 | ) | (0.06 | ) | (0.14 | ) | (0.51 | ) | (0.65 | ) | 9.26 | (1.08 | ) | 16,909 | 1.15 | (1) | 1.41 | (1) | 18 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | 8.48 | 0.14 | 1.23 | 1.37 | (0.18 | ) | — | (0.18 | ) | 9.67 | 16.12 | (2) | 16,719 | 1.20 | (1) | 1.46 | (1) | 20 | |||||||||||||||||||||||||||||||||||||
03/31/19 | 9.67 | 0.18 | (0.65 | ) | (0.47 | ) | (0.23 | ) | — | (0.23 | ) | 8.97 | (4.66 | ) | 13,689 | 1.24 | (1) | 1.96 | (1) | 22 | |||||||||||||||||||||||||||||||||||
03/31/20 | 8.97 | 0.14 | (1.22 | ) | (1.08 | ) | (0.27 | ) | (0.78 | ) | (1.05 | ) | 6.84 | (14.34 | ) | 10,100 | 1.29 | (1) | 1.53 | (1) | 20 | ||||||||||||||||||||||||||||||||||
03/31/21 | 6.84 | 0.09 | 3.28 | 3.37 | (0.13 | ) | (0.14 | ) | (0.27 | ) | 9.94 | 49.35 | 13,369 | 1.22 | (1) | 1.04 | (1) | 22 | |||||||||||||||||||||||||||||||||||||
03/31/22 | 9.94 | 0.13 | (0.20 | ) | (0.07 | ) | (0.13 | ) | (0.51 | ) | (0.64 | ) | 9.23 | (1.18 | ) | 11,304 | 1.25 | (1) | 1.31 | (1) | 18 | ||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 11.63 | 0.30 | 0.44 | 0.74 | (0.38 | ) | — | (0.38 | ) | 11.99 | 6.36 | 866,019 | 0.69 | 2.49 | 45 | ||||||||||||||||||||||||||||||||||||||||
03/31/21 | 11.99 | 0.23 | 0.24 | 0.47 | (0.33 | ) | (0.26 | ) | (0.59 | ) | 11.87 | 3.81 | 948,017 | 0.68 | 1.88 | 41 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 11.87 | 0.20 | (0.72 | ) | (0.52 | ) | (0.21 | ) | (0.28 | ) | (0.49 | ) | 10.86 | (4.61 | ) | 870,018 | 0.68 | 1.68 | 39 | ||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 11.62 | 0.28 | 0.45 | 0.73 | (0.36 | ) | — | (0.36 | ) | 11.99 | 6.27 | 19,442 | 0.84 | 2.34 | 45 | ||||||||||||||||||||||||||||||||||||||||
03/31/21 | 11.99 | 0.22 | 0.22 | 0.44 | (0.31 | ) | (0.26 | ) | (0.57 | ) | 11.86 | 3.58 | 20,138 | 0.84 | 1.73 | 41 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 11.86 | 0.18 | (0.72 | ) | (0.54 | ) | (0.19 | ) | (0.28 | ) | (0.47 | ) | 10.85 | (4.78 | ) | 17,263 | 0.83 | 1.53 | 39 | ||||||||||||||||||||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 11.56 | 0.27 | 0.44 | 0.71 | (0.34 | ) | — | (0.34 | ) | 11.93 | 6.18 | 11,770 | 0.94 | 2.24 | 45 | ||||||||||||||||||||||||||||||||||||||||
03/31/21 | 11.93 | 0.20 | 0.23 | 0.43 | (0.30 | ) | (0.26 | ) | (0.56 | ) | 11.80 | 3.48 | 11,089 | 0.94 | 1.64 | 41 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 11.80 | 0.17 | (0.72 | ) | (0.55 | ) | (0.17 | ) | (0.28 | ) | (0.45 | ) | 10.80 | (4.83 | ) | 9,188 | 0.93 | 1.43 | 39 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 1 | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | 0.04 | % | |||||||||||||
SA Multi-Managed International Equity Portfolio Class 2 | 0.04 | 0.04 | 0.04 | 0.04 | 0.04 | ||||||||||||||||||
SA Multi-Managed International Equity Portfolio Class 3 | 0.04 | 0.04 | 0.04 | 0.04 | 0.04 |
(2) 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
404
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 American Century Inflation Protection Portfolio# Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 9.74 | $ | 0.09 | $ | 0.05 | $ | 0.14 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | $ | 9.64 | 1.42 | % | $ | 364,977 | 0.58 | % | 0.96 | % | 23 | % | |||||||||||||||||||||||||||
03/31/19 | 9.64 | 0.12 | 0.10 | 0.22 | (0.36 | ) | — | (0.36 | ) | 9.50 | 2.40 | 337,714 | 0.60 | 1.24 | 22 | ||||||||||||||||||||||||||||||||||||||||
03/31/20 | 9.50 | 0.21 | 0.02 | 0.23 | (0.04 | ) | — | (0.04 | ) | 9.69 | 2.40 | 259,205 | 0.59 | 2.09 | 31 | ||||||||||||||||||||||||||||||||||||||||
03/31/21 | 9.69 | 0.04 | 0.71 | 0.75 | (0.29 | ) | (0.08 | ) | (0.37 | ) | 10.07 | 7.71 | 252,182 | 0.59 | 0.42 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 10.07 | 0.36 | 0.08 | 0.44 | — | (0.25 | ) | (0.25 | ) | 10.26 | 4.37 | 278,308 | 0.59 | 3.51 | 109 | ||||||||||||||||||||||||||||||||||||||||
SA American Century Inflation Protection Portfolio# Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | 9.66 | 0.07 | 0.04 | 0.11 | (0.21 | ) | — | (0.21 | ) | 9.56 | 1.18 | 412,469 | 0.83 | 0.72 | 23 | ||||||||||||||||||||||||||||||||||||||||
03/31/19 | 9.56 | 0.10 | 0.10 | 0.20 | (0.32 | ) | — | (0.32 | ) | 9.44 | 2.17 | 387,047 | 0.85 | 1.02 | 22 | ||||||||||||||||||||||||||||||||||||||||
03/31/20 | 9.44 | 0.17 | 0.03 | 0.20 | (0.03 | ) | — | (0.03 | ) | 9.61 | 2.14 | 335,450 | 0.84 | 1.74 | 31 | ||||||||||||||||||||||||||||||||||||||||
03/31/21 | 9.61 | 0.02 | 0.71 | 0.73 | (0.27 | ) | (0.08 | ) | (0.35 | ) | 9.99 | 7.51 | 407,229 | 0.84 | 0.18 | 43 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 9.99 | 0.33 | 0.07 | 0.40 | — | (0.25 | ) | (0.25 | ) | 10.14 | 4.00 | 431,710 | 0.84 | 3.23 | 109 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
# See Note 1
(1) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA American Century Inflation Protection Portfolio# Class 1 | 0.05 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.05 | % | |||||||||||||
SA American Century Inflation Protection Portfolio# Class 3 | 0.05 | 0.05 | 0.05 | 0.05 | 0.05 |
See Notes to Financial Statements
405
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 17.63 | 0.32 | (3.39 | ) | (3.07 | ) | (0.10 | ) | (0.30 | ) | (0.40 | ) | 14.16 | (17.99 | ) | 188,851 | 0.73 | 1.77 | 12 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 14.16 | 0.59 | 9.45 | 10.04 | (0.34 | ) | (1.19 | ) | (1.53 | ) | 22.67 | 71.65 | 334,737 | 0.72 | 3.12 | 35 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 22.67 | 0.38 | 2.39 | 2.77 | (0.63 | ) | (1.37 | ) | (2.00 | ) | 23.44 | 12.61 | 339,287 | 0.71 | 1.59 | 14 | |||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 17.69 | 0.30 | (3.41 | ) | (3.11 | ) | (0.09 | ) | (0.30 | ) | (0.39 | ) | 14.19 | (18.14 | ) | 9,512 | 0.88 | 1.62 | 12 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 14.19 | 0.55 | 9.48 | 10.03 | (0.31 | ) | (1.19 | ) | (1.50 | ) | 22.72 | 71.40 | 14,886 | 0.87 | 2.91 | 35 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 22.72 | 0.34 | 2.41 | 2.75 | (0.60 | ) | (1.37 | ) | (1.97 | ) | 23.50 | 12.48 | 14,912 | 0.86 | 1.45 | 14 | |||||||||||||||||||||||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||
03/31/20 | 17.71 | 0.28 | (3.41 | ) | (3.13 | ) | (0.08 | ) | (0.30 | ) | (0.38 | ) | 14.20 | (18.20 | ) | 6,713 | 0.98 | 1.52 | 12 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 14.20 | 0.53 | 9.48 | 10.01 | (0.29 | ) | (1.19 | ) | (1.48 | ) | 22.73 | 71.19 | 9,951 | 0.97 | 2.81 | 35 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 22.73 | 0.32 | 2.40 | 2.72 | (0.58 | ) | (1.37 | ) | (1.95 | ) | 23.50 | 12.32 | 9,288 | 0.96 | 1.35 | 14 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, the total return would have been lower for each period presented. Total return does include expense reimbursement and expense reductions.
(1) Excludes expense reductions. If these expense reductions had been applied, the ratio of expenses to average net assets would have been lower and the ratio of net investment income (loss) to average net assets would have been higher by the following:
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.00 | % | 0.00 | % | 0.00 | % | 0.01 | % | 0.00 | % | |||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.00 | 0.00 | 0.00 | 0.01 | 0.00 |
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Columbia Focused Value Portfolio Class 1 | 0.32 | % | 0.32 | % | 0.32 | % | 0.32 | % | 0.31 | % | |||||||||||||
SA Columbia Focused Value Portfolio Class 2 | 0.32 | 0.32 | 0.32 | 0.32 | 0.31 | ||||||||||||||||||
SA Columbia Focused Value Portfolio Class 3 | 0.32 | 0.32 | 0.32 | 0.32 | 0.31 |
See Notes to Financial Statements
406
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 Allocation Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 13.40 | $ | 0.18 | $ | 1.36 | $ | 1.54 | $ | (0.16 | ) | $ | (0.33 | ) | $ | (0.49 | ) | $ | 14.45 | 11.50 | % | $ | 153 | 0.15 | % | 1.27 | % | 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 | 2.32 | 20 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 13.26 | 0.18 | (1.13 | ) | (0.95 | ) | (0.01 | ) | (0.41 | ) | (0.42 | ) | 11.89 | (7.61 | ) | 136 | 0.15 | 1.29 | 26 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.89 | 0.23 | 5.31 | 5.54 | (0.16 | ) | (0.64 | ) | (0.80 | ) | 16.63 | 46.76 | 228 | 0.13 | 1.57 | 29 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 16.63 | 0.07 | 0.63 | 0.70 | (0.26 | ) | (0.75 | ) | (1.01 | ) | 16.32 | 3.85 | 5,436 | 0.12 | 0.45 | 10 | |||||||||||||||||||||||||||||||||||||||
SA Allocation Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 1.14 | 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 | 1.55 | 20 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 13.24 | 0.15 | (1.14 | ) | (0.99 | ) | (0.00 | ) | (0.41 | ) | (0.41 | ) | 11.84 | (7.90 | ) | 192,198 | 0.40 | 1.09 | 26 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 11.84 | 0.19 | 5.28 | 5.47 | (0.13 | ) | (0.64 | ) | (0.77 | ) | 16.54 | 46.37 | 319,854 | 0.38 | 1.26 | 29 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 16.54 | 0.16 | 0.49 | 0.65 | (0.23 | ) | (0.75 | ) | (0.98 | ) | 16.21 | 3.58 | 394,425 | 0.37 | 0.92 | 10 | |||||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | 11.24 | 0.18 | 0.90 | 1.08 | (0.18 | ) | (0.39 | ) | (0.57 | ) | 11.75 | 9.64 | 147 | 0.11 | 1.51 | 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 | 1.42 | 18 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 10.07 | 0.18 | (0.60 | ) | (0.42 | ) | (0.18 | ) | (0.39 | ) | (0.57 | ) | 9.08 | (4.96 | ) | 190 | 0.12 | 1.67 | 22 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 9.08 | 0.18 | 3.23 | 3.41 | — | (0.47 | ) | (0.47 | ) | 12.02 | 37.59 | 256 | 0.12 | 1.65 | 23 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 12.02 | 0.16 | 0.19 | 0.35 | (0.25 | ) | (0.70 | ) | (0.95 | ) | 11.42 | 2.49 | 257 | 0.11 | 1.30 | 10 | |||||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Growth Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 1.29 | 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 | 1.67 | 18 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 10.07 | 0.13 | (0.58 | ) | (0.45 | ) | (0.15 | ) | (0.39 | ) | (0.54 | ) | 9.08 | (5.19 | ) | 403,234 | 0.37 | 1.25 | 22 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 9.08 | 0.15 | 3.23 | 3.38 | — | (0.47 | ) | (0.47 | ) | 11.99 | 37.26 | 530,277 | 0.37 | 1.38 | 23 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 11.99 | 0.13 | 0.18 | 0.31 | (0.22 | ) | (0.70 | ) | (0.92 | ) | 11.38 | 2.18 | 525,534 | 0.36 | 1.05 | 10 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.
(1) Does not include underlying fund expenses that the Portfolios bear indirectly.
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Allocation Growth Portfolio Class 1 | 0.01 | % | 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 | 0.01 | 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 |
See Notes to Financial Statements
407
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 Allocation Moderate Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | $ | 11.12 | $ | 0.19 | $ | 0.75 | $ | 0.94 | $ | (0.19 | ) | $ | (0.26 | ) | $ | (0.45 | ) | $ | 11.61 | 8.40 | % | $ | 113 | 0.12 | % | 1.61 | % | 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 | 1.77 | 19 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 10.20 | 0.21 | (0.49 | ) | (0.28 | ) | (0.18 | ) | (0.34 | ) | (0.52 | ) | 9.40 | (3.31 | ) | 90 | 0.13 | 1.90 | 26 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 9.40 | 0.19 | 2.79 | 2.98 | — | (0.45 | ) | (0.45 | ) | 11.93 | 31.78 | 117 | 0.13 | 1.72 | 24 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 11.93 | 0.18 | 0.06 | 0.24 | (0.27 | ) | (0.64 | ) | (0.91 | ) | 11.26 | 1.57 | 142 | 0.12 | 1.46 | 12 | |||||||||||||||||||||||||||||||||||||||
SA Allocation Moderate Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 1.35 | 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 | 1.79 | 19 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 10.20 | 0.14 | (0.45 | ) | (0.31 | ) | (0.16 | ) | (0.34 | ) | (0.50 | ) | 9.39 | (3.64 | ) | 256,715 | 0.38 | 1.33 | 26 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 9.39 | 0.16 | 2.79 | 2.95 | — | (0.45 | ) | (0.45 | ) | 11.89 | 31.50 | 319,388 | 0.38 | 1.46 | 24 | ||||||||||||||||||||||||||||||||||||||||
03/31/22 | 11.89 | 0.13 | 0.08 | 0.21 | (0.24 | ) | (0.64 | ) | (0.88 | ) | 11.22 | 1.35 | 312,112 | 0.37 | 1.09 | 12 | |||||||||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio Class 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
03/31/18 | 10.71 | 0.20 | 0.48 | 0.68 | (0.19 | ) | (0.37 | ) | (0.56 | ) | 10.83 | 6.39 | 109 | 0.12 | 1.77 | 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 | 2.29 | 22 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 9.66 | 0.17 | (0.22 | ) | (0.05 | ) | (0.18 | ) | (0.20 | ) | (0.38 | ) | 9.23 | (0.78 | ) | 146 | 0.14 | 1.76 | 31 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 9.23 | 0.23 | 1.92 | 2.15 | (0.15 | ) | (0.39 | ) | (0.54 | ) | 10.84 | 23.42 | 137 | 0.13 | 2.09 | 31 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 10.84 | 0.16 | (0.11 | ) | 0.05 | (0.13 | ) | (0.36 | ) | (0.49 | ) | 10.40 | 0.20 | 173 | 0.13 | 1.50 | 14 | ||||||||||||||||||||||||||||||||||||||
SA Allocation Balanced Portfolio Class 3 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 1.53 | 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 | 2.01 | 22 | |||||||||||||||||||||||||||||||||||||||
03/31/20 | 9.66 | 0.15 | (0.22 | ) | (0.07 | ) | (0.16 | ) | (0.20 | ) | (0.36 | ) | 9.23 | (1.02 | ) | 206,134 | 0.39 | 1.52 | 31 | ||||||||||||||||||||||||||||||||||||
03/31/21 | 9.23 | 0.17 | 1.97 | 2.14 | (0.13 | ) | (0.39 | ) | (0.52 | ) | 10.85 | 23.25 | 257,105 | 0.38 | 1.61 | 31 | |||||||||||||||||||||||||||||||||||||||
03/31/22 | 10.85 | 0.13 | (0.12 | ) | 0.01 | (0.10 | ) | (0.36 | ) | (0.46 | ) | 10.40 | (0.11 | ) | 264,518 | 0.38 | 1.17 | 14 |
* Calculated based upon average shares outstanding
** Total return does not reflect expenses that apply to the separate accounts of the Life Companies. If such expenses had been included, total returns would have been lower for each period presented. Total return does include expense reimbursements and expense reductions.
(1) Does not include underlying fund expenses that the Portfolios bear indirectly.
(2) Net of the following expense reimbursements and waivers (based on average net assets):
03/31/18 | 03/31/19 | 03/31/20 | 03/31/21 | 03/31/22 | |||||||||||||||||||
SA Allocation Moderate Portfolio Class 1 | 0.01 | % | 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 | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | ||||||||||||||||||
SA Allocation Balanced Portfolio Class 3 | 0.04 | 0.01 | 0.01 | 0.01 | 0.01 |
See Notes to Financial Statements
408
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of Seasons Series Trust and Shareholders of each of the nineteen portfolios listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of each of the portfolios listed in the table below (nineteen portfolios (each a "Portfolio" and collectively the "Portfolios") constituting Seasons Series Trust) as of March 31, 2022, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period ended March 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended March 31, 2022. In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of March 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended March 31, 2022 and each of the financial highlights for each of the five years in the period ended March 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
Seasons Series Trust
SA Allocation Balanced Portfolio
SA Allocation Growth Portfolio
SA Allocation Moderate Growth Portfolio
SA Allocation Moderate Portfolio
SA American Century Inflation Protection Portfolio
SA Columbia Focused Value Portfolio
SA Multi-Managed Diversified Fixed Income Portfolio
SA Multi-Managed Growth Portfolio
SA Multi-Managed Income/Equity Portfolio
SA Multi-Managed Income Portfolio
SA Multi-Managed International Equity 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
SA Multi-Managed Moderate Growth Portfolio
SA Multi-Managed Small Cap Portfolio
SA Putnam Asset Allocation Diversified Growth Portfolio
SA T. Rowe Price Growth Stock Portfolio
Basis for Opinions
These financial statements are the responsibility of the Portfolios' management. Our responsibility is to express an opinion on the Portfolios' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) ("PCAOB") and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test
409
SEASONS SERIES TRUST
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM (continued)
basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022 by correspondence with the custodian, transfer agents, brokers and selling or agent banks; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Houston, Texas
May 26, 2022
We have served as the auditor of one or more investment companies in the SunAmerica annuity family of funds since at least 1986. We have not been able to determine the specific year we began serving as auditor.
410
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited)
At a meeting held on October 5, 2021, the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved with respect to each Portfolio the continuation of the Investment Management and Advisory Agreement between SunAmerica Asset Management LLC ("SunAmerica" or the "Adviser") and the Trust (the "Advisory Agreement") and the continuation of each Subadvisory Agreement between SunAmerica and each of the following subadvisers (the "Subadvisory Agreements"): American Century Investment Management, Inc. ("American Century"), Columbia Management Investment Advisers, LLC ("Columbia"), Goldman Sachs Asset Management, L.P. ("GSAM"), J.P. Morgan Investment Management Inc. ("JPMorgan"), Massachusetts Financial Services Company ("MFS"), Morgan Stanley Investment Management Inc. ("MSIM"), PineBridge Investments, LLC ("PineBridge"), Putnam Investment Management, LLC ("Putnam"), Schroder Investment Management North America Inc. ("SIMNA"), T. Rowe Price Associates, Inc. ("T. Rowe Price") and Wellington Management Company, LLP ("Wellington") (collectively referred to as the "Subadvisers" and each a "Subadviser"). The Advisory Agreement and Subadvisory Agreements are collectively referred to as the "Advisory Contracts."
In connection with the approval of the Advisory Contracts, the Board received materials related to certain factors used in its consideration whether to renew or approve the Advisory Contracts. Those factors included:
(1) the requirements of the Trust in the areas of investment supervisory and administrative services;
(2) the nature, extent and quality of the investment advisory, administrative, operational and compliance services provided by SunAmerica, including a review of the investment performance of the Portfolios and oversight of the Subadvisers;
(3) the size and structure of the investment advisory fee and any other material payments to the Adviser and Subadvisers and, in connection therewith, a review of the costs of services provided and the profits realized by the Adviser and its affiliates from the relationship with the Trust;
(4) the expenses paid by each of the Portfolios, including their total operating expenses and any applicable expense limitation;
(5) the extent to which the Adviser realizes economies of scale and shares them with the Trust;
(6) the organizational capability, resources, personnel and financial condition of the Adviser and Subadvisers and their affiliates; and
(7) the fees paid by the Adviser to the Subadvisers for managing the Portfolios of the Trust.
In addition, the Board considered (a) the historical relationship between the Trust and SunAmerica; (b) the possibility that services of the type required by the Trust might be better obtained from other organizations; (c) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; and (d) the reasonableness of the amount of the fee retained by the Adviser in light of the services provided by the Adviser and the Subadvisers.
The Independent Trustees were separately represented by counsel that is independent of SunAmerica in connection with their consideration of approval of the Advisory Contracts. The matters discussed below were also considered separately by the Independent Trustees in executive sessions during which their independent counsel provided guidance to the Independent Trustees.
The Board received information regarding the Trust's advisory and subadvisory fees compared to advisory and subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable (respectively, the "Expense Group/Universe" and the "Subadvised Expense Group/Universe"), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered the expenses and performance of SunAmerica and the Subadvisers with
411
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
respect to accounts and mutual funds managed by each that have comparable investment objectives and strategies to each of the Portfolios that they manage.
Nature, Extent and Quality of Services.
The Board, including the Independent Trustees, considered the nature, quality and extent of services provided by SunAmerica and each of the Subadvisers. In making its evaluation, the Board considered that SunAmerica acts as adviser for each Portfolio, manages the investment of portions of certain Portfolios' assets, manages the daily business affairs of the Trust, obtains and evaluates economic, statistical and financial information to formulate and implement investment policies, and provides oversight with respect to the daily management of certain Portfolios' assets, or a portion thereof, allocated to the Subadvisers, subject to the Trustees' oversight and control. It was also noted that SunAmerica's advisory fees compensate SunAmerica for services such as monitoring Portfolio performance, selecting and replacing Subadvisers, determining asset allocations among Portfolios with multiple Subadvisers and ensuring that the Subadvisers' styles adhere to the prospectus and statement of additional information as well as other administrative, compliance and legal services.
The Board noted that SunAmerica is responsible for overseeing the performance of services by the Trust's custodian, transfer agent and dividend disbursing agent. The Board also noted that SunAmerica is responsible for the financial, legal and accounting records required to be maintained by each Portfolio and for the administration of the Trust's business affairs, including providing such office space, bookkeeping, accounting, clerical, secretarial and administrative services (exclusive of, and in addition to, any such service provided by any others retained by the Trust or any Portfolio) and such executive and other personnel as may be necessary for the operations of each Portfolio. The Board considered that SunAmerica monitors and reviews the activities of third-party service providers that may provide additional administrative services.
In addition, the Board considered the key personnel of SunAmerica that are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios. The Board also considered the compensation program for SunAmerica's investment professionals.
With respect to the Subadvisers, the Board noted that the Subadvisers are responsible for providing investment management services on a day-to-day basis. In such role, each Subadviser (i) determines the securities to be purchased or sold and executes such documents on behalf of the Portfolios they manage as may be necessary in connection therewith; (ii) provides SunAmerica with records concerning their activities; and (iii) renders regular reports to SunAmerica and to officers and Trustees of the Trust concerning their discharge of the foregoing responsibilities. The Board reviewed each Subadviser's history, structure and size, and investment experience. The Board considered each Subadviser's personnel who are involved in the investment management, administration, compliance and risk management activities with respect to the Portfolios, as well as current and projected staffing levels and compensation practices. The Board was informed that in management's judgment, each of the Subadvisers has the size, viability and resources to attract and retain highly qualified investment professionals.
The Board reviewed the qualifications, background and responsibilities of SunAmerica's staff and each of the Subadviser's staff who is responsible for providing investment management services to the Portfolios and other key personnel of SunAmerica in addition to current and projected staffing levels and compensation practices.
The Board considered SunAmerica's reputation and long-standing relationship with the Portfolios and considered the benefit to shareholders of investing in funds that are part of a family of funds offering a variety of types of mutual funds and shareholder services. The Board also considered the Trust's relationship with affiliated life insurance companies that offer the Portfolios through variable annuity and variable life insurance products. The Board considered SunAmerica's experience in providing management and investment advisory and administrative services to advisory clients. The Board also considered SunAmerica's code of ethics and its risk management process, and that SunAmerica has developed internal procedures, adopted by the Board, for monitoring compliance with the investment objectives, policies and restrictions of the Portfolios as set forth in the Portfolios' registration statement.
412
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
The Board also reviewed and considered SunAmerica's and each Subadviser's compliance and regulatory history, including information about whether any were involved in any litigation, regulatory actions or investigations that could impair their ability to serve as an adviser or subadviser to the Portfolios. The Board considered SunAmerica's and the Subadvisers' risk assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on SunAmerica's or the Subadvisers' ability to provide services to the Trust.
The Board concluded that it was satisfied with the nature, quality and extent of the services provided by or to be provided by SunAmerica and each Subadviser and that there was a reasonable basis on which to conclude that they would provide high quality services to the Trust.
Portfolio Fees and Expenses; Investment Performance.
The Board, including the Independent Trustees, received and reviewed information regarding the Portfolios' fees (actual or contractual management fees, subadvisory fees, non-management fees, and 12b-1 fees, if applicable), and expense ratios compared against such fees and expense ratios of the Expense Group/Universe for each Portfolio. Such fees and expense ratios were compared both before and after expense waivers, caps and reimbursements, if any. It was noted that with respect to subadvisory fees, SunAmerica negotiates such fees at arm's length. The Board also considered that the subadvisory fees are paid by SunAmerica out of its advisory fee and not by the Portfolios, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid by SunAmerica and the amount of the management fees which it retained and determined that these amounts were reasonable in light of the services performed by SunAmerica and the Subadvisers, respectively.
To assist in analyzing the reasonableness of the advisory and subadvisory fees, the Board received a report prepared independently by Broadridge Financial Solutions, Inc. ("Broadridge") as well as information provided by management. The Board also considered advisory fees received by the Adviser and the Subadvisers with respect to other mutual funds and accounts with similar investment strategies to the Portfolios each advises. Based on the information from Broadridge, the Board reviewed detailed information about peer groups of comparable mutual funds based on various factors such as the type of fund (those underlying variable insurance products), comparable investment objectives and strategies, among other factors. Referred to herein are Expense Groups and Performance Groups/Universes that represent those peer groups of funds used to compare expenses and performance, respectively.
The Trustees noted that expense information as a whole was useful in assessing whether SunAmerica and the Subadvisers were providing services at a cost that was competitive with other similar funds. The performance information included annualized returns for the period since inception and the one-, three-, five- and ten-year periods, as applicable, ended June 30, 2021 from Broadridge and performance information as of June 30, 2021 from management. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to each Portfolio's overall performance, performance relative to each Portfolio's relevant benchmark and Morningstar and/or Broadridge peer groups, as applicable, and each Subadviser's performance within a Portfolio. The Board considered that management makes particular note of Portfolios that may require closer monitoring or potential corrective action by the Board.
As part of its review of the Portfolios' fees and expenses and performance, the Board considered information, including but not limited to the following expense and performance information, provided by Broadridge and management in making its determinations. It was noted that actual advisory and subadvisory fees and total expenses were calculated as of each Portfolio's most recent fiscal year end, which may vary among the Portfolio's Expense Group/Universe. The Board considered management's discussion of the Trust's multi-manager subadvisory management structure and its explanation that the structure results in increased advisory fees and expenses to these Portfolios but noted the potential benefits to this type of multi-manager strategy where the Portfolios have access to the expertise of multiple subadvisers and the varied investment techniques employed by each subadviser in connection with a Portfolio's investment objectives/strategies.
413
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
• SA Allocation Balanced Portfolio (advised by SunAmerica). The Board considered that the Portfolio's actual management fees and total expenses were above the median of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also noted that the Portfolio performed above the medians of its Performance Group for the same periods. It was noted that SunAmerica assumed full control of the Portfolio in 2015.
• SA Allocation Growth Portfolio (advised by SunAmerica). The Board considered that the Portfolio's actual management fees were slightly above and total expenses were below the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets.
The Board considered that the Portfolio performed above its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed at or above the medians of its Performance Group for the one-, three- and five-year periods and slightly below the median for the ten-year period. It was noted that SunAmerica assumed full control of the Portfolio in 2015.
• SA Allocation Moderate Portfolio (advised by SunAmerica). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets.
The Board considered that the Portfolio performed above its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed at or above the medians of its Performance Group for the three-, five- and ten-year periods and slightly below the median for the one-year period. The Board noted that SunAmerica assumed full control of the Portfolio in 2015.
• SA Allocation Moderate Growth Portfolio (advised by SunAmerica). The Board considered that the Portfolio's actual management fees were slightly above and total expenses were below the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and noted that SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.09% of average daily net assets.
The Board considered that the Portfolio performed below its benchmark index for the one- and ten-year periods and above that index for the three- and five-year periods. The Board also considered that the Portfolio performed below the medians of its Performance Group for one-, five- and ten-year periods and above the median for the three-year period. The Board took into consideration management's discussion of the Portfolio's performance and noted that SunAmerica assumed full control of the Portfolio in 2015.
• SA Columbia Focused Value Portfolio (subadvised by Columbia). The Board considered that the Portfolio's actual management fees and total expenses were below the medians of its Expense Group. The Board took account of management's discussion of the Portfolio's fees and noted that the SunAmerica has contractually agreed to waive part of its investment advisory fee so that the advisory fee payable by the Portfolio to SunAmerica equals 0.67% of average daily net assets.
414
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
The Board also considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio performed above the medians of the Performance Group for the same periods.
• SA Multi-Managed Diversified Fixed Income Portfolio (subadvised by PineBridge and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board also considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio performed below the medians of its Performance Group for the same periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that the Adviser reallocated the directly-managed component of the Portfolio among the Subadvisers in 2013 as part of a restructuring of the Portfolio.
• SA Multi-Managed Growth Portfolio (components subadvised by J.P. Morgan, MSIM, and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that the Portfolio is a multi-fund strategy and its costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SunAmerica is currently waiving 7 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was above the medians of the Portfolio's Performance Group for same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
• SA Multi-Managed Income Portfolio (components subadvised by MSIM and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SunAmerica is currently waiving 3 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also noted that performance was above the medians of its Performance Group for the three-, five- and ten-year periods and below the median for the one-year period. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
• SA Multi-Managed Income/Equity Portfolio (components subadvised by MSIM and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional expenses of multi-manager asset allocation and administration. The Board noted that SunAmerica is currently waiving 4 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio performed above its benchmark index for the one-, three-, five- and ten-year periods. The Board further considered that the Portfolio performed at the medians of its Performance Universe for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
• SA Multi-Managed International Equity Portfolio (advised/subadvised by SunAmerica, SIMNA and T. Rowe Price). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SunAmerica is currently waiving 4 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
415
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board noted that the Portfolio performed at the medians of its Performance Universe for the same periods. The Board considered that the Portfolio is managed by multiple Subadvisers and noted that management replaced one of the Subadvisers in 2014 and another in 2017.
• SA Multi-Managed Large Cap Growth Portfolio (advised/subadvised by SunAmerica, GSAM and MSIM). The Board considered that the Portfolio's actual management fees were slightly above and total expenses were at the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and noted that SunAmerica is currently waiving 7 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio performed above its benchmark index for the one-, three- and ten-year periods but slightly below that index for the five-year period. The Board also considered that performance was above the median of its Performance Group for the one- and three-year periods but below the medians for the five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted the narrower range of underperformance respective to the benchmark and medians. The Board further noted that the Portfolio is managed by multiple Subadvisers and that SunAmerica replaced one Subadviser in May 2019.
• SA Multi-Managed Large Cap Value Portfolio (advised/subadvised by SunAmerica, American Century and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was below the medians of its Performance Group for the one- and ten-year periods and at or above the medians for the three- and five-year periods. The Board considered that the Portfolio is managed by multiple Subadvisers. The Board took into consideration management's discussion of the Portfolio's performance and noted that management has subjected the Portfolio to heightened monitoring and added American Century to replace a Subadviser in 2015.
• SA Multi-Managed Mid Cap Growth Portfolio (advised/subadvised by SunAmerica, T. Rowe Price and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed above its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was above the medians of the Portfolio's Performance Group for the three-, five- and ten-year periods and slightly below the median for the one-year period.
• SA Multi-Managed Mid Cap Value Portfolio (advised/subadvised by SunAmerica, T. Rowe Price and MFS). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one- and ten-year periods and above that index for the three- and five-year periods. The Board also considered that performance was below the medians of the Portfolio's Performance Group for the one-, five- and ten-year periods and at the median for the three-year period. The Board took into consideration management's discussion of the Portfolio's performance and noted that T. Rowe Price had replaced one of the Subadvisers in February 2017.
• SA Multi-Managed Moderate Growth Portfolio (components subadvised by J.P. Morgan, MSIM and Wellington). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board considered management's report that, as a multi-fund strategy, the Portfolio's costs reflect the additional
416
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
expenses of multi-manager asset allocation and administration. The Board noted that SunAmerica is currently waiving 5 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio outperformed its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that performance was above the medians of the Portfolio's Performance Group for the same periods. The Board noted that the Portfolio has multiple Subadvisers and that two Subadvisers were removed by management in 2014 and another in May 2019 due to performance.
• SA Multi-Managed Small Cap Portfolio (advised/subadvised by SunAmerica, J.P. Morgan and SIMNA). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board further considered that the Portfolio performed below the medians of its Performance Group for the one- and ten-year periods and above the medians for the three- and five-year periods. The Board took into consideration management's discussion of the Portfolio's performance and noted that SIMNA had replaced one of the Subadvisers in November 2019.
• SA Putnam Asset Allocation Diversified Growth Portfolio (subadvised by Putnam). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses and noted that SunAmerica is currently waiving 15 basis points of the advisory fee pursuant to a contractual fee waiver agreement.
The Board considered that the Portfolio performed above its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed above the median of its Performance Group for the one-year period but below the medians for the three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance.
• SA T. Rowe Price Growth Stock Portfolio (subadvised by T. Rowe Price). The Board considered that the Portfolio's actual management fees and total expenses were above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and expenses.
The Board considered that the Portfolio outperformed its benchmark index for the one-, five- and ten-year periods but performed below that index for the three-year period. The Board also considered that the Portfolio's performed above the median of its Performance Group for the one-year period and below the medians for the three-, five- and ten-year periods. The Board took into consideration management's discussion of the Portfolio's performance.
• SA Wellington Real Return Portfolio (subadvised by Wellington). The Board considered that the Portfolio's actual management fees and total expenses were slightly above the medians of its Expense Group. The Board took into consideration management's discussion of the Portfolio's fees and noted that SunAmerica was voluntarily waiving 5 basis points of the advisory fee.
The Board considered that the Portfolio performed below its benchmark index for the one-, three-, five- and ten-year periods. The Board also considered that the Portfolio performed below the medians of the Portfolio's Performance Group for the same periods. The Board took into consideration management's discussion of the Portfolio's performance.
The Trustees noted that expense and performance information as a whole was useful in assessing whether the Subadvisers were providing services at a cost that was competitive with other similar funds.
417
SEASONS SERIES TRUST
APPROVAL OF ADVISORY AND SUBADVISORY AGREEMENTS
March 31, 2022 (unaudited) (continued)
Cost of Services & Benefits Derived.
With respect to indirect costs and benefits, the Board was informed, based on management's judgment, that any indirect costs incurred by SunAmerica in connection with rendering investment advisory services to the Trust were inconsequential to the analysis of the adequacy of the advisory fees, and that any collateral benefits derived as a result of providing advisory services to the Trust did not impact the reasonableness of the advisory fee. The Board considered that SunAmerica is paid an administrative services fee of up to 0.04% of the average daily net asset value of the Trust's Portfolios pursuant to an arrangement between SunAmerica and certain affiliated life insurance companies (the "Life Companies"). The Board considered that the Trust also pays VALIC Retirement Services Company, an affiliate of SunAmerica, a fee for the provision of recordkeeping and shareholder services to contract owners and participants.
In connection with benefits derived from the Trust, the Board considered that the Life Companies may benefit as a result of their direct ownership of the Portfolios' shares, which amounts may be significant. It was noted that in calculating their corporate income tax liability as insurance companies, the Life Companies, as corporate mutual fund shareholders, may exclude a portion of the ordinary dividends paid by underlying U.S. equities in the Portfolios to the same extent the Portfolios receive certain dividends with respect to shares of stock issued by domestic corporations, subject to applicable tax laws and regulations. In addition, the Life Companies may also rely on foreign tax credits with respect to certain foreign securities held by applicable Portfolios. The Board considered that the Life Companies receive financial support from SunAmerica and certain Subadvisers for distribution-related activities, including administrative, marketing and other servicing activities, including payments to help offset costs for marketing activities and training (including training of registered representatives of AIG Capital Services, Inc., an affiliate of SunAmerica) to support sales of the Portfolios, as well as occasional gifts, entertainment or other compensation as incentives. It was noted that such payments may be derived from 12b-1 (service) fees that are deducted directly from the assets of the Portfolios or from investment management fees received by SunAmerica or the Subadvisers. In addition, the Board considered that, because shares of the Portfolios are offered as investment options through variable annuity or life contracts issued by the Life Companies (the "Variable Contracts"), the investment objectives, strategies and performance of the Portfolios may positively or negatively impact a Life Company's ability to hedge and the related hedging costs associated with guarantees that the Life Company may provide as the issuer of the Variable Contracts.
The Board concluded that any benefits that SunAmerica and its affiliates could be expected to receive with regard to providing investment advisory and other services to the Portfolios were reasonable.
Profitability and Economies of Scale.
The Board received information related to SunAmerica's profitability as well as the profitability of certain affiliates with respect to the services they provide to the Trust's Portfolios. The profitability analysis reflected the relationship between SunAmerica and the affiliated Life Companies. The Board considered that, pursuant to administrative services agreements between SunAmerica and each of the Life Companies, SunAmerica pays a fee to each Life Company at an annual rate of 25 basis points of the average daily net assets of the Portfolios that are held by the corresponding separate accounts of each Life Company, in exchange for certain administrative services provided to the Portfolios. The Board determined that the profitability to SunAmerica in connection with its relationship to the Trust was reasonable. In addition, the Board considered the Investment Management Profitability Analysis prepared by an independent information service, Broadridge, and noted that SunAmerica's profitability was generally in the range of the profitability of companies contained in the report.
It was noted that the subadvisory fees paid pursuant to the Subadvisory Agreements are paid by SunAmerica out of the advisory fees that it receives under the Advisory Agreement. The Trustees also relied on the ability of SunAmerica to negotiate the Subadvisory Agreements and the fees thereunder at arm's length. It was noted that SunAmerica reviewed a number of factors in determining appropriate subadvisory fees payable to each Subadviser. Such factors include review of (1) style class peers primarily within the variable annuity universe; (2) key competitor analysis; (3) portfolio analysis; and (4) special considerations such as competitor subaccount characteristics, uniqueness of the product and the manager's prestige. The Board
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SEASONS SERIES TRUST
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March 31, 2022 (unaudited) (continued)
determined that the profitability to each Subadviser in connection with its relationship with the respective Portfolios is therefore not a material factor in their consideration of the Subadvisory Agreements.
The Board also received and considered information regarding the ability of the Portfolios to achieve economies of scale. It was noted that the advisory fees of nearly all Portfolios contain breakpoints that will reduce the fees paid by a Portfolio as its assets increase. The Board also considered that SunAmerica has voluntarily agreed to waive fees in certain instances, which was noted earlier in the discussion of fees. It was noted that as a result of being part of a complex of mutual funds advised or administered by SunAmerica, the Trust is able to share common resources and may share certain expenses, which could result in a Portfolio experiencing lower expenses than it otherwise would achieve if the Trust were a stand-alone entity. The Board considered that management believed that the Portfolios' existing fee schedules and the fee schedules for those Portfolios for which management proposed reductions or waivers reflect the economies of scale inherent in providing investment advice to a Portfolio in its particular asset category and asset size. The Board concluded that any potential economies of scale are currently being shared between the Trust and SunAmerica in an appropriate manner.
The Board considered that certain Subadvisory Agreements also contain breakpoints in the fee schedules, however, since SunAmerica, and not the Trust, is responsible for the payment of the fees pursuant to the Subadvisory Agreements, the Trust does not directly benefit from any reduction in subadvisory fee rates. For similar reasons as stated above with respect to the Subadvisers' profitability and the costs of their providing services, the Board concluded that the potential for economies of scale in the Subadvisers' management of the Portfolios are not a material factor in its consideration at this time.
Terms of Advisory Contracts.
The Board, including the Independent Trustees, reviewed the terms of the Advisory Contracts including the duties and responsibilities undertaken by SunAmerica and the Subadvisers as discussed above. The Board considered that SunAmerica pays all of its own expenses in connection with the performance of its duties, as well as the salaries, fees and expenses of the officers of the Trust who are employees of SunAmerica. The Board also reviewed the terms of payment for services rendered and noted that SunAmerica compensates the Subadvisers out of the fees it receives from the Trust. The Board noted that each Subadvisory Agreement provides that the Subadviser will pay all of its own expenses in connection with the performance of its duties as well as the cost of maintaining the staff and personnel as necessary for it to perform its obligations. The Board also considered other terms and conditions of the Advisory Contracts.
Conclusions.
In reaching its decision to recommend the renewal of the Advisory Contracts, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that SunAmerica and the Subadvisers possess the capability and resources to perform the duties required of them under their respective Advisory Contracts.
Further, based upon its review of the Advisory Contracts, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Advisory Contracts are reasonable, fair and in the best interest of the Portfolios and their shareholders, and (2) the advisory fee rates and subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.
419
SEASONS SERIES TRUST
APPROVAL OF SUBADVISORY AGREEMENT
March 31, 2022 (unaudited)
At a meeting held on December 2, 2021 (the "Meeting"), the Board of Trustees (the "Board"), including the Trustees that are not interested persons of Seasons Series Trust (the "Trust"), as defined in the Investment Company Act of 1940, as amended (the "Independent Trustees"), approved a subadvisory agreement (the "Agreement") between SunAmerica Asset Management, LLC ("SunAmerica" or the "Adviser") and American Century Investment Management, Inc. ("American Century" or the "Subadviser") with respect to the SA Wellington Real Return Portfolio, a series of the Trust (the "Portfolio"). The Board, including the Independent Trustees, further approved the termination of the subadvisory agreement between SunAmerica and Wellington Management Company LLP ("Wellington") with respect to the Portfolio. In connection with these approvals, the Board also approved certain changes to the Portfolio's investment goal, investment strategies and techniques, as well as a change of the Portfolio's name to "SA American Century Inflation Protection Portfolio."
In connection with the approval of the Agreement, the Board received materials related to certain factors used in its consideration of whether to approve the Agreement. Those factors included:
(1) the requirements of the Portfolio in the areas of investment supervisory and administrative services;
(2) the nature, extent and quality of the investment advisory and administrative services expected to be provided by the Subadviser;
(3) the size and structure of the subadvisory fees and any other material payments to the Subadviser;
(4) the organizational capability and financial condition of the Subadviser and its affiliates;
(5) the possibility that services of the type required by the Trust might be better obtained from other organizations; and
(6) the fees to be paid by the Adviser to American Century for managing the Portfolio.
In addition, the Board considered (a) the conditions and trends prevailing in the economy, the securities markets and the investment company industry; (b) the profitability of the Subadviser and the amounts retained by SunAmerica; and (c) information regarding the Subadviser's compliance and regulatory history. The Board also took into account extensive information from American Century regarding its services provided to the Trust, which materials the Board reviewed at its October 5, 2021 meeting in connection with its consideration of the renewal of the subadvisory agreements with respect to the various series of the Trust and SunAmerica Series Trust.
The Independent Trustees were separately represented by counsel that is independent of SunAmerica and American Century in connection with their consideration of approval of the Agreement. The matters discussed below were also considered separately by the Independent Trustees in executive session during which such independent counsel provided guidance to the Independent Trustees.
The Board received information regarding the Trust's subadvisory fees compared to subadvisory fee rates of a group of funds with similar investment strategies and/or objectives, as applicable (the "Subadvised Expense Group/Universe"), as selected and prepared by an independent third-party provider of investment company data. The Board also received performance data and expense information prepared by management. In addition, the Board considered expenses and performance of the Subadviser with respect to accounts and mutual funds that have comparable investment objectives and strategies to the Portfolio.
Nature, Extent and Quality of Services Provided by the Subadviser.
The Board, including the Independent Trustees, considered the nature, quality and extent of services expected to be provided by American Century. In making its evaluation, the Board considered that SunAmerica acts as adviser for the Portfolio, manages the daily business affairs of the Trust, and obtains and evaluates economic, statistical and financial information to formulate and implement investment policies and provides oversight with respect to the daily management of the Portfolio's
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March 31, 2022 (unaudited) (continued)
assets, subject to the Trustees' oversight and control. It was also noted that SunAmerica's advisory fees compensate SunAmerica for services such as monitoring portfolio performance, selecting and replacing subadvisers, determining asset allocations among each series of the Trust and ensuring that a subadviser's style adheres to the prospectus and statement of additional information as well as other administrative, compliance and legal services or requirements.
With respect to the Subadviser, the Board noted that American Century would be responsible for providing investment management services on a day-to-day basis. In such role, American Century would (i) manage the investment and reinvestment of the Portfolio's assets; (ii) determine the securities to be purchased or sold and execute such documents on behalf of the Portfolio as may be necessary in connection with its management thereof; (iii) provide SunAmerica with records concerning its activities; and (iv) render regular reports to SunAmerica and to officers and Trustees of the Trust concerning its discharge of the foregoing responsibilities. The Board reviewed American Century's history, structure and size, and investment experience. The Board considered the personnel of American Century who would be involved in the investment management, administration, compliance and risk management activities with respect to the Portfolio, as well as current and projected staffing levels. The Board was informed that in management's judgment, American Century has the size, viability and resources to attract and retain highly qualified investment professionals. The Board reviewed the qualifications, background and responsibilities of the staff of American Century who would be responsible for providing investment management services to the Portfolio.
The Board also reviewed and considered American Century's compliance and regulatory history, including information about whether it has been involved in any litigation, regulatory actions or investigations that could impair its ability to serve as subadviser or sub-subadviser, as applicable, to the Portfolio. The Board considered American Century's risk assessment and risk management processes. The Board concluded that there was no information provided that would have a material adverse effect on American Century's ability to provide services to the Trust.
The Board concluded that it was satisfied with the nature, quality and extent of the services expected to be provided by the Subadviser and that there was a reasonable basis on which to conclude that the Subadviser would provide high quality services to the Trust.
Portfolio Fees and Expenses; Investment Performance.
The Board, including the Independent Trustees, received and reviewed information regarding the Portfolio's subadvisory fees (actual and contractual) compared against such fees of its Subadvised Expense Group/Universe. It was noted that with respect to subadvisory fees, SunAmerica negotiates such fees at arm's length. The Board also considered that the subadvisory fees are paid by SunAmerica out of its advisory fee and not by the Portfolio, and that subadvisory fees may vary widely within a Subadvised Expense Group/Universe for various reasons, including market pricing demands, existing relationships, experience and success, and individual client needs. The Board further considered the amount of subadvisory fees paid by SunAmerica and the amount of the management fees that it retained. The Board also noted that the subadvisory fee rates to be paid by SunAmerica to American Century under the Agreement are lower than those currently paid to Wellington for its subadvisory services to the Portfolio. The Board further considered that management had agreed to increase its voluntary advisory fee waiver with respect to the Portfolio by one basis point, which would reduce the fees paid by the Portfolio to SunAmerica. The Board determined that these amounts were reasonable in light of the services performed by SunAmerica and American Century, respectively.
To assist in analyzing the reasonableness of the subadvisory fee, the Board received a report prepared independently by Broadridge Financial Solutions, Inc. ("Broadridge"), as well as information provided by management. The Board also considered advisory and subadvisory fees received by American Century with respect to other mutual funds and accounts with similar investment strategies to the Portfolio, as well as performance data from management and American Century with respect to any other mutual funds or other accounts advised or subadvised by American Century with similar investment objectives and/or strategies, as applicable.
421
SEASONS SERIES TRUST
APPROVAL OF SUBADVISORY AGREEMENT
March 31, 2022 (unaudited) (continued)
The Subadvised Expense Group consists of the Portfolio and eight other inflation-protected bond funds underlying variable insurance products ("VIPs"), as classified by Broadridge. The Subadvised Expense Universe consists of the Portfolio and all other inflation-protected bond funds underlying VIPs with disclosed subadviser agreements, excluding outliers.
The performance information included information as of September 30, 2021, from management and American Century. On a quarterly basis, the Board monitors and reviews various materials presented and prepared by management, including but not limited to the Portfolio's overall performance, performance relative to the Portfolio's benchmark and Morningstar and Broadridge peer groups, and a subadviser's performance within a portfolio. The Board also considered that management makes particular note of any portfolio that may require closer monitoring or potential corrective action by the Board.
The Board further considered that Wellington's performance ranked in the fifth quintile in its Morningstar category over the one- and three-year periods ended September 30, 2021, and in the fifth quintile in its Lipper category over the three- and five-year periods ended the same date. The Board also considered the performance of the American Century VP Inflation Protection Fund (the "American Century Fund") relative to the Bloomberg U.S. TIPS Index. The Board noted that the American Century Fund had outperformed the benchmark for the year to date and over the one-year period ended September 30, 2021, and for two of the previous five calendar years. In considering this comparative performance information, however, the Board also reviewed relevant distinctions and differences between the American Century Fund and the Portfolio and acknowledged that past performance is not necessarily indicative of future results.
The Trustees noted that the expense and performance information as a whole was useful in assessing whether American Century is proposing to provide services at a cost that is competitive with other similar funds.
Profitability, Economies of Scale and Other Benefits Derived.
The Board noted that the subadvisory fees paid pursuant to the Agreement are paid by SunAmerica out of its advisory fees. The Board considered that the Agreement also contains breakpoints in the fee schedule; however, since SunAmerica, and not the Trust, is responsible for the payment of the fees pursuant to the Agreement, the Trust does not directly benefit from any reduction in those fee rates. The Trustees also relied on the ability of SunAmerica to negotiate the Agreement and the fees thereunder at arm's length. The Board determined that the profitability to the Subadviser in connection with its relationship with the Portfolio is therefore not a material factor in its consideration of the Agreement.
The Board considered other potential indirect benefits to the Subadviser as a result of its relationship with the Portfolio, which could include research benefits obtained by trading the Portfolio's assets, economies of scale, reputational benefits, and the potential for future mandates. For similar reasons as stated above with respect to the Subadviser's profitability, the Board concluded that the potential for economies of scale and other indirect benefits to the Subadviser in its management of the Portfolio are not a material factor in its consideration at this time.
Terms of Agreement.
The Board, including the Independent Trustees, reviewed the terms and conditions of the Agreement, including the duties and responsibilities undertaken by SunAmerica and American Century as discussed above. The Board also reviewed the differences in the terms of the Agreement as compared to the terms of the subadvisory agreement between SunAmerica and Wellington with respect to the Portfolio.
Conclusions.
In reaching its decision to recommend the approval of the Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered and each Trustee attributes different weight to the various factors. Based upon the materials it reviewed, the representations made to it and the considerations described
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APPROVAL OF SUBADVISORY AGREEMENT
March 31, 2022 (unaudited) (continued)
above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Subadviser possesses the capability and resources to perform the duties required of it under the Agreement.
Further, based upon its review of the Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that: (1) the terms of the Agreement are reasonable, fair and in the best interest of the Portfolio and its shareholders, and (2) the subadvisory fee rates are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality and the other factors considered.
423
SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited)
The following table contains information regarding the Trustees and Officers that oversee operations of the Portfolios and other investment companies within the Fund complex.
Name, Address and Age† | Position Held With Trust | Term of Office and Length of Time Served(1) | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee(2) | Other Directorships Held by Trustee(3) | ||||||||||||||||||
Independent Trustees | |||||||||||||||||||||||
Garrett F. Bouton Age: 77 | Trustee | 2007- | Present | Retired (2003-Present); Managing Director and CEO, Barclays Global Investors (1996-2003). | 80 | Chairman/Director, The LECG Company (consulting services) (2006-2010). | |||||||||||||||||
Jane Jelenko Age: 73 | Trustee | 2006- | Present | Retired Partner, KPMG, LLP and Managing Director, Bearingpoint, Inc. (formerly KPMG Consulting) (2003-Present). | 80 | Director, Countrywide Bank (banking) (2003-2008); and Director, Cathay General Bancorp and Cathay Bank (banking) (2012-2018). | |||||||||||||||||
Gilbert T. Ray Age: 77 | Trustee | 2001- | Present | Retired Partner, O'Melveny & Myers LLP (law firm) (2000-Present). | 80 | Director, Advance Auto Parts, Inc. (retail-auto & home supply stores) (2002-2018); Director, Watson, Wyatt Worldwide (services — management consulting services) (2000-2018); Director, DineEquity (services — restaurant) (2004-Present); Director, Diamond Rock Hospitality (financial — real estate) (2005-Present); Director, Towers Watson & Co. (services — management consulting services) (2010-2018). | |||||||||||||||||
Bruce G. Willison Age: 73 | Trustee and Chairman | 2001- | Present | Professor of Management, Anderson School at UCLA (1999-2011); Dean, Anderson School at UCLA (1999-2005); co-founder, Grandpoint Capital, Inc. (2009-2010). | 80 | Director, GrandPoint Bank (banking) (2011-Present); Director Indy Mac Bancorp (banking) (2003-2008); Director, Move, Inc. ( internet real estate site) (2003-Present); Director, Health Net, Inc. (health insurance plan) (2000-2016). | |||||||||||||||||
Tracey C. Doi Age: 61 | Trustee | 2021- | Present | Chief Financial Officer of Toyota Motor North America (2000-Present); Board Member, City National Bank (2016-Present); Board Member, National Asian American Chamber of Commerce (2012-Present); Board Governor, Japanese American National Museum (2005-Present); Board Member, 2020 Women on Boards (nonprofit leadership organization) (2017-Present); Board Member, National Association of Corporate Directors, North Texas (nonprofit leadership organization) (2020-Present); Board Member, Quest Diagnostics Incorporated (2021-Present). | 80 | None | |||||||||||||||||
Charles H. Self III Age: 64 | Trustee | 2021- | Present | Chief Operating Officer, Chief Compliance Officer and Chief Investment Officer of iSectors (2014-Present); Chief Investment Officer of Sumnicht & Associates (2014- Present). | 80 | None |
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TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)
Name, Address | Position | Length of | Principal Occupation(s) | Number of | Other Directorship(s) Held | ||||||||||||||||||
Interested Trustee | |||||||||||||||||||||||
John T. Genoy(4) | President and Trustee | 2001-Present | President, SAAMCo (Since 2021); Chief Operating Officer, SAAMCo (2006-Present); Chief Financial Officer, SAAMCo (2002-2021); Senior Vice President, SAAMCo (2004-2021). | 80 | None | ||||||||||||||||||
Officers | |||||||||||||||||||||||
Gregory R. Kingston | Treasurer and Principal Financial Officer/ | 2014-Present | Senior Vice President, SAAMCo (2014-Present); Vice President, SAAMCo (2001-Present); Head of Mutual Fund Administration (2014-Present). | N/A | N/A | ||||||||||||||||||
Christopher C. Joe | Vice President and Chief Compliance Officer | 2017-Present | Chief Compliance Officer, Seasons Series Trust, SunAmerica Series Trust and VALIC Company I (2017-Present); Chief Compliance Officer, VALIC Retirement Services Company (2017-Present); Chief Compliance Officer, Invesco Powershares (2012-2017); Chief Compliance Officer, Invesco Investment Advisers, LLC (2010-2013); U.S. Compliance Director, Invesco, Ltd (2006-2014); Deputy Chief Compliance Officer, Invesco Advisers, Inc. (2014-2015). | N/A | N/A | ||||||||||||||||||
Kathleen D. Fuentes | Chief Legal Officer, Vice President and Secretary | 2015-Present | Vice President and Deputy General Counsel, SAAMCo (2006-Present). | N/A | N/A | ||||||||||||||||||
Gregory N. Bressler | Vice President and Assistant Secretary | 2005-Present | Assistant Secretary, SAAMCo (2021-Present); Senior Vice President and General Counsel, SAAMCo (2005-Present). | N/A | N/A | ||||||||||||||||||
Shawn Parry | Vice President and Assistant Treasurer | 2014-Present | Vice President, SAAMCo (2014-Present); Assistant Vice President, SAAMCo (2005-2014) | N/A | N/A | ||||||||||||||||||
Donna McManus | Vice President and Assistant Treasurer | 2014-Present | Vice President, SAAMCo (2014-Present); Managing Director, BNY Mellon (2009-2014). | N/A | N/A | ||||||||||||||||||
Matthew J. Hackethal | Anti-Money Laundering Compliance Officer | 2006-Present | Chief Compliance Officer, SAAMCo (2007-Present) and Vice President, SAAMCo (2011-Present); Acting Chief Compliance Officer, SAAMCo (2016-2017) | N/A | N/A | ||||||||||||||||||
Salimah Shamji | Vice President | 2020-Present | Vice President, SAAMCo (2008-Present). | N/A | N/A | ||||||||||||||||||
Christopher J. Tafone | Vice President and Assistant and Assistant Secretary | 2021-Present (Vice President; (2016-Present) (Assistant Secretary) | Vice President, SAAMCo (2016-Present); General Counsel, AIG Life & Retirement (2016-Present). | N/A | N/A |
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SEASONS SERIES TRUST
TRUSTEES AND OFFICERS INFORMATION (unaudited) (continued)
† The business address for each Trustee and Officer is 21650 Oxnard Street, 10th Fl. Woodland Hills, CA 91367-4901.
(1) Trustees serve until their successors are duly elected and qualified. Each officer will hold office for an indefinite term until the date he or she resigns or retires or until his/her successor is duly elected and qualified.
(2) The "Fund Complex" consists of all registered investment company portfolios for which SAAMCo serves as investment adviser or administrator. The "Fund Complex" includes the Trust (19 portfolios), SunAmerica Series Trust (61 portfolios), VALIC Company I (37 funds).
(3) Directorships of companies required to report to the SEC under the Securities Exchange Act of 1934 (i.e., "public companies") or other investment companies regulated under the 1940 Act other than those listed under the preceding column.
(4) Interested Trustee, as defined within the Investment Company Act of 1940, because he serves as President and COO of SunAmerica.
Additional information concerning the Trustees and Officers is contained in the Statement of Additional Information and is available without charge by calling (800) 445-SUN2.
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SEASONS SERIES TRUST
SHAREHOLDERS TAX INFORMATION (unaudited)
Certain tax information regarding the Seasons Series Trust Portfolios is required to be provided to the shareholders based upon each Portfolio's income and capital gain distributions for the taxable year ended March 31, 2022.
During the year ended March 31, 2022, the Portfolios paid the following dividends per share along with the percentage of ordinary income dividends that qualified for the dividends received deductions for corporations.
Portfolio | Total Dividends | Net Investment Income | Net Short-term Capital Gains* | Net Long-Term Capital Gains | Qualifying % for the Dividends Received Deductions | ||||||||||||||||||
SA Multi-Managed Growth Class 1 | $ | 5.06 | $ | — | $ | 2.88 | $ | 2.18 | 2.38 | % | |||||||||||||
SA Multi-Managed Growth Class 2 | 5.06 | — | 2.88 | 2.18 | 2.38 | ||||||||||||||||||
SA Multi-Managed Growth Class 3 | 5.06 | — | 2.88 | 2.18 | 2.38 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Class 1 | 3.11 | 0.03 | 1.82 | 1.26 | 2.30 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Class 2 | 3.09 | 0.01 | 1.82 | 1.26 | 2.30 | ||||||||||||||||||
SA Multi-Managed Moderate Growth Class 3 | 3.08 | — | 1.82 | 1.26 | 2.30 | ||||||||||||||||||
SA Multi-Managed Income/Equity Class 1 | 1.95 | 0.09 | 1.10 | 0.76 | 0.77 | ||||||||||||||||||
SA Multi-Managed Income/Equity Class 2 | 1.93 | 0.07 | 1.10 | 0.76 | 0.77 | ||||||||||||||||||
SA Multi-Managed Income/Equity Class 3 | 1.92 | 0.06 | 1.10 | 0.76 | 0.77 | ||||||||||||||||||
SA Multi-Managed Income Class 1 | 1.19 | 0.11 | 0.66 | 0.42 | 0.58 | ||||||||||||||||||
SA Multi-Managed Income Class 2 | 1.17 | 0.09 | 0.66 | 0.42 | 0.58 | ||||||||||||||||||
SA Multi-Managed Income Class 3 | 1.16 | 0.08 | 0.66 | 0.42 | 0.58 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Class 1 | 1.22 | 0.22 | 0.53 | 0.47 | 16.29 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Class 2 | 1.20 | 0.20 | 0.53 | 0.47 | 16.29 | ||||||||||||||||||
SA Putnam Asset Allocation Diversified Growth Class 3 | 1.19 | 0.19 | 0.53 | 0.47 | 16.29 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Class 1 | 6.53 | — | 1.42 | 5.11 | 7.58 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Class 2 | 6.53 | — | 1.42 | 5.11 | 7.58 | ||||||||||||||||||
SA T. Rowe Price Growth Stock Class 3 | 6.53 | — | 1.42 | 5.11 | 7.58 | ||||||||||||||||||
SA MultiManaged Large Cap Growth Class 1 | 5.08 | — | 1.75 | 3.33 | 6.06 | ||||||||||||||||||
SA MultiManaged Large Cap Growth Class 2 | 5.08 | — | 1.75 | 3.33 | 6.06 | ||||||||||||||||||
SA MultiManaged Large Cap Growth Class 3 | 5.08 | — | 1.75 | 3.33 | 6.06 | ||||||||||||||||||
SA MultiManaged Large Cap Value Class 1 | 1.30 | 0.31 | 0.41 | 0.58 | 49.91 | ||||||||||||||||||
SA MultiManaged Large Cap Value Class 2 | 1.28 | 0.29 | 0.41 | 0.58 | 49.91 | ||||||||||||||||||
SA MultiManaged Large Cap Value Class 3 | 1.26 | 0.27 | 0.41 | 0.58 | 49.91 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Class 1 | 7.65 | — | 2.65 | 5.00 | 3.35 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Class 2 | 7.65 | — | 2.65 | 5.00 | 3.35 | ||||||||||||||||||
SA Multi-Managed Mid Cap Growth Class 3 | 7.65 | — | 2.65 | 5.00 | 3.35 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 1 | 1.11 | 0.19 | 0.20 | 0.72 | 64.14 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 2 | 1.09 | 0.17 | 0.20 | 0.72 | 64.14 | ||||||||||||||||||
SA Multi-Managed Mid Cap Value Class 3 | 1.07 | 0.15 | 0.20 | 0.72 | 64.14 | ||||||||||||||||||
SA Multi-Managed Small Cap Class 1 | 1.87 | 0.03 | 0.72 | 1.12 | 17.93 | ||||||||||||||||||
SA Multi-Managed Small Cap Class 2 | 1.85 | 0.01 | 0.72 | 1.12 | 17.93 | ||||||||||||||||||
SA Multi-Managed Small Cap Class 3 | 1.84 | — | 0.72 | 1.12 | 17.93 | ||||||||||||||||||
SA Multi-Managed International Equity Class 1 | 0.66 | 0.15 | 0.12 | 0.39 | 0.40 | ||||||||||||||||||
SA Multi-Managed International Equity Class 2 | 0.65 | 0.14 | 0.12 | 0.39 | 0.40 | ||||||||||||||||||
SA Multi-Managed International Equity Class 3 | 0.64 | 0.13 | 0.12 | 0.39 | 0.40 |
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Portfolio | Total Dividends | Net Investment Income | Net Short-term Capital Gains* | Net Long-Term Capital Gains | Qualifying % for the Dividends Received Deductions | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Class 1 | $ | 0.49 | $ | 0.21 | $ | 0.19 | $ | 0.09 | 0.02 | % | |||||||||||||
SA Multi-Managed Diversified Fixed Income Class 2 | 0.47 | 0.19 | 0.19 | 0.09 | 0.02 | ||||||||||||||||||
SA Multi-Managed Diversified Fixed Income Class 3 | 0.45 | 0.17 | 0.19 | 0.09 | 0.02 | ||||||||||||||||||
SA American Century Inflation Protection Class 1 | 0.25 | — | 0.25 | — | — | ||||||||||||||||||
SA American Century Inflation Protection Class 3 | 0.25 | — | 0.25 | — | — | ||||||||||||||||||
SA Columbia Focused Value Class 1 | 2.00 | 0.63 | 0.09 | 1.28 | 86.46 | ||||||||||||||||||
SA Columbia Focused Value Class 2 | 1.97 | 0.60 | 0.09 | 1.28 | 86.46 | ||||||||||||||||||
SA Columbia Focused Value Class 3 | 1.95 | 0.58 | 0.09 | 1.28 | 86.46 | ||||||||||||||||||
SA Allocation Growth Class 1 | 1.01 | 0.26 | 0.03 | 0.72 | 34.34 | ||||||||||||||||||
SA Allocation Growth Class 3 | 0.98 | 0.23 | 0.03 | 0.72 | 34.34 | ||||||||||||||||||
SA Allocation Moderate Growth Class 1 | 0.95 | 0.25 | 0.01 | 0.69 | 29.19 | ||||||||||||||||||
SA Allocation Moderate Growth Class 3 | 0.92 | 0.22 | 0.01 | 0.69 | 29.19 | ||||||||||||||||||
SA Allocation Moderate Class 1 | 0.91 | 0.27 | 0.02 | 0.62 | 24.44 | ||||||||||||||||||
SA Allocation Moderate Class 3 | 0.88 | 0.24 | 0.02 | 0.62 | 24.44 | ||||||||||||||||||
SA Allocation Balanced Class 1 | 0.49 | 0.13 | 0.01 | 0.35 | 17.29 | ||||||||||||||||||
SA Allocation Balanced Class 3 | 0.46 | 0.10 | 0.01 | 0.35 | 17.29 |
* Short-Term capital gains are treated as ordinary income for tax purposes.
Under the Internal Revenue Code Section 853, portfolios make an election to pass through foreign taxes paid to its shareholders. During the year ended March 31, 2022, foreign source income and foreign taxes passed through to shareholders were as follows:
Portfolio | Foreign Taxes Passed Through | Foreign Source Income | |||||||||
SA Multi-Managed International Equity | $ | 844,676 | $ | 7,562,652 | |||||||
SA Allocation Growth | 270,045 | 1,543,381 | |||||||||
SA Allocation Moderate Growth | 300,200 | 1,713,221 | |||||||||
SA Allocation Moderate | 138,757 | 807,976 | |||||||||
SA Allocation Balanced | 79,162 | 458,369 |
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SEASONS SERIES TRUST
INDIVIDUAL PORTFOLIO REVIEWS (unaudited)
To help you better understand the investment management of the Portfolios, we have included on the following pages investment comments regarding the 19 investment portfolios of the Seasons Series Trust:
Seasons Strategies
1. SA Multi-Managed Growth Portfolio
2. SA Multi-Managed Moderate Growth Portfolio
3. SA Multi-Managed Income/Equity Portfolio
4. SA Multi-Managed Income Portfolio
5. SA Putnam Asset Allocation Diversified Growth Portfolio
6. SA T. Rowe Price Growth Stock Portfolio
Seasons Select Portfolios
7. SA Multi-Managed Large Cap Growth Portfolio
8. SA Multi-Managed Large Cap Value Portfolio
9. SA Multi-Managed Mid Cap Growth Portfolio
10. SA Multi-Managed Mid Cap Value Portfolio
11. SA Multi-Managed Small Cap Portfolio
12. SA Multi-Managed International Equity Portfolio
13. SA Multi-Managed Diversified Fixed Income Portfolio
14. SA American Century Inflation Protection Portfolio
Seasons Focused Portfolios
15. SA Columbia Focused Value Portfolio
Seasons Managed Allocation Portfolios
16. SA Allocation Growth Portfolio
17. SA Allocation Moderate Growth Portfolio
18. SA Allocation Moderate Portfolio
19. SA Allocation Balanced Portfolio
Asset allocations for each Portfolio, as shown in your prospectus, represent a "neutral asset allocation mix"; actual allocations may vary based on performance and the money managers' evaluation of market conditions. For more information on the composition of the Seasons Strategies as well as their underlying portfolios, please refer to your prospectus.
Seasons Select Portfolios (except SA American Century Inflation Protection Portfolio) have portions that are actively managed and a portion that is passively managed. The passively managed portion of each Portfolio seeks to track an index or a subset of an index. Each of the remaining portions is actively managed by experts who bring their knowledge and experience to the security selection and asset allocation processes.
The Focused Portfolios invest in a concentrated group of securities hand-picked by a leading money manager from investment opportunities in specific industries and market sectors. Although this concentrated approach offers potentially higher returns, it also comes with potentially higher risk.
In the following pages, we have also included graphs that compare the portfolio's performance with certain market indices. These graphs show the hypothetical growth of a $10,000 investment in the Seasons Series Trust portfolio versus the same $10,000 investment in comparable market indices, from the portfolio's inception date through March 31, 2022. Importantly, such indices represent "paper" portfolios and do not reflect the costs and expenses of actual investing. Descriptions of these market indices are provided next to the individual graphs.
Please note that the graphs and tables that accompany the following investment comments show the performance of the portfolio at the Seasons Series Trust level. The returns shown represent Class 1 shares, unless
429
otherwise noted, and include all trust expenses, but no insurance company expenses associated with the variable annuity contract, and no contingent deferred sales charge. The returns for Class 2 and Class 3 shares differ from Class 1 only to the extent that Class 2 and Class 3 shares are subject to 12b-1 fees. All dividends are assumed to be reinvested. No expenses are deducted from the performance of the indices.
Market indices referenced are unmanaged. You cannot invest directly in an index. Investments in stocks and bonds are subject to risk, including stock market and interest-rate fluctuations. Investments in non-U.S. stocks are subject to additional risks, including political and social instability, differing securities regulations and accounting standards, and limited public information. Mortgage-backed securities are subject to prepayment, which can result in reinvestment of principal at lower yields. Money market instruments generally offer stability and income, but an investment in these securities, like investments in other portfolios, is not guaranteed by the U.S. government or any other entity. Lower rated high yield, high-risk securities generally involve more credit risk. These securities may also be subject to greater market price fluctuations than lower yielding, higher rated debt securities. The common stocks of medium-sized companies may be more volatile than those of larger, more established companies. Investing in real estate involves special risks, which may not be associated with investing in stocks, including possible declines in real estate values, adverse economic conditions, and changes in interest rates. Investments in small capitalization and emerging growth companies involve greater than average risk. Such securities may have limited marketability and the issuers may have limited product lines, markets and financial resources. The value of such investments may fluctuate more widely than investments in larger, more established companies. The technology industry can be significantly affected by obsolescence, short product cycles, falling prices and profits, and competition from new market participants. Funding choices that primarily invest in one sector are more volatile than those that diversify across many industry sectors and companies.
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SA Multi-Managed Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | J.P. Morgan Investment Management Inc. Morgan Stanley & Co., Inc Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –15.34 | % | –15.47 | % | –15.56 | % | |||||||||
5-Year | 9.96 | % | 9.80 | % | 9.67 | % | |||||||||
10-Year | 9.35 | % | 9.18 | % | 9.07 | % | |||||||||
Since Inception | 8.36 | % | 5.23 | % | 8.54 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
6 The Blended Index consists of 51% Russell 1000® Index, 27% Bloomberg U.S. Aggregate Bond Index, 20% Russell 2000® Index, and 2% FTSE Treasury Bill 3 month Index.
7 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Growth Portfolio — Class 1
The SA Multi-Managed Growth Portfolio — Class 1 shares posted a return of –15.34% for the 12-month period ending March 31, 2022, compared to a 15.65% return for the S&P 500® Index, a –4.15% return for the Bloomberg U.S. Aggregate Bond Index and a 4.33% return for the Blended Index, which is comprised of 71% equity and 29% fixed income and short-term bonds.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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SA Multi-Managed Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000 Growth Index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolio's underperformance was driven by positioning within agency mortgage-backed securities (MBS) as well as allocations to developed non-USD issuers and emerging markets debt (EMD). Within agency MBS, allocations to conventional mortgages and collateralized mortgage obligations (CMO) detracted from relative performance. Positioning within credit sectors contributed favorably to relative performance over the period. The Portfolio's overall underweight to and security selection within investment grade credit, particularly industrials, drove relative outperformance within the sector. The Portfolio's allocation to high yield credit, particularly industrials, contributed favorably to relative performance. Additionally, the Portfolio's overweight allocations to securitized sectors had a net positive impact on relative performance. Positive performance from an allocation to commercial mortgage-backed securities (CMBS) was slightly offset by modest negative performance from an allocation to asset-backed securities (ABS). Finally, an out-of-benchmark allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to relative results.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period largely due to unfavorable stock selection. Large-cap growth equities advanced over the year, led by energy stocks. All sectors gained over the period except for materials, which posted a small loss and was the largest underperformer in the Russell 1000 Growth Index. Negative stock selection in information technology drove the majority of the Portfolio's relative underperformance. Shopify was the largest detractor within the sector and second largest across the Portfolio. Stock selection in communication services was disadvantageous, with ROBLOX Corp, Class A the greatest detractor in the sector and across the Portfolio. Stock selection in the consumer discretionary, industrials and health care sectors also underperformed. Consumer staples was the only positive relative contributor at the sector level, as stock selection was favorable, driven by gains from Costco Wholesale Corp. that more than offset the negative impact of a sector underweight. A sector underweight in consumer discretionary was modestly beneficial, but not enough to overcome negative stock selection within the sector. The real estate and utilities sectors, which the Portfolio had no exposure to, had minimal impact on performance.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. On the positive side, holdings in the software & services, health services & systems and retail sectors contributed most to performance. At the individual stock level, overweight positions in Allscripts Healthcare Solutions, Inc., Herc Holdings, Inc. and Perficient, Inc. were the top individual contributors. On the negative side, holdings in the semiconductors, utilities and industrial cyclical sectors detracted most from performance. At the individual stock level, an underweight allocation in Avis Budget Group, Inc. and overweight positions in Sleep Number Corp. and Cardiovascular Systems, Inc. were the top individual detractors from results. While the Portfolio seeks to be sector neutral, as of March 31, 2022, the Portfolio's largest overweight exposures were in the media, systems hardware and software & services sectors. The largest underweight exposures were in the industrial cyclical, finance and utilities sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital, with capital preservation as a secondary objective | ||||||
Managers: | J.P. Morgan Investment Management Inc. Morgan Stanley & Co., Inc Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –12.79 | % | –12.88 | % | –12.94 | % | |||||||||
5-Year | 8.63 | % | 8.48 | % | 8.37 | % | |||||||||
10-Year | 8.09 | % | 7.94 | % | 7.83 | % | |||||||||
Since Inception | 7.64 | % | 5.10 | % | 7.53 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
4 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
5 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
6 The Blended Index consists of 37.9% Russell 1000® Index, 42.3% Bloomberg U.S. Aggregate Bond Index, 18% Russell 2000® Index, and 1.8% FTSE Treasury Bill 3 months Index.
7 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Moderate Growth Portfolio — Class 1
The SA Multi-Managed Moderate Growth Portfolio — Class 1 shares posted a return of –12.79% for the 12-month period ending March 31, 2022, compared to a 15.65% return for the S&P 500® Index, a –4.15% return for the Bloomberg U.S. Aggregate Bond Index and a 2.12% return for the Blended Index, which is comprised of 56% equity and 44% fixed income and short-term bonds.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
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SA Multi-Managed Moderate Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio allocates its assets among three distinct components. The managed components include a fixed income component, a growth component, and a small cap growth component. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000 Growth Index. The small cap growth component, managed by J.P. Morgan Investment Management, Inc., is benchmarked to the Russell 2000 Index.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolio's underperformance was driven by positioning within agency mortgage-backed securities (MBS) as well as allocations to developed non-USD issuers and emerging markets debt (EMD). Within agency MBS, allocations to conventional mortgages and collateralized mortgage obligations (CMO) detracted from relative performance. Positioning within credit sectors contributed favorably to relative performance over the period. The Portfolio's overall underweight to and security selection within investment grade credit, particularly industrials, drove relative outperformance within the sector. The Portfolio's allocation to high yield credit, particularly industrials, contributed favorably to relative performance. Additionally, the Portfolio's overweight allocations to securitized sectors had a net positive impact on relative performance. Positive performance from an allocation to commercial mortgage-backed securities (CMBS) was slightly offset by modest negative performance from an allocation to asset-backed securities (ABS). Finally, an out-of-benchmark allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to relative results.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period largely due to unfavorable stock selection. Large-cap growth equities advanced over the year, led by energy stocks. All sectors gained over the period except for materials, which posted a small loss and was the largest underperformer in the Russell 1000 Growth Index. Negative stock selection in information technology drove the majority of the Portfolio's relative underperformance. Shopify was the largest detractor within the sector and second largest across the Portfolio. Stock selection in communication services was disadvantageous, with ROBLOX Corp., Class A the greatest detractor in the sector and across the Portfolio. Stock selection in the consumer discretionary, industrials and health care sectors also underperformed. Consumer staples was the only positive relative contributor at the sector level, as stock selection was favorable, driven by gains from Costco Wholesale Corp. that more than offset the negative impact of a sector underweight. A sector underweight in consumer discretionary was modestly beneficial, but not enough to overcome negative stock selection within the sector. The real estate and utilities sectors, which the Portfolio had no exposure to, had minimal impact on performance.
The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. On the positive side, holdings in the software & services, health services & systems and retail sectors contributed most to performance. At the individual stock level, overweight positions in Allscripts Healthcare Solutions, Inc., Herc Holdings, Inc. and Perficient, Inc. were the top individual contributors. On the negative side, holdings in the semiconductors, utilities and industrial cyclical sectors detracted most from performance. At the individual stock level, an underweight allocation in Avis Budget Group, Inc. and overweight positions in Sleep Number Corp. and Cardiovascular Systems, Inc were the top individual detractors from results. While the Portfolio seeks to be sector neutral, as of March 31, 2022, the Portfolio's largest overweight exposures were in the media, systems hardware and software & services sectors. The largest underweight exposures were in the industrial cyclical, finance and utilities sectors.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
434
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited)
Investment Goal: | Conservation of principal while maintaining some potential for long-term growth of capital | ||||||
Managers: | Morgan Stanley & Co., Inc Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income/Equity Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –12.13 | % | –12.21 | % | –12.36 | % | |||||||||
5-Year | 5.91 | % | 5.77 | % | 5.65 | % | |||||||||
10-Year | 5.71 | % | 5.56 | % | 5.44 | % | |||||||||
Since Inception | 6.37 | % | 4.84 | % | 5.92 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and higher price-earnings ratios, lower dividend yields and higher forecasted growth values.
5 The Blended Index consists of 33.4% Russell 1000® Index, 63.8% Bloomberg U.S. Aggregate Bond Index, and 2.8% FTSE Treasury Bill 3 month Index.
6 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income/Equity Portfolio — Class 1
The SA Multi-Managed Income/Equity Portfolio — Class 1 shares posted a return of –12.13% for the 12-month period ending March 31, 2022, compared to a 15.65% return for the S&P 500® Index and a –4.15% return for the Bloomberg U.S. Aggregate Bond Index. The Blended Index, comprising approximately 33% equity and 67% fixed income and short-term bonds, returned 1.66%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000 Growth Index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
435
SA Multi-Managed Income/Equity Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolio's underperformance was driven by positioning within agency mortgage-backed securities (MBS) as well as allocations to developed non-USD issuers and emerging markets debt (EMD). Within agency MBS, allocations to conventional mortgages and collateralized mortgage obligations (CMO) detracted from relative performance. Positioning within credit sectors contributed favorably to relative performance over the period. The Portfolio's overall underweight to and security selection within investment grade credit, particularly industrials, drove relative outperformance within the sector. The Portfolio's allocation to high yield credit, particularly industrials, contributed favorably to relative performance. Additionally, the Portfolio's overweight allocations to securitized sectors had a net positive impact on relative performance. Positive performance from an allocation to commercial mortgage-backed securities (CMBS) was slightly offset by modest negative performance from an allocation to asset-backed securities (ABS). Finally, an out-of-benchmark allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to relative results. During the period, the Portfolio used interest rate futures to manage duration and yield curve exposure. Overall, the positioning detracted from absolute performance.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period largely due to unfavorable stock selection. Large-cap growth equities advanced over the year, led by energy stocks. All sectors gained over the period except for materials, which posted a small loss and was the largest underperformer in the Russell 1000 Growth Index. Negative stock selection in information technology drove the majority of the Portfolio's relative underperformance. Shopify, Inc., Class A was the largest detractor within the sector and second largest across the Portfolio. Stock selection in communication services was disadvantageous, with ROBLOX Corp., Class A the greatest detractor in the sector and across the Portfolio. Stock selection in the consumer discretionary, industrials and health care sectors also underperformed. Consumer staples was the only positive relative contributor at the sector level, as stock selection was favorable, driven by gains from Costco Wholesale Corp. that more than offset the negative impact of a sector underweight. A sector underweight in consumer discretionary was modestly beneficial, but not enough to overcome negative stock selection within the sector. The real estate and utilities sectors, which the Portfolio had no exposure to, had minimal impact on performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
436
SA Multi-Managed Income Portfolio Class 1 (unaudited)
Investment Goal: | Capital preservation | ||||||
Managers: | Morgan Stanley & Co., Inc Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Income Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –8.97 | % | –9.12 | % | –9.21 | % | |||||||||
5-Year | 4.08 | % | 3.90 | % | 3.81 | % | |||||||||
10-Year | 4.07 | % | 3.90 | % | 3.80 | % | |||||||||
Since Inception | 5.49 | % | 4.49 | % | 4.79 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
3 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
5 The Blended Index consists of 17.35% Russell 1000® Index, 80.95% Bloomberg U.S. Aggregate Bond Index, and 1.70% FTSE Treasury Bill 3 month Index.
6 The FTSE Treasury Bill 3 Month Index is an unmanaged index representing monthly return equivalents of yield averages of the last 3 month Treasury Bill issues.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Income Portfolio — Class 1
The SA Multi-Managed Income Portfolio — Class 1 shares posted a return of –8.97% for the 12-month period ending March 31, 2022, compared to a 15.65% return for the S&P 500® Index and a –4.15% return for the Bloomberg U.S. Aggregate Bond Index. The Blended Index, comprising approximately 17% equity and 83% fixed income and short-term bonds, returned –1.14%.
The Portfolio allocates its assets among two distinct components. The fixed income component, managed by Wellington Management Company LLP, is benchmarked to the Bloomberg U.S. Aggregate Bond Index. The growth component, managed by Morgan Stanley Investment Management, is benchmarked to the Russell 1000 Growth Index.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
437
SA Multi-Managed Income Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolio's underperformance was driven by positioning within agency mortgage-backed securities (MBS) as well as allocations to developed non-USD issuers and emerging markets debt (EMD). Within agency MBS, allocations to conventional mortgages and collateralized mortgage obligations (CMO) detracted from relative performance. Positioning within credit sectors contributed favorably to relative performance over the period. The Portfolio's overall underweight to and security selection within investment grade credit, particularly industrials, drove relative outperformance within the sector. The Portfolio's allocation to high yield credit, particularly industrials, contributed favorably to relative performance. Additionally, the Portfolio's overweight allocations to securitized sectors had a net positive impact on relative performance. Positive performance from an allocation to commercial mortgage-backed securities (CMBS) was slightly offset by modest negative performance from an allocation to asset-backed securities (ABS). Finally, an out-of-benchmark allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to relative results. During the period, the Portfolio used interest rate futures to manage duration and yield curve exposure. Overall, the positioning detracted from absolute performance.
The Portfolio component managed by Morgan Stanley Investment Management underperformed its benchmark for the period largely due to unfavorable stock selection. Large-cap growth equities advanced over the year, led by energy stocks. All sectors gained over the period except for materials, which posted a small loss and was the largest underperformer in the Russell 1000 Growth Index. Negative stock selection in information technology drove the majority of the Portfolio's relative underperformance. Shopify, Inc. was the largest detractor within the sector and second largest across the Portfolio. Stock selection in communication services was disadvantageous, with ROBLOX Corp., Class A the greatest detractor in the sector and across the Portfolio. Stock selection in the consumer discretionary, industrials and health care sectors also underperformed. Consumer staples was the only positive relative contributor at the sector level, as stock selection was favorable, driven by gains from Costco Wholesale Corp. that more than offset the negative impact of a sector underweight. A sector underweight in consumer discretionary was modestly beneficial, but not enough to overcome negative stock selection within the sector. The real estate and utilities sectors, which the Portfolio had no exposure to, had minimal impact on performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
438
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited)
Investment Goal: | Capital appreciation | ||||||
Manager: | Putnam Investment Management, LLC |
Growth of a $10,000 Investment
SA Putnam Asset Allocation Diversified Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 6.77 | % | 6.62 | % | 6.44 | % | |||||||||
5-Year | 9.83 | % | 9.66 | % | 9.55 | % | |||||||||
10-Year | 9.78 | % | 9.62 | % | 9.51 | % | |||||||||
Since Inception | 6.68 | % | 5.82 | % | 7.99 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Index is an unmanaged, weighted index of 500 large company stocks that is widely recognized as representative of the performance of the U.S. stock market.
2 The Russell 3000® Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market.
3 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
5 The Blended Index consists of 60% Russell 3000® Index, 15% Bloomberg U.S. Aggregate Bond Index, 15% MSCI EAFE Index (net), 5% JP Morgan Developed High Yield Index and 5% MSCI Emerging Markets Index (net).
6 The JP Morgan Developed High Yield Index is designed to mirror the investable universe of the US dollar developed high yield corporate debt market, including domestic and international issues. International issues are comprised of only developed market issues.
7 MSCI Emerging Markets Index (net) captures large and mid cap representation across 24 emerging market countries. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Putnam Asset Allocation Diversified Growth Portfolio — Class 1
The SA Putnam Asset Allocation Diversified Growth Portfolio — Class 1 shares posted a return of 6.77% for the 12-month period ending March 31, 2022, compared to an 11.92% return for the Russell 3000 Index and a 6.05% return for the Blended Index of 60% Russell 3000 Index, 15% MSCI EAFE Index (net), 15% Bloomberg U.S. Aggregate Bond Index, 5% JP Morgan Developed Market High Yield Index, and 5% MSCI Emerging Markets Index (net).
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
439
SA Putnam Asset Allocation Diversified Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio produced positive returns on an absolute basis and outperformed the Blended Index. Asset class performance was mixed over the period. U.S. large cap equities experienced strength. International developed equities finished slightly positive. High yield bonds ended roughly flat. U.S. small cap equities, emerging market equities, and core fixed income experienced varying levels of weakness. Dynamic allocation was slightly additive to results, while security selection boosted performance over the period.
Overall asset allocation decisions were slightly positive over the period. On balance, the Portfolio was slightly overweight equity risk relative to the Blended Index, which benefited performance. During the period, the Portfolio was slightly underweight interest rate risk relative to the Blended Index, which led to a slight positive contribution.
Security selection enhanced performance over the past year. The Portfolio's U.S. large cap and international developed equity holdings were the primary drivers of positive performance. Conversely, selection within emerging market equities led to a slight loss.
The Portfolio uses equity futures and total return swaps as part of the equity strategies. Overall, the Portfolio's use of equity futures detracted from absolute performance for the year while the use of total return swaps contributed positively to results.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
440
SA T. Rowe Price Growth Stock Portfolio Class 1 (unaudited)
Investment Goal: | Long-term capital appreciation, with a secondary objective of increasing dividend income | ||||||
Manager: | T. Rowe Price Associates, Inc. |
Growth of a $10,000 Investment
SA T. Rowe Price Growth Stock Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –1.67 | % | –1.80 | % | –1.90 | % | |||||||||
5-Year | 16.31 | % | 16.14 | % | 16.02 | % | |||||||||
10-Year | 14.74 | % | 14.57 | % | 14.45 | % | |||||||||
Since Inception | 10.34 | % | 8.29 | % | 11.28 | % |
* Inception date for Class 1: 04/15/97; Class 2: 10/16/00; Class 3: 11/11/02
1 The Russell 1000® Growth Index consists of stocks with a greater-than-average growth orientation. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA T. Rowe Growth Stock Portfolio — Class 1
The SA T. Rowe Growth Stock Portfolio — Class 1 shares returned –1.67% for the 12-month period ending March 31, 2022, compared to a return of 14.98% for the Russell 1000 Growth Index.
Adverse stock selection was the largest driver of relative underperformance. Of the securities held in the Portfolio during the period, underweight allocations to Apple, Inc. and Tesla, Inc. were among the largest detractors from relative results, while a position in Rivian Automotive, Inc. also hurt performance. On the positive side, Alphabet, Inc. was among the top contributors to relative performance.
Ineffective sector allocation also weighed on relative performance during the period. Most notably, an overweight allocation to the communication services sector and an underweight allocation to the information technology sector hampered relative results the most. Conversely, underweight allocations to the health care and materials sectors boosted relative returns.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
441
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | Goldman Sachs Asset Management, L.P. Morgan Stanley & Co., Inc SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 0.39 | % | 0.23 | % | 0.09 | % | |||||||||
5-Year | 17.40 | % | 17.22 | % | 17.10 | % | |||||||||
10-Year | 14.86 | % | 14.69 | % | 14.57 | % | |||||||||
Since Inception | 7.64 | % | 6.81 | % | 10.81 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Growth Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: sales growth, earnings to price and momentum. The index is comprised of stocks identified as pure growth, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.
2 The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. Companies in this index tend to exhibit higher price-to-book and price-earnings ratios, lower dividend yields and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Growth Portfolio — Class 1
The SA Multi-Managed Large Cap Growth Portfolio — Class 1 shares returned 0.39% for the 12-month period ending March 31, 2022, compared to a 18.16% return for the S&P® 500 Growth Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the S&P® 500 Growth Index, a strategy known as "replication." The Portfolio utilizes index futures to equitize cash and to provide returns similar to that of the benchmark over time. The use of index futures contributed positively to performance over the period.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
442
SA Multi-Managed Large Cap Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Morgan Stanley Investment Management trailed its benchmark for the period largely due to unfavorable stock selection. Large-cap growth equities advanced over the year, led by energy stocks. All sectors gained over the period except for materials, which posted a small loss and was the largest underperformer in the Russell 1000 Growth Index. Negative stock selection in information technology drove the majority of the Portfolio's relative underperformance. Shopify Inc., Class A was the largest detractor within the sector and second largest across the Portfolio's holdings. Stock selection in communication services was disadvantageous, with ROBLOX Corp., Class A the greatest detractor in the sector and across the Portfolio's holdings. Stock selection in the consumer discretionary, industrials and health care sectors also underperformed. Consumer staples was the only positive relative contributor at the sector level, as stock selection was favorable, driven by gains from Costco Wholesale Corp. that more than offset the negative impact of a sector underweight. A sector underweight in consumer discretionary was modestly beneficial, but not enough to overcome negative stock selection within the sector. The real estate and utilities sectors, which the Portfolio had no exposure to, had minimal impact on performance. During the period, the Portfolio had a small derivatives investment, over the counter put options on the Chinese yuan, which had a negative impact on performance. The put options are designed to provide a potential hedge to equities in the Portfolio that are exposed, directly or indirectly, to China.
The Portfolio component managed by Goldman Sachs Asset Management, L.P. trailed its benchmark for the period. The information technology and consumer discretionary sectors detracted from performance, while the industrials and financials sectors contributed to returns. Key contributors to performance in the industrials sector included Union Pacific Corp. and Deere & Co., while the top contributors to performance within the financials sector included Charles Schwab Corp. and Intercontinental Exchange, Inc. Key detractors from performance in the information technology sectors were PayPal Holdings, Inc. and Apple, Inc. The top detractors in the consumer discretionary sector included Tesla, Inc. and Farfetch, Ltd., Class A.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
443
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | American Century Investment Management Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Large Cap Value Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 13.16 | % | 13.02 | % | 12.90 | % | |||||||||
5-Year | 10.14 | % | 9.96 | % | 9.85 | % | |||||||||
10-Year | 10.55 | % | 10.39 | % | 10.27 | % | |||||||||
Since Inception | 7.35 | % | 7.20 | % | 8.80 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The S&P 500® Value Index is constructed by measuring growth and value characteristics of the constituents of the S&P 500® Index across six factors including: book value to price ratio, earnings to price ratio and sales to price ratio. The index is comprised of stocks identified as pure value, plus a portion of the market capitalization of stocks that are neither classified as pure growth nor pure value. The style index series is unmanaged and market capitalization weighted.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Large Cap Value Portfolio — Class 1
The SA Multi-Managed Large Cap Value Portfolio — Class 1 shares returned 13.16% for the 12-month period ending March 31, 2022, compared to a 12.58% return for the S&P® 500 Value Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the S&P® 500 Value Index, a strategy known as "replication."
The Portfolio component managed by American Century Investment Management, Inc. outperformed its benchmark for the period. Sector allocation positively impacted the Portfolio's relative performance. The Portfolio's underweights in the information technology, industrials, consumer discretionary and communication services sectors helped relative returns. In addition, the Portfolio's overweight in financials was beneficial. Security selection also buoyed the Portfolio's relative results, particularly in the information technology, industrials and consumer discretionary sectors. The Portfolio's top individual contributors were positions in the energy sector, including ConocoPhillips, Baker Hughes Co., and Chevron Corp. These energy holdings were supported by rising oil prices.
On the other hand, security selection in the consumer staples and materials sectors negatively impacted relative results. Within consumer staples, Unilever PLC was a key detractor. Sharply rising commodity prices drove investors' fears that Unilever PLC's margins may be pressured due to inflation in the company's input costs.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
444
SA Multi-Managed Large Cap Value Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP outperformed its benchmark for the period. Security selection drove relative outperformance. Strong selection in health care, industrials, and communication services was partially offset by weaker selection in information technology, energy, and consumer discretionary. Sector allocation, a result of the bottom-up stock selection process, also benefitted relative results. Allocation effect was driven by the Portfolio's underweights to communication services and consumer discretionary, along with an overweight to health care. This was partially offset by the Portfolio's underweight to energy, and overweights to information technology and materials.
Top relative contributors during the period included not holding Walt Disney Co., as well as the Portfolio's overweight positions in Eli Lilly & Co. and Pioneer Natural Resources Co. Top relative detractors during the period included not holding Berkshire Hathaway, along with overweight positions in Qorvo, Inc and Global Payments, Inc.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
445
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Wellington Management Company LLP SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –5.65 | % | –5.76 | % | –5.88 | % | |||||||||
5-Year | 15.87 | % | 15.71 | % | 15.58 | % | |||||||||
10-Year | 13.42 | % | 13.26 | % | 13.14 | % | |||||||||
Since Inception | 10.07 | % | 8.31 | % | 11.81 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell Midcap® Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Growth Portfolio — Class 1
The SA Multi-Managed Mid Cap Growth Portfolio — Class 1 shares returned –5.65% for the 12-month period ending March 31, 2022, compared to a –0.89% return for the Russell Midcap Growth Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the Russell Midcap Growth Index, a strategy known as "replication."
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark for the period. Stock selection in the consumer discretionary sector contributed the most to relative performance. Not owning certain poorer performing consumer discretionary stocks helped performance, as did owning strong performers, such as AutoZone, Inc. Stock choices in the health care sector also contributed considerably to relative results. The Portfolio's position in McKesson Corp. produced a very strong total return over the last year. Stock selection in the consumer staples sector made a more modest contribution to relative performance; the Portfolio's position in Darling Ingredients, Inc. strongly outperformed the sector. Stock selection in the communication services sector partially offset the negative impact of an overweight in this poor-performing sector; the Portfolio's position in Cable One, Inc. outperformed the sector. Stock choices in the financials sector, such as SelectQuote, Inc. which fell sharply before the position was eliminated, also hurt relative results. In addition, stock selection in the industrials and business services sector, such as Fastenal, detracted from performance. Sector allocations overall had a negative impact on the Portfolio's relative performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
446
SA Multi-Managed Mid Cap Growth Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Wellington Management Company LLP trailed its benchmark for the period. Security selection was the primary driver of relative underperformance. Stock selection was weakest within consumer discretionary, health care, and industrials. Selection in communication services partially offset negative performance from the sector. Sector allocation, a result of the bottom-up stock selection process, also detracted from relative returns during the period. The most significant detraction from relative results came from the Portfolio's overweight allocations to communication services and consumer discretionary. In contrast, the Portfolio's underweight exposure to materials contributed to relative returns. Top detractors to relative performance during the period included overweight positions in DraftKings, RingCentral, and Oak Street Health. Top contributors to relative performance during the period included overweight positions in Arista Networks, Marvell Technology, and Dexcom.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
447
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Massachusetts Financial Services Company SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed Mid Cap Value Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 12.04 | % | 11.89 | % | 11.69 | % | |||||||||
5-Year | 10.10 | % | 9.93 | % | 9.82 | % | |||||||||
10-Year | 10.99 | % | 10.83 | % | 10.71 | % | |||||||||
Since Inception | 9.81 | % | 9.41 | % | 9.89 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell Midcap® Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Mid Cap Value Portfolio — Class 1
The SA Multi-Managed Mid Cap Value Portfolio — Class 1 shares returned 12.04% for the 12-month period ending March 31, 2022, compared to a 11.45% return for the Russell Midcap Value Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invests in all or substantially all of the stocks included in the Russell Midcap Value Index, a strategy known as "replication."
The Portfolio component managed by Massachusetts Financial Services Company outperformed its benchmark for the period. Stock selection within the industrials sector contributed to performance relative to the Russell Midcap Value Index, led by the Portfolio's holding in KBR, Inc. A combination of underweighting and security selection within the information technology sector also strengthened relative results, with the Portfolio's underweight position in shares of Marvell Technology, Inc leading the way. Security selection and an overweight position in the financials sector further boosted relative returns. Here, an overweight holding of Athene, Inc supported relative performance. Stocks in other sectors that helped relative results included overweight positions in Life Storage, Inc, Devon Energy Corp., Diamondback Energy, Inc., Albertsons Cos., Inc., Targa Resources Corp., and Pioneer Natural Resources Co. Avoiding poor-performing Twitter, Inc. further bolstered relative performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
448
SA Multi-Managed Mid Cap Value Portfolio Class 1 (unaudited) (continued)
Security selection within both the materials and consumer staples sectors hampered relative performance. Within the materials sector, not owning strong-performing Nucor held back relative returns. Within the consumer staples sector, the Portfolio's overweight holding of Energizer Holdings, Inc. harmed relative results. Elsewhere, the Portfolio's holdings of Global Payments, Inc. and Urban Outfitters, Inc. weighed on relative results. Additionally, not owning shares of Occidental Petroleum and Marathon Petroleum harmed relative performance. The Portfolio's overweight holdings of Stanley Black & Decker, Inc., Toll Brothers, Inc., Lear Corp., and Zebra Technologies Corp. further weakened relative returns.
The Portfolio component managed by T. Rowe Price Associates, Inc. outperformed its benchmark for the period. Favorable sector allocations more than offset negative stock selection. Energy contributed the most to relative performance due to an overweight allocation to the sector, which outperformed the benchmark. This effect outweighed the adverse impact of stock selection in the sector. The Portfolio's holdings in Imperial Oil, Ltd. and Canadian Natural Resources, Ltd., whose respective shares roughly doubled over the period, ranked among the Portfolio's largest absolute contributors. Industrials and business services stocks added value owing to positive selection and an underweight allocation to the sector, which underperformed the benchmark. Textron, Inc., a U.S. industrial conglomerate, led contributors in the sector. Conversely, the health care sector detracted the most from relative performance due to negative stock selection, particularly in the health care providers and services industry. An overweight to the health care sector, which lagged the benchmark, further detracted. Real estate also hurt relative returns owing to an underweight allocation to the sector, which outperformed the benchmark.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
449
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | SunAmerica Asset Management, LLC Schroder Investment Management North America Inc. J.P. Morgan Investment Management Inc. |
Growth of a $10,000 Investment
SA Multi-Managed Small Cap Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 0.33 | % | 0.14 | % | 0.06 | % | |||||||||
5-Year | 9.74 | % | 9.57 | % | 9.46 | % | |||||||||
10-Year | 9.73 | % | 9.56 | % | 9.46 | % | |||||||||
Since Inception | 6.14 | % | 5.25 | % | 8.44 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index, and generally represents less than 10% of the total market capitalization of the Russell 3000® Index.
2 The Russell 2000® Value Index measures the performance of those Russell 2000® companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Small Cap Portfolio — Class 1
The SA Multi-Managed Small Cap Portfolio — Class 1 shares returned 0.33% for the 12-months ended March 31, 2022, compared to a –5.79% return for the Russell 2000 Index.
The Portfolio component managed by SunAmerica Asset Management, LLC invest in all or substantially all of the stocks included in the S&P Small Cap 600® Index, a strategy known as "replication."
The Portfolio component managed by J.P. Morgan Investment Management, Inc. outperformed its benchmark for the period. On the positive side, holdings in the software & services, health services & systems and retail sectors contributed most to performance. At the individual stock level, overweight positions in Allscripts Healthcare Solutions, Inc., Herc Holdings, Inc. and Perficient, Inc. were the top individual contributors. On the negative side, holdings in the semiconductors, utilities and industrial cyclical sectors detracted most from performance. At the individual stock level, an underweight allocation in Avis Budget, Inc. and overweight positions in Sleep Number Corp. and Cardiovascular Systems, Inc. were the top individual detractors from results. While the Portfolio seeks to be sector neutral, as of March 31, 2022, the Portfolio's largest overweight exposures were in the media, systems hardware and software & services sectors. The largest underweight exposures were in the industrial cyclical, finance and utilities sectors. During the period, the Portfolio used futures to more effectively gain targeted equity exposure from the Portfolio's cash positions and for the purpose of reducing transaction costs and managing risk. Overall, the Portfolio's use of equity futures detracted from absolute performance for the year.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
450
SA Multi-Managed Small Cap Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Schroder Investment Management North America Inc. outperformed its benchmark for the period. This year, companies with negative earnings lagged companies with positive earnings; a reversal of the previous year. Value outperformed growth over the year, also a reversal versus last year. Dispersion between growth and value has been quite high over the past two years. Health care and consumer discretionary were the strongest performing sectors in terms of total effect. Health care was one of the best contributors due to the Portfolio's underweight to the sector, particularly a low weight in biotech. Biotech was one of the worst performing industries and comprises of 50% of the health care sector's weight. The Portfolio's sector weight averaged 1.45% for the period. Consumer discretionary performed well due to stock selection in the home construction and media agencies industries. Over the year, the Portfolio's allocation to basic materials, consumer discretionary and financials was lowered while allocations to energy and real estate increased. Stock selection was the main driver of outperformance for the period, with positive selection in nine of 11 sectors. Examples of stocks held that contributed positively include Perficient, a global digital consultancy company, and Univar Solutions, which is a global chemical and ingredient distributor. Information technology and basic materials also contributed heavily. Information technology was led by the performance of the software and computer services industries, while the specialty chemicals and diversified chemicals industries led the way for basic materials. The Portfolio's defensive stocks are non-cyclical and have recurring revenue streams and growth characteristics. The group outperformed and help defend in down markets. They were led by Perficient.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
451
SA Multi-Managed International Equity Portfolio Class 1 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Managers: | T. Rowe Price Associates, Inc. Schroder Investment Management North America Inc. SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Multi-Managed International Equity Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –0.84 | % | –1.08 | % | –1.18 | % | |||||||||
5-Year | 7.21 | % | 7.06 | % | 6.96 | % | |||||||||
10-Year | 5.72 | % | 5.55 | % | 5.45 | % | |||||||||
Since Inception | 3.03 | % | 2.63 | % | 5.97 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid-cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The Index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed International Equity Portfolio — Class 1
The SA Multi-Managed International Equity Portfolio — Class 1 shares returned –0.84% for the 12-month period ending March 31, 2022, compared to a 1.16% return for the MSCI EAFE Index (net).
The Portfolio component managed by SunAmerica Asset Management, LLC invest in all or substantially all of the stocks included in the MSCI EAFE Index (net), a strategy known as "replication."
The Portfolio component managed by T. Rowe Price Associates, Inc. underperformed its benchmark for the period. Negative stock selection drove underperformance and outweighed slightly positive sector allocations. Consumer discretionary stocks detracted the most from relative performance due to adverse selection, led by holdings in the internet and direct marketing retail industry. The health care sector hurt relative returns mostly owing to negative stock selection. However, an overweight to the health care sector, which outperformed the benchmark, tempered the impact of unfavorable selection. On the other hand, utilities added the most to relative performance mostly due to positive stock selection. An underweight to utilities, which lagged the benchmark, also bolstered relative returns. The consumer staples sector added value owing to favorable stock selection. From a regional perspective, adverse allocation decisions drove underperformance and outweighed positive stock selection. Developed Europe weighed on relative returns the most chiefly due to negative stock selection. Japan added the most value due to positive stock selection and an underweight allocation to the country, which lagged the benchmark.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
452
SA Multi-Managed International Equity Portfolio Class 1 (unaudited) (continued)
The Portfolio component managed by Schroder Investment Management North America Inc. underperformed its benchmark for the period. Stock selection in industrials proved to be a headwind for relative performance. Danish wind turbine supplier Vestas Wind Systems A/S was a substantial detractor. Elsewhere in the Portfolio, Chinese information technology stocks Tencent Holdings, Ltd. and Alibaba Group Holding, Ltd. also proved to be a drag on returns. Conversely, the Portfolio's energy holdings, Equinor ASA and Shell PLC, were particularly strong. Stock selection in aggregate was positive, but was offset by weaker sector allocation with holdings in the industrials, information technology, and materials sectors being the primary detractors from relative returns. Conversely, stock picks in energy, consumer staples, health care and utilities made a positive contribution. Holdings in Continental Europe, Japan and North America contributed positively, with the remaining regions weighing on performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
453
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited)
Investment Goal: | Relatively high current income and secondarily capital appreciation | ||||||
Managers: | PineBridge Investments LLC Wellington Management Company LLP |
Growth of a $10,000 Investment
SA Multi-Managed Diversified Fixed Income Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | –4.61 | % | –4.78 | % | –4.83 | % | |||||||||
5-Year | 2.12 | % | 1.97 | % | 1.87 | % | |||||||||
10-Year | 2.12 | % | 1.98 | % | 1.87 | % | |||||||||
Since Inception | 3.61 | % | 3.53 | % | 3.09 | % |
* Inception date for Class 1: 02/08/99; Class 2: 10/16/00; Class 3: 11/11/02
1 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Bloomberg U.S. Government Bond Index is comprised of the U.S. Treasury and U.S. Agency Indices. The U.S. Government Index includes Treasuries (public obligations of the U.S. Treasury that have remaining maturities of more than one year) and U.S. agency debentures (publicly issued debt of U.S. Government agencies, quasi-federal corporations, and corporate or foreign debt guaranteed by the U.S. Government).
3 The Bloomberg U.S. Corporate IG Index measures publicly issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. To qualify, bonds must be SEC-registered.
4 The Bloomberg U.S. Agency Fixed Rate MBS Index covers agency fixed-rate mortgage-backed pass-through securities (MBS) issued by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC).
5 The Bloomberg CMBS ERISA Eligible Index has been designed to measure the performance of the commercial mortgage-backed securities (CMBS) market.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Multi-Managed Diversified Fixed Income Portfolio — Class 1
The SA Multi-Managed Diversified Fixed Income Portfolio — Class 1 shares returned –4.61% for the 12-month period ending March 31, 2022, compared to a –4.15% return for the Bloomberg U.S. Aggregate Bond Index.
The Portfolio component passively managed by PineBridge Investments, LLC seeks to invest in a sampling of securities included in the Bloomberg U.S. Government Bond Index by utilizing a statistical technique known as "optimization."
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
454
SA Multi-Managed Diversified Fixed Income Portfolio Class 1 (unaudited) (continued)
The Portfolio component actively managed by PineBridge Investments, LLC, underperformed its benchmark for the period. For the period, the option-adjusted spread of the Bloomberg U.S. Aggregate Bond Index moved wider by 10 basis points. Asset allocation was negative due to the underweight allocation to the government sector and overweight allocation in non-corporate sectors. Security selection was positive driven by select securities in the energy and financials sectors. The Portfolio's duration was slightly short of the Bloomberg U.S. Aggregate Bond Index which contributed to performance as yields rose during the period.
The Portfolio component managed by Wellington Management Company LLP underperformed its benchmark for the period. The Portfolio's underweight positioning to agency mortgage-backed securities (MBS) had a negative impact on relative performance. Additionally, the Portfolio held select emerging markets sovereign debt which detracted. The Portfolio's overall modest underweight to and security selection within investment grade credit, particularly industrials, contributed to relative performance. The Portfolio's allocation to high yield credit and an out-of-benchmark allocation to bank loans, particularly industrials in both sectors, contributed favorably.
The Portfolio's allocation to securitized sectors, including an underweight in commercial mortgage-backed securities (CMBS), along with out-of-benchmark allocations to collateralized loan obligations (CLO) and non-agency residential mortgage-backed securities (RMBS), had a positive impact on relative performance during the period. Finally, the Portfolio's out-of-benchmark allocation to Treasury Inflation Protected Securities (TIPS) contributed positively to performance. During the period, the Portfolio used interest rate futures to manage duration and yield curve exposure. Overall, the positioning had a negative impact on absolute performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
455
SA American Century Inflation Protection Portfolio Class 3 (unaudited)
Investment Goal: | Long-term total return using a strategy that seeks to protect against U.S. inflation. | ||||||
Manager: | American Century Investment Management, Inc. |
Growth of a $10,000 Investment
SA American Century Inflation Protection Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 3* | ||||||||||
1-Year | 4.37 | % | 4.00 | % | |||||||
5-Year | 3.64 | % | 3.38 | % | |||||||
10-Year | 2.08 | % | 1.82 | % | |||||||
Since Inception | 2.13 | % | 2.80 | % |
* Inception date for Class 1: 01/23/12; Class 3: 02/14/05
1 The Bloomberg World Government Inflation Linked 1-10 Year Bond Index (Hedged to USD) measures the performance of the major government inflation-linked bond markets. This index includes securities with maturities greater than one year but less than 10 years and is hedged to the US Dollar.
2 The Bloomberg 1-10 Year U.S. Treasury Inflation Protected Securities (TIPS) Index measures the performance of inflation protected securities issued by the US Treasury with maturities greater than one year but less than 10 years.
3 The Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index measures the performance of fixed-income securities with fixed-rate coupon payments that adjust for inflation, as measured by the Consumer Price Index for All Urban Consumers.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA American Century Inflation Protection Portfolio — Class 3
The SA American Century Inflation Protection Portfolio — Class 3 shares returned 4.00% for the 12-month period ending March 31, 2022.
Effective February 22, 2022, the Portfolio changed subadvisor from Wellington Management Company LLP to American Century Investment Management, Inc. and changed benchmark from the Bloomberg World Government Inflation Linked 1-10 Year Index (Hedged), and the Bloomberg 1-10 Year U.S. Treasury Inflation Protected Securities Index to the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index.
For the Period from April 1, 2021 to February 21, 2022, the Portfolio managed by Wellington Management Company LLP posted a return of 2.98% compared to a 3.82% return for the Bloomberg World Government Inflation Linked 1-10 Year Index (Hedged), and a 3.52% return for the Bloomberg 1-10 Year U.S. Treasury Inflation Protected Securities Index.
The Portfolio's positioning in non-USD linkers in the Portfolio was a detractor from performance overall, particularly an underweight to United Kingdom linkers as was an underweight and positioning within United States Treasury Inflation Protected Securities (TIPS). The Portfolio's exposure to high yield modestly detracted. The Portfolio's allocation to credit was a net contributor to relative performance, as the Portfolio's out-of-benchmark exposure to bank loans, securitized credit (collateralized loan obligations, commercial mortgage-backed securities, non-agency residential mortgage-backed securities), and investment grade credit had a positive impact. The Portfolio's overweight position to Canadian linkers was additive to relative performance during the year.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
456
SA American Century Inflation Protection Portfolio Class 3 (unaudited) (continued)
The Portfolio hedges foreign currency exposure using currency forwards. Overall, the Portfolio's currency hedges contributed to total returns.
For the Period from February 22, 2022 to March 31, 2022, the Portfolio managed by American Century Investment Management, Inc. posted a return of 1.00%, compared to a 0.52% return for the Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index. During the period, the Portfolio was transitioning to management by American Century Investment Management, Inc.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
457
SA Columbia Focused Value Portfolio Class 2 (unaudited)
Investment Goal: | Long-term growth of capital | ||||||
Manager: | Columbia Management Investment Advisers, LLC |
Growth of a $10,000 Investment
SA Columbia Focused Value Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 2* | Class 3* | |||||||||||||
1-Year | 12.61 | % | 12.48 | % | 12.32 | % | |||||||||
5-Year | 12.73 | % | 12.57 | % | 12.45 | % | |||||||||
10-Year | 12.57 | % | 12.41 | % | 12.29 | % | |||||||||
Since Inception | 12.80 | % | 9.55 | % | 10.48 | % |
* Inception date for Class 1: 01/23/12; Class 2: 10/01/01; Class 3: 11/11/02
1 The Russell 1000® Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Columbia Focused Value Portfolio — Class 2
The SA Columbia Focused Value Portfolio — Class 2 shares returned 12.48% for the 12-month period ending March 31, 2022, compared to a return of 11.67% for the Russell 1000 Value Index.
U.S. equity markets generally delivered strong positive returns during the period with 10 of 11 sectors in the S&P 500® Index delivering positive returns. Despite divergence throughout most of the period, growth stocks and value stocks each produced double-digit returns.
Sector allocation was the primary driver of outperformance. An overweight to energy, materials, and utilities helped relative results, as did an underweight to communication services and industrials. Detractors included an overweight to information technology and an underweight to real estate.
Security selection contributed to relative results, particularly within information technology, industrials, and materials. Top individual contributors included refiner Marathon Petroleum Corp., copper miner Freeport-McMoRan, Inc., pipeline operator Williams Cos., Inc., electric utility FirstEnergy Corp., and agricultural chemical provider FMC Corp. Detractors included internet and direct marketing retailer Qurate Retail, Inc., Series A diversified bank Citigroup, Inc., telecom provider Verizon Communications, Inc., electronics component maker Corning, Inc., and health care equipment provider Baxter International, Inc.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
458
SA Allocation Growth Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 3* | ||||||||||
1-Year | 3.85 | % | 3.58 | % | |||||||
5-Year | 10.33 | % | 10.05 | % | |||||||
10-Year | N/A | 8.99 | % | ||||||||
Since Inception | 10.54 | % | 6.63 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 57% Russell 3000® Index, 23% MSCI EAFE Index (net) and 20% Bloomberg U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Growth Portfolio — Class 3
The SA Allocation Growth Portfolio — Class 3 shares posted a return of 3.58% for the 12-month period ending March 31, 2022, compared to a 11.92% return for the Russell 3000 Index, a 1.16% return for the MSCI EAFE Index (net), a –4.15% return for the Bloomberg U.S. Aggregate Bond Index, and a 6.18% return for the Blended Index (57% Russell 3000 Index, 23% MSCI EAFE Index (net), and 20% Bloomberg U.S. Aggregate Bond Index).
The sharp rise of inflation and the war in Ukraine negatively impacted both equity and bond markets in the latter part of the period. The first quarter of 2022 also saw the Bloomberg U.S. Aggregate Bond Index's lowest quarterly return since 1980.
Manager contribution was the leading detractor from relative results as underlying equity portfolios, in aggregate, underperformed their respective benchmarks. Allocations to underlying portfolios investing in small-cap, mid-cap, and emerging market equities also detracted from performance. However, this was partially offset by a positive contribution from an underweight exposure to international underlying portfolios and a small allocation to REITs.
An underweight to the lagging fixed income asset class was also beneficial to returns. Allocations to underlying portfolios investing in inflation-protected securities and high yield bonds further aided performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
459
SA Allocation Moderate Growth Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Growth Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 3* | ||||||||||
1-Year | 2.49 | % | 2.18 | % | |||||||
5-Year | 8.90 | % | 8.63 | % | |||||||
10-Year | N/A | 7.66 | % | ||||||||
Since Inception | 9.01 | % | 5.93 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 47% Russell 3000® Index, 18% MSCI EAFE Index (net) and 35% Bloomberg U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Growth Portfolio — Class 3
The SA Allocation Moderate Growth Portfolio — Class 3 shares posted a return of 2.18% for the 12-month period ending March 31, 2022, compared to a 11.92% return for the Russell 3000 Index, a 1.16% return for the MSCI EAFE Index, a –4.15% return for the Bloomberg U.S. Aggregate Bond Index, and a 4.30% return for the Blended Index (47% Russell 3000 Index, 18% MSCI EAFE Index, and 35% Bloomberg U.S. Aggregate Bond Index).
The sharp rise of inflation and the war in Ukraine negatively impacted both equity and bond markets in the latter part of the period. The first quarter of 2022 also saw the Bloomberg U.S. Aggregate Bond Index's lowest quarterly return since 1980.
Manager contribution was the leading detractor from relative results as underlying equity portfolios, in aggregate, underperformed their respective benchmarks. Allocations to underlying portfolios investing in small-cap, mid-cap, and emerging market equities also detracted from performance. However, this was partially offset by a positive contribution from an underweight exposure to international underlying portfolios and a small allocation to REITs.
An underweight to the lagging fixed income asset class was also beneficial to returns. Allocations to underlying portfolios investing in inflation-protected securities, high yield and corporate bonds further aided performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
460
SA Allocation Moderate Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation and moderate current income | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Moderate Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 3* | ||||||||||
1-Year | 1.57 | % | 1.35 | % | |||||||
5-Year | 7.96 | % | 7.69 | % | |||||||
10-Year | N/A | 6.89 | % | ||||||||
Since Inception | 8.00 | % | 5.68 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg Capital fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 41% Russell 3000® Index, 14% MSCI EAFE Index (net) and 45% Bloomberg U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Moderate Portfolio — Class 3
The SA Allocation Moderate Portfolio — Class 3 shares posted a return of 1.35% for the 12-month period ending March 31, 2022, compared to a 11.92% return for the Russell 3000 Index, a 1.16% return for the MSCI EAFE Index (net), a –4.15% return for the Bloomberg U.S. Aggregate Bond Index, and a 3.12% return for the Blended Index (41% Russell 3000 Index, 14% MSCI EAFE Index (net), and 45% Bloomberg U.S. Aggregate Bond Index).
The sharp rise of inflation and the war in Ukraine negatively impacted both equity and bond markets in the latter part of the period. The first quarter of 2022 also saw the Bloomberg U.S. Aggregate Bond Index's lowest quarterly return since 1980.
Manager contribution was the leading detractor from relative results as underlying equity portfolios, in aggregate, underperformed their respective benchmarks. Allocations to underlying portfolios investing in small-cap, mid-cap, and emerging market equities also detracted from performance. However, this was partially offset by a positive contribution from an underweight exposure to international underlying portfolios and a small allocation to REITs.
An underweight to the lagging fixed income asset class was also beneficial to returns. Allocations to underlying portfolios investing in inflation-protected securities and high yield bonds further aided performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
461
SA Allocation Balanced Portfolio Class 3 (unaudited)
Investment Goal: | Long-term capital appreciation and current income | ||||||
Manager: | SunAmerica Asset Management, LLC |
Growth of a $10,000 Investment
SA Allocation Balanced Portfolio
Average Annual Total Returns as of 03/31/22
Class 1* | Class 3* | ||||||||||
1-Year | 0.20 | % | –0.11 | % | |||||||
5-Year | 6.37 | % | 6.14 | % | |||||||
10-Year | N/A | 5.78 | % | ||||||||
Since Inception | 6.31 | % | 5.14 | % |
* Inception date for Class 1: 09/26/16; Class 3: 02/14/05
1 The Bloomberg U.S. Aggregate Bond Index combines several Bloomberg fixed-income indices to give a broad view of the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset backed securities.
2 The Blended Index consists of 30% Russell 3000® Index, 10% MSCI EAFE Index (net) & 60% Bloomberg U.S. Aggregate Bond Index.
3 The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies representing approximately 98% of the investable U.S. equity market.
4 MSCI EAFE Index (net) (Europe, Australasia, Far East) captures large and mid cap representation across 21 of 23 developed markets, excluding U.S. and Canada. The index covers approximately 85% of the free-float adjusted market capitalization in each country. The net index approximates the minimum possible dividend reinvestment and assumes that the dividend is reinvested after the deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties.
Note:The performance data quoted represents past performance; past performance does not guarantee future results; the investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost; current performance may be lower or higher than the performance data quoted. Please visit www.aig.com/annuities for performance data current to the most recent month-end.
SA Allocation Balanced Portfolio — Class 3
The SA Allocation Balanced Portfolio — Class 3 shares posted a return of –0.11% for the 12-month period ending March 31, 2022, compared to a 11.92% return for the Russell 3000 Index, a 1.16% return for the MSCI EAFE Index (net), a –4.15% return for the Bloomberg U.S. Aggregate Bond Index, and a 1.14% return for the Blended Index (30% Russell 3000 Index, 10% MSCI EAFE Index (net), and 60% Bloomberg U.S. Aggregate Bond Index).
The sharp rise of inflation and the war in Ukraine negatively impacted both equity and bond markets in the latter part of the period. The first quarter of 2022 also saw the Bloomberg U.S. Aggregate Bond Index's lowest quarterly return since 1980.
Manager contribution was the leading detractor from relative results as underlying equity portfolios, in aggregate, underperformed their respective benchmarks. Allocations to underlying portfolios investing in small-cap, mid-cap, and emerging market equities also detracted from performance. However, this was partially offset by a positive contribution from an underweight exposure to international underlying portfolios and a small allocation to REITs.
An underweight to the lagging fixed income asset class was also beneficial to returns. Allocations to underlying portfolios investing in inflation-protected securities and high yield bonds further aided performance.
Past performance is no guarantee of future results. Securities listed may or may not be a part of current portfolio construction.
462
Filed under Rule 497(e) and Rule 497(k)
Registration No. 033-08653
SEASONS SERIES TRUST
Supplement to the Prospectus
Seasons Series Trust
SA Multi-Managed Mid Cap Value Portfolio (the "Portfolio")
Supplement dated April 1, 2022
to the Portfolio's Summary Prospectus, Prospectus and Statement of Additional Information, each dated
July 29, 2021, as supplemented and amended to date
At a meeting held on March 31, 2022, the Board of Trustees of Seasons Series Trust approved an amendment to the Subadvisory Agreement between SunAmerica Asset Management, LLC and T. Rowe Price Associates, Inc. with respect to the Portfolio. Pursuant to the amendment, the subadvisory fee rate under the Subadvisory Agreement is reduced at certain asset levels effective April 1, 2022. There is no change to the advisory fee charged to the Portfolio.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE
SCSP-812546-LCG1 (3/22)
463
SEASONS SERIES TRUST
Results of Joint Special Meeting of Shareholders (unaudited)
On March 2, 2022, a Joint Special Meeting of Shareholders of SA Multi-Managed Large Cap Growth Portfolio was held to consider a proposal to approve a change to the SA Multi-Managed Large Cap Growth Portfolio's sub-classification under the Investment Company Act of 1940 from "diversified" to "non-diversified". The proposal was approved and voting results of this Joint Special Meeting of Shareholders were as follows:
For | Against | Abstain | |||||||||
34,233,249.656 | 321,706.308 | 331,943.406 |
On March 2, 2022, a Joint Special Meeting of Shareholders of SA T. Rowe Price Growth Stock Portfolio was held to consider a proposal to approve a change to the SA T. Rowe Price Growth Stock Portfolio's sub-classification under the Investment Company Act of 1940 from "diversified" to "non-diversified". The proposal was approved and voting results of this Joint Special Meeting of Shareholders were as follows:
For | Against | Abstain | |||||||||
17,427,761.158 | 11,175.982 | 0 |
464
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 with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-PORT. The Trust's Forms N-PORT are available on the U.S. Securities and Exchange Commission's website at http://www.sec.gov.
This report is submitted solely for the general information of shareholders of the Trust. Distribution of this report to persons other than shareholders of the Trust is authorized only in connection with a currently effective prospectus, setting forth details of the Trust, which must precede or accompany this report.
The accompanying report has not been audited by independent accountants and accordingly no opinion has been expressed thereon.
465
PRSRT BPM
U.S. POSTAGE
PAID
TOPPAN MERRILL
ANNUITY SERVICE CENTER
P.O. BOX 15570
AMARILLO, TX 79105-5570
CHANGE SERVICE REQUESTED
J1906AR.18 (5/22)
Item 2. Code of Ethics.
Seasons Series Trust (“the registrant”) has adopted a Code of Ethics applicable to its Principal Executive and Principal Accounting Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (the “Code”). During the fiscal year ended March 31, 2022, there were no reportable waivers or implicit waivers to a provision of the Code that applies to the registrant’s Principal Executive and Principal Accounting Officers (the “Covered Officers”).
Item 3. Audit Committee Financial Expert.
The registrant’s Board of Trustees has determined that Jane Jelenko, Garrett F. Bouton, Tracey C. Doi and Charles H. Self III each qualify as audit committee financial experts, as defined in the instructions to Item 3(b) of Form N-CSR. Ms. Jelenko, Mr. Bouton, Ms. Doi and Mr. Self are considered to be “independent” for purposes of Item 3(a) (2) of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
(a) – (d) Aggregate fees billed to the registrant for the last two fiscal years for professional services rendered by the registrant’s principal accountant were as follows:
2021 | 2022 | ||||||
(a) Audit Fees | $ | 773,032 | $ | 788,492 | |||
(b) Audit-Related Fees | $ | 0 | $ | 0 | |||
(c) Tax Fees | $ | 173,247 | $ | 175,482 | |||
(d) All Other Fees | $ | 0 | $ | 0 |
Audit Fees include amounts related to the audit of the registrant’s annual financial statements and services normally provided by the principal accountant in connection with statutory and regulatory filings. Tax Fees principally include tax compliance, tax advice, tax planning and preparation of tax returns.
Aggregate fees billed to the investment adviser and Adviser Affiliates (as defined below in Item 4(e)) that are required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X for the last two fiscal years for services rendered by the registrant’s principal accountant were as follows:
2021 | 2022 | ||||||
(b) Audit-Related Fees | $ | 0 | $ | 0 | |||
(c) Tax Fees | $ | 0 | $ | 0 | |||
(d) All Other Fees | $ | 388,822 | $ | 209,002 |
(e) (1) The registrant’s audit committee pre-approves all audit services provided by the registrant’s principal accountant for the registrant and all non-audit services provided by the registrant’s principal accountant for the registrant, its investment adviser and any entity controlling, controlled by, or under common control with the investment adviser (“Adviser Affiliates”) that provides ongoing services to the registrant, if the engagement by the investment adviser or Adviser Affiliates relates directly to the operations and financial reporting of the registrant. The audit committee has not presently established any pre-approval policies and procedures that permit the pre-approval of the above services other than by the full audit committee. Certain de minimis exceptions are allowed for non-audit services in accordance with Rule 2-01(c)(7)(i)(C) of Regulation S-X as set forth in the registrant’s audit committee minutes.
(2) No services included in (b)-(d) above in connection with fees billed to the registrant or the investment adviser or Adviser Affiliates were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) Not applicable.
(g) The aggregate fees billed for the most recent fiscal year and the preceding fiscal year by the registrant’s principal accountant for non-audit services rendered to the registrant, its investment adviser, and Adviser Affiliates that provides ongoing services to the registrant for 2021 and 2022 were $961,264 and $412,084, respectively.
(h) Non-audit services rendered to the registrant’s investment adviser and any Adviser Affiliates that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X were considered by the registrant’s audit committee as to whether they were compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
Included in Item 1 to the Form.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(3) Not applicable.
(4) Not applicable.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Seasons Series Trust | ||
By: | /s/ John T. Genoy | |
John T. Genoy | ||
President | ||
Date: June 8, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John T. Genoy | |
John T. Genoy | ||
President | ||
Date: June 8, 2022 | ||
By: | /s/ Gregory R. Kingston | |
Gregory R. Kingston | ||
Treasurer | ||
Date: June 8, 2022 |