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
30 Hudson Street, 16th Floor
Jersey City, NJ 07302
(Name and address of agent for service)
Registrant’s telephone number, including area code: (201) 324-6414
Date of fiscal year end: March 31
Date of reporting period: September 30, 2023
Item 1. Reports to Stockholders
SEASONS SERIES TRUST
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2023
Seasons Series Trust
SEMI-ANNUAL REPORT SEPTEMBER 30, 2023
TABLE OF CONTENTS
| * | Not Part of the Semi-Annual Report |
Seasons Series Trust
PRESIDENT’S LETTER
Dear Seasons Series Trust Investor:
We are pleased to present the semiannual 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 September 30, 2023.
If you have any questions regarding your investment, please contact your investment representative, or you may contact us directly at 1-800-445-SUN2.
Sincerely,
John T. Genoy
President
Seasons Series Trust
Note: All performance figures quoted are for the Seasons Series Trust. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Securities listed may or may not be a part of the current portfolio construction. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 59 1/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.
Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.
Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region.
Investments in 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, are not a deposit or obligation of any bank, and are not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.
* Not FDIC or NCUA/NCUSIF Insured
* May Lose Value * No Bank or Credit Union Guarantee
* Not a Deposit * Not insured by any Federal Government Agency
Seasons Series Trust
EXPENSE EXAMPLE — September 30, 2023 (unaudited)
Disclosure of Portfolio Expenses in Shareholder Reports
As a shareholder of a Portfolio in the Seasons Series Trust (the “Trust’’), you incur ongoing costs, including management fees and/or service (12b-1) fees and other Portfolio expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at April 1, 2023 and held until September 30, 2023. Shares of the Trust are not offered directly to the public. Instead, shares are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts’’) offered by life insurance companies affiliated with SunAmerica Asset Management, LLC, the Trust’s investment adviser and manager. The fees and expenses associated with the Variable Contracts are not included in these examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus for more details on the fees associated with the Variable Contract.
Actual Expenses
The “Actual” section of the table provides information about actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Expenses Paid During the Six Months Ended September 30, 2023” to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six Months Ended September 30, 2023” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended September 30, 2023” column would have been higher and the “Ending Account Value” column would have been lower.
Hypothetical Example for Comparison Purposes
The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expenses based on each Portfolio’s actual expense ratio and an annual rate of return of 5% before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolios and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The “Expenses Paid During the Six Months Ended September 30, 2023” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, in which the Portfolios are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended September 30, 2023” 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.
Seasons Series Trust
EXPENSE EXAMPLE — September 30, 2023 (unaudited) — (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual
| | | Hypothetical
| |
Portfolio
| | Beginning
Account Value
at April 1,
2023
| | | Ending
Account Value
Using Actual
Return at
September 30,
2023
| | | Expenses Paid
During the Six
Months Ended
September 30,
2023*
| | | Beginning
Account Value
at April 1,
2023
| | | Ending
Account Value
Using a
Hypothetical
5% Annual
Return at
September 30,
2023
| | | Expenses Paid
During the
Six Months Ended
September 30,
2023*
| | | Annualized
Expense
Ratio*
| |
SA Allocation Balanced# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 986.65 | | | $ | 0.70 | | | $ | 1,000.00 | | | $ | 1,024.30 | | | $ | 0.71 | | | | 0.14 | % |
Class 3 | | $ | 1,000.00 | | | $ | 985.56 | | | $ | 1.94 | | | $ | 1,000.00 | | | $ | 1,023.05 | | | $ | 1.97 | | | | 0.39 | % |
SA Allocation Growth# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,006.45 | | | $ | 0.60 | | | $ | 1,000.00 | | | $ | 1,024.40 | | | $ | 0.61 | | | | 0.12 | % |
Class 3 | | $ | 1,000.00 | | | $ | 1,005.77 | | | $ | 1.86 | | | $ | 1,000.00 | | | $ | 1,023.15 | | | $ | 1.87 | | | | 0.37 | % |
SA Allocation Moderate Growth# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,000.00 | | | $ | 0.60 | | | $ | 1,000.00 | | | $ | 1,024.40 | | | $ | 0.61 | | | | 0.12 | % |
Class 3 | | $ | 1,000.00 | | | $ | 998.96 | | | $ | 1.85 | | | $ | 1,000.00 | | | $ | 1,023.15 | | | $ | 1.87 | | | | 0.37 | % |
SA Allocation Moderate# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 995.80 | | | $ | 0.65 | | | $ | 1,000.00 | | | $ | 1,024.35 | | | $ | 0.66 | | | | 0.13 | % |
Class 3 | | $ | 1,000.00 | | | $ | 993.68 | | | $ | 1.89 | | | $ | 1,000.00 | | | $ | 1,023.10 | | | $ | 1.92 | | | | 0.38 | % |
SA American Century Inflation Protection# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 954.00 | | | $ | 2.83 | | | $ | 1,000.00 | | | $ | 1,022.10 | | | $ | 2.93 | | | | 0.58 | % |
Class 3 | | $ | 1,000.00 | | | $ | 952.38 | | | $ | 4.05 | | | $ | 1,000.00 | | | $ | 1,020.85 | | | $ | 4.19 | | | | 0.83 | % |
SA Columbia Focused Value# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 976.83 | | | $ | 3.56 | | | $ | 1,000.00 | | | $ | 1,021.40 | | | $ | 3.64 | | | | 0.72 | % |
Class 2 | | $ | 1,000.00 | | | $ | 976.39 | | | $ | 4.30 | | | $ | 1,000.00 | | | $ | 1,020.65 | | | $ | 4.39 | | | | 0.87 | % |
Class 3 | | $ | 1,000.00 | | | $ | 975.39 | | | $ | 4.79 | | | $ | 1,000.00 | | | $ | 1,020.15 | | | $ | 4.90 | | | | 0.97 | % |
SA Multi-Managed Diversified Fixed Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 960.20 | | | $ | 3.48 | | | $ | 1,000.00 | | | $ | 1,021.45 | | | $ | 3.59 | | | | 0.71 | % |
Class 2 | | $ | 1,000.00 | | | $ | 960.20 | | | $ | 4.21 | | | $ | 1,000.00 | | | $ | 1,020.70 | | | $ | 4.34 | | | | 0.86 | % |
Class 3 | | $ | 1,000.00 | | | $ | 960.00 | | | $ | 4.70 | | | $ | 1,000.00 | | | $ | 1,020.20 | | | $ | 4.85 | | | | 0.96 | % |
SA Multi-Managed Growth# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 997.75 | | | $ | 5.44 | | | $ | 1,000.00 | | | $ | 1,019.55 | | | $ | 5.50 | | | | 1.09 | % |
Class 2 | | $ | 1,000.00 | | | $ | 996.61 | | | $ | 6.19 | | | $ | 1,000.00 | | | $ | 1,018.80 | | | $ | 6.26 | | | | 1.24 | % |
Class 3 | | $ | 1,000.00 | | | $ | 996.58 | | | $ | 6.69 | | | $ | 1,000.00 | | | $ | 1,018.30 | | | $ | 6.76 | | | | 1.34 | % |
SA Multi-Managed Income# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 971.36 | | | $ | 5.86 | | | $ | 1,000.00 | | | $ | 1,019.05 | | | $ | 6.01 | | | | 1.19 | % |
Class 2 | | $ | 1,000.00 | | | $ | 970.13 | | | $ | 6.60 | | | $ | 1,000.00 | | | $ | 1,018.30 | | | $ | 6.76 | | | | 1.34 | % |
Class 3 | | $ | 1,000.00 | | | $ | 970.17 | | | $ | 7.09 | | | $ | 1,000.00 | | | $ | 1,017.80 | | | $ | 7.26 | | | | 1.44 | % |
SA Multi-Managed Income/Equity# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 980.03 | | | $ | 5.64 | | | $ | 1,000.00 | | | $ | 1,019.30 | | | $ | 5.76 | | | | 1.14 | % |
Class 2 | | $ | 1,000.00 | | | $ | 978.70 | | | $ | 6.38 | | | $ | 1,000.00 | | | $ | 1,018.55 | | | $ | 6.51 | | | | 1.29 | % |
Class 3 | | $ | 1,000.00 | | | $ | 978.72 | | | $ | 6.88 | | | $ | 1,000.00 | | | $ | 1,018.05 | | | $ | 7.01 | | | | 1.39 | % |
SA Multi-Managed International Equity# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 976.94 | | | $ | 4.99 | | | $ | 1,000.00 | | | $ | 1,019.95 | | | $ | 5.10 | | | | 1.01 | % |
Class 2 | | $ | 1,000.00 | | | $ | 977.00 | | | $ | 5.73 | | | $ | 1,000.00 | | | $ | 1,019.20 | | | $ | 5.86 | | | | 1.16 | % |
Class 3 | | $ | 1,000.00 | | | $ | 975.73 | | | $ | 6.22 | | | $ | 1,000.00 | | | $ | 1,018.70 | | | $ | 6.36 | | | | 1.26 | % |
SA Multi-Managed Large Cap Growth# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,056.82 | | | $ | 3.96 | | | $ | 1,000.00 | | | $ | 1,021.15 | | | $ | 3.89 | | | | 0.77 | % |
Class 2 | | $ | 1,000.00 | | | $ | 1,055.56 | | | $ | 4.73 | | | $ | 1,000.00 | | | $ | 1,020.40 | | | $ | 4.65 | | | | 0.92 | % |
Class 3 | | $ | 1,000.00 | | | $ | 1,054.87 | | | $ | 5.24 | | | $ | 1,000.00 | | | $ | 1,019.90 | | | $ | 5.15 | | | | 1.02 | % |
SA Multi-Managed Large Cap Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,004.36 | | | $ | 4.11 | | | $ | 1,000.00 | | | $ | 1,020.90 | | | $ | 4.14 | | | | 0.82 | % |
Class 2 | | $ | 1,000.00 | | | $ | 1,003.64 | | | $ | 4.86 | | | $ | 1,000.00 | | | $ | 1,020.15 | | | $ | 4.90 | | | | 0.97 | % |
Class 3 | | $ | 1,000.00 | | | $ | 1,003.64 | | | $ | 5.36 | | | $ | 1,000.00 | | | $ | 1,019.65 | | | $ | 5.40 | | | | 1.07 | % |
SA Multi-Managed Mid Cap Growth | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 991.77 | | | $ | 4.88 | | | $ | 1,000.00 | | | $ | 1,020.10 | | | $ | 4.95 | | | | 0.98 | % |
Class 2 | | $ | 1,000.00 | | | $ | 990.56 | | | $ | 5.62 | | | $ | 1,000.00 | | | $ | 1,019.35 | | | $ | 5.70 | | | | 1.13 | % |
Class 3 | | $ | 1,000.00 | | | $ | 990.84 | | | $ | 6.12 | | | $ | 1,000.00 | | | $ | 1,018.85 | | | $ | 6.21 | | | | 1.23 | % |
SA Multi-Managed Mid Cap Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,002.57 | | | $ | 4.86 | | | $ | 1,000.00 | | | $ | 1,020.15 | | | $ | 4.90 | | | | 0.97 | % |
Class 2 | | $ | 1,000.00 | | | $ | 1,001.29 | | | $ | 5.60 | | | $ | 1,000.00 | | | $ | 1,019.40 | | | $ | 5.65 | | | | 1.12 | % |
Class 3 | | $ | 1,000.00 | | | $ | 1,001.29 | | | $ | 6.10 | | | $ | 1,000.00 | | | $ | 1,018.90 | | | $ | 6.16 | | | | 1.22 | % |
SA Multi-Managed Moderate Growth# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 991.25 | | | $ | 5.18 | | | $ | 1,000.00 | | | $ | 1,019.80 | | | $ | 5.25 | | | | 1.04 | % |
Class 2 | | $ | 1,000.00 | | | $ | 991.21 | | | $ | 5.92 | | | $ | 1,000.00 | | | $ | 1,019.05 | | | $ | 6.01 | | | | 1.19 | % |
Class 3 | | $ | 1,000.00 | | | $ | 989.92 | | | $ | 6.42 | | | $ | 1,000.00 | | | $ | 1,018.55 | | | $ | 6.51 | | | | 1.29 | % |
SA Multi-Managed Small Cap | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 973.24 | | | $ | 4.88 | | | $ | 1,000.00 | | | $ | 1,020.05 | | | $ | 5.00 | | | | 0.99 | % |
Class 2 | | $ | 1,000.00 | | | $ | 972.97 | | | $ | 5.62 | | | $ | 1,000.00 | | | $ | 1,019.30 | | | $ | 5.76 | | | | 1.14 | % |
Class 3 | | $ | 1,000.00 | | | $ | 972.10 | | | $ | 6.11 | | | $ | 1,000.00 | | | $ | 1,018.80 | | | $ | 6.26 | | | | 1.24 | % |
Seasons Series Trust
EXPENSE EXAMPLE — September 30, 2023 (unaudited) — (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Actual
| | | Hypothetical
| |
Portfolio
| | Beginning
Account Value
at April 1,
2023
| | | Ending
Account Value
Using Actual
Return at
September 30,
2023
| | | Expenses Paid
During the Six
Months Ended
September 30,
2023*
| | | Beginning
Account Value
at April 1,
2023
| | | Ending
Account Value
Using a
Hypothetical
5% Annual
Return at
September 30,
2023
| | | Expenses Paid
During the
Six Months Ended
September 30,
2023*
| | | Annualized
Expense
Ratio*
| |
SA Putnam Asset Allocation: Diversified Growth# | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,028.73 | | | $ | 4.51 | | | $ | 1,000.00 | | | $ | 1,020.55 | | | $ | 4.50 | | | | 0.89 | % |
Class 2 | | $ | 1,000.00 | | | $ | 1,027.78 | | | $ | 5.27 | | | $ | 1,000.00 | | | $ | 1,019.80 | | | $ | 5.25 | | | | 1.04 | % |
Class 3 | | $ | 1,000.00 | | | $ | 1,026.07 | | | $ | 5.77 | | | $ | 1,000.00 | | | $ | 1,019.30 | | | $ | 5.76 | | | | 1.14 | % |
SA T. Rowe Price Growth Stock | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class 1 | | $ | 1,000.00 | | | $ | 1,114.58 | | | $ | 4.81 | | | $ | 1,000.00 | | | $ | 1,020.45 | | | $ | 4.60 | | | | 0.91 | % |
Class 2 | | $ | 1,000.00 | | | $ | 1,113.17 | | | $ | 5.60 | | | $ | 1,000.00 | | | $ | 1,019.70 | | | $ | 5.35 | | | | 1.06 | % |
Class 3 | | $ | 1,000.00 | | | $ | 1,113.43 | | | $ | 6.13 | | | $ | 1,000.00 | | | $ | 1,019.20 | | | $ | 5.86 | | | | 1.16 | % |
| * | Expenses are equal to each Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 366 (to reflect the one-half year period). These ratios do not reflect fees and expenses associated with the Variable Contracts. If such fees and expenses had been included, the expenses would have been higher. Please refer to your Variable Contract prospectus for details on the expenses that apply to the Variable Contracts of the insurance companies. |
| # | During the stated period, the investment adviser either waived a portion of or all fees and assumed a portion of or all expenses for the Portfolios or through recoupment provisions, recovered a portion of or all fees and expenses waived or reimbursed in the previous two fiscal years. As a result, if these fees and expenses had not been waived or assumed, the “Actual/Hypothetical Ending Account Value” would have been lower and the “Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2023” and “Annualized Expense Ratio” would have been higher. If these fees and expenses had not been recouped, the “Actual/Hypothetical Ending Account Value” would have been higher and the “Actual/Hypothetical Expenses Paid During the Six Months Ended September 30, 2023” and the “Annualized Expense Ratio” would have been lower. |
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Domestic Fixed Income Investment Companies | 60.1% |
| Domestic Equity Investment Companies | 31.5 |
| International Equity Investment Companies | 8.5 |
| | 100.1% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| AFFILIATED INVESTMENT COMPANIES#(1) — 100.1% |
| Domestic Fixed Income Investment Companies — 60.1% |
| Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | | 790,050 | $ 6,881,337 |
| Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | 3,189,880 | 30,782,342 |
| SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | | 261,413 | 2,770,981 |
| SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | | 1,001,192 | 11,233,377 |
| SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | | 1,368,291 | 12,519,866 |
| SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | | 1,254,018 | 12,126,356 |
| SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | | 4,124,901 | 32,380,469 |
| SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | | 1,387,145 | 7,157,668 |
| SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | | 1,523,890 | 19,338,158 |
Total Domestic Fixed Income Investment Companies
(cost $155,354,383) | | | 135,190,554 |
| Domestic Equity Investment Companies — 31.5% |
| Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | | 137,697 | 2,612,120 |
| Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | 389,486 | 3,984,442 |
| Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | | 322,035 | 4,447,298 |
| Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | 69,787 | 757,187 |
| Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | 84,765 | 1,324,033 |
| Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | | 106,501 | 1,045,835 |
| Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | | 117,073 | 2,129,551 |
| SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | | 93,915 | 4,864,791 |
| SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | | 90,293 | 1,124,154 |
| SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | 131,063 | 1,486,258 |
| SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | 235,434 | 4,520,327 |
| SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | | 67,426 | 1,030,947 |
| SunAmerica Series Trust SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | 82,386 | 1,497,781 |
| SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | | 197,228 | 1,108,420 |
| SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | | 107,640 | 1,583,388 |
| SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | | 168,683 | 5,652,581 |
| SunAmerica Series Trust SA JPMorgan Large Cap Core Portfolio, Class 1 | | 150,297 | 2,902,235 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| Domestic Equity Investment Companies (continued) |
| SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | 148,378 | | $ 2,224,188 |
| SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | | 260,310 | | 5,388,418 |
| SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | | 170,713 | | 5,430,397 |
| SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | | 305,448 | | 5,482,798 |
| SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | | 321,362 | | 4,007,380 |
| SunAmerica Series Trust SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | 136,726 | | 2,827,496 |
| SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | | 95,139 | | 1,229,192 |
| SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | | 85,951 | | 931,705 |
| SunAmerica Series Trust SA Wellington Capital Appreciation Portfolio, Class 1 | | 45,834 | | 1,274,175 |
Total Domestic Equity Investment Companies
(cost $78,973,993) | | | | 70,867,097 |
| International Equity Investment Companies — 8.5% |
| Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | | 667,279 | | 5,371,594 |
| SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | | 40,434 | | 530,083 |
| SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | | 176,253 | | 2,634,989 |
| SunAmerica Series Trust SA International Index Portfolio, Class 1 | | 58,918 | | 698,772 |
| SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | | 111,933 | | 807,036 |
| SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | | 395,529 | | 3,472,741 |
| SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | | 104,788 | | 1,381,107 |
| SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | | 385,617 | | 4,234,073 |
Total International Equity Investment Companies
(cost $20,570,588) | | | | 19,130,395 |
TOTAL INVESTMENTS
(cost $254,898,964)(2) | | 100.1% | | 225,188,046 |
| Other assets less liabilities | | (0.1) | | (131,511) |
| NET ASSETS | | 100.0% | | $225,056,535 |
| # | The Seasons Series Trust SA Allocation Balanced Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of SunAmerica Series Trust and Seasons 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.corebridgefinancial.com/getprospectus. |
| † | Non-income producing security |
| (1) | See Note 8. |
| (2) | See Note 4 for cost of investments on a tax basis. |
Seasons Series Trust SA Allocation Balanced Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Affiliated Investment Companies | $225,188,046 | | $— | | $— | | $225,188,046 |
| * | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Financial Statements
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Domestic Equity Investment Companies | 58.4% |
| International Equity Investment Companies | 21.2 |
| Domestic Fixed Income Investment Companies | 20.4 |
| | 100.0% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| AFFILIATED INVESTMENT COMPANIES#(1) — 100.0% |
| Domestic Equity Investment Companies — 58.4% |
| Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | | 496,903 | $ 9,426,239 |
| Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | 1,221,044 | 12,491,282 |
| Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | | 1,320,371 | 18,234,316 |
| Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | 217,324 | 2,357,969 |
| Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | 388,673 | 6,071,074 |
| Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | | 397,056 | 3,899,088 |
| Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | | 296,790 | 5,398,615 |
| SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | | 324,750 | 16,822,035 |
| SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | | 256,564 | 3,194,218 |
| SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | 382,680 | 4,339,594 |
| SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | 723,115 | 13,883,813 |
| SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | | 206,851 | 3,162,750 |
| SunAmerica Series Trust SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | 214,087 | 3,892,108 |
| SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | | 629,851 | 3,539,760 |
| SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | | 370,281 | 5,446,835 |
| SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | | 461,509 | 15,465,179 |
| SunAmerica Series Trust SA JPMorgan Large Cap Core Portfolio, Class 1 | | 599,805 | 11,582,242 |
| SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | 502,147 | 7,527,180 |
| SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | | 787,679 | 16,304,958 |
| SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | | 712,857 | 22,675,964 |
| SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | | 851,947 | 15,292,439 |
| SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | | 1,136,865 | 14,176,710 |
| SunAmerica Series Trust SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | 236,301 | 4,886,708 |
| SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | | 293,849 | 3,796,529 |
| SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | | 258,861 | 2,806,054 |
| SunAmerica Series Trust SA Wellington Capital Appreciation Portfolio, Class 1 | | 164,789 | 4,581,133 |
Total Domestic Equity Investment Companies
(cost $259,302,839) | | | 231,254,792 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| International Equity Investment Companies — 21.2% |
| Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | | 2,734,581 | | $ 22,013,379 |
| SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | | 284,267 | | 3,726,735 |
| SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | | 781,807 | | 11,688,022 |
| SunAmerica Series Trust SA International Index Portfolio, Class 1 | | 402,048 | | 4,768,289 |
| SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | | 658,066 | | 4,744,657 |
| SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | | 1,743,359 | | 15,306,691 |
| SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | | 423,457 | | 5,581,168 |
| SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | | 1,475,369 | | 16,199,548 |
Total International Equity Investment Companies
(cost $90,064,742) | | | | 84,028,489 |
| Domestic Fixed Income Investment Companies — 20.4% |
| Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | | 552,946 | | 4,816,162 |
| Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | 1,835,324 | | 17,710,876 |
| SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | | 204,443 | | 2,167,096 |
| SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | | 815,191 | | 9,146,443 |
| SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | | 879,954 | | 8,051,577 |
| SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | | 641,161 | | 6,200,020 |
| SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | | 2,169,742 | | 17,032,476 |
| SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | | 751,179 | | 3,876,084 |
| SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | | 938,842 | | 11,913,908 |
Total Domestic Fixed Income Investment Companies
(cost $91,446,314) | | | | 80,914,642 |
TOTAL INVESTMENTS
(cost $440,813,895)(2) | | 100.0% | | 396,197,923 |
| Other assets less liabilities | | (0.0) | | (195,209) |
| NET ASSETS | | 100.0% | | $396,002,714 |
| # | The Seasons Series Trust SA Allocation Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of SunAmerica Series Trust and Seasons 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.corebridgefinancial.com/getprospectus. |
| † | Non-income producing security |
| (1) | See Note 8. |
| (2) | See Note 4 for cost of investments on a tax basis. |
Seasons Series Trust SA Allocation Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Affiliated Investment Companies | $396,197,923 | | $— | | $— | | $396,197,923 |
| * | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Financial Statements
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Domestic Equity Investment Companies | 48.4% |
| Domestic Fixed Income Investment Companies | 35.2 |
| International Equity Investment Companies | 16.4 |
| | 100.0% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| AFFILIATED INVESTMENT COMPANIES#(1) — 100.0% |
| Domestic Equity Investment Companies — 48.4% |
| Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | | 472,339 | $ 8,960,275 |
| Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | 1,232,057 | 12,603,944 |
| Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | | 1,183,561 | 16,344,976 |
| Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | 218,340 | 2,368,993 |
| Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | 294,271 | 4,596,516 |
| Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | | 271,782 | 2,668,903 |
| Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | | 330,600 | 6,013,619 |
| SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | | 292,038 | 15,127,566 |
| SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | | 249,466 | 3,105,856 |
| SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | 382,385 | 4,336,241 |
| SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | 686,406 | 13,178,988 |
| SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | | 189,702 | 2,900,547 |
| SunAmerica Series Trust SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | 238,902 | 4,343,236 |
| SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | | 547,345 | 3,076,081 |
| SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | | 379,842 | 5,587,473 |
| SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | | 430,182 | 14,415,385 |
| SunAmerica Series Trust SA JPMorgan Large Cap Core Portfolio, Class 1 | | 573,643 | 11,077,049 |
| SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | 453,202 | 6,793,495 |
| SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | | 714,848 | 14,797,347 |
| SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | | 618,746 | 19,682,316 |
| SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | | 842,727 | 15,126,944 |
| SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | | 1,049,127 | 13,082,607 |
| SunAmerica Series Trust SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | 252,988 | 5,231,793 |
| SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | | 261,692 | 3,381,063 |
| SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | | 228,892 | 2,481,187 |
| SunAmerica Series Trust SA Wellington Capital Appreciation Portfolio, Class 1 | | 153,383 | 4,264,048 |
Total Domestic Equity Investment Companies
(cost $234,290,599) | | | 215,546,448 |
| Domestic Fixed Income Investment Companies — 35.2% |
| Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | | 1,055,924 | 9,197,098 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| Domestic Fixed Income Investment Companies (continued) |
| Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | 3,774,434 | | $ 36,423,291 |
| SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | | 339,857 | | 3,602,484 |
| SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | | 1,530,680 | | 17,174,233 |
| SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | | 1,676,188 | | 15,337,115 |
| SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | | 1,115,337 | | 10,785,311 |
| SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | | 4,279,540 | | 33,594,385 |
| SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | | 1,519,626 | | 7,841,272 |
| SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | | 1,769,973 | | 22,460,952 |
Total Domestic Fixed Income Investment Companies
(cost $180,304,683) | | | | 156,416,141 |
| International Equity Investment Companies — 16.4% |
| Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | | 2,384,023 | | 19,191,386 |
| SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | | 216,117 | | 2,833,300 |
| SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | | 692,552 | | 10,353,648 |
| SunAmerica Series Trust SA International Index Portfolio, Class 1 | | 322,530 | | 3,825,201 |
| SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | | 553,431 | | 3,990,240 |
| SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | | 1,500,583 | | 13,175,120 |
| SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | | 392,298 | | 5,170,485 |
| SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | | 1,328,709 | | 14,589,227 |
Total International Equity Investment Companies
(cost $76,802,299) | | | | 73,128,607 |
TOTAL INVESTMENTS
(cost $491,397,581)(2) | | 100.0% | | 445,091,196 |
| Other assets less liabilities | | (0.0) | | (216,887) |
| NET ASSETS | | 100.0% | | $444,874,309 |
| # | The Seasons Series Trust SA Allocation Moderate Growth Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of SunAmerica Series Trust and Seasons 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.corebridgefinancial.com/getprospectus. |
| † | Non-income producing security |
| (1) | See Note 8. |
| (2) | See Note 4 for cost of investments on a tax basis. |
Seasons Series Trust SA Allocation Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Affiliated Investment Companies | $445,091,196 | | $— | | $— | | $445,091,196 |
| * | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Financial Statements
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Domestic Fixed Income Investment Companies | 45.1% |
| Domestic Equity Investment Companies | 42.6 |
| International Equity Investment Companies | 12.4 |
| | 100.1% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| AFFILIATED INVESTMENT COMPANIES#(1) — 100.1% |
| Domestic Fixed Income Investment Companies — 45.1% |
| Seasons Series Trust SA American Century Inflation Protection Portfolio, Class 1 | | 637,772 | $ 5,554,993 |
| Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | 2,845,018 | 27,454,422 |
| SunAmerica Series Trust SA DFA Ultra Short Bond Portfolio, Class 1† | | 225,823 | 2,393,726 |
| SunAmerica Series Trust SA Federated Hermes Corporate Bond Portfolio, Class 1 | | 989,247 | 11,099,349 |
| SunAmerica Series Trust SA Fixed Income Index Portfolio, Class 1 | | 1,222,615 | 11,186,927 |
| SunAmerica Series Trust SA Fixed Income Intermediate Index Portfolio, Class 1 | | 1,111,674 | 10,749,890 |
| SunAmerica Series Trust SA JPMorgan MFS Core Bond Portfolio, Class 1 | | 3,504,200 | 27,507,969 |
| SunAmerica Series Trust SA PineBridge High-Yield Bond Portfolio, Class 1 | | 984,182 | 5,078,377 |
| SunAmerica Series Trust SA Wellington Government & Quality Bond Portfolio, Class 1 | | 1,329,207 | 16,867,641 |
Total Domestic Fixed Income Investment Companies
(cost $135,641,942) | | | 117,893,294 |
| Domestic Equity Investment Companies — 42.6% |
| Seasons Series Trust SA Columbia Focused Value Portfolio, Class 1 | | 190,082 | 3,605,853 |
| Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | 670,115 | 6,855,272 |
| Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio, Class 1 | | 623,754 | 8,614,046 |
| Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | 100,065 | 1,085,706 |
| Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | 127,421 | 1,990,310 |
| Seasons Series Trust SA Multi-Managed Small Cap Portfolio, Class 1 | | 171,750 | 1,686,588 |
| Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio, Class 1 | | 172,187 | 3,132,075 |
| SunAmerica Series Trust SA AB Growth Portfolio, Class 1 | | 154,229 | 7,989,059 |
| SunAmerica Series Trust SA AB Small & Mid Cap Value Portfolio, Class 1 | | 124,612 | 1,551,419 |
| SunAmerica Series Trust SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | 187,790 | 2,129,539 |
| SunAmerica Series Trust SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | 351,156 | 6,742,195 |
| SunAmerica Series Trust SA Franklin Small Company Value Portfolio, Class 1 | | 112,920 | 1,726,555 |
| SunAmerica Series Trust SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | 108,987 | 1,981,382 |
| SunAmerica Series Trust SA Invesco Growth Opportunities Portfolio, Class 1 | | 294,553 | 1,655,388 |
| SunAmerica Series Trust SA Janus Focused Growth Portfolio, Class 1 | | 195,224 | 2,871,740 |
| SunAmerica Series Trust SA JPMorgan Equity-Income Portfolio, Class 1 | | 250,551 | 8,395,975 |
| SunAmerica Series Trust SA JPMorgan Large Cap Core Portfolio, Class 1 | | 268,008 | 5,175,239 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| Domestic Equity Investment Companies (continued) |
| SunAmerica Series Trust SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | 236,110 | | $ 3,539,285 |
| SunAmerica Series Trust SA Large Cap Growth Index Portfolio, Class 1 | | 367,084 | | 7,598,634 |
| SunAmerica Series Trust SA Large Cap Index Portfolio, Class 1 | | 293,926 | | 9,349,781 |
| SunAmerica Series Trust SA Large Cap Value Index Portfolio, Class 1 | | 451,473 | | 8,103,937 |
| SunAmerica Series Trust SA MFS Blue Chip Growth, Class 1 | | 537,067 | | 6,697,228 |
| SunAmerica Series Trust SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | 161,613 | | 3,342,159 |
| SunAmerica Series Trust SA Mid Cap Index Portfolio, Class 1 | | 162,112 | | 2,094,484 |
| SunAmerica Series Trust SA Small Cap Index Portfolio, Class 1 | | 123,437 | | 1,338,061 |
| SunAmerica Series Trust SA Wellington Capital Appreciation Portfolio, Class 1 | | 78,689 | | 2,187,561 |
Total Domestic Equity Investment Companies
(cost $122,439,868) | | | | 111,439,471 |
| International Equity Investment Companies — 12.4% |
| Seasons Series Trust SA Multi-Managed International Equity Portfolio, Class 1 | | 1,162,257 | | 9,356,172 |
| SunAmerica Series Trust SA Emerging Markets Equity Index Portfolio, Class 1 | | 73,696 | | 966,158 |
| SunAmerica Series Trust SA Fidelity Institutional International Growth Portfolio, Class 1 | | 309,460 | | 4,626,425 |
| SunAmerica Series Trust SA International Index Portfolio, Class 1 | | 142,353 | | 1,688,305 |
| SunAmerica Series Trust SA JPMorgan Emerging Markets Portfolio, Class 1 | | 218,260 | | 1,573,659 |
| SunAmerica Series Trust SA Morgan Stanley International Equities Portfolio, Class 1 | | 672,107 | | 5,901,100 |
| SunAmerica Series Trust SA PIMCO RAE International Value Portfolio, Class 1 | | 152,404 | | 2,008,681 |
| SunAmerica Series Trust SA Putnam International Growth and Income Portfolio, Class 1 | | 583,021 | | 6,401,567 |
Total International Equity Investment Companies
(cost $34,519,662) | | | | 32,522,067 |
TOTAL INVESTMENTS
(cost $292,601,472)(2) | | 100.1% | | 261,854,832 |
| Other assets less liabilities | | (0.1) | | (145,477) |
| NET ASSETS | | 100.0% | | $261,709,355 |
| # | The Seasons Series Trust SA Allocation Moderate Portfolio invests in Class 1 shares of the underlying Portfolios, which are Portfolios of SunAmerica Series Trust and Seasons 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.corebridgefinancial.com/getprospectus. |
| † | Non-income producing security |
| (1) | See Note 8. |
| (2) | See Note 4 for cost of investments on a tax basis. |
Seasons Series Trust SA Allocation Moderate Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Affiliated Investment Companies | $261,854,832 | | $— | | $— | | $261,854,832 |
| * | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Financial Statements
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| U.S. Government & Agency Obligations | 71.8% |
| Short-Term Investments | 6.6 |
| Other Asset Backed Securities | 6.0 |
| Collateralized Mortgage Obligations | 5.3 |
| Foreign Government Obligations | 4.0 |
| Banks | 2.5 |
| Auto Manufacturers | 0.9 |
| Healthcare-Products | 0.6 |
| Oil & Gas | 0.6 |
| Machinery-Construction & Mining | 0.5 |
| Healthcare-Services | 0.3 |
| Municipal Securities | 0.2 |
| Pharmaceuticals | 0.2 |
| Diversified Financial Services | 0.2 |
| Electric | 0.1 |
| | 99.8% |
| Credit Quality†# | |
| Aaa | 79.9% |
| Aa | 2.0 |
| A | 5.3 |
| Baa | 1.2 |
| Not Rated@ | 11.6 |
| | 100.0 |
|
| * | Calculated as a percentage of net assets |
| † | Source: Moody's | |
| # | Calculated as a percentage of total debt issues, excluding short-term securities. | |
| @ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. | |
Seasons Series Trust SA American Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES — 5.9% |
| Auto Manufacturers — 0.9% |
| Honda Motor Co., Ltd. | | | |
| 2.27%, 03/10/2025 | | $ 2,130,000 | $ 2,029,722 |
| Toyota Motor Credit Corp. | | | |
| 2.50%, 03/22/2024 | | 3,213,000 | 3,165,910 |
| | | | 5,195,632 |
| Banks — 2.5% |
| Bank of America Corp. | | | |
| 2.88%, 10/22/2030 | | 755,000 | 629,018 |
| 3.46%, 03/15/2025 | | 3,435,000 | 3,389,141 |
| 5.82%, 09/15/2029 | | 325,000 | 321,011 |
| Citigroup, Inc. | | | |
| 3.07%, 02/24/2028 | | 180,000 | 163,278 |
| 3.52%, 10/27/2028 | | 150,000 | 135,699 |
| 3.98%, 03/20/2030 | | 230,000 | 206,559 |
| Goldman Sachs Group, Inc. | | | |
| 1.76%, 01/24/2025 | | 640,000 | 629,858 |
| 3.62%, 03/15/2028 | | 244,000 | 225,133 |
| 3.81%, 04/23/2029 | | 174,000 | 157,998 |
| HSBC Holdings PLC | | | |
| 1.16%, 11/22/2024 | | 1,800,000 | 1,783,062 |
| JPMorgan Chase & Co. | | | |
| 2.07%, 06/01/2029 | | 1,672,000 | 1,408,840 |
| 2.52%, 04/22/2031 | | 572,000 | 463,651 |
| 4.01%, 04/23/2029 | | 420,000 | 387,061 |
| 5.30%, 07/24/2029 | | 250,000 | 243,246 |
| 5.55%, 12/15/2025 | | 1,385,000 | 1,375,343 |
| Morgan Stanley | | | |
| 0.79%, 05/30/2025 | | 685,000 | 657,970 |
| UBS Group AG | | | |
| 4.28%, 01/09/2028* | | 1,286,000 | 1,182,388 |
| Wells Fargo & Co. | | | |
| 4.90%, 07/25/2033 | | 465,000 | 420,825 |
| 5.39%, 04/24/2034 | | 310,000 | 289,821 |
| 5.57%, 07/25/2029 | | 416,000 | 405,846 |
| | | | 14,475,748 |
| Diversified Financial Services — 0.2% |
| BOC Aviation USA Corp. | | | |
| 1.63%, 04/29/2024* | | 963,000 | 938,392 |
| Electric — 0.1% |
| Sempra | | | |
| 3.30%, 04/01/2025 | | 726,000 | 697,862 |
| Healthcare-Products — 0.6% |
| Thermo Fisher Scientific, Inc. | | | |
| 1.22%, 10/18/2024 | | 4,000,000 | 3,813,515 |
| Healthcare-Services — 0.3% |
| Roche Holdings, Inc. | | | |
| 2.31%, 03/10/2027* | | 1,820,000 | 1,656,267 |
| Machinery-Construction & Mining — 0.5% |
| Caterpillar Financial Services Corp. | | | |
| 3.65%, 08/12/2025 | | 2,870,000 | 2,779,845 |
| Oil & Gas — 0.6% |
| Exxon Mobil Corp. | | | |
| 2.71%, 03/06/2025 | | 3,670,000 | 3,534,711 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Pharmaceuticals — 0.2% |
| AbbVie, Inc. | | | |
| 2.95%, 11/21/2026 | | $ 1,180,000 | $ 1,095,053 |
Total Corporate Bonds & Notes
(cost $35,237,994) | | | 34,187,025 |
| ASSET BACKED SECURITIES — 6.0% |
| Other Asset Backed Securities — 6.0% |
| Aligned Data Centers Issuer LLC | | | |
Series 2021-1A, Class B
2.48%, 08/15/2046* | | 2,500,000 | 2,146,875 |
| Arbor Realty Commercial Real Estate Notes, Ltd. FRS | | | |
Series 2021-FL4, Class A
6.80%, (TSFR1M+1.46%), 11/15/2036* | | 1,082,000 | 1,071,542 |
| Barings CLO, Ltd. FRS | | | |
Series 2018-3A, Class B1
7.04%, (TSFR3M+1.71%), 07/20/2029* | | 3,000,000 | 2,989,209 |
Series 2017-1A, Class C
7.97%, (TSFR3M+2.66%), 07/18/2029* | | 1,500,000 | 1,500,012 |
| Bean Creek CLO, Ltd. FRS | | | |
Series 2015-1A, Class AR
6.61%, (TSFR3M+1.28%), 04/20/2031* | | 2,543,917 | 2,536,079 |
| CLI Funding VI LLC | | | |
Series 2020-3A, Class A
2.07%, 10/18/2045* | | 2,493,085 | 2,163,991 |
| Cologix Data Centers US Issuer LLC | | | |
Series 2021-1A, Class A2
3.30%, 12/26/2051* | | 2,175,000 | 1,914,811 |
| FS Rialto FRS | | | |
Series 2019-FL1, Class B
7.35%, (TSFR1M+2.01%), 12/16/2036* | | 2,000,000 | 1,979,429 |
| Greenwood Park CLO, Ltd. FRS | | | |
Series 2018-1A, Class A1
6.60%, (TSFR3M+1.29%), 04/15/2031* | | 2,000,000 | 1,991,868 |
| KKR Static CLO I, Ltd. FRS | | | |
Series 2022-1A, Class B
7.93%, (TSFR3M+2.60%), 07/20/2031* | | 2,000,000 | 1,982,834 |
| Palmer Square CLO, Ltd. FRS | | | |
Series 2014-1A, Class A1R2
6.70%, (TSFR3M+1.39%), 01/17/2031* | | 2,385,936 | 2,382,521 |
Series 2018-2A, Class A2
7.22%, (TSFR3M+1.91%), 07/16/2031* | | 2,000,000 | 1,993,144 |
| Rockford Tower CLO, Ltd. FRS | | | |
Series 2017-2A, Class BR
7.07%, (TSFR3M+1.76%), 10/15/2029* | | 3,053,000 | 3,015,100 |
| Sierra Timeshare Receivables Funding LLC | | | |
Series 2022-1A, Class C
3.94%, 10/20/2038* | | 588,291 | 550,860 |
| Stack Infrastructure Issuer LLC | | | |
Series 2019-1A, Class A2
4.54%, 02/25/2044* | | 740,825 | 733,597 |
| Stonepeak | | | |
Series 2021-1A, Class AA
2.30%, 02/28/2033* | | 1,149,798 | 1,042,528 |
| Tricon Residential Trust | | | |
Series 2022-SFR1, Class D
4.75%, 04/17/2039* | | 3,000,000 | 2,757,695 |
| Wellfleet CLO, Ltd. | | | |
Series 2022-1A, Class B2
4.78%, 04/15/2034* | | 1,750,000 | 1,575,864 |
Total Asset Backed Securities
(cost $35,383,125) | | | 34,327,959 |
Seasons Series Trust SA American Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 5.3% |
| Commercial and Residential — 4.4% |
| Angel Oak Mtg. Trust I LLC VRS | | | |
Series 2019-1, Class M1
4.50%, 11/25/2048*(1) | | $ 1,426,817 | $ 1,409,748 |
| BANK VRS | | | |
Series 2020-BN29, Class XA
1.44%, 11/15/2053(1)(2) | | 7,057,269 | 477,117 |
| Bellemeade Re, Ltd. FRS | | | |
Series 2019-3A, Class M1C
7.38%, (1 ML+1.95%), 07/25/2029* | | 1,790,088 | 1,795,304 |
| BX Commercial Mtg. Trust VRS | | | |
Series 2020-VIV2, Class C
3.66%, 03/09/2044*(1) | | 1,504,846 | 1,227,248 |
| CHNGE Mtg. Trust VRS | | | |
Series 2023-1, Class A1
7.07%, 03/25/2058*(1) | | 1,182,218 | 1,170,489 |
| Commercial Mtg. Trust | | | |
Series 2015-CR23, Class ASB
3.26%, 05/10/2048 | | 1,195,538 | 1,168,797 |
| Credit Suisse Mtg. Capital Certificates FRS | | | |
Series 2019-ICE4, Class D
6.98%, (TSFR1M+1.65%), 05/15/2036* | | 2,992,555 | 2,972,684 |
| DBJPM Mtg. Trust | | | |
Series 2016-C1, Class AM
3.54%, 05/10/2049 | | 2,961,000 | 2,703,412 |
| Deephaven Residential Mtg. Trust | | | |
Series 2020-2, Class A3
2.86%, 05/25/2065* | | 2,100,000 | 2,021,932 |
| Extended Stay America Trust FRS | | | |
Series 2021-ESH, Class E
8.30%, (TSFR1M+2.96%), 07/15/2038* | | 2,346,754 | 2,299,616 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2018-AON, Class A
4.13%, 07/05/2031* | | 2,899,000 | 2,609,100 |
| MFA Trust VRS | | | |
Series 2021-NQM1, Class A1
1.15%, 04/25/2065*(1) | | 250,635 | 217,945 |
| Starwood Mtg. Residential Trust VRS | | | |
Series 2020-3, Class A1
1.49%, 04/25/2065*(1) | | 734,232 | 676,772 |
| Verus Securitization Trust | | | |
Series 2020-1, Class A3
2.72%, 01/25/2060*(3) | | 1,998,297 | 1,861,881 |
| Verus Securitization Trust VRS | | | |
Series 2019-INV2, Class M1
3.50%, 07/25/2059*(1) | | 3,253,000 | 2,948,736 |
| | | | 25,560,781 |
| U.S. Government Agency — 0.9% |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2018-HRP2, Class M3AS
6.43%, (SOFR30A+1.11%), 02/25/2047* | | 964,306 | 964,913 |
Series 2022-DNA3, Class M1A
7.31%, (SOFR30A+2.00%), 04/25/2042* | | 1,184,048 | 1,192,494 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2017-C07, Class 1EB2
6.43%, (SOFR30A+1.11%), 05/25/2030 | | 509,748 | 509,024 |
Series 2017-C01, Class 1EB1
6.68%, (SOFR30A+1.36%), 07/25/2029 | | 224,259 | 224,255 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
Series 2017-C02, Class 2ED3
6.78%, (SOFR30A+1.46%), 09/25/2029 | | $ 730,736 | $ 731,392 |
Series 2022-R03, Class 1M1
7.41%, (SOFR30A+2.10%), 03/25/2042* | | 646,242 | 653,798 |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 1,316 | 1,316 |
Series 2022-R06, Class 1M1
8.06%, (SOFR30A+2.75%), 05/25/2042* | | 625,682 | 641,349 |
| | | | 4,918,541 |
Total Collateralized Mortgage Obligations
(cost $31,811,504) | | | 30,479,322 |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 71.8% |
| U.S. Government — 54.2% |
| United States Treasury Bonds | | | |
| 1.75%, 01/15/2028(4) | | 729,540 | 708,537 |
| United States Treasury Bonds TIPS | | | |
| 0.13%, 02/15/2051 to 02/15/2052(4) | | 8,094,264 | 4,443,043 |
| 0.25%, 02/15/2050(4) | | 6,894,663 | 4,056,203 |
| 0.63%, 02/15/2043(4) | | 13,295,200 | 9,658,755 |
| 0.75%, 02/15/2042 to 02/15/2045(4) | | 35,959,362 | 26,724,271 |
| 0.88%, 02/15/2047(4) | | 13,967,068 | 10,177,683 |
| 1.00%, 02/15/2046 to 02/15/2049(4) | | 24,456,906 | 18,379,685 |
| 1.38%, 07/15/2033(4) | | 4,529,115 | 4,187,397 |
| 2.13%, 02/15/2041(4) | | 13,190,499 | 12,753,821 |
| 2.50%, 01/15/2029(4) | | 3,345,742 | 3,367,960 |
| United States Treasury Notes TIPS | | | |
| 0.13%, 10/15/2024 to 01/15/2032(4) | | 78,423,683 | 69,627,543 |
| 0.13%, 10/15/2026(4)(5)(6) | | 44,185,490 | 41,087,328 |
| 0.25%, 07/15/2029(4) | | 14,220,381 | 12,667,943 |
| 0.38%, 01/15/2027(4) | | 2,530,820 | 2,353,984 |
| 0.50%, 04/15/2024 to 01/15/2028(4) | | 14,628,426 | 13,868,654 |
| 0.63%, 07/15/2032(4) | | 5,418,057 | 4,720,430 |
| 0.75%, 07/15/2028(4) | | 13,041,888 | 12,135,070 |
| 0.88%, 01/15/2029(4) | | 39,289,049 | 36,450,185 |
| 1.13%, 01/15/2033(4) | | 24,063,686 | 21,729,697 |
| 1.25%, 04/15/2028(4) | | 3,362,964 | 3,197,213 |
| | | | 312,295,402 |
| U.S. Government Agency — 17.6% |
| Federal Home Loan Bank | | | |
| 4.63%, 06/06/2025 | | 8,200,000 | 8,132,493 |
| Federal Home Loan Mtg. Corp. | | | |
| 2.50%, 10/01/2051 | | 3,031,813 | 2,412,915 |
| 3.50%, 08/01/2052 | | 2,949,003 | 2,537,524 |
| 4.50%, 10/01/2052 | | 2,751,916 | 2,527,844 |
| 6.25%, 07/15/2032 | | 18,600,000 | 20,579,053 |
| Federal National Mtg. Assoc. | | | |
| 2.50%, 01/01/2052 | | 11,807,405 | 9,434,832 |
| 4.00%, 09/01/2052 | | 14,603,268 | 13,025,851 |
| 5.50%, 01/01/2053 | | 5,908,472 | 5,715,368 |
| 6.00%, 01/01/2053 | | 5,987,173 | 5,917,139 |
| 6.63%, 11/15/2030 | | 23,350,000 | 25,847,150 |
| Government National Mtg. Assoc. | | | |
| 5.50%, 12/20/2052 | | 2,660,047 | 2,585,069 |
| Tennessee Valley Authority | | | |
| 3.88%, 03/15/2028 | | 2,525,000 | 2,437,000 |
| | | | 101,152,238 |
Total U.S. Government & Agency Obligations
(cost $494,448,209) | | | 413,447,640 |
Seasons Series Trust SA American Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| FOREIGN GOVERNMENT OBLIGATIONS — 4.0% |
| Sovereign — 4.0% |
| Government of Canada | | | | |
| 3.00%, 04/01/2026 | CAD | 8,250,000 | | $ 5,841,358 |
| 3.50%, 03/01/2028 | CAD | 11,500,000 | | 8,190,506 |
| 3.75%, 05/01/2025 | CAD | 12,500,000 | | 9,036,260 |
Total Foreign Government Obligations
(cost $23,683,405) | | | | 23,068,124 |
| MUNICIPAL SECURITIES — 0.2% |
University of California
Revenue Bonds | | | | |
1.32%, 05/15/2027
(cost $1,422,944) | | $ 1,570,000 | | 1,382,348 |
Total Long-Term Investment Securities
(cost $621,987,181) | | | | 536,892,418 |
| SHORT-TERM INVESTMENTS — 6.6% |
| Unaffiliated Investment Companies — 6.6% |
State Street Institutional U.S. Government Money Market Fund, Premier Class
5.29%(7)
(cost $37,895,581) | | 37,895,581 | | 37,895,581 |
TOTAL INVESTMENTS
(cost $659,882,762)(8) | | 99.8% | | 574,787,999 |
| Other assets less liabilities | | 0.2 | | 1,142,291 |
| NET ASSETS | | 100.0% | | $575,930,290 |
| * | 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 SA American Century Inflation Protection Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $62,770,331 representing 10.9% of net assets. |
| (1) | 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. |
| (2) | Interest Only |
| (3) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (4) | Principal amount of security is adjusted for inflation. |
| (5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts. |
| (6) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (7) | The rate shown is the 7-day yield as of September 30, 2023. |
| (8) | See Note 4 for cost of investments on a tax basis. |
| 1 ML—1 Month USD LIBOR |
| CLO—Collateralized Loan Obligation |
| FRS—Floating Rate Security |
| REMIC—Real Estate Mortgage Investment Conduit |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
| TIPS—Treasury Inflation Protected Securities |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| VRS—Variable Rate Security |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
| Interest Rate Swaps |
Counterparty (OTC)/
Centrally cleared | Notional
amount | Currency | Payments
made | Payments
received | Fixed
payment
frequency | Floating
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value |
| Centrally Cleared | 10,000,000 | USD | Fixed 3.445% | 12-Month USA CPI | Maturity | Maturity | Apr 2027 | $ 396 | | $ (74,785) | | $ (74,389) |
| Centrally Cleared | 50,000,000 | USD | Fixed 3.537 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 556 | | (388,780) | | (388,224) |
| Centrally Cleared | 50,000,000 | USD | Fixed 3.540 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 556 | | (394,929) | | (394,373) |
| Centrally Cleared | 25,000,000 | USD | Fixed 3.710 | 12-Month USA CPI | Maturity | Maturity | Mar 2027 | 455 | | (452,119) | | (451,664) |
| Centrally Cleared | 10,000,000 | USD | Fixed 3.060 | 12-Month USA CPI | Maturity | Maturity | Mar 2032 | 515 | | (37,281) | | (36,766) |
| Centrally Cleared | 20,000,000 | USD | Fixed 3.040 | 12-Month USA CPI | Maturity | Maturity | Mar 2032 | 606 | | (26,446) | | (25,840) |
| Centrally Cleared | 25,000,000 | USD | Fixed 3.990 | 12-Month USA CPI | Maturity | Maturity | Jun 2024 | 219 | | (81,512) | | (81,293) |
| Centrally Cleared | 10,000,000 | USD | Fixed 2.875 | 12-Month USA CPI | Maturity | Maturity | Dec 2023 | 87 | | 65,667 | | 65,754 |
| Centrally Cleared | 10,000,000 | USD | Fixed 2.310 | 12-Month USA CPI | Maturity | Maturity | Jan 2026 | 216 | | 94,458 | | 94,674 |
| Centrally Cleared | 12,500,000 | USD | Fixed 2.415 | 12-Month USA CPI | Maturity | Maturity | Feb 2028 | 500 | | 114,724 | | 115,224 |
| Centrally Cleared | 10,000,000 | USD | Fixed 2.438 | 12-Month USA CPI | Maturity | Maturity | Feb 2030 | 526 | | 121,766 | | 122,292 |
| Centrally Cleared | 3,800,000 | USD | Fixed 2.619 | 12-Month USA CPI | Maturity | Maturity | Mar 2033 | 509 | | 20,090 | | 20,599 |
| Centrally Cleared | 3,000,000 | USD | Fixed 2.495 | 12-Month USA CPI | Maturity | Maturity | May 2033 | 510 | | 33,599 | | 34,109 |
| Centrally Cleared | 8,000,000 | USD | Fixed 2.663 | 12-Month USA CPI | Maturity | Maturity | Aug 2030 | 552 | | (29,630) | | (29,078) |
| Centrally Cleared | 5,800,000 | USD | Fixed 2.650 | 12-Month USA CPI | Maturity | Maturity | Aug 2033 | 554 | | (7,069) | | (6,515) |
| | | | | | | | | $6,757 | | $(1,042,247) | | $(1,035,490) |
Seasons Series Trust SA American Century Inflation Protection Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 195 | Long | U.S. Treasury 10 Year Notes | December 2023 | $21,467,738 | $21,072,188 | $ (395,550) |
| 336 | Long | U.S. Treasury 2 Year Notes | December 2023 | 68,251,265 | 68,110,875 | (140,390) |
| 277 | Long | U.S. Treasury 5 Year Notes | December 2023 | 29,398,700 | 29,184,547 | (214,153) |
| 163 | Long | U.S. Treasury Ultra 10 Year Notes | December 2023 | 18,747,865 | 18,184,688 | (563,177) |
| 3 | Long | U.S. Treasury Ultra Bonds | December 2023 | 384,232 | 356,062 | (28,170) |
| | | | | | | $(1,341,440) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
| Forward Foreign Currency Contracts |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| Morgan Stanley & Co., Inc. | CAD | 31,175,505 | USD | 22,986,462 | 12/15/2023 | $8,127 | | $— |
| CAD—Canadian Dollar |
| USD—United States Dollar |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Corporate Bonds & Notes | $ — | | $ 34,187,025 | | $— | | $ 34,187,025 |
| Asset Backed Securities | — | | 34,327,959 | | — | | 34,327,959 |
| Collateralized Mortgage Obligations | — | | 30,479,322 | | — | | 30,479,322 |
| U.S. Government & Agency Obligations | — | | 413,447,640 | | — | | 413,447,640 |
| Foreign Government Obligations | — | | 23,068,124 | | — | | 23,068,124 |
| Municipal Securities | — | | 1,382,348 | | — | | 1,382,348 |
| Short-Term Investments | 37,895,581 | | — | | — | | 37,895,581 |
| Total Investments at Value | $37,895,581 | | $536,892,418 | | $— | | $574,787,999 |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 450,304 | | $— | | $ 450,304 |
| Forward Foreign Currency Contracts | — | | 8,127 | | — | | 8,127 |
| Total Other Financial Instruments | $ — | | $ 458,431 | | $— | | $ 458,431 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 1,492,551 | | $— | | $ 1,492,551 |
| Futures Contracts | 1,341,440 | | — | | — | | 1,341,440 |
| Total Other Financial Instruments | $ 1,341,440 | | $ 1,492,551 | | $— | | $ 2,833,991 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Banks | 12.9% |
| Telecommunications | 10.6 |
| Electric | 10.1 |
| Mining | 6.2 |
| Oil & Gas | 6.1 |
| Pharmaceuticals | 6.0 |
| Semiconductors | 5.6 |
| Healthcare-Services | 5.2 |
| Retail | 3.7 |
| Oil & Gas Services | 3.1 |
| Agriculture | 3.1 |
| Insurance | 3.1 |
| Pipelines | 3.0 |
| Internet | 3.0 |
| Repurchase Agreements | 2.6 |
| Software | 2.6 |
| Chemicals | 2.5 |
| Healthcare-Products | 2.4 |
| Airlines | 2.3 |
| Aerospace/Defense | 2.1 |
| Machinery-Construction & Mining | 1.6 |
| Transportation | 1.6 |
| | 99.4% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 96.6% |
| Aerospace/Defense — 2.1% |
| RTX Corp. | | 84,494 | $ 6,081,033 |
| Agriculture — 3.1% |
| Philip Morris International, Inc. | | 98,413 | 9,111,076 |
| Airlines — 2.3% |
| Southwest Airlines Co. | | 250,364 | 6,777,354 |
| Banks — 12.9% |
| Bank of America Corp. | | 239,238 | 6,550,336 |
| Citigroup, Inc. | | 154,386 | 6,349,896 |
| JPMorgan Chase & Co. | | 65,749 | 9,534,920 |
| Morgan Stanley | | 67,338 | 5,499,495 |
| Wells Fargo & Co. | | 244,844 | 10,004,326 |
| | | | 37,938,973 |
| Chemicals — 2.5% |
| FMC Corp. | | 110,296 | 7,386,523 |
| Electric — 10.1% |
| AES Corp. | | 455,769 | 6,927,689 |
| FirstEnergy Corp. | | 306,305 | 10,469,505 |
| PG&E Corp.† | | 776,298 | 12,521,686 |
| | | | 29,918,880 |
| Healthcare-Products — 2.4% |
| Baxter International, Inc. | | 190,200 | 7,178,148 |
| Healthcare-Services — 5.2% |
| Centene Corp.† | | 112,754 | 7,766,495 |
| Humana, Inc. | | 15,426 | 7,505,058 |
| | | | 15,271,553 |
| Insurance — 3.1% |
| MetLife, Inc. | | 143,341 | 9,017,582 |
| Internet — 3.0% |
| Alphabet, Inc., Class A† | | 67,819 | 8,874,794 |
| Machinery-Construction & Mining — 1.6% |
| Caterpillar, Inc. | | 17,261 | 4,712,253 |
| Mining — 6.2% |
| Barrick Gold Corp. | | 539,387 | 7,848,081 |
| Freeport-McMoRan, Inc. | | 279,098 | 10,407,564 |
| | | | 18,255,645 |
| Oil & Gas — 6.1% |
| Chevron Corp. | | 44,702 | 7,537,651 |
| Marathon Petroleum Corp. | | 69,533 | 10,523,124 |
| | | | 18,060,775 |
| Oil & Gas Services — 3.1% |
| TechnipFMC PLC | | 450,055 | 9,154,119 |
| Pharmaceuticals — 6.0% |
| Bristol-Myers Squibb Co. | | 126,580 | 7,346,703 |
| Cigna Group | | 36,710 | 10,501,630 |
| | | | 17,848,333 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| Pipelines — 3.0% |
| Williams Cos., Inc. | | 264,986 | | $ 8,927,378 |
| Retail — 3.5% |
| Lowe's Cos., Inc. | | 48,116 | | 10,000,429 |
| Qurate Retail, Inc., Series A† | | 497,022 | | 301,494 |
| | | | | 10,301,923 |
| Semiconductors — 5.6% |
| Applied Materials, Inc. | | 54,056 | | 7,484,053 |
| QUALCOMM, Inc. | | 80,093 | | 8,895,129 |
| | | | | 16,379,182 |
| Software — 2.6% |
| Teradata Corp.† | | 171,833 | | 7,735,922 |
| Telecommunications — 10.6% |
| Cisco Systems, Inc. | | 174,856 | | 9,400,258 |
| Corning, Inc. | | 338,487 | | 10,313,699 |
| Verizon Communications, Inc. | | 359,619 | | 11,655,252 |
| | | | | 31,369,209 |
| Transportation — 1.6% |
| CSX Corp. | | 153,216 | | 4,711,392 |
Total Common Stocks
(cost $238,441,949) | | | | 285,012,047 |
| PREFERRED STOCKS — 0.2% |
| Retail — 0.2% |
Qurate Retail, Inc.
8.00%
(cost $2,452,452) | | 15,006 | | 429,922 |
Total Long-Term Investment Securities
(cost $240,894,401) | | | | 285,441,969 |
| REPURCHASE AGREEMENTS — 2.6% |
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $7,796,116 and collateralized by $8,835,400 of United States Treasury Notes, bearing interest at 0.75% due 05/31/2026 and having an approximate value of $7,950,989
(cost $7,795,077) | | $7,795,077 | | 7,795,077 |
TOTAL INVESTMENTS
(cost $248,689,478)(1) | | 99.4% | | 293,237,046 |
| Other assets less liabilities | | 0.6 | | 1,800,163 |
| NET ASSETS | | 100.0% | | $295,037,209 |
| † | Non-income producing security |
| (1) | See Note 4 for cost of investments on a tax basis. |
Seasons Series Trust SA Columbia Focused Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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 | $285,012,047 | | $ — | | $— | | $285,012,047 |
| Preferred Stocks | 429,922 | | — | | — | | 429,922 |
| Repurchase Agreements | — | | 7,795,077 | | — | | 7,795,077 |
| Total Investments at Value | $285,441,969 | | $7,795,077 | | $— | | $293,237,046 |
| * | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
See Notes to Financial Statements
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| U.S. Government & Agency Obligations | 69.0% |
| Collateralized Mortgage Obligations | 9.3 |
| Banks | 7.0 |
| Other Asset Backed Securities | 4.9 |
| Electric | 4.8 |
| Oil & Gas | 1.7 |
| Auto Loan Receivables | 1.5 |
| Media | 1.4 |
| Foreign Government Obligations | 1.4 |
| Pipelines | 1.4 |
| Telecommunications | 1.1 |
| REITS | 1.0 |
| Insurance | 0.9 |
| Diversified Financial Services | 0.8 |
| Software | 0.8 |
| Healthcare-Services | 0.7 |
| Repurchase Agreements | 0.6 |
| Commercial Services | 0.6 |
| Agriculture | 0.6 |
| Gas | 0.6 |
| Semiconductors | 0.5 |
| Mining | 0.5 |
| Municipal Securities | 0.5 |
| Biotechnology | 0.5 |
| Trucking & Leasing | 0.5 |
| Pharmaceuticals | 0.4 |
| Internet | 0.4 |
| Aerospace/Defense | 0.3 |
| Food | 0.3 |
| Chemicals | 0.3 |
| Environmental Control | 0.3 |
| Packaging & Containers | 0.3 |
| Retail | 0.3 |
| Healthcare-Products | 0.3 |
| Hand/Machine Tools | 0.3 |
| Entertainment | 0.3 |
| Computers | 0.2 |
| Building Materials | 0.2 |
| Machinery-Diversified | 0.2 |
| Energy-Alternate Sources | 0.2 |
| Credit Card Receivables | 0.1 |
| Engineering & Construction | 0.1 |
| Auto Manufacturers | 0.1 |
| Cosmetics/Personal Care | 0.1 |
| Home Equity | 0.1 |
| Office/Business Equipment | 0.1 |
| Beverages | 0.1 |
| Iron/Steel | 0.1 |
| Transportation | 0.1 |
| Short-Term Investments | 0.1 |
| Electronics | 0.1 |
| Advertising | 0.1 |
| Lodging | 0.1 |
| Distribution/Wholesale | 0.1 |
| | 118.3% |
| Credit Quality†# | |
| Aaa | 64.6% |
| Aa | 0.9 |
| A | 7.7 |
| Baa | 14.7 |
| Ba | 2.9 |
| B | 0.7 |
| Caa | 0.3 |
| | |
| Ca | 0.1 |
| Not Rated@ | 8.1 |
| | 100.0% |
|
| * | Calculated as a percentage of net assets |
| † | Source: Moody's |
| # | Calculated as a percentage of total debt issues, excluding short-term securities. |
| @ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES — 30.8% |
| Advertising — 0.1% |
| Lamar Media Corp. | | | |
| 3.63%, 01/15/2031 | | $ 585,000 | $ 476,401 |
| Aerospace/Defense — 0.3% |
| Boeing Co. | | | |
| 3.38%, 06/15/2046 | | 52,000 | 33,135 |
| 5.04%, 05/01/2027 | | 695,000 | 678,571 |
| 5.15%, 05/01/2030 | | 521,000 | 497,815 |
| 5.93%, 05/01/2060 | | 104,000 | 93,383 |
| L3Harris Technologies, Inc. | | | |
| 5.40%, 07/31/2033 | | 90,000 | 86,514 |
| 5.60%, 07/31/2053 | | 20,000 | 18,703 |
| Lockheed Martin Corp. | | | |
| 4.45%, 05/15/2028 | | 64,000 | 61,940 |
| Northrop Grumman Corp. | | | |
| 4.95%, 03/15/2053 | | 40,000 | 35,121 |
| 5.15%, 05/01/2040 | | 500,000 | 456,467 |
| Raytheon Technologies Corp. | | | |
| 5.38%, 02/27/2053 | | 77,000 | 69,684 |
| RTX Corp. | | | |
| 5.15%, 02/27/2033 | | 320,000 | 303,029 |
| | | | 2,334,362 |
| Agriculture — 0.6% |
| BAT Capital Corp. | | | |
| 6.34%, 08/02/2030 | | 275,000 | 270,868 |
| Philip Morris International, Inc. | | | |
| 4.88%, 02/15/2028 | | 460,000 | 445,637 |
| 5.13%, 11/17/2027 to 02/15/2030 | | 1,035,000 | 1,005,403 |
| 5.38%, 02/15/2033 | | 1,490,000 | 1,412,277 |
| 5.63%, 11/17/2029 to 09/07/2033 | | 820,000 | 796,915 |
| Reynolds American, Inc. | | | |
| 5.70%, 08/15/2035 | | 90,000 | 80,522 |
| | | | 4,011,622 |
| Airlines — 0.0% |
| American Airlines, Inc. | | | |
| 7.25%, 02/15/2028* | | 32,000 | 30,595 |
| 11.75%, 07/15/2025* | | 40,000 | 43,000 |
| British Airways Pass Through Trust | | | |
| 2.90%, 09/15/2036* | | 93,049 | 77,037 |
| Hawaiian Brand Intellectual Property, Ltd./HawaiianMiles Loyalty, Ltd. | | | |
| 5.75%, 01/20/2026* | | 35,000 | 31,495 |
| United Airlines, Inc. | | | |
| 4.63%, 04/15/2029* | | 54,000 | 46,415 |
| | | | 228,542 |
| Apparel — 0.0% |
| William Carter Co. | | | |
| 5.63%, 03/15/2027* | | 151,000 | 145,224 |
| Auto Manufacturers — 0.1% |
| Ford Motor Co. | | | |
| 3.25%, 02/12/2032 | | 130,000 | 100,186 |
| 4.75%, 01/15/2043 | | 33,000 | 24,088 |
| Ford Motor Credit Co. LLC | | | |
| 4.00%, 11/13/2030 | | 270,000 | 225,503 |
| General Motors Co. | | | |
| 5.40%, 10/15/2029 | | 64,000 | 61,001 |
| General Motors Financial Co., Inc. | | | |
| 2.70%, 06/10/2031 | | 63,000 | 48,218 |
| 2.75%, 06/20/2025 | | 69,000 | 64,956 |
| 5.80%, 06/23/2028 | | 59,000 | 57,639 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Auto Manufacturers (continued) |
| Hyundai Capital America | | | |
| 5.80%, 06/26/2025* | | $ 41,000 | $ 40,827 |
| Mercedes-Benz Finance North America LLC | | | |
| 4.80%, 03/30/2028* | | 150,000 | 145,310 |
| 5.10%, 08/03/2028* | | 150,000 | 146,897 |
| PACCAR Financial Corp. | | | |
| 5.05%, 08/10/2026 | | 40,000 | 39,807 |
| | | | 954,432 |
| Banks — 7.0% |
| Banca Comerciala Romana SA | | | |
| 7.63%, 05/19/2027 | EUR | 200,000 | 217,683 |
| Banca Transilvania SA | | | |
| 8.88%, 04/27/2027 | EUR | 300,000 | 328,149 |
| Banco Santander SA | | | |
| 5.59%, 08/08/2028 | | 200,000 | 195,648 |
| Bank of America Corp. | | | |
| 0.98%, 09/25/2025 | | 145,000 | 137,335 |
| 1.90%, 07/23/2031 | | 125,000 | 94,982 |
| 1.92%, 10/24/2031 | | 260,000 | 196,153 |
| 2.30%, 07/21/2032 | | 1,800,000 | 1,363,914 |
| 2.46%, 10/22/2025 | | 299,000 | 287,142 |
| 2.57%, 10/20/2032 | | 900,000 | 691,553 |
| 2.69%, 04/22/2032 | | 1,120,000 | 880,254 |
| 3.31%, 04/22/2042 | | 96,000 | 66,821 |
| 3.85%, 03/08/2037 | | 172,000 | 139,897 |
| 3.97%, 02/07/2030 | | 63,000 | 56,580 |
| 4.08%, 04/23/2040 | | 135,000 | 107,065 |
| 4.18%, 11/25/2027 | | 58,000 | 53,917 |
| 4.38%, 04/27/2028 | | 510,000 | 481,570 |
| 4.57%, 04/27/2033 | | 40,000 | 35,513 |
| 4.95%, 07/22/2028 | | 350,000 | 336,302 |
| 5.20%, 04/25/2029 | | 625,000 | 602,065 |
| 5.93%, 09/15/2027 | | 1,340,000 | 1,330,040 |
| 6.11%, 01/29/2037 | | 119,000 | 117,350 |
| Bank of Nova Scotia | | | |
| 4.59%, 05/04/2037 | | 136,000 | 113,349 |
| BankUnited, Inc. | | | |
| 4.88%, 11/17/2025 | | 146,000 | 136,726 |
| 5.13%, 06/11/2030 | | 263,000 | 221,413 |
| Barclays PLC | | | |
| 3.56%, 09/23/2035 | | 208,000 | 160,599 |
| 6.22%, 05/09/2034 | | 680,000 | 644,157 |
| 6.49%, 09/13/2029 | | 250,000 | 247,956 |
| 7.12%, 06/27/2034 | | 700,000 | 674,193 |
| 7.39%, 11/02/2028 | | 265,000 | 271,880 |
| BNP Paribas SA | | | |
| 1.68%, 06/30/2027* | | 200,000 | 177,143 |
| 2.16%, 09/15/2029* | | 235,000 | 193,763 |
| 5.13%, 01/13/2029* | | 545,000 | 526,187 |
| Citibank NA | | | |
| 5.80%, 09/29/2028 | | 500,000 | 500,071 |
| Citigroup, Inc. | | | |
| 1.28%, 11/03/2025 | | 430,000 | 406,118 |
| 2.57%, 06/03/2031 | | 32,000 | 25,517 |
| 2.90%, 11/03/2042 | | 28,000 | 17,911 |
| 3.67%, 07/24/2028 | | 34,000 | 31,189 |
| 4.45%, 09/29/2027 | | 165,000 | 154,910 |
| 5.61%, 09/29/2026 | | 95,000 | 94,034 |
| 5.88%, 02/22/2033 | | 119,000 | 114,331 |
| 6.00%, 10/31/2033 | | 308,000 | 298,530 |
| 6.17%, 05/25/2034 | | 35,000 | 33,447 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Banks (continued) |
| Citizens Financial Group, Inc. | | | |
| 2.64%, 09/30/2032 | | $ 275,000 | $ 191,887 |
| Cooperatieve Rabobank UA | | | |
| 1.00%, 09/24/2026* | | 286,000 | 258,598 |
| Credit Agricole SA | | | |
| 6.32%, 10/03/2029* | | 340,000 | 340,039 |
| Danske Bank A/S | | | |
| 0.98%, 09/10/2025* | | 200,000 | 189,573 |
| 1.62%, 09/11/2026* | | 340,000 | 309,718 |
| Deutsche Bank AG | | | |
| 2.13%, 11/24/2026 | | 170,000 | 153,740 |
| 2.31%, 11/16/2027 | | 1,015,000 | 883,846 |
| 3.74%, 01/07/2033 | | 200,000 | 143,519 |
| 7.08%, 02/10/2034 | | 200,000 | 180,748 |
| Fifth Third Bancorp | | | |
| 6.34%, 07/27/2029 | | 17,000 | 16,794 |
| First Horizon Bank | | | |
| 5.75%, 05/01/2030 | | 250,000 | 223,769 |
| Goldman Sachs Group, Inc. | | | |
| 1.54%, 09/10/2027 | | 126,000 | 110,325 |
| 1.99%, 01/27/2032 | | 210,000 | 157,421 |
| 2.38%, 07/21/2032 | | 1,306,000 | 994,635 |
| 2.62%, 04/22/2032 | | 1,530,000 | 1,195,047 |
| 3.21%, 04/22/2042 | | 80,000 | 54,232 |
| 4.22%, 05/01/2029 | | 79,000 | 73,077 |
| 4.41%, 04/23/2039 | | 210,000 | 172,844 |
| 4.48%, 08/23/2028 | | 655,000 | 619,965 |
| 5.70%, 11/01/2024 | | 79,000 | 78,698 |
| 6.75%, 10/01/2037 | | 206,000 | 208,605 |
| HSBC Holdings PLC | | | |
| 2.21%, 08/17/2029 | | 420,000 | 346,177 |
| 2.25%, 11/22/2027 | | 200,000 | 176,545 |
| 5.21%, 08/11/2028 | | 625,000 | 601,730 |
| 5.40%, 08/11/2033 | | 1,055,000 | 972,198 |
| 5.89%, 08/14/2027 | | 770,000 | 760,606 |
| 6.16%, 03/09/2029 | | 350,000 | 346,480 |
| 6.33%, 03/09/2044 | | 495,000 | 475,298 |
| 6.55%, 06/20/2034 | | 1,290,000 | 1,223,392 |
| 8.11%, 11/03/2033 | | 200,000 | 210,327 |
| Huntington Bancshares, Inc. | | | |
| 2.55%, 02/04/2030 | | 28,000 | 22,114 |
| 6.21%, 08/21/2029 | | 140,000 | 136,955 |
| Huntington National Bank | | | |
| 5.65%, 01/10/2030 | | 250,000 | 235,585 |
| Intesa Sanpaolo SpA | | | |
| 4.95%, 06/01/2042* | | 215,000 | 133,317 |
| 6.63%, 06/20/2033* | | 795,000 | 747,085 |
| JPMorgan Chase & Co. | | | |
| 2.01%, 03/13/2026 | | 220,000 | 207,168 |
| 2.07%, 06/01/2029 | | 199,000 | 167,679 |
| 2.53%, 11/19/2041 | | 322,000 | 202,251 |
| 2.55%, 11/08/2032 | | 1,068,000 | 826,519 |
| 3.51%, 01/23/2029 | | 1,230,000 | 1,115,680 |
| 3.54%, 05/01/2028 | | 148,000 | 136,085 |
| 3.70%, 05/06/2030 | | 300,000 | 267,564 |
| 3.96%, 01/29/2027 | | 495,000 | 473,141 |
| 4.85%, 07/25/2028 | | 325,000 | 313,289 |
| 4.91%, 07/25/2033 | | 37,000 | 34,042 |
| 5.30%, 07/24/2029 | | 730,000 | 710,277 |
| 6.13%, 04/30/2024(1) | | 124,000 | 122,664 |
| M&T Bank Corp. | | | |
| 5.05%, 01/27/2034 | | 715,000 | 618,304 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| Manufacturers & Traders Trust Co. | | | |
| 4.70%, 01/27/2028 | | $ 576,000 | $ 531,966 |
| mBank SA | | | |
| 0.97%, 09/21/2027 | EUR | 200,000 | 172,078 |
| Mitsubishi UFJ Financial Group, Inc. | | | |
| 4.79%, 07/18/2025 | | 200,000 | 197,671 |
| Mizuho Financial Group, Inc. | | | |
| 5.78%, 07/06/2029 | | 200,000 | 197,222 |
| Morgan Stanley | | | |
| 1.16%, 10/21/2025 | | 59,000 | 55,694 |
| 1.51%, 07/20/2027 | | 164,000 | 144,909 |
| 1.79%, 02/13/2032 | | 1,055,000 | 781,278 |
| 1.93%, 04/28/2032 | | 410,000 | 304,548 |
| 2.24%, 07/21/2032 | | 700,000 | 527,580 |
| 2.48%, 01/21/2028 | | 460,000 | 410,145 |
| 2.48%, 09/16/2036 | | 17,000 | 12,349 |
| 2.51%, 10/20/2032 | | 220,000 | 168,248 |
| 2.70%, 01/22/2031 | | 820,000 | 670,441 |
| 3.22%, 04/22/2042 | | 94,000 | 64,766 |
| 3.62%, 04/01/2031 | | 31,000 | 26,706 |
| 4.68%, 07/17/2026 | | 35,000 | 34,096 |
| 5.16%, 04/20/2029 | | 1,015,000 | 976,486 |
| 5.30%, 04/20/2037 | | 102,000 | 90,884 |
| 5.45%, 07/20/2029 | | 220,000 | �� 214,383 |
| Morgan Stanley VRS | | | |
| 3.59%, 07/22/2028(2) | | 242,000 | 220,796 |
| NatWest Group PLC | | | |
| 3.03%, 11/28/2035 | | 200,000 | 150,524 |
| OTP Bank Nyrt | | | |
| 7.35%, 03/04/2026 | EUR | 350,000 | 375,950 |
| 7.50%, 05/25/2027 | | 200,000 | 200,678 |
| Regions Financial Corp. | | | |
| 7.38%, 12/10/2037 | | 150,000 | 153,432 |
| Signature Bank | | | |
| 4.00%, 10/15/2030 | | 166,000 | 4,150 |
| Societe Generale SA | | | |
| 6.22%, 06/15/2033* | | 1,055,000 | 955,421 |
| Standard Chartered PLC | | | |
| 6.30%, 07/06/2034* | | 435,000 | 419,623 |
| 7.77%, 11/16/2028* | | 480,000 | 502,987 |
| Swedbank AB | | | |
| 1.54%, 11/16/2026* | | 254,000 | 223,167 |
| Texas Capital Bancshares, Inc. | | | |
| 4.00%, 05/06/2031 | | 128,000 | 106,254 |
| Truist Financial Corp. | | | |
| 4.92%, 07/28/2033 | | 63,000 | 53,444 |
| UBS Group AG | | | |
| 1.49%, 08/10/2027* | | 200,000 | 174,572 |
| 2.75%, 02/11/2033* | | 215,000 | 162,549 |
| 3.09%, 05/14/2032* | | 250,000 | 197,462 |
| 4.28%, 01/09/2028* | | 945,000 | 868,862 |
| 4.75%, 05/12/2028* | | 350,000 | 330,699 |
| 6.25%, 09/22/2029* | | 380,000 | 376,013 |
| 6.44%, 08/11/2028* | | 370,000 | 369,682 |
| 6.54%, 08/12/2033* | | 725,000 | 716,527 |
| US Bancorp | | | |
| 2.22%, 01/27/2028 | | 32,000 | 28,230 |
| 2.49%, 11/03/2036 | | 288,000 | 202,895 |
| Valley National Bancorp | | | |
| 3.00%, 06/15/2031 | | 171,000 | 137,094 |
| Wells Fargo & Co. | | | |
| 2.39%, 06/02/2028 | | 42,000 | 36,833 |
| 3.00%, 10/23/2026 | | 935,000 | 858,697 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Banks (continued) |
| 3.07%, 04/30/2041 | | $ 74,000 | $ 49,717 |
| 3.35%, 03/02/2033 | | 1,020,000 | 824,510 |
| 3.91%, 04/25/2026 | | 340,000 | 327,608 |
| 4.30%, 07/22/2027 | | 334,000 | 314,741 |
| 4.81%, 07/25/2028 | | 180,000 | 171,769 |
| 4.90%, 07/25/2033 | | 908,000 | 821,740 |
| 5.39%, 04/24/2034 | | 260,000 | 243,076 |
| 5.57%, 07/25/2029 | | 990,000 | 965,836 |
| 5.61%, 01/15/2044 | | 55,000 | 48,772 |
| Zions Bancorp NA | | | |
| 3.25%, 10/29/2029 | | 250,000 | 194,044 |
| | | | 48,272,713 |
| Beverages — 0.1% |
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | | | |
| 4.90%, 02/01/2046 | | 134,000 | 116,787 |
| Bacardi, Ltd./Bacardi-Martini BV | | | |
| 5.25%, 01/15/2029* | | 100,000 | 96,728 |
| 5.40%, 06/15/2033* | | 415,000 | 388,866 |
| Brown-Forman Corp. | | | |
| 4.75%, 04/15/2033 | | 44,000 | 41,820 |
| Constellation Brands, Inc. | | | |
| 4.35%, 05/09/2027 | | 37,000 | 35,405 |
| PepsiCo, Inc. | | | |
| 3.60%, 02/18/2028 | | 48,000 | 45,418 |
| 3.90%, 07/18/2032 | | 54,000 | 49,205 |
| 4.00%, 03/05/2042 | | 24,000 | 19,413 |
| | | | 793,642 |
| Biotechnology — 0.5% |
| Amgen, Inc. | | | |
| 2.80%, 08/15/2041 | | 108,000 | 70,058 |
| 3.15%, 02/21/2040 | | 41,000 | 28,935 |
| 4.40%, 05/01/2045 | | 24,000 | 19,017 |
| 5.25%, 03/02/2030 to 03/02/2033 | | 1,115,000 | 1,068,522 |
| 5.65%, 03/02/2053 | | 72,000 | 67,386 |
| 5.75%, 03/02/2063 | | 172,000 | 158,667 |
| CSL Finance PLC | | | |
| 4.05%, 04/27/2029* | | 560,000 | 522,356 |
| 4.75%, 04/27/2052* | | 44,000 | 37,234 |
| Gilead Sciences, Inc. | | | |
| 5.55%, 10/15/2053 | | 43,000 | 41,342 |
| Regeneron Pharmaceuticals, Inc. | | | |
| 2.80%, 09/15/2050 | | 52,000 | 30,013 |
| Royalty Pharma PLC | | | |
| 2.15%, 09/02/2031 | | 691,000 | 517,092 |
| 2.20%, 09/02/2030 | | 895,000 | 694,809 |
| 3.35%, 09/02/2051 | | 285,000 | 164,917 |
| | | | 3,420,348 |
| Building Materials — 0.2% |
| Builders FirstSource, Inc. | | | |
| 5.00%, 03/01/2030* | | 745,000 | 664,247 |
| Carrier Global Corp. | | | |
| 3.38%, 04/05/2040 | | 94,000 | 67,233 |
| Lennox International, Inc. | | | |
| 5.50%, 09/15/2028 | | 60,000 | 58,886 |
| PGT Innovations, Inc. | | | |
| 4.38%, 10/01/2029* | | 18,000 | 16,597 |
| Standard Industries, Inc. | | | |
| 3.38%, 01/15/2031* | | 26,000 | 20,098 |
| 4.38%, 07/15/2030* | | 710,000 | 588,021 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Building Materials (continued) |
| Trane Technologies Financing, Ltd. | | | |
| 5.25%, 03/03/2033 | | $ 29,000 | $ 28,039 |
| | | | 1,443,121 |
| Chemicals — 0.3% |
| Albemarle Corp. | | | |
| 5.65%, 06/01/2052 | | 16,000 | 13,366 |
| Celanese US Holdings LLC | | | |
| 6.17%, 07/15/2027 | | 765,000 | 754,343 |
| 6.33%, 07/15/2029 | | 370,000 | 362,678 |
| 6.55%, 11/15/2030 | | 460,000 | 450,170 |
| CF Industries, Inc. | | | |
| 5.38%, 03/15/2044 | | 97,000 | 82,906 |
| Eastman Chemical Co. | | | |
| 5.75%, 03/08/2033 | | 66,000 | 63,062 |
| Ecolab, Inc. | | | |
| 2.70%, 12/15/2051 | | 95,000 | 55,504 |
| 5.25%, 01/15/2028 | | 60,000 | 59,892 |
| FMC Corp. | | | |
| 5.15%, 05/18/2026 | | 15,000 | 14,573 |
| Methanex Corp. | | | |
| 5.13%, 10/15/2027 | | 25,000 | 23,062 |
| Minerals Technologies, Inc. | | | |
| 5.00%, 07/01/2028* | | 36,000 | 33,019 |
| Nutrien, Ltd. | | | |
| 5.80%, 03/27/2053 | | 50,000 | 45,928 |
| 5.95%, 11/07/2025 | | 45,000 | 45,048 |
| RPM International, Inc. | | | |
| 2.95%, 01/15/2032 | | 35,000 | 27,227 |
| 4.55%, 03/01/2029 | | 79,000 | 73,174 |
| Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. | | | |
| 5.13%, 04/01/2029* | | 36,000 | 18,781 |
| Westlake Corp. | | | |
| 3.38%, 08/15/2061 | | 84,000 | 46,442 |
| | | | 2,169,175 |
| Coal — 0.0% |
| Warrior Met Coal, Inc. | | | |
| 7.88%, 12/01/2028* | | 16,000 | 16,045 |
| Commercial Services — 0.6% |
| Ashtead Capital, Inc. | | | |
| 4.38%, 08/15/2027* | | 1,000,000 | 929,438 |
| 5.50%, 08/11/2032* | | 400,000 | 369,580 |
| 5.55%, 05/30/2033* | | 200,000 | 185,547 |
| 5.95%, 10/15/2033* | | 200,000 | 189,871 |
| Deluxe Corp. | | | |
| 8.00%, 06/01/2029* | | 40,000 | 32,998 |
| Ford Foundation | | | |
| 2.82%, 06/01/2070 | | 80,000 | 43,957 |
| Garda World Security Corp. | | | |
| 6.00%, 06/01/2029* | | 40,000 | 32,716 |
| 9.50%, 11/01/2027* | | 15,000 | 14,342 |
| Howard University | | | |
| 2.29%, 10/01/2026 | | 100,000 | 89,894 |
| 2.70%, 10/01/2029 | | 250,000 | 210,602 |
| 2.80%, 10/01/2030 | | 100,000 | 82,844 |
| 2.90%, 10/01/2031 | | 100,000 | 81,183 |
| 3.48%, 10/01/2041 | | 95,000 | 65,022 |
| Korn Ferry | | | |
| 4.63%, 12/15/2027* | | 19,000 | 17,480 |
| Metis Merger Sub LLC | | | |
| 6.50%, 05/15/2029* | | 22,000 | 18,584 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Commercial Services (continued) |
| Mobius Merger Sub, Inc. | | | |
| 9.00%, 06/01/2030* | | $ 25,000 | $ 23,123 |
| PROG Holdings, Inc. | | | |
| 6.00%, 11/15/2029* | | 29,000 | 25,302 |
| Quanta Services, Inc. | | | |
| 2.90%, 10/01/2030 | | 62,000 | 50,570 |
| 3.05%, 10/01/2041 | | 55,000 | 34,651 |
| S&P Global, Inc. | | | |
| 2.70%, 03/01/2029 | | 88,000 | 76,941 |
| 5.25%, 09/15/2033* | | 15,000 | 14,621 |
| Service Corp. International | | | |
| 3.38%, 08/15/2030 | | 560,000 | 451,360 |
| 5.13%, 06/01/2029 | | 724,000 | 669,338 |
| Sotheby's | | | |
| 7.38%, 10/15/2027* | | 85,000 | 78,236 |
| TriNet Group, Inc. | | | |
| 3.50%, 03/01/2029* | | 28,000 | 23,581 |
| Triton Container International, Ltd. | | | |
| 2.05%, 04/15/2026* | | 211,000 | 187,979 |
| 3.15%, 06/15/2031* | | 138,000 | 104,032 |
| Upbound Group, Inc. | | | |
| 6.38%, 02/15/2029* | | 40,000 | 35,500 |
| | | | 4,139,292 |
| Computers — 0.2% |
| Ahead DB Holdings LLC | | | |
| 6.63%, 05/01/2028* | | 45,000 | 38,011 |
| Apple, Inc. | | | |
| 1.40%, 08/05/2028 | | 152,000 | 128,771 |
| 2.65%, 05/11/2050 | | 62,000 | 37,971 |
| 2.70%, 08/05/2051 | | 37,000 | 22,530 |
| 3.95%, 08/08/2052 | | 53,000 | 41,565 |
| 4.10%, 08/08/2062 | | 44,000 | 33,840 |
| Booz Allen Hamilton, Inc. | | | |
| 3.88%, 09/01/2028* | | 762,000 | 682,676 |
| 5.95%, 08/04/2033 | | 19,000 | 18,536 |
| Dell International LLC/EMC Corp. | | | |
| 3.38%, 12/15/2041* | | 104,000 | 69,787 |
| 8.10%, 07/15/2036 | | 69,000 | 77,190 |
| Hewlett Packard Enterprise Co. | | | |
| 1.75%, 04/01/2026 | | 116,000 | 105,348 |
| 5.25%, 07/01/2028 | | 111,000 | 108,363 |
| Leidos, Inc. | | | |
| 4.38%, 05/15/2030 | | 79,000 | 70,722 |
| 5.75%, 03/15/2033 | | 47,000 | 45,043 |
| McAfee Corp. | | | |
| 7.38%, 02/15/2030* | | 55,000 | 46,046 |
| NCR Atleos Escrow Corp. | | | |
| 9.50%, 04/01/2029* | | 15,000 | 14,508 |
| NCR Corp. | | | |
| 5.13%, 04/15/2029* | | 26,000 | 22,908 |
| Seagate HDD Cayman | | | |
| 4.09%, 06/01/2029 | | 20,000 | 17,253 |
| | | | 1,581,068 |
| Cosmetics/Personal Care — 0.1% |
| Coty, Inc. | | | |
| 5.00%, 04/15/2026* | | 25,000 | 24,016 |
| Edgewell Personal Care Co. | | | |
| 4.13%, 04/01/2029* | | 46,000 | 39,100 |
| Estee Lauder Cos., Inc. | | | |
| 4.38%, 05/15/2028 | | 60,000 | 57,790 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Cosmetics/Personal Care (continued) |
| Haleon US Capital LLC | | | |
| 3.63%, 03/24/2032 | | $ 500,000 | $ 428,826 |
| Kenvue, Inc. | | | |
| 4.90%, 03/22/2033* | | 70,000 | 66,899 |
| 5.05%, 03/22/2053* | | 130,000 | 118,082 |
| Procter & Gamble Co. | | | |
| 3.95%, 01/26/2028 | | 93,000 | 89,966 |
| Unilever Capital Corp. | | | |
| 5.00%, 12/08/2033 | | 100,000 | 96,841 |
| | | | 921,520 |
| Distribution/Wholesale — 0.1% |
| LKQ Corp. | | | |
| 5.75%, 06/15/2028* | | 365,000 | 356,574 |
| Windsor Holdings III LLC | | | |
| 8.50%, 06/15/2030* | | 21,000 | 20,717 |
| | | | 377,291 |
| Diversified Financial Services — 0.8% |
| AG Issuer LLC | | | |
| 6.25%, 03/01/2028* | | 35,000 | 32,686 |
| Aretec Escrow Issuer, Inc. | | | |
| 7.50%, 04/01/2029* | | 35,000 | 30,986 |
| Avolon Holdings Funding, Ltd. | | | |
| 6.38%, 05/04/2028* | | 24,000 | 23,580 |
| Bread Financial Holdings, Inc. | | | |
| 4.75%, 12/15/2024* | | 39,000 | 37,798 |
| Burford Capital Global Finance LLC | | | |
| 6.25%, 04/15/2028* | | 30,000 | 27,741 |
| Capital One Financial Corp. | | | |
| 1.88%, 11/02/2027 | | 1,485,000 | 1,292,317 |
| 3.27%, 03/01/2030 | | 230,000 | 192,395 |
| 5.25%, 07/26/2030 | | 445,000 | 412,522 |
| 5.47%, 02/01/2029 | | 130,000 | 123,747 |
| 5.82%, 02/01/2034 | | 470,000 | 423,564 |
| 6.31%, 06/08/2029 | | 165,000 | 161,254 |
| 6.38%, 06/08/2034 | | 305,000 | 287,833 |
| Cobra AcquisitionCo LLC | | | |
| 6.38%, 11/01/2029* | | 40,000 | 29,600 |
| Curo Group Holdings Corp. | | | |
| 7.50%, 08/01/2028* | | 31,000 | 7,285 |
| Enact Holdings, Inc. | | | |
| 6.50%, 08/15/2025* | | 37,000 | 36,442 |
| Enova International, Inc. | | | |
| 8.50%, 09/01/2024 to 09/15/2025* | | 61,000 | 59,802 |
| goeasy, Ltd. | | | |
| 4.38%, 05/01/2026* | | 13,000 | 11,896 |
| Intercontinental Exchange, Inc. | | | |
| 4.35%, 06/15/2029 | | 210,000 | 197,469 |
| 4.95%, 06/15/2052 | | 81,000 | 70,280 |
| 5.20%, 06/15/2062 | | 60,000 | 52,475 |
| Jefferies Financial Group, Inc. | | | |
| 5.88%, 07/21/2028 | | 72,000 | 70,462 |
| LFS Topco LLC | | | |
| 5.88%, 10/15/2026* | | 24,000 | 20,559 |
| Nasdaq, Inc. | | | |
| 5.35%, 06/28/2028 | | 260,000 | 255,250 |
| 5.55%, 02/15/2034 | | 435,000 | 415,187 |
| 5.95%, 08/15/2053 | | 24,000 | 22,418 |
| 6.10%, 06/28/2063 | | 29,000 | 26,970 |
| NFP Corp. | | | |
| 4.88%, 08/15/2028* | | 17,000 | 14,966 |
| 8.50%, 10/01/2031* | | 22,000 | 22,033 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Diversified Financial Services (continued) |
| Synchrony Financial | | | |
| 2.88%, 10/28/2031 | | $ 380,000 | $ 269,233 |
| 4.50%, 07/23/2025 | | 391,000 | 372,329 |
| 7.25%, 02/02/2033 | | 590,000 | 520,741 |
| USAA Capital Corp. | | | |
| 3.38%, 05/01/2025* | | 150,000 | 144,541 |
| | | | 5,666,361 |
| Electric — 4.8% |
| AES Corp. | | | |
| 2.45%, 01/15/2031 | | 133,000 | 102,286 |
| 3.30%, 07/15/2025* | | 530,000 | 502,003 |
| 5.45%, 06/01/2028 | | 58,000 | 55,988 |
| Alabama Power Co. | | | |
| 3.45%, 10/01/2049 | | 520,000 | 345,569 |
| 4.15%, 08/15/2044 | | 445,000 | 342,233 |
| American Electric Power Co., Inc. | | | |
| 5.63%, 03/01/2033 | | 82,000 | 79,348 |
| 5.70%, 08/15/2025 | | 70,000 | 69,641 |
| Arizona Public Service Co. | | | |
| 5.55%, 08/01/2033 | | 225,000 | 218,109 |
| Avangrid, Inc. | | | |
| 3.20%, 04/15/2025 | | 182,000 | 173,989 |
| Baltimore Gas and Electric Co. | | | |
| 5.40%, 06/01/2053 | | 47,000 | 43,192 |
| Berkshire Hathaway Energy Co. | | | |
| 4.60%, 05/01/2053 | | 415,000 | 324,146 |
| Calpine Corp. | | | |
| 3.75%, 03/01/2031* | | 48,000 | 38,670 |
| 5.00%, 02/01/2031* | | 31,000 | 25,066 |
| Cleco Corporate Holdings LLC | | | |
| 3.38%, 09/15/2029 | | 595,000 | 497,015 |
| 4.97%, 05/01/2046 | | 35,000 | 26,286 |
| CMS Energy Corp. | | | |
| 3.75%, 12/01/2050 | | 57,000 | 42,810 |
| 4.75%, 06/01/2050 | | 75,000 | 63,980 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.20%, 12/01/2051 | | 490,000 | 306,859 |
| 3.95%, 04/01/2050 | | 68,000 | 50,230 |
| 4.45%, 03/15/2044 | | 36,000 | 28,802 |
| Constellation Energy Generation LLC | | | |
| 6.50%, 10/01/2053 | | 35,000 | 35,082 |
| Dominion Energy, Inc. | | | |
| 3.38%, 04/01/2030 | | 93,000 | 80,002 |
| 5.38%, 11/15/2032 | | 2,007,000 | 1,916,114 |
| 5.75%, 10/01/2054 | | 80,000 | 77,429 |
| 6.30%, 03/15/2033 | | 35,000 | 35,540 |
| DTE Electric Co. | | | |
| 3.95%, 03/01/2049 | | 105,000 | 78,003 |
| DTE Energy Co. | | | |
| 4.88%, 06/01/2028 | | 86,000 | 83,114 |
| Duke Energy Carolinas LLC | | | |
| 3.55%, 03/15/2052 | | 33,000 | 22,537 |
| 4.00%, 09/30/2042 | | 145,000 | 111,152 |
| 5.40%, 01/15/2054 | | 23,000 | 21,247 |
| 6.00%, 01/15/2038 | | 40,000 | 39,672 |
| 6.10%, 06/01/2037 | | 10,000 | 9,922 |
| Duke Energy Corp. | | | |
| 2.55%, 06/15/2031 | | 1,475,000 | 1,169,532 |
| 4.50%, 08/15/2032 | | 535,000 | 481,263 |
| 5.00%, 08/15/2052 | | 180,000 | 149,628 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| Duke Energy Florida LLC | | | |
| 5.95%, 11/15/2052 | | $ 34,000 | $ 33,393 |
| Duke Energy Indiana LLC | | | |
| 2.75%, 04/01/2050 | | 675,000 | 386,534 |
| 4.90%, 07/15/2043 | | 135,000 | 115,853 |
| Duke Energy Ohio, Inc. | | | |
| 5.65%, 04/01/2053 | | 24,000 | 22,636 |
| Duke Energy Progress LLC | | | |
| 4.00%, 04/01/2052 | | 185,000 | 134,582 |
| 4.15%, 12/01/2044 | | 900,000 | 689,692 |
| Edison International | | | |
| 5.25%, 11/15/2028 | | 305,000 | 293,453 |
| 6.95%, 11/15/2029 | | 635,000 | 654,882 |
| Emera US Finance LP | | | |
| 4.75%, 06/15/2046 | | 106,000 | 78,199 |
| Emera, Inc. | | | |
| 6.75%, 06/15/2076 | | 425,000 | 407,985 |
| Enel Finance International NV | | | |
| 5.00%, 06/15/2032* | | 525,000 | 474,956 |
| Entergy Mississippi LLC | | | |
| 3.50%, 06/01/2051 | | 46,000 | 30,169 |
| Entergy Texas, Inc. | | | |
| 4.50%, 03/30/2039 | | 121,000 | 100,538 |
| 5.00%, 09/15/2052 | | 26,000 | 22,053 |
| Evergy, Inc. | | | |
| 2.90%, 09/15/2029 | | 745,000 | 636,307 |
| Eversource Energy | | | |
| 5.13%, 05/15/2033 | | 365,000 | 339,494 |
| 5.45%, 03/01/2028 | | 195,000 | 192,741 |
| Exelon Corp. | | | |
| 5.60%, 03/15/2053 | | 36,000 | 32,747 |
| FirstEnergy Transmission LLC | | | |
| 4.55%, 04/01/2049* | | 106,000 | 82,985 |
| Florida Power & Light Co. | | | |
| 5.10%, 04/01/2033 | | 210,000 | 203,153 |
| Georgia Power Co. | | | |
| 3.25%, 03/15/2051 | | 106,000 | 67,162 |
| 4.30%, 03/15/2042 | | 300,000 | 239,987 |
| 4.70%, 05/15/2032 | | 270,000 | 250,158 |
| 4.75%, 09/01/2040 | | 195,000 | 165,650 |
| Indiana Michigan Power Co. | | | |
| 5.63%, 04/01/2053 | | 27,000 | 25,467 |
| Interstate Power & Light Co. | | | |
| 3.50%, 09/30/2049 | | 78,000 | 50,813 |
| Investment Energy Resources, Ltd. | | | |
| 6.25%, 04/26/2029* | | 200,000 | 182,000 |
| IPALCO Enterprises, Inc. | | | |
| 3.70%, 09/01/2024 | | 925,000 | 903,439 |
| Kentucky Utilities Co. | | | |
| 5.45%, 04/15/2033 | | 315,000 | 307,739 |
| Liberty Utilities Finance GP | | | |
| 2.05%, 09/15/2030* | | 64,000 | 49,342 |
| Metropolitan Edison Co. | | | |
| 5.20%, 04/01/2028* | | 101,000 | 98,527 |
| Monongahela Power Co. | | | |
| 5.85%, 02/15/2034* | | 347,000 | 340,593 |
| National Grid PLC | | | |
| 5.60%, 06/12/2028 | | 145,000 | 143,421 |
| National Rural Utilities Cooperative Finance Corp. | | | |
| 4.80%, 03/15/2028 | | 36,000 | 35,105 |
| 5.80%, 01/15/2033 | | 375,000 | 374,450 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Electric (continued) |
| National Rural Utilities Cooperative Finance Corp. FRS | | | |
| 8.54%, (TSFR1M+3.17%), 04/30/2043 | | $ 69,000 | $ 67,793 |
| New York State Electric & Gas Corp. | | | |
| 5.85%, 08/15/2033* | | 78,000 | 76,918 |
| Nextera Energy Capital Holdings, Inc. | | | |
| 2.25%, 06/01/2030 | | 195,000 | 156,111 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 4.63%, 07/15/2027 | | 1,185,000 | 1,142,171 |
| 5.00%, 02/28/2030 to 07/15/2032 | | 1,000,000 | 939,631 |
| 5.75%, 09/01/2025 | | 39,000 | 38,890 |
| 6.05%, 03/01/2025 | | 41,000 | 41,062 |
| NRG Energy, Inc. | | | |
| 2.45%, 12/02/2027* | | 585,000 | 495,885 |
| 3.63%, 02/15/2031* | | 75,000 | 56,899 |
| Oglethorpe Power Corp. | | | |
| 4.50%, 04/01/2047 | | 330,000 | 246,484 |
| Ohio Edison Co. | | | |
| 5.50%, 01/15/2033* | | 355,000 | 339,643 |
| Oklahoma Gas & Electric Co. | | | |
| 5.60%, 04/01/2053 | | 24,000 | 22,420 |
| Oncor Electric Delivery Co. LLC | | | |
| 4.15%, 06/01/2032 | | 59,000 | 53,723 |
| Pacific Gas & Electric Co. | | | |
| 2.10%, 08/01/2027 | | 230,000 | 196,666 |
| 2.50%, 02/01/2031 | | 1,585,000 | 1,205,836 |
| 3.95%, 12/01/2047 | | 105,000 | 67,225 |
| 4.30%, 03/15/2045 | | 97,000 | 65,640 |
| 4.40%, 03/01/2032 | | 450,000 | 381,158 |
| 4.50%, 07/01/2040 | | 40,000 | 29,764 |
| 4.55%, 07/01/2030 | | 630,000 | 556,894 |
| 4.95%, 06/08/2025 to 07/01/2050 | | 438,000 | 340,800 |
| 5.25%, 03/01/2052 | | 271,000 | 208,858 |
| 5.90%, 06/15/2032 | | 805,000 | 751,791 |
| 6.10%, 01/15/2029 | | 1,435,000 | 1,401,598 |
| 6.15%, 01/15/2033 | | 630,000 | 597,514 |
| 6.40%, 06/15/2033 | | 585,000 | 563,843 |
| 6.75%, 01/15/2053 | | 90,000 | 84,328 |
| PacifiCorp | | | |
| 5.50%, 05/15/2054 | | 81,000 | 68,697 |
| Pattern Energy Operations LP/Pattern Energy Operations, Inc. | | | |
| 4.50%, 08/15/2028* | | 65,000 | 56,452 |
| PPL Capital Funding, Inc. | | | |
| 4.13%, 04/15/2030 | | 175,000 | 157,159 |
| Public Service Co. of Colorado | | | |
| 2.70%, 01/15/2051 | | 175,000 | 97,889 |
| 3.70%, 06/15/2028 | | 128,000 | 117,930 |
| 4.10%, 06/15/2048 | | 89,000 | 64,994 |
| Public Service Co. of Oklahoma | | | |
| 2.20%, 08/15/2031 | | 92,000 | 71,086 |
| Puget Energy, Inc. | | | |
| 2.38%, 06/15/2028 | | 520,000 | 444,818 |
| 3.65%, 05/15/2025 | | 1,840,000 | 1,763,750 |
| Sempra Energy | | | |
| 3.40%, 02/01/2028 | | 820,000 | 746,346 |
| Southern California Edison Co. | | | |
| 2.75%, 02/01/2032 | | 320,000 | 255,873 |
| 2.85%, 08/01/2029 | | 55,000 | 47,437 |
| 5.30%, 03/01/2028 | | 130,000 | 128,311 |
| 5.85%, 11/01/2027 | | 531,000 | 533,849 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| Southern Co. | | | |
| 3.70%, 04/30/2030 | | $ 200,000 | $ 177,164 |
| 4.48%, 08/01/2024(3) | | 81,000 | 79,825 |
| 5.20%, 06/15/2033 | | 540,000 | 510,415 |
| 5.70%, 03/15/2034 | | 230,000 | 225,249 |
| Southwestern Electric Power Co. | | | |
| 5.30%, 04/01/2033 | | 753,000 | 711,034 |
| Union Electric Co. | | | |
| 2.95%, 06/15/2027 | | 34,000 | 31,167 |
| 3.90%, 04/01/2052 | | 45,000 | 32,918 |
| Virginia Electric & Power Co. | | �� | |
| 5.00%, 04/01/2033 | | 605,000 | 567,170 |
| Vistra Operations Co. LLC | | | |
| 5.00%, 07/31/2027* | | 70,000 | 64,357 |
| Xcel Energy, Inc. | | | |
| 4.60%, 06/01/2032 | | 335,000 | 303,996 |
| | | | 33,200,095 |
| Electrical Components & Equipment — 0.0% |
| EnerSys | | | |
| 4.38%, 12/15/2027* | | 44,000 | 39,985 |
| Electronics — 0.1% |
| Agilent Technologies, Inc. | | | |
| 2.30%, 03/12/2031 | | 130,000 | 102,894 |
| Honeywell International, Inc. | | | |
| 1.75%, 09/01/2031 | | 77,000 | 59,148 |
| 4.25%, 01/15/2029 | | 62,000 | 59,209 |
| Imola Merger Corp. | | | |
| 4.75%, 05/15/2029* | | 30,000 | 26,292 |
| Jabil, Inc. | | | |
| 5.45%, 02/01/2029 | | 29,000 | 28,201 |
| Trimble, Inc. | | | |
| 4.90%, 06/15/2028 | | 39,000 | 37,296 |
| 6.10%, 03/15/2033 | | 41,000 | 40,169 |
| TTM Technologies, Inc. | | | |
| 4.00%, 03/01/2029* | | 40,000 | 33,173 |
| Vontier Corp. | | | |
| 2.95%, 04/01/2031 | | 120,000 | 92,553 |
| | | | 478,935 |
| Energy-Alternate Sources — 0.2% |
| Energo-Pro AS | | | |
| 8.50%, 02/04/2027* | | 580,000 | 565,813 |
| FS Luxembourg SARL | | | |
| 10.00%, 12/15/2025* | | 200,000 | 205,030 |
| Greenko Power II, Ltd. | | | |
| 4.30%, 12/13/2028 | | 329,263 | 281,481 |
| | | | 1,052,324 |
| Engineering & Construction — 0.1% |
| International Airport Finance SA | | | |
| 12.00%, 03/15/2033* | | 914,218 | 864,850 |
| Jacobs Engineering Group, Inc. | | | |
| 5.90%, 03/01/2033 | | 32,000 | 30,321 |
| 6.35%, 08/18/2028 | | 41,000 | 40,881 |
| VM Consolidated, Inc. | | | |
| 5.50%, 04/15/2029* | | 30,000 | 27,000 |
| | | | 963,052 |
| Entertainment — 0.3% |
| Caesars Entertainment, Inc. | | | |
| 6.25%, 07/01/2025* | | 28,000 | 27,617 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Entertainment (continued) |
| Ontario Gaming GTA LP | | | |
| 8.00%, 08/01/2030* | | $ 20,000 | $ 20,000 |
| SeaWorld Parks & Entertainment, Inc. | | | |
| 5.25%, 08/15/2029* | | 30,000 | 26,352 |
| Warnermedia Holdings, Inc. | | | |
| 3.64%, 03/15/2025 | | 790,000 | 761,947 |
| 5.05%, 03/15/2042 | | 31,000 | 23,975 |
| 5.14%, 03/15/2052 | | 1,030,000 | 765,332 |
| 5.39%, 03/15/2062 | | 41,000 | 30,282 |
| 6.41%, 03/15/2026 | | 88,000 | 87,985 |
| | | | 1,743,490 |
| Environmental Control — 0.3% |
| Clean Harbors, Inc. | | | |
| 4.88%, 07/15/2027* | | 1,175,000 | 1,107,246 |
| Covanta Holding Corp. | | | |
| 5.00%, 09/01/2030 | | 30,000 | 23,940 |
| Enviri Corp. | | | |
| 5.75%, 07/31/2027* | | 41,000 | 36,061 |
| Republic Services, Inc. | | | |
| 5.00%, 04/01/2034 | | 70,000 | 66,263 |
| Veralto Corp. | | | |
| 5.35%, 09/18/2028* | | 520,000 | 514,118 |
| Waste Connections, Inc. | | | |
| 2.20%, 01/15/2032 | | 121,000 | 93,211 |
| 4.25%, 12/01/2028 | | 44,000 | 41,608 |
| Waste Management, Inc. | | | |
| 4.63%, 02/15/2030 | | 28,000 | 26,743 |
| 4.88%, 02/15/2034 | | 171,000 | 161,830 |
| | | | 2,071,020 |
| Food — 0.3% |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | | | |
| 6.50%, 02/15/2028* | | 70,000 | 69,186 |
| C&S Group Enterprises LLC | | | |
| 5.00%, 12/15/2028* | | 62,000 | 47,138 |
| Conagra Brands, Inc. | | | |
| 7.00%, 10/01/2028 | | 118,000 | 124,119 |
| General Mills, Inc. | | | |
| 4.95%, 03/29/2033 | | 226,000 | 211,756 |
| Hershey Co. | | | |
| 4.25%, 05/04/2028 | | 30,000 | 29,053 |
| Kraft Heinz Foods Co. | | | |
| 4.38%, 06/01/2046 | | 185,000 | 144,160 |
| 4.88%, 10/01/2049 | | 45,000 | 37,563 |
| Kroger Co. | | | |
| 3.88%, 10/15/2046 | | 23,000 | 16,140 |
| Mars, Inc. | | | |
| 4.65%, 04/20/2031* | | 62,000 | 58,983 |
| McCormick & Co., Inc. | | | |
| 4.95%, 04/15/2033 | | 33,000 | 30,705 |
| Minerva Luxembourg SA | | | |
| 8.88%, 09/13/2033* | | 250,000 | 248,005 |
| NBM US Holdings, Inc. | | | |
| 7.00%, 05/14/2026* | | 675,000 | 669,361 |
| Performance Food Group, Inc. | | | |
| 5.50%, 10/15/2027* | | 29,000 | 27,476 |
| Post Holdings, Inc. | | | |
| 4.50%, 09/15/2031* | | 28,000 | 23,304 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Food (continued) |
| Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed | | | |
| 4.63%, 03/01/2029* | | $ 19,000 | $ 15,586 |
| Smithfield Foods, Inc. | | | |
| 4.25%, 02/01/2027* | | 81,000 | 74,879 |
| 5.20%, 04/01/2029* | | 72,000 | 65,763 |
| Sysco Corp. | | | |
| 4.45%, 03/15/2048 | | 181,000 | 140,457 |
| 4.50%, 04/01/2046 | | 101,000 | 78,639 |
| 5.95%, 04/01/2030 | | 25,000 | 25,207 |
| 6.60%, 04/01/2050 | | 39,000 | 40,262 |
| | | | 2,177,742 |
| Forest Products & Paper — 0.0% |
| Georgia-Pacific LLC | | | |
| 0.95%, 05/15/2026* | | 271,000 | 239,878 |
| Glatfelter Corp. | | | |
| 4.75%, 11/15/2029* | | 29,000 | 19,096 |
| | | | 258,974 |
| Gas — 0.6% |
| Atmos Energy Corp. | | | |
| 5.75%, 10/15/2052 | | 74,000 | 72,437 |
| Brooklyn Union Gas Co. | | | |
| 6.39%, 09/15/2033* | | 420,000 | 411,981 |
| Eastern Energy Gas Holdings LLC | | | |
| 2.50%, 11/15/2024 | | 615,000 | 591,435 |
| KeySpan Gas East Corp. | | | |
| 5.99%, 03/06/2033* | | 664,000 | 640,781 |
| NiSource, Inc. | | | |
| 3.49%, 05/15/2027 | | 270,000 | 250,258 |
| 3.60%, 05/01/2030 | | 1,034,000 | 900,686 |
| 5.25%, 03/30/2028 | | 175,000 | 171,507 |
| 5.40%, 06/30/2033 | | 302,000 | 289,452 |
| Southern California Gas Co. | | | |
| 5.20%, 06/01/2033 | | 460,000 | 435,170 |
| Southern Co. Gas Capital Corp. | | | |
| 5.75%, 09/15/2033 | | 130,000 | 127,442 |
| Spire Missouri, Inc. | | | |
| 4.80%, 02/15/2033 | | 41,000 | 38,529 |
| | | | 3,929,678 |
| Hand/Machine Tools — 0.3% |
| Regal Rexnord Corp. | | | |
| 6.05%, 04/15/2028* | | 1,105,000 | 1,074,797 |
| 6.30%, 02/15/2030* | | 575,000 | 555,434 |
| Stanley Black & Decker, Inc. | | | |
| 4.00%, 03/15/2060 | | 167,000 | 138,819 |
| | | | 1,769,050 |
| Healthcare-Products — 0.3% |
| Alcon Finance Corp. | | | |
| 2.75%, 09/23/2026* | | 270,000 | 248,260 |
| 3.00%, 09/23/2029* | | 560,000 | 482,009 |
| 5.38%, 12/06/2032* | | 200,000 | 193,996 |
| GE HealthCare Technologies, Inc. | | | |
| 5.65%, 11/15/2027 | | 100,000 | 99,836 |
| 5.86%, 03/15/2030 | | 160,000 | 158,726 |
| 5.91%, 11/22/2032 | | 555,000 | 550,615 |
| Medline Borrower LP | | | |
| 3.88%, 04/01/2029* | | 32,000 | 27,054 |
| 5.25%, 10/01/2029* | | 20,000 | 17,286 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Healthcare-Products (continued) |
| STERIS PLC | | | |
| 3.75%, 03/15/2051 | | $ 154,000 | $ 107,128 |
| | | | 1,884,910 |
| Healthcare-Services — 0.7% |
| Centene Corp. | | | |
| 2.45%, 07/15/2028 | | 510,000 | 430,870 |
| 4.63%, 12/15/2029 | | 870,000 | 783,548 |
| CHS/Community Health Systems, Inc. | | | |
| 5.63%, 03/15/2027* | | 43,000 | 36,882 |
| CommonSpirit Health | | | |
| 3.35%, 10/01/2029 | | 350,000 | 305,553 |
| DaVita, Inc. | | | |
| 4.63%, 06/01/2030* | | 45,000 | 36,950 |
| Elevance Health, Inc. | | | |
| 2.88%, 09/15/2029 | | 68,000 | 58,631 |
| 6.10%, 10/15/2052 | | 35,000 | 35,218 |
| HCA, Inc. | | | |
| 3.38%, 03/15/2029 | | 37,000 | 32,418 |
| 3.50%, 09/01/2030 to 07/15/2051 | | 175,000 | 126,344 |
| 4.63%, 03/15/2052 | | 97,000 | 72,827 |
| Humana, Inc. | | | |
| 1.35%, 02/03/2027 | | 90,000 | 78,409 |
| 3.70%, 03/23/2029 | | 485,000 | 442,428 |
| 5.50%, 03/15/2053 | | 24,000 | 21,809 |
| 5.88%, 03/01/2033 | | 30,000 | 29,824 |
| Kaiser Foundation Hospitals | | | |
| 2.81%, 06/01/2041 | | 195,000 | 130,970 |
| 3.00%, 06/01/2051 | | 405,000 | 254,937 |
| Legacy LifePoint Health LLC | | | |
| 4.38%, 02/15/2027* | | 36,000 | 30,960 |
| Select Medical Corp. | | | |
| 6.25%, 08/15/2026* | | 48,000 | 46,895 |
| Sutter Health | | | |
| 3.36%, 08/15/2050 | | 90,000 | 58,826 |
| UnitedHealth Group, Inc. | | | |
| 1.25%, 01/15/2026 | | 132,000 | 120,270 |
| 2.75%, 05/15/2040 | | 430,000 | 292,156 |
| 3.50%, 08/15/2039 | | 285,000 | 219,448 |
| 4.00%, 05/15/2029 | | 460,000 | 430,500 |
| 4.20%, 05/15/2032 | | 365,000 | 333,143 |
| 4.95%, 05/15/2062 | | 142,000 | 122,405 |
| 5.25%, 02/15/2028 | | 62,000 | 62,105 |
| 5.30%, 02/15/2030 | | 180,000 | 178,881 |
| 6.05%, 02/15/2063 | | 116,000 | 117,369 |
| | | | 4,890,576 |
| Home Builders — 0.0% |
| Mattamy Group Corp. | | | |
| 4.63%, 03/01/2030* | | 25,000 | 21,277 |
| 5.25%, 12/15/2027* | | 14,000 | 12,777 |
| | | | 34,054 |
| Insurance — 0.9% |
| Americo Life, Inc. | | | |
| 3.45%, 04/15/2031* | | 72,000 | 51,951 |
| Aon Corp./Aon Global Holdings PLC | | | |
| 2.85%, 05/28/2027 | | 115,000 | 104,426 |
| 5.35%, 02/28/2033 | | 215,000 | 206,111 |
| Assured Guaranty US Holdings, Inc. | | | |
| 6.13%, 09/15/2028 | | 28,000 | 28,000 |
| Athene Global Funding | | | |
| 1.73%, 10/02/2026* | | 157,000 | 136,832 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Insurance (continued) |
| 2.65%, 10/04/2031* | | $ 1,890,000 | $ 1,399,405 |
| Athene Holding, Ltd. | | | |
| 3.45%, 05/15/2052 | | 31,000 | 18,414 |
| Enstar Group, Ltd. | | | |
| 3.10%, 09/01/2031 | | 88,000 | 66,226 |
| 4.95%, 06/01/2029 | | 129,000 | 119,126 |
| Equitable Financial Life Global Funding | | | |
| 1.30%, 07/12/2026* | | 122,000 | 106,631 |
| 1.80%, 03/08/2028* | | 1,150,000 | 962,394 |
| F&G Global Funding | | | |
| 0.90%, 09/20/2024* | | 108,000 | 101,984 |
| 2.30%, 04/11/2027* | | 124,000 | 108,109 |
| Jones Deslauriers Insurance Management, Inc. | | | |
| 8.50%, 03/15/2030* | | 33,000 | 33,242 |
| Liberty Mutual Group, Inc. | | | |
| 4.30%, 02/01/2061* | | 180,000 | 106,271 |
| Marsh & McLennan Cos, Inc. | | | |
| 5.70%, 09/15/2053 | | 24,000 | 23,174 |
| Marsh & McLennan Cos., Inc. | | | |
| 4.05%, 10/15/2023 | | 525,000 | 524,577 |
| 4.75%, 03/15/2039 | | 340,000 | 298,408 |
| Metropolitan Life Global Funding I | | | |
| 5.15%, 03/28/2033* | | 420,000 | 397,719 |
| New York Life Global Funding | | | |
| 4.85%, 01/09/2028* | | 44,000 | 42,976 |
| NMI Holdings, Inc. | | | |
| 7.38%, 06/01/2025* | | 25,000 | 24,867 |
| Northwestern Mutual Global Funding | | | |
| 4.35%, 09/15/2027* | | 54,000 | 51,761 |
| Ohio National Financial Services, Inc. | | | |
| 6.80%, 01/24/2030* | | 200,000 | 178,175 |
| Principal Life Global Funding II | | | |
| 0.50%, 01/08/2024* | | 67,000 | 66,030 |
| Prudential Financial, Inc. | | | |
| 5.70%, 09/15/2048 | | 59,000 | 54,085 |
| Prudential Funding Asia PLC | | | |
| 3.13%, 04/14/2030 | | 30,000 | 25,643 |
| Ryan Specialty LLC | | | |
| 4.38%, 02/01/2030* | | 16,000 | 13,933 |
| SBL Holdings, Inc. | | | |
| 5.00%, 02/18/2031* | | 83,000 | 64,640 |
| Security Benefit Global Funding | | | |
| 1.25%, 05/17/2024* | | 66,000 | 63,696 |
| Willis North America, Inc. | | | |
| 3.60%, 05/15/2024 | | 660,000 | 649,507 |
| 4.65%, 06/15/2027 | | 106,000 | 101,458 |
| | | | 6,129,771 |
| Internet — 0.4% |
| Amazon.com, Inc. | | | |
| 3.30%, 04/13/2027 | | 75,000 | 70,567 |
| 3.60%, 04/13/2032 | | 29,000 | 25,716 |
| 4.10%, 04/13/2062 | | 125,000 | 95,157 |
| 4.65%, 12/01/2029 | | 53,000 | 51,696 |
| Cogent Communications Group, Inc. | | | |
| 7.00%, 06/15/2027* | | 45,000 | 42,975 |
| Expedia Group, Inc. | | | |
| 2.95%, 03/15/2031 | | 35,000 | 28,198 |
| Gen Digital, Inc. | | | |
| 5.00%, 04/15/2025* | | 505,000 | 493,310 |
| 6.75%, 09/30/2027* | | 523,000 | 512,731 |
| 7.13%, 09/30/2030* | | 26,000 | 25,613 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Internet (continued) |
| Go Daddy Operating Co. LLC/GD Finance Co., Inc. | | | |
| 5.25%, 12/01/2027* | | $ 938,000 | $ 884,811 |
| GrubHub Holdings, Inc. | | | |
| 5.50%, 07/01/2027* | | 31,000 | 24,081 |
| ION Trading Technologies SARL | | | |
| 5.75%, 05/15/2028* | | 200,000 | 174,384 |
| | | | 2,429,239 |
| Iron/Steel — 0.1% |
| ArcelorMittal SA | | | |
| 6.80%, 11/29/2032 | | 610,000 | 605,818 |
| ATI, Inc. | | | |
| 4.88%, 10/01/2029 | | 28,000 | 24,633 |
| 7.25%, 08/15/2030 | | 2,000 | 1,985 |
| Cleveland-Cliffs, Inc. | | | |
| 6.25%, 10/01/2040 | | 19,000 | 15,924 |
| Mineral Resources, Ltd. | | | |
| 8.00%, 11/01/2027* | | 15,000 | 14,719 |
| 8.13%, 05/01/2027* | | 2,000 | 1,973 |
| 8.50%, 05/01/2030* | | 20,000 | 19,620 |
| 9.25%, 10/01/2028* | | 17,000 | 17,170 |
| Nucor Corp. | | | |
| 4.30%, 05/23/2027 | | 67,000 | 64,301 |
| | | | 766,143 |
| Leisure Time — 0.0% |
| Carnival Corp. | | | |
| 5.75%, 03/01/2027* | | 117,000 | 105,911 |
| 6.00%, 05/01/2029* | | 12,000 | 10,236 |
| Harley-Davidson Financial Services, Inc. | | | |
| 6.50%, 03/10/2028* | | 95,000 | 93,916 |
| Royal Caribbean Cruises, Ltd. | | | |
| 4.25%, 07/01/2026* | | 43,000 | 39,426 |
| | | | 249,489 |
| Lodging — 0.1% |
| Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Escrow, Inc. | | | |
| 4.88%, 07/01/2031* | | 35,000 | 28,533 |
| 5.00%, 06/01/2029* | | 20,000 | 17,349 |
| Hyatt Hotels Corp. | | | |
| 5.75%, 01/30/2027 | | 39,000 | 38,750 |
| Marriott International, Inc. | | | |
| 2.85%, 04/15/2031 | | 174,000 | 140,261 |
| 3.50%, 10/15/2032 | | 150,000 | 122,730 |
| 4.90%, 04/15/2029 | | 29,000 | 27,650 |
| Travel & Leisure Co. | | | |
| 6.00%, 04/01/2027 | | 22,000 | 20,931 |
| | | | 396,204 |
| Machinery-Construction & Mining — 0.0% |
| Caterpillar Financial Services Corp. | | | |
| 1.70%, 01/08/2027 | | 58,000 | 51,904 |
| 3.60%, 08/12/2027 | | 31,000 | 29,247 |
| 4.35%, 05/15/2026 | | 23,000 | 22,484 |
| 4.80%, 01/06/2026 | | 71,000 | 70,213 |
| 5.40%, 03/10/2025 | | 88,000 | 88,123 |
| | | | 261,971 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Machinery-Diversified — 0.2% |
| CNH Industrial Capital LLC | | | |
| 5.50%, 01/12/2029 | | $ 75,000 | $ 73,702 |
| Ingersoll Rand, Inc. | | | |
| 5.40%, 08/14/2028 | | 12,000 | 11,798 |
| 5.70%, 08/14/2033 | | 263,000 | 253,825 |
| John Deere Capital Corp. | | | |
| 1.30%, 10/13/2026 | | 56,000 | 49,955 |
| 3.40%, 06/06/2025 | | 104,000 | 100,574 |
| 4.75%, 01/20/2028 | | 58,000 | 56,947 |
| 4.95%, 06/06/2025 to 07/14/2028 | | 98,000 | 97,061 |
| 5.15%, 09/08/2033 | | 28,000 | 27,381 |
| nVent Finance SARL | | | |
| 2.75%, 11/15/2031 | | 94,000 | 71,517 |
| Otis Worldwide Corp. | | | |
| 2.57%, 02/15/2030 | | 660,000 | 547,188 |
| | | | 1,289,948 |
| Media — 1.4% |
| Belo Corp. | | | |
| 7.75%, 06/01/2027 | | 52,000 | 51,688 |
| Block Communications, Inc. | | | |
| 4.88%, 03/01/2028* | | 36,000 | 29,790 |
| Cable One, Inc. | | | |
| 4.00%, 11/15/2030* | | 40,000 | 30,472 |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | |
| 4.50%, 08/15/2030* | | 54,000 | 44,324 |
| 5.00%, 02/01/2028* | | 36,000 | 32,693 |
| 5.50%, 05/01/2026* | | 14,000 | 13,523 |
| 6.38%, 09/01/2029* | | 15,000 | 13,987 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
| 3.50%, 06/01/2041 to 03/01/2042 | | 212,000 | 132,090 |
| 3.85%, 04/01/2061 | | 63,000 | 35,209 |
| 3.90%, 06/01/2052 | | 315,000 | 188,332 |
| 4.80%, 03/01/2050 | | 75,000 | 52,445 |
| 5.05%, 03/30/2029 | | 190,000 | 177,603 |
| 5.13%, 07/01/2049 | | 260,000 | 189,531 |
| 5.38%, 05/01/2047 | | 1,520,000 | 1,158,276 |
| 6.38%, 10/23/2035 | | 31,000 | 28,884 |
| 6.48%, 10/23/2045 | | 1,205,000 | 1,052,137 |
| Comcast Corp. | | | |
| 3.20%, 07/15/2036 | | 895,000 | 690,103 |
| 3.25%, 11/01/2039 | | 320,000 | 233,770 |
| 3.40%, 04/01/2030 to 07/15/2046 | | 100,000 | 76,154 |
| 3.75%, 04/01/2040 | | 5,000 | 3,873 |
| 4.15%, 10/15/2028 | | 71,000 | 67,255 |
| 4.60%, 10/15/2038 | | 88,000 | 77,106 |
| 5.50%, 05/15/2064 | | 192,000 | 174,709 |
| 7.05%, 03/15/2033 | | 179,000 | 195,328 |
| Cox Communications, Inc. | | | |
| 2.60%, 06/15/2031* | | 390,000 | 303,810 |
| 3.15%, 08/15/2024* | | 304,000 | 296,612 |
| 5.45%, 09/15/2028* | | 58,000 | 57,033 |
| CSC Holdings LLC | | | |
| 5.75%, 01/15/2030* | | 200,000 | 112,059 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/2030 | | 285,000 | 241,235 |
| 3.95%, 06/15/2025 | | 509,000 | 490,183 |
| 4.00%, 09/15/2055 | | 617,000 | 370,183 |
| 5.20%, 09/20/2047 | | 71,000 | 53,828 |
| 5.30%, 05/15/2049 | | 1,381,000 | 1,057,480 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Media (continued) |
| Paramount Global | | | |
| 4.20%, 05/19/2032 | | $ 845,000 | $ 671,746 |
| 4.38%, 03/15/2043 | | 386,000 | 249,661 |
| 4.60%, 01/15/2045 | | 28,000 | 17,892 |
| 4.95%, 01/15/2031 | | 750,000 | 644,068 |
| 5.25%, 04/01/2044 | | 545,000 | 380,553 |
| 5.85%, 09/01/2043 | | 166,000 | 129,099 |
| 6.38%, 03/30/2062 | | 25,000 | 19,635 |
| Sirius XM Radio, Inc. | | | |
| 4.00%, 07/15/2028* | | 40,000 | 34,143 |
| Time Warner Cable LLC | | | |
| 6.55%, 05/01/2037 | | 104,000 | 94,329 |
| Univision Communications, Inc. | | | |
| 6.63%, 06/01/2027* | | 35,000 | 32,596 |
| 7.38%, 06/30/2030* | | 17,000 | 15,536 |
| | | | 10,020,963 |
| Mining — 0.5% |
| Anglo American Capital PLC | | | |
| 2.63%, 09/10/2030* | | 1,245,000 | 994,555 |
| BHP Billiton Finance USA, Ltd. | | | |
| 5.50%, 09/08/2053 | | 46,000 | 44,005 |
| Corp. Nacional del Cobre de Chile | | | |
| 5.95%, 01/08/2034* | | 720,000 | 696,714 |
| FMG Resources August 2006 Pty, Ltd. | | | |
| 4.38%, 04/01/2031* | | 325,000 | 267,407 |
| 4.50%, 09/15/2027* | | 47,000 | 42,535 |
| Glencore Funding LLC | | | |
| 2.85%, 04/27/2031* | | 10,000 | 7,935 |
| 5.70%, 05/08/2033* | | 545,000 | 516,785 |
| 6.38%, 10/06/2030* | | 910,000 | 907,550 |
| Hudbay Minerals, Inc. | | | |
| 4.50%, 04/01/2026* | | 15,000 | 14,034 |
| 6.13%, 04/01/2029* | | 26,000 | 24,057 |
| South32 Treasury, Ltd. | | | |
| 4.35%, 04/14/2032* | | 105,000 | 88,554 |
| | | | 3,604,131 |
| Miscellaneous Manufacturing — 0.0% |
| Parker-Hannifin Corp. | | | |
| 4.25%, 09/15/2027 | | 76,000 | 72,609 |
| Multi-National — 0.0% |
| European Bank for Reconstruction & Development | | | |
| 1.50%, 02/13/2025 | | 193,000 | 183,039 |
| International Bank for Reconstruction & Development | | | |
| 3.13%, 11/20/2025 | | 138,000 | 132,413 |
| | | | 315,452 |
| Office/Business Equipment — 0.1% |
| CDW LLC/CDW Finance Corp. | | | |
| 2.67%, 12/01/2026 | | 230,000 | 207,438 |
| 3.25%, 02/15/2029 | | 711,000 | 606,263 |
| | | | 813,701 |
| Oil & Gas — 1.7% |
| Aker BP ASA | | | |
| 2.00%, 07/15/2026* | | 209,000 | 186,530 |
| 3.10%, 07/15/2031* | | 300,000 | 240,084 |
| 5.60%, 06/13/2028* | | 545,000 | 532,497 |
| 6.00%, 06/13/2033* | | 350,000 | 338,267 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| Antero Resources Corp. | | | |
| 5.38%, 03/01/2030* | | $ 20,000 | $ 18,413 |
| Apache Corp. | | | |
| 4.38%, 10/15/2028 | | 45,000 | 40,698 |
| 5.35%, 07/01/2049 | | 179,000 | 137,136 |
| 6.00%, 01/15/2037 | | 41,000 | 36,916 |
| BP Capital Markets America, Inc. | | | |
| 2.94%, 06/04/2051 | | 610,000 | 372,441 |
| 3.00%, 02/24/2050 | | 86,000 | 53,623 |
| 3.54%, 04/06/2027 | | 152,000 | 143,356 |
| 4.81%, 02/13/2033 | | 840,000 | 786,140 |
| 4.89%, 09/11/2033 | | 622,000 | 583,948 |
| BP Capital Markets PLC | | | |
| 4.88%, 03/22/2030(1) | | 61,000 | 54,499 |
| Chevron Corp. | | | |
| 2.24%, 05/11/2030 | | 133,000 | 110,870 |
| Chevron USA, Inc. | | | |
| 4.20%, 10/15/2049 | | 60,000 | 45,594 |
| Civitas Resources, Inc. | | | |
| 5.00%, 10/15/2026* | | 10,000 | 9,380 |
| 8.38%, 07/01/2028* | | 10,000 | 10,175 |
| 8.75%, 07/01/2031* | | 30,000 | 30,644 |
| Comstock Resources, Inc. | | | |
| 5.88%, 01/15/2030* | | 25,000 | 21,641 |
| 6.75%, 03/01/2029* | | 4,000 | 3,680 |
| ConocoPhillips Co. | | | |
| 3.80%, 03/15/2052 | | 25,000 | 18,126 |
| 4.03%, 03/15/2062 | | 115,000 | 82,623 |
| 5.05%, 09/15/2033 | | 435,000 | 416,431 |
| 5.70%, 09/15/2063 | | 530,000 | 504,938 |
| Continental Resources, Inc. | | | |
| 2.88%, 04/01/2032* | | 215,000 | 161,003 |
| 5.75%, 01/15/2031* | | 275,000 | 258,350 |
| Crescent Energy Finance LLC | | | |
| 7.25%, 05/01/2026* | | 35,000 | 34,300 |
| 9.25%, 02/15/2028* | | 9,000 | 9,189 |
| Diamondback Energy, Inc. | | | |
| 4.40%, 03/24/2051 | | 90,000 | 66,338 |
| 6.25%, 03/15/2053 | | 118,000 | 112,570 |
| Earthstone Energy Holdings LLC | | | |
| 8.00%, 04/15/2027* | | 32,000 | 32,753 |
| 9.88%, 07/15/2031* | | 15,000 | 16,312 |
| Ecopetrol SA | | | |
| 4.63%, 11/02/2031 | | 270,000 | 206,136 |
| 8.63%, 01/19/2029 | | 895,000 | 898,166 |
| Energean Israel Finance, Ltd. | | | |
| 4.88%, 03/30/2026* | | 150,000 | 139,320 |
| 5.88%, 03/30/2031* | | 175,000 | 151,769 |
| 8.50%, 09/30/2033* | | 175,000 | 174,475 |
| EQT Corp. | | | |
| 3.63%, 05/15/2031* | | 130,000 | 109,972 |
| Exxon Mobil Corp. | | | |
| 4.33%, 03/19/2050 | | 90,000 | 73,888 |
| Hess Corp. | | | |
| 6.00%, 01/15/2040 | | 54,000 | 50,846 |
| 7.13%, 03/15/2033 | | 74,000 | 78,142 |
| 7.30%, 08/15/2031 | | 440,000 | 466,063 |
| Hilcorp Energy I LP/Hilcorp Finance Co. | | | |
| 6.00%, 02/01/2031* | | 67,000 | 58,947 |
| Leviathan Bond, Ltd. | | | |
| 6.50%, 06/30/2027* | | 460,000 | 435,850 |
| Marathon Oil Corp. | | | |
| 6.60%, 10/01/2037 | | 361,000 | 351,589 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Oil & Gas (continued) |
| Nabors Industries, Inc. | | | |
| 7.38%, 05/15/2027* | | $ 20,000 | $ 19,347 |
| Occidental Petroleum Corp. | | | |
| 4.40%, 04/15/2046 | | 62,000 | 45,501 |
| 6.38%, 09/01/2028 | | 74,000 | 74,552 |
| 6.45%, 09/15/2036 | | 280,000 | 274,942 |
| 6.63%, 09/01/2030 | | 385,000 | 390,101 |
| Ovintiv, Inc. | | | |
| 6.25%, 07/15/2033 | | 85,000 | 82,188 |
| 6.50%, 08/15/2034 | | 115,000 | 113,260 |
| 6.63%, 08/15/2037 | | 330,000 | 316,583 |
| Patterson-UTI Energy, Inc. | | | |
| 7.15%, 10/01/2033 | | 70,000 | 70,251 |
| Pioneer Natural Resources Co. | | | |
| 5.10%, 03/29/2026 | | 44,000 | 43,434 |
| Rockcliff Energy II LLC | | | |
| 5.50%, 10/15/2029* | | 13,000 | 11,700 |
| Shell International Finance BV | | | |
| 2.88%, 11/26/2041 | | 195,000 | 132,339 |
| 3.00%, 11/26/2051 | | 245,000 | 152,985 |
| 3.25%, 04/06/2050 | | 475,000 | 315,398 |
| Southwestern Energy Co. | | | |
| 5.38%, 02/01/2029 | | 20,000 | 18,420 |
| Strathcona Resources, Ltd. | | | |
| 6.88%, 08/01/2026* | | 45,000 | 42,412 |
| Valaris, Ltd. | | | |
| 8.38%, 04/30/2030* | | 28,000 | 28,021 |
| Var Energi ASA | | | |
| 7.50%, 01/15/2028* | | 750,000 | 769,604 |
| Vital Energy, Inc. | | | |
| 9.75%, 10/15/2030 | | 18,000 | 18,401 |
| 10.13%, 01/15/2028 | | 12,000 | 12,231 |
| | | | 11,596,298 |
| Oil & Gas Services — 0.0% |
| Archrock Partners LP/Archrock Partners Finance Corp. | | | |
| 6.25%, 04/01/2028* | | 15,000 | 13,965 |
| 6.88%, 04/01/2027* | | 25,000 | 24,184 |
| Halliburton Co. | | | |
| 4.75%, 08/01/2043 | | 61,000 | 49,863 |
| 4.85%, 11/15/2035 | | 46,000 | 41,368 |
| Schlumberger Holdings Corp. | | | |
| 3.90%, 05/17/2028* | | 63,000 | 58,519 |
| USA Compression Partners LP/USA Compression Finance Corp. | | | |
| 6.88%, 04/01/2026 | | 22,000 | 21,550 |
| | | | 209,449 |
| Packaging & Containers — 0.3% |
| Amcor Finance USA, Inc. | | | |
| 5.63%, 05/26/2033 | | 84,000 | 80,654 |
| Amcor Flexibles North America, Inc. | | | |
| 2.69%, 05/25/2031 | | 51,000 | 40,438 |
| Ball Corp. | | | |
| 2.88%, 08/15/2030 | | 13,000 | 10,301 |
| 4.00%, 11/15/2023 | | 175,000 | 174,197 |
| 5.25%, 07/01/2025 | | 9,000 | 8,826 |
| 6.00%, 06/15/2029 | | 1,355,000 | 1,315,460 |
| Clydesdale Acquisition Holdings, Inc. | | | |
| 6.63%, 04/15/2029* | | 25,000 | 23,245 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Packaging & Containers (continued) |
| Crown Americas LLC | | | |
| 5.25%, 04/01/2030 | | $ 29,000 | $ 26,860 |
| LABL, Inc. | | | |
| 5.88%, 11/01/2028* | | 24,000 | 21,545 |
| 9.50%, 11/01/2028* | | 15,000 | 15,375 |
| Mauser Packaging Solutions Holding Co. | | | |
| 7.88%, 08/15/2026* | | 25,000 | 24,118 |
| Sealed Air Corp. | | | |
| 5.00%, 04/15/2029* | | 6,000 | 5,395 |
| Sealed Air Corp./Sealed Air Corp. US | | | |
| 6.13%, 02/01/2028* | | 8,000 | 7,748 |
| Silgan Holdings, Inc. | | | |
| 4.13%, 02/01/2028 | | 33,000 | 29,523 |
| Sonoco Products Co. | | | |
| 1.80%, 02/01/2025 | | 259,000 | 244,292 |
| | | | 2,027,977 |
| Pharmaceuticals — 0.4% |
| AbbVie, Inc. | | | |
| 4.05%, 11/21/2039 | | 142,000 | 116,173 |
| 4.25%, 11/21/2049 | | 116,000 | 91,833 |
| Astrazeneca Finance LLC | | | |
| 4.88%, 03/03/2028 | | 89,000 | 87,440 |
| 4.90%, 03/03/2030 | | 94,000 | 91,581 |
| Becton Dickinson & Co. | | | |
| 4.30%, 08/22/2032 | | 36,000 | 32,552 |
| 4.69%, 02/13/2028 | | 89,000 | 86,283 |
| Bristol-Myers Squibb Co. | | | |
| 2.95%, 03/15/2032 | | 90,000 | 75,118 |
| 3.90%, 02/20/2028 | | 89,000 | 84,114 |
| Cardinal Health, Inc. | | | |
| 4.60%, 03/15/2043 | | 143,000 | 111,244 |
| Cencora, Inc. | | | |
| 3.45%, 12/15/2027 | | 30,000 | 27,826 |
| 4.25%, 03/01/2045 | | 16,000 | 12,183 |
| 4.30%, 12/15/2047 | | 52,000 | 40,197 |
| Cigna Group | | | |
| 2.40%, 03/15/2030 | | 44,000 | 36,129 |
| 3.40%, 03/15/2050 | | 133,000 | 87,378 |
| 3.88%, 10/15/2047 | | 34,000 | 24,324 |
| CVS Health Corp. | | | |
| 4.78%, 03/25/2038 | | 200,000 | 172,230 |
| 5.13%, 02/21/2030 to 07/20/2045 | | 638,000 | 609,673 |
| 5.25%, 01/30/2031 | | 255,000 | 245,010 |
| 6.00%, 06/01/2063 | | 38,000 | 34,891 |
| Eli Lilly & Co. | | | |
| 4.70%, 02/27/2033 | | 59,000 | 56,797 |
| Herbalife Nutrition, Ltd./HLF Financing, Inc. | | | |
| 7.88%, 09/01/2025* | | 31,000 | 29,549 |
| HLF Financing Sarl LLC/Herbalife International, Inc. | | | |
| 4.88%, 06/01/2029* | | 35,000 | 24,850 |
| Merck & Co., Inc. | | | |
| 5.15%, 05/17/2063 | | 70,000 | 63,838 |
| Mylan, Inc. | | | |
| 5.20%, 04/15/2048 | | 20,000 | 14,515 |
| Pfizer Investment Enterprises Pte., Ltd. | | | |
| 4.75%, 05/19/2033 | | 68,000 | 64,279 |
| 5.11%, 05/19/2043 | | 48,000 | 44,081 |
| 5.30%, 05/19/2053 | | 70,000 | 65,041 |
| 5.34%, 05/19/2063 | | 91,000 | 83,132 |
| Shire Acquisitions Investments Ireland DAC | | | |
| 3.20%, 09/23/2026 | | 109,000 | 101,786 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Pharmaceuticals (continued) |
| Viatris, Inc. | | | |
| 3.85%, 06/22/2040 | | $ 79,000 | $ 51,452 |
| 4.00%, 06/22/2050 | | 187,000 | 113,048 |
| Zoetis, Inc. | | | |
| 5.40%, 11/14/2025 | | 30,000 | 29,871 |
| | | | 2,808,418 |
| Pipelines — 1.4% |
| Antero Midstream Partners LP/Antero Midstream Finance Corp. | | | |
| 5.75%, 01/15/2028* | | 29,000 | 27,353 |
| Boardwalk Pipelines LP | | | |
| 3.60%, 09/01/2032 | | 51,000 | 41,604 |
| Buckeye Partners LP | | | |
| 4.50%, 03/01/2028* | | 18,000 | 15,795 |
| Cheniere Energy Partners LP | | | |
| 3.25%, 01/31/2032 | | 56,000 | 44,509 |
| 4.50%, 10/01/2029 | | 285,000 | 258,060 |
| Columbia Pipelines Holding Co. LLC | | | |
| 6.04%, 08/15/2028* | | 260,000 | 258,682 |
| Columbia Pipelines Operating Co. LLC | | | |
| 5.93%, 08/15/2030* | | 85,000 | 83,906 |
| 6.04%, 11/15/2033* | | 595,000 | 580,782 |
| 6.54%, 11/15/2053* | | 120,000 | 117,315 |
| Enbridge, Inc. | | | |
| 5.70%, 03/08/2033 | | 995,000 | 953,209 |
| 8.50%, 01/15/2084 | | 700,000 | 694,240 |
| Energy Transfer LP | | | |
| 4.00%, 10/01/2027 | | 90,000 | 83,569 |
| 4.90%, 03/15/2035 | | 99,000 | 87,068 |
| 4.95%, 05/15/2028 | | 95,000 | 90,886 |
| 5.75%, 02/15/2033 | | 44,000 | 42,296 |
| 6.00%, 06/15/2048 | | 265,000 | 235,197 |
| 6.13%, 12/15/2045 | | 22,000 | 19,569 |
| EnLink Midstream Partners LP FRS | | | |
| 9.78%, (3 ML+4.11%), 11/06/2023(1) | | 91,000 | 81,673 |
| Enterprise Products Operating LLC | | | |
| 3.70%, 01/31/2051 | | 24,000 | 16,974 |
| 5.25%, 08/16/2077 | | 73,000 | 64,239 |
| 5.35%, 01/31/2033 | | 29,000 | 28,352 |
| EQM Midstream Partners LP | | | |
| 5.50%, 07/15/2028 | | 6,000 | 5,631 |
| 7.50%, 06/01/2027 to 06/01/2030* | | 18,000 | 18,070 |
| Galaxy Pipeline Assets Bidco, Ltd. | | | |
| 2.94%, 09/30/2040* | | 186,624 | 143,638 |
| Genesis Energy LP/Genesis Energy Finance Corp. | | | |
| 8.00%, 01/15/2027 | | 59,000 | 56,872 |
| Gray Oak Pipeline LLC | | | |
| 3.45%, 10/15/2027* | | 171,000 | 151,494 |
| Greensaif Pipelines Bidco SARL | | | |
| 6.13%, 02/23/2038* | | 675,000 | 658,665 |
| Harvest Midstream I LP | | | |
| 7.50%, 09/01/2028* | | 60,000 | 57,998 |
| Holly Energy Partners LP/Holly Energy Finance Corp. | | | |
| 5.00%, 02/01/2028* | | 30,000 | 27,601 |
| Howard Midstream Energy Partners LLC | | | |
| 6.75%, 01/15/2027* | | 47,000 | 44,650 |
| 8.88%, 07/15/2028* | | 15,000 | 15,131 |
| ITT Holdings LLC | | | |
| 6.50%, 08/01/2029* | | 55,000 | 46,619 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Pipelines (continued) |
| MPLX LP | | | |
| 4.95%, 09/01/2032 to 03/14/2052 | | $ 295,000 | $ 259,033 |
| 5.20%, 03/01/2047 | | 115,000 | 93,910 |
| NGL Energy Operating LLC/NGL Energy Finance Corp. | | | |
| 7.50%, 02/01/2026* | | 44,000 | 43,518 |
| NGL Energy Partners LP/NGL Energy Finance Corp. | | | |
| 6.13%, 03/01/2025 | | 18,000 | 17,672 |
| NuStar Logistics LP | | | |
| 6.38%, 10/01/2030 | | 27,000 | 25,576 |
| ONEOK Partners LP | | | |
| 6.65%, 10/01/2036 | | 190,000 | 188,586 |
| ONEOK, Inc. | | | |
| 3.40%, 09/01/2029 | | 475,000 | 412,224 |
| 4.35%, 03/15/2029 | | 175,000 | 161,395 |
| 6.10%, 11/15/2032 | | 460,000 | 454,186 |
| Plains All American Pipeline LP/PAA Finance Corp. | | | |
| 4.30%, 01/31/2043 | | 48,000 | 34,106 |
| 6.65%, 01/15/2037 | | 75,000 | 73,448 |
| Sabine Pass Liquefaction LLC | | | |
| 5.90%, 09/15/2037 | | 41,000 | 40,357 |
| Targa Resources Corp. | | | |
| 6.13%, 03/15/2033 | | 340,000 | 333,302 |
| 6.25%, 07/01/2052 | | 195,000 | 179,059 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | | |
| 4.00%, 01/15/2032 | | 330,000 | 277,688 |
| 6.50%, 07/15/2027 | | 102,000 | 102,791 |
| Venture Global Calcasieu Pass LLC | | | |
| 3.88%, 08/15/2029* | | 34,000 | 28,610 |
| Western Midstream Operating LP | | | |
| 4.75%, 08/15/2028 | | 265,000 | 247,843 |
| 6.15%, 04/01/2033 | | 510,000 | 491,848 |
| Williams Cos., Inc. | | | |
| 4.65%, 08/15/2032 | | 610,000 | 554,898 |
| 5.65%, 03/15/2033 | | 380,000 | 367,191 |
| 5.75%, 06/24/2044 | | 160,000 | 145,053 |
| | | | 9,583,941 |
| Real Estate — 0.0% |
| Cushman & Wakefield US Borrower LLC | | | |
| 6.75%, 05/15/2028* | | 55,000 | 50,743 |
| 8.88%, 09/01/2031* | | 2,000 | 1,935 |
| Greystar Real Estate Partners LLC | | | |
| 7.75%, 09/01/2030* | | 18,000 | 17,782 |
| Kennedy-Wilson, Inc. | | | |
| 4.75%, 03/01/2029 | | 50,000 | 38,375 |
| | | | 108,835 |
| REITS — 1.0% |
| American Tower Corp. | | | |
| 1.45%, 09/15/2026 | | 320,000 | 282,011 |
| 2.30%, 09/15/2031 | | 79,000 | 59,953 |
| 2.40%, 03/15/2025 | | 465,000 | 440,872 |
| 2.70%, 04/15/2031 | | 180,000 | 142,752 |
| 3.65%, 03/15/2027 | | 520,000 | 481,804 |
| 3.80%, 08/15/2029 | | 215,000 | 191,245 |
| 5.80%, 11/15/2028 | | 240,000 | 238,194 |
| Apollo Commercial Real Estate Finance, Inc. | | | |
| 4.63%, 06/15/2029* | | 52,000 | 39,213 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| REITS (continued) |
| Crown Castle, Inc. | | | |
| 4.80%, 09/01/2028 | | $ 610,000 | $ 578,989 |
| 5.00%, 01/11/2028 | | 922,000 | 890,720 |
| 5.20%, 02/15/2049 | | 29,000 | 24,271 |
| GLP Capital LP/GLP Financing II, Inc. | | | |
| 3.25%, 01/15/2032 | | 95,000 | 73,729 |
| 4.00%, 01/15/2030 to 01/15/2031 | | 620,000 | 521,055 |
| 5.30%, 01/15/2029 | | 500,000 | 463,510 |
| 5.75%, 06/01/2028 | | 185,000 | 177,378 |
| HAT Holdings I LLC/HAT Holdings II LLC | | | |
| 3.38%, 06/15/2026* | | 70,000 | 62,218 |
| Host Hotels & Resorts LP | | | |
| 3.50%, 09/15/2030 | | 154,000 | 127,684 |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | | | |
| 4.25%, 02/01/2027* | | 48,000 | 41,982 |
| LXP Industrial Trust | | | |
| 2.38%, 10/01/2031 | | 45,000 | 32,979 |
| National Health Investors, Inc. | | | |
| 3.00%, 02/01/2031 | | 62,000 | 45,330 |
| Office Properties Income Trust | | | |
| 3.45%, 10/15/2031 | | 51,000 | 25,819 |
| Omega Healthcare Investors, Inc. | | | |
| 3.25%, 04/15/2033 | | 169,000 | 123,674 |
| 3.38%, 02/01/2031 | | 90,000 | 70,361 |
| Public Storage Operating Co. | | | |
| 5.35%, 08/01/2053 | | 24,000 | 21,914 |
| SBA Tower Trust | | | |
| 2.84%, 01/15/2025* | | 550,000 | 526,428 |
| Service Properties Trust | | | |
| 4.38%, 02/15/2030 | | 55,000 | 39,469 |
| Starwood Property Trust, Inc. | | | |
| 4.75%, 03/15/2025 | | 50,000 | 47,805 |
| VICI Properties LP | | | |
| 4.95%, 02/15/2030 | | 1,016,000 | 929,607 |
| Vornado Realty LP | | | |
| 2.15%, 06/01/2026 | | 54,000 | 45,908 |
| Weyerhaeuser Co. | | | |
| 4.00%, 03/09/2052 | | 41,000 | 29,680 |
| 4.75%, 05/15/2026 | | 84,000 | 81,973 |
| | | | 6,858,527 |
| Retail — 0.3% |
| AutoZone, Inc. | | | |
| 4.75%, 08/01/2032 to 02/01/2033 | | 525,000 | 478,913 |
| Brinker International, Inc. | | | |
| 5.00%, 10/01/2024* | | 27,000 | 26,330 |
| CEC Entertainment LLC | | | |
| 6.75%, 05/01/2026* | | 50,000 | 47,272 |
| Dave & Buster's, Inc. | | | |
| 7.63%, 11/01/2025* | | 22,000 | 21,990 |
| Ferrellgas LP/Ferrellgas Finance Corp. | | | |
| 5.38%, 04/01/2026* | | 45,000 | 42,178 |
| FirstCash, Inc. | | | |
| 4.63%, 09/01/2028* | | 331,000 | 293,292 |
| 5.63%, 01/01/2030* | | 8,000 | 7,198 |
| Ken Garff Automotive LLC | | | |
| 4.88%, 09/15/2028* | | 40,000 | 34,160 |
| Kohl's Corp. | | | |
| 5.55%, 07/17/2045 | | 149,000 | 83,793 |
| LBM Acquisition LLC | | | |
| 6.25%, 01/15/2029* | | 45,000 | 36,900 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail (continued) |
| Lowe's Cos., Inc. | | | |
| 4.45%, 04/01/2062 | | $ 40,000 | $ 29,206 |
| McDonald's Corp. | | | |
| 3.63%, 09/01/2049 | | 99,000 | 69,711 |
| 4.80%, 08/14/2028 | | 147,000 | 143,782 |
| 5.45%, 08/14/2053 | | 82,000 | 77,104 |
| Murphy Oil USA, Inc. | | | |
| 3.75%, 02/15/2031* | | 15,000 | 12,245 |
| 4.75%, 09/15/2029 | | 21,000 | 18,934 |
| O'Reilly Automotive, Inc. | | | |
| 3.60%, 09/01/2027 | | 62,000 | 57,899 |
| 4.70%, 06/15/2032 | | 500,000 | 458,199 |
| Park River Holdings, Inc. | | | |
| 6.75%, 08/01/2029* | | 30,000 | 23,775 |
| Specialty Building Products Holdings LLC/SBP Finance Corp. | | | |
| 6.38%, 09/30/2026* | | 25,000 | 23,379 |
| | | | 1,986,260 |
| Savings & Loans — 0.0% |
| New York Community Bancorp, Inc. | | | |
| 5.90%, 11/06/2028 | | 246,000 | 233,309 |
| Semiconductors — 0.5% |
| Broadcom, Inc. | | | |
| 2.45%, 02/15/2031* | | 150,000 | 117,241 |
| 3.14%, 11/15/2035* | | 335,000 | 244,242 |
| 3.19%, 11/15/2036* | | 126,000 | 90,466 |
| 4.00%, 04/15/2029* | | 795,000 | 717,401 |
| Entegris Escrow Corp. | | | |
| 5.95%, 06/15/2030* | | 35,000 | 32,458 |
| Intel Corp. | | | |
| 3.10%, 02/15/2060 | | 370,000 | 212,784 |
| 5.20%, 02/10/2033 | | 95,000 | 91,983 |
| 5.90%, 02/10/2063 | | 434,000 | 411,426 |
| Marvell Technology, Inc. | | | |
| 2.45%, 04/15/2028 | | 845,000 | 729,917 |
| 5.95%, 09/15/2033 | | 170,000 | 166,857 |
| NXP BV/NXP Funding LLC | | | |
| 5.55%, 12/01/2028 | | 60,000 | 58,727 |
| NXP BV/NXP Funding LLC/NXP USA, Inc. | | | |
| 3.15%, 05/01/2027 | | 105,000 | 95,742 |
| 4.30%, 06/18/2029 | | 49,000 | 44,889 |
| Qorvo, Inc. | | | |
| 3.38%, 04/01/2031* | | 630,000 | 499,002 |
| QUALCOMM, Inc. | | | |
| 6.00%, 05/20/2053 | | 34,000 | 34,482 |
| Texas Instruments, Inc. | | | |
| 4.60%, 02/15/2028 | | 57,000 | 55,867 |
| 5.00%, 03/14/2053 | | 46,000 | 41,679 |
| | | | 3,645,163 |
| Software — 0.8% |
| Black Knight InfoServ LLC | | | |
| 3.63%, 09/01/2028* | | 1,088,000 | 975,120 |
| Capstone Borrower, Inc. | | | |
| 8.00%, 06/15/2030* | | 30,000 | 29,288 |
| Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc. | | | |
| 8.00%, 06/15/2029* | | 7,000 | 6,974 |
| Central Parent, Inc./CDK Global, Inc. | | | |
| 7.25%, 06/15/2029* | | 25,000 | 24,238 |
| Fidelity National Information Services, Inc. | | | |
| 5.63%, 07/15/2052 | | 54,000 | 49,027 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Software (continued) |
| Fiserv, Inc. | | | |
| 4.40%, 07/01/2049 | | $ 102,000 | $ 78,136 |
| 5.63%, 08/21/2033 | | 70,000 | 67,826 |
| Intuit, Inc. | | | |
| 5.50%, 09/15/2053 | | 43,000 | 41,255 |
| MSCI, Inc. | | | |
| 3.63%, 11/01/2031* | | 352,000 | 287,963 |
| 3.88%, 02/15/2031* | | 123,000 | 104,206 |
| 4.00%, 11/15/2029* | | 170,000 | 149,311 |
| Open Text Corp. | | | |
| 3.88%, 02/15/2028 to 12/01/2029* | | 30,000 | 24,764 |
| 6.90%, 12/01/2027* | | 890,000 | 892,026 |
| Oracle Corp. | | | |
| 2.30%, 03/25/2028 | | 571,000 | 494,693 |
| 2.95%, 04/01/2030 | | 220,000 | 185,127 |
| 3.60%, 04/01/2040 to 04/01/2050 | | 1,572,000 | 1,074,603 |
| 3.80%, 11/15/2037 | | 191,000 | 145,734 |
| 3.85%, 04/01/2060 | | 245,000 | 155,799 |
| 4.00%, 07/15/2046 to 11/15/2047 | | 375,000 | 263,677 |
| 4.10%, 03/25/2061 | | 140,000 | 93,375 |
| 4.13%, 05/15/2045 | | 35,000 | 25,372 |
| 4.90%, 02/06/2033 | | 47,000 | 43,321 |
| 5.55%, 02/06/2053 | | 23,000 | 20,152 |
| Rackspace Technology Global, Inc. | | | |
| 3.50%, 02/15/2028* | | 50,000 | 23,341 |
| | | | 5,255,328 |
| Telecommunications — 1.1% |
| Altice France SA | | | |
| 5.50%, 10/15/2029* | | 200,000 | 143,823 |
| AT&T, Inc. | | | |
| 2.55%, 12/01/2033 | | 275,000 | 201,984 |
| 3.50%, 06/01/2041 | | 425,000 | 295,260 |
| 3.65%, 09/15/2059 | | 757,000 | 460,595 |
| 3.80%, 12/01/2057 | | 112,000 | 70,955 |
| 3.85%, 06/01/2060 | | 34,000 | 21,676 |
| 4.35%, 03/01/2029 | | 305,000 | 283,840 |
| 4.50%, 05/15/2035 | | 253,000 | 215,802 |
| 4.90%, 08/15/2037 | | 241,000 | 208,775 |
| 5.40%, 02/15/2034 | | 473,000 | 442,680 |
| Corning, Inc. | | | |
| 5.45%, 11/15/2079 | | 151,000 | 126,811 |
| Nokia Oyj | | | |
| 4.38%, 06/12/2027 | | 725,000 | 671,238 |
| Rogers Communications, Inc. | | | |
| 3.80%, 03/15/2032 | | 430,000 | 357,341 |
| Telefonica Emisiones SA | | | |
| 4.90%, 03/06/2048 | | 150,000 | 113,617 |
| Telesat Canada/Telesat LLC | | | |
| 4.88%, 06/01/2027* | | 50,000 | 32,400 |
| T-Mobile USA, Inc. | | | |
| 2.05%, 02/15/2028 | | 1,065,000 | 915,772 |
| 3.00%, 02/15/2041 | | 253,000 | 167,650 |
| 3.60%, 11/15/2060 | | 65,000 | 40,209 |
| 3.88%, 04/15/2030 | | 480,000 | 425,266 |
| 5.05%, 07/15/2033 | | 475,000 | 440,710 |
| 5.65%, 01/15/2053 | | 24,000 | 21,918 |
| 5.75%, 01/15/2034 | | 295,000 | 287,779 |
| Verizon Communications, Inc. | | | |
| 2.36%, 03/15/2032 | | 820,000 | 625,626 |
| 2.55%, 03/21/2031 | | 393,000 | 312,920 |
| 2.85%, 09/03/2041 | | 168,000 | 108,610 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Telecommunications (continued) |
| 2.99%, 10/30/2056 | | $ 460,000 | $ 255,343 |
| 3.00%, 11/20/2060 | | 99,000 | 53,604 |
| 3.40%, 03/22/2041 | | 65,000 | 46,081 |
| 3.85%, 11/01/2042 | | 60,000 | 44,342 |
| 3.88%, 03/01/2052 | | 10,000 | 7,040 |
| 5.05%, 05/09/2033 | | 72,000 | 67,262 |
| Viasat, Inc. | | | |
| 7.50%, 05/30/2031* | | 50,000 | 33,025 |
| Vodafone Group PLC | | | |
| 4.38%, 02/19/2043 | | 23,000 | 17,723 |
| 5.13%, 06/04/2081 | | 36,000 | 24,426 |
| 5.63%, 02/10/2053 | | 24,000 | 21,268 |
| 5.75%, 02/10/2063 | | 48,000 | 42,081 |
| | | | 7,605,452 |
| Transportation — 0.1% |
| AP Moller - Maersk A/S | | | |
| 5.88%, 09/14/2033* | | 75,000 | 72,845 |
| Burlington Northern Santa Fe LLC | | | |
| 4.45%, 03/15/2043 | | 67,000 | 55,986 |
| 5.20%, 04/15/2054 | | 74,000 | 67,796 |
| Canadian Pacific Railway Co. | | | |
| 1.35%, 12/02/2024 | | 129,000 | 122,295 |
| 4.70%, 05/01/2048 | | 61,000 | 50,492 |
| 6.13%, 09/15/2115 | | 52,000 | 50,597 |
| Cargo Aircraft Management, Inc. | | | |
| 4.75%, 02/01/2028* | | 81,000 | 72,315 |
| CSX Corp. | | | |
| 4.50%, 11/15/2052 | | 63,000 | 51,291 |
| FedEx Corp. Pass Through Trust | | | |
| 1.88%, 08/20/2035 | | 202,339 | 163,180 |
| Ryder System, Inc. | | | |
| 5.25%, 06/01/2028 | | 57,000 | 55,475 |
| | | | 762,272 |
| Trucking & Leasing — 0.5% |
| DAE Funding LLC | | | |
| 1.55%, 08/01/2024* | | 845,000 | 809,201 |
| GATX Corp. | | | |
| 3.25%, 09/15/2026 | | 73,000 | 67,692 |
| 6.05%, 03/15/2034 | | 56,000 | 54,689 |
| Penske Truck Leasing Co. LP/PTL Finance Corp. | | | |
| 2.70%, 11/01/2024* | | 845,000 | 813,427 |
| 3.40%, 11/15/2026* | | 148,000 | 136,417 |
| 4.00%, 07/15/2025* | | 685,000 | 657,920 |
| 4.40%, 07/01/2027* | | 460,000 | 431,084 |
| 5.70%, 02/01/2028* | | 33,000 | 32,162 |
| 6.05%, 08/01/2028* | | 262,000 | 258,713 |
| 6.20%, 06/15/2030* | | 37,000 | 36,462 |
| | | | 3,297,767 |
| Water — 0.0% |
| Essential Utilities, Inc. | | | |
| 3.35%, 04/15/2050 | | 64,000 | 39,879 |
Total Corporate Bonds & Notes
(cost $238,733,798) | | | 213,813,540 |
| ASSET BACKED SECURITIES — 6.6% |
| Auto Loan Receivables — 1.5% |
| American Credit Acceptance Receivables Trust | | | |
Series 2022-3, Class B
4.55%, 10/13/2026* | | 50,000 | 49,690 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| ASSET BACKED SECURITIES (continued) |
| Auto Loan Receivables (continued) |
Series 2023-3, Class B
6.09%, 11/12/2027* | | $ 285,000 | $ 284,532 |
| AmeriCredit Automobile Receivables Trust | | | |
Series 2019-3, Class D
2.58%, 09/18/2025 | | 545,000 | 535,971 |
| ARI Fleet Lease Trust | | | |
Series 2023-A, Class A2
5.41%, 02/17/2032* | | 700,000 | 693,897 |
| Avis Budget Rental Car Funding AESOP LLC | | | |
Series 2023-7A, Class A
5.90%, 08/21/2028* | | 315,000 | 315,456 |
| Chesapeake Funding II LLC | | | |
Series 2023-1A, Class A1
5.65%, 05/15/2035* | | 531,922 | 528,331 |
| CPS Auto Receivables Trust | | | |
Series 2023-B, Class A
5.91%, 08/16/2027* | | 740,345 | 739,067 |
| Drive Auto Receivables Trust | | | |
Series 2019-4, Class D
2.70%, 02/16/2027 | | 202,045 | 200,471 |
| DT Auto Owner Trust | | | |
Series 2023-1A, Class B
5.19%, 10/16/2028* | | 225,000 | 221,668 |
Series 2023-2A, Class B
5.41%, 02/15/2029* | | 250,000 | 246,317 |
| Enterprise Fleet Financing LLC | | | |
Series 2023-1, Class A3
5.42%, 10/22/2029* | | 350,000 | 344,794 |
| Exeter Automobile Receivables Trust | | | |
Series 2022-1A, Class B
2.18%, 06/15/2026 | | 232,579 | 230,981 |
Series 2019-4A, Class D
2.58%, 09/15/2025* | | 405,745 | 399,540 |
Series 2020-1A, Class D
2.73%, 12/15/2025* | | 165,272 | 162,295 |
Series 2022-4A, Class B
4.57%, 01/15/2027 | | 330,000 | 326,673 |
Series 2023-3A, Class B
6.11%, 09/15/2027 | | 140,000 | 139,492 |
| Flagship Credit Auto Trust | | | |
Series 2022-3, Class B
4.69%, 07/17/2028* | | 444,000 | 430,292 |
Series 2023-1, Class B
5.05%, 01/18/2028* | | 126,000 | 123,023 |
Series 2023-2, Class B
5.21%, 05/15/2028* | | 312,000 | 304,941 |
| Ford Credit Floorplan Master Owner Trust | | | |
Series 2018-4, Class A
4.06%, 11/15/2030 | | 175,000 | 162,540 |
| GLS Auto Receivables Issuer Trust | | | |
Series 2022-3A, Class B
4.92%, 01/15/2027* | | 80,000 | 78,749 |
| Honda Auto Receivables Owner Trust | | | |
Series 2022-2, Class A4
3.76%, 12/18/2028 | | 50,000 | 48,168 |
Series 2023-2, Class A4
4.91%, 09/17/2029 | | 64,000 | 63,234 |
| Mercedes-Benz Auto Receivables Trust | | | |
Series 2021-1, Class A3
0.46%, 06/15/2026 | | 149,505 | 144,342 |
Series 2023-1, Class A3
4.51%, 11/15/2027 | | 150,000 | 147,087 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Auto Loan Receivables (continued) |
| Santander Drive Auto Receivables Trust | | | |
Series 2022-5, Class B
4.43%, 03/15/2027 | | $ 210,000 | $ 205,940 |
Series 2022-6, Class B
4.72%, 06/15/2027 | | 145,000 | 142,221 |
Series 2023-1, Class B
4.98%, 02/15/2028 | | 265,000 | 260,389 |
Series 2023-3, Class B
5.61%, 07/17/2028 | | 440,000 | 435,930 |
Series 2022-7, Class B
5.95%, 01/17/2028 | | 565,000 | 561,916 |
| SFS Auto Receivables Securitization Trust | | | |
Series 2023-1A, Class B
5.71%, 01/22/2030* | | 215,000 | 211,263 |
| Toyota Auto Receivables Owner Trust | | | |
Series 2023-B, Class A4
4.66%, 09/15/2028 | | 140,000 | 136,565 |
| Tricolor Auto Securitization Trust | | | |
Series 2023-1A, Class A
6.48%, 08/17/2026* | | 173,349 | 172,970 |
| Westlake Automobile Receivables Trust | | | |
Series 2020-3A, Class D
1.65%, 02/17/2026* | | 395,000 | 383,432 |
Series 2022-2A, Class B
4.31%, 09/15/2027* | | 495,000 | 485,465 |
Series 2023-1A, Class B
5.41%, 01/18/2028* | | 145,000 | 143,167 |
| | | | 10,060,809 |
| Credit Card Receivables — 0.1% |
| American Express Credit Account Master Trust | | | |
Series 2022-3, Class A
3.75%, 08/15/2027 | | 160,000 | 154,873 |
Series 2023-2, Class A
4.80%, 05/15/2030 | | 100,000 | 97,968 |
| Capital One Multi-Asset Execution Trust | | | |
Series 2021-A2, Class A2
1.39%, 07/15/2030 | | 250,000 | 208,370 |
| Chase Issuance Trust | | | |
Series 2022-A1, Class A
3.97%, 09/15/2027 | | 150,000 | 145,728 |
| Discover Card Execution Note Trust | | | |
Series 2022-A4, Class A
5.03%, 10/15/2027 | | 400,000 | 396,711 |
| | | | 1,003,650 |
| Home Equity — 0.1% |
| GSAA Home Equity Trust | | | |
Series 2006-15, Class AF6
6.38%, 09/25/2036(3) | | 80,402 | 19,997 |
| GSAA Home Equity Trust FRS | | | |
Series 2006-20, Class 2A1A
5.53%, (TSFR1M+0.21%), 12/25/2046 | | 20,312 | 9,657 |
Series 2006-20, Class 1A1
5.57%, (TSFR1M+0.25%), 12/25/2046 | | 52,265 | 14,730 |
Series 2007-1, Class 1A1
5.59%, (12MTA+0.27%), 02/25/2037 | | 279,025 | 78,737 |
Series 2006-19, Class A1
5.61%, (TSFR1M+0.29%), 12/25/2036 | | 10,523 | 2,824 |
Series 2006-3, Class A3
6.03%, (TSFR1M+0.71%), 03/25/2036 | | 10,954 | 5,756 |
Series 2007-5, Class 2A3A
6.07%, (TSFR3M+0.75%), 04/25/2047 | | 93,790 | 44,242 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| ASSET BACKED SECURITIES (continued) |
| Home Equity (continued) |
| GSAA Home Equity Trust VRS | | | |
Series 2006-10, Class AF3
5.98%, 06/25/2036(2) | | $ 258,056 | $ 65,548 |
| GSAA Trust | | | |
Series 2005-7, Class AF4
5.56%, 05/25/2035(3) | | 168,439 | 155,933 |
| Morgan Stanley Mtg. Loan Trust FRS | | | |
Series 2006-16AX, Class 2A2
5.77%, (TSFR3M+0.45%), 11/25/2036 | | 207,565 | 59,767 |
| Renaissance Home Equity Loan Trust | | | |
Series 2007-1, Class AF5
5.91%, 04/25/2037(3) | | 338,398 | 94,885 |
Series 2006-3, Class AF5
6.12%, 11/25/2036(3) | | 149,482 | 57,840 |
| Soundview Home Loan Trust FRS | | | |
Series 2007-OPT2, Class 2A3
5.61%, (12MTA+0.29%), 07/25/2037 | | 25,303 | 21,291 |
Series 2006-3, Class A4
5.93%, (TSFR1M+0.61%), 11/25/2036 | | 221,909 | 203,502 |
| | | | 834,709 |
| Other Asset Backed Securities — 4.9% |
| 510 Asset Backed Trust | | | |
Series 2021-NPL2, Class A1
2.12%, 06/25/2061*(3) | | 566,309 | 517,684 |
| AASET Trust | | | |
Series 2020-1A, Class A
3.35%, 01/16/2040* | | 112,732 | 98,077 |
| Affirm Asset Securitization Trust | | | |
Series 2020-Z2, Class A
1.90%, 01/15/2025* | | 20,781 | 20,631 |
Series 2020-Z1, Class A
3.46%, 10/15/2024* | | 700 | 699 |
Series 2023-A, Class 1A
6.61%, 01/18/2028* | | 335,000 | 333,332 |
| Aligned Data Centers Issuer LLC | | | |
Series 2023-1A, Class A2
6.00%, 08/17/2048* | | 645,000 | 620,458 |
| Amur Equipment Finance Receivables XI LLC | | | |
Series 2022-2A, Class A2
5.30%, 06/21/2028* | | 188,808 | 187,013 |
| Arbor Realty Commercial Real Estate Notes, Ltd. FRS | | | |
Series 2021-FL2, Class A
6.55%, (TSFR1M+1.21%), 05/15/2036* | | 200,000 | 198,183 |
| Avant Loans Funding Trust | | | |
Series 2021-REV1, Class A
1.21%, 07/15/2030* | | 269,488 | 266,053 |
| Bain Capital Credit CLO, Ltd. FRS | | | |
Series 2019-1A, Class AR
6.71%, (SOFR30A+1.39%), 04/19/2034* | | 1,055,000 | 1,048,117 |
| Benefit Street Partners CLO X, Ltd. FRS | | | |
Series 2016-10A, Class A1RR
6.80%, (12MTA+1.47%), 04/20/2034* | | 680,000 | 676,279 |
| Benefit Street Partners CLO XXXI, Ltd. FRS | | | |
Series 2023-31A, Class B1
7.22%, (TSFR1M+2.35%), 04/25/2036* | | 515,000 | 515,393 |
| BlueMountain CLO XXIV, Ltd. FRS | | | |
Series 2019-24A, Class AR
6.69%, (SOFR30A+1.36%), 04/20/2034* | | 795,000 | 786,906 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Other Asset Backed Securities (continued) |
| CCG Receivables Trust | | | |
Series 2023-1, Class A2
5.82%, 09/16/2030* | | $ 305,000 | $ 304,547 |
| CF Hippolyta Issuer LLC | | | |
Series 2021-1A, Class A1
1.53%, 03/15/2061* | | 94,245 | 82,742 |
Series 2021-1A, Class B1
1.98%, 03/15/2061* | | 108,381 | 92,773 |
Series 2020-1, Class A2
1.99%, 07/15/2060* | | 224,368 | 188,016 |
Series 2022-1A, Class A1
5.97%, 08/15/2062* | | 126,050 | 122,578 |
| CF Hippolyta LLC | | | |
Series 2020-1, Class A1
1.69%, 07/15/2060* | | 196,944 | 178,895 |
| Cirrus Funding, Ltd. | | | |
Series 2018-1A, Class A
4.80%, 01/25/2037* | | 975,000 | 944,753 |
| CNH Equipment Trust | | | |
Series 2023-A, Class A4
4.77%, 10/15/2030 | | 150,000 | 146,081 |
| Columbia Cent CLO, Ltd. FRS | | | |
Series 2018-27A, Class AR
6.80%, (TSFR1M+1.45%), 01/25/2035* | | 720,000 | 706,412 |
| DB Master Finance LLC | | | |
Series 2021-1A, Class A23
2.79%, 11/20/2051* | | 1,370,588 | 1,056,653 |
| DLLAA LLC | | | |
Series 2023-1A, Class A3
5.64%, 02/22/2028* | | 250,000 | 249,553 |
| Domino's Pizza Master Issuer LLC | | | |
Series 2021-1A, Class A2I
2.66%, 04/25/2051* | | 488,750 | 412,034 |
Series 2019-1A, Class A2
3.67%, 10/25/2049* | | 328,100 | 283,884 |
Series 2018-1A, Class A2I
4.12%, 07/25/2048* | | 723,900 | 686,802 |
| Dryden 57 CLO, Ltd. FRS | | | |
Series 2018-57A, Class A
6.64%, (RFUCCT1Y+1.27%), 05/15/2031* | | 1,146,535 | 1,141,061 |
| Elmwood CLO 19, Ltd. FRS | | | |
Series 2022-6A, Class BR
7.80%, (TSFR1M+2.4%), 10/17/2036* | | 665,000 | 665,168 |
| Elmwood CLO 23, Ltd. FRS | | | |
Series 2023-2A, Class B
7.31%, (RFUCCT1Y+2.25%), 04/16/2036* | | 450,000 | 444,783 |
| First Franklin Mtg. Loan Trust FRS | | | |
Series 2006-FF12, Class A5
5.74%, (TSFR1M+0.42%), 09/25/2036 | | 364,137 | 330,249 |
| FirstKey Homes Trust | | | |
Series 2022-SFR2, Class A
4.25%, 07/17/2039* | | 1,044,095 | 978,113 |
| Golub Capital Partners CLO 68B, Ltd. FRS | | | |
Series 2023-68A, Class B
8.20%, (TSFR3M+2.80%), 07/25/2036* | | 400,000 | 402,571 |
| HSI Asset Securitization Corp. Trust FRS | | | |
Series 2006-OPT3, Class 3A4
5.97%, (TSFR1M+0.65%), 02/25/2036 | | 105,045 | 101,990 |
| Invesco US CLO, Ltd. FRS | | | |
Series 2023-2A, Class B
7.16%, (TSFR3M+2.3%), 04/21/2036* | | 310,000 | 307,368 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| ASSET BACKED SECURITIES (continued) |
| Other Asset Backed Securities (continued) |
| JFIN CLO, Ltd. FRS | | | |
Series 2017-1A, Class A1R
6.61%, (TSFR1M+1.26%), 04/24/2029* | | $ 372,982 | $ 371,749 |
| KKR CLO, Ltd. FRS | | | |
Series 22A, Class A
6.74%, (TSFR1M+1.41%), 07/20/2031* | | 1,440,000 | 1,434,211 |
| Kubota Credit Owner Trust | | | |
Series 2023-1A, Class A3
5.02%, 06/15/2027* | | 345,000 | 339,565 |
| Marlette Funding Trust | | | |
Series 2021-2A, Class B
1.06%, 09/15/2031* | | 47,384 | 46,991 |
| MFA LLC | | | |
Series 2021-NPL1, Class A1
2.36%, 03/25/2060*(3) | | 470,200 | 451,144 |
| Morgan Stanley ABS Capital I, Inc. Trust FRS | | | |
Series 2006-NC4, Class A2C
5.73%, (TSFR3M+0.41%), 06/25/2036 | | 3,565 | 3,003 |
| Navient Private Education Refi Loan Trust | | | |
Series 2021-FA, Class A
1.11%, 02/18/2070* | | 411,917 | 343,370 |
Series 2023-A, Class A
5.51%, 10/15/2071* | | 517,182 | 506,574 |
| New Economy Assets Phase 1 Sponsor LLC | | | |
Series 2021-1, Class A1
1.91%, 10/20/2061* | | 685,000 | 590,674 |
| NRZ Excess Spread-Collateralized Notes | | | |
Series 2020-PLS1, Class A
3.84%, 12/25/2025* | | 75,461 | 70,390 |
| Octagon 61, Ltd. FRS | | | |
Series 2023-2A, Class B
7.42%, (TSFR1M+2.35%), 04/20/2036* | | 660,000 | 650,432 |
| OZLM VII, Ltd. FRS | | | |
Series 2014-7RA, Class A1R
6.58%, (TSFR3M+1.27%), 07/17/2029* | | 116,841 | 116,482 |
| OZLM XVIII, Ltd. FRS | | | |
Series 2018-18A, Class A
6.59%, (TSFR1M+1.28%), 04/15/2031* | | 817,559 | 813,405 |
| PRET LLC | | | |
Series 2021-RN2, Class A1
1.74%, 07/25/2051*(3) | | 330,613 | 306,685 |
Series 2021-NPL3, Class A1
1.87%, 07/25/2051*(3) | | 376,106 | 347,840 |
| Pretium Mtg. Credit Partners LLC | | | |
Series 2021-RN1, Class A1
1.99%, 02/25/2061*(3) | | 692,821 | 653,407 |
Series 2022-NPL1, Class A1
2.98%, 01/25/2052*(3) | | 819,017 | 761,165 |
| Progress Residential Trust | | | |
Series 2023-SFR1, Class A
4.30%, 03/17/2040* | | 399,115 | 372,749 |
Series 2022-SFR5, Class A
4.45%, 06/17/2039* | | 188,576 | 178,197 |
Series 2022-SFR7, Class A
4.75%, 10/27/2039* | | 307,836 | 291,523 |
| Regatta VI Funding, Ltd. FRS | | | |
Series 2016-1A, Class AR2
6.75%, (TSFR3M+1.42%), 04/20/2034* | | 1,100,000 | 1,093,369 |
| Retained Vantage Data Centers Issuer LLC | | | |
Series 2023-1A, Class A2A
5.00%, 09/15/2048* | | 960,000 | 865,160 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Other Asset Backed Securities (continued) |
| RR 23, Ltd. FRS | | | |
Series 2022-23A, Class A2R
8.00%, (TSFR1M+2.65%), 10/15/2035* | | $ 990,000 | $ 989,943 |
| RR 26, Ltd. FRS | | | |
Series 2023-26A, Class A2
6.98%, (TSFR3M+2.25%), 04/15/2038* | | 470,000 | 470,894 |
| Sapphire Aviation Finance II, Ltd. | | | |
Series 2020-1A, Class A
3.23%, 03/15/2040* | | 170,842 | 144,565 |
| Securitized Asset Backed Receivables LLC Trust FRS | | | |
Series 2006-HE1, Class A2B
5.61%, (12MTA+0.29%), 07/25/2036 | | 141,763 | 47,891 |
| Sound Point CLO XXIX, Ltd. FRS | | | |
Series 2021-1A, Class A
6.68%, (12MTA+1.33%), 04/25/2034* | | 1,255,000 | 1,233,300 |
| Summit Issuer LLC | | | |
Series 2020-1A, Class A2
2.29%, 12/20/2050* | | 290,000 | 260,925 |
| Texas Debt Capital CLO, Ltd. FRS | | | |
Series 2023-1A, Class B
7.12%, (TSFR3M+2.30%), 04/20/2036* | | 565,000 | 565,172 |
| Tricon Residential Trust | | | |
Series 2023-SFR1, Class A
5.10%, 07/17/2040* | | 265,000 | 254,888 |
| Upstart Securitization Trust | | | |
Series 2021-3, Class A
0.83%, 07/20/2031* | | 4,755 | 4,739 |
| VCAT LLC | | | |
Series 2021-NPL3, Class A1
1.74%, 05/25/2051*(3) | | 382,313 | 355,146 |
Series 2021-NPL2, Class A1
2.12%, 03/27/2051*(3) | | 114,578 | 109,046 |
| Venture 42 CLO, Ltd. FRS | | | |
Series 2021-42A, Class A1A
6.70%, (TSFR3M+1.39%), 04/15/2034* | | 1,255,000 | 1,231,199 |
| Venture 43 CLO, Ltd. FRS | | | |
Series 2021-43A, Class A1
6.81%, (TSFR3M+1.50%), 04/15/2034* | | 485,000 | 480,301 |
| Wellfleet CLO X, Ltd. FRS | | | |
Series 2019-XA, Class A1R
6.76%, (TSFR3M+1.43%), 07/20/2032* | | 920,000 | 912,354 |
| Wendy's Funding LLC | | | |
Series 2021-1A, Class A2I
2.37%, 06/15/2051* | | 1,104,575 | 906,919 |
Series 2018-1A, Class A2II
3.88%, 03/15/2048* | | 424,125 | 379,733 |
| Wingstop Funding LLC | | | |
Series 2020-1A, Class A2
2.84%, 12/05/2050* | | 157,600 | 136,353 |
| | | | 34,187,304 |
Total Asset Backed Securities
(cost $47,544,109) | | | 46,086,472 |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 9.3% |
| Commercial and Residential — 7.8% |
| 1211 Avenue of the Americas Trust | | | |
Series 2015-1211, Class A1A2
3.90%, 08/10/2035* | | 1,440,000 | 1,347,817 |
| Adjustable Rate Mtg. Trust FRS | | | |
Series 2005-10, Class 6A21
5.93%, (TSFR1M+0.61%), 01/25/2036 | | 46,557 | 41,926 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
Series 2005-9, Class 5A1
5.97%, (TSFR1M+0.65%), 11/25/2035 | | $ 22,990 | $ 22,485 |
| Alternative Loan Trust | | | |
Series 2005-64CB, Class 3A1
5.50%, 12/25/2035 | | 72,613 | 51,102 |
Series 2006-9T1, Class A1
5.75%, 05/25/2036 | | 92,421 | 36,170 |
| Alternative Loan Trust FRS | | | |
Series 2005-64CB, Class 1A12
5.50%, (TSFR3M+0.91%), 12/25/2035 | | 42,093 | 34,961 |
Series 2005-72, Class A1
5.97%, (TSFR1M+0.65%), 01/25/2036 | | 58,138 | 50,909 |
Series 2005-56, Class 5A1
6.07%, (TSFR3M+0.75%), 11/25/2035 | | 24,590 | 19,284 |
| American Home Mtg. Assets Trust FRS | | | |
Series 2006-3, Class 2A11
5.57%, (TSFR1M+0.94%), 10/25/2046 | | 34,417 | 23,172 |
| Angel Oak Mtg. Trust VRS | | | |
Series 2020-R1, Class A1
0.99%, 04/25/2053*(2) | | 209,238 | 187,461 |
Series 2021-2, Class A1
0.99%, 04/25/2066*(2) | | 258,349 | 208,634 |
Series 2021-3, Class A1
1.07%, 05/25/2066*(2) | | 478,854 | 391,477 |
Series 2021-8, Class A1
1.82%, 11/25/2066*(2) | | 431,791 | 354,824 |
Series 2019-5, Class A1
2.59%, 10/25/2049*(2) | | 72,869 | 69,572 |
| Banc of America Funding Trust FRS | | | |
Series 2007-1, Class TA1A
5.49%, (TSFR3M+0.17%), 01/25/2037 | | 6,150 | 5,243 |
Series 2007-A, Class 2A5
5.90%, (TSFR3M+0.57%), 02/20/2047 | | 108,723 | 92,864 |
| BANK | | | |
Series 2017-BNK8, Class A4
3.49%, 11/15/2050 | | 470,000 | 419,653 |
| BANK VRS | | | |
Series 2018-BN14, Class XA
0.65%, 09/15/2060(2)(4) | | 8,471,837 | 157,850 |
Series 2019-BN24, Class XA
0.75%, 11/15/2062(2)(4) | | 2,230,222 | 70,444 |
Series 2019-BN23, Class XA
0.81%, 12/15/2052(2)(4) | | 6,747,360 | 223,812 |
Series 2017-BNK8, Class XA
0.85%, 11/15/2050(2)(4) | | 7,054,638 | 164,799 |
Series 2019-BN20, Class XA
0.94%, 09/15/2062(2)(4) | | 4,126,380 | 153,518 |
Series 2019-BN18, Class XA
1.03%, 05/15/2062(2)(4) | | 2,864,470 | 110,006 |
Series 2023-BNK45, Class XA
1.20%, 02/15/2056(2)(4) | | 1,212,113 | 77,401 |
Series 2020-BN28, Class XA
1.88%, 03/15/2063(2)(4) | | 4,713,151 | 424,080 |
| Barclays Commercial Mtg. Securities Trust | | | |
Series 2017-C1, Class A4
3.67%, 02/15/2050 | | 1,325,000 | 1,225,078 |
| BCAP LLC Trust FRS | | | |
Series 2006-AA2, Class A1
5.77%, (TSFR1M+0.45%), 01/25/2037 | | 8,757 | 8,023 |
| Bear Stearns ALT-A Trust FRS | | | |
Series 2006-1, Class 11A1
5.91%, (TSFR1M+0.59%), 02/25/2036 | | 18,679 | 16,316 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2005-10, Class 11A1
5.93%, (TSFR1M+0.61%), 01/25/2036 | | $ 55,002 | $ 48,817 |
| Bear Stearns Mtg. Funding Trust FRS | | | |
Series 2006-AR3, Class 1A1
5.61%, (TSFR1M+0.29%), 10/25/2036 | | 32,399 | 26,711 |
Series 2007-AR1, Class 2A3
5.83%, (TSFR1M+0.51%), 02/25/2037 | | 87,314 | 78,564 |
| Benchmark Mtg. Trust | | | |
Series 2019-B11, Class A2
3.41%, 05/15/2052 | | 801,421 | 782,604 |
| Benchmark Mtg. Trust VRS | | | |
Series 2018-B4, Class XA
0.61%, 07/15/2051(2)(4) | | 4,072,494 | 63,205 |
Series 2018-B1, Class XA
0.68%, 01/15/2051(2)(4) | | 1,877,549 | 34,045 |
Series 2018-B8, Class XA
0.78%, 01/15/2052(2)(4) | | 8,333,396 | 199,491 |
Series 2019-B12, Class XA
1.16%, 08/15/2052(2)(4) | | 1,948,300 | 69,328 |
Series 2019-B10, Class XA
1.36%, 03/15/2062(2)(4) | | 5,466,637 | 255,365 |
Series 2020-B22, Class XA
1.63%, 01/15/2054(2)(4) | | 2,159,323 | 174,397 |
Series 2020-B18, Class XA
1.91%, 07/15/2053(2)(4) | | 1,252,376 | 85,307 |
| BPR Trust FRS | | | |
Series 2022-STAR, Class A
8.56%, (TSFR1M+3.23%), 08/15/2024* | | 510,000 | 506,268 |
| BRAVO Residential Funding Trust VRS | | | |
Series 2021-NQM1, Class A1
0.94%, 02/25/2049*(2) | | 167,776 | 145,692 |
Series 2021-NQM2, Class A1
0.97%, 03/25/2060*(2) | | 134,625 | 123,074 |
| Bunker Hill Loan Depositary Trust | | | |
Series 2019-2, Class A1
2.88%, 07/25/2049*(3) | | 361,117 | 333,060 |
| BX Commercial Mtg. Trust FRS | | | |
Series 2019-IMC, Class A
6.38%, (TSFR1M+1.05%), 04/15/2034* | | 200,000 | 198,462 |
| BX Trust FRS | | | |
Series 2022-PSB, Class A
7.78%, (TSFR1M+2.45%), 08/15/2039* | | 468,624 | 468,495 |
| CAMB Commercial Mtg. Trust FRS | | | |
Series 2019-LIFE, Class F
7.93%, (TSFR3M+2.60%), 12/15/2037* | | 675,000 | 654,192 |
| CD Mtg. Trust VRS | | | |
Series 2016-CD2, Class A4
3.53%, 11/10/2049(2) | | 1,300,000 | 1,181,532 |
| Chase Mtg. Finance Corp. VRS | | | |
Series 2016-SH2, Class M2
3.75%, 12/25/2045*(2) | | 95,101 | 82,851 |
| Chase Mtg. Finance Trust | | | |
Series 2005-S3, Class A10
5.50%, 11/25/2035 | | 100,046 | 71,798 |
| Chase Mtg. Finance Trust VRS | | | |
Series 2005-A1, Class 2A2
4.03%, 12/25/2035(2) | | 54,448 | 50,181 |
| CHL Mtg. Pass Through Trust FRS | | | |
Series 2005-2, Class 2A3
6.11%, (TSFR3M+0.79%), 03/25/2035 | | 25,202 | 22,670 |
| CHL Mtg. Pass Through Trust VRS | | | |
Series 2005-HYB7, Class 6A1
3.91%, 11/20/2035(2) | | 13,266 | 11,832 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
Series 2007-HY4, Class 1A1
4.16%, 09/25/2047(2) | | $ 62,292 | $ 54,084 |
Series 2005-HYB3, Class 2A2A
4.45%, 06/20/2035(2) | | 23,339 | 21,417 |
| Citigroup Commercial Mtg. Trust | | | |
Series 2015-P1, Class A5
3.72%, 09/15/2048 | | 1,029,000 | 980,944 |
Series 2015-GC35, Class A4
3.82%, 11/10/2048 | | 1,235,000 | 1,164,021 |
| Citigroup Commercial Mtg. Trust VRS | | | |
Series 2014-GC23, Class XA
1.04%, 07/10/2047(2)(4) | | 2,837,548 | 13,077 |
Series 2015-GC29, Class XA
1.15%, 04/10/2048(2)(4) | | 2,694,439 | 31,513 |
| Citigroup Mtg. Loan Trust, Inc. VRS | | | |
Series 2018-RP3, Class A1
3.25%, 03/25/2061*(2) | | 371,497 | 349,809 |
| COLT Mtg. Loan Trust VRS | | | |
Series 2021-1, Class A1
0.91%, 06/25/2066*(2) | | 428,556 | 337,650 |
Series 2021-3, Class A1
0.96%, 09/27/2066*(2) | | 722,260 | 547,673 |
Series 2022-5, Class A1
4.55%, 04/25/2067*(2) | | 828,472 | 780,016 |
| Commercial Mtg. Trust | | | |
Series 2022-HC, Class A
2.82%, 01/10/2039* | | 186,000 | 157,449 |
Series 2013-300P, Class A1
4.35%, 08/10/2030* | | 845,000 | 771,046 |
| Commercial Mtg. Trust VRS | | | |
Series 2022-HC, Class D
4.08%, 01/10/2039*(2) | | 190,000 | 142,529 |
| CSAIL Commercial Mtg. Trust | | | |
Series 2019-C17, Class A2
3.00%, 09/15/2052 | | 225,000 | 217,511 |
Series 2015-C3, Class A3
3.45%, 08/15/2048 | | 641,439 | 614,374 |
Series 2015-C1, Class A4
3.51%, 04/15/2050 | | 1,448,000 | 1,390,816 |
| CSAIL Commercial Mtg. Trust VRS | | | |
Series 2015-C2, Class XA
0.85%, 06/15/2057(2)(4) | | 8,244,636 | 61,883 |
Series 2016-C6, Class XA
2.02%, 01/15/2049(2)(4) | | 1,697,657 | 59,369 |
| CSMC Trust VRS | | | |
Series 2021-NQM5, Class A1
0.94%, 05/25/2066*(2) | | 367,237 | 277,478 |
Series 2021-NQM2, Class A1
1.18%, 02/25/2066*(2) | | 521,931 | 431,919 |
Series 2021-RPL4, Class A1
1.80%, 12/27/2060*(2) | | 269,341 | 250,759 |
Series 2021-NQM8, Class A1
1.84%, 10/25/2066*(2) | | 443,700 | 359,816 |
Series 2017-FHA1, Class A1
3.25%, 04/25/2047*(2) | | 336,133 | 294,348 |
Series 2016-NXSR, Class A4
3.79%, 12/15/2049(2) | | 1,536,000 | 1,416,832 |
| DBJPM Mtg. Trust | | | |
Series 2016-C3, Class A5
2.89%, 08/10/2049 | | 1,625,000 | 1,478,023 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
| DBJPM Mtg. Trust VRS | | | |
Series 2020-C9, Class XA
1.82%, 09/15/2053(2)(4) | | $ 952,957 | $ 56,826 |
| Deephaven Residential Mtg. Trust VRS | | | |
Series 2021-2, Class A1
0.90%, 04/25/2066*(2) | | 172,223 | 146,946 |
| Deutsche Alt-A Securities Mtg. Loan Trust FRS | | | |
Series 2007-RMP1, Class A2
5.73%, (H15T1Y+0.41%), 12/25/2036 | | 70,495 | 63,257 |
Series 2007-AR2, Class A1
5.73%, (H15T1Y+0.41%), 03/25/2037 | | 7,796 | 6,849 |
| DSLA Mtg. Loan Trust FRS | | | |
Series 2006-AR1, Class 1A1A
5.55%, (TSFR3M+0.92%), 03/19/2046 | | 122,058 | 97,210 |
| Ellington Financial Mtg. Trust VRS | | | |
Series 2021-2, Class A1
0.93%, 06/25/2066*(2) | | 174,033 | 135,513 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities Trust FRS | | | |
Series 2023-R06, Class 1M2
8.01%, (SOFR30A+2.70%), 07/25/2043* | | 530,000 | 532,813 |
| GCAT Trust VRS | | | |
Series 2021-NQM2, Class A1
1.04%, 05/25/2066*(2) | | 361,637 | 286,519 |
| GMACM Mtg. Loan Trust VRS | | | |
Series 2006-AR1, Class 1A1
3.28%, 04/19/2036(2) | | 108,048 | 82,431 |
Series 2005-AR5, Class 4A1
4.01%, 09/19/2035(2) | | 12,581 | 10,648 |
| GreenPoint Mtg. Funding Trust FRS | | | |
Series 2005-AR4, Class 3A1
6.03%, (TSFR1M+1.40%), 10/25/2045 | | 98,577 | 74,347 |
| GS Mtg. Securities Corp. II | | | |
Series 2012-BWTR, Class A
2.95%, 11/05/2034* | | 1,285,000 | 940,962 |
Series 2005-ROCK, Class A
5.37%, 05/03/2032* | | 155,000 | 149,869 |
| GS Mtg. Securities Trust | | | |
Series 2016-GS2, Class A4
3.05%, 05/10/2049 | | 1,199,000 | 1,110,805 |
Series 2017-GS7, Class A4
3.43%, 08/10/2050 | | 1,255,000 | 1,127,858 |
Series 2015-GS1, Class A3
3.73%, 11/10/2048 | | 1,307,000 | 1,232,776 |
| GS Mtg. Securities Trust VRS | | | |
Series 2020-GC45, Class XA
0.78%, 02/13/2053(2)(4) | | 4,990,566 | 144,328 |
| GSR Mtg. Loan Trust FRS | | | |
Series 2007-1F, Class 4A1
5.73%, (TSFR1M+0.41%), 01/25/2037 | | 305,051 | 79,493 |
| GSR Mtg. Loan Trust VRS | | | |
Series 2006-AR1, Class 2A1
3.92%, 01/25/2036(2) | | 2,993 | 2,723 |
Series 2006-AR1, Class 2A4
3.92%, 01/25/2036(2) | | 38,751 | 34,989 |
Series 2005-AR5, Class 2A3
4.63%, 10/25/2035(2) | | 42,926 | 23,496 |
| HarborView Mtg. Loan Trust FRS | | | |
Series 2006-12, Class 2A2A
5.82%, (TSFR1M+0.49%), 01/19/2038 | | 5,319 | 4,606 |
Series 2006-12, Class 2A13
5.92%, (TSFR1M+0.59%), 12/19/2036 | | 120,533 | 111,374 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| IndyMac Index Mtg. Loan Trust FRS | | | |
Series 2005-AR14, Class 1A1A
5.99%, (TSFR3M+0.67%), 07/25/2035 | | $ 2,814 | $ 2,009 |
| IndyMac Index Mtg. Loan Trust VRS | | | |
Series 2007-AR9, Class 2A1
3.67%, 04/25/2037(2) | | 105,089 | 65,626 |
Series 2006-AR3, Class 1A1
3.73%, 12/25/2036(2) | | 94,254 | 79,957 |
| JPMBB Commercial Mtg. Securities Trust | | | |
Series 2014-C21, Class A5
3.77%, 08/15/2047 | | 290,000 | 284,001 |
| JPMDB Commercial Mtg. Securities Trust | | | |
Series 2016-C4, Class A3
3.14%, 12/15/2049 | | 1,110,000 | 1,004,677 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2020-NNN, Class AFX
2.81%, 01/16/2037* | | 305,000 | 277,477 |
Series 2017-JP5, Class A5
3.72%, 03/15/2050 | | 1,355,000 | 1,240,181 |
| JPMorgan Mtg. Trust VRS | | | |
Series 2006-A3, Class 3A2
3.93%, 05/25/2036(2) | | 36,633 | 29,533 |
| Legacy Mtg. Asset Trust | | | |
Series 2021-GS2, Class A1
1.75%, 04/25/2061*(3) | | 252,649 | 233,360 |
Series 2021-GS3, Class A1
1.75%, 07/25/2061*(3) | | 349,664 | 325,642 |
Series 2019-GS7, Class A1
6.25%, 11/25/2059*(3) | | 684,384 | 678,012 |
| Lehman XS Trust FRS | | | |
Series 2006-16N, Class A4A
5.81%, (TSFR3M+0.49%), 11/25/2046 | | 190,218 | 160,602 |
| LIFE Mtg. Trust FRS | | | |
Series 2021-BMR, Class D
6.85%, (TSFR3M+1.51%), 03/15/2038* | | 201,509 | 194,927 |
| LSTAR Securities Investment, Ltd. FRS | | | |
Series 2021-1, Class A
8.23%, (TSFR3M+2.91%), 02/01/2026* | | 418,272 | 413,756 |
| MASTR Adjustable Rate Mtg. Trust VRS | | | |
Series 2004-13, Class 3A7
5.39%, 11/21/2034(2) | | 22,412 | 20,840 |
| Merrill Lynch Mtg. Investors Trust VRS | | | |
Series 2005-A4, Class 1A
4.32%, 07/25/2035(2) | | 93,319 | 43,587 |
| MetLife Securitization Trust VRS | | | |
Series 2017-1A, Class A
3.00%, 04/25/2055*(2) | | 132,303 | 120,386 |
| MFA Trust VRS | | | |
Series 2020-NQM3, Class A1
1.01%, 01/26/2065*(2) | | 45,182 | 39,852 |
Series 2021-NQM2, Class A1
1.03%, 11/25/2064*(2) | | 263,902 | 214,634 |
Series 2021-NQM1, Class A1
1.15%, 04/25/2065*(2) | | 190,225 | 165,414 |
| Mill City Mtg. Loan Trust VRS | | | |
Series 2019-GS1, Class A1
2.75%, 07/25/2059*(2) | | 599,551 | 561,356 |
| Morgan Stanley Bank of America Merrill Lynch Trust | | | |
Series 2015-C20, Class A4
3.25%, 02/15/2048 | | 791,000 | 758,490 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
| Morgan Stanley Bank of America Merrill Lynch Trust VRS | | | |
Series 2014-C19, Class XA
1.10%, 12/15/2047(2)(4) | | $ 1,597,394 | $ 9,797 |
| Morgan Stanley Capital I Trust | | | |
Series 2016-BNK2, Class A4
3.05%, 11/15/2049 | | 1,475,000 | 1,334,421 |
| Morgan Stanley Capital I Trust VRS | | | |
Series 2017-H1, Class XA
1.48%, 06/15/2050(2)(4) | | 1,513,164 | 45,468 |
| New Residential Mtg. Loan Trust FRS | | | |
Series 2017-5A, Class A1
6.93%, (TSFR1M+1.61%), 06/25/2057* | | 311,537 | 309,509 |
| New Residential Mtg. Loan Trust VRS | | | |
Series 2021-NQ2R, Class A1
0.94%, 10/25/2058*(2) | | 164,184 | 144,670 |
Series 2019-NQM4, Class A1
2.49%, 09/25/2059*(2) | | 76,152 | 70,169 |
Series 2019-5A, Class A1B
3.50%, 08/25/2059*(2) | | 292,743 | 266,261 |
Series 2016-2A, Class A1
3.75%, 11/26/2035*(2) | | 323,532 | 298,527 |
Series 2016-4A, Class A1
3.75%, 11/25/2056*(2) | | 330,723 | 301,147 |
Series 2017-4A, Class A1
4.00%, 05/25/2057*(2) | | 341,025 | 310,329 |
Series 2018-5A, Class A1
4.75%, 12/25/2057*(2) | | 261,485 | 248,865 |
| NMLT Trust VRS | | | |
Series 2021-INV1, Class A1
1.19%, 05/25/2056*(2) | | 772,173 | 614,012 |
| Nomura Asset Acceptance Corp. Alternative Loan Trust VRS | | | |
Series 2006-AF1, Class 3A1
4.76%, 06/25/2036(2) | | 63,798 | 46,784 |
| OBX Trust VRS | | | |
Series 2021-NQM3, Class A1
1.05%, 07/25/2061*(2) | | 1,057,905 | 787,837 |
Series 2021-NQM1, Class A1
1.07%, 02/25/2066*(2) | | 498,041 | 403,512 |
Series 2021-NQM2, Class A1
1.10%, 05/25/2061*(2) | | 556,230 | 415,415 |
| One Bryant Park Trust | | | |
Series 2019-OBP, Class A
2.52%, 09/15/2054* | | 670,000 | 532,159 |
| PRPM LLC | | | |
Series 2021-5, Class A1
1.79%, 06/25/2026*(3) | | 478,510 | 441,351 |
Series 2021-3, Class A1
1.87%, 04/25/2026*(3) | | 293,397 | 275,243 |
Series 2021-4, Class A1
1.87%, 04/25/2026*(3) | | 456,310 | 419,392 |
Series 2020-6, Class A1
2.36%, 11/25/2025*(3) | | 119,297 | 115,848 |
Series 2021-9, Class A1
2.36%, 10/25/2026*(3) | | 796,428 | 742,209 |
| PRPM LLC VRS | | | |
Series 2021-2, Class A1
2.12%, 03/25/2026*(2) | | 168,724 | 161,829 |
| RALI Series Trust | | | |
Series 2005-QS17, Class A9
6.00%, 12/25/2035 | | 33,851 | 28,523 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| RALI Series Trust FRS | | | |
Series 2006-QA3, Class A2
6.03%, (TSFR1M+0.71%), 04/25/2036 | | $ 260,834 | $ 221,918 |
| RFMSI Series Trust VRS | | | |
Series 2007-SA2, Class 2A1
4.57%, 04/25/2037(2) | | 8,704 | 7,140 |
| SG Commercial Mtg. Securities Trust | | | |
Series 2020-COVE, Class A
2.63%, 03/15/2037* | | 1,225,000 | 1,138,270 |
| Shellpoint Co-Originator Trust VRS | | | |
Series 2017-2, Class A1
3.50%, 10/25/2047*(2) | | 24,440 | 20,981 |
| Stack Infrastructure Issuer LLC | | | |
Series 2023-2A, Class A2
5.90%, 07/25/2048* | | 630,000 | 604,916 |
| STAR Trust VRS | | | |
Series 2021-1, Class A1
1.22%, 05/25/2065*(2) | | 371,075 | 320,607 |
| Starwood Mtg. Residential Trust VRS | | | |
Series 2021-2, Class A1
0.94%, 05/25/2065*(2) | | 135,707 | 119,224 |
Series 2021-6, Class A1
1.92%, 11/25/2066*(2) | | 692,177 | 547,105 |
| Structured Adjustable Rate Mtg. Loan Trust FRS | | | |
Series 2004-13, Class A2
5.73%, (12MTA+0.41%), 09/25/2034 | | 12,323 | 10,552 |
| Structured Asset Mtg. Investments II Trust FRS | | | |
Series 2006-AR1, Class 3A1
5.89%, (TSFR1M+0.57%), 02/25/2036 | | 44,674 | 34,304 |
| Toorak Mtg. Corp., Ltd. | | | |
Series 2021-1, Class A1
2.24%, 06/25/2024*(3) | | 488,277 | 474,777 |
| Towd Point Mtg. Trust | | | |
Series 2023-1, Class A1
3.75%, 01/25/2063* | | 482,076 | 440,800 |
| Towd Point Mtg. Trust VRS | | | |
Series 2021-R1, Class A1
2.92%, 11/30/2060*(2) | | 1,097,040 | 865,158 |
| Verus Securitization Trust VRS | | | |
Series 2021-R2, Class A1
0.92%, 02/25/2064*(2) | | 234,396 | 198,804 |
Series 2021-4, Class A1
0.94%, 07/25/2066*(2) | | 318,300 | 240,031 |
Series 2021-2, Class A1
1.03%, 02/25/2066*(2) | | 204,728 | 170,612 |
Series 2021-8, Class A1
1.82%, 11/25/2066*(2) | | 478,638 | 393,964 |
Series 2021-7, Class A1
1.83%, 10/25/2066*(2) | | 969,500 | 807,709 |
| WaMu Mtg. Pass-Through Certs. Trust VRS | | | |
Series 2007-HY6, Class 1A1
3.78%, 06/25/2037(2) | | 70,629 | 60,322 |
| Washington Mutual Mtg. Pass-Through Certs. Trust FRS | | | |
Series 2006-AR17, Class 1A
4.27%, (12MTA+0.82%), 12/25/2046 | | 178,797 | 148,206 |
Series 2006-AR9, Class 1A
5.46%, (12MTA+0.83%), 11/25/2046 | | 73,738 | 59,390 |
Series 2006-AR13, Class 1A
5.51%, (12MTA+0.88%), 10/25/2046 | | 87,164 | 71,432 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2006-5, Class 1A1
6.00%, (TSFR1M+0.71%), 07/25/2036 | | $ 39,408 | $ 25,883 |
Series 2006-AR15, Class 2A
6.13%, (12MTA+1.50%), 11/25/2046 | | 37,348 | 31,981 |
| Wells Fargo Commercial Mtg. Trust | | | |
Series 2017-C39, Class A5
3.42%, 09/15/2050 | | 1,365,000 | 1,238,799 |
| Wells Fargo Commercial Mtg. Trust VRS | | | |
Series 2015-NXS3, Class XA
1.02%, 09/15/2057(2)(4) | | 5,151,431 | 71,269 |
Series 2015-NXS1, Class XA
1.20%, 05/15/2048(2)(4) | | 2,431,026 | 24,420 |
Series 2015-NXS1, Class D
4.28%, 05/15/2048(2) | | 75,000 | 62,247 |
| Wells Fargo Mtg. Backed Securities Trust VRS | | | |
Series 2006-AR16, Class A1
6.24%, 10/25/2036(2) | | 21,789 | 19,652 |
| | | | 53,985,885 |
| U.S. Government Agency — 1.5% |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | | | |
Series K064, Class X1
0.73%, 03/25/2027(2)(4) | | 4,711,507 | 81,266 |
Series K124, Class X1
0.81%, 12/25/2030(2)(4) | | 3,476,156 | 139,806 |
Series K122, Class X1
0.97%, 11/25/2030(2)(4) | | 883,961 | 41,671 |
Series K121, Class X1
1.12%, 10/25/2030(2)(4) | | 1,612,613 | 86,674 |
Series K114, Class X1
1.21%, 06/25/2030(2)(4) | | 2,883,144 | 168,607 |
Series K104, Class X1
1.25%, 01/25/2030(2)(4) | | 2,456,373 | 133,514 |
Series K111, Class X1
1.68%, 05/25/2030(2)(4) | | 1,116,903 | 89,146 |
| Federal Home Loan Mtg. Corp. REMIC | | | |
Series 5055, Class DG
1.50%, 12/25/2050 | | 762,147 | 601,941 |
Series 4216, Class KQ
1.70%, 10/15/2039 | | 73,068 | 70,972 |
Series 4961, Class JB
2.50%, 12/15/2042 | | 345,998 | 300,738 |
Series 3883, Class PB
3.00%, 05/15/2041 | | 108,451 | 99,479 |
Series 4740, Class BA
3.00%, 09/15/2045 | | 49,479 | 46,581 |
| Federal Home Loan Mtg. Corp. SCRT | | | |
Series 2020-1, Class MA
2.50%, 08/25/2059 | | 300,075 | 264,862 |
Series 2019-3, Class MV
3.50%, 10/25/2058 | | 210,811 | 184,487 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Debt Notes FRS | | | |
Series 2023-DNA2, Class M1B
8.56%, (SOFR30A+3.25%), 04/25/2043* | | 285,000 | 293,949 |
Series 2022-HQA2, Class M1B
9.31%, (SOFR30A+4.00%), 07/25/2042* | | 335,000 | 348,192 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2021-DNA5, Class M2
6.96%, (TSFR1M+1.65%), 01/25/2034* | | 87,189 | 87,107 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
Series 2022-DNA3, Class M1B
8.21%, (SOFR30A+2.90%), 04/25/2042* | | $ 310,000 | $ 316,655 |
Series 2022-DNA4, Class M1B
8.66%, (SOFR30A+3.35%), 05/25/2042* | | 440,000 | 456,043 |
Series 2022-HQA1, Class M1B
8.81%, (TSFR3M+3.50%), 03/25/2042* | | 100,000 | 103,335 |
Series 2023-HQA1, Class M1B
8.81%, (SOFR30A+3.50%), 05/25/2043* | | 840,000 | 862,038 |
Series 2022-HQA3, Class M1B
8.86%, (TSFR1M+3.55%), 08/25/2042* | | 135,000 | 139,522 |
Series 2022-DNA6, Class M1B
9.01%, (SOFR30A+3.70%), 09/25/2042* | | 370,000 | 387,690 |
Series 2022-DNA5, Class M1B
9.81%, (SOFR30A+4.50%), 06/25/2042* | | 535,000 | 574,187 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 939 | 939 |
Series 2019-HRP1, Class M2
7.58%, (SOFR30A+2.26%), 11/25/2039* | | 106,048 | 106,047 |
Series 2022-R08, Class 1M1
7.86%, (TSFR1M+2.55%), 07/25/2042* | | 136,963 | 139,477 |
Series 2023-R05, Class 1M2
8.41%, (SOFR30A+3.1%), 06/25/2043* | | 275,000 | 281,748 |
Series 2016-C07, Class 2M2
9.78%, (SOFR30A+4.46%), 05/25/2029 | | 306,426 | 322,591 |
| Federal National Mtg. Assoc. REMIC | | | |
Series 2013-77, Class BP
1.70%, 06/25/2043 | | 89,213 | 85,033 |
Series 2012-21, Class PQ
2.00%, 09/25/2041 | | 66,309 | 59,008 |
Series 2012-18, Class GA
2.00%, 12/25/2041 | | 115,457 | 101,393 |
Series 2015-48, Class QB
3.00%, 02/25/2043 | | 135,118 | 126,657 |
Series 2017-16, Class PB
3.00%, 03/25/2047 | | 515,000 | 414,963 |
Series 2018-27, Class EA
3.00%, 05/25/2048 | | 274,920 | 235,522 |
Series 2018-35, Class CD
3.00%, 05/25/2048 | | 172,938 | 145,548 |
Series 2019-45, Class PT
3.00%, 08/25/2049 | | 230,804 | 200,082 |
Series 2012-52, Class PA
3.50%, 05/25/2042 | | 94,797 | 87,963 |
Series 2012-120, Class ZB
3.50%, 11/25/2042 | | 842,099 | 745,360 |
Series 2018-23, Class LA
3.50%, 04/25/2048 | | 235,946 | 214,996 |
Series 2022-90, Class AY
4.50%, 12/25/2041 | | 1,215,000 | 1,123,743 |
| Government National Mtg. Assoc. REMIC | | | |
Series 2015-56, Class LB
1.50%, 04/16/2040 | | 22,317 | 22,139 |
Series 2015-151, Class BA
1.70%, 10/20/2045 | | 3,998 | 3,982 |
| | | | 10,295,653 |
Total Collateralized Mortgage Obligations
(cost $72,868,159) | | | 64,281,538 |
| Security Description | | Shares or
Principal
Amount | Value |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 69.0% |
| U.S. Government — 38.5% |
| United States Treasury Bonds | | | |
| 1.13%, 05/15/2040 | | $ 2,018,000 | $ 1,158,301 |
| 1.25%, 05/15/2050 | | 8,004,000 | 3,776,262 |
| 1.38%, 11/15/2040(5) | | 2,440,000 | 1,444,080 |
| 1.38%, 08/15/2050 | | 3,951,000 | 1,927,965 |
| 1.75%, 08/15/2041 | | 1,854,000 | 1,154,550 |
| 1.88%, 02/15/2041 to 11/15/2051 | | 1,383,000 | 888,285 |
| 2.00%, 08/15/2051 | | 3,145,000 | 1,814,763 |
| 2.25%, 08/15/2046 to 08/15/2049 | | 4,112,000 | 2,579,214 |
| 2.38%, 02/15/2042 to 05/15/2051 | | 13,403,000 | 8,616,249 |
| 2.50%, 02/15/2045 to 05/15/2046 | | 1,923,000 | 1,293,959 |
| 2.50%, 02/15/2046(6) | | 5,853,000 | 3,927,912 |
| 2.75%, 11/15/2042 to 08/15/2047 | | 981,000 | 698,019 |
| 2.88%, 05/15/2043 to 05/15/2049 | | 5,915,000 | 4,267,271 |
| 3.00%, 05/15/2042 to 08/15/2052 | | 21,299,000 | 15,618,043 |
| 3.13%, 02/15/2043 to 05/15/2048 | | 5,509,000 | 4,212,452 |
| 3.38%, 05/15/2044 to 11/15/2048 | | 2,057,000 | 1,625,226 |
| 3.63%, 08/15/2043 to 05/15/2053 | | 7,654,000 | 6,365,872 |
| 3.88%, 05/15/2043 | | 231,000 | 200,826 |
| 4.00%, 11/15/2042(6) | | 2,650,000 | 2,352,082 |
| 4.38%, 11/15/2039 to 05/15/2040 | | 2,035,000 | 1,933,717 |
| 4.50%, 02/15/2036 | | 4,599,000 | 4,585,886 |
| 4.75%, 02/15/2041 | | 493,000 | 487,589 |
| 5.25%, 11/15/2028 to 02/15/2029 | | 5,086,000 | 5,223,486 |
| 5.38%, 02/15/2031 | | 1,289,000 | 1,351,285 |
| 6.13%, 11/15/2027 | | 544,000 | 573,176 |
| 6.38%, 08/15/2027 | | 1,217,000 | 1,287,120 |
| United States Treasury Bonds TIPS | | | |
| 0.13%, 02/15/2052(7) | | 1,373,673 | 753,776 |
| 0.25%, 02/15/2050(7) | | 4,208,848 | 2,476,109 |
| United States Treasury Notes | | | |
| 0.25%, 06/30/2025 to 09/30/2025 | | 14,380,000 | 13,148,931 |
| 0.38%, 09/15/2024 to 09/30/2027 | | 16,685,000 | 14,835,504 |
| 0.50%, 02/28/2026 to 10/31/2027 | | 15,428,000 | 13,315,488 |
| 0.63%, 07/31/2026 to 08/15/2030 | | 21,631,000 | 18,118,001 |
| 0.75%, 05/31/2026 to 01/31/2028 | | 9,681,000 | 8,478,530 |
| 0.88%, 11/15/2030 | | 910,000 | 707,952 |
| 1.13%, 02/29/2028 to 02/15/2031 | | 8,212,000 | 6,745,008 |
| 1.25%, 05/31/2028 to 08/15/2031 | | 12,614,000 | 10,353,891 |
| 1.38%, 11/15/2031 | | 3,786,000 | 2,967,573 |
| 1.50%, 08/15/2026 to 02/15/2030 | | 4,472,000 | 4,067,245 |
| 1.63%, 02/15/2026 to 05/15/2031 | | 17,483,000 | 15,264,080 |
| 1.88%, 08/31/2024 to 02/28/2027 | | 2,031,000 | 1,894,866 |
| 2.00%, 02/15/2025 to 11/15/2026 | | 12,647,000 | 11,925,983 |
| 2.13%, 09/30/2024 to 05/15/2025 | | 6,995,000 | 6,693,216 |
| 2.25%, 10/31/2024 to 11/15/2027 | | 17,803,000 | 16,813,037 |
| 2.38%, 05/15/2027 | | 1,145,000 | 1,055,905 |
| 2.63%, 03/31/2025 to 02/15/2029 | | 7,167,000 | 6,782,688 |
| 2.75%, 07/31/2027 to 08/15/2032 | | 8,212,000 | 7,282,184 |
| 2.88%, 07/31/2025 to 05/15/2032 | | 8,961,000 | 8,227,125 |
| 3.00%, 07/31/2024 to 07/15/2025 | | 1,400,000 | 1,360,324 |
| 3.63%, 05/31/2028 | | 3,565,000 | 3,416,830 |
| 4.13%, 11/15/2032 | | 2,943,000 | 2,838,386 |
| United States Treasury Notes TIPS | | | |
| 0.25%, 07/15/2029(7) | | 5,228,081 | 4,657,332 |
| 0.75%, 07/15/2028(7) | | 3,123,478 | 2,906,298 |
| | | | 266,449,852 |
| U.S. Government Agency — 30.5% |
| Federal Home Loan Mtg. Corp. | | | |
| 1.50%, 04/01/2037 | | 1,012,933 | 843,934 |
| 2.00%, 02/01/2036 to 08/01/2052 | | 6,849,025 | 5,346,770 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
| 2.50%, 01/01/2028 to 09/01/2051 | | $ 1,092,274 | $ 923,756 |
| 3.00%, 08/01/2027 to 08/01/2046 | | 1,631,001 | 1,394,405 |
| 3.50%, 01/01/2032 to 02/01/2052 | | 2,330,774 | 2,055,583 |
| 4.00%, 09/01/2040 to 01/01/2050 | | 948,312 | 862,507 |
| 4.50%, 07/01/2045 to 06/01/2052 | | 1,123,369 | 1,034,766 |
| 5.00%, 09/01/2031 to 01/01/2053 | | 4,245,164 | 4,013,673 |
| 5.50%, 01/01/2036 to 01/01/2053 | | 624,314 | 605,667 |
| 6.00%, 03/01/2040 to 01/01/2053 | | 304,207 | 300,791 |
| 6.25%, 07/15/2032 | | 206,000 | 227,919 |
| 6.75%, 03/15/2031 | | 100,000 | 112,074 |
| Federal Home Loan Mtg. Corp. FRS | | | |
| 4.74%, (RFUCCT6M+1.49%), 02/01/2037 | | 6,202 | 6,188 |
| Federal National Mtg. Assoc. | | | |
| 1.50%, 12/01/2050 | | 1,466,953 | 1,055,497 |
| 1.88%, 09/24/2026 | | 837,000 | 768,639 |
| 2.00%, 07/01/2035 to 05/01/2052 | | 28,845,152 | 22,141,947 |
| 2.50%, 04/01/2028 to 04/01/2052 | | 10,895,187 | 8,847,899 |
| 2.63%, 09/06/2024 | | 2,025,000 | 1,972,476 |
| 3.00%, 10/01/2027 to 07/01/2052 | | 5,830,025 | 4,959,461 |
| 3.50%, 08/01/2026 to 08/01/2049 | | 3,120,233 | 2,745,949 |
| 4.00%, 03/01/2039 to 03/01/2049 | | 2,206,306 | 2,007,269 |
| 4.50%, 10/01/2024 to 12/01/2048 | | 863,651 | 808,287 |
| 5.00%, 05/01/2040 to 01/01/2053 | | 4,021,988 | 3,799,783 |
| 5.50%, 12/01/2029 to 04/01/2053 | | 604,265 | 587,209 |
| 6.00%, 11/01/2038 to 09/01/2053 | | 1,011,160 | 999,112 |
| 6.50%, 10/01/2037 to 10/01/2053 | | 400,309 | 402,241 |
| 6.63%, 11/15/2030 | | 871,000 | 964,149 |
| 7.25%, 05/15/2030 | | 2,260,000 | 2,570,388 |
| Federal National Mtg. Assoc. FRS | | | |
| 4.11%, (TSFR1M+1.77%), 05/01/2040 | | 45,235 | 46,015 |
| 4.24%, (TSFR1M+1.83%), 10/01/2040 | | 29,335 | 29,873 |
| 4.85%, (RFUCCT1Y+1.57%), 05/01/2037 | | 7,948 | 8,034 |
| 5.52%, (TSFR1M+2.21%), 10/01/2035 | | 50,467 | 51,138 |
| 5.56%, (TSFR1M+2.27%), 11/01/2036 | | 20,634 | 20,985 |
| 6.06%, (RFUCCT1Y+1.82%), 10/01/2040 | | 9,306 | 9,515 |
| Government National Mtg. Assoc. | | | |
| 2.00%, 11/20/2050 | | 1,371,401 | 1,089,922 |
| 2.00%, October 30 TBA | | 4,500,000 | 3,556,934 |
| 2.50%, 07/20/2051 to 09/20/2051 | | 2,699,266 | 2,207,732 |
| 3.00%, 02/20/2045 to 03/20/2052 | | 1,106,683 | 946,766 |
| 3.00%, October 30 TBA | | 20,300,000 | 17,202,664 |
| 3.50%, 03/20/2045 to 07/20/2045 | | 128,529 | 114,540 |
| 3.50%, October 30 TBA | | 14,300,000 | 12,524,789 |
| 4.00%, 03/15/2039 to 10/20/2052 | | 1,546,827 | 1,405,217 |
| 4.50%, 09/15/2033 to 04/20/2047 | | 299,815 | 285,053 |
| 4.50%, October 30 TBA | | 6,800,000 | 6,281,766 |
| 5.00%, 06/15/2033 to 08/15/2038 | | 196,725 | 190,759 |
| 5.50%, 02/15/2032 to 05/20/2053 | | 1,119,514 | 1,087,456 |
| 6.00%, 04/15/2028 to 12/15/2036 | | 433,694 | 433,290 |
| 6.50%, 09/15/2028 to 12/15/2031 | | 5,128 | 5,160 |
| 7.50%, 09/15/2030 | | 6,089 | 6,080 |
| Tennessee Valley Authority | | | |
| 4.25%, 09/15/2065 | | 577,000 | 457,532 |
| Uniform Mtg. Backed Securities | | | |
| 2.00%, October 30 TBA | | 24,600,000 | 18,709,453 |
| 2.50%, October 30 TBA | | 7,600,000 | 6,031,597 |
| 3.00%, October 30 TBA | | 16,000,000 | 13,228,125 |
| 3.50%, October 30 TBA | | 19,100,000 | 16,424,508 |
| 4.00%, October 30 TBA | | 10,300,000 | 9,169,414 |
| 4.50%, October 30 TBA | | 7,495,000 | 6,881,347 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
| 5.50%, October 30 TBA | | $12,135,000 | $ 11,726,866 |
| 6.00%, October 30 TBA | | 9,300,000 | 9,177,937 |
| | | | 211,668,806 |
Total U.S. Government & Agency Obligations
(cost $538,283,219) | | | 478,118,658 |
| FOREIGN GOVERNMENT OBLIGATIONS — 1.4% |
| Banks — 0.1% |
| Bank Gospodarstwa Krajowego | | | |
| 5.38%, 05/22/2033* | | 200,000 | 188,500 |
| Development Bank of Japan, Inc. | | | |
| 1.75%, 02/18/2025* | | 268,000 | 254,013 |
| Industrial Bank of Korea | | | |
| 1.04%, 06/22/2025* | | 341,000 | 314,808 |
| | | | 757,321 |
| Regional(State/Province) — 0.0% |
| Province of British Columbia Canada | | | |
| 4.20%, 07/06/2033 | | 151,000 | 141,398 |
| Sovereign — 1.3% |
| Federative Republic of Brazil | | | |
| 10.00%, 01/01/2031 | BRL | 10,630,000 | 2,020,173 |
| Government of Bermuda | | | |
| 2.38%, 08/20/2030* | | 200,000 | 160,600 |
| 5.00%, 07/15/2032* | | 200,000 | 186,347 |
| Government of Hungary | | | |
| 1.63%, 04/28/2032 | EUR | 1,240,000 | 970,345 |
| Government of Macedonia | | | |
| 2.75%, 01/18/2025 | EUR | 410,000 | 414,933 |
| 3.68%, 06/03/2026* | EUR | 480,000 | 476,397 |
| Government of Romania | | | |
| 2.63%, 12/02/2040* | EUR | 645,000 | 399,836 |
| 2.75%, 04/14/2041 | EUR | 1,475,000 | 912,989 |
| 3.38%, 02/08/2038 | EUR | 255,000 | 189,165 |
| Kingdom of Saudi Arabia | | | |
| 2.00%, 07/09/2039 | EUR | 110,000 | 81,191 |
| 5.00%, 01/18/2053* | | 250,000 | 207,500 |
| Republic of Angola | | | |
| 8.00%, 11/26/2029 | | 325,000 | 267,048 |
| Republic of Benin | | | |
| 4.95%, 01/22/2035* | EUR | 585,000 | 423,790 |
| Republic of Chile | | | |
| 1.25%, 01/22/2051 | EUR | 255,000 | 130,077 |
| Republic of Costa Rica | | | |
| 6.55%, 04/03/2034* | | 245,000 | 238,071 |
| Republic of Hungary | | | |
| 6.75%, 09/25/2052* | | 200,000 | 189,580 |
| Republic of Indonesia | | | |
| 1.10%, 03/12/2033 | EUR | 1,075,000 | 817,480 |
| Republic of Philippines | | | |
| 1.20%, 04/28/2033 | EUR | 740,000 | 582,862 |
| 1.75%, 04/28/2041 | EUR | 300,000 | 199,890 |
| | | | 8,868,274 |
Total Foreign Government Obligations
(cost $13,017,828) | | | 9,766,993 |
| MUNICIPAL SECURITIES — 0.5% |
Chicago Board of Education
General Obligation Bonds | | | |
| 6.04%, 12/01/2029 | | 85,000 | 81,933 |
| 6.14%, 12/01/2039 | | 335,000 | 300,101 |
| 6.32%, 11/01/2029 | | 355,000 | 344,292 |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| MUNICIPAL SECURITIES (continued) |
Chicago Transit Authority
Revenue Bonds | | | | |
| 3.91%, 12/01/2040 | | $ 160,000 | | $ 129,326 |
Florida State Board of Administration Finance Corp.
Revenue Bonds | | | | |
| 1.26%, 07/01/2025 | | 925,000 | | 858,696 |
Philadelphia Authority for Industrial Development
Revenue Bonds | | | | |
| 6.55%, 10/15/2028 | | 1,260,000 | | 1,300,928 |
Texas Natural Gas Securitization Finance Corp.
Series 2023-1, Class A1 | | | | |
| 5.10%, 04/01/2035 | | 525,000 | | 514,846 |
Total Municipal Securities
(cost $3,859,540) | | | | 3,530,122 |
| ESCROWS AND LITIGATION TRUSTS — 0.0% |
Paragon Offshore Finance Co.
†(8)
(cost $587) | | 587 | | 0 |
Total Long-Term Investment Securities
(cost $914,307,240) | | | | 815,597,323 |
| SHORT-TERM INVESTMENTS — 0.1% |
| Unaffiliated Investment Companies — 0.1% |
State Street Institutional Liquid Reserves Fund, Premier Class
5.45%(9)
(cost $498,127) | | 498,027 | | 498,127 |
| REPURCHASE AGREEMENTS — 0.6% |
| Bank of America Securities LLC Joint Repurchase Agreement(10) | | 845,000 | | 845,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(10) | | 930,000 | | 930,000 |
| BNP Paribas SA Joint Repurchase Agreement(10) | | 915,000 | | 915,000 |
| Deutsche Bank AG Joint Repurchase Agreement(10) | | 845,000 | | 845,000 |
| RBS Securities, Inc. Joint Repurchase Agreement(10) | | 845,000 | | 845,000 |
Total Repurchase Agreements
(cost $4,380,000) | | | | 4,380,000 |
TOTAL INVESTMENTS
(cost $919,185,367)(11) | | 118.3% | | 820,475,450 |
| Other assets less liabilities | | (18.3) | | (127,147,436) |
| NET ASSETS | | 100.0% | | $ 693,328,014 |
| * | 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 SA Multi-Managed Diversified Fixed Income Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $129,206,064 representing 18.6% of net assets. |
| † | Non-income producing security |
| (1) | Perpetual maturity - maturity date reflects the next call date. |
| (2) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (3) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (4) | Interest Only |
| (5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts. |
| (6) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (7) | Principal amount of security is adjusted for inflation. |
| (8) | Securities classified as Level 3 (see Note 2). |
| (9) | The rate shown is the 7-day yield as of September 30, 2023. |
| (10) | See Note 2 for details of Joint Repurchase Agreements. |
| (11) | See Note 4 for cost of investments on a tax basis. |
| 3 ML—3 Month USD LIBOR |
| CLO—Collateralized Loan Obligation |
| DAC—Designated Activity Company |
| FRS—Floating Rate Security |
| H15T1Y—US Treasury Yield Curve Rate Note Constant Maturity 1 Year |
| REMIC—Real Estate Mortgage Investment Conduit |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
| RFUCCT6M—Refinitiv USD IBOR Consumer Cash Fallbacks Term 6 Month |
| SCRT—Structured Credit Risk Transfer |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
| 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 |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| VRS—Variable Rate Security |
| BRL—Brazilian Real |
| EUR—Euro Currency |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Interest Rate Swaps |
Counterparty (OTC)/
Centrally cleared | Notional
amount | Currency | Payments
made | Payments
received | Fixed
payment
frequency | Floating
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value |
| Centrally Cleared | 830,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 9,512 | | $ 150,701 | | $ 160,213 |
| Centrally Cleared | 2,225,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 3,690 | | 391,975 | | 395,665 |
| Centrally Cleared | 1,380,000 | USD | Fixed 3.250 | 12-Month SOFR | Annual | Annual | Jun 2053 | (14,972) | | 194,601 | | 179,629 |
| Centrally Cleared | 2,165,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 9,294 | | 145,899 | | 155,193 |
| | | | | | | | | $ 7,524 | | $883,176 | | $890,700 |
| Credit Default Swaps - Buyer(1) | |
Counterparty (OTC)/
Centrally cleared | Reference
obligation | Notional
amount(2) | Currency | USD
notional
amount(2) | | Pay
fixed
rate | Fixed
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value(3) | |
| Centrally Cleared | Federative Republic of Brazil | $1,720,000 | USD | $ 1,720,000 | | 1.000% | Quarterly | Jun 2027 | $ 70,647 | | $ (52,821) | | $ 17,826 | |
| Centrally Cleared | Federative Republic of Brazil | 1,710,000 | USD | 1,710,000 | | 1.000 | Quarterly | Jun 2028 | 82,133 | | (33,232) | | 48,901 | |
| | | | | $3,430,000 | | | | | $152,780 | | $(86,053) | | $66,727 | |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| SOFR—Secured Overnight Financing Rate |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
Appreciation |
| 29 | Short | Canada 10 Year Bonds | December 2023 | $ 2,523,865 | $ 2,458,141 | $ 65,724 |
| 24 | Short | Euro Buxl 30 Year Bonds | December 2023 | 3,315,826 | 3,104,762 | 211,064 |
| 39 | Short | Euro-BTP | December 2023 | 4,693,150 | 4,524,470 | 168,680 |
| 7 | Short | Euro-BUND | December 2023 | 971,830 | 952,033 | 19,797 |
| 177 | Short | U.S. Treasury 5 Year Notes | December 2023 | 18,783,141 | 18,648,610 | 134,531 |
| 128 | Short | U.S. Treasury Ultra 10 Year Notes | December 2023 | 14,703,309 | 14,280,000 | 423,309 |
| 70 | Short | U.S. Treasury Ultra Bonds | December 2023 | 8,950,734 | 8,308,125 | 642,609 |
| | | | | | | $1,665,714 |
| | | | | | | Unrealized
(Depreciation) |
| 164 | Long | Canada 5 Year Bonds | December 2023 | $13,191,035 | $13,037,894 | $ (153,141) |
| 15 | Long | Long Gilt | December 2023 | 1,732,590 | 1,723,269 | (9,321) |
| 9 | Long | U.S. Treasury 10 Year Notes | December 2023 | 976,500 | 972,563 | (3,937) |
| 137 | Long | U.S. Treasury 2 Year Notes | December 2023 | 27,832,847 | 27,771,398 | (61,449) |
| 36 | Long | U.S. Treasury Long Bonds | December 2023 | 4,326,992 | 4,096,125 | (230,867) |
| | | | | | | $ (458,715) |
| | | Net Unrealized Appreciation (Depreciation) | | $1,206,999 |
| * | 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. |
Seasons Series Trust SA Multi-Managed Diversified Fixed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Forward Foreign Currency Contracts |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| Bank of Montreal | EUR | 191,000 | USD | 205,787 | 12/20/2023 | $ 3,112 | | $— |
| Deutsche Bank AG | EUR | 6,458,000 | USD | 6,946,977 | 12/20/2023 | 94,224 | | — |
| Goldman Sachs International | BRL | 10,095,000 | USD | 2,012,857 | 12/20/2023 | 23,817 | | — |
| JPMorgan Chase Bank, N.A. | EUR | 213,000 | USD | 229,136 | 12/20/2023 | 3,116 | | — |
| Morgan Stanley & Co. International PLC | EUR | 108,000 | USD | 116,195 | 12/20/2023 | 1,593 | | — |
| Unrealized Appreciation (Depreciation) | | | | | | $125,862 | | $— |
| BRL—Brazilian Real |
| EUR—Euro Currency |
| USD—United States Dollar |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Corporate Bonds & Notes | $ — | | $213,813,540 | | $— | | $213,813,540 |
| Asset Backed Securities | — | | 46,086,472 | | — | | 46,086,472 |
| Collateralized Mortgage Obligations | — | | 64,281,538 | | — | | 64,281,538 |
| U.S. Government & Agency Obligations | — | | 478,118,658 | | — | | 478,118,658 |
| Foreign Government Obligations | — | | 9,766,993 | | — | | 9,766,993 |
| Municipal Securities | — | | 3,530,122 | | — | | 3,530,122 |
| Escrows and Litigation Trusts | — | | — | | 0 | | 0 |
| Short-Term Investments | 498,127 | | — | | — | | 498,127 |
| Repurchase Agreements | — | | 4,380,000 | | — | | 4,380,000 |
| Total Investments at Value | $ 498,127 | | $819,977,323 | | $ 0 | | $820,475,450 |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 883,176 | | $— | | $ 883,176 |
| Futures Contracts | 1,665,714 | | — | | — | | 1,665,714 |
| Forward Foreign Currency Contracts | — | | 125,862 | | — | | 125,862 |
| Total Other Financial Instruments | $1,665,714 | | $ 1,009,038 | | $— | | $ 2,674,752 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 86,053 | | $— | | $ 86,053 |
| Futures Contracts | 458,715 | | — | | — | | 458,715 |
| Total Other Financial Instruments | $ 458,715 | | $ 86,053 | | $— | | $ 544,768 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Internet | 20.3% |
| Software | 17.0 |
| U.S. Government & Agency Obligations | 13.9 |
| Biotechnology | 5.5 |
| Commercial Services | 5.0 |
| Collateralized Mortgage Obligations | 4.6 |
| Advertising | 3.7 |
| Banks | 3.3 |
| Auto Manufacturers | 2.6 |
| Retail | 2.1 |
| Diversified Financial Services | 2.0 |
| Electric | 1.6 |
| REITS | 1.5 |
| Oil & Gas | 1.5 |
| Other Asset Backed Securities | 1.1 |
| Healthcare-Products | 1.0 |
| Semiconductors | 0.9 |
| Repurchase Agreements | 0.7 |
| Auto Loan Receivables | 0.6 |
| Insurance | 0.6 |
| Media | 0.6 |
| Pharmaceuticals | 0.6 |
| Healthcare-Services | 0.6 |
| Computers | 0.6 |
| Engineering & Construction | 0.5 |
| Municipal Securities | 0.5 |
| Home Builders | 0.5 |
| Telecommunications | 0.4 |
| Chemicals | 0.4 |
| Pipelines | 0.4 |
| Electronics | 0.4 |
| Distribution/Wholesale | 0.4 |
| Building Materials | 0.4 |
| Transportation | 0.4 |
| Gas | 0.3 |
| Oil & Gas Services | 0.3 |
| Foreign Government Obligations | 0.3 |
| Entertainment | 0.3 |
| Food | 0.3 |
| Home Furnishings | 0.3 |
| Agriculture | 0.3 |
| Apparel | 0.2 |
| Environmental Control | 0.2 |
| Auto Parts & Equipment | 0.2 |
| Cosmetics/Personal Care | 0.2 |
| Lodging | 0.2 |
| Purchased Options | 0.2 |
| Savings & Loans | 0.2 |
| Electrical Components & Equipment | 0.2 |
| Home Equity | 0.2 |
| Coal | 0.2 |
| Iron/Steel | 0.1 |
| Mining | 0.1 |
| Machinery-Diversified | 0.1 |
| Packaging & Containers | 0.1 |
| Trucking & Leasing | 0.1 |
| Metal Fabricate/Hardware | 0.1 |
| Miscellaneous Manufacturing | 0.1 |
| Aerospace/Defense | 0.1 |
| Leisure Time | 0.1 |
| Household Products/Wares | 0.1 |
| Machinery-Construction & Mining | 0.1 |
| Beverages | 0.1 |
| Airlines | 0.1 |
| Investment Companies | 0.1 |
| Hand/Machine Tools | 0.1 |
| | |
| Energy-Alternate Sources | 0.1% |
| Water | 0.1 |
| Office/Business Equipment | 0.1 |
| | 102.1% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 70.6% |
| Advertising — 3.7% |
| Trade Desk, Inc., Class A† | | 15,991 | $ 1,249,697 |
| Aerospace/Defense — 0.0% |
| Joby Aviation, Inc.† | | 1,280 | 8,256 |
| Agriculture — 0.1% |
| Andersons, Inc. | | 276 | 14,217 |
| Darling Ingredients, Inc.† | | 200 | 10,440 |
| Vital Farms, Inc.† | | 339 | 3,925 |
| | | | 28,582 |
| Airlines — 0.1% |
| Alaska Air Group, Inc.† | | 158 | 5,859 |
| SkyWest, Inc.† | | 480 | 20,131 |
| | | | 25,990 |
| Apparel — 0.1% |
| Crocs, Inc.† | | 433 | 38,204 |
| Steven Madden, Ltd. | | 361 | 11,469 |
| | | | 49,673 |
| Auto Manufacturers — 2.6% |
| Tesla, Inc.† | | 3,450 | 863,259 |
| Auto Parts & Equipment — 0.2% |
| Adient PLC† | | 702 | 25,764 |
| American Axle & Manufacturing Holdings, Inc.† | | 3,078 | 22,346 |
| Lear Corp. | | 52 | 6,979 |
| Visteon Corp.† | | 90 | 12,426 |
| XPEL, Inc.† | | 130 | 10,024 |
| | | | 77,539 |
| Banks — 1.5% |
| Ameris Bancorp | | 453 | 17,391 |
| Bancorp, Inc.† | | 244 | 8,418 |
| Bank of N.T. Butterfield & Son, Ltd. | | 756 | 20,472 |
| Banner Corp. | | 274 | 11,612 |
| Business First Bancshares, Inc. | | 90 | 1,688 |
| Byline Bancorp, Inc. | | 555 | 10,939 |
| Capital City Bank Group, Inc. | | 267 | 7,965 |
| Central Pacific Financial Corp. | | 152 | 2,535 |
| Coastal Financial Corp.† | | 99 | 4,248 |
| Columbia Banking System, Inc. | | 195 | 3,959 |
| ConnectOne Bancorp, Inc. | | 1,638 | 29,206 |
| Customers Bancorp, Inc.† | | 1,137 | 39,170 |
| CVB Financial Corp. | | 857 | 14,201 |
| Dime Community Bancshares, Inc. | | 107 | 2,136 |
| Eastern Bankshares, Inc. | | 1,111 | 13,932 |
| Enterprise Financial Services Corp. | | 392 | 14,700 |
| Financial Institutions, Inc. | | 40 | 673 |
| First BanCorp/Puerto Rico | | 3,067 | 41,282 |
| First Bancshares, Inc. | | 93 | 2,508 |
| First Citizens BancShares, Inc., Class A | | 13 | 17,941 |
| First Commonwealth Financial Corp. | | 287 | 3,504 |
| First Financial Corp. | | 99 | 3,347 |
| First Merchants Corp. | | 409 | 11,378 |
| First Mid Bancshares, Inc. | | 129 | 3,426 |
| FNB Corp. | | 213 | 2,298 |
| Heritage Commerce Corp. | | 580 | 4,913 |
| Mercantile Bank Corp. | | 37 | 1,144 |
| Merchants Bancorp | | 578 | 16,022 |
| Mid Penn Bancorp, Inc. | | 38 | 765 |
| MidWestOne Financial Group, Inc. | | 60 | 1,220 |
| MVB Financial Corp. | | 17 | 384 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| OFG Bancorp | | 900 | $ 26,874 |
| Old National Bancorp | | 1,220 | 17,739 |
| Old Second Bancorp, Inc. | | 719 | 9,786 |
| Pathward Financial, Inc. | | 441 | 20,326 |
| Peapack-Gladstone Financial Corp. | | 164 | 4,207 |
| Peoples Bancorp, Inc. | | 61 | 1,548 |
| Pinnacle Financial Partners, Inc. | | 131 | 8,782 |
| Popular, Inc. | | 535 | 33,710 |
| Premier Financial Corp. | | 86 | 1,467 |
| QCR Holdings, Inc. | | 249 | 12,081 |
| South Plains Financial, Inc. | | 21 | 555 |
| Southside Bancshares, Inc. | | 91 | 2,612 |
| SouthState Corp. | | 224 | 15,089 |
| Towne Bank | | 53 | 1,215 |
| TriCo Bancshares | | 274 | 8,776 |
| Univest Financial Corp. | | 69 | 1,199 |
| Veritex Holdings, Inc. | | 473 | 8,490 |
| Wintrust Financial Corp. | | 346 | 26,123 |
| | | | 513,956 |
| Beverages — 0.1% |
| Coca-Cola Consolidated, Inc. | | 17 | 10,817 |
| Primo Water Corp. | | 1,255 | 17,319 |
| | | | 28,136 |
| Biotechnology — 5.4% |
| 2seventy bio, Inc.† | | 883 | 3,461 |
| ACADIA Pharmaceuticals, Inc.† | | 880 | 18,339 |
| Allogene Therapeutics, Inc.† | | 1,488 | 4,717 |
| Amicus Therapeutics, Inc.† | | 2,701 | 32,844 |
| Arrowhead Pharmaceuticals, Inc.† | | 284 | 7,631 |
| Atara Biotherapeutics, Inc.† | | 4,231 | 6,262 |
| Axsome Therapeutics, Inc.† | | 369 | 25,789 |
| Beam Therapeutics, Inc.† | | 169 | 4,064 |
| Biohaven, Ltd.† | | 40 | 1,040 |
| Bluebird Bio, Inc.† | | 92 | 280 |
| Blueprint Medicines Corp.† | | 151 | 7,583 |
| Bridgebio Pharma, Inc.† | | 159 | 4,193 |
| Dyne Therapeutics, Inc.† | | 925 | 8,288 |
| Esperion Therapeutics, Inc.† | | 5,027 | 4,926 |
| EyePoint Pharmaceuticals, Inc.† | | 1,890 | 15,101 |
| Fate Therapeutics, Inc.† | | 2,599 | 5,510 |
| Illumina, Inc.† | | 3,457 | 474,577 |
| Immunovant, Inc.† | | 1,063 | 40,809 |
| Inhibrx, Inc.† | | 945 | 17,341 |
| Insmed, Inc.† | | 343 | 8,661 |
| Intellia Therapeutics, Inc.† | | 288 | 9,107 |
| Kymera Therapeutics, Inc.† | | 447 | 6,213 |
| MeiraGTx Holdings PLC† | | 1,072 | 5,264 |
| NGM Biopharmaceuticals, Inc.† | | 2,852 | 3,052 |
| OmniAb, Inc. (Earnout Shares 12.50)†(1) | | 56 | 0 |
| OmniAb, Inc. (Earnout Shares 15.00)†(1) | | 56 | 0 |
| Ovid therapeutics, Inc.† | | 4,893 | 18,789 |
| Point Biopharma Global, Inc.† | | 1,707 | 11,386 |
| Prothena Corp. PLC† | | 327 | 15,778 |
| PTC Therapeutics, Inc.† | | 276 | 6,185 |
| Recursion Pharmaceuticals, Inc., Class A† | | 821 | 6,281 |
| Relay Therapeutics, Inc.† | | 1,043 | 8,772 |
| Replimune Group, Inc.† | | 726 | 12,422 |
| REVOLUTION Medicines, Inc.† | | 989 | 27,375 |
| Royalty Pharma PLC, Class A | | 32,660 | 886,392 |
| Sage Therapeutics, Inc.† | | 351 | 7,224 |
| Sana Biotechnology, Inc.† | | 8 | 31 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Biotechnology (continued) |
| SpringWorks Therapeutics, Inc.† | | 660 | $ 15,259 |
| Sutro Biopharma, Inc.† | | 79 | 274 |
| Syndax Pharmaceuticals, Inc.† | | 851 | 12,356 |
| Travere Therapeutics, Inc.† | | 1,028 | 9,190 |
| Twist Bioscience Corp.† | | 324 | 6,564 |
| Tyra Biosciences, Inc.† | | 1,214 | 16,717 |
| Vericel Corp.† | | 236 | 7,911 |
| Viking Therapeutics, Inc.† | | 1,360 | 15,055 |
| Xencor, Inc.† | | 1,286 | 25,913 |
| | | | 1,824,926 |
| Building Materials — 0.3% |
| Apogee Enterprises, Inc. | | 134 | 6,309 |
| Boise Cascade Co. | | 156 | 16,074 |
| Gibraltar Industries, Inc.† | | 136 | 9,181 |
| JELD-WEN Holding, Inc.† | | 253 | 3,380 |
| Louisiana-Pacific Corp. | | 98 | 5,417 |
| Summit Materials, Inc., Class A† | | 91 | 2,834 |
| UFP Industries, Inc. | | 453 | 46,387 |
| | | | 89,582 |
| Chemicals — 0.3% |
| AdvanSix, Inc. | | 210 | 6,527 |
| Avient Corp. | | 326 | 11,514 |
| Cabot Corp. | | 311 | 21,543 |
| Ecovyst, Inc.† | | 188 | 1,850 |
| H.B. Fuller Co. | | 216 | 14,820 |
| Ingevity Corp.† | | 211 | 10,046 |
| Livent Corp.† | | 206 | 3,792 |
| Minerals Technologies, Inc. | | 78 | 4,271 |
| Orion SA | | 1,563 | 33,261 |
| Tronox Holdings PLC | | 719 | 9,663 |
| | | | 117,287 |
| Coal — 0.2% |
| Alpha Metallurgical Resources, Inc. | | 99 | 25,713 |
| Arch Resources, Inc. | | 90 | 15,359 |
| CONSOL Energy, Inc. | | 39 | 4,092 |
| Peabody Energy Corp. | | 113 | 2,937 |
| SunCoke Energy, Inc. | | 260 | 2,639 |
| | | | 50,740 |
| Commercial Services — 4.7% |
| Aaron's Co., Inc. | | 461 | 4,827 |
| ABM Industries, Inc. | | 1,136 | 45,451 |
| Adyen NV*† | | 981 | 731,925 |
| AMN Healthcare Services, Inc.† | | 110 | 9,370 |
| API Group Corp.† | | 1,368 | 35,472 |
| Block, Inc.† | | 1,942 | 85,953 |
| Brink's Co. | | 216 | 15,690 |
| CBIZ, Inc.† | | 413 | 21,435 |
| Cross Country Healthcare, Inc.† | | 429 | 10,635 |
| EVERTEC, Inc. | | 639 | 23,758 |
| Flywire Corp.† | | 811 | 25,863 |
| Heidrick & Struggles International, Inc. | | 294 | 7,356 |
| Herc Holdings, Inc. | | 140 | 16,652 |
| Information Services Group, Inc. | | 3,779 | 16,552 |
| John Wiley & Sons, Inc., Class A | | 240 | 8,921 |
| Kforce, Inc. | | 254 | 15,154 |
| LiveRamp Holdings, Inc.† | | 971 | 28,004 |
| Medifast, Inc. | | 205 | 15,344 |
| PROG Holdings, Inc.† | | 514 | 17,070 |
| Progyny, Inc.† | | 1,051 | 35,755 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial Services (continued) |
| Remitly Global, Inc.† | | 264 | $ 6,658 |
| Repay Holdings Corp.† | | 1,938 | 14,709 |
| Riot Platforms, Inc.† | | 1,199 | 11,187 |
| Toast, Inc., Class A† | | 14,808 | 277,354 |
| TriNet Group, Inc.† | | 402 | 46,825 |
| TrueBlue, Inc.† | | 638 | 9,359 |
| Upbound Group, Inc. | | 819 | 24,119 |
| V2X, Inc.† | | 460 | 23,763 |
| | | | 1,585,161 |
| Computers — 0.5% |
| CACI International, Inc., Class A† | | 89 | 27,940 |
| Insight Enterprises, Inc.† | | 14 | 2,037 |
| Integral Ad Science Holding Corp.† | | 450 | 5,350 |
| KBR, Inc. | | 368 | 21,690 |
| Qualys, Inc.† | | 187 | 28,527 |
| Rapid7, Inc.† | | 476 | 21,791 |
| Super Micro Computer, Inc.† | | 132 | 36,197 |
| Unisys Corp.† | | 3,711 | 12,803 |
| | | | 156,335 |
| Cosmetics/Personal Care — 0.2% |
| e.l.f. Beauty, Inc.† | | 435 | 47,776 |
| Edgewell Personal Care Co. | | 597 | 22,065 |
| | | | 69,841 |
| Distribution/Wholesale — 0.4% |
| MRC Global, Inc.† | | 1,365 | 13,991 |
| Resideo Technologies, Inc.† | | 328 | 5,183 |
| Rush Enterprises, Inc., Class A | | 828 | 33,807 |
| ScanSource, Inc.† | | 220 | 6,668 |
| Titan Machinery, Inc.† | | 236 | 6,273 |
| Veritiv Corp. | | 124 | 20,944 |
| WESCO International, Inc. | | 282 | 40,557 |
| | | | 127,423 |
| Diversified Financial Services — 1.6% |
| AssetMark Financial Holdings, Inc.† | | 297 | 7,449 |
| Avantax, Inc.† | | 370 | 9,465 |
| Enova International, Inc.† | | 706 | 35,914 |
| Federated Hermes, Inc. | | 316 | 10,703 |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | 40 | 848 |
| Intercontinental Exchange, Inc. | | 2,762 | 303,875 |
| International Money Express, Inc.† | | 1,124 | 19,029 |
| Mr. Cooper Group, Inc.† | | 766 | 41,027 |
| PennyMac Financial Services, Inc. | | 120 | 7,992 |
| Piper Sandler Cos. | | 96 | 13,950 |
| PJT Partners, Inc., Class A | | 159 | 12,631 |
| Radian Group, Inc. | | 947 | 23,779 |
| Stifel Financial Corp. | | 47 | 2,888 |
| StoneX Group, Inc.† | | 109 | 10,564 |
| Victory Capital Holdings, Inc., Class A | | 915 | 30,506 |
| Virtus Investment Partners, Inc. | | 52 | 10,503 |
| | | | 541,123 |
| Electric — 0.3% |
| Clearway Energy, Inc., Class A | | 173 | 3,446 |
| Clearway Energy, Inc., Class C | | 649 | 13,733 |
| IDACORP, Inc. | | 153 | 14,328 |
| MGE Energy, Inc. | | 276 | 18,909 |
| Northwestern Energy Group, Inc. | | 154 | 7,401 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Electric (continued) |
| Portland General Electric Co. | | 544 | $ 22,021 |
| Unitil Corp. | | 353 | 15,077 |
| | | | 94,915 |
| Electrical Components & Equipment — 0.2% |
| Belden, Inc. | | 215 | 20,758 |
| Encore Wire Corp. | | 195 | 35,580 |
| | | | 56,338 |
| Electronics — 0.4% |
| Allient, Inc. | | 317 | 9,801 |
| Atkore, Inc.† | | 390 | 58,184 |
| Benchmark Electronics, Inc. | | 485 | 11,766 |
| NEXTracker, Inc., Class A† | | 217 | 8,715 |
| OSI Systems, Inc.† | | 318 | 37,537 |
| | | | 126,003 |
| Energy-Alternate Sources — 0.1% |
| Green Plains, Inc.† | | 287 | 8,639 |
| REX American Resources Corp.† | | 143 | 5,823 |
| Sunnova Energy International, Inc.† | | 312 | 3,266 |
| | | | 17,728 |
| Engineering & Construction — 0.5% |
| Comfort Systems USA, Inc. | | 315 | 53,679 |
| IES Holdings, Inc.† | | 114 | 7,509 |
| MasTec, Inc.† | | 294 | 21,159 |
| MYR Group, Inc.† | | 377 | 50,805 |
| Primoris Services Corp. | | 472 | 15,449 |
| Sterling Infrastructure, Inc.† | | 430 | 31,596 |
| | | | 180,197 |
| Entertainment — 0.2% |
| Everi Holdings, Inc.† | | 928 | 12,268 |
| Lions Gate Entertainment Corp., Class A† | | 927 | 7,861 |
| Marriott Vacations Worldwide Corp. | | 168 | 16,906 |
| SeaWorld Entertainment, Inc.† | | 787 | 36,399 |
| | | | 73,434 |
| Environmental Control — 0.1% |
| Heritage-Crystal Clean, Inc.† | | 376 | 17,052 |
| Tetra Tech, Inc. | | 216 | 32,838 |
| | | | 49,890 |
| Food — 0.2% |
| Hostess Brands, Inc.† | | 969 | 32,277 |
| John B. Sanfilippo & Son, Inc. | | 166 | 16,401 |
| SpartanNash Co. | | 357 | 7,854 |
| United Natural Foods, Inc.† | | 1,213 | 17,152 |
| | | | 73,684 |
| Gas — 0.1% |
| Chesapeake Utilities Corp. | | 125 | 12,219 |
| New Jersey Resources Corp. | | 273 | 11,092 |
| Northwest Natural Holding Co. | | 208 | 7,937 |
| ONE Gas, Inc. | | 220 | 15,022 |
| | | | 46,270 |
| Hand/Machine Tools — 0.0% |
| Luxfer Holdings PLC | | 162 | 2,114 |
| Healthcare-Products — 0.9% |
| Adaptive Biotechnologies Corp.† | | 109 | 594 |
| Alphatec Holdings, Inc.† | | 739 | 9,585 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Healthcare-Products (continued) |
| AngioDynamics, Inc.† | | 1,105 | $ 8,078 |
| AtriCure, Inc.† | | 724 | 31,711 |
| Axonics, Inc.† | | 128 | 7,183 |
| Inari Medical, Inc.† | | 203 | 13,276 |
| Inmode, Ltd.† | | 383 | 11,666 |
| Inspire Medical Systems, Inc.† | | 88 | 17,463 |
| Intuitive Surgical, Inc.† | | 365 | 106,686 |
| Lantheus Holdings, Inc.† | | 542 | 37,658 |
| Merit Medical Systems, Inc.† | | 315 | 21,741 |
| Natera, Inc.† | | 161 | 7,124 |
| OmniAb, Inc.† | | 594 | 3,083 |
| Omnicell, Inc.† | | 174 | 7,837 |
| Quanterix Corp.† | | 205 | 5,564 |
| Shockwave Medical, Inc.† | | 77 | 15,331 |
| SI-BONE, Inc.† | | 469 | 9,962 |
| Treace Medical Concepts, Inc.† | | 375 | 4,916 |
| | | | 319,458 |
| Healthcare-Services — 0.4% |
| Fulgent Genetics, Inc.† | | 234 | 6,257 |
| HealthEquity, Inc.† | | 511 | 37,329 |
| Medpace Holdings, Inc.† | | 145 | 35,109 |
| National HealthCare Corp. | | 316 | 20,218 |
| OPKO Health, Inc.† | | 3,560 | 5,696 |
| Surgery Partners, Inc.† | | 176 | 5,148 |
| Tenet Healthcare Corp.† | | 160 | 10,542 |
| | | | 120,299 |
| Home Builders — 0.4% |
| Forestar Group, Inc.† | | 285 | 7,678 |
| Landsea Homes Corp.† | | 1,322 | 11,885 |
| LGI Homes, Inc.† | | 104 | 10,347 |
| Meritage Homes Corp. | | 221 | 27,048 |
| Skyline Champion Corp.† | | 114 | 7,264 |
| Taylor Morrison Home Corp.† | | 1,213 | 51,686 |
| Tri Pointe Homes, Inc.† | | 642 | 17,559 |
| | | | 133,467 |
| Home Furnishings — 0.3% |
| MillerKnoll, Inc. | | 1,359 | 33,227 |
| Sonos, Inc.† | | 3,448 | 44,514 |
| Xperi, Inc.† | | 1,142 | 11,260 |
| | | | 89,001 |
| Household Products/Wares — 0.1% |
| Central Garden & Pet Co., Class A† | | 808 | 32,393 |
| Insurance — 0.4% |
| American Equity Investment Life Holding Co.† | | 227 | 12,176 |
| BRP Group, Inc., Class A† | | 240 | 5,575 |
| Essent Group, Ltd. | | 634 | 29,982 |
| Jackson Financial, Inc., Class A | | 594 | 22,703 |
| James River Group Holdings, Ltd. | | 253 | 3,884 |
| Kinsale Capital Group, Inc. | | 9 | 3,727 |
| NMI Holdings, Inc., Class A† | | 485 | 13,139 |
| Palomar Holdings, Inc.† | | 271 | 13,753 |
| RLI Corp. | | 172 | 23,373 |
| Skyward Specialty Insurance Group, Inc.† | | 183 | 5,007 |
| | | | 133,319 |
| Internet — 20.1% |
| Airbnb, Inc., Class A† | | 6,603 | 905,998 |
| Amazon.com, Inc.† | | 5,252 | 667,634 |
| Blade Air Mobility, Inc.† | | 1,774 | 4,595 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Internet (continued) |
| Cars.com, Inc.† | | 345 | $ 5,817 |
| Chewy, Inc., Class A† | | 14,756 | 269,444 |
| DoorDash, Inc., Class A† | | 13,538 | 1,075,865 |
| Magnite, Inc.† | | 631 | 4,758 |
| MercadoLibre, Inc.† | | 543 | 688,459 |
| Meta Platforms, Inc., Class A† | | 2,093 | 628,339 |
| Open Lending Corp.† | | 285 | 2,086 |
| OptimizeRx Corp.† | | 357 | 2,777 |
| Perficient, Inc.† | | 159 | 9,200 |
| Q2 Holdings, Inc.† | | 227 | 7,325 |
| QuinStreet, Inc.† | | 550 | 4,933 |
| Shopify, Inc., Class A† | | 21,494 | 1,172,928 |
| Shutterstock, Inc. | | 332 | 12,633 |
| Squarespace, Inc., Class A† | | 412 | 11,936 |
| Uber Technologies, Inc.† | | 28,288 | 1,300,965 |
| Yelp, Inc.† | | 584 | 24,288 |
| | | | 6,799,980 |
| Iron/Steel — 0.1% |
| ATI, Inc.† | | 103 | 4,238 |
| Commercial Metals Co. | | 857 | 42,344 |
| Schnitzer Steel Industries, Inc., Class A | | 136 | 3,788 |
| | | | 50,370 |
| Leisure Time — 0.1% |
| Acushnet Holdings Corp. | | 472 | 25,035 |
| Lodging — 0.2% |
| Bluegreen Vacations Holding Corp. | | 715 | 26,226 |
| Boyd Gaming Corp. | | 361 | 21,960 |
| Hilton Grand Vacations, Inc.† | | 394 | 16,036 |
| | | | 64,222 |
| Machinery-Construction & Mining — 0.1% |
| Argan, Inc. | | 427 | 19,437 |
| Bloom Energy Corp., Class A† | | 300 | 3,978 |
| Terex Corp. | | 82 | 4,725 |
| | | | 28,140 |
| Machinery-Diversified — 0.1% |
| Albany International Corp., Class A | | 33 | 2,847 |
| Watts Water Technologies, Inc., Class A | | 235 | 40,613 |
| | | | 43,460 |
| Media — 0.1% |
| Gray Television, Inc. | | 479 | 3,315 |
| Liberty Latin America, Ltd., Class C† | | 2,044 | 16,679 |
| Thryv Holdings, Inc.† | | 496 | 9,310 |
| | | | 29,304 |
| Metal Fabricate/Hardware — 0.1% |
| Mueller Industries, Inc. | | 445 | 33,446 |
| Olympic Steel, Inc. | | 44 | 2,474 |
| Ryerson Holding Corp. | | 157 | 4,567 |
| | | | 40,487 |
| Mining — 0.0% |
| Constellium SE† | | 729 | 13,268 |
| Miscellaneous Manufacturing — 0.1% |
| Fabrinet † | | 235 | 39,156 |
| Oil & Gas — 1.0% |
| California Resources Corp. | | 193 | 10,810 |
| Chord Energy Corp. | | 125 | 20,259 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| Civitas Resources, Inc. | | 93 | $ 7,521 |
| CNX Resources Corp.† | | 306 | 6,909 |
| CVR Energy, Inc. | | 255 | �� 8,678 |
| Delek US Holdings, Inc. | | 428 | 12,159 |
| Gulfport Energy Corp.† | | 30 | 3,560 |
| Helmerich & Payne, Inc. | | 74 | 3,120 |
| Magnolia Oil & Gas Corp., Class A | | 276 | 6,323 |
| Matador Resources Co. | | 670 | 39,852 |
| Murphy Oil Corp. | | 751 | 34,058 |
| Noble Corp. PLC | | 528 | 26,743 |
| Northern Oil & Gas, Inc. | | 101 | 4,063 |
| Ovintiv, Inc. | | 508 | 24,166 |
| Patterson-UTI Energy, Inc. | | 2,099 | 29,050 |
| PBF Energy, Inc., Class A | | 295 | 15,791 |
| SM Energy Co. | | 1,082 | 42,901 |
| Valaris, Ltd.† | | 95 | 7,123 |
| Weatherford International PLC† | | 248 | 22,402 |
| | | | 325,488 |
| Oil & Gas Services — 0.3% |
| ChampionX Corp. | | 775 | 27,606 |
| Liberty Energy, Inc. | | 1,629 | 30,169 |
| NOW, Inc.† | | 2,720 | 32,286 |
| Oceaneering International, Inc.† | | 590 | 15,175 |
| Oil States International, Inc.† | | 853 | 7,140 |
| Select Water Solutions, Inc. | | 673 | 5,350 |
| | | | 117,726 |
| Packaging & Containers — 0.0% |
| Greif, Inc., Class A | | 84 | 5,612 |
| O-I Glass, Inc.† | | 625 | 10,456 |
| | | | 16,068 |
| Pharmaceuticals — 0.5% |
| Acelyrin, Inc.† | | 1,496 | 15,214 |
| Aclaris Therapeutics, Inc.† | | 962 | 6,590 |
| Alector, Inc.† | | 1,188 | 7,698 |
| Alkermes PLC† | | 364 | 10,196 |
| Amneal Pharmaceuticals, Inc.† | | 1,569 | 6,621 |
| Arvinas, Inc.† | | 381 | 7,483 |
| BellRing Brands, Inc.† | | 152 | 6,267 |
| Catalyst Pharmaceuticals, Inc.† | | 682 | 7,972 |
| Enanta Pharmaceuticals, Inc.† | | 318 | 3,552 |
| Herbalife, Ltd.† | | 1,268 | 17,739 |
| Kura Oncology, Inc.† | | 1,180 | 10,762 |
| Longboard Pharmaceuticals, Inc.† | | 1,639 | 9,113 |
| Madrigal Pharmaceuticals, Inc.† | | 108 | 15,772 |
| Option Care Health, Inc.† | | 926 | 29,956 |
| PMV Pharmaceuticals, Inc.† | | 892 | 5,477 |
| Protagonist Therapeutics, Inc.† | | 468 | 7,806 |
| USANA Health Sciences, Inc.† | | 270 | 15,825 |
| Y-mAbs Therapeutics, Inc.† | | 22 | 120 |
| | | | 184,163 |
| REITS — 1.2% |
| Agree Realty Corp. | | 764 | 42,203 |
| Apple Hospitality REIT, Inc. | | 1,628 | 24,974 |
| Armada Hoffler Properties, Inc. | | 152 | 1,557 |
| Brandywine Realty Trust | | 1,929 | 8,758 |
| BrightSpire Capital, Inc. | | 405 | 2,535 |
| Broadstone Net Lease, Inc. | | 486 | 6,950 |
| CareTrust REIT, Inc. | | 287 | 5,884 |
| Community Healthcare Trust, Inc. | | 153 | 4,544 |
| COPT Defense Properties | | 451 | 10,747 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| REITS (continued) |
| DiamondRock Hospitality Co. | | 619 | $ 4,971 |
| Dynex Capital, Inc. | | 126 | 1,504 |
| Equity Commonwealth | | 136 | 2,498 |
| Essential Properties Realty Trust, Inc. | | 424 | 9,171 |
| First Industrial Realty Trust, Inc. | | 118 | 5,616 |
| Global Medical REIT, Inc. | | 147 | 1,319 |
| Innovative Industrial Properties, Inc. | | 70 | 5,296 |
| Kite Realty Group Trust | | 741 | 15,872 |
| KKR Real Estate Finance Trust, Inc. | | 167 | 1,982 |
| Ladder Capital Corp. | | 647 | 6,638 |
| LXP Industrial Trust | | 757 | 6,737 |
| MFA Financial, Inc. | | 2,640 | 25,370 |
| National Storage Affiliates Trust | | 194 | 6,158 |
| PennyMac Mtg. Investment Trust | | 502 | 6,225 |
| Phillips Edison & Co., Inc. | | 594 | 19,923 |
| Physicians Realty Trust | | 1,422 | 17,334 |
| Piedmont Office Realty Trust, Inc., Class A | | 772 | 4,339 |
| Plymouth Industrial REIT, Inc. | | 611 | 12,801 |
| PotlatchDeltic Corp. | | 377 | 17,112 |
| Retail Opportunity Investments Corp. | | 856 | 10,597 |
| RLJ Lodging Trust | | 1,477 | 14,460 |
| RPT Realty | | 229 | 2,418 |
| Ryman Hospitality Properties, Inc. | | 326 | 27,149 |
| Sabra Health Care REIT, Inc. | | 685 | 9,549 |
| SITE Centers Corp. | | 922 | 11,368 |
| SL Green Realty Corp. | | 191 | 7,124 |
| STAG Industrial, Inc. | | 475 | 16,392 |
| Terreno Realty Corp. | | 179 | 10,167 |
| UMH Properties, Inc. | | 343 | 4,809 |
| Veris Residential, Inc. | �� | 231 | 3,812 |
| | | | 396,863 |
| Retail — 1.8% |
| Abercrombie & Fitch Co., Class A† | | 262 | 14,769 |
| Asbury Automotive Group, Inc.† | | 91 | 20,936 |
| Beacon Roofing Supply, Inc.† | | 696 | 53,710 |
| BJ's Wholesale Club Holdings, Inc.† | | 529 | 37,755 |
| Bloomin' Brands, Inc. | | 770 | 18,934 |
| BlueLinx Holdings, Inc.† | | 116 | 9,522 |
| Boot Barn Holdings, Inc.† | | 314 | 25,494 |
| Cava Group, Inc.† | | 605 | 18,531 |
| Dine Brands Global, Inc. | | 123 | 6,082 |
| FirstCash Holdings, Inc. | | 204 | 20,478 |
| Floor & Decor Holdings, Inc., Class A† | | 2,977 | 269,419 |
| GMS, Inc.† | | 693 | 44,331 |
| Group 1 Automotive, Inc. | | 31 | 8,330 |
| Kura Sushi USA, Inc., Class A† | | 82 | 5,422 |
| Lithia Motors, Inc. | | 27 | 7,974 |
| ODP Corp.† | | 423 | 19,522 |
| Signet Jewelers, Ltd. | | 382 | 27,431 |
| Wingstop, Inc. | | 78 | 14,028 |
| | | | 622,668 |
| Savings & Loans — 0.2% |
| Axos Financial, Inc.† | | 258 | 9,768 |
| Banc of California, Inc. | | 391 | 4,841 |
| HomeTrust Bancshares, Inc. | | 129 | 2,795 |
| OceanFirst Financial Corp. | | 2,082 | 30,126 |
| Washington Federal, Inc. | | 377 | 9,659 |
| | | | 57,189 |
| Semiconductors — 0.7% |
| ACM Research, Inc., Class A† | | 1,003 | 18,159 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Semiconductors (continued) |
| Ambarella, Inc.† | | 62 | $ 3,288 |
| Axcelis Technologies, Inc.† | | 252 | 41,089 |
| Cirrus Logic, Inc.† | | 86 | 6,361 |
| Cohu, Inc.† | | 512 | 17,633 |
| MACOM Technology Solutions Holdings, Inc.† | | 381 | 31,082 |
| MaxLinear, Inc.† | | 189 | 4,205 |
| Onto Innovation, Inc.† | | 89 | 11,349 |
| Power Integrations, Inc. | | 190 | 14,499 |
| Rambus, Inc.† | | 689 | 38,439 |
| Semtech Corp.† | | 786 | 20,240 |
| Silicon Laboratories, Inc.† | | 51 | 5,910 |
| SMART Global Holdings, Inc.† | | 701 | 17,069 |
| Ultra Clean Holdings, Inc.† | | 286 | 8,486 |
| Veeco Instruments, Inc.† | | 483 | 13,577 |
| | | | 251,386 |
| Software — 16.6% |
| Adeia, Inc. | | 843 | 9,003 |
| Asana, Inc., Class A† | | 837 | 15,325 |
| AvePoint, Inc.† | | 4,053 | 27,236 |
| Avid Technology, Inc.† | | 646 | 17,358 |
| Bill.com Holdings, Inc.† | | 6,931 | 752,499 |
| BlackLine, Inc.† | | 300 | 16,641 |
| Box, Inc., Class A† | | 1,305 | 31,594 |
| Braze, Inc.† | | 326 | 15,234 |
| C3.ai, Inc., Class A† | | 162 | 4,134 |
| Cloudflare, Inc., Class A† | | 20,548 | 1,295,346 |
| CommVault Systems, Inc.† | | 343 | 23,190 |
| Datadog, Inc., Class A† | | 5,083 | 463,010 |
| Donnelley Financial Solutions, Inc.† | | 713 | 40,128 |
| Duolingo, Inc.† | | 89 | 14,762 |
| Envestnet, Inc.† | | 254 | 11,184 |
| Health Catalyst, Inc.† | | 2,674 | 27,061 |
| MicroStrategy, Inc., Class A† | | 9 | 2,955 |
| Oddity Tech, Ltd., Class A† | | 184 | 5,216 |
| Olo, Inc., Class A† | | 1,927 | 11,678 |
| Outset Medical, Inc.† | | 732 | 7,964 |
| PDF Solutions, Inc.† | | 181 | 5,864 |
| ROBLOX Corp., Class A† | | 30,711 | 889,391 |
| Snowflake, Inc., Class A† | | 7,162 | 1,094,139 |
| Sprout Social, Inc., Class A† | | 190 | 9,477 |
| SPS Commerce, Inc.† | | 158 | 26,956 |
| Veeva Systems, Inc., Class A† | | 1,333 | 271,199 |
| Veradigm, Inc.† | | 983 | 12,917 |
| Workiva, Inc.† | | 331 | 33,544 |
| ZoomInfo Technologies, Inc.† | | 29,215 | 479,126 |
| Zuora, Inc., Class A† | | 518 | 4,268 |
| | | | 5,618,399 |
| Telecommunications — 0.2% |
| Aviat Networks, Inc.† | | 282 | 8,799 |
| Calix, Inc.† | | 503 | 23,058 |
| EchoStar Corp., Class A† | | 419 | 7,018 |
| Extreme Networks, Inc.† | | 319 | 7,723 |
| Gogo, Inc.† | | 340 | 4,056 |
| Iridium Communications, Inc. | | 137 | 6,232 |
| Ooma, Inc.† | | 917 | 11,930 |
| | | | 68,816 |
| Transportation — 0.4% |
| ArcBest Corp. | | 376 | 38,220 |
| Dorian LPG, Ltd. | | 268 | 7,700 |
| Eagle Bulk Shipping, Inc. | | 71 | 2,984 |
| Forward Air Corp. | | 64 | 4,399 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Transportation (continued) |
| Hub Group, Inc., Class A† | | 407 | $ 31,966 |
| Matson, Inc. | | 196 | 17,389 |
| Radiant Logistics, Inc.† | | 1,001 | 5,656 |
| Safe Bulkers, Inc. | | 827 | 2,679 |
| Teekay Tankers, Ltd., Class A | | 257 | 10,699 |
| | | | 121,692 |
| Water — 0.1% |
| American States Water Co. | | 221 | 17,388 |
Total Common Stocks
(cost $24,190,844) | | | 23,887,284 |
| CORPORATE BONDS & NOTES — 9.4% |
| Advertising — 0.0% |
| Lamar Media Corp. | | | |
| 4.88%, 01/15/2029 | | $ 15,000 | 13,575 |
| Aerospace/Defense — 0.1% |
| Boeing Co. | | | |
| 5.04%, 05/01/2027 | | 10,000 | 9,763 |
| 5.15%, 05/01/2030 | | 6,000 | 5,733 |
| Northrop Grumman Corp. | | | |
| 5.15%, 05/01/2040 | | 4,000 | 3,652 |
| RTX Corp. | | | |
| 5.15%, 02/27/2033 | | 10,000 | 9,470 |
| | | | 28,618 |
| Agriculture — 0.2% |
| BAT Capital Corp. | | | |
| 6.34%, 08/02/2030 | | 5,000 | 4,925 |
| Philip Morris International, Inc. | | | |
| 4.88%, 02/15/2028 | | 5,000 | 4,844 |
| 5.13%, 11/17/2027 to 02/15/2030 | | 35,000 | 33,970 |
| 5.38%, 02/15/2033 | | 5,000 | 4,739 |
| 5.63%, 11/17/2029 to 09/07/2033 | | 10,000 | 9,751 |
| | | | 58,229 |
| Apparel — 0.1% |
| Hanesbrands, Inc. | | | |
| 4.88%, 05/15/2026* | | 15,000 | 13,751 |
| William Carter Co. | | | |
| 5.63%, 03/15/2027* | | 30,000 | 28,853 |
| | | | 42,604 |
| Auto Manufacturers — 0.0% |
| Ford Motor Co. | | | |
| 3.25%, 02/12/2032 | | 10,000 | 7,707 |
| Banks — 1.8% |
| Bank of America Corp. | | | |
| 2.57%, 10/20/2032 | | 5,000 | 3,842 |
| 2.59%, 04/29/2031 | | 25,000 | 20,090 |
| 2.69%, 04/22/2032 | | 25,000 | 19,649 |
| 3.19%, 07/23/2030 | | 18,000 | 15,386 |
| 5.02%, 07/22/2033 | | 10,000 | 9,200 |
| 5.20%, 04/25/2029 | | 10,000 | 9,633 |
| 5.93%, 09/15/2027 | | 15,000 | 14,888 |
| Citigroup, Inc. | | | |
| 1.28%, 11/03/2025 | | 10,000 | 9,445 |
| Goldman Sachs Group, Inc. | | | |
| 2.62%, 04/22/2032 | | 30,000 | 23,432 |
| 3.81%, 04/23/2029 | | 25,000 | 22,701 |
| HSBC Holdings PLC | | | |
| 5.89%, 08/14/2027 | | 200,000 | 197,560 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| Huntington Bancshares, Inc. | | | |
| 4.44%, 08/04/2028 | | $ 20,000 | $ 18,474 |
| JPMorgan Chase & Co. | | | |
| 3.51%, 01/23/2029 | | 19,000 | 17,234 |
| 3.70%, 05/06/2030 | | 25,000 | 22,297 |
| 4.01%, 04/23/2029 | | 16,000 | 14,745 |
| 5.30%, 07/24/2029 | | 10,000 | 9,730 |
| M&T Bank Corp. | | | |
| 5.05%, 01/27/2034 | | 13,000 | 11,242 |
| Macquarie Group, Ltd. | | | |
| 5.11%, 08/09/2026* | | 20,000 | 19,717 |
| Morgan Stanley | | | |
| 1.79%, 02/13/2032 | | 5,000 | 3,703 |
| 2.24%, 07/21/2032 | | 15,000 | 11,305 |
| 2.48%, 01/21/2028 | | 15,000 | 13,374 |
| 4.21%, 04/20/2028 | | 10,000 | 9,403 |
| 4.43%, 01/23/2030 | | 5,000 | 4,626 |
| 5.16%, 04/20/2029 | | 10,000 | 9,621 |
| Wells Fargo & Co. | | | |
| 2.57%, 02/11/2031 | | 5,000 | 4,042 |
| 3.00%, 10/23/2026 | | 24,000 | 22,041 |
| 3.35%, 03/02/2033 | | 7,000 | 5,658 |
| 4.81%, 07/25/2028 | | 15,000 | 14,314 |
| 4.90%, 07/25/2033 | | 5,000 | 4,525 |
| 5.39%, 04/24/2034 | | 10,000 | 9,349 |
| 5.57%, 07/25/2029 | | 20,000 | 19,512 |
| | | | 590,738 |
| Biotechnology — 0.1% |
| Amgen, Inc. | | | |
| 5.25%, 03/02/2033 | | 15,000 | 14,339 |
| CSL Finance PLC | | | |
| 4.05%, 04/27/2029* | | 6,000 | 5,597 |
| Royalty Pharma PLC | | | |
| 2.15%, 09/02/2031 | | 15,000 | 11,225 |
| 3.30%, 09/02/2040 | | 5,000 | 3,274 |
| | | | 34,435 |
| Building Materials — 0.1% |
| Builders FirstSource, Inc. | | | |
| 5.00%, 03/01/2030* | | 20,000 | 17,832 |
| Standard Industries, Inc. | | | |
| 4.38%, 07/15/2030* | | 20,000 | 16,564 |
| | | | 34,396 |
| Chemicals — 0.1% |
| Celanese US Holdings LLC | | | |
| 6.05%, 03/15/2025 | | 5,000 | 4,982 |
| 6.17%, 07/15/2027 | | 10,000 | 9,861 |
| 6.33%, 07/15/2029 | | 5,000 | 4,901 |
| 6.55%, 11/15/2030 | | 5,000 | 4,893 |
| | | | 24,637 |
| Commercial Services — 0.3% |
| Gartner, Inc. | | | |
| 4.50%, 07/01/2028* | | 10,000 | 9,123 |
| Global Payments, Inc. | | | |
| 4.95%, 08/15/2027 | | 10,000 | 9,611 |
| Howard University | | | |
| 2.80%, 10/01/2030 | | 10,000 | 8,284 |
| 2.90%, 10/01/2031 | | 5,000 | 4,059 |
| Service Corp. International | | | |
| 3.38%, 08/15/2030 | | 25,000 | 20,150 |
| 5.13%, 06/01/2029 | | 15,000 | 13,868 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Commercial Services (continued) |
| United Rentals North America, Inc. | | | |
| 4.00%, 07/15/2030 | | $ 15,000 | $ 12,783 |
| 5.50%, 05/15/2027 | | 5,000 | 4,859 |
| | | | 82,737 |
| Computers — 0.1% |
| Booz Allen Hamilton, Inc. | | | |
| 3.88%, 09/01/2028* | | 30,000 | 26,877 |
| Cosmetics/Personal Care — 0.0% |
| Kenvue, Inc. | | | |
| 5.05%, 03/22/2053* | | 5,000 | 4,542 |
| Distribution/Wholesale — 0.0% |
| LKQ Corp. | | | |
| 5.75%, 06/15/2028* | | 5,000 | 4,885 |
| Diversified Financial Services — 0.4% |
| Capital One Financial Corp. | | | |
| 1.88%, 11/02/2027 | | 20,000 | 17,405 |
| 3.27%, 03/01/2030 | | 5,000 | 4,182 |
| 5.47%, 02/01/2029 | | 4,000 | 3,808 |
| 5.82%, 02/01/2034 | | 5,000 | 4,506 |
| 6.31%, 06/08/2029 | | 12,000 | 11,728 |
| GTP Acquisition Partners I LLC | | | |
| 3.48%, 06/15/2050* | | 45,000 | 43,057 |
| Intercontinental Exchange, Inc. | | | |
| 2.10%, 06/15/2030 | | 25,000 | 19,993 |
| 4.35%, 06/15/2029 | | 5,000 | 4,702 |
| Nasdaq, Inc. | | | |
| 5.35%, 06/28/2028 | | 5,000 | 4,909 |
| 5.55%, 02/15/2034 | | 7,000 | 6,681 |
| OneMain Finance Corp. | | | |
| 6.13%, 03/15/2024 | | 2,000 | 1,994 |
| Synchrony Financial | | | |
| 2.88%, 10/28/2031 | | 5,000 | 3,542 |
| 4.88%, 06/13/2025 | | 15,000 | 14,382 |
| 7.25%, 02/02/2033 | | 5,000 | 4,413 |
| | | | 145,302 |
| Electric — 1.3% |
| AES Corp. | | | |
| 3.30%, 07/15/2025* | | 10,000 | 9,472 |
| Alabama Power Co. | | | |
| 3.45%, 10/01/2049 | | 15,000 | 9,968 |
| 4.15%, 08/15/2044 | | 5,000 | 3,845 |
| Arizona Public Service Co. | | | |
| 5.55%, 08/01/2033 | | 5,000 | 4,847 |
| Berkshire Hathaway Energy Co. | | | |
| 1.65%, 05/15/2031 | | 4,000 | 2,994 |
| 4.60%, 05/01/2053 | | 5,000 | 3,905 |
| Cleco Corporate Holdings LLC | | | |
| 3.38%, 09/15/2029 | | 5,000 | 4,177 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.20%, 12/01/2051 | | 5,000 | 3,131 |
| Dominion Energy, Inc. | | | |
| 3.38%, 04/01/2030 | | 5,000 | 4,301 |
| 5.38%, 11/15/2032 | | 23,000 | 21,958 |
| Duke Energy Carolinas LLC | | | |
| 2.55%, 04/15/2031 | | 5,000 | 4,098 |
| Duke Energy Corp. | | | |
| 2.55%, 06/15/2031 | | 20,000 | 15,858 |
| 4.30%, 03/15/2028 | | 5,000 | 4,741 |
| 4.50%, 08/15/2032 | | 10,000 | 8,996 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| Duke Energy Indiana LLC | | | |
| 2.75%, 04/01/2050 | | $ 10,000 | $ 5,726 |
| Duke Energy Progress LLC | | | |
| 3.70%, 10/15/2046 | | 5,000 | 3,469 |
| 4.00%, 04/01/2052 | | 5,000 | 3,637 |
| 4.38%, 03/30/2044 | | 10,000 | 7,984 |
| Edison International | | | |
| 6.95%, 11/15/2029 | | 15,000 | 15,470 |
| Emera, Inc. | | | |
| 6.75%, 06/15/2076 | | 3,000 | 2,880 |
| Evergy, Inc. | | | |
| 2.45%, 09/15/2024 | | 5,000 | 4,830 |
| 2.90%, 09/15/2029 | | 6,000 | 5,125 |
| Eversource Energy | | | |
| 3.38%, 03/01/2032 | | 8,000 | 6,636 |
| 4.60%, 07/01/2027 | | 10,000 | 9,618 |
| 5.13%, 05/15/2033 | | 10,000 | 9,301 |
| Florida Power & Light Co. | | | |
| 5.10%, 04/01/2033 | | 5,000 | 4,837 |
| Georgia Power Co. | | | |
| 4.70%, 05/15/2032 | | 5,000 | 4,633 |
| IPALCO Enterprises, Inc. | | | |
| 3.70%, 09/01/2024 | | 4,000 | 3,907 |
| Kentucky Utilities Co. | | | |
| 5.45%, 04/15/2033 | | 5,000 | 4,885 |
| Monongahela Power Co. | | | |
| 5.85%, 02/15/2034* | | 5,000 | 4,908 |
| National Grid PLC | | | |
| 5.60%, 06/12/2028 | | 5,000 | 4,946 |
| National Rural Utilities Cooperative Finance Corp. | | | |
| 5.80%, 01/15/2033 | | 10,000 | 9,985 |
| Nextera Energy Capital Holdings, Inc. | | | |
| 2.25%, 06/01/2030 | | 5,000 | 4,003 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 4.63%, 07/15/2027 | | 18,000 | 17,349 |
| 5.00%, 02/28/2030 to 07/15/2032 | | 10,000 | 9,450 |
| NRG Energy, Inc. | | | |
| 2.45%, 12/02/2027* | | 5,000 | 4,238 |
| Oglethorpe Power Corp. | | | |
| 4.50%, 04/01/2047 | | 5,000 | 3,735 |
| Ohio Edison Co. | | | |
| 5.50%, 01/15/2033* | | 5,000 | 4,784 |
| Pacific Gas & Electric Co. | | | |
| 2.50%, 02/01/2031 | | 13,000 | 9,890 |
| 4.55%, 07/01/2030 | | 10,000 | 8,840 |
| 4.95%, 07/01/2050 | | 2,000 | 1,491 |
| 5.25%, 03/01/2052 | | 5,000 | 3,853 |
| 5.90%, 06/15/2032 | | 15,000 | 14,008 |
| 6.10%, 01/15/2029 | | 20,000 | 19,534 |
| 6.15%, 01/15/2033 | | 10,000 | 9,484 |
| 6.40%, 06/15/2033 | | 15,000 | 14,457 |
| 6.75%, 01/15/2053 | | 3,000 | 2,811 |
| PPL Capital Funding, Inc. | | | |
| 4.13%, 04/15/2030 | | 5,000 | 4,490 |
| Puget Energy, Inc. | | | |
| 2.38%, 06/15/2028 | | 5,000 | 4,277 |
| 3.65%, 05/15/2025 | | 2,000 | 1,917 |
| 4.10%, 06/15/2030 | | 7,000 | 6,099 |
| Sempra | | | |
| 3.70%, 04/01/2029 | | 4,000 | 3,604 |
| 5.40%, 08/01/2026 | | 5,000 | 4,947 |
| Southern California Edison Co. | | | |
| 2.85%, 08/01/2029 | | 4,000 | 3,450 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Electric (continued) |
| 5.30%, 03/01/2028 | | $ 5,000 | $ 4,935 |
| 5.85%, 11/01/2027 | | 5,000 | 5,027 |
| Southern Co. | | | |
| 3.25%, 07/01/2026 | | 10,000 | 9,377 |
| 5.20%, 06/15/2033 | | 5,000 | 4,726 |
| 5.70%, 03/15/2034 | | 5,000 | 4,897 |
| Southwestern Electric Power Co. | | | |
| 5.30%, 04/01/2033 | | 20,000 | 18,885 |
| Virginia Electric & Power Co. | | | |
| 5.00%, 04/01/2033 | | 5,000 | 4,687 |
| Xcel Energy, Inc. | | | |
| 1.75%, 03/15/2027 | | 20,000 | 17,602 |
| 4.60%, 06/01/2032 | | 3,000 | 2,722 |
| | | | 444,637 |
| Electronics — 0.0% |
| Sensata Technologies BV | | | |
| 5.00%, 10/01/2025* | | 10,000 | 9,694 |
| Entertainment — 0.1% |
| Warnermedia Holdings, Inc. | | | |
| 5.05%, 03/15/2042 | | 2,000 | 1,547 |
| 5.14%, 03/15/2052 | | 2,000 | 1,486 |
| WMG Acquisition Corp. | | | |
| 3.88%, 07/15/2030* | | 25,000 | 21,117 |
| | | | 24,150 |
| Environmental Control — 0.1% |
| Clean Harbors, Inc. | | | |
| 4.88%, 07/15/2027* | | 30,000 | 28,270 |
| Veralto Corp. | | | |
| 5.35%, 09/18/2028* | | 10,000 | 9,887 |
| | | | 38,157 |
| Food — 0.1% |
| Kellanova | | | |
| 3.40%, 11/15/2027 | | 7,000 | 6,434 |
| Conagra Brands, Inc. | | | |
| 4.85%, 11/01/2028 | | 10,000 | 9,547 |
| | | | 15,981 |
| Gas — 0.2% |
| Brooklyn Union Gas Co. | | | |
| 4.63%, 08/05/2027* | | 20,000 | 18,937 |
| 6.39%, 09/15/2033* | | 5,000 | 4,905 |
| KeySpan Gas East Corp. | | | |
| 5.99%, 03/06/2033* | | 7,000 | 6,755 |
| NiSource, Inc. | | | |
| 3.49%, 05/15/2027 | | 10,000 | 9,269 |
| 3.60%, 05/01/2030 | | 12,000 | 10,453 |
| 5.25%, 03/30/2028 | | 10,000 | 9,800 |
| Piedmont Natural Gas Co., Inc. | | | |
| 5.40%, 06/15/2033 | | 5,000 | 4,767 |
| Southern California Gas Co. | | | |
| 5.20%, 06/01/2033 | | 7,000 | 6,622 |
| | | | 71,508 |
| Hand/Machine Tools — 0.1% |
| Regal Rexnord Corp. | | | |
| 6.05%, 04/15/2028* | | 10,000 | 9,726 |
| 6.30%, 02/15/2030* | | 10,000 | 9,660 |
| | | | 19,386 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Healthcare-Products — 0.1% |
| Avantor Funding, Inc. | | | |
| 4.63%, 07/15/2028* | | $ 20,000 | $ 18,234 |
| Hologic, Inc. | | | |
| 4.63%, 02/01/2028* | | 15,000 | 13,802 |
| Teleflex, Inc. | | | |
| 4.63%, 11/15/2027 | | 10,000 | 9,175 |
| | | | 41,211 |
| Healthcare-Services — 0.2% |
| Centene Corp. | | | |
| 2.45%, 07/15/2028 | | 5,000 | 4,224 |
| 3.38%, 02/15/2030 | | 10,000 | 8,341 |
| 4.63%, 12/15/2029 | | 30,000 | 27,019 |
| Humana, Inc. | | | |
| 3.70%, 03/23/2029 | | 11,000 | 10,035 |
| Kaiser Foundation Hospitals | | | |
| 3.00%, 06/01/2051 | | 7,000 | 4,406 |
| UnitedHealth Group, Inc. | | | |
| 2.75%, 05/15/2040 | | 10,000 | 6,794 |
| 3.50%, 08/15/2039 | | 2,000 | 1,540 |
| 4.00%, 05/15/2029 | | 5,000 | 4,679 |
| 5.25%, 02/15/2028 | | 3,000 | 3,005 |
| 5.88%, 02/15/2053 | | 5,000 | 5,018 |
| | | | 75,061 |
| Home Builders — 0.1% |
| Taylor Morrison Communities, Inc. | | | |
| 5.75%, 01/15/2028* | | 15,000 | 13,972 |
| Insurance — 0.2% |
| Aon Corp./Aon Global Holdings PLC | | | |
| 5.35%, 02/28/2033 | | 5,000 | 4,793 |
| Athene Global Funding | | | |
| 2.65%, 10/04/2031* | | 20,000 | 14,809 |
| 2.72%, 01/07/2029* | | 13,000 | 10,799 |
| Equitable Financial Life Global Funding | | | |
| 1.80%, 03/08/2028* | | 21,000 | 17,574 |
| Marsh & McLennan Cos., Inc. | | | |
| 4.75%, 03/15/2039 | | 4,000 | 3,511 |
| Willis North America, Inc. | | | |
| 3.60%, 05/15/2024 | | 5,000 | 4,920 |
| 4.65%, 06/15/2027 | | 20,000 | 19,143 |
| | | | 75,549 |
| Internet — 0.2% |
| Gen Digital, Inc. | | | |
| 5.00%, 04/15/2025* | | 15,000 | 14,653 |
| 6.75%, 09/30/2027* | | 15,000 | 14,705 |
| Go Daddy Operating Co. LLC/GD Finance Co., Inc. | | | |
| 5.25%, 12/01/2027* | | 26,000 | 24,526 |
| | | | 53,884 |
| Investment Companies — 0.1% |
| Bain Capital Specialty Finance, Inc. | | | |
| 2.55%, 10/13/2026 | | 30,000 | 25,872 |
| Iron/Steel — 0.0% |
| ArcelorMittal SA | | | |
| 6.80%, 11/29/2032 | | 10,000 | 9,931 |
| Leisure Time — 0.0% |
| Carnival Corp. | | | |
| 4.00%, 08/01/2028* | | 10,000 | 8,671 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Machinery-Diversified — 0.0% |
| Otis Worldwide Corp. | | | |
| 2.57%, 02/15/2030 | | $ 10,000 | $ 8,291 |
| Media — 0.5% |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | |
| 4.50%, 08/15/2030* | | 25,000 | 20,520 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
| 4.80%, 03/01/2050 | | 10,000 | 6,993 |
| 5.05%, 03/30/2029 | | 5,000 | 4,674 |
| 5.13%, 07/01/2049 | | 13,000 | 9,477 |
| 6.48%, 10/23/2045 | | 7,000 | 6,112 |
| Comcast Corp. | | | |
| 2.99%, 11/01/2063 | | 3,000 | 1,659 |
| 3.25%, 11/01/2039 | | 8,000 | 5,844 |
| Cox Communications, Inc. | | | |
| 2.60%, 06/15/2031* | | 8,000 | 6,232 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/2030 | | 5,000 | 4,232 |
| 3.95%, 03/20/2028 | | 15,000 | 13,665 |
| 4.00%, 09/15/2055 | | 16,000 | 9,600 |
| 5.20%, 09/20/2047 | | 5,000 | 3,791 |
| 5.30%, 05/15/2049 | | 10,000 | 7,657 |
| Paramount Global | | | |
| 4.20%, 05/19/2032 | | 5,000 | 3,975 |
| 4.38%, 03/15/2043 | | 10,000 | 6,468 |
| 4.95%, 01/15/2031 | | 23,000 | 19,751 |
| 5.25%, 04/01/2044 | | 5,000 | 3,491 |
| Sirius XM Radio, Inc. | | | |
| 3.13%, 09/01/2026* | | 20,000 | 17,825 |
| 4.00%, 07/15/2028* | | 10,000 | 8,536 |
| Time Warner Cable LLC | | | |
| 4.50%, 09/15/2042 | | 5,000 | 3,464 |
| 5.88%, 11/15/2040 | | 10,000 | 8,285 |
| | | | 172,251 |
| Mining — 0.1% |
| FMG Resources August 2006 Pty, Ltd. | | | |
| 4.38%, 04/01/2031* | | 10,000 | 8,228 |
| 5.88%, 04/15/2030* | | 10,000 | 9,142 |
| 6.13%, 04/15/2032* | | 5,000 | 4,547 |
| Glencore Funding LLC | | | |
| 2.85%, 04/27/2031* | | 5,000 | 3,968 |
| 5.70%, 05/08/2033* | | 5,000 | 4,741 |
| 6.38%, 10/06/2030* | | 10,000 | 9,973 |
| | | | 40,599 |
| Office/Business Equipment — 0.1% |
| CDW LLC/CDW Finance Corp. | | | |
| 3.25%, 02/15/2029 | | 20,000 | 17,054 |
| Oil & Gas — 0.5% |
| Apache Corp. | | | |
| 4.88%, 11/15/2027 | | 10,000 | 9,318 |
| BP Capital Markets America, Inc. | | | |
| 2.94%, 06/04/2051 | | 8,000 | 4,884 |
| 4.81%, 02/13/2033 | | 15,000 | 14,038 |
| 4.89%, 09/11/2033 | | 5,000 | 4,694 |
| ConocoPhillips Co. | | | |
| 4.03%, 03/15/2062 | | 2,000 | 1,437 |
| 5.05%, 09/15/2033 | | 5,000 | 4,787 |
| Continental Resources, Inc. | | | |
| 2.88%, 04/01/2032* | | 5,000 | 3,744 |
| 5.75%, 01/15/2031* | | 3,000 | 2,818 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| Ecopetrol SA | | | |
| 4.63%, 11/02/2031 | | $ 7,000 | $ 5,344 |
| 8.63%, 01/19/2029 | | 15,000 | 15,053 |
| Energean Israel Finance, Ltd. | | | |
| 4.88%, 03/30/2026* | | 5,000 | 4,644 |
| 5.88%, 03/30/2031* | | 10,000 | 8,673 |
| Equinor ASA | | | |
| 3.63%, 04/06/2040 | | 10,000 | 7,717 |
| Exxon Mobil Corp. | | | |
| 4.33%, 03/19/2050 | | 3,000 | 2,463 |
| Hess Corp. | | | |
| 7.13%, 03/15/2033 | | 3,000 | 3,168 |
| 7.30%, 08/15/2031 | | 3,000 | 3,178 |
| Leviathan Bond, Ltd. | | | |
| 6.50%, 06/30/2027* | | 20,000 | 18,950 |
| Marathon Oil Corp. | | | |
| 6.60%, 10/01/2037 | | 5,000 | 4,870 |
| Occidental Petroleum Corp. | | | |
| 6.45%, 09/15/2036 | | 3,000 | 2,946 |
| 6.63%, 09/01/2030 | | 10,000 | 10,133 |
| Ovintiv, Inc. | | | |
| 6.50%, 08/15/2034 | | 5,000 | 4,924 |
| 7.38%, 11/01/2031 | | 10,000 | 10,478 |
| Shell International Finance BV | | | |
| 2.88%, 11/26/2041 | | 5,000 | 3,393 |
| 3.25%, 04/06/2050 | | 5,000 | 3,320 |
| Viper Energy Partners LP | | | |
| 5.38%, 11/01/2027* | | 15,000 | 14,209 |
| | | | 169,183 |
| Packaging & Containers — 0.1% |
| Ball Corp. | | | |
| 4.00%, 11/15/2023 | | 5,000 | 4,977 |
| 6.00%, 06/15/2029 | | 30,000 | 29,125 |
| | | | 34,102 |
| Pharmaceuticals — 0.1% |
| Cigna Group | | | |
| 1.25%, 03/15/2026 | | 5,000 | 4,500 |
| CVS Health Corp. | | | |
| 4.13%, 04/01/2040 | | 8,000 | 6,218 |
| 5.13%, 02/21/2030 | | 5,000 | 4,809 |
| | | | 15,527 |
| Pipelines — 0.4% |
| Cheniere Energy Partners LP | | | |
| 4.50%, 10/01/2029 | | 5,000 | 4,527 |
| Columbia Pipelines Holding Co. LLC | | | |
| 6.04%, 08/15/2028* | | 5,000 | 4,975 |
| Columbia Pipelines Operating Co. LLC | | | |
| 6.04%, 11/15/2033* | | 5,000 | 4,880 |
| 6.54%, 11/15/2053* | | 5,000 | 4,888 |
| Enbridge, Inc. | | | |
| 5.70%, 03/08/2033 | | 15,000 | 14,370 |
| 8.50%, 01/15/2084 | | 10,000 | 9,918 |
| Energy Transfer LP | | | |
| 6.13%, 12/15/2045 | | 3,000 | 2,668 |
| EQM Midstream Partners LP | | | |
| 4.13%, 12/01/2026 | | 10,000 | 9,257 |
| MPLX LP | | | |
| 4.95%, 09/01/2032 | | 8,000 | 7,286 |
| 5.20%, 03/01/2047 | | 3,000 | 2,450 |
| ONEOK, Inc. | | | |
| 3.40%, 09/01/2029 | | 12,000 | 10,414 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Pipelines (continued) |
| 6.10%, 11/15/2032 | | $ 3,000 | $ 2,962 |
| Sabine Pass Liquefaction LLC | | | |
| 4.50%, 05/15/2030 | | 5,000 | 4,585 |
| Targa Resources Corp. | | | |
| 4.20%, 02/01/2033 | | 3,000 | 2,551 |
| 5.20%, 07/01/2027 | | 10,000 | 9,799 |
| 6.13%, 03/15/2033 | | 5,000 | 4,901 |
| 6.25%, 07/01/2052 | | 3,000 | 2,755 |
| TransCanada PipeLines, Ltd. | | | |
| 2.50%, 10/12/2031 | | 5,000 | 3,872 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 3.25%, 05/15/2030 | | 10,000 | 8,577 |
| Western Midstream Operating LP | | | |
| 4.75%, 08/15/2028 | | 10,000 | 9,353 |
| 6.15%, 04/01/2033 | | 5,000 | 4,822 |
| Williams Cos., Inc. | | | |
| 4.65%, 08/15/2032 | | 3,000 | 2,729 |
| 5.65%, 03/15/2033 | | 5,000 | 4,831 |
| | | | 137,370 |
| REITS — 0.3% |
| American Tower Corp. | | | |
| 1.45%, 09/15/2026 | | 5,000 | 4,406 |
| 2.40%, 03/15/2025 | | 10,000 | 9,481 |
| 3.65%, 03/15/2027 | | 5,000 | 4,633 |
| 3.80%, 08/15/2029 | | 5,000 | 4,448 |
| Crown Castle, Inc. | | | |
| 4.80%, 09/01/2028 | | 15,000 | 14,237 |
| 5.00%, 01/11/2028 | | 7,000 | 6,763 |
| Crown Castle, Inc. | | | |
| 2.90%, 03/15/2027 | | 5,000 | 4,535 |
| Equinix, Inc. | | | |
| 3.20%, 11/18/2029 | | 10,000 | 8,563 |
| GLP Capital LP/GLP Financing II, Inc. | | | |
| 4.00%, 01/15/2031 | | 8,000 | 6,660 |
| 5.30%, 01/15/2029 | | 10,000 | 9,270 |
| SBA Tower Trust | | | |
| 2.84%, 01/15/2025* | | 25,000 | 23,929 |
| VICI Properties LP | | | |
| 4.95%, 02/15/2030 | | 7,000 | 6,405 |
| | | | 103,330 |
| Retail — 0.3% |
| 1011778 BC ULC/New Red Finance, Inc. | | | |
| 3.88%, 01/15/2028* | | 25,000 | 22,426 |
| Asbury Automotive Group, Inc. | | | |
| 4.50%, 03/01/2028 | | 7,000 | 6,266 |
| AutoZone, Inc. | | | |
| 4.75%, 08/01/2032 | | 5,000 | 4,587 |
| FirstCash, Inc. | | | |
| 4.63%, 09/01/2028* | | 20,000 | 17,722 |
| 5.63%, 01/01/2030* | | 15,000 | 13,496 |
| Gap, Inc. | | | |
| 3.63%, 10/01/2029* | | 27,000 | 19,981 |
| 3.88%, 10/01/2031* | | 23,000 | 16,160 |
| O'Reilly Automotive, Inc. | | | |
| 4.70%, 06/15/2032 | | 11,000 | 10,080 |
| | | | 110,718 |
| Semiconductors — 0.2% |
| Broadcom, Inc. | | | |
| 4.00%, 04/15/2029* | | 11,000 | 9,926 |
| 4.30%, 11/15/2032 | | 5,000 | 4,362 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Semiconductors (continued) |
| Intel Corp. | | | |
| 3.05%, 08/12/2051 | | $ 10,000 | $ 6,079 |
| 5.90%, 02/10/2063 | | 3,000 | 2,844 |
| Marvell Technology, Inc. | | | |
| 2.45%, 04/15/2028 | | 10,000 | 8,638 |
| 2.95%, 04/15/2031 | | 5,000 | 4,045 |
| NXP BV/NXP Funding LLC | | | |
| 4.88%, 03/01/2024 | | 10,000 | 9,950 |
| 5.35%, 03/01/2026 | | 6,000 | 5,911 |
| NXP BV/NXP Funding LLC/NXP USA, Inc. | | | |
| 4.30%, 06/18/2029 | | 4,000 | 3,665 |
| 4.40%, 06/01/2027 | | 15,000 | 14,231 |
| Qorvo, Inc. | | | |
| 3.38%, 04/01/2031* | | 5,000 | 3,960 |
| | | | 73,611 |
| Software — 0.4% |
| Black Knight InfoServ LLC | | | |
| 3.63%, 09/01/2028* | | 20,000 | 17,925 |
| Fair Isaac Corp. | | | |
| 4.00%, 06/15/2028* | | 20,000 | 17,882 |
| MSCI, Inc. | | | |
| 3.63%, 11/01/2031* | | 5,000 | 4,090 |
| 3.88%, 02/15/2031* | | 5,000 | 4,236 |
| 4.00%, 11/15/2029* | | 5,000 | 4,391 |
| Open Text Corp. | | | |
| 3.88%, 12/01/2029* | | 20,000 | 16,440 |
| 6.90%, 12/01/2027* | | 17,000 | 17,039 |
| Oracle Corp. | | | |
| 2.30%, 03/25/2028 | | 15,000 | 12,995 |
| 3.60%, 04/01/2040 | | 5,000 | 3,613 |
| 3.85%, 04/01/2060 | | 18,000 | 11,446 |
| 4.10%, 03/25/2061 | | 3,000 | 2,001 |
| 4.90%, 02/06/2033 | | 5,000 | 4,609 |
| SS&C Technologies, Inc. | | | |
| 5.50%, 09/30/2027* | | 20,000 | 18,873 |
| | | | 135,540 |
| Telecommunications — 0.2% |
| AT&T, Inc. | | | |
| 2.55%, 12/01/2033 | | 10,000 | 7,345 |
| 3.55%, 09/15/2055 | | 5,000 | 3,061 |
| 3.80%, 12/01/2057 | | 7,000 | 4,435 |
| 5.40%, 02/15/2034 | | 10,000 | 9,359 |
| Nokia Oyj | | | |
| 4.38%, 06/12/2027 | | 15,000 | 13,888 |
| 6.63%, 05/15/2039 | | 5,000 | 4,481 |
| Rogers Communications, Inc. | | | |
| 3.80%, 03/15/2032 | | 3,000 | 2,493 |
| T-Mobile USA, Inc. | | | |
| 2.05%, 02/15/2028 | | 11,000 | 9,459 |
| 2.40%, 03/15/2029 | | 5,000 | 4,207 |
| 5.05%, 07/15/2033 | | 5,000 | 4,639 |
| 5.75%, 01/15/2034 | | 5,000 | 4,877 |
| Verizon Communications, Inc. | | | |
| 2.36%, 03/15/2032 | | 5,000 | 3,815 |
| 2.55%, 03/21/2031 | | 7,000 | 5,574 |
| | | | 77,633 |
| Trucking & Leasing — 0.1% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. | | | |
| 2.70%, 11/01/2024* | | 25,000 | 24,066 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Trucking & Leasing (continued) |
| 4.00%, 07/15/2025* | | $ 5,000 | $ 4,802 |
| 4.40%, 07/01/2027* | | 20,000 | 18,743 |
| | | | 47,611 |
Total Corporate Bonds & Notes
(cost $3,495,872) | | | 3,169,766 |
| ASSET BACKED SECURITIES — 1.9% |
| Auto Loan Receivables — 0.6% |
| American Credit Acceptance Receivables Trust | | | |
Series 2023-3, Class B
6.09%, 11/12/2027* | | 10,000 | 9,984 |
| AmeriCredit Automobile Receivables Trust | | | |
Series 2019-3, Class D
2.58%, 09/18/2025 | | 15,000 | 14,752 |
| Carvana Auto Receivables Trust | | | |
Series 2022-P2, Class A3
4.13%, 04/12/2027 | | 20,000 | 19,581 |
| Drive Auto Receivables Trust | | | |
Series 2019-4, Class D
2.70%, 02/16/2027 | | 4,299 | 4,265 |
| DT Auto Owner Trust | | | |
Series 2023-2A, Class B
5.41%, 02/15/2029* | | 10,000 | 9,853 |
Series 2023-3A, Class B
6.07%, 03/15/2028* | | 10,000 | 9,978 |
| Exeter Automobile Receivables Trust | | | |
Series 2022-1A, Class B
2.18%, 06/15/2026 | | 6,372 | 6,328 |
Series 2019-4A, Class D
2.58%, 09/15/2025* | | 9,524 | 9,379 |
Series 2020-1A, Class D
2.73%, 12/15/2025* | | 5,165 | 5,072 |
Series 2022-4A, Class B
4.57%, 01/15/2027 | | 10,000 | 9,899 |
Series 2022-6A, Class B
6.03%, 08/16/2027 | | 6,000 | 5,963 |
| Flagship Credit Auto Trust | | | |
Series 2022-3, Class B
4.69%, 07/17/2028* | | 10,000 | 9,691 |
Series 2023-2, Class B
5.21%, 05/15/2028* | | 10,000 | 9,774 |
Series 2023-3, Class B
5.64%, 07/16/2029* | | 10,000 | 9,926 |
| Ford Credit Auto Owner Trust | | | |
Series 2022-D, Class B
5.98%, 06/15/2028 | | 20,000 | 20,063 |
| Santander Drive Auto Receivables Trust | | | |
Series 2022-4, Class B
4.42%, 11/15/2027 | | 15,000 | 14,656 |
Series 2023-1, Class B
4.98%, 02/15/2028 | | 5,000 | 4,913 |
Series 2023-3, Class B
5.61%, 07/17/2028 | | 10,000 | 9,907 |
Series 2022-7, Class B
5.95%, 01/17/2028 | | 15,000 | 14,918 |
| Westlake Automobile Receivables Trust | | | |
Series 2020-3A, Class D
1.65%, 02/17/2026* | | 10,000 | 9,707 |
Series 2022-2A, Class B
4.31%, 09/15/2027* | | 10,000 | 9,807 |
| | | | 218,416 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Home Equity — 0.2% |
| Asset Backed Securities Corp. Home Equity Loan Trust FRS | | | |
Series 2004-HE7, Class M2
7.01%, (TSFR1M+1.69%), 10/25/2034 | | $ 728 | $ 726 |
| Option One Mtg. Loan Trust FRS | | | |
Series 2006-3, Class 2A2
5.53%, (TSFR1M+0.21%), 02/25/2037 | | 6,544 | 3,230 |
| Renaissance Home Equity Loan Trust | | | |
Series 2007-1, Class AF5
5.91%, 04/25/2037(2) | | 60,263 | 16,897 |
| Soundview Home Loan Trust FRS | | | |
Series 2006-3, Class A4
5.93%, (TSFR1M+0.61%), 11/25/2036 | | 38,260 | 35,087 |
| | | | 55,940 |
| Other Asset Backed Securities — 1.1% |
| Aligned Data Centers Issuer LLC | | | |
Series 2023-1A, Class A2
6.00%, 08/17/2048* | | 25,000 | 24,049 |
| CNH Equipment Trust | | | |
Series 2023-A, Class A4
4.77%, 10/15/2030 | | 5,000 | 4,870 |
| DLLAA LLC | | | |
Series 2023-1A, Class A3
5.64%, 02/22/2028* | | 5,000 | 4,991 |
| Domino's Pizza Master Issuer LLC | | | |
Series 2018-1A, Class A2I
4.12%, 07/25/2048* | | 47,625 | 45,184 |
| Kubota Credit Owner Trust | | | |
Series 2023-1A, Class A3
5.02%, 06/15/2027* | | 5,000 | 4,921 |
| MMAF Equipment Finance LLC | | | |
Series 2023-A, Class A3
5.54%, 12/13/2029* | | 15,000 | 14,914 |
| Securitized Asset Backed Receivables LLC Trust FRS | | | |
Series 2007-BR5, Class A2A
5.56%, (TSFR1M+0.24%), 05/25/2037 | | 14,210 | 10,652 |
| Taco Bell Funding LLC | | | |
Series 2021-1A, Class A2II
2.29%, 08/25/2051* | | 37,335 | 30,497 |
| Wellfleet CLO X, Ltd. FRS | | | |
Series 2019-XA, Class A1R
6.76%, (TSFR3M+1.43%), 07/20/2032* | | 250,000 | 247,922 |
| | | | 388,000 |
Total Asset Backed Securities
(cost $677,612) | | | 662,356 |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 4.6% |
| Commercial and Residential — 3.6% |
| Angel Oak Mtg. Trust | | | |
Series 2022-1, Class A1
2.88%, 12/25/2066*(2) | | 41,439 | 35,445 |
| Angel Oak Mtg. Trust VRS | | | |
Series 2021-5, Class A1
0.95%, 07/25/2066*(3) | | 27,370 | 22,199 |
Series 2020-R1, Class A1
0.99%, 04/25/2053*(3) | | 10,730 | 9,613 |
Series 2021-2, Class A1
0.99%, 04/25/2066*(3) | | 20,342 | 16,428 |
Series 2021-3, Class A1
1.07%, 05/25/2066*(3) | | 23,473 | 19,190 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
Series 2020-3, Class A1
1.69%, 04/25/2065*(3) | | $ 9,704 | $ 8,830 |
| BANK | | | |
Series 2019-BN17, Class A4
3.71%, 04/15/2052 | | 35,000 | 31,310 |
| BANK VRS | | | |
Series 2018-BN14, Class XA
0.65%, 09/15/2060(3)(4) | | 868,906 | 16,190 |
| BBCMS Mtg. Trust VRS | | | |
Series 2022-C16, Class A5
4.60%, 06/15/2055(3) | | 10,000 | 9,113 |
Series 2022-C18, Class A4
5.44%, 12/15/2055(3) | | 10,000 | 9,739 |
| Bear Stearns Adjustable Rate Mtg. Trust VRS | | | |
Series 2005-12, Class 12A1
4.81%, 02/25/2036(3) | | 7,643 | 6,708 |
| Benchmark Mtg. Trust VRS | | | |
Series 2018-B4, Class XA
0.61%, 07/15/2051(3)(4) | | 110,473 | 1,715 |
Series 2018-B1, Class XA
0.68%, 01/15/2051(3)(4) | | 70,851 | 1,285 |
Series 2019-B10, Class XA
1.36%, 03/15/2062(3)(4) | | 105,200 | 4,914 |
Series 2020-B22, Class XA
1.63%, 01/15/2054(3)(4) | | 99,416 | 8,029 |
| BPR Trust FRS | | | |
Series 2022-STAR, Class A
8.56%, (TSFR1M+3.23%), 08/15/2024* | | 10,000 | 9,927 |
| Bunker Hill Loan Depositary Trust | | | |
Series 2019-2, Class A1
2.88%, 07/25/2049*(2) | | 9,754 | 8,996 |
| BX Trust FRS | | | |
Series 2022-PSB, Class A
7.78%, (TSFR1M+2.45%), 08/15/2039* | | 8,926 | 8,924 |
| Citigroup Commercial Mtg. Trust | | | |
Series 2015-GC29, Class A4
3.19%, 04/10/2048 | | 50,000 | 47,578 |
Series 2015-P1, Class A5
3.72%, 09/15/2048 | | 50,000 | 47,665 |
Series 2014-GC21, Class A5
3.86%, 05/10/2047 | | 20,000 | 19,757 |
| Citigroup Mtg. Loan Trust, Inc. FRS | | | |
Series 2006-AR1, Class 3A1
4.10%, (H15T1Y+2.4%), 03/25/2036 | | 4,063 | 3,722 |
| COLT Mtg. Loan Trust VRS | | | |
Series 2021-2, Class A3
1.34%, 08/25/2066*(3) | | 11,199 | 8,453 |
| Commercial Mtg. Trust | | | |
Series 2015-LC19, Class A4
3.18%, 02/10/2048 | | 35,000 | 33,588 |
Series 2014-CR21, Class A3
3.53%, 12/10/2047 | | 37,301 | 36,188 |
Series 2014-UBS5, Class A4
3.84%, 09/10/2047 | | 43,000 | 41,694 |
Series 2013-300P, Class A1
4.35%, 08/10/2030* | | 100,000 | 91,248 |
| Countrywide Home Loan Mtg. Pass Through Trust | | | |
Series 2005-29, Class A1
5.75%, 12/25/2035 | | 3,668 | 1,776 |
| CSAIL Commercial Mtg. Trust | | | |
Series 2016-C6, Class ASB
2.96%, 01/15/2049 | | 14,138 | 13,647 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
| CSAIL Commercial Mtg. Trust VRS | | | |
Series 2015-C2, Class XA
0.85%, 06/15/2057(3)(4) | | $ 267,662 | $ 2,009 |
| DBJPM Mtg. Trust | | | |
Series 2016-C3, Class A5
2.89%, 08/10/2049 | | 40,000 | 36,382 |
Series 2016-C1, Class ASB
3.04%, 05/10/2049 | | 12,660 | 12,130 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2022-R05, Class 2M2
8.31%, (SOFR30A+3.00%), 04/25/2042* | | 24,996 | 25,347 |
| First Horizon Alternative Mtg. Securities Trust VRS | | | |
Series 2005-AA3, Class 3A1
5.94%, 05/25/2035(3) | | 6,241 | 5,599 |
| GS Mtg. Securities Corp. Trust | | | |
Series 2014-GC26, Class AAB
3.37%, 11/10/2047 | | 8,783 | 8,640 |
| GS Mtg. Securities Corp. Trust VRS | | | |
Series 2018-GS10, Class XA
0.46%, 07/10/2051(3)(4) | | 977,940 | 13,641 |
| GS Mtg. Securities Trust | | | |
Series 2016-GS2, Class A4
3.05%, 05/10/2049 | | 31,000 | 28,720 |
Series 2014-GC20, Class A5
4.00%, 04/10/2047 | | 40,000 | 39,613 |
| GSR Mtg. Loan Trust VRS | | | |
Series 2007-AR1, Class 2A1
3.84%, 03/25/2047(3) | | 2,265 | 1,440 |
Series 2006-AR1, Class 2A1
3.92%, 01/25/2036(3) | | 3,170 | 2,884 |
| Impac CMB Trust FRS | | | |
Series 2005-4, Class 1A1A
5.97%, (TSFR1M+0.38%), 05/25/2035 | | 3,813 | 3,452 |
| JPMBB Commercial Mtg. Securities Trust | | | |
Series 2015-C29, Class A4
3.61%, 05/15/2048 | | 39,000 | 36,980 |
Series 2014-C19, Class A4
4.00%, 04/15/2047 | | 45,506 | 45,028 |
| JPMDB Commercial Mtg. Securities Trust | | | |
Series 2016-C4, Class A3
3.14%, 12/15/2049 | | 30,000 | 27,153 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2020-NNN, Class AFX
2.81%, 01/16/2037* | | 10,000 | 9,098 |
| Merrill Lynch Mtg. Investors Trust VRS | | | |
Series 2005-A1, Class 2A1
4.56%, 12/25/2034(3) | | 1,284 | 1,238 |
| Mill City Mtg. Loan Trust VRS | | | |
Series 2017-3, Class A1
2.75%, 01/25/2061*(3) | | 9,627 | 9,337 |
| Morgan Stanley Bank of America Merrill Lynch Trust VRS | | | |
Series 2014-C19, Class XA
1.10%, 12/15/2047(3)(4) | | 56,847 | 349 |
| Morgan Stanley Mtg. Loan Trust | | | |
Series 2007-12, Class 3A22
6.00%, 08/25/2037 | | 5,187 | 1,831 |
| MortgageIT Trust FRS | | | |
Series 2005-4, Class A1
5.99%, (TSFR1M+0.67%), 10/25/2035 | | 5,282 | 5,098 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| New Residential Mtg. Loan Trust FRS | | | |
Series 2018-4A, Class A1S
6.18%, (TSFR1M+0.86%), 01/25/2048* | | $ 19,618 | $ 19,024 |
Series 2017-5A, Class A1
6.93%, (TSFR1M+1.61%), 06/25/2057* | | 14,330 | 14,237 |
| New Residential Mtg. Loan Trust VRS | | | |
Series 2021-NQ2R, Class A1
0.94%, 10/25/2058*(3) | | 30,126 | 26,545 |
Series 2017-4A, Class A1
4.00%, 05/25/2057*(3) | | 18,092 | 16,463 |
| Nomura Asset Acceptance Corp. Alternative Loan Trust VRS | | | |
Series 2006-AF1, Class 3A1
4.76%, 06/25/2036(3) | | 11,580 | 8,492 |
| NRP Mtg. Trust VRS | | | |
Series 2013-1, Class A1
3.25%, 07/25/2043*(3) | | 2,053 | 1,757 |
| Sequoia Mtg. Trust VRS | | | |
Series 2007-1, Class 2A1
4.05%, 02/20/2047(3) | | 8,169 | 6,531 |
| SG Commercial Mtg. Securities Trust | | | |
Series 2020-COVE, Class A
2.63%, 03/15/2037* | | 30,000 | 27,876 |
| SG Residential Mtg. Trust VRS | | | |
Series 2021-1, Class A1
1.16%, 07/25/2061*(3) | | 31,622 | 23,985 |
| Towd Point Mtg. Trust VRS | | | |
Series 2017-4, Class A1
2.75%, 06/25/2057*(3) | | 17,875 | 16,860 |
Series 2017-6, Class A1
2.75%, 10/25/2057*(3) | | 18,957 | 17,983 |
| Wells Fargo Commercial Mtg. Trust | | | |
Series 2015-NXS1, Class ASB
2.93%, 05/15/2048 | | 5,102 | 5,055 |
Series 2015-P2, Class A4
3.81%, 12/15/2048 | | 35,000 | 33,136 |
Series 2014-LC16, Class A5
3.82%, 08/15/2050 | | 30,000 | 29,339 |
| Wells Fargo Mtg. Backed Securities Trust VRS | | | |
Series 2006-AR14, Class 2A1
6.32%, 10/25/2036(3) | | 2,206 | 1,924 |
| WF-RBS Commercial Mtg. Trust | | | |
Series 2014-C20, Class A5
4.00%, 05/15/2047 | | 35,000 | 34,289 |
Series 2014-C19, Class A5
4.10%, 03/15/2047 | | 36,000 | 35,639 |
| | | | 1,208,975 |
| U.S. Government Agency — 1.0% |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | | | |
| 3.24%, 08/25/2027 | | 40,000 | 37,413 |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | | | |
Series K-1510, Class X1
0.64%, 01/25/2034(3)(4) | | 99,520 | 3,347 |
Series K064, Class X1
0.73%, 03/25/2027(3)(4) | | 113,476 | 1,957 |
Series K114, Class X1
1.21%, 06/25/2030(3)(4) | | 99,419 | 5,814 |
Series K104, Class X1
1.25%, 01/25/2030(3)(4) | | 98,059 | 5,330 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
| Federal Home Loan Mtg. Corp. REMIC | | | |
Series 4122, Class AB
1.50%, 10/15/2042 | | $ 4,728 | $ 4,087 |
Series 4216, Class KQ
1.70%, 10/15/2039 | | 1,836 | 1,783 |
Series 3964, Class MD
2.00%, 01/15/2041 | | 65 | 62 |
Series 5170, Class DP
2.00%, 07/25/2050 | | 19,914 | 16,315 |
Series 4961, Class JB
2.50%, 12/15/2042 | | 8,723 | 7,582 |
Series 3883, Class PB
3.00%, 05/15/2041 | | 2,722 | 2,497 |
| Federal Home Loan Mtg. Corp. SCRT | | | |
Series 2019-3, Class MV
3.50%, 10/25/2058 | | 4,216 | 3,690 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Debt Notes FRS | | | |
Series 2023-DNA2, Class M1B
8.56%, (SOFR30A+3.25%), 04/25/2043* | | 10,000 | 10,314 |
Series 2023-HQA2, Class M1B
8.66%, (SOFR30A+3.35%), 06/25/2043* | | 20,000 | 20,464 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2022-DNA3, Class M1B
8.21%, (SOFR30A+2.90%), 04/25/2042* | | 10,000 | 10,215 |
Series 2022-DNA4, Class M1B
8.66%, (SOFR30A+3.35%), 05/25/2042* | | 10,000 | 10,365 |
Series 2023-HQA1, Class M1B
8.81%, (SOFR30A+3.50%), 05/25/2043* | | 15,000 | 15,394 |
Series 2022-DNA6, Class M1B
9.01%, (SOFR30A+3.70%), 09/25/2042* | | 10,000 | 10,478 |
Series 2022-DNA5, Class M1B
9.81%, (SOFR30A+4.50%), 06/25/2042* | | 15,000 | 16,099 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 19 | 19 |
Series 2019-HRP1, Class M2
7.58%, (SOFR30A+2.26%), 11/25/2039* | | 2,685 | 2,685 |
Series 2023-R05, Class 1M2
8.41%, (SOFR30A+3.1%), 06/25/2043* | | 10,000 | 10,245 |
Series 2017-C01, Class 1M2
8.98%, (SOFR30A+3.66%), 07/25/2029 | | 3,793 | 3,926 |
Series 2016-C07, Class 2M2
9.78%, (SOFR30A+4.46%), 05/25/2029 | | 6,566 | 6,913 |
| Federal National Mtg. Assoc. REMIC | | | |
Series 2013-77, Class BP
1.70%, 06/25/2043 | | 2,379 | 2,268 |
Series 2013-16, Class A
1.75%, 01/25/2040 | | 2,164 | 2,078 |
Series 2011-117, Class MA
2.00%, 08/25/2040 | | 432 | 416 |
Series 2012-21, Class PQ
2.00%, 09/25/2041 | | 1,647 | 1,466 |
Series 2012-18, Class GA
2.00%, 12/25/2041 | | 2,986 | 2,622 |
Series 2015-5, Class EP
2.00%, 06/25/2043 | | 5,772 | 5,177 |
Series 2016-11, Class GA
2.50%, 03/25/2046 | | 4,024 | 3,583 |
Series 2019-54, Class KC
2.50%, 09/25/2049 | | 14,708 | 12,976 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
Series 2015-48, Class QB
3.00%, 02/25/2043 | | $ 3,327 | $ 3,118 |
Series 2016-38, Class NA
3.00%, 01/25/2046 | | 1,613 | 1,416 |
Series 2017-16, Class PB
3.00%, 03/25/2047 | | 10,000 | 8,057 |
Series 2017-34, Class JK
3.00%, 05/25/2047 | | 1,661 | 1,549 |
Series 2019-45, Class PT
3.00%, 08/25/2049 | | 5,794 | 5,022 |
Series 2012-52, Class PA
3.50%, 05/25/2042 | | 2,791 | 2,590 |
Series 2012-120, Class ZB
3.50%, 11/25/2042 | | 21,968 | 19,444 |
Series 2017-26, Class CG
3.50%, 07/25/2044 | | 2,721 | 2,629 |
Series 2018-23, Class LA
3.50%, 04/25/2048 | | 5,855 | 5,335 |
Series 2019-7, Class JA
3.50%, 03/25/2049 | | 6,348 | 5,794 |
Series 2019-14, Class CA
3.50%, 04/25/2049 | | 5,879 | 5,399 |
Series 2017-35, Class AH
3.50%, 04/25/2053 | | 2,838 | 2,735 |
Series 2017-84, Class KA
3.50%, 04/25/2053 | | 2,972 | 2,823 |
Series 2018-70, Class HA
3.50%, 10/25/2056 | | 4,710 | 4,420 |
Series 2019-12, Class HA
3.50%, 11/25/2057 | | 5,356 | 4,888 |
Series 2017-49, Class JA
4.00%, 07/25/2053 | | 2,650 | 2,559 |
Series 2022-90, Class AY
4.50%, 12/25/2041 | | 25,000 | 23,122 |
| Federal National Mtg. Assoc. REMIC VRS | | | |
Series 2020-M2, Class X
0.40%, 01/25/2030(3)(4) | | 308,132 | 3,779 |
Series 2019-M21, Class X3
1.28%, 06/25/2034(3)(4) | | 125,117 | 8,852 |
| Government National Mtg. Assoc. REMIC | | | |
Series 2015-56, Class LB
1.50%, 04/16/2040 | | 560 | 555 |
Series 2015-151, Class BA
1.70%, 10/20/2045 | | 101 | 100 |
Series 2013-37, Class LG
2.00%, 01/20/2042 | | 2,894 | 2,705 |
Series 2005-74, Class HB
7.50%, 09/16/2035 | | 17 | 18 |
Series 2005-74, Class HC
7.50%, 09/16/2035 | | 463 | 470 |
| | | | 354,959 |
Total Collateralized Mortgage Obligations
(cost $1,742,197) | | | 1,563,934 |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 13.9% |
| U.S. Government — 5.5% |
| United States Treasury Bonds | | | |
| 1.25%, 05/15/2050 | | 209,000 | 98,605 |
| 1.38%, 08/15/2050 | | 35,000 | 17,079 |
| 2.25%, 08/15/2046 to 02/15/2052 | | 105,000 | �� 65,455 |
| 2.88%, 08/15/2045(5)(6) | | 715,000 | 517,844 |
| 3.00%, 08/15/2052 | | 115,000 | 83,797 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government (continued) |
| 3.13%, 08/15/2044 | | $ 30,000 | $ 22,922 |
| 3.63%, 02/15/2053 to 05/15/2053 | | 88,000 | 72,810 |
| 3.88%, 02/15/2043 | | 40,000 | 34,812 |
| 4.13%, 08/15/2053 | | 70,000 | 63,547 |
| United States Treasury Bonds TIPS | | | |
| 0.13%, 02/15/2052(7) | | 21,961 | 12,051 |
| 0.25%, 02/15/2050(7) | | 118,894 | 69,947 |
| United States Treasury Notes | | | |
| 3.38%, 05/15/2033 | | 140,000 | 126,962 |
| 4.13%, 06/15/2026 to 11/15/2032 | | 440,000 | 431,343 |
| 4.63%, 03/15/2026 | | 35,000 | 34,757 |
| United States Treasury Notes TIPS | | | |
| 0.25%, 07/15/2029(7) | | 143,399 | 127,744 |
| 0.75%, 07/15/2028(7) | | 71,846 | 66,850 |
| | | | 1,846,525 |
| U.S. Government Agency — 8.4% |
| Federal Home Loan Mtg. Corp. | | | |
| 2.00%, 03/01/2051 | | 121,369 | 92,725 |
| 2.50%, 01/01/2028 to 12/01/2051 | | 386,608 | 307,676 |
| 3.50%, 03/01/2042 to 08/01/2048 | | 23,020 | 20,240 |
| 4.00%, 09/01/2040 | | 686 | 629 |
| 4.50%, 01/01/2039 | | 221 | 209 |
| 5.00%, 09/01/2052 | | 82,557 | 77,947 |
| 5.50%, 07/01/2034 | | 1,355 | 1,329 |
| 6.50%, 05/01/2029 | | 154 | 157 |
| 7.50%, 04/01/2028 | | 106 | 107 |
| Federal Home Loan Mtg. Corp. FRS | | | |
| 4.74%, (RFUCCT6M+1.49%), 02/01/2037 | | 185 | 184 |
| Federal National Mtg. Assoc. | | | |
| 2.00%, 04/01/2051 to 05/01/2051 | | 363,690 | 277,813 |
| 2.50%, 02/01/2043 | | 26,183 | 21,304 |
| 2.97%, 06/01/2030 | | 40,000 | 35,088 |
| 3.00%, 01/01/2028 | | 1,540 | 1,476 |
| 3.50%, 08/01/2026 to 10/01/2028 | | 4,820 | 4,612 |
| 4.00%, 11/01/2025 | | 93 | 90 |
| 4.50%, 01/01/2039 to 05/01/2041 | | 7,733 | 7,288 |
| 5.00%, 05/01/2035 to 09/01/2052 | | 91,109 | 86,326 |
| 5.50%, 12/01/2029 to 06/01/2038 | | 30,668 | 30,272 |
| 6.00%, 12/01/2033 to 06/01/2040 | | 1,777 | 1,797 |
| 6.50%, 10/01/2037 | | 45 | 46 |
| 7.00%, 06/01/2037 | | 1,317 | 1,371 |
| Federal National Mtg. Assoc. FRS | | | |
| 4.85%, (RFUCCT1Y+1.57%), 05/01/2037 | | 241 | 244 |
| 6.06%, (RFUCCT1Y+1.82%), 10/01/2040 | | 259 | 264 |
| Government National Mtg. Assoc. | | | |
| 2.50%, October 30 TBA | | 130,000 | 106,239 |
| 3.00%, October 30 TBA | | 270,000 | 228,804 |
| 3.50%, October 30 TBA | | 140,000 | 122,620 |
| 4.00%, 09/15/2041 | | 91,666 | 84,049 |
| 4.50%, 06/15/2041 | | 13,243 | 12,606 |
| 4.50%, October 30 TBA | | 80,000 | 73,903 |
| 6.00%, 11/15/2031 | | 12,226 | 12,109 |
| 7.00%, 05/15/2033 | | 1,640 | 1,676 |
| Uniform Mtg. Backed Securities | | | |
| 1.50%, October 15 TBA | | 115,000 | 95,785 |
| 2.00%, October 30 TBA | | 85,000 | 64,647 |
| 3.00%, October 30 TBA | | 85,000 | 70,274 |
| 3.50%, October 30 TBA | | 65,000 | 55,895 |
| 4.00%, October 30 TBA | | 175,000 | 155,791 |
| 4.50%, October 30 TBA | | 336,000 | 308,490 |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
| 5.50%, October 30 TBA | | $ 270,000 | $ 260,919 |
| 6.00%, October 30 TBA | | 230,000 | 226,981 |
| | | | 2,849,982 |
Total U.S. Government & Agency Obligations
(cost $5,477,869) | | | 4,696,507 |
| FOREIGN GOVERNMENT OBLIGATIONS — 0.3% |
| Sovereign — 0.3% |
| Federative Republic of Brazil | | | |
| 10.00%, 01/01/2031 | BRL | 204,000 | 38,769 |
| Government of Hungary | | | |
| 1.63%, 04/28/2032 | EUR | 40,000 | 31,301 |
| Government of Romania | | | |
| 2.63%, 12/02/2040* | EUR | 25,000 | 15,498 |
| 2.75%, 04/14/2041 | EUR | 20,000 | 12,380 |
| 3.38%, 02/08/2038 | EUR | 10,000 | 7,418 |
Total Foreign Government Obligations
(cost $153,842) | | | 105,366 |
| MUNICIPAL SECURITIES — 0.5% |
Chicago Board of Education
General Obligation Bonds | | | |
| 6.14%, 12/01/2039 | | 5,000 | 4,479 |
| 6.32%, 11/01/2029 | | 20,000 | 19,397 |
Chicago Transit Authority
Revenue Bonds | | | |
| 3.91%, 12/01/2040 | | 5,000 | 4,041 |
County of Riverside, CA
Revenue Bonds | | | |
| 3.12%, 02/15/2029 | | 25,000 | 22,417 |
Florida State Board of Administration Finance Corp.
Revenue Bonds | | | |
| 1.26%, 07/01/2025 | | 25,000 | 23,208 |
Metropolitan Transportation Authority
Revenue Bonds | | | |
| 4.75%, 11/15/2045 | | 10,000 | 9,300 |
| 5.18%, 11/15/2049 | | 15,000 | 12,892 |
Municipal Electric Authority of Georgia
Revenue Bonds | | | |
| 6.64%, 04/01/2057 | | 4,000 | 4,251 |
New York Transportation Development Corp.
Revenue Bonds | | | |
| 4.25%, 09/01/2035 | | 20,000 | 18,886 |
Philadelphia Authority for Industrial Development
Revenue Bonds | | | |
| 6.55%, 10/15/2028 | | 25,000 | 25,812 |
State of California
General Obligation Bonds | | | |
| 7.30%, 10/01/2039 | | 5,000 | 5,668 |
Texas Natural Gas Securitization Finance Corp.
Series 2023-1, Class A1 | | | |
| 5.10%, 04/01/2035 | | 10,000 | 9,807 |
Total Municipal Securities
(cost $177,898) | | | 160,158 |
| ESCROWS AND LITIGATION TRUSTS — 0.0% |
Lehman Brothers Holdings, Inc.
Escrow Notes
5.50%, 04/04/2016†
(cost $0) | | 7,000 | 11 |
| Security Description | | Shares or
Principal
Amount | | Value |
| PURCHASED OPTIONS† — 0.2% |
| Purchased Options - Calls — 0.2% |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 01/17/2024; Strike Price: CNY 7.43; Counterparty: JPMorgan Chase Bank, N.A.) | | 3,861,789 | | $ 18,058 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 05/24/2024; Strike Price: CNY 7.57; Counterparty: Standard Chartered Bank) | | 4,604,363 | | 24,679 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 08/12/2024; Strike Price: USD 7.79; Counterparty: JPMorgan Chase Bank, N.A.) | | 4,536,657 | | 17,457 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 10/09/2023; Strike Price: CNY 7.87; Counterparty: Goldman Sachs International) | | 35,784 | | 0 |
Total Purchased Options
(cost $56,614) | | | | 60,194 |
Total Long-Term Investment Securities
(cost $35,972,748) | | | | 34,305,576 |
| REPURCHASE AGREEMENTS — 0.7% |
| Bank of America Securities LLC Joint Repurchase Agreement(8) | | $ 40,000 | | 40,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(8) | | 55,000 | | 55,000 |
| BNP Paribas SA Joint Repurchase Agreement(8) | | 40,000 | | 40,000 |
| Deutsche Bank AG Joint Repurchase Agreement(8) | | 40,000 | | 40,000 |
| RBS Securities, Inc. Joint Repurchase Agreement(8) | | 40,000 | | 40,000 |
Total Repurchase Agreements
(cost $215,000) | | | | 215,000 |
TOTAL INVESTMENTS
(cost $36,187,748)(9) | | 102.1% | | 34,520,576 |
| Other assets less liabilities | | (2.1) | | (699,225) |
| NET ASSETS | | 100.0% | | $33,821,351 |
| † | 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 SA Multi-Managed Growth Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $2,689,591 representing 8.0% of net assets. |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (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) | Interest Only |
| (5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts. |
| (6) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (7) | Principal amount of security is adjusted for inflation. |
| (8) | See Note 2 for details of Joint Repurchase Agreements. |
| (9) | See Note 4 for cost of investments on a tax basis. |
| CLO—Collateralized Loan Obligation |
| FRS—Floating Rate Security |
| H15T1Y—US Treasury Yield Curve Rate Note Constant Maturity 1 Year |
| REMIC—Real Estate Mortgage Investment Conduit |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
| RFUCCT6M—Refinitiv USD IBOR Consumer Cash Fallbacks Term 6 Month |
| SCRT—Structured Credit Risk Transfer |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| TBA—Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date. |
| TIPS—Treasury Inflation Protected Securities |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| VRS—Variable Rate Security |
| BRL—Brazilian Real |
| CNY—Chinese Yuan |
| EUR—Euro Currency |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
| Interest Rate Swaps |
Counterparty (OTC)/
Centrally cleared | Notional
amount | Currency | Payments
made | Payments
received | Fixed
payment
frequency | Floating
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value |
| Centrally Cleared | 105,000 | USD | Fixed 1.560% | 12-Month SOFR | Annual | Annual | Dec 2051 | $ (615) | | $ 43,698 | | $ 43,083 |
| Centrally Cleared | 20,000 | USD | Fixed 2.880 | 12-Month SOFR | Annual | Annual | Mar 2053 | 217 | | 3,643 | | 3,860 |
| Centrally Cleared | 55,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 174 | | 9,606 | | 9,780 |
| | | | | | | | | $(224) | | $56,947 | | $56,723 |
| Credit Default Swaps - Buyer(1) | |
Counterparty (OTC)/
Centrally cleared | Reference
obligation | Notional
amount(2) | Currency | USD
notional
amount(2) | | Pay
fixed
rate | Fixed
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | Value(3) | |
| Centrally Cleared | Federative Republic of Brazil | $39,000 | USD | $39,000 | | 1.000% | Quarterly | Jun 2027 | $1,602 | | $(1,198) | $404 | |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| SOFR—Secured Overnight Financing Rate |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
Appreciation |
| 1 | Short | Canada 10 Year Bonds | December 2023 | $ 87,031 | $ 84,763 | $ 2,268 |
| 1 | Short | Euro-BTP | December 2023 | 120,357 | 116,012 | 4,345 |
| 1 | Short | Euro-BUND | December 2023 | 138,833 | 136,005 | 2,828 |
| 2 | Short | U.S. Treasury Ultra Bonds | December 2023 | 247,781 | 237,375 | 10,406 |
| | | | | | | $19,847 |
| | | | | | | Unrealized
(Depreciation) |
| 4 | Long | Canada 5 Year Bonds | December 2023 | $321,733 | $317,998 | $ (3,735) |
| 3 | Long | Euro-Schatz | December 2023 | 334,177 | 333,002 | (1,175) |
| 5 | Long | U.S. Treasury 10 Year Notes | December 2023 | 546,684 | 540,313 | (6,371) |
| 4 | Long | U.S. Treasury 2 Year Notes | December 2023 | 812,648 | 810,843 | (1,805) |
| | | | | | | $(13,086) |
| | | Net Unrealized Appreciation (Depreciation) | | $ 6,761 |
| * | 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. |
Seasons Series Trust SA Multi-Managed Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Forward Foreign Currency Contracts |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| Deutsche Bank AG | EUR | 64,000 | USD | 68,838 | 12/20/2023 | $ 926 | | $— |
| Goldman Sachs International | BRL | 191,000 | USD | 38,084 | 12/20/2023 | 451 | | — |
| Unrealized Appreciation (Depreciation) | | | | | | $1,377 | | $— |
| BRL—Brazilian Real |
| EUR—Euro Currency |
| USD—United States Dollar |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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: | | | | | | | |
| Biotechnology | $ 1,824,926 | | $ — | | $ 0 | | $ 1,824,926 |
| Other Industries | 22,062,358 | | — | | — | | 22,062,358 |
| Corporate Bonds & Notes | — | | 3,169,766 | | — | | 3,169,766 |
| Asset Backed Securities | — | | 662,356 | | — | | 662,356 |
| Collateralized Mortgage Obligations | — | | 1,563,934 | | — | | 1,563,934 |
| U.S. Government & Agency Obligations | — | | 4,696,507 | | — | | 4,696,507 |
| Foreign Government Obligations | — | | 105,366 | | — | | 105,366 |
| Municipal Securities | — | | 160,158 | | — | | 160,158 |
| Escrows and Litigation Trusts | — | | 11 | | — | | 11 |
| Purchased Options | — | | 60,194 | | — | | 60,194 |
| Repurchase Agreements | — | | 215,000 | | — | | 215,000 |
| Total Investments at Value | $23,887,284 | | $10,633,292 | | $ 0 | | $34,520,576 |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 56,947 | | $— | | $ 56,947 |
| Futures Contracts | 19,847 | | — | | — | | 19,847 |
| Forward Foreign Currency Contracts | — | | 1,377 | | — | | 1,377 |
| Total Other Financial Instruments | $ 19,847 | | $ 58,324 | | $— | | $ 78,171 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 1,198 | | $— | | $ 1,198 |
| Futures Contracts | 13,086 | | — | | — | | 13,086 |
| Total Other Financial Instruments | $ 13,086 | | $ 1,198 | | $— | | $ 14,284 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| U.S. Government & Agency Obligations | 44.1% |
| Collateralized Mortgage Obligations | 16.0 |
| Other Asset Backed Securities | 7.1 |
| Internet | 6.6 |
| Software | 6.1 |
| Banks | 4.8 |
| Electric | 4.1 |
| Auto Loan Receivables | 2.6 |
| Foreign Government Obligations | 2.2 |
| Commercial Services | 1.8 |
| Municipal Securities | 1.7 |
| Oil & Gas | 1.6 |
| Media | 1.6 |
| Biotechnology | 1.5 |
| Diversified Financial Services | 1.5 |
| Advertising | 1.2 |
| Repurchase Agreements | 1.2 |
| Pipelines | 1.2 |
| Retail | 1.1 |
| REITS | 1.0 |
| Auto Manufacturers | 0.8 |
| Healthcare-Services | 0.7 |
| Telecommunications | 0.6 |
| Home Equity | 0.6 |
| Insurance | 0.6 |
| Gas | 0.5 |
| Agriculture | 0.5 |
| Semiconductors | 0.5 |
| Packaging & Containers | 0.5 |
| Apparel | 0.4 |
| Healthcare-Products | 0.4 |
| Environmental Control | 0.4 |
| Building Materials | 0.4 |
| Computers | 0.3 |
| Entertainment | 0.3 |
| Trucking & Leasing | 0.3 |
| Investment Companies | 0.2 |
| Chemicals | 0.2 |
| Mining | 0.2 |
| Office/Business Equipment | 0.2 |
| Aerospace/Defense | 0.2 |
| Hand/Machine Tools | 0.2 |
| Food | 0.1 |
| Home Builders | 0.1 |
| Pharmaceuticals | 0.1 |
| Machinery-Diversified | 0.1 |
| Iron/Steel | 0.1 |
| Electronics | 0.1 |
| Cosmetics/Personal Care | 0.1 |
| | 118.7% |
| Credit Quality†# | |
| Aaa | 54.8% |
| Aa | 1.2 |
| A | 7.3 |
| Baa | 14.1 |
| Ba | 6.4 |
| B | 1.4 |
| Caa | 0.6 |
| Ca | 0.2 |
| Not Rated@ | 14.0 |
|
| * | Calculated as a percentage of net assets |
| † | Source: Moody's | |
| # | Calculated as a percentage of total debt issues, excluding short-term securities. | |
| @ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. | |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES — 27.5% |
| Advertising — 0.1% |
| Lamar Media Corp. | | | |
| 3.63%, 01/15/2031 | | $ 5,000 | $ 4,072 |
| 4.88%, 01/15/2029 | | 35,000 | 31,675 |
| | | | 35,747 |
| Aerospace/Defense — 0.2% |
| Boeing Co. | | | |
| 5.04%, 05/01/2027 | | 15,000 | 14,645 |
| 5.15%, 05/01/2030 | | 22,000 | 21,021 |
| Northrop Grumman Corp. | | | |
| 5.15%, 05/01/2040 | | 15,000 | 13,694 |
| RTX Corp. | | | |
| 5.15%, 02/27/2033 | | 10,000 | 9,470 |
| | | | 58,830 |
| Agriculture — 0.5% |
| BAT Capital Corp. | | | |
| 6.34%, 08/02/2030 | | 10,000 | 9,850 |
| Philip Morris International, Inc. | | | |
| 4.88%, 02/15/2028 | | 25,000 | 24,219 |
| 5.13%, 11/17/2027 to 02/15/2030 | | 50,000 | 48,355 |
| 5.38%, 02/15/2033 | | 33,000 | 31,279 |
| 5.63%, 11/17/2029 to 09/07/2033 | | 25,000 | 24,311 |
| Reynolds American, Inc. | | | |
| 5.70%, 08/15/2035 | | 5,000 | 4,473 |
| | | | 142,487 |
| Apparel — 0.4% |
| Hanesbrands, Inc. | | | |
| 4.88%, 05/15/2026* | | 30,000 | 27,503 |
| William Carter Co. | | | |
| 5.63%, 03/15/2027* | | 90,000 | 86,557 |
| | | | 114,060 |
| Banks — 4.8% |
| Bank of America Corp. | | | |
| 1.90%, 07/23/2031 | | 5,000 | 3,799 |
| 2.30%, 07/21/2032 | | 20,000 | 15,155 |
| 2.59%, 04/29/2031 | | 30,000 | 24,108 |
| 2.69%, 04/22/2032 | | 70,000 | 55,016 |
| 3.19%, 07/23/2030 | | 114,000 | 97,444 |
| 5.20%, 04/25/2029 | | 25,000 | 24,083 |
| 5.93%, 09/15/2027 | | 35,000 | 34,740 |
| Barclays PLC | | | |
| 7.12%, 06/27/2034 | | 200,000 | 192,627 |
| Citigroup, Inc. | | | |
| 1.28%, 11/03/2025 | | 30,000 | 28,334 |
| Goldman Sachs Group, Inc. | | | |
| 2.62%, 04/22/2032 | | 62,000 | 48,427 |
| 3.81%, 04/23/2029 | | 30,000 | 27,241 |
| 4.02%, 10/31/2038 | | 10,000 | 7,872 |
| 4.48%, 08/23/2028 | | 40,000 | 37,860 |
| HSBC Holdings PLC | | | |
| 5.21%, 08/11/2028 | | 200,000 | 192,553 |
| Huntington Bancshares, Inc. | | | |
| 6.21%, 08/21/2029 | | 5,000 | 4,891 |
| JPMorgan Chase & Co. | | | |
| 3.70%, 05/06/2030 | | 60,000 | 53,513 |
| 4.01%, 04/23/2029 | | 73,000 | 67,275 |
| 5.30%, 07/24/2029 | | 25,000 | 24,324 |
| M&T Bank Corp. | | | |
| 5.05%, 01/27/2034 | | 25,000 | 21,619 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| Morgan Stanley | | | |
| 1.79%, 02/13/2032 | | $ 40,000 | $ 29,622 |
| 1.93%, 04/28/2032 | | 2,000 | 1,486 |
| 2.24%, 07/21/2032 | | 25,000 | 18,842 |
| 2.48%, 01/21/2028 | | 25,000 | 22,290 |
| 2.70%, 01/22/2031 | | 5,000 | 4,088 |
| 4.43%, 01/23/2030 | | 10,000 | 9,251 |
| 5.16%, 04/20/2029 | | 30,000 | 28,862 |
| 5.45%, 07/20/2029 | | 5,000 | 4,872 |
| Morgan Stanley VRS | | | |
| 3.59%, 07/22/2028(1) | | 20,000 | 18,248 |
| Wells Fargo & Co. | | | |
| 2.57%, 02/11/2031 | | 24,000 | 19,400 |
| 3.00%, 10/23/2026 | | 60,000 | 55,103 |
| 3.35%, 03/02/2033 | | 20,000 | 16,167 |
| 4.90%, 07/25/2033 | | 15,000 | 13,575 |
| 5.39%, 04/24/2034 | | 10,000 | 9,349 |
| 5.57%, 07/25/2029 | | 70,000 | 68,291 |
| | | | 1,280,327 |
| Biotechnology — 0.3% |
| Amgen, Inc. | | | |
| 5.25%, 03/02/2030 to 03/02/2033 | | 52,000 | 49,815 |
| CSL Finance PLC | | | |
| 4.05%, 04/27/2029* | | 13,000 | 12,126 |
| Royalty Pharma PLC | | | |
| 2.15%, 09/02/2031 | | 13,000 | 9,728 |
| 2.20%, 09/02/2030 | | 10,000 | 7,764 |
| 3.55%, 09/02/2050 | | 20,000 | 12,224 |
| | | | 91,657 |
| Building Materials — 0.4% |
| Builders FirstSource, Inc. | | | |
| 5.00%, 03/01/2030* | | 55,000 | 49,038 |
| Standard Industries, Inc. | | | |
| 3.38%, 01/15/2031* | | 10,000 | 7,730 |
| 4.38%, 07/15/2030* | | 50,000 | 41,410 |
| | | | 98,178 |
| Chemicals — 0.2% |
| Celanese US Holdings LLC | | | |
| 6.17%, 07/15/2027 | | 25,000 | 24,652 |
| 6.33%, 07/15/2029 | | 20,000 | 19,604 |
| 6.55%, 11/15/2030 | | 15,000 | 14,680 |
| Sherwin-Williams Co. | | | |
| 4.50%, 06/01/2047 | | 5,000 | 3,998 |
| | | | 62,934 |
| Commercial Services — 0.8% |
| Gartner, Inc. | | | |
| 4.50%, 07/01/2028* | | 25,000 | 22,808 |
| Howard University | | | |
| 2.80%, 10/01/2030 | | 15,000 | 12,427 |
| 2.90%, 10/01/2031 | | 10,000 | 8,118 |
| 3.48%, 10/01/2041 | | 15,000 | 10,267 |
| Service Corp. International | | | |
| 3.38%, 08/15/2030 | | 50,000 | 40,300 |
| 5.13%, 06/01/2029 | | 77,000 | 71,186 |
| United Rentals North America, Inc. | | | |
| 4.88%, 01/15/2028 | | 40,000 | 37,364 |
| | | | 202,470 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Computers — 0.3% |
| Booz Allen Hamilton, Inc. | | | |
| 3.88%, 09/01/2028* | | $ 85,000 | $ 76,151 |
| Cosmetics/Personal Care — 0.1% |
| Kenvue, Inc. | | | |
| 5.05%, 03/22/2053* | | 18,000 | 16,350 |
| Distribution/Wholesale — 0.0% |
| LKQ Corp. | | | |
| 5.75%, 06/15/2028* | | 10,000 | 9,769 |
| Diversified Financial Services — 1.2% |
| Capital One Financial Corp. | | | |
| 1.88%, 11/02/2027 | | 65,000 | 56,566 |
| 3.27%, 03/01/2030 | | 15,000 | 12,548 |
| 5.25%, 07/26/2030 | | 15,000 | 13,905 |
| 5.47%, 02/01/2029 | | 10,000 | 9,519 |
| 5.82%, 02/01/2034 | | 10,000 | 9,012 |
| 6.31%, 06/08/2029 | | 5,000 | 4,886 |
| 6.38%, 06/08/2034 | | 15,000 | 14,156 |
| GTP Acquisition Partners I LLC | | | |
| 3.48%, 06/15/2050* | | 160,000 | 153,094 |
| Intercontinental Exchange, Inc. | | | |
| 4.35%, 06/15/2029 | | 6,000 | 5,642 |
| Nasdaq, Inc. | | | |
| 5.35%, 06/28/2028 | | 10,000 | 9,817 |
| 5.55%, 02/15/2034 | | 10,000 | 9,545 |
| OneMain Finance Corp. | | | |
| 6.13%, 03/15/2024 | | 5,000 | 4,984 |
| Synchrony Financial | | | |
| 2.88%, 10/28/2031 | | 10,000 | 7,085 |
| 7.25%, 02/02/2033 | | 15,000 | 13,239 |
| | | | 323,998 |
| Electric — 4.1% |
| AES Corp. | | | |
| 3.30%, 07/15/2025* | | 25,000 | 23,679 |
| Alabama Power Co. | | | |
| 3.45%, 10/01/2049 | | 15,000 | 9,968 |
| 4.15%, 08/15/2044 | | 20,000 | 15,381 |
| Arizona Public Service Co. | | | |
| 5.55%, 08/01/2033 | | 5,000 | 4,847 |
| Berkshire Hathaway Energy Co. | | | |
| 1.65%, 05/15/2031 | | 13,000 | 9,729 |
| 4.60%, 05/01/2053 | | 10,000 | 7,811 |
| Cleco Corporate Holdings LLC | | | |
| 3.38%, 09/15/2029 | | 13,000 | 10,859 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.20%, 12/01/2051 | | 15,000 | 9,394 |
| Dominion Energy, Inc. | | | |
| 3.38%, 04/01/2030 | | 5,000 | 4,301 |
| 5.38%, 11/15/2032 | | 56,000 | 53,464 |
| Duke Energy Carolinas LLC | | | |
| 2.55%, 04/15/2031 | | 15,000 | 12,293 |
| Duke Energy Corp. | | | |
| 2.55%, 06/15/2031 | | 35,000 | 27,752 |
| 4.50%, 08/15/2032 | | 20,000 | 17,991 |
| 5.00%, 08/15/2052 | | 5,000 | 4,156 |
| Duke Energy Indiana LLC | | | |
| 2.75%, 04/01/2050 | | 30,000 | 17,179 |
| Duke Energy Progress LLC | | | |
| 3.70%, 10/15/2046 | | 22,000 | 15,264 |
| 4.00%, 04/01/2052 | | 10,000 | 7,275 |
| 4.38%, 03/30/2044 | | 15,000 | 11,976 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| Edison International | | | |
| 5.25%, 11/15/2028 | | $ 20,000 | $ 19,243 |
| 6.95%, 11/15/2029 | | 35,000 | 36,096 |
| Emera, Inc. | | | |
| 6.75%, 06/15/2076 | | 10,000 | 9,600 |
| Evergy Metro, Inc. | | | |
| 2.25%, 06/01/2030 | | 5,000 | 4,035 |
| Evergy, Inc. | | | |
| 2.45%, 09/15/2024 | | 15,000 | 14,490 |
| 2.90%, 09/15/2029 | | 10,000 | 8,541 |
| Eversource Energy | | | |
| 5.13%, 05/15/2033 | | 35,000 | 32,554 |
| 5.45%, 03/01/2028 | | 5,000 | 4,942 |
| Florida Power & Light Co. | | | |
| 5.10%, 04/01/2033 | | 10,000 | 9,674 |
| Georgia Power Co. | | | |
| 4.30%, 03/15/2042 | | 12,000 | 9,599 |
| 4.70%, 05/15/2032 | | 10,000 | 9,265 |
| IPALCO Enterprises, Inc. | | | |
| 3.70%, 09/01/2024 | | 10,000 | 9,767 |
| Kentucky Utilities Co. | | | |
| 5.45%, 04/15/2033 | | 10,000 | 9,770 |
| Monongahela Power Co. | | | |
| 5.85%, 02/15/2034* | | 10,000 | 9,815 |
| National Grid PLC | | | |
| 5.60%, 06/12/2028 | | 5,000 | 4,946 |
| National Rural Utilities Cooperative Finance Corp. | | | |
| 5.80%, 01/15/2033 | | 10,000 | 9,985 |
| Nextera Energy Capital Holdings, Inc. | | | |
| 2.25%, 06/01/2030 | | 15,000 | 12,009 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 1.88%, 01/15/2027 | | 10,000 | 8,855 |
| 4.63%, 07/15/2027 | | 42,000 | 40,482 |
| 5.00%, 02/28/2030 to 07/15/2032 | | 25,000 | 23,572 |
| 6.05%, 03/01/2025 | | 5,000 | 5,008 |
| NRG Energy, Inc. | | | |
| 2.45%, 12/02/2027* | | 18,000 | 15,258 |
| Oglethorpe Power Corp. | | | |
| 4.50%, 04/01/2047 | | 15,000 | 11,204 |
| Ohio Edison Co. | | | |
| 5.50%, 01/15/2033* | | 10,000 | 9,567 |
| Pacific Gas & Electric Co. | | | |
| 2.50%, 02/01/2031 | | 35,000 | 26,627 |
| 4.55%, 07/01/2030 | | 20,000 | 17,679 |
| 4.95%, 07/01/2050 | | 16,000 | 11,926 |
| 5.25%, 03/01/2052 | | 10,000 | 7,707 |
| 5.90%, 06/15/2032 | | 40,000 | 37,356 |
| 6.10%, 01/15/2029 | | 50,000 | 48,836 |
| 6.15%, 01/15/2033 | | 25,000 | 23,711 |
| 6.40%, 06/15/2033 | | 45,000 | 43,373 |
| PPL Capital Funding, Inc. | | | |
| 4.13%, 04/15/2030 | | 5,000 | 4,490 |
| Puget Energy, Inc. | | | |
| 2.38%, 06/15/2028 | | 15,000 | 12,831 |
| 4.10%, 06/15/2030 | | 24,000 | 20,912 |
| Sempra | | | |
| 3.70%, 04/01/2029 | | 4,000 | 3,604 |
| 5.40%, 08/01/2026 | | 15,000 | 14,841 |
| Sempra Energy | | | |
| 3.40%, 02/01/2028 | | 15,000 | 13,653 |
| Southern California Edison Co. | | | |
| 2.85%, 08/01/2029 | | 2,000 | 1,725 |
| 5.30%, 03/01/2028 | | 15,000 | 14,805 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Electric (continued) |
| 5.85%, 11/01/2027 | | $ 5,000 | $ 5,027 |
| Southern Co. | | | |
| 3.25%, 07/01/2026 | | 25,000 | 23,441 |
| 3.70%, 04/30/2030 | | 5,000 | 4,429 |
| 5.20%, 06/15/2033 | | 15,000 | 14,178 |
| 5.70%, 03/15/2034 | | 10,000 | 9,793 |
| Southwestern Electric Power Co. | | | |
| 5.30%, 04/01/2033 | | 50,000 | 47,213 |
| Virginia Electric & Power Co. | | | |
| 5.00%, 04/01/2033 | | 25,000 | 23,437 |
| Xcel Energy, Inc. | | | |
| 1.75%, 03/15/2027 | | 55,000 | 48,405 |
| 4.60%, 06/01/2032 | | 13,000 | 11,797 |
| | | | 1,083,392 |
| Electronics — 0.1% |
| Sensata Technologies BV | | | |
| 5.00%, 10/01/2025* | | 20,000 | 19,389 |
| Entertainment — 0.3% |
| Warnermedia Holdings, Inc. | | | |
| 5.14%, 03/15/2052 | | 20,000 | 14,861 |
| WMG Acquisition Corp. | | | |
| 3.75%, 12/01/2029* | | 5,000 | 4,200 |
| 3.88%, 07/15/2030* | | 65,000 | 54,905 |
| | | | 73,966 |
| Environmental Control — 0.4% |
| Clean Harbors, Inc. | | | |
| 4.88%, 07/15/2027* | | 85,000 | 80,098 |
| Veralto Corp. | | | |
| 5.35%, 09/18/2028* | | 20,000 | 19,774 |
| | | | 99,872 |
| Food — 0.1% |
| Kellanova | | | |
| 3.40%, 11/15/2027 | | 20,000 | 18,381 |
| Conagra Brands, Inc. | | | |
| 4.85%, 11/01/2028 | | 15,000 | 14,321 |
| General Mills, Inc. | | | |
| 4.95%, 03/29/2033 | | 5,000 | 4,685 |
| | | | 37,387 |
| Gas — 0.5% |
| Brooklyn Union Gas Co. | | | |
| 6.39%, 09/15/2033* | | 20,000 | 19,618 |
| KeySpan Gas East Corp. | | | |
| 5.99%, 03/06/2033* | | 20,000 | 19,301 |
| NiSource, Inc. | | | |
| 3.49%, 05/15/2027 | | 30,000 | 27,806 |
| 3.60%, 05/01/2030 | | 29,000 | 25,261 |
| 5.25%, 03/30/2028 | | 25,000 | 24,501 |
| Piedmont Natural Gas Co., Inc. | | | |
| 5.40%, 06/15/2033 | | 10,000 | 9,534 |
| Southern California Gas Co. | | | |
| 5.20%, 06/01/2033 | | 15,000 | 14,190 |
| Southern Co. Gas Capital Corp. | | | |
| 5.75%, 09/15/2033 | | 5,000 | 4,902 |
| | | | 145,113 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Hand/Machine Tools — 0.2% |
| Regal Rexnord Corp. | | | |
| 6.05%, 04/15/2028* | | $ 35,000 | $ 34,043 |
| 6.30%, 02/15/2030* | | 15,000 | 14,490 |
| | | | 48,533 |
| Healthcare-Products — 0.3% |
| Avantor Funding, Inc. | | | |
| 4.63%, 07/15/2028* | | 50,000 | 45,584 |
| Hologic, Inc. | | | |
| 4.63%, 02/01/2028* | | 44,000 | 40,487 |
| | | | 86,071 |
| Healthcare-Services — 0.7% |
| Centene Corp. | | | |
| 2.45%, 07/15/2028 | | 20,000 | 16,897 |
| 4.63%, 12/15/2029 | | 80,000 | 72,050 |
| CommonSpirit Health | | | |
| 3.35%, 10/01/2029 | | 5,000 | 4,365 |
| Humana, Inc. | | | |
| 3.70%, 03/23/2029 | | 20,000 | 18,244 |
| Kaiser Foundation Hospitals | | | |
| 2.81%, 06/01/2041 | | 5,000 | 3,358 |
| 3.00%, 06/01/2051 | | 15,000 | 9,442 |
| Sutter Health | | | |
| 3.36%, 08/15/2050 | | 8,000 | 5,229 |
| UnitedHealth Group, Inc. | | | |
| 2.75%, 05/15/2040 | | 26,000 | 17,665 |
| 3.50%, 08/15/2039 | | 10,000 | 7,700 |
| 4.95%, 05/15/2062 | | 5,000 | 4,310 |
| 5.25%, 02/15/2028 | | 5,000 | 5,009 |
| 5.88%, 02/15/2053 | | 10,000 | 10,036 |
| 6.05%, 02/15/2063 | | 5,000 | 5,059 |
| | | | 179,364 |
| Home Builders — 0.1% |
| Taylor Morrison Communities, Inc. | | | |
| 5.75%, 01/15/2028* | | 37,000 | 34,465 |
| Insurance — 0.6% |
| Aon Corp./Aon Global Holdings PLC | | | |
| 5.35%, 02/28/2033 | | 10,000 | 9,587 |
| Athene Global Funding | | | |
| 2.65%, 10/04/2031* | | 45,000 | 33,319 |
| 2.72%, 01/07/2029* | | 34,000 | 28,243 |
| Equitable Financial Life Global Funding | | | |
| 1.80%, 03/08/2028* | | 56,000 | 46,865 |
| Marsh & McLennan Cos., Inc. | | | |
| 4.75%, 03/15/2039 | | 11,000 | 9,654 |
| Willis North America, Inc. | | | |
| 3.60%, 05/15/2024 | | 20,000 | 19,682 |
| | | | 147,350 |
| Internet — 0.5% |
| Gen Digital, Inc. | | | |
| 5.00%, 04/15/2025* | | 45,000 | 43,959 |
| 6.75%, 09/30/2027* | | 20,000 | 19,607 |
| Go Daddy Operating Co. LLC/GD Finance Co., Inc. | | | |
| 5.25%, 12/01/2027* | | 82,000 | 77,350 |
| | | | 140,916 |
| Investment Companies — 0.2% |
| Bain Capital Specialty Finance, Inc. | | | |
| 2.55%, 10/13/2026 | | 75,000 | 64,680 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Iron/Steel — 0.1% |
| ArcelorMittal SA | | | |
| 6.80%, 11/29/2032 | | $ 20,000 | $ 19,863 |
| Machinery-Diversified — 0.1% |
| Ingersoll Rand, Inc. | | | |
| 5.70%, 08/14/2033 | | 5,000 | 4,825 |
| Otis Worldwide Corp. | | | |
| 2.57%, 02/15/2030 | | 24,000 | 19,898 |
| | | | 24,723 |
| Media — 1.6% |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | |
| 4.50%, 08/15/2030* | | 70,000 | 57,457 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
| 3.50%, 03/01/2042 | | 5,000 | 3,090 |
| 4.80%, 03/01/2050 | | 35,000 | 24,474 |
| 5.13%, 07/01/2049 | | 13,000 | 9,477 |
| 6.48%, 10/23/2045 | | 20,000 | 17,463 |
| Comcast Corp. | | | |
| 3.20%, 07/15/2036 | | 10,000 | 7,711 |
| 3.25%, 11/01/2039 | | 19,000 | 13,880 |
| 3.40%, 07/15/2046 | | 5,000 | 3,406 |
| Cox Communications, Inc. | | | |
| 2.60%, 06/15/2031* | | 23,000 | 17,917 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/2030 | | 10,000 | 8,464 |
| 4.00%, 09/15/2055 | | 31,000 | 18,599 |
| 5.20%, 09/20/2047 | | 15,000 | 11,372 |
| 5.30%, 05/15/2049 | | 40,000 | 30,629 |
| Paramount Global | | | |
| 4.20%, 05/19/2032 | | 20,000 | 15,899 |
| 4.38%, 03/15/2043 | | 22,000 | 14,229 |
| 4.95%, 01/15/2031 | | 63,000 | 54,102 |
| 5.25%, 04/01/2044 | | 15,000 | 10,474 |
| Sirius XM Radio, Inc. | | | |
| 3.13%, 09/01/2026* | | 60,000 | 53,475 |
| 4.00%, 07/15/2028* | | 15,000 | 12,804 |
| Time Warner Cable LLC | | | |
| 4.50%, 09/15/2042 | | 13,000 | 9,007 |
| 5.88%, 11/15/2040 | | 45,000 | 37,285 |
| | | | 431,214 |
| Mining — 0.2% |
| FMG Resources August 2006 Pty, Ltd. | | | |
| 4.38%, 04/01/2031* | | 10,000 | 8,228 |
| Glencore Funding LLC | | | |
| 2.85%, 04/27/2031* | | 10,000 | 7,935 |
| 5.70%, 05/08/2033* | | 15,000 | 14,224 |
| 6.38%, 10/06/2030* | | 30,000 | 29,919 |
| | | | 60,306 |
| Office/Business Equipment — 0.2% |
| CDW LLC/CDW Finance Corp. | | | |
| 2.67%, 12/01/2026 | | 5,000 | 4,510 |
| 3.25%, 02/15/2029 | | 64,000 | 54,572 |
| | | | 59,082 |
| Oil & Gas — 1.6% |
| Apache Corp. | | | |
| 4.88%, 11/15/2027 | | 30,000 | 27,954 |
| BP Capital Markets America, Inc. | | | |
| 2.94%, 06/04/2051 | | 18,000 | 10,990 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| 3.00%, 02/24/2050 | | $ 5,000 | $ 3,118 |
| 4.81%, 02/13/2033 | | 30,000 | 28,076 |
| 4.89%, 09/11/2033 | | 22,000 | 20,654 |
| ConocoPhillips Co. | | | |
| 4.03%, 03/15/2062 | | 5,000 | 3,592 |
| 5.05%, 09/15/2033 | | 20,000 | 19,146 |
| 5.70%, 09/15/2063 | | 20,000 | 19,054 |
| Continental Resources, Inc. | | | |
| 2.88%, 04/01/2032* | | 5,000 | 3,744 |
| 5.75%, 01/15/2031* | | 10,000 | 9,395 |
| Ecopetrol SA | | | |
| 4.63%, 11/02/2031 | | 7,000 | 5,344 |
| 8.63%, 01/19/2029 | | 40,000 | 40,142 |
| Energean Israel Finance, Ltd. | | | |
| 4.88%, 03/30/2026* | | 10,000 | 9,288 |
| 5.88%, 03/30/2031* | | 30,000 | 26,018 |
| Equinor ASA | | | |
| 3.63%, 04/06/2040 | | 10,000 | 7,717 |
| 3.70%, 04/06/2050 | | 10,000 | 7,301 |
| Hess Corp. | | | |
| 7.13%, 03/15/2033 | | 3,000 | 3,168 |
| 7.30%, 08/15/2031 | | 15,000 | 15,889 |
| Leviathan Bond, Ltd. | | | |
| 6.50%, 06/30/2027* | | 50,000 | 47,375 |
| Marathon Oil Corp. | | | |
| 6.60%, 10/01/2037 | | 10,000 | 9,739 |
| Occidental Petroleum Corp. | | | |
| 6.45%, 09/15/2036 | | 10,000 | 9,819 |
| 6.63%, 09/01/2030 | | 10,000 | 10,133 |
| Ovintiv, Inc. | | | |
| 6.50%, 08/15/2034 | | 5,000 | 4,924 |
| 6.63%, 08/15/2037 | | 5,000 | 4,797 |
| 7.38%, 11/01/2031 | | 36,000 | 37,721 |
| Patterson-UTI Energy, Inc. | | | |
| 7.15%, 10/01/2033 | | 5,000 | 5,018 |
| Shell International Finance BV | | | |
| 2.88%, 11/26/2041 | | 10,000 | 6,787 |
| 3.00%, 11/26/2051 | | 5,000 | 3,122 |
| 3.25%, 04/06/2050 | | 13,000 | 8,632 |
| Viper Energy Partners LP | | | |
| 5.38%, 11/01/2027* | | 27,000 | 25,575 |
| | | | 434,232 |
| Packaging & Containers — 0.5% |
| Ball Corp. | | | |
| 4.00%, 11/15/2023 | | 10,000 | 9,954 |
| 6.00%, 06/15/2029 | | 80,000 | 77,666 |
| Graphic Packaging International LLC | | | |
| 4.75%, 07/15/2027* | | 40,000 | 37,705 |
| | | | 125,325 |
| Pharmaceuticals — 0.1% |
| CVS Health Corp. | | | |
| 4.13%, 04/01/2040 | | 5,000 | 3,886 |
| 5.13%, 02/21/2030 | | 10,000 | 9,618 |
| 5.25%, 01/30/2031 | | 15,000 | 14,413 |
| | | | 27,917 |
| Pipelines — 1.2% |
| Cheniere Energy Partners LP | | | |
| 4.50%, 10/01/2029 | | 10,000 | 9,055 |
| Columbia Pipelines Holding Co. LLC | | | |
| 6.04%, 08/15/2028* | | 15,000 | 14,924 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Pipelines (continued) |
| Columbia Pipelines Operating Co. LLC | | | |
| 5.93%, 08/15/2030* | | $ 5,000 | $ 4,936 |
| 6.04%, 11/15/2033* | | 15,000 | 14,642 |
| 6.54%, 11/15/2053* | | 5,000 | 4,888 |
| Enbridge, Inc. | | | |
| 5.70%, 03/08/2033 | | 40,000 | 38,320 |
| 8.50%, 01/15/2084 | | 25,000 | 24,794 |
| Energy Transfer LP | | | |
| 6.13%, 12/15/2045 | | 9,000 | 8,005 |
| EQM Midstream Partners LP | | | |
| 4.13%, 12/01/2026 | | 30,000 | 27,770 |
| MPLX LP | | | |
| 4.95%, 09/01/2032 | | 16,000 | 14,571 |
| 5.20%, 03/01/2047 | | 5,000 | 4,083 |
| ONEOK, Inc. | | | |
| 3.40%, 09/01/2029 | | 15,000 | 13,018 |
| 4.35%, 03/15/2029 | | 5,000 | 4,611 |
| 6.10%, 11/15/2032 | | 19,000 | 18,760 |
| Sabine Pass Liquefaction LLC | | | |
| 4.50%, 05/15/2030 | | 10,000 | 9,171 |
| Targa Resources Corp. | | | |
| 4.20%, 02/01/2033 | | 5,000 | 4,251 |
| 6.13%, 03/15/2033 | | 17,000 | 16,665 |
| 6.25%, 07/01/2052 | | 5,000 | 4,591 |
| TransCanada PipeLines, Ltd. | | | |
| 2.50%, 10/12/2031 | | 10,000 | 7,743 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 3.25%, 05/15/2030 | | 8,000 | 6,862 |
| Western Midstream Operating LP | | | |
| 4.75%, 08/15/2028 | | 25,000 | 23,381 |
| 6.15%, 04/01/2033 | | 15,000 | 14,466 |
| Williams Cos., Inc. | | | |
| 4.65%, 08/15/2032 | | 22,000 | 20,013 |
| 5.65%, 03/15/2033 | | 10,000 | 9,663 |
| | | | 319,183 |
| REITS — 1.0% |
| American Tower Corp. | | | |
| 1.45%, 09/15/2026 | | 15,000 | 13,219 |
| 2.40%, 03/15/2025 | | 10,000 | 9,481 |
| 2.70%, 04/15/2031 | | 5,000 | 3,965 |
| 3.80%, 08/15/2029 | | 10,000 | 8,895 |
| 5.80%, 11/15/2028 | | 15,000 | 14,887 |
| Crown Castle, Inc. | | | |
| 4.80%, 09/01/2028 | | 40,000 | 37,967 |
| 5.00%, 01/11/2028 | | 20,000 | 19,321 |
| Crown Castle, Inc. | | | |
| 2.90%, 03/15/2027 | | 15,000 | 13,605 |
| Equinix, Inc. | | | |
| 3.20%, 11/18/2029 | | 20,000 | 17,127 |
| GLP Capital LP/GLP Financing II, Inc. | | | |
| 4.00%, 01/15/2031 | | 19,000 | 15,818 |
| 5.30%, 01/15/2029 | | 25,000 | 23,176 |
| 5.75%, 06/01/2028 | | 10,000 | 9,588 |
| SBA Tower Trust | | | |
| 2.84%, 01/15/2025* | | 40,000 | 38,286 |
| VICI Properties LP | | | |
| 4.95%, 02/15/2030 | | 31,000 | 28,364 |
| | | | 253,699 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail — 0.8% |
| AutoZone, Inc. | | | |
| 4.75%, 08/01/2032 | | $ 14,000 | $ 12,842 |
| FirstCash, Inc. | | | |
| 4.63%, 09/01/2028* | | 50,000 | 44,304 |
| 5.63%, 01/01/2030* | | 40,000 | 35,989 |
| Gap, Inc. | | | |
| 3.63%, 10/01/2029* | | 52,000 | 38,481 |
| 3.88%, 10/01/2031* | | 58,000 | 40,752 |
| O'Reilly Automotive, Inc. | | | |
| 4.35%, 06/01/2028 | | 5,000 | 4,775 |
| 4.70%, 06/15/2032 | | 28,000 | 25,659 |
| | | | 202,802 |
| Semiconductors — 0.5% |
| Broadcom, Inc. | | | |
| 4.00%, 04/15/2029* | | 30,000 | 27,072 |
| 4.30%, 11/15/2032 | | 15,000 | 13,087 |
| Intel Corp. | | | |
| 3.05%, 08/12/2051 | | 9,000 | 5,471 |
| 3.10%, 02/15/2060 | | 5,000 | 2,875 |
| 5.90%, 02/10/2063 | | 12,000 | 11,376 |
| Marvell Technology, Inc. | | | |
| 2.45%, 04/15/2028 | | 15,000 | 12,957 |
| 2.95%, 04/15/2031 | | 15,000 | 12,135 |
| 5.95%, 09/15/2033 | | 5,000 | 4,907 |
| NXP BV/NXP Funding LLC | | | |
| 5.35%, 03/01/2026 | | 15,000 | 14,777 |
| 5.55%, 12/01/2028 | | 10,000 | 9,788 |
| Qorvo, Inc. | | | |
| 3.38%, 04/01/2031* | | 20,000 | 15,841 |
| | | | 130,286 |
| Software — 1.3% |
| Black Knight InfoServ LLC | | | |
| 3.63%, 09/01/2028* | | 59,000 | 52,879 |
| Fair Isaac Corp. | | | |
| 4.00%, 06/15/2028* | | 60,000 | 53,645 |
| MSCI, Inc. | | | |
| 3.63%, 11/01/2031* | | 20,000 | 16,362 |
| 3.88%, 02/15/2031* | | 10,000 | 8,472 |
| 4.00%, 11/15/2029* | | 10,000 | 8,783 |
| Open Text Corp. | | | |
| 3.88%, 12/01/2029* | | 50,000 | 41,101 |
| 6.90%, 12/01/2027* | | 40,000 | 40,091 |
| Oracle Corp. | | | |
| 2.30%, 03/25/2028 | | 25,000 | 21,659 |
| 2.95%, 04/01/2030 | | 5,000 | 4,207 |
| 3.60%, 04/01/2040 | | 6,000 | 4,335 |
| 3.85%, 04/01/2060 | | 54,000 | 34,339 |
| 4.10%, 03/25/2061 | | 5,000 | 3,335 |
| 4.90%, 02/06/2033 | | 15,000 | 13,826 |
| SS&C Technologies, Inc. | | | |
| 5.50%, 09/30/2027* | | 50,000 | 47,182 |
| | | | 350,216 |
| Telecommunications — 0.6% |
| AT&T, Inc. | | | |
| 2.55%, 12/01/2033 | | 20,000 | 14,690 |
| 3.55%, 09/15/2055 | | 38,000 | 23,262 |
| 3.80%, 12/01/2057 | | 5,000 | 3,168 |
| 4.50%, 05/15/2035 | | 5,000 | 4,265 |
| 5.40%, 02/15/2034 | | 10,000 | 9,359 |
| Nokia Oyj | | | |
| 6.63%, 05/15/2039 | | 15,000 | 13,444 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Telecommunications (continued) |
| Rogers Communications, Inc. | | | |
| 3.80%, 03/15/2032 | | $ 13,000 | $ 10,803 |
| T-Mobile USA, Inc. | | | |
| 2.05%, 02/15/2028 | | 21,000 | 18,057 |
| 3.88%, 04/15/2030 | | 10,000 | 8,860 |
| 5.05%, 07/15/2033 | | 25,000 | 23,195 |
| 5.75%, 01/15/2034 | | 10,000 | 9,755 |
| Verizon Communications, Inc. | | | |
| 2.55%, 03/21/2031 | | 7,000 | 5,574 |
| 2.85%, 09/03/2041 | | 26,000 | 16,809 |
| | | | 161,241 |
| Trucking & Leasing — 0.3% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. | | | |
| 2.70%, 11/01/2024* | | 35,000 | 33,692 |
| 4.00%, 07/15/2025* | | 10,000 | 9,605 |
| 4.40%, 07/01/2027* | | 21,000 | 19,680 |
| 6.05%, 08/01/2028* | | 5,000 | 4,937 |
| | | | 67,914 |
Total Corporate Bonds & Notes
(cost $8,168,397) | | | 7,341,459 |
| ASSET BACKED SECURITIES — 10.3% |
| Auto Loan Receivables — 2.6% |
| American Credit Acceptance Receivables Trust | | | |
Series 2023-3, Class B
6.09%, 11/12/2027* | | 20,000 | 19,967 |
| AmeriCredit Automobile Receivables Trust | | | |
Series 2019-3, Class D
2.58%, 09/18/2025 | | 40,000 | 39,337 |
| ARI Fleet Lease Trust | | | |
Series 2023-A, Class A2
5.41%, 02/17/2032* | | 100,000 | 99,128 |
| Chesapeake Funding II LLC | | | |
Series 2023-1A, Class A1
5.65%, 05/15/2035* | | 89,399 | 88,795 |
| Drive Auto Receivables Trust | | | |
Series 2019-4, Class D
2.70%, 02/16/2027 | | 15,046 | 14,929 |
| DT Auto Owner Trust | | | |
Series 2023-1A, Class B
5.19%, 10/16/2028* | | 15,000 | 14,778 |
Series 2023-2A, Class B
5.41%, 02/15/2029* | | 15,000 | 14,779 |
| Exeter Automobile Receivables Trust | | | |
Series 2022-1A, Class B
2.18%, 06/15/2026 | | 12,744 | 12,657 |
Series 2019-4A, Class D
2.58%, 09/15/2025* | | 30,478 | 30,012 |
Series 2020-1A, Class D
2.73%, 12/15/2025* | | 12,912 | 12,679 |
Series 2023-1A, Class B
5.72%, 04/15/2027 | | 20,000 | 19,859 |
Series 2022-6A, Class B
6.03%, 08/16/2027 | | 9,000 | 8,945 |
Series 2023-3A, Class B
6.11%, 09/15/2027 | | 8,000 | 7,971 |
| Flagship Credit Auto Trust | | | |
Series 2023-1, Class B
5.05%, 01/18/2028* | | 10,000 | 9,764 |
Series 2023-2, Class B
5.21%, 05/15/2028* | | 19,000 | 18,570 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Auto Loan Receivables (continued) |
| Hertz Vehicle Financing III LLC | | | |
Series 2023-3A, Class A
5.94%, 02/25/2028* | | $ 100,000 | $ 99,749 |
| Prestige Auto Receivables Trust | | | |
Series 2022-1A, Class B
6.55%, 07/17/2028* | | 30,000 | 29,968 |
| Santander Drive Auto Receivables Trust | | | |
Series 2023-1, Class B
4.98%, 02/15/2028 | | 15,000 | 14,739 |
Series 2023-3, Class B
5.61%, 07/17/2028 | | 25,000 | 24,769 |
Series 2023-4, Class B
5.77%, 12/15/2028 | | 30,000 | 29,891 |
| SFS Auto Receivables Securitization Trust | | | |
Series 2023-1A, Class B
5.71%, 01/22/2030* | | 10,000 | 9,826 |
| Westlake Automobile Receivables Trust | | | |
Series 2020-3A, Class D
1.65%, 02/17/2026* | | 30,000 | 29,121 |
Series 2023-1A, Class B
5.41%, 01/18/2028* | | 10,000 | 9,874 |
Series 2023-2A, Class B
6.14%, 03/15/2028* | | 35,000 | 34,941 |
| World Omni Auto Receivables Trust | | | |
Series 2023-A, Class B
5.03%, 05/15/2029 | | 15,000 | 14,620 |
| | | | 709,668 |
| Home Equity — 0.6% |
| Asset Backed Securities Corp. Home Equity Loan Trust FRS | | | |
Series 2004-HE7, Class M2
7.01%, (TSFR1M+1.69%), 10/25/2034 | | 1,165 | 1,162 |
| Option One Mtg. Loan Trust FRS | | | |
Series 2006-3, Class 2A2
5.53%, (TSFR1M+0.21%), 02/25/2037 | | 31,627 | 15,612 |
| Soundview Home Loan Trust FRS | | | |
Series 2006-3, Class A4
5.93%, (TSFR1M+0.61%), 11/25/2036 | | 149,215 | 136,838 |
| | | | 153,612 |
| Other Asset Backed Securities — 7.1% |
| 510 Asset Backed Trust | | | |
Series 2021-NPL2, Class A1
2.12%, 06/25/2061*(2) | | 49,807 | 45,531 |
| Aligned Data Centers Issuer LLC | | | |
Series 2023-1A, Class A2
6.00%, 08/17/2048* | | 40,000 | 38,478 |
| BlueMountain CLO XXIV, Ltd. FRS | | | |
Series 2019-24A, Class AR
6.69%, (SOFR30A+1.36%), 04/20/2034* | | 250,000 | 247,455 |
| CNH Equipment Trust | | | |
Series 2023-A, Class A4
4.77%, 10/15/2030 | | 10,000 | 9,739 |
| Columbia Cent CLO, Ltd. FRS | | | |
Series 2018-27A, Class AR
6.80%, (TSFR1M+1.45%), 01/25/2035* | | 250,000 | 245,282 |
| DLLAA LLC | | | |
Series 2023-1A, Class A3
5.64%, 02/22/2028* | | 15,000 | 14,973 |
| Domino's Pizza Master Issuer LLC | | | |
Series 2021-1A, Class A2I
2.66%, 04/25/2051* | | 48,875 | 41,203 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| ASSET BACKED SECURITIES (continued) |
| Other Asset Backed Securities (continued) |
Series 2018-1A, Class A2I
4.12%, 07/25/2048* | | $ 57,150 | $ 54,221 |
| FirstKey Homes Trust | | | |
Series 2022-SFR2, Class A
4.25%, 07/17/2039* | | 99,438 | 93,154 |
| Kubota Credit Owner Trust | | | |
Series 2023-1A, Class A3
5.02%, 06/15/2027* | | 20,000 | 19,685 |
| Madison Park Funding XLI, Ltd. FRS | | | |
Series 12A, Class AR
6.44%, (TSFR3M+1.09%), 04/22/2027* | | 135,192 | 135,000 |
| MF1, Ltd. FRS | | | |
Series 2022-FL8, Class AS
7.08%, (TSFR1M+1.75%), 02/19/2037* | | 100,000 | 97,798 |
| Navient Private Education Refi Loan Trust | | | |
Series 2021-FA, Class A
1.11%, 02/18/2070* | | 70,413 | 58,696 |
| New Economy Assets Phase 1 Sponsor LLC | | | |
Series 2021-1, Class A1
1.91%, 10/20/2061* | | 100,000 | 86,230 |
| PRET LLC | | | |
Series 2021-RN2, Class A1
1.74%, 07/25/2051*(2) | | 54,199 | 50,276 |
| Pretium Mtg. Credit Partners LLC | | | |
Series 2021-RN1, Class A1
1.99%, 02/25/2061*(2) | | 53,090 | 50,069 |
Series 2022-NPL1, Class A1
2.98%, 01/25/2052*(2) | | 66,050 | 61,384 |
| Securitized Asset Backed Receivables LLC Trust FRS | | | |
Series 2007-BR5, Class A2A
5.56%, (TSFR1M+0.24%), 05/25/2037 | | 61,063 | 45,774 |
| Summit Issuer LLC | | | |
Series 2020-1A, Class A2
2.29%, 12/20/2050* | | 25,000 | 22,493 |
| Taco Bell Funding LLC | | | |
Series 2021-1A, Class A2II
2.29%, 08/25/2051* | | 106,110 | 86,675 |
| VCAT LLC | | | |
Series 2021-NPL3, Class A1
1.74%, 05/25/2051*(2) | | 52,372 | 48,650 |
| Venture 42 CLO, Ltd. FRS | | | |
Series 2021-42A, Class A1A
6.70%, (TSFR3M+1.39%), 04/15/2034* | | 100,000 | 98,103 |
| Venture 43 CLO, Ltd. FRS | | | |
Series 2021-43A, Class A1
6.81%, (TSFR3M+1.50%), 04/15/2034* | | 100,000 | 99,031 |
| VOLT XCIV LLC | | | |
Series 2021-NPL3, Class A1
2.24%, 02/27/2051*(2) | | 52,367 | 49,343 |
| VOLT XCIX LLC | | | |
Series 2021-NPL8, Class A1
2.12%, 04/25/2051*(2) | | 54,606 | 50,804 |
| Wendy's Funding LLC | | | |
Series 2018-1A, Class A2II
3.88%, 03/15/2048* | | 47,125 | 42,193 |
| | | | 1,892,240 |
Total Asset Backed Securities
(cost $2,779,455) | | | 2,755,520 |
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 16.0% |
| Commercial and Residential — 12.4% |
| 1211 Avenue of the Americas Trust | | | |
Series 2015-1211, Class A1A2
3.90%, 08/10/2035* | | $ 120,000 | $ 112,318 |
| Angel Oak Mtg. Trust VRS | | | |
Series 2021-5, Class A1
0.95%, 07/25/2066*(1) | | 43,792 | 35,518 |
Series 2020-R1, Class A1
0.99%, 04/25/2053*(1) | | 15,022 | 13,459 |
Series 2021-2, Class A1
0.99%, 04/25/2066*(1) | | 20,342 | 16,428 |
Series 2021-3, Class A1
1.07%, 05/25/2066*(1) | | 35,210 | 28,785 |
Series 2020-3, Class A1
1.69%, 04/25/2065*(1) | | 20,378 | 18,544 |
Series 2021-8, Class A1
1.82%, 11/25/2066*(1) | | 35,863 | 29,470 |
| BANK VRS | | | |
Series 2017-BNK8, Class XA
0.85%, 11/15/2050(1)(3) | | 814,906 | 19,037 |
Series 2019-BN20, Class XA
0.94%, 09/15/2062(1)(3) | | 896,065 | 33,337 |
| Bear Stearns Adjustable Rate Mtg. Trust VRS | | | |
Series 2005-12, Class 12A1
4.81%, 02/25/2036(1) | | 35,813 | 31,430 |
| Benchmark Mtg. Trust VRS | | | |
Series 2018-B4, Class XA
0.61%, 07/15/2051(1)(3) | | 327,885 | 5,089 |
Series 2018-B1, Class XA
0.68%, 01/15/2051(1)(3) | | 150,912 | 2,736 |
Series 2018-B8, Class XA
0.78%, 01/15/2052(1)(3) | | 899,935 | 21,543 |
Series 2019-B10, Class XA
1.36%, 03/15/2062(1)(3) | | 297,753 | 13,909 |
Series 2020-B22, Class XA
1.63%, 01/15/2054(1)(3) | | 158,072 | 12,767 |
Series 2020-B18, Class XA
1.91%, 07/15/2053(1)(3) | | 99,395 | 6,770 |
| BX Trust FRS | | | |
Series 2022-PSB, Class A
7.78%, (TSFR1M+2.45%), 08/15/2039* | | 31,242 | 31,233 |
| CAMB Commercial Mtg. Trust FRS | | | |
Series 2019-LIFE, Class F
7.93%, (TSFR3M+2.60%), 12/15/2037* | | 100,000 | 96,917 |
| Citigroup Commercial Mtg. Trust | | | |
Series 2014-GC19, Class A4
4.02%, 03/11/2047 | | 75,000 | 74,622 |
| Citigroup Mtg. Loan Trust, Inc. FRS | | | |
Series 2006-AR1, Class 3A1
4.10%, (H15T1Y+2.4%), 03/25/2036 | | 15,382 | 14,092 |
| COLT Mtg. Loan Trust VRS | | | |
Series 2021-1, Class A1
0.91%, 06/25/2066*(1) | | 33,915 | 26,721 |
Series 2021-3, Class A1
0.96%, 09/27/2066*(1) | | 72,956 | 55,321 |
| Commercial Mtg. Trust | | | |
Series 2014-CR21, Class A3
3.53%, 12/10/2047 | | 127,772 | 123,958 |
Series 2014-UBS2, Class A5
3.96%, 03/10/2047 | | 149,000 | 147,869 |
Series 2014-CR17, Class A5
3.98%, 05/10/2047 | | 75,000 | 73,842 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| Countrywide Home Loan Mtg. Pass Through Trust | | | |
Series 2005-29, Class A1
5.75%, 12/25/2035 | | $ 21,000 | $ 10,169 |
| CSAIL Commercial Mtg. Trust | | | |
Series 2016-C6, Class ASB
2.96%, 01/15/2049 | | 42,414 | 40,942 |
| CSAIL Commercial Mtg. Trust VRS | | | |
Series 2015-C2, Class XA
0.85%, 06/15/2057(1)(3) | | 995,641 | 7,473 |
| CSMC Trust VRS | | | |
Series 2021-NQM5, Class A1
0.94%, 05/25/2066*(1) | | 64,998 | 49,111 |
Series 2017-FHA1, Class A1
3.25%, 04/25/2047*(1) | | 24,815 | 21,730 |
| DBJPM Mtg. Trust | | | |
Series 2016-C3, Class A5
2.89%, 08/10/2049 | | 125,000 | 113,694 |
Series 2016-C1, Class ASB
3.04%, 05/10/2049 | | 43,044 | 41,243 |
| DBJPM Mtg. Trust VRS | | | |
Series 2020-C9, Class XA
1.82%, 09/15/2053(1)(3) | | 99,370 | 5,926 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities Trust FRS | | | |
Series 2023-R06, Class 1M2
8.01%, (SOFR30A+2.70%), 07/25/2043* | | 35,000 | 35,186 |
| First Horizon Alternative Mtg. Securities Trust VRS | | | |
Series 2005-AA3, Class 3A1
5.94%, 05/25/2035(1) | | 24,339 | 21,836 |
| GCAT Trust VRS | | | |
Series 2021-NQM3, Class A1
1.09%, 05/25/2066*(1) | | 52,235 | 41,662 |
| GS Mtg. Securities Corp. II | | | |
Series 2012-BWTR, Class A
2.95%, 11/05/2034* | | 160,000 | 117,163 |
Series 2005-ROCK, Class A
5.37%, 05/03/2032* | | 40,000 | 38,676 |
| GS Mtg. Securities Corp. Trust VRS | | | |
Series 2018-GS10, Class XA
0.46%, 07/10/2051(1)(3) | | 1,102,138 | 15,374 |
| GS Mtg. Securities Trust | | | |
Series 2014-GC20, Class A5
4.00%, 04/10/2047 | | 140,000 | 138,646 |
| GSR Mtg. Loan Trust VRS | | | |
Series 2007-AR1, Class 2A1
3.84%, 03/25/2047(1) | | 10,349 | 6,580 |
Series 2006-AR2, Class 3A1
4.74%, 04/25/2036(1) | | 3,965 | 2,523 |
| Impac CMB Trust FRS | | | |
Series 2005-4, Class 1A1A
5.97%, (TSFR1M+0.38%), 05/25/2035 | | 18,640 | 16,878 |
| JPMDB Commercial Mtg. Securities Trust | | | |
Series 2016-C4, Class A3
3.14%, 12/15/2049 | | 85,000 | 76,935 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2020-NNN, Class AFX
2.81%, 01/16/2037* | | 25,000 | 22,744 |
| Legacy Mtg. Asset Trust | | | |
Series 2021-GS3, Class A1
1.75%, 07/25/2061*(2) | | 76,014 | 70,792 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2019-GS7, Class A1
6.25%, 11/25/2059*(2) | | $ 64,871 | $ 64,267 |
| LSTAR Securities Investment, Ltd. FRS | | | |
Series 2021-1, Class A
8.23%, (TSFR3M+2.91%), 02/01/2026* | | 44,029 | 43,553 |
| Merrill Lynch Mtg. Investors Trust VRS | | | |
Series 2005-A2, Class A2
4.15%, 02/25/2035(1) | | 4,772 | 4,383 |
Series 2005-A1, Class 2A1
4.56%, 12/25/2034(1) | | 5,618 | 5,414 |
| MFA Trust VRS | | | |
Series 2021-NQM1, Class A1
1.15%, 04/25/2065*(1) | | 25,706 | 22,353 |
| Morgan Stanley Bank of America Merrill Lynch Trust | | | |
Series 2014-C14, Class A5
4.06%, 02/15/2047 | | 16,894 | 16,770 |
| Morgan Stanley Bank of America Merrill Lynch Trust VRS | | | |
Series 2014-C19, Class XA
1.10%, 12/15/2047(1)(3) | | 204,648 | 1,255 |
| Morgan Stanley Capital I Trust VRS | | | |
Series 2017-H1, Class XA
1.48%, 06/15/2050(1)(3) | | 110,823 | 3,330 |
| Morgan Stanley Mtg. Loan Trust | | | |
Series 2007-12, Class 3A22
6.00%, 08/25/2037 | | 18,356 | 6,481 |
| MortgageIT Trust FRS | | | |
Series 2005-4, Class A1
5.99%, (TSFR1M+0.67%), 10/25/2035 | | 22,889 | 22,090 |
| New Residential Mtg. Loan Trust FRS | | | |
Series 2017-5A, Class A1
6.93%, (TSFR1M+1.61%), 06/25/2057* | | 22,068 | 21,925 |
| New Residential Mtg. Loan Trust VRS | | | |
Series 2016-2A, Class A1
3.75%, 11/26/2035*(1) | | 24,119 | 22,255 |
Series 2016-4A, Class A1
3.75%, 11/25/2056*(1) | | 25,043 | 22,803 |
Series 2017-4A, Class A1
4.00%, 05/25/2057*(1) | | 23,519 | 21,402 |
| NMLT Trust VRS | | | |
Series 2021-INV1, Class A1
1.19%, 05/25/2056*(1) | | 70,518 | 56,074 |
| NRP Mtg. Trust VRS | | | |
Series 2013-1, Class A1
3.25%, 07/25/2043*(1) | | 3,546 | 3,036 |
| PRPM LLC | | | |
Series 2021-5, Class A1
1.79%, 06/25/2026*(2) | | 74,188 | 68,426 |
Series 2021-4, Class A1
1.87%, 04/25/2026*(2) | | 64,725 | 59,488 |
Series 2021-9, Class A1
2.36%, 10/25/2026*(2) | | 64,488 | 60,098 |
| SG Commercial Mtg. Securities Trust | | | |
Series 2020-COVE, Class A
2.63%, 03/15/2037* | | 90,000 | 83,628 |
| Stack Infrastructure Issuer LLC | | | |
Series 2023-2A, Class A2
5.90%, 07/25/2048* | | 40,000 | 38,407 |
| Starwood Mtg. Residential Trust VRS | | | |
Series 2021-6, Class A1
1.92%, 11/25/2066*(1) | | 80,206 | 63,396 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| Towd Point Mtg. Trust VRS | | | |
Series 2021-R1, Class A1
2.92%, 11/30/2060*(1) | | $ 90,501 | $ 71,371 |
| Verus Securitization Trust | | | |
Series 2022-1, Class A1
2.72%, 01/25/2067*(2) | | 85,317 | 73,376 |
| Verus Securitization Trust VRS | | | |
Series 2021-2, Class A1
1.03%, 02/25/2066*(1) | | 42,039 | 35,033 |
| Wells Fargo Commercial Mtg. Trust | | | |
Series 2015-NXS3, Class A4
3.62%, 09/15/2057 | | 60,000 | 56,769 |
Series 2014-LC16, Class A5
3.82%, 08/15/2050 | | 80,000 | 78,239 |
| Wells Fargo Commercial Mtg. Trust VRS | | | |
Series 2015-NXS3, Class XA
1.02%, 09/15/2057(1)(3) | | 529,003 | 7,319 |
Series 2015-NXS1, Class D
4.28%, 05/15/2048(1) | | 10,000 | 8,300 |
| Wells Fargo Mtg. Backed Securities Trust VRS | | | |
Series 2006-AR14, Class 2A1
6.32%, 10/25/2036(1) | | 8,930 | 7,789 |
| WF-RBS Commercial Mtg. Trust | | | |
Series 2014-C20, Class A5
4.00%, 05/15/2047 | | 145,000 | 142,057 |
Series 2014-LC14, Class A5
4.05%, 03/15/2047 | | 130,000 | 129,227 |
Series 2014-C19, Class A5
4.10%, 03/15/2047 | | 60,000 | 59,399 |
| | | | 3,320,711 |
| U.S. Government Agency — 3.6% |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | | | |
| 3.24%, 08/25/2027 | | 82,000 | 76,696 |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | | | |
Series K-1510, Class X1
0.64%, 01/25/2034(1)(3) | | 204,015 | 6,862 |
Series K064, Class X1
0.73%, 03/25/2027(1)(3) | | 344,966 | 5,950 |
Series K124, Class X1
0.81%, 12/25/2030(1)(3) | | 269,925 | 10,856 |
Series K122, Class X1
0.97%, 11/25/2030(1)(3) | | 99,321 | 4,682 |
Series K121, Class X1
1.12%, 10/25/2030(1)(3) | | 117,442 | 6,312 |
Series K114, Class X1
1.21%, 06/25/2030(1)(3) | | 213,750 | 12,500 |
Series K104, Class X1
1.25%, 01/25/2030(1)(3) | | 181,409 | 9,860 |
Series K111, Class X1
1.68%, 05/25/2030(1)(3) | | 99,296 | 7,925 |
| Federal Home Loan Mtg. Corp. REMIC | | | |
Series 4216, Class KQ
1.70%, 10/15/2039 | | 5,361 | 5,207 |
Series 3964, Class MD
2.00%, 01/15/2041 | | 87 | 82 |
Series 5170, Class DP
2.00%, 07/25/2050 | | 47,793 | 39,155 |
Series 4961, Class JB
2.50%, 12/15/2042 | | 26,168 | 22,745 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
Series 3883, Class PB
3.00%, 05/15/2041 | | $ 8,333 | $ 7,644 |
| Federal Home Loan Mtg. Corp. SCRT | | | |
Series 2019-3, Class MV
3.50%, 10/25/2058 | | 16,865 | 14,759 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Debt Notes FRS | | | |
Series 2023-DNA2, Class M1B
8.56%, (SOFR30A+3.25%), 04/25/2043* | | 15,000 | 15,471 |
Series 2023-HQA2, Class M1B
8.66%, (SOFR30A+3.35%), 06/25/2043* | | 60,000 | 61,393 |
Series 2022-HQA2, Class M1B
9.31%, (SOFR30A+4.00%), 07/25/2042* | | 20,000 | 20,788 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2022-DNA3, Class M1B
8.21%, (SOFR30A+2.90%), 04/25/2042* | | 20,000 | 20,429 |
Series 2022-DNA4, Class M1B
8.66%, (SOFR30A+3.35%), 05/25/2042* | | 25,000 | 25,911 |
Series 2023-HQA1, Class M1B
8.81%, (SOFR30A+3.50%), 05/25/2043* | | 50,000 | 51,312 |
Series 2022-HQA3, Class M1B
8.86%, (TSFR1M+3.55%), 08/25/2042* | | 10,000 | 10,335 |
Series 2022-DNA6, Class M1B
9.01%, (SOFR30A+3.70%), 09/25/2042* | | 20,000 | 20,956 |
Series 2022-DNA5, Class M1B
9.81%, (SOFR30A+4.50%), 06/25/2042* | | 35,000 | 37,564 |
| Federal National Mtg. Assoc. | | | |
Series 415, Class A3 STRIPS
3.00%, 11/25/2042 | | 14,868 | 13,122 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 68 | 68 |
Series 2019-HRP1, Class M2
7.58%, (SOFR30A+2.26%), 11/25/2039* | | 8,054 | 8,054 |
Series 2023-R05, Class 1M2
8.41%, (SOFR30A+3.1%), 06/25/2043* | | 17,000 | 17,417 |
Series 2017-C01, Class 1M2
8.98%, (SOFR30A+3.66%), 07/25/2029 | | 13,277 | 13,741 |
Series 2016-C07, Class 2M2
9.78%, (SOFR30A+4.46%), 05/25/2029 | | 22,865 | 24,071 |
| Federal National Mtg. Assoc. REMIC | | | |
Series 2013-77, Class BP
1.70%, 06/25/2043 | | 6,661 | 6,349 |
Series 2011-117, Class MA
2.00%, 08/25/2040 | | 431 | 416 |
Series 2012-21, Class PQ
2.00%, 09/25/2041 | | 4,942 | 4,398 |
Series 2012-18, Class GA
2.00%, 12/25/2041 | | 8,958 | 7,867 |
Series 2016-11, Class GA
2.50%, 03/25/2046 | | 13,077 | 11,643 |
Series 2019-54, Class KC
2.50%, 09/25/2049 | | 44,123 | 38,928 |
Series 2015-48, Class QB
3.00%, 02/25/2043 | | 10,236 | 9,595 |
Series 2016-38, Class NA
3.00%, 01/25/2046 | | 6,452 | 5,665 |
Series 2017-16, Class PB
3.00%, 03/25/2047 | | 30,000 | 24,173 |
Series 2017-34, Class JK
3.00%, 05/25/2047 | | 4,982 | 4,645 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
Series 2019-45, Class PT
3.00%, 08/25/2049 | | $ 18,348 | $ 15,906 |
Series 2012-52, Class PA
3.50%, 05/25/2042 | | 7,816 | 7,252 |
Series 2012-120, Class ZB
3.50%, 11/25/2042 | | 51,258 | 45,370 |
Series 2017-26, Class CG
3.50%, 07/25/2044 | | 7,257 | 7,011 |
Series 2018-23, Class LA
3.50%, 04/25/2048 | | 17,856 | 16,271 |
Series 2019-7, Class JA
3.50%, 03/25/2049 | | 17,457 | 15,932 |
Series 2019-14, Class CA
3.50%, 04/25/2049 | | 21,555 | 19,795 |
Series 2017-35, Class AH
3.50%, 04/25/2053 | | 7,568 | 7,295 |
Series 2017-84, Class KA
3.50%, 04/25/2053 | | 8,917 | 8,468 |
Series 2018-70, Class HA
3.50%, 10/25/2056 | | 12,561 | 11,787 |
Series 2019-12, Class HA
3.50%, 11/25/2057 | | 19,894 | 18,157 |
Series 2017-49, Class JA
4.00%, 07/25/2053 | | 7,950 | 7,679 |
Series 2022-90, Class AY
4.50%, 12/25/2041 | | 75,000 | 69,367 |
| Government National Mtg. Assoc. REMIC | | | |
Series 2015-56, Class LB
1.50%, 04/16/2040 | | 1,645 | 1,632 |
Series 2015-151, Class BA
1.70%, 10/20/2045 | | 302 | 301 |
Series 2013-37, Class LG
2.00%, 01/20/2042 | | 8,420 | 7,868 |
Series 2005-74, Class HA
7.50%, 09/16/2035 | | 3 | 3 |
Series 2005-74, Class HB
7.50%, 09/16/2035 | | 394 | 396 |
Series 2005-74, Class HC
7.50%, 09/16/2035 | | 503 | 510 |
| | | | 946,546 |
Total Collateralized Mortgage Obligations
(cost $4,805,571) | | | 4,267,257 |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 44.1% |
| U.S. Government — 14.2% |
| United States Treasury Bonds | | | |
| 1.25%, 05/15/2050 | | 553,000 | 260,904 |
| 1.38%, 08/15/2050 | | 20,000 | 9,759 |
| 1.63%, 11/15/2050 | | 260,000 | 136,185 |
| 1.75%, 08/15/2041 | | 235,000 | 146,343 |
| 2.00%, 08/15/2051 | | 145,000 | 83,670 |
| 2.25%, 08/15/2046 | | 115,000 | 72,917 |
| 2.50%, 02/15/2045 | | 230,000 | 156,184 |
| 2.88%, 08/15/2045 | | 295,000 | 213,656 |
| 3.00%, 05/15/2045(4)(5) | | 370,000 | 274,768 |
| 3.00%, 11/15/2045 to 08/15/2052 | | 677,000 | 495,528 |
| 3.13%, 08/15/2044 | | 440,000 | 336,188 |
| 3.38%, 08/15/2042 to 05/15/2044 | | 720,000 | 578,033 |
| 3.63%, 08/15/2043 | | 280,000 | 233,647 |
| United States Treasury Bonds TIPS | | | |
| 0.13%, 02/15/2052(6) | | 60,393 | 33,140 |
| 0.25%, 02/15/2050(6) | | 303,180 | 178,364 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government (continued) |
| United States Treasury Notes | | | |
| 3.50%, 02/15/2033 | | $ 170,000 | $ 155,975 |
| United States Treasury Notes TIPS | | | |
| 0.25%, 07/15/2029(6) | | 364,472 | 324,683 |
| 0.75%, 07/15/2028(6) | | 110,814 | 103,108 |
| | | | 3,793,052 |
| U.S. Government Agency — 29.9% |
| Federal Home Loan Mtg. Corp. | | | |
| 2.00%, 03/01/2051 | | 315,561 | 241,085 |
| 2.50%, 01/01/2028 to 04/01/2052 | | 326,910 | 261,054 |
| 3.00%, 08/01/2027 to 08/01/2043 | | 46,285 | 39,753 |
| 3.50%, 02/01/2042 to 09/01/2043 | | 10,295 | 9,099 |
| 4.00%, 10/01/2043 | | 3,720 | 3,410 |
| 4.50%, 01/01/2039 | | 335 | 317 |
| 5.00%, 05/01/2034 to 10/01/2052 | | 576,329 | 544,197 |
| 5.50%, 07/01/2034 to 08/01/2037 | | 10,885 | 10,840 |
| 6.50%, 05/01/2029 | | 618 | 630 |
| Federal Home Loan Mtg. Corp. FRS | | | |
| 4.74%, (RFUCCT6M+1.49%), 02/01/2037 | | 292 | 292 |
| Federal National Mtg. Assoc. | | | |
| 2.00%, 04/01/2051 to 05/01/2051 | | 945,595 | 722,312 |
| 2.50%, 02/01/2043 to 04/01/2052 | | 507,798 | 406,846 |
| 2.66%, 03/01/2027 | | 196,378 | 180,776 |
| 3.00%, 01/01/2028 | | 2,310 | 2,214 |
| 4.50%, 01/01/2039 to 05/01/2041 | | 8,120 | 7,641 |
| 5.00%, 07/01/2040 to 09/01/2052 | | 235,696 | 222,756 |
| 5.50%, 12/01/2029 to 06/01/2038 | | 5,187 | 5,138 |
| 6.00%, 06/01/2026 to 06/01/2040 | | 10,110 | 10,114 |
| 6.50%, 11/01/2035 to 10/01/2037 | | 1,458 | 1,477 |
| 7.00%, 06/01/2037 | | 3,944 | 4,107 |
| Federal National Mtg. Assoc. FRS | | | |
| 4.85%, (RFUCCT1Y+1.57%), 05/01/2037 | | 383 | 387 |
| 6.06%, (RFUCCT1Y+1.82%), 10/01/2040 | | 431 | 440 |
| Government National Mtg. Assoc. | | | |
| 2.00%, October 30 TBA | | 425,000 | 335,933 |
| 2.50%, October 30 TBA | | 325,000 | 265,598 |
| 3.00%, October 30 TBA | | 775,000 | 656,752 |
| 3.50%, October 30 TBA | | 385,000 | 337,206 |
| 4.00%, 10/15/2040 to 10/15/2041 | | 22,248 | 20,558 |
| 4.00%, October 30 TBA | | 150,000 | 135,135 |
| 4.50%, 06/15/2041 | | 36,150 | 34,412 |
| 5.00%, 01/15/2033 to 01/15/2040 | | 17,393 | 16,758 |
| 5.50%, 04/15/2036 | | 31,874 | 31,029 |
| 6.50%, 07/15/2028 to 11/15/2028 | | 31,881 | 32,096 |
| 7.00%, 01/15/2033 to 11/15/2033 | | 4,919 | 5,033 |
| 8.00%, 02/15/2030 | | 316 | 315 |
| Uniform Mtg. Backed Securities | | | |
| 1.50%, October 15 TBA | | 200,000 | 166,582 |
| 2.00%, October 15 TBA | | 225,000 | 192,915 |
| 2.00%, October 30 TBA | | 185,000 | 140,701 |
| 3.00%, October 30 TBA | | 225,000 | 186,020 |
| 4.00%, October 30 TBA | | 465,000 | 413,959 |
| 4.50%, October 30 TBA | | 938,000 | 861,201 |
| 5.00%, October 30 TBA | | 200,000 | 188,687 |
| 5.50%, October 30 TBA | | 770,000 | 744,103 |
| 6.00%, October 30 TBA | | 575,000 | 567,453 |
| | | | 8,007,331 |
Total U.S. Government & Agency Obligations
(cost $13,424,615) | | | 11,800,383 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| FOREIGN GOVERNMENT OBLIGATIONS — 2.2% |
| Sovereign — 2.2% |
| Federative Republic of Brazil | | | |
| 10.00%, 01/01/2031 | BRL | 594,000 | $ 112,886 |
| Government of Hungary | | | |
| 1.63%, 04/28/2032 | EUR | 120,000 | 93,904 |
| Government of Macedonia | | | |
| 2.75%, 01/18/2025 | EUR | 100,000 | 101,203 |
| Government of Romania | | | |
| 2.63%, 12/02/2040* | EUR | 60,000 | 37,194 |
| 2.75%, 04/14/2041 | EUR | 65,000 | 40,233 |
| 3.38%, 02/08/2038 | EUR | 20,000 | 14,837 |
| Republic of Chile | | | |
| 1.25%, 01/22/2051 | EUR | �� 100,000 | 51,011 |
| Republic of Indonesia | | | |
| 1.10%, 03/12/2033 | EUR | 100,000 | 76,045 |
| Republic of Philippines | | | |
| 1.75%, 04/28/2041 | EUR | 100,000 | 66,630 |
Total Foreign Government Obligations
(cost $908,265) | | | 593,943 |
| MUNICIPAL SECURITIES — 1.7% |
Chicago Board of Education
General Obligation Bonds | | | |
| 6.04%, 12/01/2029 | | $ 5,000 | 4,820 |
| 6.14%, 12/01/2039 | | 15,000 | 13,437 |
| 6.32%, 11/01/2029 | | 40,000 | 38,794 |
Chicago Transit Authority
Revenue Bonds | | | |
| 3.91%, 12/01/2040 | | 10,000 | 8,083 |
County of Riverside, CA
Revenue Bonds | | | |
| 3.07%, 02/15/2028 | | 80,000 | 73,057 |
Florida State Board of Administration Finance Corp.
Revenue Bonds | | | |
| 1.26%, 07/01/2025 | | 70,000 | 64,982 |
Metropolitan Transportation Authority
Revenue Bonds | | | |
| 4.75%, 11/15/2045 | | 35,000 | 32,551 |
| 5.18%, 11/15/2049 | | 35,000 | 30,081 |
Municipal Electric Authority of Georgia
Revenue Bonds | | | |
| 6.64%, 04/01/2057 | | 19,000 | 20,191 |
New York Transportation Development Corp.
Revenue Bonds | | | |
| 4.25%, 09/01/2035 | | 70,000 | 66,100 |
Philadelphia Authority for Industrial Development
Revenue Bonds | | | |
| 6.55%, 10/15/2028 | | 65,000 | 67,111 |
Texas Natural Gas Securitization Finance Corp.
Series 2023-1, Class A1 | | | |
| 5.10%, 04/01/2035 | | 30,000 | 29,420 |
Total Municipal Securities
(cost $487,798) | | | 448,627 |
| COMMON STOCKS — 15.7% |
| Advertising — 1.1% |
| Trade Desk, Inc., Class A† | | 3,880 | 303,222 |
| Auto Manufacturers — 0.8% |
| Tesla, Inc.† | | 852 | 213,188 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Biotechnology — 1.2% |
| Illumina, Inc.† | | 832 | $ 114,217 |
| Royalty Pharma PLC, Class A | | 7,951 | 215,790 |
| | | | 330,007 |
| Commercial Services — 1.0% |
| Adyen NV*† | | 236 | 176,080 |
| Block, Inc.† | | 473 | 20,935 |
| Toast, Inc., Class A† | | 3,565 | 66,772 |
| | | | 263,787 |
| Diversified Financial Services — 0.3% |
| Intercontinental Exchange, Inc. | | 665 | 73,163 |
| Healthcare-Products — 0.1% |
| Intuitive Surgical, Inc.† | | 88 | 25,722 |
| Internet — 6.1% |
| Airbnb, Inc., Class A† | | 1,624 | 222,829 |
| Amazon.com, Inc.† | | 1,265 | 160,807 |
| Chewy, Inc., Class A† | | 3,592 | 65,590 |
| DoorDash, Inc., Class A† | | 3,366 | 267,496 |
| MercadoLibre, Inc.† | | 130 | 164,824 |
| Meta Platforms, Inc., Class A† | | 505 | 151,606 |
| Shopify, Inc., Class A† | | 5,250 | 286,493 |
| Uber Technologies, Inc.† | | 6,864 | 315,675 |
| | | | 1,635,320 |
| Retail — 0.3% |
| Floor & Decor Holdings, Inc., Class A† | | 718 | 64,979 |
| Software — 4.8% |
| Bill.com Holdings, Inc.† | | 1,669 | 181,203 |
| Cloudflare, Inc., Class A† | | 5,077 | 320,054 |
| Datadog, Inc., Class A† | | 1,226 | 111,676 |
| ROBLOX Corp., Class A† | | 7,394 | 214,130 |
| Snowflake, Inc., Class A† | | 1,781 | 272,084 |
| Veeva Systems, Inc., Class A† | | 322 | 65,511 |
| ZoomInfo Technologies, Inc.† | | 7,034 | 115,358 |
| | | | 1,280,016 |
Total Common Stocks
(cost $4,171,430) | | | 4,189,404 |
| ESCROWS AND LITIGATION TRUSTS — 0.0% |
Lehman Brothers Holdings, Inc.
Escrow Notes
5.50%, 04/04/2016†
(cost $0) | | 10,000 | 15 |
| PURCHASED OPTIONS† — 0.0% |
| Purchased Options - Calls — 0.0% |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 01/17/2024; Strike Price: CNY 7.43; Counterparty: JPMorgan Chase Bank, N.A.) | | 1,048,008 | 4,900 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 05/24/2024; Strike Price: CNY 7.57; Counterparty: Standard Chartered Bank) | | 1,199,617 | 6,430 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| PURCHASED OPTIONS (continued) |
| Purchased Options - Calls (continued) |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 08/12/2024; Strike Price: USD 7.79; Counterparty: JPMorgan Chase Bank, N.A.) | | 1,115,269 | | $ 4,292 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 10/09/2023; Strike Price: CNY 7.87; Counterparty: Goldman Sachs International) | | 9,415 | | 0 |
Total Purchased Options
(cost $14,671) | | | | 15,622 |
Total Long-Term Investment Securities
(cost $34,760,202) | | | | 31,412,230 |
| REPURCHASE AGREEMENTS — 1.2% |
| Bank of America Securities LLC Joint Repurchase Agreement(7) | | $ 60,000 | | 60,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(7) | | 75,000 | | 75,000 |
| BNP Paribas SA Joint Repurchase Agreement(7) | | 65,000 | | 65,000 |
| Deutsche Bank AG Joint Repurchase Agreement(7) | | 60,000 | | 60,000 |
| RBS Securities, Inc. Joint Repurchase Agreement(7) | | 60,000 | | 60,000 |
Total Repurchase Agreements
(cost $320,000) | | | | 320,000 |
TOTAL INVESTMENTS
(cost $35,080,202)(8) | | 118.7% | | 31,732,230 |
| Other assets less liabilities | | (18.7) | | (4,995,621) |
| NET ASSETS | | 100.0% | | $26,736,609 |
| * | 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 SA Multi-Managed Income Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $6,728,474 representing 25.2% of net assets. |
| † | Non-income producing security |
| (1) | 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. |
| (2) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (3) | Interest Only |
| (4) | The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts. |
| (5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (6) | Principal amount of security is adjusted for inflation. |
| (7) | See Note 2 for details of Joint Repurchase Agreements. |
| (8) | See Note 4 for cost of investments on a tax basis. |
| CLO—Collateralized Loan Obligation |
| FRS—Floating Rate Security |
| H15T1Y—US Treasury Yield Curve Rate Note Constant Maturity 1 Year |
| REMIC—Real Estate Mortgage Investment Conduit |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
| RFUCCT6M—Refinitiv USD IBOR Consumer Cash Fallbacks Term 6 Month |
| SCRT—Structured Credit Risk Transfer |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
| STRIPS—Separate Trading of Registered Interest and Principal |
| 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 |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| VRS—Variable Rate Security |
| BRL—Brazilian Real |
| CNY—Chinese Yuan |
| EUR—Euro Currency |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
| Interest Rate Swaps |
Counterparty (OTC)/
Centrally cleared | Notional
amount | Currency | Payments
made | Payments
received | Fixed
payment
frequency | Floating
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value |
| Centrally Cleared | 60,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 587 | | $ 10,995 | | $ 11,582 |
| Centrally Cleared | 120,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 71 | | 21,268 | | 21,339 |
| Centrally Cleared | 225,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 996 | | 15,132 | | 16,128 |
| | | | | | | | | $1,654 | | $47,395 | | $49,049 |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Credit Default Swaps - Buyer(1) | |
Counterparty (OTC)/
Centrally cleared | Reference
obligation | Notional
amount(2) | Currency | USD
notional
amount(2) | | Pay
fixed
rate | Fixed
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | Value(3) | |
| Centrally Cleared | Federative Republic of Brazil | $103,000 | USD | $103,000 | | 1.000% | Quarterly | Jun 2027 | $4,231 | | $(3,163) | $1,068 | |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| SOFR—Secured Overnight Financing Rate |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
Appreciation |
| 2 | Short | Canada 10 Year Bonds | December 2023 | $ 174,062 | $169,527 | $ 4,535 |
| 2 | Short | Euro Buxl 30 Year Bonds | December 2023 | 276,133 | 258,731 | 17,402 |
| 2 | Short | Euro-BTP | December 2023 | 240,916 | 232,024 | 8,892 |
| 8 | Short | U.S. Treasury Ultra Bonds | December 2023 | 1,007,033 | 949,499 | 57,534 |
| | | | | | | $88,363 |
| | | | | | | Unrealized
(Depreciation) |
| 10 | Long | Canada 5 Year Bonds | December 2023 | $ 804,331 | $ 794,993 | $ (9,338) |
| 1 | Long | Long Gilt | December 2023 | 115,495 | 114,885 | (610) |
| 6 | Long | U.S. Treasury 10 Year Notes | December 2023 | 653,797 | 648,375 | (5,422) |
| 8 | Long | U.S. Treasury 2 Year Notes | December 2023 | 1,625,328 | 1,621,687 | (3,641) |
| 5 | Long | U.S. Treasury 5 Year Notes | December 2023 | 530,578 | 526,797 | (3,781) |
| 3 | Long | U.S. Treasury Ultra 10 Year Notes | December 2023 | 344,440 | 334,687 | (9,753) |
| | | | | | | $(32,545) |
| | | Net Unrealized Appreciation (Depreciation) | | $ 55,818 |
| * | 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) |
| Deutsche Bank AG | EUR | 466,000 | USD | 501,228 | 12/20/2023 | $6,743 | | $— |
| Goldman Sachs International | BRL | 564,000 | USD | 112,457 | 12/20/2023 | 1,331 | | — |
| Unrealized Appreciation (Depreciation) | | | | | | $8,074 | | $— |
| BRL—Brazilian Real |
| EUR—Euro Currency |
| USD—United States Dollar |
Seasons Series Trust SA Multi-Managed Income Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Corporate Bonds & Notes | $ — | | $ 7,341,459 | | $— | | $ 7,341,459 |
| Asset Backed Securities | — | | 2,755,520 | | — | | 2,755,520 |
| Collateralized Mortgage Obligations | — | | 4,267,257 | | — | | 4,267,257 |
| U.S. Government & Agency Obligations | — | | 11,800,383 | | — | | 11,800,383 |
| Foreign Government Obligations | — | | 593,943 | | — | | 593,943 |
| Municipal Securities | — | | 448,627 | | — | | 448,627 |
| Common Stocks | 4,189,404 | | — | | — | | 4,189,404 |
| Escrows and Litigation Trusts | — | | 15 | | — | | 15 |
| Purchased Options | — | | 15,622 | | — | | 15,622 |
| Repurchase Agreements | — | | 320,000 | | — | | 320,000 |
| Total Investments at Value | $4,189,404 | | $27,542,826 | | $— | | $31,732,230 |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 47,395 | | $— | | $ 47,395 |
| Futures Contracts | 88,363 | | — | | — | | 88,363 |
| Forward Foreign Currency Contracts | — | | 8,074 | | — | | 8,074 |
| Total Other Financial Instruments | $ 88,363 | | $ 55,469 | | $— | | $ 143,832 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 3,163 | | $— | | $ 3,163 |
| Futures Contracts | 32,545 | | — | | — | | 32,545 |
| Total Other Financial Instruments | $ 32,545 | | $ 3,163 | | $— | | $ 35,708 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| U.S. Government & Agency Obligations | 36.6% |
| Collateralized Mortgage Obligations | 13.3 |
| Internet | 12.3 |
| Software | 10.2 |
| Other Asset Backed Securities | 5.0 |
| Banks | 3.7 |
| Electric | 3.3 |
| Biotechnology | 2.7 |
| Commercial Services | 2.5 |
| Advertising | 2.3 |
| Auto Loan Receivables | 2.0 |
| Auto Manufacturers | 1.5 |
| Foreign Government Obligations | 1.5 |
| Diversified Financial Services | 1.4 |
| Media | 1.4 |
| Municipal Securities | 1.3 |
| Oil & Gas | 1.3 |
| Retail | 1.1 |
| Repurchase Agreements | 1.0 |
| Pipelines | 1.0 |
| REITS | 0.7 |
| Healthcare-Services | 0.5 |
| Telecommunications | 0.5 |
| Healthcare-Products | 0.5 |
| Insurance | 0.5 |
| Home Equity | 0.4 |
| Gas | 0.4 |
| Agriculture | 0.4 |
| Semiconductors | 0.4 |
| Packaging & Containers | 0.4 |
| Apparel | 0.3 |
| Environmental Control | 0.3 |
| Building Materials | 0.3 |
| Entertainment | 0.2 |
| Computers | 0.2 |
| Trucking & Leasing | 0.2 |
| Chemicals | 0.2 |
| Investment Companies | 0.2 |
| Aerospace/Defense | 0.2 |
| Mining | 0.2 |
| Office/Business Equipment | 0.2 |
| Hand/Machine Tools | 0.2 |
| Purchased Options | 0.1 |
| Food | 0.1 |
| Home Builders | 0.1 |
| Pharmaceuticals | 0.1 |
| Machinery-Diversified | 0.1 |
| Electronics | 0.1 |
| Iron/Steel | 0.1 |
| | 113.5% |
| Credit Quality†# | |
| Aaa | 54.8% |
| Aa | 1.2 |
| A | 7.0 |
| Baa | 13.9 |
| Ba | 6.2 |
| B | 1.4 |
| Caa | 0.6 |
| | |
| Ca | 0.2 |
| Not Rated@ | 14.7 |
| | 100.0% |
|
| * | Calculated as a percentage of net assets |
| † | Source: Moody's |
| # | Calculated as a percentage of total debt issues, excluding short-term securities. |
| @ | Represents debt issues that either have no rating, or the rating is unavailable from the data source. |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES — 22.0% |
| Advertising — 0.1% |
| Lamar Media Corp. | | | |
| 3.63%, 01/15/2031 | | $ 5,000 | $ 4,072 |
| 4.88%, 01/15/2029 | | 35,000 | 31,675 |
| | | | 35,747 |
| Aerospace/Defense — 0.2% |
| Boeing Co. | | | |
| 5.04%, 05/01/2027 | | 19,000 | 18,551 |
| 5.15%, 05/01/2030 | | 21,000 | 20,065 |
| Northrop Grumman Corp. | | | |
| 5.15%, 05/01/2040 | | 15,000 | 13,694 |
| RTX Corp. | | | |
| 5.15%, 02/27/2033 | | 13,000 | 12,311 |
| | | | 64,621 |
| Agriculture — 0.4% |
| BAT Capital Corp. | | | |
| 6.34%, 08/02/2030 | | 10,000 | 9,850 |
| Philip Morris International, Inc. | | | |
| 4.88%, 02/15/2028 | | 25,000 | 24,219 |
| 5.13%, 11/17/2027 to 02/15/2030 | | 50,000 | 48,355 |
| 5.38%, 02/15/2033 | | 35,000 | 33,174 |
| 5.63%, 11/17/2029 to 09/07/2033 | | 30,000 | 29,120 |
| Reynolds American, Inc. | | | |
| 5.70%, 08/15/2035 | | 10,000 | 8,947 |
| | | | 153,665 |
| Apparel — 0.3% |
| Hanesbrands, Inc. | | | |
| 4.88%, 05/15/2026* | | 30,000 | 27,503 |
| William Carter Co. | | | |
| 5.63%, 03/15/2027* | | 95,000 | 91,366 |
| | | | 118,869 |
| Banks — 3.7% |
| Bank of America Corp. | | | |
| 1.90%, 07/23/2031 | | 5,000 | 3,799 |
| 2.57%, 10/20/2032 | | 20,000 | 15,368 |
| 2.59%, 04/29/2031 | | 40,000 | 32,144 |
| 2.69%, 04/22/2032 | | 70,000 | 55,016 |
| 2.97%, 02/04/2033 | | 15,000 | 11,828 |
| 3.19%, 07/23/2030 | | 95,000 | 81,203 |
| 5.20%, 04/25/2029 | | 25,000 | 24,083 |
| 5.93%, 09/15/2027 | | 35,000 | 34,740 |
| Barclays PLC | | | |
| 7.12%, 06/27/2034 | | 200,000 | 192,627 |
| Citigroup, Inc. | | | |
| 1.28%, 11/03/2025 | | 35,000 | 33,056 |
| Goldman Sachs Group, Inc. | | | |
| 2.38%, 07/21/2032 | | 10,000 | 7,616 |
| 2.62%, 04/22/2032 | | 100,000 | 78,108 |
| 3.81%, 04/23/2029 | | 30,000 | 27,241 |
| HSBC Holdings PLC | | | |
| 5.21%, 08/11/2028 | | 200,000 | 192,553 |
| Huntington Bancshares, Inc. | | | |
| 6.21%, 08/21/2029 | | 5,000 | 4,891 |
| JPMorgan Chase & Co. | | | |
| 2.55%, 11/08/2032 | | 3,000 | 2,322 |
| 3.51%, 01/23/2029 | | 25,000 | 22,676 |
| 3.70%, 05/06/2030 | | 95,000 | 84,729 |
| 4.01%, 04/23/2029 | | 15,000 | 13,824 |
| 5.30%, 07/24/2029 | | 25,000 | 24,325 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| M&T Bank Corp. | | | |
| 5.05%, 01/27/2034 | | $ 30,000 | $ 25,943 |
| Morgan Stanley | | | |
| 1.79%, 02/13/2032 | | 30,000 | 22,216 |
| 2.24%, 07/21/2032 | | 30,000 | 22,611 |
| 2.48%, 01/21/2028 | | 15,000 | 13,374 |
| 4.43%, 01/23/2030 | | 10,000 | 9,251 |
| 5.16%, 04/20/2029 | | 30,000 | 28,862 |
| 5.45%, 07/20/2029 | | 5,000 | 4,872 |
| Morgan Stanley VRS | | | |
| 3.59%, 07/22/2028(1) | | 50,000 | 45,619 |
| Wells Fargo & Co. | | | |
| 2.57%, 02/11/2031 | | 25,000 | 20,208 |
| 3.00%, 10/23/2026 | | 60,000 | 55,104 |
| 3.35%, 03/02/2033 | | 24,000 | 19,400 |
| 4.90%, 07/25/2033 | | 15,000 | 13,575 |
| 5.39%, 04/24/2034 | | 10,000 | 9,349 |
| 5.57%, 07/25/2029 | | 70,000 | 68,291 |
| | | | 1,300,824 |
| Biotechnology — 0.3% |
| Amgen, Inc. | | | |
| 5.25%, 03/02/2030 to 03/02/2033 | | 53,000 | 50,771 |
| CSL Finance PLC | | | |
| 4.05%, 04/27/2029* | | 20,000 | 18,656 |
| Royalty Pharma PLC | | | |
| 2.15%, 09/02/2031 | | 20,000 | 14,966 |
| 2.20%, 09/02/2030 | | 15,000 | 11,645 |
| 3.55%, 09/02/2050 | | 15,000 | 9,168 |
| | | | 105,206 |
| Building Materials — 0.3% |
| Builders FirstSource, Inc. | | | |
| 5.00%, 03/01/2030* | | 55,000 | 49,038 |
| Standard Industries, Inc. | | | |
| 4.38%, 07/15/2030* | | 65,000 | 53,833 |
| | | | 102,871 |
| Chemicals — 0.2% |
| Celanese US Holdings LLC | | | |
| 6.17%, 07/15/2027 | | 30,000 | 29,582 |
| 6.33%, 07/15/2029 | | 20,000 | 19,604 |
| 6.55%, 11/15/2030 | | 15,000 | 14,680 |
| Sherwin-Williams Co. | | | |
| 4.50%, 06/01/2047 | | 5,000 | 3,998 |
| | | | 67,864 |
| Commercial Services — 0.6% |
| Gartner, Inc. | | | |
| 4.50%, 07/01/2028* | | 25,000 | 22,808 |
| Howard University | | | |
| 2.80%, 10/01/2030 | | 5,000 | 4,142 |
| 2.90%, 10/01/2031 | | 25,000 | 20,296 |
| 3.48%, 10/01/2041 | | 10,000 | 6,844 |
| Service Corp. International | | | |
| 3.38%, 08/15/2030 | | 55,000 | 44,330 |
| 5.13%, 06/01/2029 | | 62,000 | 57,319 |
| United Rentals North America, Inc. | | | |
| 4.88%, 01/15/2028 | | 40,000 | 37,364 |
| | | | 193,103 |
| Computers — 0.2% |
| Booz Allen Hamilton, Inc. | | | |
| 3.88%, 09/01/2028* | | 90,000 | 80,631 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Cosmetics/Personal Care — 0.0% |
| Kenvue, Inc. | | | |
| 5.05%, 03/22/2053* | | $ 18,000 | $ 16,350 |
| Distribution/Wholesale — 0.0% |
| LKQ Corp. | | | |
| 5.75%, 06/15/2028* | | 10,000 | 9,769 |
| Diversified Financial Services — 0.9% |
| Capital One Financial Corp. | | | |
| 1.88%, 11/02/2027 | | 60,000 | 52,215 |
| 3.27%, 03/01/2030 | | 15,000 | 12,548 |
| 5.25%, 07/26/2030 | | 15,000 | 13,905 |
| 5.47%, 02/01/2029 | | 20,000 | 19,038 |
| 5.82%, 02/01/2034 | | 10,000 | 9,012 |
| 6.31%, 06/08/2029 | | 5,000 | 4,886 |
| 6.38%, 06/08/2034 | | 7,000 | 6,606 |
| GTP Acquisition Partners I LLC | | | |
| 3.48%, 06/15/2050* | | 160,000 | 153,094 |
| Intercontinental Exchange, Inc. | | | |
| 4.35%, 06/15/2029 | | 10,000 | 9,403 |
| Nasdaq, Inc. | | | |
| 5.35%, 06/28/2028 | | 10,000 | 9,817 |
| 5.55%, 02/15/2034 | | 10,000 | 9,545 |
| OneMain Finance Corp. | | | |
| 6.13%, 03/15/2024 | | 5,000 | 4,984 |
| Synchrony Financial | | | |
| 2.88%, 10/28/2031 | | 10,000 | 7,085 |
| 7.25%, 02/02/2033 | | 15,000 | 13,239 |
| | | | 325,377 |
| Electric — 3.3% |
| AES Corp. | | | |
| 3.30%, 07/15/2025* | | 25,000 | 23,679 |
| Alabama Power Co. | | | |
| 3.45%, 10/01/2049 | | 25,000 | 16,614 |
| 4.15%, 08/15/2044 | | 15,000 | 11,536 |
| Arizona Public Service Co. | | | |
| 5.55%, 08/01/2033 | | 10,000 | 9,694 |
| Berkshire Hathaway Energy Co. | | | |
| 1.65%, 05/15/2031 | | 15,000 | 11,226 |
| 4.60%, 05/01/2053 | | 10,000 | 7,811 |
| Cleco Corporate Holdings LLC | | | |
| 3.38%, 09/15/2029 | | 13,000 | 10,859 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.20%, 12/01/2051 | | 15,000 | 9,394 |
| Dominion Energy, Inc. | | | |
| 3.38%, 04/01/2030 | | 5,000 | 4,301 |
| 5.38%, 11/15/2032 | | 60,000 | 57,283 |
| Duke Energy Carolinas LLC | | | |
| 2.55%, 04/15/2031 | | 15,000 | 12,293 |
| Duke Energy Corp. | | | |
| 2.55%, 06/15/2031 | | 40,000 | 31,716 |
| 4.50%, 08/15/2032 | | 20,000 | 17,991 |
| 5.00%, 08/15/2052 | | 5,000 | 4,156 |
| Duke Energy Indiana LLC | | | |
| 2.75%, 04/01/2050 | | 20,000 | 11,453 |
| Duke Energy Progress LLC | | | |
| 3.70%, 10/15/2046 | | 30,000 | 20,815 |
| 4.00%, 04/01/2052 | | 10,000 | 7,275 |
| 4.38%, 03/30/2044 | | 21,000 | 16,766 |
| Edison International | | | |
| 5.25%, 11/15/2028 | | 15,000 | 14,432 |
| 6.95%, 11/15/2029 | | 35,000 | 36,096 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| Emera, Inc. | | | |
| 6.75%, 06/15/2076 | | $ 15,000 | $ 14,399 |
| Evergy Metro, Inc. | | | |
| 2.25%, 06/01/2030 | | 5,000 | 4,035 |
| Evergy, Inc. | | | |
| 2.45%, 09/15/2024 | | 25,000 | 24,151 |
| 2.90%, 09/15/2029 | | 10,000 | 8,541 |
| Eversource Energy | | | |
| 3.38%, 03/01/2032 | | 11,000 | 9,125 |
| 5.13%, 05/15/2033 | | 30,000 | 27,904 |
| 5.45%, 03/01/2028 | | 5,000 | 4,942 |
| Florida Power & Light Co. | | | |
| 5.10%, 04/01/2033 | | 10,000 | 9,674 |
| Georgia Power Co. | | | |
| 4.30%, 03/15/2042 | | 8,000 | 6,400 |
| 4.70%, 05/15/2032 | | 10,000 | 9,265 |
| IPALCO Enterprises, Inc. | | | |
| 3.70%, 09/01/2024 | | 5,000 | 4,883 |
| Kentucky Utilities Co. | | | |
| 5.45%, 04/15/2033 | | 10,000 | 9,769 |
| Monongahela Power Co. | | | |
| 5.85%, 02/15/2034* | | 10,000 | 9,815 |
| National Grid PLC | | | |
| 5.60%, 06/12/2028 | | 5,000 | 4,946 |
| National Rural Utilities Cooperative Finance Corp. | | | |
| 5.80%, 01/15/2033 | | 15,000 | 14,978 |
| Nextera Energy Capital Holdings, Inc. | | | |
| 2.25%, 06/01/2030 | | 25,000 | 20,014 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 1.88%, 01/15/2027 | | 5,000 | 4,427 |
| 4.63%, 07/15/2027 | | 45,000 | 43,374 |
| 5.00%, 02/28/2030 to 07/15/2032 | | 25,000 | 23,571 |
| 6.05%, 03/01/2025 | | 5,000 | 5,008 |
| NRG Energy, Inc. | | | |
| 2.45%, 12/02/2027* | | 18,000 | 15,258 |
| Oglethorpe Power Corp. | | | |
| 4.50%, 04/01/2047 | | 15,000 | 11,204 |
| Ohio Edison Co. | | | |
| 5.50%, 01/15/2033* | | 15,000 | 14,351 |
| Pacific Gas & Electric Co. | | | |
| 2.50%, 02/01/2031 | | 20,000 | 15,216 |
| 4.55%, 07/01/2030 | | 35,000 | 30,939 |
| 4.95%, 07/01/2050 | | 22,000 | 16,398 |
| 5.25%, 03/01/2052 | | 10,000 | 7,707 |
| 5.90%, 06/15/2032 | | 40,000 | 37,356 |
| 6.10%, 01/15/2029 | | 50,000 | 48,836 |
| 6.15%, 01/15/2033 | | 25,000 | 23,711 |
| 6.40%, 06/15/2033 | | 45,000 | 43,373 |
| PPL Capital Funding, Inc. | | | |
| 4.13%, 04/15/2030 | | 5,000 | 4,490 |
| Puget Energy, Inc. | | | |
| 2.38%, 06/15/2028 | | 20,000 | 17,108 |
| 4.10%, 06/15/2030 | | 25,000 | 21,783 |
| Sempra | | | |
| 3.70%, 04/01/2029 | | 16,000 | 14,415 |
| 5.40%, 08/01/2026 | | 20,000 | 19,788 |
| Southern California Edison Co. | | | |
| 2.85%, 08/01/2029 | | 15,000 | 12,937 |
| 5.30%, 03/01/2028 | | 10,000 | 9,870 |
| 5.85%, 11/01/2027 | | 5,000 | 5,027 |
| Southern Co. | | | |
| 3.25%, 07/01/2026 | | 30,000 | 28,130 |
| 5.20%, 06/15/2033 | | 20,000 | 18,904 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Electric (continued) |
| 5.70%, 03/15/2034 | | $ 10,000 | $ 9,793 |
| Southwestern Electric Power Co. | | | |
| 5.30%, 04/01/2033 | | 55,000 | 51,935 |
| Virginia Electric & Power Co. | | | |
| 5.00%, 04/01/2033 | | 26,000 | 24,374 |
| Xcel Energy, Inc. | | | |
| 1.75%, 03/15/2027 | | 55,000 | 48,405 |
| 4.60%, 06/01/2032 | | 13,000 | 11,797 |
| | | | 1,157,716 |
| Electronics — 0.1% |
| Sensata Technologies BV | | | |
| 5.00%, 10/01/2025* | | 20,000 | 19,389 |
| Entertainment — 0.2% |
| Warnermedia Holdings, Inc. | | | |
| 5.14%, 03/15/2052 | | 36,000 | 26,749 |
| WMG Acquisition Corp. | | | |
| 3.88%, 07/15/2030* | | 70,000 | 59,129 |
| | | | 85,878 |
| Environmental Control — 0.3% |
| Clean Harbors, Inc. | | | |
| 4.88%, 07/15/2027* | | 90,000 | 84,810 |
| Veralto Corp. | | | |
| 5.35%, 09/18/2028* | | 20,000 | 19,774 |
| | | | 104,584 |
| Food — 0.1% |
| Kellanova | | | |
| 3.40%, 11/15/2027 | | 20,000 | 18,381 |
| Conagra Brands, Inc. | | | |
| 4.85%, 11/01/2028 | | 15,000 | 14,321 |
| General Mills, Inc. | | | |
| 4.95%, 03/29/2033 | | 5,000 | 4,685 |
| | | | 37,387 |
| Gas — 0.4% |
| Brooklyn Union Gas Co. | | | |
| 6.39%, 09/15/2033* | | 25,000 | 24,523 |
| KeySpan Gas East Corp. | | | |
| 5.99%, 03/06/2033* | | 20,000 | 19,301 |
| NiSource, Inc. | | | |
| 3.49%, 05/15/2027 | | 25,000 | 23,172 |
| 3.60%, 05/01/2030 | | 29,000 | 25,261 |
| 5.25%, 03/30/2028 | | 35,000 | 34,301 |
| Piedmont Natural Gas Co., Inc. | | | |
| 5.40%, 06/15/2033 | | 10,000 | 9,534 |
| Southern California Gas Co. | | | |
| 5.20%, 06/01/2033 | | 15,000 | 14,190 |
| Southern Co. Gas Capital Corp. | | | |
| 5.75%, 09/15/2033 | | 5,000 | 4,902 |
| | | | 155,184 |
| Hand/Machine Tools — 0.2% |
| Regal Rexnord Corp. | | | |
| 6.05%, 04/15/2028* | | 40,000 | 38,907 |
| 6.30%, 02/15/2030* | | 15,000 | 14,489 |
| | | | 53,396 |
| Healthcare-Products — 0.3% |
| Avantor Funding, Inc. | | | |
| 4.63%, 07/15/2028* | | 55,000 | 50,142 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Healthcare-Products (continued) |
| Hologic, Inc. | | | |
| 4.63%, 02/01/2028* | | $ 48,000 | $ 44,168 |
| | | | 94,310 |
| Healthcare-Services — 0.5% |
| Centene Corp. | | | |
| 2.45%, 07/15/2028 | | 20,000 | 16,897 |
| 4.63%, 12/15/2029 | | 80,000 | 72,050 |
| CommonSpirit Health | | | |
| 3.35%, 10/01/2029 | | 5,000 | 4,365 |
| Humana, Inc. | | | |
| 3.70%, 03/23/2029 | | 20,000 | 18,244 |
| Kaiser Foundation Hospitals | | | |
| 2.81%, 06/01/2041 | | 8,000 | 5,373 |
| 3.00%, 06/01/2051 | | 15,000 | 9,442 |
| Sutter Health | | | |
| 3.36%, 08/15/2050 | | 9,000 | 5,883 |
| UnitedHealth Group, Inc. | | | |
| 2.75%, 05/15/2040 | | 27,000 | 18,345 |
| 3.50%, 08/15/2039 | | 5,000 | 3,850 |
| 4.95%, 05/15/2062 | | 5,000 | 4,310 |
| 5.25%, 02/15/2028 | | 10,000 | 10,017 |
| 5.88%, 02/15/2053 | | 10,000 | 10,036 |
| 6.05%, 02/15/2063 | | 5,000 | 5,059 |
| | | | 183,871 |
| Home Builders — 0.1% |
| Taylor Morrison Communities, Inc. | | | |
| 5.75%, 01/15/2028* | | 40,000 | 37,260 |
| Insurance — 0.5% |
| Aon Corp./Aon Global Holdings PLC | | | |
| 5.35%, 02/28/2033 | | 10,000 | 9,587 |
| Athene Global Funding | | | |
| 2.65%, 10/04/2031* | | 45,000 | 33,319 |
| 2.72%, 01/07/2029* | | 40,000 | 33,227 |
| Equitable Financial Life Global Funding | | | |
| 1.80%, 03/08/2028* | | 55,000 | 46,027 |
| Marsh & McLennan Cos., Inc. | | | |
| 2.38%, 12/15/2031 | | 13,000 | 10,222 |
| 4.75%, 03/15/2039 | | 6,000 | 5,266 |
| Willis North America, Inc. | | | |
| 3.60%, 05/15/2024 | | 20,000 | 19,682 |
| | | | 157,330 |
| Internet — 0.4% |
| Gen Digital, Inc. | | | |
| 5.00%, 04/15/2025* | | 45,000 | 43,959 |
| 6.75%, 09/30/2027* | | 25,000 | 24,509 |
| Go Daddy Operating Co. LLC/GD Finance Co., Inc. | | | |
| 5.25%, 12/01/2027* | | 82,000 | 77,350 |
| | | | 145,818 |
| Investment Companies — 0.2% |
| Bain Capital Specialty Finance, Inc. | | | |
| 2.55%, 10/13/2026 | | 75,000 | 64,680 |
| Iron/Steel — 0.1% |
| ArcelorMittal SA | | | |
| 6.80%, 11/29/2032 | | 19,000 | 18,870 |
| Machinery-Diversified — 0.1% |
| Ingersoll Rand, Inc. | | | |
| 5.70%, 08/14/2033 | | 5,000 | 4,825 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Machinery-Diversified (continued) |
| Otis Worldwide Corp. | | | |
| 2.57%, 02/15/2030 | | $ 25,000 | $ 20,727 |
| | | | 25,552 |
| Media — 1.4% |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | |
| 4.50%, 08/15/2030* | | 70,000 | 57,457 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
| 3.50%, 03/01/2042 | | 15,000 | 9,270 |
| 3.90%, 06/01/2052 | | 5,000 | 2,989 |
| 4.80%, 03/01/2050 | | 5,000 | 3,496 |
| 5.13%, 07/01/2049 | | 28,000 | 20,411 |
| 6.48%, 10/23/2045 | | 15,000 | 13,097 |
| Comcast Corp. | | | |
| 3.20%, 07/15/2036 | | 6,000 | 4,626 |
| 3.25%, 11/01/2039 | | 27,000 | 19,724 |
| 3.40%, 07/15/2046 | | 5,000 | 3,406 |
| Cox Communications, Inc. | | | |
| 2.60%, 06/15/2031* | | 25,000 | 19,475 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/2030 | | 10,000 | 8,465 |
| 3.90%, 11/15/2024 | | 35,000 | 34,034 |
| 4.00%, 09/15/2055 | | 23,000 | 13,799 |
| 5.20%, 09/20/2047 | | 15,000 | 11,372 |
| 5.30%, 05/15/2049 | | 35,000 | 26,801 |
| Paramount Global | | | |
| 4.20%, 05/19/2032 | | 30,000 | 23,849 |
| 4.38%, 03/15/2043 | | 32,000 | 20,697 |
| 4.95%, 01/15/2031 | | 45,000 | 38,644 |
| 5.25%, 04/01/2044 | | 15,000 | 10,474 |
| Sirius XM Radio, Inc. | | | |
| 3.13%, 09/01/2026* | | 60,000 | 53,475 |
| 4.00%, 07/15/2028* | | 25,000 | 21,339 |
| Time Warner Cable LLC | | | |
| 4.50%, 09/15/2042 | | 45,000 | 31,177 |
| 5.88%, 11/15/2040 | | 30,000 | 24,857 |
| | | | 472,934 |
| Mining — 0.2% |
| FMG Resources August 2006 Pty, Ltd. | | | |
| 4.38%, 04/01/2031* | | 10,000 | 8,228 |
| Glencore Funding LLC | | | |
| 2.85%, 04/27/2031* | | 10,000 | 7,935 |
| 5.70%, 05/08/2033* | | 15,000 | 14,224 |
| 6.38%, 10/06/2030* | | 30,000 | 29,919 |
| | | | 60,306 |
| Office/Business Equipment — 0.2% |
| CDW LLC/CDW Finance Corp. | | | |
| 3.25%, 02/15/2029 | | 68,000 | 57,983 |
| Oil & Gas — 1.3% |
| Apache Corp. | | | |
| 4.88%, 11/15/2027 | | 30,000 | 27,954 |
| BP Capital Markets America, Inc. | | | |
| 2.94%, 06/04/2051 | | 15,000 | 9,158 |
| 3.00%, 02/24/2050 | | 10,000 | 6,235 |
| 4.81%, 02/13/2033 | | 30,000 | 28,076 |
| 4.89%, 09/11/2033 | | 23,000 | 21,593 |
| ConocoPhillips Co. | | | |
| 4.03%, 03/15/2062 | | 5,000 | 3,592 |
| 5.05%, 09/15/2033 | | 20,000 | 19,146 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| 5.70%, 09/15/2063 | | $ 15,000 | $ 14,291 |
| Continental Resources, Inc. | | | |
| 2.88%, 04/01/2032* | | 5,000 | 3,744 |
| 4.38%, 01/15/2028 | | 3,000 | 2,783 |
| 5.75%, 01/15/2031* | | 10,000 | 9,395 |
| Ecopetrol SA | | | |
| 4.63%, 11/02/2031 | | 10,000 | 7,634 |
| 8.63%, 01/19/2029 | | 45,000 | 45,159 |
| Energean Israel Finance, Ltd. | | | |
| 4.88%, 03/30/2026* | | 10,000 | 9,288 |
| 5.88%, 03/30/2031* | | 30,000 | 26,018 |
| Equinor ASA | | | |
| 3.63%, 04/06/2040 | | 20,000 | 15,434 |
| 3.70%, 04/06/2050 | | 5,000 | 3,650 |
| Hess Corp. | | | |
| 7.13%, 03/15/2033 | | 3,000 | 3,168 |
| 7.30%, 08/15/2031 | | 18,000 | 19,066 |
| Leviathan Bond, Ltd. | | | |
| 6.50%, 06/30/2027* | | 50,000 | 47,375 |
| Marathon Oil Corp. | | | |
| 6.60%, 10/01/2037 | | 13,000 | 12,661 |
| Occidental Petroleum Corp. | | | |
| 6.45%, 09/15/2036 | | 10,000 | 9,819 |
| 6.63%, 09/01/2030 | | 10,000 | 10,133 |
| Ovintiv, Inc. | | | |
| 6.50%, 08/15/2034 | | 5,000 | 4,924 |
| 6.63%, 08/15/2037 | | 5,000 | 4,797 |
| 7.38%, 11/01/2031 | | 40,000 | 41,913 |
| Patterson-UTI Energy, Inc. | | | |
| 7.15%, 10/01/2033 | | 5,000 | 5,018 |
| Shell International Finance BV | | | |
| 2.88%, 11/26/2041 | | 15,000 | 10,180 |
| 3.00%, 11/26/2051 | | 2,000 | 1,249 |
| 3.25%, 04/06/2050 | | 15,000 | 9,960 |
| Viper Energy Partners LP | | | |
| 5.38%, 11/01/2027* | | 28,000 | 26,523 |
| | | | 459,936 |
| Packaging & Containers — 0.4% |
| Ball Corp. | | | |
| 4.00%, 11/15/2023 | | 10,000 | 9,954 |
| 6.00%, 06/15/2029 | | 85,000 | 82,520 |
| Graphic Packaging International LLC | | | |
| 4.75%, 07/15/2027* | | 40,000 | 37,705 |
| | | | 130,179 |
| Pharmaceuticals — 0.1% |
| CVS Health Corp. | | | |
| 5.13%, 02/21/2030 | | 15,000 | 14,427 |
| 5.25%, 01/30/2031 | | 20,000 | 19,217 |
| | | | 33,644 |
| Pipelines — 1.0% |
| Cheniere Energy Partners LP | | | |
| 4.50%, 10/01/2029 | | 10,000 | 9,055 |
| Columbia Pipelines Holding Co. LLC | | | |
| 6.04%, 08/15/2028* | | 15,000 | 14,924 |
| Columbia Pipelines Operating Co. LLC | | | |
| 5.93%, 08/15/2030* | | 5,000 | 4,936 |
| 6.04%, 11/15/2033* | | 20,000 | 19,522 |
| 6.54%, 11/15/2053* | | 5,000 | 4,888 |
| Enbridge, Inc. | | | |
| 5.70%, 03/08/2033 | | 43,000 | 41,194 |
| 8.50%, 01/15/2084 | | 25,000 | 24,794 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Pipelines (continued) |
| Energy Transfer LP | | | |
| 6.13%, 12/15/2045 | | $ 8,000 | $ 7,116 |
| EQM Midstream Partners LP | | | |
| 4.13%, 12/01/2026 | | 35,000 | 32,398 |
| MPLX LP | | | |
| 4.95%, 09/01/2032 | | 22,000 | 20,036 |
| 5.20%, 03/01/2047 | | 5,000 | 4,083 |
| ONEOK, Inc. | | | |
| 3.40%, 09/01/2029 | | 20,000 | 17,357 |
| 4.35%, 03/15/2029 | | 5,000 | 4,611 |
| 6.10%, 11/15/2032 | | 20,000 | 19,747 |
| Sabine Pass Liquefaction LLC | | | |
| 4.50%, 05/15/2030 | | 10,000 | 9,171 |
| Targa Resources Corp. | | | |
| 4.20%, 02/01/2033 | | 5,000 | 4,251 |
| 6.13%, 03/15/2033 | | 10,000 | 9,803 |
| 6.25%, 07/01/2052 | | 10,000 | 9,183 |
| TransCanada PipeLines, Ltd. | | | |
| 2.50%, 10/12/2031 | | 10,000 | 7,743 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 3.25%, 05/15/2030 | | 10,000 | 8,577 |
| Western Midstream Operating LP | | | |
| 4.75%, 08/15/2028 | | 25,000 | 23,381 |
| 6.15%, 04/01/2033 | | 15,000 | 14,466 |
| Williams Cos., Inc. | | | |
| 4.65%, 08/15/2032 | | 24,000 | 21,832 |
| 5.65%, 03/15/2033 | | 10,000 | 9,663 |
| | | | 342,731 |
| REITS — 0.7% |
| American Tower Corp. | | | |
| 1.45%, 09/15/2026 | | 15,000 | 13,219 |
| 2.40%, 03/15/2025 | | 5,000 | 4,741 |
| 3.65%, 03/15/2027 | | 15,000 | 13,898 |
| 3.80%, 08/15/2029 | | 10,000 | 8,895 |
| 5.80%, 11/15/2028 | | 15,000 | 14,887 |
| Crown Castle, Inc. | | | |
| 4.80%, 09/01/2028 | | 43,000 | 40,814 |
| 5.00%, 01/11/2028 | | 20,000 | 19,322 |
| Crown Castle, Inc. | | | |
| 2.90%, 03/15/2027 | | 15,000 | 13,605 |
| Equinix, Inc. | | | |
| 3.20%, 11/18/2029 | | 20,000 | 17,127 |
| GLP Capital LP/GLP Financing II, Inc. | | | |
| 3.25%, 01/15/2032 | | 5,000 | 3,880 |
| 4.00%, 01/15/2031 | | 28,000 | 23,310 |
| 5.30%, 01/15/2029 | | 5,000 | 4,635 |
| 5.75%, 06/01/2028 | | 15,000 | 14,382 |
| SBA Tower Trust | | | |
| 2.84%, 01/15/2025* | | 40,000 | 38,286 |
| VICI Properties LP | | | |
| 4.95%, 02/15/2030 | | 34,000 | 31,109 |
| | | | 262,110 |
| Retail — 0.6% |
| AutoZone, Inc. | | | |
| 4.75%, 08/01/2032 | | 14,000 | 12,842 |
| FirstCash, Inc. | | | |
| 4.63%, 09/01/2028* | | 55,000 | 48,735 |
| 5.63%, 01/01/2030* | | 40,000 | 35,989 |
| Gap, Inc. | | | |
| 3.63%, 10/01/2029* | | 55,000 | 40,701 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail (continued) |
| 3.88%, 10/01/2031* | | $ 65,000 | $ 45,670 |
| O'Reilly Automotive, Inc. | | | |
| 4.35%, 06/01/2028 | | 5,000 | 4,775 |
| 4.70%, 06/15/2032 | | 30,000 | 27,492 |
| | | | 216,204 |
| Semiconductors — 0.4% |
| Broadcom, Inc. | | | |
| 4.00%, 04/15/2029* | | 35,000 | 31,584 |
| 4.30%, 11/15/2032 | | 15,000 | 13,087 |
| Intel Corp. | | | |
| 3.05%, 08/12/2051 | | 7,000 | 4,255 |
| 3.10%, 02/15/2060 | | 10,000 | 5,751 |
| 5.90%, 02/10/2063 | | 12,000 | 11,376 |
| Marvell Technology, Inc. | | | |
| 2.45%, 04/15/2028 | | 18,000 | 15,548 |
| 2.95%, 04/15/2031 | | 15,000 | 12,135 |
| 5.95%, 09/15/2033 | | 5,000 | 4,908 |
| NXP BV/NXP Funding LLC | | | |
| 5.35%, 03/01/2026 | | 15,000 | 14,777 |
| 5.55%, 12/01/2028 | | 10,000 | 9,788 |
| Qorvo, Inc. | | | |
| 3.38%, 04/01/2031* | | 20,000 | 15,841 |
| | | | 139,050 |
| Software — 1.0% |
| Black Knight InfoServ LLC | | | |
| 3.63%, 09/01/2028* | | 59,000 | 52,879 |
| Fair Isaac Corp. | | | |
| 4.00%, 06/15/2028* | | 60,000 | 53,645 |
| MSCI, Inc. | | | |
| 3.63%, 11/01/2031* | | 20,000 | 16,361 |
| 3.88%, 02/15/2031* | | 10,000 | 8,472 |
| 4.00%, 11/15/2029* | | 10,000 | 8,783 |
| Open Text Corp. | | | |
| 3.88%, 12/01/2029* | | 50,000 | 41,101 |
| 6.90%, 12/01/2027* | | 39,000 | 39,089 |
| Oracle Corp. | | | |
| 2.30%, 03/25/2028 | | 20,000 | 17,327 |
| 2.95%, 04/01/2030 | | 10,000 | 8,415 |
| 3.60%, 04/01/2040 | | 6,000 | 4,335 |
| 3.85%, 04/01/2060 | | 58,000 | 36,883 |
| 4.90%, 02/06/2033 | | 26,000 | 23,965 |
| SS&C Technologies, Inc. | | | |
| 5.50%, 09/30/2027* | | 50,000 | 47,182 |
| | | | 358,437 |
| Telecommunications — 0.5% |
| AT&T, Inc. | | | |
| 2.55%, 12/01/2033 | | 15,000 | 11,017 |
| 3.55%, 09/15/2055 | | 14,000 | 8,570 |
| 3.65%, 09/15/2059 | | 2,000 | 1,217 |
| 3.80%, 12/01/2057 | | 25,000 | 15,838 |
| 4.50%, 05/15/2035 | | 10,000 | 8,530 |
| 5.40%, 02/15/2034 | | 15,000 | 14,039 |
| Nokia Oyj | | | |
| 6.63%, 05/15/2039 | | 15,000 | 13,445 |
| Rogers Communications, Inc. | | | |
| 3.80%, 03/15/2032 | | 15,000 | 12,465 |
| T-Mobile USA, Inc. | | | |
| 2.05%, 02/15/2028 | | 30,000 | 25,796 |
| 5.05%, 07/15/2033 | | 25,000 | 23,195 |
| 5.75%, 01/15/2034 | | 15,000 | 14,633 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Telecommunications (continued) |
| Verizon Communications, Inc. | | | |
| 2.55%, 03/21/2031 | | $ 7,000 | $ 5,574 |
| 2.85%, 09/03/2041 | | 23,000 | 14,869 |
| | | | 169,188 |
| Trucking & Leasing — 0.2% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. | | | |
| 2.70%, 11/01/2024* | | 35,000 | 33,692 |
| 4.00%, 07/15/2025* | | 10,000 | 9,605 |
| 4.40%, 07/01/2027* | | 25,000 | 23,429 |
| 6.05%, 08/01/2028* | | 5,000 | 4,937 |
| | | | 71,663 |
Total Corporate Bonds & Notes
(cost $8,528,918) | | | 7,690,487 |
| ASSET BACKED SECURITIES — 7.4% |
| Auto Loan Receivables — 2.0% |
| American Credit Acceptance Receivables Trust | | | |
Series 2023-3, Class B
6.09%, 11/12/2027* | | 20,000 | 19,967 |
| AmeriCredit Automobile Receivables Trust | | | |
Series 2019-3, Class D
2.58%, 09/18/2025 | | 40,000 | 39,337 |
| ARI Fleet Lease Trust | | | |
Series 2023-A, Class A2
5.41%, 02/17/2032* | | 100,000 | 99,128 |
| Chesapeake Funding II LLC | | | |
Series 2023-1A, Class A1
5.65%, 05/15/2035* | | 89,399 | 88,795 |
| Drive Auto Receivables Trust | | | |
Series 2019-4, Class D
2.70%, 02/16/2027 | | 15,046 | 14,929 |
| DT Auto Owner Trust | | | |
Series 2023-1A, Class B
5.19%, 10/16/2028* | | 15,000 | 14,778 |
Series 2023-2A, Class B
5.41%, 02/15/2029* | | 15,000 | 14,779 |
| Exeter Automobile Receivables Trust | | | |
Series 2022-1A, Class B
2.18%, 06/15/2026 | | 12,744 | 12,656 |
Series 2019-4A, Class D
2.58%, 09/15/2025* | | 32,383 | 31,888 |
Series 2020-1A, Class D
2.73%, 12/15/2025* | | 12,912 | 12,679 |
Series 2023-1A, Class B
5.72%, 04/15/2027 | | 20,000 | 19,859 |
Series 2022-6A, Class B
6.03%, 08/16/2027 | | 9,000 | 8,945 |
Series 2023-3A, Class B
6.11%, 09/15/2027 | | 9,000 | 8,967 |
| Flagship Credit Auto Trust | | | |
Series 2023-1, Class B
5.05%, 01/18/2028* | | 10,000 | 9,764 |
Series 2023-2, Class B
5.21%, 05/15/2028* | | 19,000 | 18,570 |
| OneMain Direct Auto Receivables Trust | | | |
Series 2023-1A, Class A
5.41%, 11/14/2029* | | 100,000 | 98,446 |
| Prestige Auto Receivables Trust | | | |
Series 2022-1A, Class B
6.55%, 07/17/2028* | | 30,000 | 29,968 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Auto Loan Receivables (continued) |
| Santander Drive Auto Receivables Trust | | | |
Series 2023-1, Class B
4.98%, 02/15/2028 | | $ 15,000 | $ 14,739 |
Series 2023-3, Class B
5.61%, 07/17/2028 | | 30,000 | 29,723 |
Series 2023-4, Class B
5.77%, 12/15/2028 | | 30,000 | 29,891 |
| SFS Auto Receivables Securitization Trust | | | |
Series 2023-1A, Class B
5.71%, 01/22/2030* | | 15,000 | 14,739 |
| Westlake Automobile Receivables Trust | | | |
Series 2020-3A, Class D
1.65%, 02/17/2026* | | 30,000 | 29,121 |
Series 2023-1A, Class B
5.41%, 01/18/2028* | | 10,000 | 9,874 |
| World Omni Auto Receivables Trust | | | |
Series 2023-A, Class B
5.03%, 05/15/2029 | | 15,000 | 14,620 |
| | | | 686,162 |
| Home Equity — 0.4% |
| Asset Backed Securities Corp. Home Equity Loan Trust FRS | | | |
Series 2004-HE7, Class M2
7.01%, (TSFR1M+1.69%), 10/25/2034 | | 5,825 | 5,811 |
| Option One Mtg. Loan Trust FRS | | | |
Series 2006-3, Class 2A2
5.53%, (TSFR1M+0.21%), 02/25/2037 | | 26,174 | 12,920 |
| Soundview Home Loan Trust FRS | | | |
Series 2006-3, Class A4
5.93%, (TSFR1M+0.61%), 11/25/2036 | | 153,041 | 140,347 |
| | | | 159,078 |
| Other Asset Backed Securities — 5.0% |
| 510 Asset Backed Trust | | | |
Series 2021-NPL2, Class A1
2.12%, 06/25/2061*(2) | | 49,807 | 45,531 |
Series 2021-NPL1, Class A1
2.24%, 06/25/2061*(2) | | 48,873 | 45,529 |
| Affirm Asset Securitization Trust | | | |
Series 2020-Z1, Class A
3.46%, 10/15/2024* | | 167 | 166 |
| Aligned Data Centers Issuer LLC | | | |
Series 2023-1A, Class A2
6.00%, 08/17/2048* | | 45,000 | 43,288 |
| BlueMountain CLO XXIV, Ltd. FRS | | | |
Series 2019-24A, Class AR
6.69%, (SOFR30A+1.36%), 04/20/2034* | | 250,000 | 247,455 |
| CNH Equipment Trust | | | |
Series 2023-A, Class A4
4.77%, 10/15/2030 | | 10,000 | 9,739 |
| DLLAA LLC | | | |
Series 2023-1A, Class A3
5.64%, 02/22/2028* | | 15,000 | 14,973 |
| Domino's Pizza Master Issuer LLC | | | |
Series 2021-1A, Class A2I
2.66%, 04/25/2051* | | 48,875 | 41,203 |
Series 2019-1A, Class A2
3.67%, 10/25/2049* | | 48,250 | 41,748 |
Series 2018-1A, Class A2I
4.12%, 07/25/2048* | | 57,150 | 54,221 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| ASSET BACKED SECURITIES (continued) |
| Other Asset Backed Securities (continued) |
| FirstKey Homes Trust | | | |
Series 2022-SFR2, Class A
4.25%, 07/17/2039* | | $ 99,438 | $ 93,154 |
| KKR CLO, Ltd. FRS | | | |
Series 22A, Class A
6.74%, (TSFR1M+1.41%), 07/20/2031* | | 250,000 | 248,995 |
| Kubota Credit Owner Trust | | | |
Series 2023-1A, Class A3
5.02%, 06/15/2027* | | 20,000 | 19,685 |
| Madison Park Funding XLI, Ltd. FRS | | | |
Series 12A, Class AR
6.44%, (TSFR3M+1.09%), 04/22/2027* | | 135,192 | 135,000 |
| Navient Private Education Refi Loan Trust | | | |
Series 2021-FA, Class A
1.11%, 02/18/2070* | | 70,413 | 58,696 |
| Pretium Mtg. Credit Partners LLC | | | |
Series 2021-RN1, Class A1
1.99%, 02/25/2061*(2) | | 53,090 | 50,069 |
Series 2022-NPL1, Class A1
2.98%, 01/25/2052*(2) | | 66,050 | 61,384 |
| Securitized Asset Backed Receivables LLC Trust FRS | | | |
Series 2007-BR5, Class A2A
5.56%, (TSFR1M+0.24%), 05/25/2037 | | 52,615 | 39,440 |
| Summit Issuer LLC | | | |
Series 2020-1A, Class A2
2.29%, 12/20/2050* | | 25,000 | 22,494 |
| Taco Bell Funding LLC | | | |
Series 2021-1A, Class A2II
2.29%, 08/25/2051* | | 105,127 | 85,872 |
| Venture 42 CLO, Ltd. FRS | | | |
Series 2021-42A, Class A1A
6.70%, (TSFR3M+1.39%), 04/15/2034* | | 100,000 | 98,104 |
| Venture 43 CLO, Ltd. FRS | | | |
Series 2021-43A, Class A1
6.81%, (TSFR3M+1.50%), 04/15/2034* | | 100,000 | 99,031 |
| VOLT XCIV LLC | | | |
Series 2021-NPL3, Class A1
2.24%, 02/27/2051*(2) | | 52,367 | 49,343 |
| VOLT XCIX LLC | | | |
Series 2021-NPL8, Class A1
2.12%, 04/25/2051*(2) | | 54,606 | 50,804 |
| VOLT XCVII LLC | | | |
Series 2021-NPL6, Class A1
2.24%, 04/25/2051*(2) | | 53,570 | 49,894 |
| Wendy's Funding LLC | | | |
Series 2018-1A, Class A2II
3.88%, 03/15/2048* | | 47,125 | 42,193 |
| | | | 1,748,011 |
Total Asset Backed Securities
(cost $2,616,702) | | | 2,593,251 |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 13.3% |
| Commercial and Residential — 10.6% |
| 1211 Avenue of the Americas Trust | | | |
Series 2015-1211, Class A1A2
3.90%, 08/10/2035* | | 120,000 | 112,318 |
| Angel Oak Mtg. Trust VRS | | | |
Series 2020-R1, Class A1
0.99%, 04/25/2053*(1) | | 15,022 | 13,459 |
Series 2021-2, Class A1
0.99%, 04/25/2066*(1) | | 20,342 | 16,428 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2021-3, Class A1
1.07%, 05/25/2066*(1) | | $ 37,557 | $ 30,704 |
Series 2020-3, Class A1
1.69%, 04/25/2065*(1) | | 22,319 | 20,310 |
Series 2021-8, Class A1
1.82%, 11/25/2066*(1) | | 35,863 | 29,470 |
| BANK VRS | | | |
Series 2017-BNK8, Class XA
0.85%, 11/15/2050(1)(3) | | 814,906 | 19,037 |
Series 2019-BN20, Class XA
0.94%, 09/15/2062(1)(3) | | 896,065 | 33,337 |
| BBCMS Mtg. Trust VRS | | | |
Series 2022-C18, Class A4
5.44%, 12/15/2055(1) | | 20,000 | 19,478 |
Series 2022-C18, Class A5
5.71%, 12/15/2055(1) | | 10,000 | 9,854 |
| Bear Stearns Adjustable Rate Mtg. Trust VRS | | | |
Series 2005-12, Class 12A1
4.81%, 02/25/2036(1) | | 30,135 | 26,447 |
| Benchmark Mtg. Trust VRS | | | |
Series 2018-B4, Class XA
0.61%, 07/15/2051(1)(3) | | 327,885 | 5,089 |
Series 2018-B1, Class XA
0.68%, 01/15/2051(1)(3) | | 149,495 | 2,711 |
Series 2018-B8, Class XA
0.78%, 01/15/2052(1)(3) | | 899,935 | 21,543 |
Series 2019-B10, Class XA
1.36%, 03/15/2062(1)(3) | | 319,357 | 14,918 |
Series 2020-B22, Class XA
1.63%, 01/15/2054(1)(3) | | 163,043 | 13,168 |
Series 2020-B18, Class XA
1.91%, 07/15/2053(1)(3) | | 99,395 | 6,770 |
| Citigroup Mtg. Loan Trust, Inc. FRS | | | |
Series 2006-AR1, Class 3A1
4.10%, (H15T1Y+2.4%), 03/25/2036 | | 13,931 | 12,762 |
| COLT Mtg. Loan Trust VRS | | | |
Series 2021-1, Class A1
0.91%, 06/25/2066*(1) | | 33,914 | 26,721 |
Series 2021-3, Class A1
0.96%, 09/27/2066*(1) | | 72,956 | 55,321 |
Series 2021-HX1, Class A1
1.11%, 10/25/2066*(1) | | 69,196 | 54,865 |
| Commercial Mtg. Trust | | | |
Series 2015-LC19, Class A4
3.18%, 02/10/2048 | | 125,105 | 120,057 |
Series 2014-CR21, Class A3
3.53%, 12/10/2047 | | 127,723 | 123,911 |
Series 2014-UBS2, Class A5
3.96%, 03/10/2047 | | 150,000 | 148,862 |
Series 2014-CR17, Class A5
3.98%, 05/10/2047 | | 65,000 | 63,997 |
Series 2013-300P, Class A1
4.35%, 08/10/2030* | | 195,000 | 177,934 |
| Countrywide Home Loan Mtg. Pass Through Trust | | | |
Series 2005-29, Class A1
5.75%, 12/25/2035 | | 19,225 | 9,310 |
| CSAIL Commercial Mtg. Trust | | | |
Series 2016-C6, Class ASB
2.96%, 01/15/2049 | | 44,771 | 43,216 |
| CSAIL Commercial Mtg. Trust VRS | | | |
Series 2015-C2, Class XA
0.85%, 06/15/2057(1)(3) | | 1,003,537 | 7,532 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| CSMC Trust VRS | | | |
Series 2021-NQM4, Class A1
1.10%, 05/25/2066*(1) | | $ 48,609 | $ 39,004 |
Series 2022-NQM1, Class A1
2.27%, 11/25/2066*(1) | | 87,612 | 71,873 |
Series 2017-FHA1, Class A1
3.25%, 04/25/2047*(1) | | 24,815 | 21,730 |
| DBJPM Mtg. Trust | | | |
Series 2016-C3, Class A5
2.89%, 08/10/2049 | | 125,000 | 113,694 |
Series 2016-C1, Class ASB
3.04%, 05/10/2049 | | 43,044 | 41,243 |
| DBJPM Mtg. Trust VRS | | | |
Series 2020-C9, Class XA
1.82%, 09/15/2053(1)(3) | | 100,364 | 5,985 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities Trust FRS | | | |
Series 2023-R06, Class 1M2
8.01%, (SOFR30A+2.70%), 07/25/2043* | | 35,000 | 35,186 |
| First Horizon Alternative Mtg. Securities Trust VRS | | | |
Series 2005-AA3, Class 3A1
5.94%, 05/25/2035(1) | | 21,843 | 19,596 |
| GCAT Trust VRS | | | |
Series 2021-NQM2, Class A1
1.04%, 05/25/2066*(1) | | 54,793 | 43,412 |
| GS Mtg. Securities Corp. II | | | |
Series 2012-BWTR, Class A
2.95%, 11/05/2034* | | 125,000 | 91,533 |
Series 2005-ROCK, Class A
5.37%, 05/03/2032* | | 30,445 | 29,437 |
| GS Mtg. Securities Corp. Trust VRS | | | |
Series 2018-GS10, Class XA
0.46%, 07/10/2051(1)(3) | | 1,175,483 | 16,397 |
| GS Mtg. Securities Trust | | | |
Series 2016-GS2, Class A4
3.05%, 05/10/2049 | | 97,000 | 89,865 |
Series 2014-GC20, Class A5
4.00%, 04/10/2047 | | 140,000 | 138,646 |
| GS Mtg. Securities Trust VRS | | | |
Series 2020-GC45, Class XA
0.78%, 02/13/2053(1)(3) | | 987,253 | 28,552 |
| GSR Mtg. Loan Trust VRS | | | |
Series 2007-AR1, Class 2A1
3.84%, 03/25/2047(1) | | 10,349 | 6,580 |
Series 2006-AR2, Class 3A1
4.74%, 04/25/2036(1) | | 3,304 | 2,103 |
| Impac CMB Trust FRS | | | |
Series 2005-4, Class 1A1A
5.97%, (TSFR1M+0.38%), 05/25/2035 | | 17,793 | 16,111 |
| Imperial Fund Mtg. Trust | | | |
Series 2022-NQM2, Class A1
3.64%, 03/25/2067*(2) | | 88,847 | 78,770 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2020-NNN, Class AFX
2.81%, 01/16/2037* | | 25,000 | 22,744 |
Series 2013-C16, Class A4
4.17%, 12/15/2046 | | 2,952 | 2,944 |
| Legacy Mtg. Asset Trust | | | |
Series 2019-GS7, Class A1
6.25%, 11/25/2059*(2) | | 64,871 | 64,267 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
| LSTAR Securities Investment, Ltd. FRS | | | |
Series 2021-1, Class A
8.23%, (TSFR3M+2.91%), 02/01/2026* | | $ 44,029 | $ 43,553 |
| Merrill Lynch Mtg. Investors Trust VRS | | | |
Series 2005-A2, Class A2
4.15%, 02/25/2035(1) | | 5,011 | 4,602 |
Series 2005-A1, Class 2A1
4.56%, 12/25/2034(1) | | 5,297 | 5,105 |
| MFA Trust VRS | | | |
Series 2021-NQM2, Class A1
1.03%, 11/25/2064*(1) | | 48,871 | 39,747 |
Series 2021-NQM1, Class A1
1.15%, 04/25/2065*(1) | | 25,706 | 22,353 |
| Morgan Stanley Bank of America Merrill Lynch Trust VRS | | | |
Series 2014-C19, Class XA
1.10%, 12/15/2047(1)(3) | | 204,648 | 1,255 |
| Morgan Stanley Capital I Trust VRS | | | |
Series 2017-H1, Class XA
1.48%, 06/15/2050(1)(3) | | 100,044 | 3,006 |
| Morgan Stanley Mtg. Loan Trust | | | |
Series 2007-12, Class 3A22
6.00%, 08/25/2037 | | 19,952 | 7,044 |
| MortgageIT Trust FRS | | | |
Series 2005-4, Class A1
5.99%, (TSFR1M+0.67%), 10/25/2035 | | 21,950 | 21,184 |
| New Residential Mtg. Loan Trust FRS | | | |
Series 2017-5A, Class A1
6.93%, (TSFR1M+1.61%), 06/25/2057* | | 21,925 | 21,782 |
| New Residential Mtg. Loan Trust VRS | | | |
Series 2019-NQM4, Class A1
2.49%, 09/25/2059*(1) | | 14,645 | 13,494 |
Series 2016-2A, Class A1
3.75%, 11/26/2035*(1) | | 24,951 | 23,023 |
Series 2016-4A, Class A1
3.75%, 11/25/2056*(1) | | 25,020 | 22,783 |
Series 2017-4A, Class A1
4.00%, 05/25/2057*(1) | | 23,519 | 21,402 |
| NMLT Trust VRS | | | |
Series 2021-INV1, Class A1
1.19%, 05/25/2056*(1) | | 70,518 | 56,074 |
| NRP Mtg. Trust VRS | | | |
Series 2013-1, Class A1
3.25%, 07/25/2043*(1) | | 7,279 | 6,231 |
| OBX Trust VRS | | | |
Series 2022-NQM1, Class A1
2.31%, 11/25/2061*(1) | | 79,225 | 65,557 |
| PRPM LLC | | | |
Series 2021-5, Class A1
1.79%, 06/25/2026*(2) | | 74,188 | 68,426 |
Series 2021-3, Class A1
1.87%, 04/25/2026*(2) | | 54,333 | 50,971 |
Series 2021-4, Class A1
1.87%, 04/25/2026*(2) | | 64,725 | 59,488 |
Series 2021-9, Class A1
2.36%, 10/25/2026*(2) | | 64,488 | 60,098 |
| SG Commercial Mtg. Securities Trust | | | |
Series 2020-COVE, Class A
2.63%, 03/15/2037* | | 95,000 | 88,274 |
| SG Residential Mtg. Trust VRS | | | |
Series 2021-1, Class A1
1.16%, 07/25/2061*(1) | | 50,594 | 38,377 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| Stack Infrastructure Issuer LLC | | | |
Series 2023-2A, Class A2
5.90%, 07/25/2048* | | $ 40,000 | $ 38,407 |
| Starwood Mtg. Residential Trust VRS | | | |
Series 2021-3, Class A1
1.13%, 06/25/2056*(1) | | 52,204 | 41,076 |
Series 2021-6, Class A1
1.92%, 11/25/2066*(1) | | 80,206 | 63,396 |
| Toorak Mtg. Corp., Ltd. | | | |
Series 2021-1, Class A1
2.24%, 06/25/2024*(2) | | 76,293 | 74,184 |
| Towd Point Mtg. Trust VRS | | | |
Series 2017-6, Class A1
2.75%, 10/25/2057*(1) | | 29,688 | 28,163 |
Series 2021-R1, Class A1
2.92%, 11/30/2060*(1) | | 90,501 | 71,371 |
| Verus Securitization Trust VRS | | | |
Series 2021-R2, Class A1
0.92%, 02/25/2064*(1) | | 32,109 | 27,234 |
Series 2021-7, Class A1
1.83%, 10/25/2066*(1) | | 76,039 | 63,350 |
| Wells Fargo Commercial Mtg. Trust | | | |
Series 2014-LC16, Class A5
3.82%, 08/15/2050 | | 105,000 | 102,688 |
| Wells Fargo Commercial Mtg. Trust VRS | | | |
Series 2015-NXS3, Class XA
1.02%, 09/15/2057(1)(3) | | 529,003 | 7,319 |
Series 2015-NXS1, Class D
4.28%, 05/15/2048(1) | | 10,000 | 8,300 |
| Wells Fargo Mtg. Backed Securities Trust VRS | | | |
Series 2006-AR14, Class 2A1
6.32%, 10/25/2036(1) | | 8,405 | 7,331 |
| WF-RBS Commercial Mtg. Trust | | | |
Series 2014-C20, Class A5
4.00%, 05/15/2047 | | 145,280 | 142,331 |
Series 2014-C19, Class A5
4.10%, 03/15/2047 | | 55,111 | 54,559 |
| | | | 3,692,739 |
| U.S. Government Agency — 2.7% |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | | | |
| 3.24%, 08/25/2027 | | 79,000 | 73,890 |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | | | |
Series K-1510, Class X1
0.64%, 01/25/2034(1)(3) | | 199,039 | 6,695 |
Series K064, Class X1
0.73%, 03/25/2027(1)(3) | | 340,427 | 5,872 |
Series K124, Class X1
0.81%, 12/25/2030(1)(3) | | 288,850 | 11,617 |
Series K122, Class X1
0.97%, 11/25/2030(1)(3) | | 99,321 | 4,682 |
Series K121, Class X1
1.12%, 10/25/2030(1)(3) | | 122,377 | 6,577 |
Series K114, Class X1
1.21%, 06/25/2030(1)(3) | | 228,663 | 13,372 |
Series K104, Class X1
1.25%, 01/25/2030(1)(3) | | 186,312 | 10,127 |
Series K111, Class X1
1.68%, 05/25/2030(1)(3) | | 99,296 | 7,925 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
| Federal Home Loan Mtg. Corp. REMIC | | | |
Series 4216, Class KQ
1.70%, 10/15/2039 | | $ 5,581 | $ 5,421 |
Series 3964, Class MD
2.00%, 01/15/2041 | | 629 | 598 |
Series 5170, Class DP
2.00%, 07/25/2050 | | 47,793 | 39,155 |
Series 4961, Class JB
2.50%, 12/15/2042 | | 26,168 | 22,745 |
Series 3883, Class PB
3.00%, 05/15/2041 | | 8,239 | 7,557 |
| Federal Home Loan Mtg. Corp. SCRT | | | |
Series 2019-3, Class MV
3.50%, 10/25/2058 | | 16,865 | 14,759 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Debt Notes FRS | | | |
Series 2023-DNA2, Class M1B
8.56%, (SOFR30A+3.25%), 04/25/2043* | | 15,000 | 15,471 |
Series 2023-HQA2, Class M1B
8.66%, (SOFR30A+3.35%), 06/25/2043* | | 60,000 | 61,393 |
Series 2022-HQA2, Class M1B
9.31%, (SOFR30A+4.00%), 07/25/2042* | | 20,000 | 20,788 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2022-DNA3, Class M1B
8.21%, (SOFR30A+2.90%), 04/25/2042* | | 20,000 | 20,429 |
Series 2022-DNA4, Class M1B
8.66%, (SOFR30A+3.35%), 05/25/2042* | | 30,000 | 31,094 |
Series 2022-HQA1, Class M1B
8.81%, (TSFR3M+3.50%), 03/25/2042* | | 10,000 | 10,333 |
Series 2023-HQA1, Class M1B
8.81%, (SOFR30A+3.50%), 05/25/2043* | | 50,000 | 51,312 |
Series 2022-HQA3, Class M1B
8.86%, (TSFR1M+3.55%), 08/25/2042* | | 10,000 | 10,335 |
Series 2022-DNA6, Class M1B
9.01%, (SOFR30A+3.70%), 09/25/2042* | | 20,000 | 20,956 |
Series 2022-DNA5, Class M1B
9.81%, (SOFR30A+4.50%), 06/25/2042* | | 35,000 | 37,564 |
| Federal National Mtg. Assoc. | | | |
Series 415, Class A3 STRIPS
3.00%, 11/25/2042 | | 14,868 | 13,122 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 68 | 68 |
Series 2019-HRP1, Class M2
7.58%, (SOFR30A+2.26%), 11/25/2039* | | 8,054 | 8,054 |
Series 2023-R05, Class 1M2
8.41%, (SOFR30A+3.1%), 06/25/2043* | | 18,000 | 18,442 |
Series 2017-C01, Class 1M2
8.98%, (SOFR30A+3.66%), 07/25/2029 | | 13,277 | 13,741 |
Series 2016-C07, Class 2M2
9.78%, (SOFR30A+4.46%), 05/25/2029 | | 22,866 | 24,072 |
| Federal National Mtg. Assoc. REMIC | | | |
Series 2013-77, Class BP
1.70%, 06/25/2043 | | 6,899 | 6,576 |
Series 2011-117, Class MA
2.00%, 08/25/2040 | | 626 | 603 |
Series 2012-21, Class PQ
2.00%, 09/25/2041 | | 4,942 | 4,398 |
Series 2012-18, Class GA
2.00%, 12/25/2041 | | 8,958 | 7,867 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
Series 2016-11, Class GA
2.50%, 03/25/2046 | | $ 13,077 | $ 11,643 |
Series 2019-54, Class KC
2.50%, 09/25/2049 | | 46,575 | 41,091 |
Series 2015-48, Class QB
3.00%, 02/25/2043 | | 10,108 | 9,475 |
Series 2016-38, Class NA
3.00%, 01/25/2046 | | 6,452 | 5,665 |
Series 2017-16, Class PB
3.00%, 03/25/2047 | | 30,000 | 24,173 |
Series 2017-34, Class JK
3.00%, 05/25/2047 | | 4,982 | 4,645 |
Series 2019-45, Class PT
3.00%, 08/25/2049 | | 18,348 | 15,906 |
Series 2012-52, Class PA
3.50%, 05/25/2042 | | 7,816 | 7,253 |
Series 2012-120, Class ZB
3.50%, 11/25/2042 | | 51,258 | 45,370 |
Series 2017-26, Class CG
3.50%, 07/25/2044 | | 7,257 | 7,011 |
Series 2018-23, Class LA
3.50%, 04/25/2048 | | 17,856 | 16,271 |
Series 2019-7, Class JA
3.50%, 03/25/2049 | | 17,457 | 15,932 |
Series 2019-14, Class CA
3.50%, 04/25/2049 | | 19,595 | 17,995 |
Series 2017-35, Class AH
3.50%, 04/25/2053 | | 8,041 | 7,750 |
Series 2017-84, Class KA
3.50%, 04/25/2053 | | 9,511 | 9,033 |
Series 2018-70, Class HA
3.50%, 10/25/2056 | | 12,561 | 11,787 |
Series 2019-12, Class HA
3.50%, 11/25/2057 | | 18,363 | 16,760 |
Series 2017-49, Class JA
4.00%, 07/25/2053 | | 7,950 | 7,679 |
Series 2022-90, Class AY
4.50%, 12/25/2041 | | 70,000 | 64,742 |
| Government National Mtg. Assoc. REMIC | | | |
Series 2015-56, Class LB
1.50%, 04/16/2040 | | 1,713 | 1,700 |
Series 2015-151, Class BA
1.70%, 10/20/2045 | | 302 | 301 |
Series 2013-37, Class LG
2.00%, 01/20/2042 | | 8,420 | 7,868 |
Series 2005-74, Class HA
7.50%, 09/16/2035 | | 1 | 1 |
Series 2005-74, Class HB
7.50%, 09/16/2035 | | 1,073 | 1,079 |
| | | | 958,740 |
Total Collateralized Mortgage Obligations
(cost $5,253,780) | | | 4,651,479 |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 36.6% |
| U.S. Government — 12.8% |
| United States Treasury Bonds | | | |
| 2.25%, 08/15/2046 | | 175,000 | 110,961 |
| 2.50%, 02/15/2045(4) | | 363,000 | 246,500 |
| 2.88%, 08/15/2045 | | 400,000 | 289,703 |
| 3.00%, 11/15/2045 to 08/15/2052 | | 685,000 | 501,006 |
| 3.13%, 08/15/2044 | | 505,000 | 385,851 |
| 3.38%, 08/15/2042 to 11/15/2048 | | 800,000 | 632,778 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government (continued) |
| 3.38%, 05/15/2044(5) | | $ 495,000 | $ 394,994 |
| 3.63%, 08/15/2043 | | 295,000 | 246,164 |
| 3.88%, 02/15/2043 | | 190,000 | 165,359 |
| 4.13%, 08/15/2053 | | 75,000 | 68,086 |
| United States Treasury Bonds TIPS | | | |
| 0.13%, 02/15/2052(6) | | 43,922 | 24,102 |
| 0.25%, 02/15/2050(6) | | 285,346 | 167,872 |
| United States Treasury Notes | | | |
| 4.13%, 06/15/2026 | | 695,000 | 682,132 |
| United States Treasury Notes TIPS | | | |
| 0.25%, 07/15/2029(6) | | 531,770 | 473,717 |
| 0.75%, 07/15/2028(6) | | 109,596 | 101,975 |
| | | | 4,491,200 |
| U.S. Government Agency — 23.8% |
| Federal Home Loan Mtg. Corp. | | | |
| 2.00%, 03/01/2051 | | 364,110 | 278,175 |
| 2.50%, 01/01/2028 to 12/01/2051 | | 308,134 | 246,402 |
| 3.00%, 08/01/2027 | | 6,858 | 6,605 |
| 3.50%, 03/01/2042 to 09/01/2043 | | 33,615 | 29,777 |
| 4.00%, 09/01/2040 to 10/01/2043 | | 20,028 | 18,362 |
| 4.50%, 01/01/2039 | | 739 | 699 |
| 5.00%, 05/01/2034 to 10/01/2052 | | 595,280 | 562,321 |
| 5.50%, 05/01/2037 to 06/01/2037 | | 3,129 | 3,130 |
| 6.50%, 05/01/2029 to 07/01/2035 | | 1,159 | 1,180 |
| Federal Home Loan Mtg. Corp. FRS | | | |
| 4.74%, (RFUCCT6M+1.49%), 02/01/2037 | | 616 | 614 |
| Federal National Mtg. Assoc. | | | |
| 2.00%, 04/01/2051 to 05/01/2051 | | 1,091,072 | 833,436 |
| 2.50%, 04/01/2028 to 08/01/2052 | | 395,735 | 318,688 |
| 2.66%, 03/01/2027 | | 383,404 | 352,944 |
| 3.00%, 10/01/2027 to 01/01/2028 | | 14,720 | 14,105 |
| 4.00%, 11/01/2025 | | 350 | 337 |
| 4.50%, 01/01/2039 to 05/01/2041 | | 17,135 | 16,187 |
| 5.00%, 05/01/2035 to 09/01/2052 | | 248,015 | 234,395 |
| 5.50%, 12/01/2029 to 06/01/2038 | | 19,258 | 19,038 |
| 6.00%, 06/01/2026 to 05/01/2034 | | 27,847 | 27,790 |
| 6.50%, 06/01/2035 to 10/01/2037 | | 11,989 | 12,070 |
| 7.00%, 06/01/2037 | | 3,944 | 4,107 |
| Federal National Mtg. Assoc. FRS | | | |
| 4.85%, (RFUCCT1Y+1.57%), 05/01/2037 | | 781 | 789 |
| 6.06%, (RFUCCT1Y+1.82%), 10/01/2040 | | 905 | 925 |
| Government National Mtg. Assoc. | | | |
| 2.00%, October 30 TBA | | 75,000 | 59,282 |
| 2.50%, October 30 TBA | | 425,000 | 347,321 |
| 3.00%, October 30 TBA | | 700,000 | 593,195 |
| 3.50%, October 30 TBA | | 660,000 | 578,067 |
| 4.00%, 09/15/2040 to 11/15/2040 | | 24,070 | 22,167 |
| 4.00%, October 30 TBA | | 125,000 | 112,612 |
| 4.50%, 02/15/2039 to 08/15/2041 | | 36,426 | 34,673 |
| 5.50%, 05/15/2036 | | 2,058 | 1,999 |
| 6.00%, 09/15/2032 to 12/15/2033 | | 14,264 | 14,566 |
| 7.00%, 07/15/2033 to 11/15/2033 | | 4,363 | 4,458 |
| Uniform Mtg. Backed Securities | | | |
| 1.50%, October 15 TBA | | 200,000 | 166,582 |
| 2.00%, October 15 TBA | | 200,000 | 171,481 |
| 2.00%, October 30 TBA | | 225,000 | 171,123 |
| 3.00%, October 30 TBA | | 325,000 | 268,696 |
| 4.00%, October 30 TBA | | 465,000 | 413,959 |
| 4.50%, October 30 TBA | | 913,000 | 838,248 |
| 5.00%, October 30 TBA | | 200,000 | 188,688 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
| 5.50%, October 30 TBA | | $ 770,000 | $ 744,103 |
| 6.00%, October 30 TBA | | 625,000 | 616,797 |
| | | | 8,330,093 |
Total U.S. Government & Agency Obligations
(cost $14,330,933) | | | 12,821,293 |
| FOREIGN GOVERNMENT OBLIGATIONS — 1.5% |
| Sovereign — 1.5% |
| Federative Republic of Brazil | | | |
| 10.00%, 01/01/2031 | BRL | 593,000 | 112,696 |
| Government of Hungary | | | |
| 1.63%, 04/28/2032 | EUR | 110,000 | 86,079 |
| Government of Macedonia | | | |
| 3.68%, 06/03/2026* | EUR | 100,000 | 99,249 |
| Government of Romania | | | |
| 2.63%, 12/02/2040* | EUR | 70,000 | 43,393 |
| 2.75%, 04/14/2041 | EUR | 60,000 | 37,139 |
| 3.38%, 02/08/2038 | EUR | 25,000 | 18,546 |
| Republic of Indonesia | | | |
| 1.10%, 03/12/2033 | EUR | 100,000 | 76,045 |
| Republic of Philippines | | | |
| 1.75%, 04/28/2041 | EUR | 100,000 | 66,630 |
Total Foreign Government Obligations
(cost $777,435) | | | 539,777 |
| MUNICIPAL SECURITIES — 1.3% |
Chicago Board of Education
General Obligation Bonds | | | |
| 6.04%, 12/01/2029 | | 5,000 | 4,820 |
| 6.14%, 12/01/2039 | | 15,000 | 13,437 |
| 6.32%, 11/01/2029 | | 45,000 | 43,643 |
Chicago Transit Authority
Revenue Bonds | | | |
| 3.91%, 12/01/2040 | | 10,000 | 8,083 |
County of Riverside, CA
Revenue Bonds | | | |
| 3.07%, 02/15/2028 | | 80,000 | 73,057 |
Florida State Board of Administration Finance Corp.
Revenue Bonds | | | |
| 1.26%, 07/01/2025 | | 75,000 | 69,624 |
Metropolitan Transportation Authority
Revenue Bonds | | | |
| 4.75%, 11/15/2045 | | 35,000 | 32,551 |
| 5.18%, 11/15/2049 | | 35,000 | 30,081 |
Municipal Electric Authority of Georgia
Revenue Bonds | | | |
| 6.64%, 04/01/2057 | | 14,000 | 14,877 |
New York Transportation Development Corp.
Revenue Bonds | | | |
| 4.25%, 09/01/2035 | | 70,000 | 66,100 |
Philadelphia Authority for Industrial Development
Revenue Bonds | | | |
| 6.55%, 10/15/2028 | | 65,000 | 67,111 |
State of California
General Obligation Bonds | | | |
| 7.30%, 10/01/2039 | | 10,000 | 11,336 |
Texas Natural Gas Securitization Finance Corp.
Series 2023-1, Class A1 | | | |
| 5.10%, 04/01/2035 | | 30,000 | 29,420 |
Total Municipal Securities
(cost $507,997) | | | 464,140 |
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 30.3% |
| Advertising — 2.2% |
| Trade Desk, Inc., Class A† | | 9,865 | $ 770,950 |
| Auto Manufacturers — 1.5% |
| Tesla, Inc.† | | 2,158 | 539,975 |
| Biotechnology — 2.4% |
| Illumina, Inc.† | | 2,105 | 288,974 |
| Royalty Pharma PLC, Class A | | 20,135 | 546,464 |
| | | | 835,438 |
| Commercial Services — 1.9% |
| Adyen NV*† | | 597 | 445,423 |
| Block, Inc.† | | 1,196 | 52,935 |
| Toast, Inc., Class A† | | 9,017 | 168,888 |
| | | | 667,246 |
| Diversified Financial Services — 0.5% |
| Intercontinental Exchange, Inc. | | 1,682 | 185,054 |
| Healthcare-Products — 0.2% |
| Intuitive Surgical, Inc.† | | 222 | 64,888 |
| Internet — 11.9% |
| Airbnb, Inc., Class A† | | 4,130 | 566,677 |
| Amazon.com, Inc.† | | 3,198 | 406,530 |
| Chewy, Inc., Class A† | | 9,096 | 166,093 |
| DoorDash, Inc., Class A† | | 8,493 | 674,939 |
| MercadoLibre, Inc.† | | 332 | 420,936 |
| Meta Platforms, Inc., Class A† | | 1,282 | 384,869 |
| Shopify, Inc., Class A† | | 13,363 | 729,219 |
| Uber Technologies, Inc.† | | 17,447 | 802,387 |
| | | | 4,151,650 |
| Retail — 0.5% |
| Floor & Decor Holdings, Inc., Class A† | | 1,832 | 165,796 |
| Software — 9.2% |
| Bill.com Holdings, Inc.† | | 4,220 | 458,165 |
| Cloudflare, Inc., Class A† | | 12,855 | 810,379 |
| Datadog, Inc., Class A† | | 3,115 | 283,745 |
| ROBLOX Corp., Class A† | | 18,701 | 541,581 |
| Snowflake, Inc., Class A† | | 4,492 | 686,243 |
| Veeva Systems, Inc., Class A† | | 817 | 166,219 |
| ZoomInfo Technologies, Inc.† | | 17,789 | 291,740 |
| | | | 3,238,072 |
Total Common Stocks
(cost $10,862,580) | | | 10,619,069 |
| ESCROWS AND LITIGATION TRUSTS — 0.0% |
Lehman Brothers Holdings, Inc.
Escrow Notes
5.50%, 04/04/2016†
(cost $0) | | 19,000 | 28 |
| PURCHASED OPTIONS† — 0.1% |
| Purchased Options - Calls — 0.1% |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 01/17/2024; Strike Price: CNY 7.43; Counterparty: JPMorgan Chase Bank, N.A.) | | 2,477,325 | 11,584 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 05/24/2024; Strike Price: CNY 7.57; Counterparty: Standard Chartered Bank) | | 2,958,250 | 15,856 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| PURCHASED OPTIONS (continued) |
| Purchased Options - Calls (continued) |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 08/12/2024; Strike Price: USD 7.79; Counterparty: JPMorgan Chase Bank, N.A.) | | 2,832,555 | | $ 10,900 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 10/09/2023; Strike Price: CNY 7.87; Counterparty: Goldman Sachs International) | | 22,526 | | 0 |
Total Purchased Options
(cost $36,013) | | | | 38,340 |
Total Long-Term Investment Securities
(cost $42,914,358) | | | | 39,417,864 |
| REPURCHASE AGREEMENTS — 1.0% |
| Bank of America Securities LLC Joint Repurchase Agreement(7) | | $ 65,000 | | 65,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(7) | | 80,000 | | 80,000 |
| BNP Paribas SA Joint Repurchase Agreement(7) | | 70,000 | | 70,000 |
| Deutsche Bank AG Joint Repurchase Agreement(7) | | 65,000 | | 65,000 |
| RBS Securities, Inc. Joint Repurchase Agreement(7) | | 65,000 | | 65,000 |
Total Repurchase Agreements
(cost $345,000) | | | | 345,000 |
TOTAL INVESTMENTS
(cost $43,259,358)(8) | | 113.5% | | 39,762,864 |
| Other assets less liabilities | | (13.5) | | (4,722,098) |
| NET ASSETS | | 100.0% | | $35,040,766 |
| * | 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 SA Multi-Managed Income/Equity Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $7,498,717 representing 21.4% of net assets. |
| † | Non-income producing security |
| (1) | 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. |
| (2) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (3) | Interest Only |
| (4) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts. |
| (6) | Principal amount of security is adjusted for inflation. |
| (7) | See Note 2 for details of Joint Repurchase Agreements. |
| (8) | See Note 4 for cost of investments on a tax basis. |
| CLO—Collateralized Loan Obligation |
| FRS—Floating Rate Security |
| H15T1Y—US Treasury Yield Curve Rate Note Constant Maturity 1 Year |
| REMIC—Real Estate Mortgage Investment Conduit |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
| RFUCCT6M—Refinitiv USD IBOR Consumer Cash Fallbacks Term 6 Month |
| SCRT—Structured Credit Risk Transfer |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
| STRIPS—Separate Trading of Registered Interest and Principal |
| 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 |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| VRS—Variable Rate Security |
| BRL—Brazilian Real |
| CNY—Chinese Yuan |
| EUR—Euro Currency |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
| Interest Rate Swaps |
Counterparty (OTC)/
Centrally cleared | Notional
amount | Currency | Payments
made | Payments
received | Fixed
payment
frequency | Floating
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value |
| Centrally Cleared | 85,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 954 | | $ 15,454 | | $ 16,408 |
| Centrally Cleared | 155,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 492 | | 27,071 | | 27,563 |
| Centrally Cleared | 200,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 859 | | 13,478 | | 14,337 |
| | | | | | | | | $2,305 | | $56,003 | | $58,308 |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Credit Default Swaps - Buyer(1) | |
Counterparty (OTC)/
Centrally cleared | Reference
obligation | Notional
amount(2) | Currency | USD
notional
amount(2) | | Pay
fixed
rate | Fixed
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | Value(3) | |
| Centrally Cleared | Federative Republic of Brazil | $103,000 | USD | $103,000 | | 1.000% | Quarterly | Jun 2027 | $4,231 | | $(3,163) | $1,068 | |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| SOFR—Secured Overnight Financing Rate |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
Appreciation |
| 2 | Short | Canada 10 Year Bonds | December 2023 | $174,062 | $169,527 | $ 4,535 |
| 2 | Short | Euro Buxl 30 Year Bonds | December 2023 | 276,133 | 258,730 | 17,403 |
| 3 | Short | Euro-BTP | December 2023 | 361,273 | 348,036 | 13,237 |
| 3 | Short | U.S. Treasury 5 Year Notes | December 2023 | 318,359 | 316,078 | 2,281 |
| 1 | Short | U.S. Treasury Ultra 10 Year Notes | December 2023 | 112,094 | 111,562 | 532 |
| 5 | Short | U.S. Treasury Ultra Bonds | December 2023 | 615,477 | 593,438 | 22,039 |
| | | | | | | $60,027 |
| | | | | | | Unrealized
(Depreciation) |
| 10 | Long | Canada 5 Year Bonds | December 2023 | $ 804,331 | $ 794,993 | $ (9,338) |
| 1 | Long | Euro-BUND | December 2023 | 138,870 | 136,005 | (2,865) |
| 1 | Long | Long Gilt | December 2023 | 115,495 | 114,885 | (610) |
| 14 | Long | U.S. Treasury 10 Year Notes | December 2023 | 1,536,132 | 1,512,875 | (23,257) |
| 14 | Long | U.S. Treasury 2 Year Notes | December 2023 | 2,844,240 | 2,837,953 | (6,287) |
| | | | | | | $(42,357) |
| | | Net Unrealized Appreciation (Depreciation) | | $ 17,670 |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
| Forward Foreign Currency Contracts |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| Deutsche Bank AG | EUR | 411,000 | USD | 442,070 | 12/20/2023 | $5,947 | | $— |
| Goldman Sachs International | BRL | 568,000 | USD | 113,255 | 12/20/2023 | 1,341 | | — |
| Unrealized Appreciation (Depreciation) | | | | | | $7,288 | | $— |
| BRL—Brazilian Real |
| EUR—Euro Currency |
| USD—United States Dollar |
Seasons Series Trust SA Multi-Managed Income/Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Corporate Bonds & Notes | $ — | | $ 7,690,487 | | $— | | $ 7,690,487 |
| Asset Backed Securities | — | | 2,593,251 | | — | | 2,593,251 |
| Collateralized Mortgage Obligations | — | | 4,651,479 | | — | | 4,651,479 |
| U.S. Government & Agency Obligations | — | | 12,821,293 | | — | | 12,821,293 |
| Foreign Government Obligations | — | | 539,777 | | — | | 539,777 |
| Municipal Securities | — | | 464,140 | | — | | 464,140 |
| Common Stocks | 10,619,069 | | — | | — | | 10,619,069 |
| Escrows and Litigation Trusts | — | | 28 | | — | | 28 |
| Purchased Options | — | | 38,340 | | — | | 38,340 |
| Repurchase Agreements | — | | 345,000 | | — | | 345,000 |
| Total Investments at Value | $10,619,069 | | $29,143,795 | | $— | | $39,762,864 |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 56,003 | | $— | | $ 56,003 |
| Futures Contracts | 60,027 | | — | | — | | 60,027 |
| Forward Foreign Currency Contracts | — | | 7,288 | | — | | 7,288 |
| Total Other Financial Instruments | $ 60,027 | | $ 63,291 | | $— | | $ 123,318 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 3,163 | | $— | | $ 3,163 |
| Futures Contracts | 42,357 | | — | | — | | 42,357 |
| Total Other Financial Instruments | $ 42,357 | | $ 3,163 | | $— | | $ 45,520 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Banks | 11.7% |
| Pharmaceuticals | 10.3 |
| Semiconductors | 5.6 |
| Insurance | 5.5 |
| Oil & Gas | 5.0 |
| Food | 4.1 |
| Auto Manufacturers | 3.3 |
| Healthcare-Products | 3.0 |
| Telecommunications | 2.8 |
| Mining | 2.7 |
| Electric | 2.7 |
| Chemicals | 2.4 |
| Commercial Services | 2.4 |
| Retail | 2.3 |
| Cosmetics/Personal Care | 2.2 |
| Machinery-Diversified | 2.2 |
| Machinery-Construction & Mining | 2.0 |
| Internet | 1.8 |
| Electrical Components & Equipment | 1.7 |
| Miscellaneous Manufacturing | 1.6 |
| Software | 1.6 |
| Apparel | 1.6 |
| Auto Parts & Equipment | 1.5 |
| Beverages | 1.5 |
| Distribution/Wholesale | 1.4 |
| Electronics | 1.4 |
| Home Furnishings | 1.4 |
| Diversified Financial Services | 1.2 |
| Building Materials | 1.2 |
| Aerospace/Defense | 1.0 |
| Healthcare-Services | 0.7 |
| Computers | 0.7 |
| Household Products/Wares | 0.6 |
| Transportation | 0.5 |
| Real Estate | 0.5 |
| Home Builders | 0.5 |
| Agriculture | 0.5 |
| Biotechnology | 0.5 |
| Entertainment | 0.5 |
| Engineering & Construction | 0.4 |
| REITS | 0.4 |
| Food Service | 0.4 |
| Energy-Alternate Sources | 0.4 |
| Hand/Machine Tools | 0.4 |
| Private Equity | 0.4 |
| Lodging | 0.3 |
| Packaging & Containers | 0.3 |
| Media | 0.2 |
| Advertising | 0.2 |
| Leisure Time | 0.2 |
| Unaffiliated Investment Companies | 0.2 |
| Metal Fabricate/Hardware | 0.2 |
| Iron/Steel | 0.2 |
| Gas | 0.1 |
| Investment Companies | 0.1 |
| Short-Term Investments | 0.1 |
| Repurchase Agreements | 0.1 |
| Toys/Games/Hobbies | 0.1 |
| Forest Products & Paper | 0.1 |
| Office/Business Equipment | 0.1 |
| | 99.0% |
| Country Allocation* | |
| Japan | 21.5% |
| | |
| United Kingdom | 15.8% |
| France | 10.2 |
| Switzerland | 9.2 |
| Germany | 8.0 |
| Netherlands | 4.5 |
| Australia | 4.3 |
| Denmark | 2.9 |
| Sweden | 2.5 |
| Spain | 2.2 |
| United States | 1.8 |
| Hong Kong | 1.8 |
| Norway | 1.8 |
| Canada | 1.7 |
| Italy | 1.5 |
| South Korea | 1.3 |
| Singapore | 1.1 |
| Finland | 0.8 |
| Taiwan | 0.8 |
| Ireland | 0.7 |
| Belgium | 0.7 |
| Cayman Islands | 0.7 |
| Luxembourg | 0.5 |
| Jersey | 0.5 |
| India | 0.5 |
| Austria | 0.5 |
| China | 0.3 |
| Portugal | 0.3 |
| Israel | 0.2 |
| Indonesia | 0.2 |
| Brazil | 0.1 |
| New Zealand | 0.1 |
| | 99.0% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 98.6% |
| Australia — 4.3% |
| Ampol, Ltd. | | 1,455 | $ 31,620 |
| ANZ Group Holdings, Ltd. | | 42,724 | 704,865 |
| APA Group | | 7,742 | 41,315 |
| Aristocrat Leisure, Ltd. | | 3,617 | 94,999 |
| ASX, Ltd. | | 1,190 | 43,703 |
| Aurizon Holdings, Ltd. | | 11,238 | 25,217 |
| BHP Group, Ltd. | | 45,277 | 1,288,155 |
| BHP Group, Ltd. (LSE) | | 21,159 | 603,968 |
| BlueScope Steel, Ltd. | | 2,813 | 35,160 |
| Brambles, Ltd. | | 8,541 | 78,637 |
| Challenger, Ltd. | | 37,395 | 154,357 |
| Cochlear, Ltd. | | 404 | 66,320 |
| Coles Group, Ltd. | | 8,228 | 82,315 |
| Commonwealth Bank of Australia | | 10,308 | 662,554 |
| Computershare, Ltd. | | 3,526 | 58,852 |
| CSL, Ltd. | | 2,965 | 478,112 |
| Dexus | | 6,567 | 30,823 |
| Endeavour Group, Ltd. | | 8,748 | 29,641 |
| Fortescue Metals Group, Ltd. | | 10,411 | 140,033 |
| Goodman Group | | 10,423 | �� 143,747 |
| GPT Group | | 11,695 | 29,325 |
| IDP Education, Ltd. | | 1,529 | 21,018 |
| IGO, Ltd. | | 118,621 | 965,545 |
| Insurance Australia Group, Ltd. | | 14,957 | 54,622 |
| Lendlease Corp., Ltd. | | 4,209 | 19,430 |
| Lottery Corp., Ltd. | | 13,683 | 41,524 |
| Macquarie Group, Ltd. | | 6,270 | 676,169 |
| Medibank Private, Ltd. | | 16,931 | 37,447 |
| Mineral Resources, Ltd. | | 1,076 | 46,787 |
| Mirvac Group | | 24,258 | 33,221 |
| National Australia Bank, Ltd. | | 19,301 | 360,746 |
| Newcrest Mining, Ltd. | | 5,497 | 86,661 |
| Northern Star Resources, Ltd. | | 7,071 | 47,554 |
| Orica, Ltd. | | 2,800 | 28,066 |
| Origin Energy, Ltd. | | 10,591 | 59,787 |
| Pilbara Minerals, Ltd. | | 16,589 | 45,863 |
| Qantas Airways, Ltd.† | | 5,195 | 17,302 |
| QBE Insurance Group, Ltd. | | 9,173 | 92,654 |
| Ramsay Health Care, Ltd. | | 1,127 | 37,585 |
| REA Group, Ltd. | | 325 | 32,247 |
| Reece, Ltd. | | 1,380 | 16,530 |
| Rio Tinto, Ltd. | | 20,331 | 1,484,305 |
| Santos, Ltd. | | 19,966 | 101,413 |
| Scentre Group | | 285,732 | 451,930 |
| SEEK, Ltd. | | 2,190 | 31,076 |
| Sonic Healthcare, Ltd. | | 2,750 | 52,690 |
| South32, Ltd. | | 165,620 | 360,986 |
| Stockland | | 14,676 | 36,989 |
| Suncorp Group, Ltd. | | 7,943 | 71,344 |
| Telstra Group, Ltd. | | 24,862 | 61,542 |
| Transurban Group | | 18,938 | 154,516 |
| Treasury Wine Estates, Ltd. | | 4,407 | 34,937 |
| Vicinity, Ltd. | | 23,623 | 25,744 |
| Washington H. Soul Pattinson & Co., Ltd. | | 1,432 | 30,006 |
| Wesfarmers, Ltd. | | 6,975 | 237,055 |
| Westpac Banking Corp. | | 21,573 | 293,358 |
| WiseTech Global, Ltd. | | 1,020 | 42,660 |
| Woodside Energy Group, Ltd. | | 11,673 | 273,863 |
| Woolworths Group, Ltd. | | 7,492 | 179,770 |
| Worley, Ltd. | | 50,100 | 560,807 |
| | | | 12,029,467 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Austria — 0.5% |
| Erste Group Bank AG | | 34,011 | $ 1,180,146 |
| OMV AG | | 905 | 43,363 |
| Verbund AG | | 419 | 34,132 |
| voestalpine AG | | 709 | 19,369 |
| | | | 1,277,010 |
| Belgium — 0.7% |
| Ageas SA/NV | | 984 | 40,604 |
| Anheuser-Busch InBev SA NV | | 5,340 | 296,457 |
| D'ieteren Group | | 133 | 22,484 |
| Elia Group SA | | 180 | 17,632 |
| Groupe Bruxelles Lambert NV | | 586 | 43,715 |
| KBC Group NV | | 1,539 | 96,227 |
| Lotus Bakeries NV | | 2 | 16,260 |
| Sofina SA | | 94 | 19,061 |
| Solvay SA, Class A | | 456 | 50,549 |
| UCB SA | | 11,113 | 911,035 |
| Umicore SA | | 15,241 | 361,749 |
| Warehouses De Pauw CVA | | 1,019 | 25,253 |
| | | | 1,901,026 |
| Bermuda — 0.0% |
| Aegon NV† | | 10,375 | 50,260 |
| CK Infrastructure Holdings, Ltd. | | 4,000 | 18,925 |
| Hongkong Land Holdings, Ltd. | | 6,800 | 24,276 |
| Jardine Matheson Holdings, Ltd. | | 1,003 | 46,559 |
| | | | 140,020 |
| Brazil — 0.1% |
| B3 SA - Brasil Bolsa Balcao | | 157,695 | 385,567 |
| Canada — 1.7% |
| Brookfield Corp. | | 12,951 | 404,954 |
| Definity Financial Corp. | | 7,922 | 218,719 |
| Element Fleet Management Corp. | | 52,546 | 754,001 |
| Magna International, Inc. | | 11,115 | 595,875 |
| National Bank of Canada | | 12,657 | 840,818 |
| Nutrien, Ltd. | | 7,817 | 482,746 |
| Sun Life Financial, Inc. | | 14,135 | 689,657 |
| Toronto-Dominion Bank | | 10,354 | 623,794 |
| | | | 4,610,564 |
| Cayman Islands — 0.7% |
| Alibaba Group Holding, Ltd.† | | 39,524 | 432,036 |
| Alibaba Group Holding, Ltd. ADR† | | 1,907 | 165,413 |
| Budweiser Brewing Co. APAC, Ltd.* | | 10,500 | 20,729 |
| CK Asset Holdings, Ltd. | | 11,860 | 62,473 |
| CK Hutchison Holdings, Ltd. | | 16,360 | 87,535 |
| ESR Group, Ltd.* | | 13,400 | 18,823 |
| Futu Holdings, Ltd. ADR† | | 336 | 19,424 |
| Grab Holdings, Ltd., Class A† | | 11,518 | 40,774 |
| Sands China, Ltd.† | | 14,800 | 45,358 |
| Sea, Ltd. ADR† | | 2,243 | 98,580 |
| SITC International Holdings Co., Ltd. | | 8,000 | 13,444 |
| Tencent Holdings, Ltd. | | 13,300 | 520,047 |
| WH Group, Ltd.* | | 51,000 | 26,767 |
| Wharf Real Estate Investment Co., Ltd. | | 10,000 | 38,629 |
| Xinyi Glass Holdings, Ltd. | | 10,000 | 12,949 |
| XP, Inc., Class A | | 9,281 | 213,927 |
| | | | 1,816,908 |
| China — 0.3% |
| BYD Co., Ltd. | | 15,000 | 463,546 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| China (continued) |
| Contemporary Amperex Technology Co., Ltd., Class A | | 10,500 | $ 294,360 |
| Ping An Insurance Group Co. of China, Ltd. | | 30,000 | 171,818 |
| | | | 929,724 |
| Denmark — 2.9% |
| AP Moller-Maersk A/S, Series A | | 19 | 33,748 |
| AP Moller-Maersk A/S, Series B | | 30 | 54,157 |
| Carlsberg A/S, Class B | | 605 | 76,448 |
| Chr. Hansen Holding A/S | | 648 | 39,719 |
| Coloplast A/S, Class B | | 730 | 77,362 |
| Danske Bank A/S | | 4,240 | 98,781 |
| Demant A/S† | | 619 | 25,675 |
| DSV A/S | | 1,144 | 213,898 |
| Genmab A/S† | | 1,108 | 393,916 |
| Novo Nordisk A/S | | 61,916 | 5,651,427 |
| Novozymes A/S, Class B | | 1,257 | 50,729 |
| Orsted A/S* | | 1,163 | 63,488 |
| Pandora A/S | | 520 | 53,928 |
| ROCKWOOL A/S, Class B | | 56 | 13,594 |
| Tryg A/S | | 2,146 | 39,349 |
| Vestas Wind Systems A/S† | | 54,107 | 1,162,452 |
| | | | 8,048,671 |
| Finland — 0.8% |
| Elisa Oyj | | 874 | 40,556 |
| Fortum Oyj | | 2,758 | 32,060 |
| Kesko Oyj, Class B | | 1,679 | 30,124 |
| Kone Oyj, Class B | | 2,089 | 88,167 |
| Metso Oyj | | 4,077 | 42,906 |
| Neste Oyj | | 2,601 | 88,355 |
| Nokia Oyj | | 32,895 | 124,089 |
| Nordea Bank Abp | | 19,808 | 217,777 |
| Orion Oyj, Class B | | 662 | 26,050 |
| Sampo Oyj, Class A† | | 20,386 | 883,246 |
| Stora Enso Oyj, Class R | | 40,768 | 512,482 |
| UPM-Kymmene Oyj | | 3,281 | 112,633 |
| Wartsila Oyj Abp | | 2,910 | 33,089 |
| | | | 2,231,534 |
| France — 10.2% |
| Accor SA | | 1,140 | 38,496 |
| Aeroports de Paris | | 182 | 21,532 |
| Air Liquide SA | | 7,920 | 1,338,408 |
| Alstom SA | | 1,761 | 42,077 |
| Amundi SA* | | 374 | 21,095 |
| Arkema SA | | 369 | 36,500 |
| AXA SA | | 56,052 | 1,669,974 |
| BioMerieux | | 253 | 24,560 |
| BNP Paribas SA | | 16,284 | 1,040,379 |
| Bollore SE | | 4,536 | 24,410 |
| Bouygues SA | | 1,172 | 41,064 |
| Bureau Veritas SA | | 1,813 | 45,064 |
| Capgemini SE | | 1,014 | 177,746 |
| Carrefour SA | | 44,218 | 761,315 |
| Cie de Saint-Gobain | | 2,844 | 171,028 |
| Cie Generale des Etablissements Michelin SCA | | 4,171 | 128,193 |
| Covivio SA | | 310 | 13,798 |
| Credit Agricole SA | | 7,441 | 91,981 |
| Danone SA | | 3,958 | 218,687 |
| Dassault Aviation SA | | 127 | 23,954 |
| Dassault Systemes SE | | 4,119 | 153,703 |
| Edenred | | 1,534 | 96,142 |
| Eiffage SA | | 452 | 43,028 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| France (continued) |
| Engie SA | | 80,647 | $ 1,238,887 |
| EssilorLuxottica SA | | 12,790 | 2,233,331 |
| Eurazeo SE | | 266 | 15,875 |
| Gecina SA | | 281 | 28,743 |
| Getlink SE | | 2,198 | 35,113 |
| Hermes International SCA | | 195 | 356,622 |
| Ipsen SA | | 232 | 30,464 |
| Kering SA | | 1,504 | 686,766 |
| Klepierre SA | | 1,323 | 32,493 |
| La Francaise des Jeux SAEM* | | 641 | 20,873 |
| Legrand SA | | 17,168 | 1,584,571 |
| L'Oreal SA | | 3,430 | 1,425,888 |
| LVMH Moet Hennessy Louis Vuitton SE | | 1,697 | 1,285,331 |
| Orange SA | | 11,447 | 131,431 |
| Pernod Ricard SA | | 1,257 | 209,777 |
| Publicis Groupe SA | | 1,407 | 106,747 |
| Remy Cointreau SA | | 140 | 17,118 |
| Renault SA | | 1,182 | 48,581 |
| Safran SA | | 6,452 | 1,013,930 |
| Sanofi | | 39,786 | 4,268,630 |
| Sartorius Stedim Biotech | | 170 | 40,620 |
| Schneider Electric SE | | 13,044 | 2,164,875 |
| SEB SA | | 152 | 14,246 |
| Societe Generale SA | | 4,472 | 108,957 |
| Sodexo SA | | 544 | 56,088 |
| Teleperformance | | 2,476 | 312,559 |
| Thales SA | | 646 | 90,905 |
| TotalEnergies SE | | 62,855 | 4,140,715 |
| Valeo | | 1,264 | 21,823 |
| Veolia Environnement SA | | 4,178 | 121,164 |
| Vinci SA | | 3,267 | 362,743 |
| Vivendi SE | | 4,163 | 36,513 |
| Wendel SE | | 163 | 12,933 |
| Worldline SA*† | | 1,477 | 41,616 |
| | | | 28,520,062 |
| Germany — 8.0% |
| adidas AG | | 996 | 175,454 |
| Allianz SE | | 2,479 | 591,542 |
| BASF SE | | 14,576 | 661,880 |
| Bayer AG | | 19,030 | 914,430 |
| Bayerische Motoren Werke AG | | 12,424 | 1,265,978 |
| Bayerische Motoren Werke AG (Preference Shares) | | 355 | 33,141 |
| Bechtle AG | | 500 | 23,386 |
| Beiersdorf AG | | 620 | 80,069 |
| Brenntag SE | | 902 | 70,073 |
| Carl Zeiss Meditec AG | | 245 | 21,453 |
| Commerzbank AG | | 6,544 | 74,652 |
| Continental AG | | 676 | 47,713 |
| Covestro AG*† | | 10,583 | 571,304 |
| Daimler Truck Holding AG | | 3,035 | 105,311 |
| Delivery Hero SE*† | | 1,077 | 30,937 |
| Deutsche Bank AG | | 11,916 | 131,651 |
| Deutsche Boerse AG | | 1,168 | 202,148 |
| Deutsche Lufthansa AG† | | 3,650 | 28,965 |
| Deutsche Telekom AG | | 19,926 | 418,555 |
| DHL Group | | 6,094 | 248,276 |
| Dr. Ing. h.c. F. Porsche AG (Preference Shares)* | | 12,188 | 1,146,833 |
| E.ON SE | | 13,802 | 163,432 |
| Evonik Industries AG | | 1,280 | 23,446 |
| Evotec SE† | | 10,315 | 206,115 |
| Fresenius Medical Care AG & Co. KGaA | | 1,263 | 54,534 |
| Fresenius SE & Co. KGaA | | 19,132 | 595,897 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Germany (continued) |
| GEA Group AG | | 943 | $ 34,855 |
| Hannover Rueck SE | | 371 | 81,547 |
| Heidelberg Materials AG | | 890 | 69,179 |
| HelloFresh SE† | | 954 | 28,524 |
| Henkel AG & Co. KGaA | | 639 | 40,346 |
| Henkel AG & Co. KGaA (Preference Shares) | | 1,040 | 74,175 |
| Infineon Technologies AG | | 37,502 | 1,243,194 |
| KION Group AG | | 7,778 | 299,246 |
| Knorr-Bremse AG | | 443 | 28,186 |
| LEG Immobilien SE† | | 453 | 31,294 |
| Mercedes-Benz Group AG | | 4,933 | 343,644 |
| Merck KGaA | | 794 | 132,760 |
| MTU Aero Engines AG | | 331 | 60,104 |
| Muenchener Rueckversicherungs-Gesellschaft AG | | 4,744 | 1,851,256 |
| Nemetschek SE | | 353 | 21,601 |
| Porsche Automobil Holding SE (Preference Shares) | | 941 | 46,411 |
| Puma SE | | 649 | 40,346 |
| Rational AG | | 31 | 19,665 |
| Rheinmetall AG | | 268 | 69,107 |
| RWE AG | | 3,887 | 144,450 |
| SAP SE | | 29,919 | 3,885,026 |
| Sartorius AG (Preference Shares) | | 161 | 54,776 |
| Scout24 SE* | | 461 | 32,002 |
| Siemens AG | | 29,633 | 4,250,159 |
| Siemens Energy AG† | | 3,194 | 41,805 |
| Siemens Healthineers AG* | | 16,066 | 815,317 |
| Symrise AG | | 816 | 77,921 |
| Talanx AG | | 387 | 24,549 |
| Telefonica Deutschland Holding AG | | 5,448 | 9,763 |
| Volkswagen AG | | 180 | 23,731 |
| Volkswagen AG (Preference Shares) | | 1,268 | 146,044 |
| Vonovia SE | | 4,507 | 108,690 |
| Wacker Chemie AG | | 111 | 15,919 |
| Zalando SE*† | | 9,679 | 216,226 |
| | | | 22,248,993 |
| Hong Kong — 1.8% |
| AIA Group, Ltd. | | 316,000 | 2,576,520 |
| Beijing Enterprises Holdings, Ltd. | | 44,500 | 153,430 |
| BOC Hong Kong Holdings, Ltd. | | 363,000 | 994,305 |
| CLP Holdings, Ltd. | | 10,000 | 74,001 |
| Galaxy Entertainment Group, Ltd. | | 13,000 | 78,273 |
| Hang Lung Properties, Ltd. | | 11,000 | 15,058 |
| Hang Seng Bank, Ltd. | | 4,700 | 58,488 |
| Henderson Land Development Co., Ltd. | | 9,062 | 23,896 |
| Hong Kong & China Gas Co., Ltd. | | 68,533 | 47,784 |
| Hong Kong Exchanges & Clearing, Ltd. | | 7,400 | 276,498 |
| Link REIT | | 15,540 | 76,202 |
| MTR Corp., Ltd. | | 9,500 | 37,607 |
| New World Development Co., Ltd. | | 9,000 | 17,515 |
| Power Assets Holdings, Ltd. | | 8,500 | 41,138 |
| Sino Land Co., Ltd. | | 22,000 | 24,807 |
| Sun Hung Kai Properties, Ltd. | | 9,000 | 96,310 |
| Swire Pacific, Ltd., Class A | | 2,500 | 16,872 |
| Swire Properties, Ltd. | | 7,200 | 15,023 |
| Techtronic Industries Co., Ltd. | | 48,500 | 470,696 |
| | | | 5,094,423 |
| India — 0.5% |
| HDFC Bank, Ltd. | | 25,181 | 462,691 |
| HDFC Bank, Ltd. ADR | | 14,279 | 842,604 |
| | | | 1,305,295 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Indonesia — 0.2% |
| Bank Central Asia Tbk PT | | 1,081,700 | $ 617,664 |
| Ireland — 0.7% |
| AIB Group PLC | | 8,855 | 39,882 |
| Bank of Ireland Group PLC | | 6,496 | 63,803 |
| CRH PLC | | 4,461 | 247,215 |
| DCC PLC | | 7,281 | 409,443 |
| Flutter Entertainment PLC† | | 1,086 | 177,852 |
| James Hardie Industries PLC† | | 2,706 | 70,967 |
| Kerry Group PLC, Class A | | 980 | 82,039 |
| Kingspan Group PLC | | 951 | 71,346 |
| Linde PLC | | 1,946 | 724,593 |
| Smurfit Kappa Group PLC | | 1,599 | 53,354 |
| | | | 1,940,494 |
| Isle of Man — 0.0% |
| Entain PLC | | 3,927 | 44,694 |
| Israel — 0.2% |
| Azrieli Group, Ltd. | | 259 | 13,266 |
| Bank Hapoalim BM | | 7,810 | 69,443 |
| Bank Leumi Le-Israel BM | | 9,425 | 77,930 |
| Check Point Software Technologies, Ltd.† | | 575 | 76,636 |
| CyberArk Software, Ltd.† | | 257 | 42,089 |
| Elbit Systems, Ltd. | | 163 | 32,395 |
| Global-e Online, Ltd.† | | 555 | 22,056 |
| ICL Group, Ltd. | | 4,722 | 26,140 |
| Israel Discount Bank, Ltd., Class A | | 7,605 | 41,052 |
| Mizrahi Tefahot Bank, Ltd. | | 942 | 34,099 |
| Monday.com, Ltd.† | | 133 | 21,176 |
| NICE, Ltd.† | | 388 | 65,960 |
| Teva Pharmaceutical Industries, Ltd. ADR† | | 6,888 | 70,258 |
| Wix.com, Ltd.† | | 332 | 30,478 |
| | | | 622,978 |
| Italy — 1.5% |
| Amplifon SpA | | 760 | 22,595 |
| Assicurazioni Generali SpA | | 6,231 | 127,571 |
| DiaSorin SpA | | 137 | 12,517 |
| Enel SpA | | 50,002 | 307,672 |
| Eni SpA | | 14,528 | 234,328 |
| FinecoBank Banca Fineco SpA | | 86,834 | 1,057,138 |
| Infrastrutture Wireless Italiane SpA* | | 2,052 | 24,439 |
| Intesa Sanpaolo SpA | | 216,579 | 558,707 |
| Mediobanca Banca di Credito Finanziario SpA | | 3,394 | 44,962 |
| Moncler SpA | | 10,376 | 604,229 |
| Nexi SpA*† | | 3,604 | 22,054 |
| Poste Italiane SpA* | | 3,212 | 33,850 |
| Prysmian SpA | | 18,022 | 726,901 |
| Recordati Industria Chimica e Farmaceutica SpA | | 643 | 30,394 |
| Snam SpA | | 12,397 | 58,312 |
| Telecom Italia SpA† | | 60,833 | 19,044 |
| Terna - Rete Elettrica Nazionale SpA | | 8,650 | 65,187 |
| UniCredit SpA | | 11,335 | 272,395 |
| | | | 4,222,295 |
| Japan — 21.5% |
| Advantest Corp. | | 4,800 | 134,293 |
| Aeon Co., Ltd. | | 4,000 | 79,296 |
| AGC, Inc. | | 1,200 | 42,109 |
| Aisin Corp. | | 900 | 34,027 |
| Ajinomoto Co., Inc. | | 2,800 | 107,998 |
| ANA Holdings, Inc.† | | 1,000 | 20,965 |
| Asahi Group Holdings, Ltd. | | 3,000 | 112,219 |
| Asahi Intecc Co., Ltd. | | 1,300 | 23,383 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Japan (continued) |
| Asahi Kasei Corp. | | 54,700 | $ 344,035 |
| Astellas Pharma, Inc. | | 78,400 | 1,088,073 |
| Azbil Corp. | | 700 | 21,444 |
| Bandai Namco Holdings, Inc. | | 3,700 | 75,317 |
| BayCurrent Consulting, Inc. | | 800 | 26,756 |
| Bridgestone Corp. | | 38,100 | 1,486,114 |
| Brother Industries, Ltd. | | 1,400 | 22,564 |
| Canon, Inc. | | 6,100 | 147,153 |
| Capcom Co., Ltd. | | 1,100 | 39,638 |
| Central Japan Railway Co. | | 17,000 | 413,510 |
| Chiba Bank, Ltd. | | 3,200 | 23,287 |
| Chubu Electric Power Co., Inc. | | 4,000 | 51,044 |
| Chugai Pharmaceutical Co., Ltd. | | 4,100 | 126,863 |
| Concordia Financial Group, Ltd. | | 6,500 | 29,642 |
| CyberAgent, Inc. | | 44,004 | 237,423 |
| Dai Nippon Printing Co., Ltd. | | 1,300 | 33,840 |
| Daifuku Co., Ltd. | | 1,844 | 34,914 |
| Dai-ichi Life Holdings, Inc. | | 5,800 | 120,199 |
| Daiichi Sankyo Co., Ltd. | | 11,400 | 313,225 |
| Daikin Industries, Ltd. | | 8,100 | 1,272,400 |
| Daito Trust Construction Co., Ltd. | | 400 | 42,157 |
| Daiwa House Industry Co., Ltd. | | 3,600 | 96,721 |
| Daiwa House REIT Investment Corp. | | 13 | 22,948 |
| Daiwa Securities Group, Inc. | | 8,200 | 47,360 |
| Denso Corp. | | 49,200 | 790,479 |
| Dentsu Group, Inc. | | 1,200 | 35,332 |
| Disco Corp. | | 600 | 110,733 |
| East Japan Railway Co. | | 1,800 | 103,045 |
| Eisai Co., Ltd. | | 1,500 | 83,351 |
| Electric Power Development Co., Ltd. | | 18,100 | 292,865 |
| ENEOS Holdings, Inc. | | 17,750 | 70,066 |
| FANUC Corp. | | 28,400 | 739,837 |
| Fast Retailing Co., Ltd. | | 1,100 | 239,889 |
| Fuji Electric Co., Ltd. | | 800 | 36,113 |
| FUJIFILM Holdings Corp. | | 18,200 | 1,054,441 |
| Fujitsu, Ltd. | | 1,100 | 129,550 |
| GLP J-REIT | | 29 | 25,946 |
| GMO Payment Gateway, Inc. | | 200 | 10,944 |
| Hakuhodo DY Holdings, Inc. | | 1,300 | 10,696 |
| Hamamatsu Photonics KK | | 9,700 | 408,862 |
| Hankyu Hanshin Holdings, Inc. | | 1,400 | 47,788 |
| Hikari Tsushin, Inc. | | 100 | 15,240 |
| Hirose Electric Co., Ltd. | | 225 | 26,077 |
| Hitachi Construction Machinery Co., Ltd. | | 700 | 21,294 |
| Hitachi, Ltd. | | 24,800 | 1,539,213 |
| Honda Motor Co., Ltd. | | 49,800 | 560,517 |
| Hoshizaki Corp. | | 700 | 24,334 |
| Hoya Corp. | | 2,200 | 225,609 |
| Hulic Co., Ltd. | | 2,400 | 21,536 |
| Ibiden Co., Ltd. | | 700 | 37,305 |
| Idemitsu Kosan Co., Ltd. | | 1,179 | 27,124 |
| Iida Group Holdings Co., Ltd. | | 1,000 | 16,639 |
| Inpex Corp. | | 6,000 | 90,578 |
| Isuzu Motors, Ltd. | | 3,600 | 45,301 |
| ITOCHU Corp. | | 7,300 | 264,078 |
| Itochu Techno-Solutions Corp. | | 600 | 17,317 |
| Japan Airlines Co., Ltd. | | 900 | 17,513 |
| Japan Exchange Group, Inc. | | 45,500 | 844,600 |
| Japan Metropolitan Fund Investment Corp. | | 43 | 27,911 |
| Japan Post Bank Co., Ltd. | | 8,900 | 77,482 |
| Japan Post Holdings Co., Ltd. | | 13,800 | 110,583 |
| Japan Post Insurance Co., Ltd. | | 1,200 | 20,240 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Japan (continued) |
| Japan Real Estate Investment Corp. | | 8 | $ 31,210 |
| Japan Tobacco, Inc. | | 7,400 | 170,343 |
| JFE Holdings, Inc. | | 3,000 | 43,984 |
| JSR Corp. | | 1,100 | 29,568 |
| Kajima Corp. | | 2,600 | 42,339 |
| Kansai Electric Power Co., Inc. | | 4,300 | 59,778 |
| Kao Corp. | | 2,900 | 107,721 |
| Kawasaki Kisen Kaisha, Ltd. | | 800 | 27,323 |
| KDDI Corp. | | 52,800 | 1,617,141 |
| Keio Corp. | | 600 | 20,645 |
| Keisei Electric Railway Co., Ltd. | | 800 | 27,730 |
| Keyence Corp. | | 2,700 | 1,002,744 |
| Kikkoman Corp. | | 800 | 41,991 |
| Kintetsu Group Holdings Co., Ltd. | | 1,100 | 31,195 |
| Kirin Holdings Co., Ltd. | | 23,400 | 327,732 |
| Kobayashi Pharmaceutical Co., Ltd. | | 299 | 13,355 |
| Kobe Bussan Co., Ltd. | | 964 | 22,616 |
| Koei Tecmo Holdings Co., Ltd. | | 680 | 9,672 |
| Koito Manufacturing Co., Ltd. | | 1,300 | 19,630 |
| Komatsu, Ltd. | | 5,700 | 154,210 |
| Konami Group Corp. | | 600 | 31,666 |
| Kose Corp. | | 240 | 17,433 |
| Kubota Corp. | | 65,400 | 964,545 |
| Kurita Water Industries, Ltd. | | 600 | 20,934 |
| Kyocera Corp. | | 2,000 | 101,539 |
| Kyowa Kirin Co., Ltd. | | 1,700 | 29,623 |
| Lasertec Corp. | | 490 | 76,300 |
| LIXIL Corp. | | 1,800 | 20,976 |
| Ly Corp. | | 102,500 | 284,989 |
| M3, Inc. | | 2,700 | 49,071 |
| Makita Corp. | | 17,300 | 427,406 |
| Marubeni Corp. | | 8,900 | 138,884 |
| MatsukiyoCocokara & Co. | | 2,100 | 37,668 |
| Mazda Motor Corp. | | 3,500 | 39,733 |
| McDonald's Holdings Co. Japan, Ltd. | | 500 | 19,105 |
| MEIJI Holdings Co., Ltd. | | 1,400 | 34,813 |
| Minebea Mitsumi, Inc. | | 2,200 | 35,943 |
| MISUMI Group, Inc. | | 27,700 | 433,091 |
| Mitsubishi Chemical Group Corp. | | 7,900 | 49,835 |
| Mitsubishi Corp. | | 18,300 | 872,875 |
| Mitsubishi Electric Corp. | | 71,000 | 878,473 |
| Mitsubishi Estate Co., Ltd. | | 6,900 | 90,267 |
| Mitsubishi HC Capital, Inc. | | 49,800 | 331,911 |
| Mitsubishi Heavy Industries, Ltd. | | 15,100 | 843,312 |
| Mitsubishi UFJ Financial Group, Inc. | | 400,800 | 3,402,133 |
| Mitsui & Co., Ltd. | | 8,100 | 293,939 |
| Mitsui Chemicals, Inc. | | 1,000 | 25,944 |
| Mitsui Fudosan Co., Ltd. | | 39,500 | 870,670 |
| Mitsui OSK Lines, Ltd. | | 2,100 | 57,756 |
| Mizuho Financial Group, Inc. | | 14,840 | 252,332 |
| MonotaRO Co., Ltd. | | 1,500 | 16,065 |
| MS&AD Insurance Group Holdings, Inc. | | 24,900 | 915,588 |
| Murata Manufacturing Co., Ltd. | | 78,900 | 1,443,473 |
| NEC Corp. | | 1,500 | 82,920 |
| Nexon Co., Ltd. | | 2,100 | 37,569 |
| NGK Insulators, Ltd. | | 1,400 | 18,568 |
| NIDEC Corp. | | 2,600 | 120,588 |
| Nintendo Co., Ltd. | | 6,400 | 266,809 |
| Nippon Building Fund, Inc. | | 9 | 36,496 |
| Nippon Express Holdings, Inc. | | 462 | 24,123 |
| Nippon Paint Holdings Co., Ltd. | | 5,800 | 39,044 |
| Nippon Prologis REIT, Inc. | | 14 | 26,156 |
| Nippon Sanso Holdings Corp. | | 1,100 | 26,094 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Japan (continued) |
| Nippon Steel Corp. | | 5,200 | $ 121,962 |
| Nippon Telegraph & Telephone Corp. | | 1,412,900 | 1,669,688 |
| Nippon Yusen KK | | 3,000 | 78,011 |
| Nissan Chemical Corp. | | 800 | 34,042 |
| Nissan Motor Co., Ltd. | | 14,300 | 63,184 |
| Nissin Foods Holdings Co., Ltd. | | 400 | 33,257 |
| Nitori Holdings Co., Ltd. | | 6,900 | 771,540 |
| Nitto Denko Corp. | | 900 | 59,069 |
| Nomura Holdings, Inc. | | 18,500 | 74,166 |
| Nomura Real Estate Holdings, Inc. | | 700 | 17,580 |
| Nomura Real Estate Master Fund, Inc. | | 26 | 29,125 |
| Nomura Research Institute, Ltd. | | 2,400 | 62,521 |
| NTT Data Corp. | | 65,900 | 883,944 |
| Obayashi Corp. | | 4,000 | 35,238 |
| OBIC Co., Ltd. | | 400 | 60,720 |
| Odakyu Electric Railway Co., Ltd. | | 1,900 | 28,410 |
| Oji Holdings Corp. | | 5,300 | 22,308 |
| Olympus Corp. | | 7,800 | 101,336 |
| Omron Corp. | | 6,100 | 272,141 |
| Ono Pharmaceutical Co., Ltd. | | 2,400 | 46,060 |
| Open House Group Co., Ltd. | | 500 | 16,977 |
| Oracle Corp. Japan | | 200 | 14,855 |
| Oriental Land Co., Ltd. | | 6,700 | 220,090 |
| ORIX Corp. | | 7,200 | 134,566 |
| Osaka Gas Co., Ltd. | | 2,300 | 37,892 |
| Otsuka Corp. | | 700 | 29,660 |
| Otsuka Holdings Co., Ltd. | | 13,900 | 494,183 |
| Pan Pacific International Holdings Corp. | | 2,300 | 48,296 |
| Panasonic Holdings Corp. | | 61,100 | 687,702 |
| Persol Holdings Co., Ltd. | | 11,010 | 17,933 |
| Rakuten Group, Inc. | | 9,200 | 37,744 |
| Recruit Holdings Co., Ltd. | | 47,300 | 1,458,818 |
| Renesas Electronics Corp.† | | 31,521 | 482,075 |
| Resona Holdings, Inc. | | 13,100 | 72,609 |
| Ricoh Co., Ltd. | | 3,400 | 29,361 |
| Rohm Co., Ltd. | | 2,000 | 37,701 |
| SBI Holdings, Inc. | | 1,500 | 31,598 |
| SCSK Corp. | | 924 | 16,132 |
| Secom Co., Ltd. | | 1,300 | 88,209 |
| Seiko Epson Corp. | | 1,800 | 28,300 |
| Sekisui Chemical Co., Ltd. | | 55,700 | 802,477 |
| Sekisui House, Ltd. | | 3,700 | 73,708 |
| Seven & i Holdings Co., Ltd. | | 23,700 | 928,557 |
| SG Holdings Co., Ltd. | | 1,944 | 24,911 |
| Sharp Corp.† | | 1,600 | 9,979 |
| Shimadzu Corp. | | 1,400 | 37,211 |
| Shimano, Inc. | | 4,400 | 593,723 |
| Shimizu Corp. | | 3,400 | 23,650 |
| Shin-Etsu Chemical Co., Ltd. | | 11,200 | 325,492 |
| Shionogi & Co., Ltd. | | 1,600 | 71,585 |
| Shiseido Co., Ltd. | | 2,400 | 84,315 |
| Shizuoka Financial Group, Inc. | | 2,900 | 23,656 |
| SMC Corp. | | 3,200 | 1,434,261 |
| SoftBank Corp. | | 17,700 | 200,227 |
| SoftBank Group Corp. | | 6,300 | 267,067 |
| Sompo Holdings, Inc. | | 1,800 | 77,485 |
| Sony Group Corp. | | 35,600 | 2,915,846 |
| Square Enix Holdings Co., Ltd. | | 500 | 17,147 |
| Stanley Electric Co., Ltd. | | 12,300 | 194,451 |
| Subaru Corp. | | 3,800 | 73,895 |
| SUMCO Corp. | | 2,112 | 27,545 |
| Sumitomo Chemical Co., Ltd. | | 8,600 | 23,422 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Japan (continued) |
| Sumitomo Corp. | | 36,100 | $ 720,840 |
| Sumitomo Electric Industries, Ltd. | | 4,400 | 53,042 |
| Sumitomo Metal Mining Co., Ltd. | | 1,500 | 44,155 |
| Sumitomo Mitsui Financial Group, Inc. | | 7,800 | 383,476 |
| Sumitomo Mitsui Trust Holdings, Inc. | | 9,000 | 339,126 |
| Sumitomo Realty & Development Co., Ltd. | | 1,700 | 44,206 |
| Suntory Beverage & Food, Ltd. | | 800 | 24,358 |
| Suzuki Motor Corp. | | 12,900 | 519,315 |
| Sysmex Corp. | | 1,000 | 47,732 |
| T&D Holdings, Inc. | | 3,100 | 51,196 |
| Taisei Corp. | | 1,000 | 35,205 |
| Takeda Pharmaceutical Co., Ltd. | | 9,700 | 301,243 |
| TDK Corp. | | 2,400 | 89,004 |
| TechnoPro Holdings, Inc. | | 17,800 | 387,469 |
| Terumo Corp. | | 41,400 | 1,097,887 |
| THK Co., Ltd. | | 10,000 | 182,916 |
| TIS, Inc. | | 1,352 | 29,792 |
| Tobu Railway Co., Ltd. | | 1,200 | 30,851 |
| Toho Co., Ltd. | | 700 | 23,899 |
| Tokio Marine Holdings, Inc. | | 45,900 | 1,064,263 |
| Tokyo Electric Power Co. Holdings, Inc.† | | 9,400 | 42,069 |
| Tokyo Electron, Ltd. | | 7,300 | 998,474 |
| Tokyo Gas Co., Ltd. | | 2,400 | 54,459 |
| Tokyu Corp. | | 3,100 | 35,763 |
| Toppan, Inc. | | 1,500 | 35,884 |
| Toray Industries, Inc. | | 8,500 | 44,252 |
| Toshiba Corp.† | | 2,500 | 77,004 |
| Tosoh Corp. | | 5,900 | 75,724 |
| TOTO, Ltd. | | 800 | 20,680 |
| Toyota Industries Corp. | | 900 | 70,915 |
| Toyota Motor Corp. | | 186,000 | 3,332,541 |
| Toyota Tsusho Corp. | | 1,300 | 76,509 |
| Trend Micro, Inc. | | 800 | 30,343 |
| Unicharm Corp. | | 2,500 | 88,514 |
| USS Co., Ltd. | | 1,300 | 21,509 |
| Welcia Holdings Co., Ltd. | | 9,000 | 155,591 |
| West Japan Railway Co. | | 1,300 | 53,804 |
| Yakult Honsha Co., Ltd. | | 1,600 | 38,897 |
| Yamaha Corp. | | 900 | 24,608 |
| Yamaha Motor Co., Ltd. | | 1,800 | 47,349 |
| Yamato Holdings Co., Ltd. | | 1,600 | 26,071 |
| Yaskawa Electric Corp. | | 1,500 | 54,152 |
| Yokogawa Electric Corp. | | 1,400 | 27,060 |
| Zensho Holdings Co., Ltd. | | 600 | 26,089 |
| ZOZO, Inc. | | 830 | 15,232 |
| | | | 60,102,012 |
| Jersey — 0.5% |
| Amcor PLC | | 18,616 | 170,560 |
| Experian PLC | | 5,656 | 185,703 |
| Glencore PLC | | 64,751 | 371,234 |
| WPP PLC | | 70,602 | 631,417 |
| | | | 1,358,914 |
| Luxembourg — 0.5% |
| ArcelorMittal SA | | 3,146 | 79,078 |
| Eurofins Scientific SE | | 830 | 46,947 |
| Samsonite International SA*† | | 92,100 | 316,372 |
| Spotify Technology SA† | | 6,619 | 1,023,562 |
| Tenaris SA | | 2,903 | 45,992 |
| | | | 1,511,951 |
| Netherlands — 4.5% |
| ABN AMRO Bank NV CVA* | | 2,483 | 35,282 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Netherlands (continued) |
| Adyen NV*† | | 272 | $ 202,940 |
| AerCap Holdings NV† | | 1,073 | 67,245 |
| Airbus SE | | 3,644 | 489,206 |
| Akzo Nobel NV | | 13,646 | 987,977 |
| Argenx SE† | | 344 | 167,517 |
| ASM International NV | | 289 | 121,454 |
| ASML Holding NV | | 7,450 | 4,403,759 |
| ASR Nederland NV | | 983 | 36,915 |
| BE Semiconductor Industries NV | | 474 | 46,606 |
| CNH Industrial NV | | 6,291 | 76,754 |
| Davide Campari-Milano NV | | 3,213 | 37,927 |
| Euronext NV* | | 527 | 36,773 |
| EXOR NV | | 667 | 59,193 |
| Ferrari NV | | 775 | 229,177 |
| Ferrovial SE | | 3,130 | 95,867 |
| Heineken Holding NV | | 797 | 60,164 |
| Heineken NV | | 10,030 | 885,028 |
| IMCD NV | | 350 | 44,405 |
| ING Groep NV | | 106,183 | 1,408,888 |
| JDE Peet's NV | | 768 | 21,452 |
| Koninklijke Ahold Delhaize NV | | 5,971 | 180,042 |
| Koninklijke KPN NV | | 19,856 | 65,476 |
| Koninklijke Philips NV† | | 31,558 | 632,795 |
| NN Group NV | | 1,541 | 49,594 |
| NXP Semiconductors NV | | 4,853 | 970,212 |
| OCI NV | | 644 | 17,968 |
| Prosus NV† | | 9,398 | 277,414 |
| QIAGEN NV† | | 1,402 | 56,726 |
| Randstad NV | | 678 | 37,547 |
| Stellantis NV | | 13,601 | 261,854 |
| STMicroelectronics NV | | 4,202 | 182,079 |
| Universal Music Group NV | | 5,037 | 131,696 |
| Wolters Kluwer NV | | 1,583 | 191,881 |
| | | | 12,569,813 |
| New Zealand — 0.1% |
| Auckland International Airport, Ltd. | | 7,696 | 36,486 |
| EBOS Group, Ltd. | | 936 | 19,186 |
| Fisher & Paykel Healthcare Corp., Ltd. | | 3,562 | 46,071 |
| Mercury NZ, Ltd. | | 4,234 | 15,480 |
| Meridian Energy, Ltd. | | 7,885 | 24,291 |
| Spark New Zealand, Ltd. | | 11,343 | 32,700 |
| Xero, Ltd.† | | 884 | 63,901 |
| | | | 238,115 |
| Norway — 1.8% |
| Adevinta ASA† | | 1,780 | 17,623 |
| Aker BP ASA | | 1,943 | 53,767 |
| DNB Bank ASA | | 110,495 | 2,227,120 |
| Equinor ASA | | 46,205 | 1,516,819 |
| Gjensidige Forsikring ASA | | 1,221 | 17,978 |
| Kongsberg Gruppen ASA | | 541 | 22,314 |
| Mowi ASA | | 2,702 | 47,881 |
| Norsk Hydro ASA | | 85,786 | 538,937 |
| Orkla ASA | | 4,617 | 34,522 |
| Salmar ASA | | 443 | 22,505 |
| Storebrand ASA | | 60,986 | 496,935 |
| Telenor ASA | | 4,302 | 48,865 |
| Yara International ASA | | 1,018 | 38,572 |
| | | | 5,083,838 |
| Portugal — 0.3% |
| EDP - Energias de Portugal SA | | 19,292 | 80,281 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Portugal (continued) |
| Galp Energia SGPS SA | | 3,025 | $ 44,902 |
| Jeronimo Martins SGPS SA | | 27,461 | 617,245 |
| | | | 742,428 |
| Singapore — 1.1% |
| CapitaLand Ascendas REIT | | 22,900 | 46,068 |
| CapitaLand Integrated Commercial Trust | | 32,692 | 44,243 |
| CapitaLand Investment, Ltd. | | 16,000 | 36,284 |
| City Developments, Ltd. | | 3,100 | 14,990 |
| DBS Group Holdings, Ltd. | | 29,900 | 735,798 |
| Genting Singapore, Ltd. | | 36,900 | 22,809 |
| Jardine Cycle & Carriage, Ltd. | | 600 | 14,015 |
| Keppel Corp., Ltd. | | 8,900 | 44,272 |
| Mapletree Logistics Trust | | 21,311 | 26,190 |
| Mapletree Pan Asia Commercial Trust | | 14,400 | 15,064 |
| Oversea-Chinese Banking Corp., Ltd. | | 20,800 | 194,914 |
| Seatrium, Ltd.† | | 272,678 | 26,729 |
| Sembcorp Industries, Ltd. | | 5,495 | 20,460 |
| Singapore Airlines, Ltd. | | 9,100 | 43,004 |
| Singapore Exchange, Ltd. | | 5,300 | 37,802 |
| Singapore Technologies Engineering, Ltd. | | 9,600 | 27,459 |
| Singapore Telecommunications, Ltd. | | 50,710 | 89,772 |
| United Overseas Bank, Ltd. | | 42,500 | 886,064 |
| UOL Group, Ltd. | | 2,800 | 13,150 |
| Wilmar International, Ltd. | | 221,300 | 603,840 |
| | | | 2,942,927 |
| South Korea — 1.3% |
| KT Corp. | | 14,901 | 365,991 |
| NAVER Corp. | | 1,855 | 276,818 |
| Samsung Electronics Co., Ltd. | | 43,722 | 2,215,174 |
| Samsung SDI Co., Ltd. | | 1,713 | 649,578 |
| | | | 3,507,561 |
| Spain — 2.2% |
| Acciona SA | | 152 | 19,397 |
| ACS Actividades de Construccion y Servicios SA | | 1,347 | 48,520 |
| Aena SME SA* | | 461 | 69,502 |
| Amadeus IT Group SA | | 9,809 | 594,026 |
| Banco Bilbao Vizcaya Argentaria SA | | 220,383 | 1,796,430 |
| Banco Santander SA | | 99,496 | 380,638 |
| CaixaBank SA | | 215,127 | 861,099 |
| Cellnex Telecom SA* | | 3,474 | 121,095 |
| Corp. ACCIONA Energias Renovables SA | | 402 | 10,370 |
| EDP Renovaveis SA | | 1,888 | 30,969 |
| Enagas SA | | 1,520 | 25,198 |
| Endesa SA | | 1,953 | 39,799 |
| Grifols SA† | | 1,821 | 23,671 |
| Iberdrola SA | | 150,986 | 1,691,279 |
| Industria de Diseno Textil SA | | 6,706 | 250,203 |
| Naturgy Energy Group SA | | 769 | 20,944 |
| Redeia Corp. SA | | 2,495 | 39,291 |
| Repsol SA | | 7,853 | 129,271 |
| Telefonica SA | | 31,817 | 130,114 |
| | | | 6,281,816 |
| SupraNational — 0.0% |
| HKT Trust & HKT, Ltd. | | 23,000 | 24,025 |
| Unibail-Rodamco-Westfield † | | 726 | 35,884 |
| | | | 59,909 |
| Sweden — 2.5% |
| Alfa Laval AB | | 1,779 | 61,191 |
| Assa Abloy AB, Class B | | 6,162 | 134,345 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Sweden (continued) |
| Atlas Copco AB, Class A | | 16,515 | $ 222,582 |
| Atlas Copco AB, Class B | | 9,593 | 112,564 |
| Beijer Ref AB | | 2,366 | 25,012 |
| Boliden AB | | 1,681 | 48,381 |
| Elekta AB, Series B | | 42,332 | 288,347 |
| Epiroc AB, Class A | | 4,052 | 77,142 |
| Epiroc AB, Class B | | 2,396 | 38,422 |
| EQT AB | | 2,186 | 43,398 |
| Essity AB, Class B | | 3,745 | 80,861 |
| Evolution AB* | | 1,127 | 114,128 |
| Fastighets AB Balder, Class B† | | 3,981 | 17,964 |
| Getinge AB, Class B | | 1,396 | 24,622 |
| H & M Hennes & Mauritz AB, Class B | | 3,971 | 56,504 |
| Hexagon AB, Class B | | 12,764 | 109,093 |
| Holmen AB, Class B | | 573 | 22,331 |
| Husqvarna AB, Class B | | 2,150 | 16,479 |
| Industrivarden AB, Class A | | 795 | 21,015 |
| Industrivarden AB, Class C | | 943 | 24,909 |
| Indutrade AB | | 1,668 | 30,946 |
| Investment AB Latour, Class B | | 904 | 15,948 |
| Investor AB, Class B | | 10,641 | 204,336 |
| L E Lundbergforetagen AB, Class B | | 464 | 19,408 |
| Lifco AB, Class B | | 1,423 | 25,001 |
| Nibe Industrier AB, Class B | | 45,875 | 301,479 |
| Saab AB, Series B | | 489 | 24,921 |
| Sagax AB, Class B | | 1,213 | 23,149 |
| Sandvik AB | | 97,930 | 1,807,020 |
| Securitas AB, Class B | | 3,003 | 23,819 |
| Skandinaviska Enskilda Banken AB, Class A | | 9,756 | ��116,664 |
| Skanska AB, Class B | | 2,077 | 34,219 |
| SKF AB, Class B | | 2,095 | 34,928 |
| Svenska Cellulosa AB SCA, Class B | | 3,725 | 51,125 |
| Svenska Handelsbanken AB, Class A | | 185,400 | 1,655,534 |
| Swedbank AB, Class A | | 5,219 | 96,159 |
| Swedish Orphan Biovitrum AB† | | 1,203 | 24,598 |
| Tele2 AB, Class B | | 3,261 | 24,976 |
| Telefonaktiebolaget LM Ericsson, Class B | | 119,133 | 581,514 |
| Telia Co. AB | | 14,504 | 29,962 |
| Volvo AB, Class A | | 1,222 | 25,434 |
| Volvo AB, Class B | | 9,280 | 191,621 |
| Volvo Car AB, Class B† | | 3,638 | 14,798 |
| | | | 6,896,849 |
| Switzerland — 9.2% |
| ABB, Ltd. | | 35,719 | 1,279,929 |
| Adecco Group AG | | 984 | 40,592 |
| Alcon, Inc. | | 22,127 | 1,714,852 |
| Bachem Holding AG | | 206 | 15,303 |
| Baloise Holding AG | | 280 | 40,653 |
| Banque Cantonale Vaudoise | | 184 | 19,308 |
| Barry Callebaut AG | | 240 | 382,280 |
| BKW AG | | 129 | 22,760 |
| Chocoladefabriken Lindt & Spruengli AG | | 1 | 109,685 |
| Chocoladefabriken Lindt & Spruengli AG (Participation Certificate) | | 75 | 834,927 |
| Cie Financiere Richemont SA | | 9,038 | 1,105,868 |
| Clariant AG | | 1,317 | 20,863 |
| Coca-Cola HBC AG | | 1,358 | 37,264 |
| DSM-Firmenich AG | | 1,143 | 96,832 |
| Dufry AG† | | 593 | 22,616 |
| EMS-Chemie Holding AG | | 43 | 29,266 |
| Geberit AG | | 205 | 102,797 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Switzerland (continued) |
| Givaudan SA | | 57 | $ 186,440 |
| Helvetia Holding AG | | 228 | 31,983 |
| Holcim, Ltd. | | 3,204 | 205,748 |
| Julius Baer Group, Ltd. | | 9,292 | 597,506 |
| Kuehne & Nagel International AG | | 334 | 95,236 |
| Logitech International SA | | 1,011 | 69,892 |
| Lonza Group AG | | 2,220 | 1,032,208 |
| Nestle SA | | 52,628 | 5,964,526 |
| Novartis AG | | 26,839 | 2,752,365 |
| On Holding AG, Class A† | | 18,192 | 506,101 |
| Partners Group Holding AG | | 139 | 157,093 |
| Roche Holding AG | | 17,654 | 4,830,332 |
| Roche Holding AG (BR) | | 197 | 57,980 |
| Schindler Holding AG | | 144 | 27,814 |
| Schindler Holding AG (Participation Certificate) | | 250 | 49,981 |
| SGS SA | | 921 | 77,495 |
| SIG Group AG | | 1,880 | 46,499 |
| Sika AG | | 2,674 | 680,952 |
| Sonova Holding AG | | 320 | 76,106 |
| Straumann Holding AG | | 686 | 87,834 |
| Swatch Group AG (TRQX) | | 321 | 15,728 |
| Swatch Group AG (XEGT) | | 178 | 45,776 |
| Swiss Life Holding AG | | 181 | 113,027 |
| Swiss Prime Site AG | | 472 | 43,289 |
| Swiss Re AG | | 1,854 | 191,041 |
| Swisscom AG | | 159 | 94,530 |
| Temenos AG | | 392 | 27,588 |
| UBS Group AG | | 20,220 | 501,220 |
| VAT Group AG* | | 166 | 59,665 |
| Zurich Insurance Group AG | | 2,806 | 1,287,814 |
| | | | 25,789,564 |
| Taiwan — 0.8% |
| Largan Precision Co., Ltd. | | 2,000 | 132,482 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | | 127,000 | 2,060,968 |
| | | | 2,193,450 |
| United Kingdom — 15.8% |
| 3i Group PLC | | 5,984 | 151,351 |
| Abrdn PLC | | 11,975 | 22,756 |
| Admiral Group PLC | | 1,305 | 37,847 |
| Anglo American PLC | | 7,812 | 215,934 |
| Antofagasta PLC | | 61,549 | 1,073,121 |
| ARM Holdings PLC ADR† | | 2,478 | 132,623 |
| Ashtead Group PLC | | 12,505 | 763,173 |
| Associated British Foods PLC | | 2,142 | 54,046 |
| AstraZeneca PLC | | 25,014 | 3,388,284 |
| AstraZeneca PLC ADR | | 19,545 | 1,323,587 |
| Auto Trader Group PLC* | | 5,647 | 42,552 |
| Aviva PLC | | 16,834 | 80,062 |
| BAE Systems PLC | | 18,740 | 228,144 |
| Barclays PLC | | 95,633 | 185,454 |
| Barratt Developments PLC | | 6,008 | 32,334 |
| Berkeley Group Holdings PLC | | 657 | 32,922 |
| BP PLC | | 106,674 | 691,633 |
| Bridgepoint Group PLC* | | 79,665 | 187,206 |
| British American Tobacco PLC | | 13,061 | 410,664 |
| BT Group PLC | | 39,699 | 56,526 |
| Bunzl PLC | | 37,395 | 1,335,006 |
| Burberry Group PLC | | 39,868 | 928,351 |
| Centrica PLC | | 34,209 | 64,465 |
| Coca-Cola Europacific Partners PLC | | 1,269 | 79,287 |
| Compass Group PLC | | 47,345 | 1,155,313 |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| United Kingdom (continued) |
| Croda International PLC | | 858 | $ 51,452 |
| Diageo PLC | | 56,780 | 2,101,872 |
| Dowlais Group PLC | | 94,697 | 124,090 |
| Dr. Martens PLC | | 48,915 | 84,329 |
| Endeavour Mining PLC | | 1,134 | 21,944 |
| Great Portland Estates PLC | | 38,570 | 196,613 |
| GSK PLC | | 86,399 | 1,572,798 |
| GSK PLC ADR | | 12,888 | 467,190 |
| Haleon PLC | | 34,063 | 141,658 |
| Halma PLC | | 2,334 | 55,203 |
| Hargreaves Lansdown PLC | | 2,171 | 20,481 |
| Hikma Pharmaceuticals PLC | | 1,019 | 25,960 |
| HSBC Holdings PLC | | 274,407 | 2,159,151 |
| Imperial Brands PLC | | 5,308 | 107,960 |
| Informa PLC | | 8,604 | 78,775 |
| InterContinental Hotels Group PLC | | 1,035 | 76,703 |
| Intertek Group PLC | | 992 | 49,769 |
| J Sainsbury PLC | | 10,185 | 31,415 |
| JD Sports Fashion PLC | | 15,822 | 28,899 |
| Johnson Matthey PLC | | 18,209 | 361,689 |
| Kingfisher PLC | | 392,515 | 1,069,400 |
| Land Securities Group PLC | | 4,301 | 30,951 |
| Legal & General Group PLC | | 36,750 | 99,766 |
| Lloyds Banking Group PLC | | 1,249,635 | 676,500 |
| London Stock Exchange Group PLC | | 2,457 | 246,838 |
| M&G PLC | | 13,788 | 33,191 |
| Melrose Industries PLC | | 107,380 | 614,719 |
| Mondi PLC | | 2,985 | 49,986 |
| National Grid PLC | | 137,102 | 1,639,326 |
| NatWest Group PLC | | 35,732 | 102,757 |
| Next PLC | | 6,888 | 613,159 |
| Ocado Group PLC† | | 3,560 | 26,079 |
| Pearson PLC | | 3,962 | 41,979 |
| Persimmon PLC | | 22,944 | 301,635 |
| Phoenix Group Holdings PLC | | 4,581 | 26,951 |
| Prudential PLC | | 94,611 | 1,025,985 |
| Reckitt Benckiser Group PLC | | 23,466 | 1,658,872 |
| RELX PLC | | 51,027 | 1,727,661 |
| Rentokil Initial PLC | | 15,492 | 115,339 |
| Rio Tinto PLC | | 6,922 | 436,972 |
| Rolls-Royce Holdings PLC† | | 51,744 | 139,460 |
| Sage Group PLC | | 6,302 | 76,045 |
| Schroders PLC | | 4,921 | 24,449 |
| Segro PLC | | 7,153 | 62,785 |
| Severn Trent PLC | | 1,551 | 44,755 |
| Shell PLC | | 41,217 | 1,310,528 |
| Shell PLC (XAMS) | | 94,765 | 3,056,305 |
| Shell PLC ADR | | 11,734 | 755,435 |
| Smith & Nephew PLC | | 5,369 | 67,014 |
| Smiths Group PLC | | 2,151 | 42,503 |
| Spirax-Sarco Engineering PLC | | 453 | 52,651 |
| SSE PLC | | 63,639 | 1,250,100 |
| St. James's Place PLC | | 3,372 | 34,238 |
| Standard Chartered PLC | | 52,807 | 488,378 |
| Taylor Wimpey PLC | | 21,563 | 30,860 |
| Tesco PLC | | 44,070 | 142,060 |
| Unilever PLC | | 83,469 | 4,136,762 |
| United Utilities Group PLC | | 4,192 | 48,497 |
| Vodafone Group PLC | | 141,368 | 132,501 |
| Vodafone Group PLC ADR | | 38,761 | 367,454 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| United Kingdom (continued) |
| Whitbread PLC | | 18,092 | | $ 764,645 |
| Wise PLC, Class A† | | 3,753 | | 31,394 |
| | | | | 44,027,477 |
| United States — 1.4% |
| Autoliv, Inc. SDR | | 5,353 | | 519,105 |
| Booking Holdings, Inc.† | | 286 | | 882,010 |
| Broadcom, Inc. | | 1,341 | | 1,113,808 |
| Liberty Media Corp.-Liberty Formula One, Class C† | | 6,807 | | 424,076 |
| Lululemon Athletica, Inc.† | | 2,033 | | 783,945 |
| MercadoLibre, Inc.† | | 162 | | 205,396 |
| | | | | 3,928,340 |
Total Common Stocks
(cost $250,719,249) | | | | 275,222,353 |
| UNAFFILIATED INVESTMENT COMPANIES — 0.2% |
| United States — 0.2% |
iShares MSCI EAFE ETF
(cost $650,237) | | 8,800 | | 606,496 |
| WARRANTS — 0.0% |
| Switzerland — 0.0% |
Cie Financiere Richemont SA
Expires 11/22/2023†
(cost $0) | | 8,154 | | 6,056 |
Total Long-Term Investment Securities
(cost $251,369,486) | | | | 275,834,905 |
| SHORT-TERM INVESTMENTS — 0.1% |
| U.S. Government — 0.0% |
| United States Treasury Bills | | | | |
| 5.28%, 11/24/2023(1) | | $ 75,000 | | 74,414 |
| Unaffiliated Investment Companies — 0.1% |
| State Street Institutional U.S. Government Money Market Fund, Premier Class 5.29%(2) | | 290,866 | | 290,866 |
| T. Rowe Price Government Reserve Fund 5.40%(2) | | 105 | | 105 |
| | | | | 290,971 |
Total Short-Term Investments
(cost $365,377) | | | | 365,385 |
| REPURCHASE AGREEMENTS — 0.1% |
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $355,879 and collateralized by $403,400 of United States Treasury Notes, bearing interest at 0.75% due 05/31/2026 and having an approximate value of $363,020
(cost $355,831) | | 355,831 | | 355,831 |
TOTAL INVESTMENTS
(cost $252,090,694)(3) | | 99.0% | | 276,556,121 |
| Other assets less liabilities | | 1.0 | | 2,760,535 |
| NET ASSETS | | 100.0% | | $279,316,656 |
| † | 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 SA Multi-Managed International Equity Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $4,291,868 representing 1.5% of net assets. |
| (1) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (2) | The rate shown is the 7-day yield as of September 30, 2023. |
| (3) | See Note 4 for cost of investments on a tax basis. |
Seasons Series Trust SA Multi-Managed International Equity Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| ADR—American Depositary Receipt |
| BR—Bearer Shares |
| CVA—Certification Van Aandelen (Dutch Cert.) |
| ETF—Exchange Traded Fund |
| LSE—London Stock Exchange |
| SDR—Swedish Depositary Receipt |
| TRQX—Turquoise Stock Exchange |
| XAMS—Euronext Amsterdam Stock Exchange |
| XEGT—Equiduct Stock Exchange |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 11 | Long | MSCI EAFE Index | December 2023 | $1,158,643 | $1,122,825 | $(35,818) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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: | | | | | | | |
| China | $ 635,364 | | $ 294,360 | | $— | | $ 929,724 |
| Israel | 262,693 | | 360,285 | | — | | 622,978 |
| South Korea | — | | 3,507,561 | | — | | 3,507,561 |
| Taiwan | — | | 2,193,450 | | — | | 2,193,450 |
| Other Countries | 267,968,640 | | — | | — | | 267,968,640 |
| Unaffiliated Investment Companies | 606,496 | | — | | — | | 606,496 |
| Warrants | 6,056 | | — | | — | | 6,056 |
| Short-Term Investments: | | | | | | | |
| U.S. Government | — | | 74,414 | | — | | 74,414 |
| Other Short-Term Investments | 290,971 | | — | | — | | 290,971 |
| Repurchase Agreements | — | | 355,831 | | — | | 355,831 |
| Total Investments at Value | $269,770,220 | | $6,785,901 | | $— | | $276,556,121 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 35,818 | | $ — | | $— | | $ 35,818 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Internet | 20.7% |
| Software | 19.3 |
| Computers | 9.5 |
| Semiconductors | 6.8 |
| Pharmaceuticals | 4.2 |
| Biotechnology | 4.2 |
| Retail | 3.8 |
| Diversified Financial Services | 3.8 |
| Auto Manufacturers | 3.7 |
| Commercial Services | 2.6 |
| Healthcare-Products | 2.5 |
| Advertising | 2.3 |
| Oil & Gas | 2.2 |
| Chemicals | 1.4 |
| Healthcare-Services | 1.4 |
| Beverages | 1.2 |
| Cosmetics/Personal Care | 1.0 |
| REITS | 0.7 |
| Food | 0.7 |
| Transportation | 0.7 |
| Insurance | 0.6 |
| Machinery-Diversified | 0.6 |
| Machinery-Construction & Mining | 0.6 |
| Environmental Control | 0.4 |
| Apparel | 0.4 |
| Pipelines | 0.3 |
| Electronics | 0.3 |
| Aerospace/Defense | 0.3 |
| Unaffiliated Investment Companies | 0.3 |
| Agriculture | 0.3 |
| Building Materials | 0.2 |
| Energy-Alternate Sources | 0.2 |
| Telecommunications | 0.2 |
| Mining | 0.2 |
| Auto Parts & Equipment | 0.2 |
| Distribution/Wholesale | 0.2 |
| Electric | 0.1 |
| Private Equity | 0.1 |
| Short-Term Investments | 0.1 |
| Purchased Options | 0.1 |
| Iron/Steel | 0.1 |
| Repurchase Agreements | 0.1 |
| Miscellaneous Manufacturing | 0.1 |
| Lodging | 0.1 |
| Oil & Gas Services | 0.1 |
| Household Products/Wares | 0.1 |
| | 99.0% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 98.4% |
| Advertising — 2.3% |
| Trade Desk, Inc., Class A† | | 95,404 | $ 7,455,823 |
| Aerospace/Defense — 0.3% |
| General Dynamics Corp. | | 682 | 150,701 |
| L3Harris Technologies, Inc. | | 537 | 93,502 |
| Lockheed Martin Corp. | | 904 | 369,700 |
| Northrop Grumman Corp. | | 582 | 256,191 |
| TransDigm Group, Inc.† | | 147 | 123,940 |
| | | | 994,034 |
| Agriculture — 0.3% |
| Altria Group, Inc. | | 5,242 | 220,426 |
| Archer-Daniels-Midland Co. | | 1,492 | 112,526 |
| Bunge, Ltd. | | 351 | 37,996 |
| Philip Morris International, Inc. | | 4,762 | 440,866 |
| | | | 811,814 |
| Apparel — 0.4% |
| NIKE, Inc., Class B | | 12,976 | 1,240,765 |
| Auto Manufacturers — 3.7% |
| Cummins, Inc. | | 410 | 93,669 |
| Tesla, Inc.† | | 47,932 | 11,993,545 |
| | | | 12,087,214 |
| Auto Parts & Equipment — 0.2% |
| Aptiv PLC† | | 5,657 | 557,724 |
| Beverages — 1.2% |
| Brown-Forman Corp., Class B | | 572 | 32,999 |
| Coca-Cola Co. | | 26,251 | 1,469,531 |
| Constellation Brands, Inc., Class A | | 513 | 128,932 |
| Keurig Dr Pepper, Inc. | | 2,857 | 90,195 |
| Monster Beverage Corp.† | | 13,866 | 734,205 |
| PepsiCo, Inc. | | 7,820 | 1,325,021 |
| | | | 3,780,883 |
| Biotechnology — 4.2% |
| Alnylam Pharmaceuticals, Inc.† | | 3,704 | 655,978 |
| Amgen, Inc. | | 3,039 | 816,762 |
| Argenx SE ADR† | | 1,224 | 601,755 |
| Biogen, Inc.† | | 3,039 | 781,053 |
| Corteva, Inc. | | 2,782 | 142,327 |
| Gilead Sciences, Inc. | | 14,577 | 1,092,400 |
| Illumina, Inc.† | | 21,052 | 2,890,019 |
| Incyte Corp.† | | 1,057 | 61,063 |
| Moderna, Inc.† | | 1,881 | 194,288 |
| Regeneron Pharmaceuticals, Inc.† | | 606 | 498,714 |
| Royalty Pharma PLC, Class A | | 173,380 | 4,705,533 |
| Sarepta Therapeutics, Inc.† | | 5,025 | 609,131 |
| Vertex Pharmaceuticals, Inc.† | | 1,466 | 509,787 |
| | | | 13,558,810 |
| Building Materials — 0.2% |
| Martin Marietta Materials, Inc. | | 1,543 | 633,371 |
| Masco Corp. | | 907 | 48,479 |
| Vulcan Materials Co. | | 445 | 89,899 |
| | | | 771,749 |
| Chemicals — 1.4% |
| Air Products & Chemicals, Inc. | | 1,262 | 357,651 |
| Albemarle Corp. | | 667 | 113,416 |
| CF Industries Holdings, Inc. | | 1,096 | 93,971 |
| FMC Corp. | | 709 | 47,482 |
| Linde PLC | | 5,075 | 1,889,676 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Chemicals (continued) |
| Mosaic Co. | | 1,888 | $ 67,213 |
| Sherwin-Williams Co. | | 7,578 | 1,932,769 |
| | | | 4,502,178 |
| Commercial Services — 2.6% |
| Adyen NV*† | | 4,896 | 3,652,912 |
| Automatic Data Processing, Inc. | | 2,340 | 562,957 |
| Block, Inc.† | | 10,781 | 477,167 |
| Cintas Corp. | | 290 | 139,493 |
| CoStar Group, Inc.† | | 13,010 | 1,000,339 |
| Equifax, Inc. | | 3,726 | 682,529 |
| FleetCor Technologies, Inc.† | | 223 | 56,941 |
| Gartner, Inc.† | | 448 | 153,937 |
| MarketAxess Holdings, Inc. | | 105 | 22,432 |
| Moody's Corp. | | 421 | 133,108 |
| Quanta Services, Inc. | | 825 | 154,333 |
| Rollins, Inc. | | 1,595 | 59,541 |
| Toast, Inc., Class A† | | 74,024 | 1,386,470 |
| Verisk Analytics, Inc. | | 379 | 89,535 |
| | | | 8,571,694 |
| Computers — 9.5% |
| Accenture PLC, Class A | | 8,137 | 2,498,954 |
| Apple, Inc. | | 164,513 | 28,166,271 |
| EPAM Systems, Inc.† | | 224 | 57,275 |
| Fortinet, Inc.† | | 3,703 | 217,292 |
| Leidos Holdings, Inc. | | 507 | 46,725 |
| | | | 30,986,517 |
| Cosmetics/Personal Care — 1.0% |
| Colgate-Palmolive Co. | | 2,583 | 183,677 |
| Estee Lauder Cos., Inc., Class A | | 4,502 | 650,764 |
| Kenvue, Inc. | | 9,790 | 196,584 |
| Procter & Gamble Co. | | 15,692 | 2,288,835 |
| | | | 3,319,860 |
| Distribution/Wholesale — 0.2% |
| Copart, Inc.† | | 4,936 | 212,692 |
| Fastenal Co. | | 1,590 | 86,878 |
| Pool Corp. | | 140 | 49,854 |
| WW Grainger, Inc. | | 253 | 175,035 |
| | | | 524,459 |
| Diversified Financial Services — 3.8% |
| American Express Co. | | 1,619 | 241,539 |
| Ameriprise Financial, Inc. | | 583 | 192,204 |
| Cboe Global Markets, Inc. | | 402 | 62,796 |
| Charles Schwab Corp. | | 22,226 | 1,220,207 |
| Discover Financial Services | | 824 | 71,383 |
| Intercontinental Exchange, Inc. | | 13,828 | 1,521,357 |
| Mastercard, Inc., Class A | | 13,668 | 5,411,298 |
| Nasdaq, Inc. | | 1,233 | 59,912 |
| Raymond James Financial, Inc. | | 1,068 | 107,259 |
| Visa, Inc., Class A | | 14,840 | 3,413,348 |
| | | | 12,301,303 |
| Electric — 0.1% |
| AES Corp. | | 2,244 | 34,109 |
| NRG Energy, Inc. | | 612 | 23,574 |
| PG&E Corp.† | | 11,880 | 191,624 |
| Sempra | | 2,145 | 145,924 |
| WEC Energy Group, Inc. | | 932 | 75,073 |
| | | | 470,304 |
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Electrical Components & Equipment — 0.0% |
| AMETEK, Inc. | | 655 | $ 96,783 |
| Electronics — 0.3% |
| Agilent Technologies, Inc. | | 1,007 | 112,603 |
| Amphenol Corp., Class A | | 8,990 | 755,070 |
| Keysight Technologies, Inc.† | | 547 | 72,373 |
| Mettler-Toledo International, Inc.† | | 81 | 89,754 |
| | | | 1,029,800 |
| Energy-Alternate Sources — 0.2% |
| Enphase Energy, Inc.† | | 5,044 | 606,036 |
| First Solar, Inc.† | | 607 | 98,085 |
| SolarEdge Technologies, Inc.† | | 321 | 41,573 |
| | | | 745,694 |
| Environmental Control — 0.4% |
| Republic Services, Inc. | | 642 | 91,492 |
| Waste Connections, Inc. | | 8,254 | 1,108,512 |
| Waste Management, Inc. | | 1,235 | 188,263 |
| | | | 1,388,267 |
| Food — 0.7% |
| Campbell Soup Co. | | 659 | 27,072 |
| General Mills, Inc. | | 2,260 | 144,617 |
| Hershey Co. | | 851 | 170,268 |
| Hormel Foods Corp. | | 1,184 | 45,028 |
| Kellanova | | 824 | 49,036 |
| Lamb Weston Holdings, Inc. | | 828 | 76,557 |
| McCormick & Co., Inc. | | 16,608 | 1,256,229 |
| Mondelez International, Inc., Class A | | 7,047 | 489,062 |
| | | | 2,257,869 |
| Gas — 0.0% |
| Atmos Energy Corp. | | 514 | 54,448 |
| Hand/Machine Tools — 0.0% |
| Snap-on, Inc. | | 171 | 43,615 |
| Healthcare-Products — 2.5% |
| Abbott Laboratories | | 5,126 | 496,453 |
| Bio-Techne Corp. | | 429 | 29,202 |
| Boston Scientific Corp.† | | 27,694 | 1,462,243 |
| Danaher Corp. | | 3,733 | 926,157 |
| Exact Sciences Corp.† | | 7,844 | 535,118 |
| Hologic, Inc.† | | 1,391 | 96,535 |
| IDEXX Laboratories, Inc.† | | 231 | 101,009 |
| Insulet Corp.† | | 4,042 | 644,659 |
| Intuitive Surgical, Inc.† | | 6,561 | 1,917,715 |
| ResMed, Inc. | | 451 | 66,689 |
| Thermo Fisher Scientific, Inc. | | 2,192 | 1,109,525 |
| Waters Corp.† | | 336 | 92,135 |
| West Pharmaceutical Services, Inc. | | 1,470 | 551,559 |
| | | | 8,028,999 |
| Healthcare-Services — 1.4% |
| Elevance Health, Inc. | | 1,339 | 583,027 |
| HCA Healthcare, Inc. | | 617 | 151,770 |
| Humana, Inc. | | 1,708 | 830,976 |
| IQVIA Holdings, Inc.† | | 499 | 98,178 |
| Molina Healthcare, Inc.† | | 331 | 108,532 |
| Quest Diagnostics, Inc. | | 421 | 51,303 |
| UnitedHealth Group, Inc. | | 5,262 | 2,653,048 |
| | | | 4,476,834 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Home Builders — 0.0% |
| D.R. Horton, Inc. | | 865 | $ 92,962 |
| Household Products/Wares — 0.1% |
| Clorox Co. | | 317 | 41,546 |
| Kimberly-Clark Corp. | | 922 | 111,424 |
| | | | 152,970 |
| Insurance — 0.6% |
| Aon PLC, Class A | | 761 | 246,731 |
| Arch Capital Group, Ltd.† | | 2,119 | 168,905 |
| Arthur J. Gallagher & Co. | | 784 | 178,697 |
| Brown & Brown, Inc. | | 789 | 55,104 |
| Chubb, Ltd. | | 1,330 | 276,879 |
| Everest Group, Ltd. | | 143 | 53,149 |
| Globe Life, Inc. | | 346 | 37,621 |
| Marsh & McLennan Cos., Inc. | | 1,796 | 341,779 |
| Principal Financial Group, Inc. | | 771 | 55,566 |
| Progressive Corp. | | 3,325 | 463,173 |
| Travelers Cos., Inc. | | 702 | 114,644 |
| W.R. Berkley Corp. | | 1,156 | 73,394 |
| | | | 2,065,642 |
| Internet — 20.7% |
| Airbnb, Inc., Class A† | | 41,666 | 5,716,992 |
| Alphabet, Inc., Class A† | | 72,923 | 9,542,704 |
| Alphabet, Inc., Class C† | | 53,275 | 7,024,309 |
| Amazon.com, Inc.† | | 104,754 | 13,316,328 |
| CDW Corp. | | 480 | 96,845 |
| Chewy, Inc., Class A† | | 81,965 | 1,496,681 |
| DoorDash, Inc., Class A† | | 84,407 | 6,707,824 |
| Etsy, Inc.† | | �� 405 | 26,155 |
| Gen Digital, Inc. | | 1,694 | 29,950 |
| MercadoLibre, Inc.† | | 2,860 | 3,626,137 |
| Meta Platforms, Inc., Class A† | | 14,045 | 4,216,449 |
| Palo Alto Networks, Inc.† | | 1,737 | 407,222 |
| Shopify, Inc., Class A† | | 128,789 | 7,028,016 |
| Snap, Inc., Class A† | | 67,036 | 597,291 |
| Uber Technologies, Inc.† | | 163,776 | 7,532,058 |
| VeriSign, Inc.† | | 250 | 50,632 |
| | | | 67,415,593 |
| Iron/Steel — 0.1% |
| Nucor Corp. | | 1,413 | 220,922 |
| Steel Dynamics, Inc. | | 885 | 94,890 |
| | | | 315,812 |
| Lodging — 0.1% |
| Hilton Worldwide Holdings, Inc. | | 713 | 107,078 |
| Marriott International, Inc., Class A | | 726 | 142,703 |
| | | | 249,781 |
| Machinery-Construction & Mining — 0.6% |
| Caterpillar, Inc. | | 7,182 | 1,960,686 |
| Machinery-Diversified — 0.6% |
| Deere & Co. | | 2,419 | 912,882 |
| IDEX Corp. | | 245 | 50,965 |
| Rockwell Automation, Inc. | | 3,505 | 1,001,974 |
| | | | 1,965,821 |
| Media — 0.0% |
| FactSet Research Systems, Inc. | | 130 | 56,844 |
| Mining — 0.2% |
| Freeport-McMoRan, Inc. | | 18,231 | 679,834 |
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Miscellaneous Manufacturing — 0.1% |
| Axon Enterprise, Inc.† | | 399 | $ 79,397 |
| Illinois Tool Works, Inc. | | 797 | 183,557 |
| | | | 262,954 |
| Oil & Gas — 2.2% |
| APA Corp. | | 1,745 | 71,720 |
| Chevron Corp. | | 10,079 | 1,699,521 |
| ConocoPhillips | | 6,803 | 814,999 |
| Coterra Energy, Inc. | | 4,303 | 116,396 |
| Devon Energy Corp. | | 3,640 | 173,628 |
| Diamondback Energy, Inc. | | 1,016 | 157,358 |
| EOG Resources, Inc. | | 3,308 | 419,322 |
| EQT Corp. | | 2,054 | 83,351 |
| Exxon Mobil Corp. | | 22,741 | 2,673,887 |
| Hess Corp. | | 1,570 | 240,210 |
| Marathon Oil Corp. | | 3,441 | 92,047 |
| Marathon Petroleum Corp. | | 1,090 | 164,961 |
| Occidental Petroleum Corp. | | 3,769 | 244,533 |
| Pioneer Natural Resources Co. | | 1,324 | 303,924 |
| | | | 7,255,857 |
| Oil & Gas Services — 0.1% |
| Schlumberger NV | | 4,279 | 249,466 |
| Pharmaceuticals — 4.2% |
| AbbVie, Inc. | | 10,027 | 1,494,624 |
| AstraZeneca PLC ADR | | 17,690 | 1,197,967 |
| Bristol-Myers Squibb Co. | | 11,868 | 688,819 |
| Cigna Group | | 824 | 235,722 |
| Dexcom, Inc.† | | 2,203 | 205,540 |
| Eli Lilly & Co. | | 10,953 | 5,883,185 |
| Johnson & Johnson | | 8,481 | 1,320,916 |
| McKesson Corp. | | 353 | 153,502 |
| Merck & Co., Inc. | | 14,415 | 1,484,024 |
| Pfizer, Inc. | | 32,073 | 1,063,861 |
| | | | 13,728,160 |
| Pipelines — 0.3% |
| Cheniere Energy, Inc. | | 3,345 | 555,136 |
| ONEOK, Inc. | | 3,309 | 209,890 |
| Targa Resources Corp. | | 1,271 | 108,950 |
| Williams Cos., Inc. | | 6,910 | 232,798 |
| | | | 1,106,774 |
| Private Equity — 0.1% |
| Blackstone, Inc. | | 4,032 | 431,988 |
| REITS — 0.7% |
| American Tower Corp. | | 5,589 | 919,111 |
| Equinix, Inc. | | 1,162 | 843,914 |
| Extra Space Storage, Inc. | | 600 | 72,948 |
| Iron Mountain, Inc. | | 1,044 | 62,066 |
| Public Storage | | 557 | 146,781 |
| SBA Communications Corp. | | 345 | 69,059 |
| VICI Properties, Inc. | | 3,281 | 95,477 |
| Weyerhaeuser Co. | | 2,366 | 72,541 |
| | | | 2,281,897 |
| Retail — 3.8% |
| AutoZone, Inc.† | | 103 | 261,619 |
| Chipotle Mexican Grill, Inc.† | | 410 | 751,050 |
| Costco Wholesale Corp. | | 1,661 | 938,398 |
| Dollar General Corp. | | 1,246 | 131,827 |
| Dollar Tree, Inc.† | | 1,189 | 126,569 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail (continued) |
| Domino's Pizza, Inc. | | 92 | $ 34,849 |
| Floor & Decor Holdings, Inc., Class A† | | 16,516 | 1,494,698 |
| Genuine Parts Co. | | 574 | 82,874 |
| Home Depot, Inc. | | 3,027 | 914,638 |
| Lowe's Cos., Inc. | | 7,138 | 1,483,562 |
| Lululemon Athletica, Inc.† | | 3,597 | 1,387,039 |
| McDonald's Corp. | | 6,164 | 1,623,844 |
| O'Reilly Automotive, Inc.† | | 343 | 311,739 |
| RH † | | 1,449 | 383,058 |
| Ross Stores, Inc. | | 13,477 | 1,522,227 |
| Starbucks Corp. | | 3,318 | 302,834 |
| TJX Cos., Inc. | | 4,178 | 371,341 |
| Tractor Supply Co. | | 618 | 125,485 |
| Ulta Beauty, Inc.† | | 283 | 113,044 |
| Yum! Brands, Inc. | | 1,019 | 127,314 |
| | | | 12,488,009 |
| Semiconductors — 6.8% |
| Advanced Micro Devices, Inc.† | | 14,150 | 1,454,903 |
| Analog Devices, Inc. | | 1,339 | 234,446 |
| Applied Materials, Inc. | | 4,770 | 660,407 |
| ARM Holdings PLC ADR† | | 7,980 | 427,090 |
| Broadcom, Inc. | | 1,407 | 1,168,626 |
| KLA Corp. | | 3,034 | 1,391,574 |
| Lam Research Corp. | | 757 | 474,465 |
| Marvell Technology, Inc. | | 36,983 | 2,001,890 |
| Microchip Technology, Inc. | | 1,515 | 118,246 |
| Monolithic Power Systems, Inc. | | 271 | 125,202 |
| NVIDIA Corp. | | 28,773 | 12,515,967 |
| NXP Semiconductors NV | | 864 | 172,731 |
| ON Semiconductor Corp.† | | 2,451 | 227,820 |
| QUALCOMM, Inc. | | 6,340 | 704,120 |
| Teradyne, Inc. | | 429 | 43,097 |
| Texas Instruments, Inc. | | 3,249 | 516,623 |
| | | | 22,237,207 |
| Software — 19.3% |
| Activision Blizzard, Inc. | | 2,398 | 224,525 |
| Adobe, Inc.† | | 1,932 | 985,127 |
| Autodesk, Inc.† | | 668 | 138,216 |
| Bill.com Holdings, Inc.† | | 34,650 | 3,761,950 |
| Broadridge Financial Solutions, Inc. | | 322 | 57,654 |
| Cadence Design Systems, Inc.† | | 1,544 | 361,759 |
| Cloudflare, Inc., Class A† | | 128,398 | 8,094,210 |
| Datadog, Inc., Class A† | | 28,225 | 2,571,015 |
| Electronic Arts, Inc. | | 952 | 114,621 |
| Fair Isaac Corp.† | | 141 | 122,463 |
| Fiserv, Inc.† | | 2,390 | 269,974 |
| Intuit, Inc. | | 4,646 | 2,373,827 |
| Jack Henry & Associates, Inc. | | 414 | 62,572 |
| Microsoft Corp. | | 65,699 | 20,744,459 |
| MSCI, Inc. | | 2,517 | 1,291,422 |
| Oracle Corp. | | 16,763 | 1,775,537 |
| Paychex, Inc. | | 1,039 | 119,828 |
| Paycom Software, Inc. | | 280 | 72,596 |
| PTC, Inc.† | | 675 | 95,634 |
| ROBLOX Corp., Class A† | | 159,658 | 4,623,696 |
| Salesforce, Inc.† | | 6,366 | 1,290,897 |
| ServiceNow, Inc.† | | 1,580 | 883,157 |
| Snowflake, Inc., Class A† | | 50,482 | 7,712,135 |
| Synopsys, Inc.† | | 864 | 396,550 |
| Tyler Technologies, Inc.† | | 112 | 43,248 |
| Veeva Systems, Inc., Class A† | | 7,404 | 1,506,344 |
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Software (continued) |
| Workday, Inc., Class A† | | 2,628 | $ 564,626 |
| ZoomInfo Technologies, Inc.† | | 153,210 | 2,512,644 |
| | | | 62,770,686 |
| Telecommunications — 0.2% |
| Arista Networks, Inc.† | | 1,424 | 261,917 |
| Motorola Solutions, Inc. | | 522 | 142,109 |
| T-Mobile US, Inc.† | | 2,000 | 280,100 |
| | | | 684,126 |
| Transportation — 0.7% |
| C.H. Robinson Worldwide, Inc. | | 357 | 30,748 |
| CSX Corp. | | 5,471 | 168,233 |
| Expeditors International of Washington, Inc. | | 840 | 96,289 |
| JB Hunt Transport Services, Inc. | | 464 | 87,473 |
| Old Dominion Freight Line, Inc. | | 3,384 | 1,384,530 |
| Union Pacific Corp. | | 1,731 | 352,484 |
| | | | 2,119,757 |
Total Common Stocks
(cost $270,347,391) | | | 320,630,266 |
| UNAFFILIATED INVESTMENT COMPANIES — 0.3% |
SPDR Portfolio S&P 500 Growth ETF
(cost $956,441) | | 15,370 | 911,133 |
| PURCHASED OPTIONS† — 0.1% |
| Purchased Options - Calls — 0.1% |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 01/17/2024; Strike Price: CNY 7.43; Counterparty: JPMorgan Chase Bank, N.A.) | | 21,432,216 | 100,217 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 05/24/2024; Strike Price: CNY 7.57; Counterparty: Standard Chartered Bank) | | 27,370,098 | 146,704 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 08/12/2024; Strike Price: USD 7.79; Counterparty: JPMorgan Chase Bank, N.A.) | | 27,541,492 | 105,980 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 10/09/2023; Strike Price: CNY 7.87; Counterparty: Goldman Sachs International) | | 185,195 | 0 |
Total Purchased Options
(cost $331,605) | | | 352,901 |
Total Long-Term Investment Securities
(cost $271,635,437) | | | 321,894,300 |
| Security Description | | Shares or
Principal
Amount | | Value |
| SHORT-TERM INVESTMENTS — 0.1% |
| Unaffiliated Investment Companies — 0.1% |
State Street Institutional U.S. Government Money Market Fund, Administration Class
5.04%(1) | | 262,650 | | $ 262,650 |
| U.S. Government — 0.0% |
| United States Treasury Bills | | | | |
| 3.97%, 10/05/2023(2) | | $ 100,000 | | 99,956 |
Total Short-Term Investments
(cost $362,606) | | | | 362,606 |
| REPURCHASE AGREEMENTS — 0.1% |
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $284,192 and collateralized by $313,100 of United States Treasury Notes, bearing interest at 1.63% due 05/15/2026 and having an approximate value of $289,885
(cost $284,154) | | 284,154 | | 284,154 |
TOTAL INVESTMENTS
(cost $272,282,197)(3) | | 99.0% | | 322,541,060 |
| Other assets less liabilities | | 1.0 | | 3,204,821 |
| NET ASSETS | | 100.0% | | $325,745,881 |
| † | 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 SA Multi-Managed Large Cap Growth Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $3,652,912 representing 1.1% of net assets. |
| (1) | The rate shown is the 7-day yield as of September 30, 2023. |
| (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 |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 2 | Long | S&P 500 E-Mini Index | December 2023 | $453,894 | $432,550 | $(21,344) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Seasons Series Trust SA Multi-Managed Large Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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 | $320,630,266 | | $ — | | $— | | $320,630,266 |
| Unaffiliated Investment Companies | 911,133 | | — | | — | | 911,133 |
| Purchased Options | — | | 352,901 | | — | | 352,901 |
| Short-Term Investments: | | | | | | | |
| U.S. Government | — | | 99,956 | | — | | 99,956 |
| Other Short-Term Investments | 262,650 | | — | | — | | 262,650 |
| Repurchase Agreements | — | | 284,154 | | — | | 284,154 |
| Total Investments at Value | $321,804,049 | | $737,011 | | $— | | $322,541,060 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 21,344 | | $ — | | $— | | $ 21,344 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Banks | 8.5% |
| Pharmaceuticals | 7.8 |
| Software | 6.7 |
| Insurance | 6.1 |
| Internet | 5.1 |
| Electric | 4.6 |
| Healthcare-Products | 4.1 |
| Telecommunications | 4.1 |
| Oil & Gas | 3.7 |
| Retail | 3.4 |
| Semiconductors | 3.1 |
| Healthcare-Services | 3.1 |
| REITS | 3.0 |
| Cosmetics/Personal Care | 2.9 |
| Diversified Financial Services | 2.6 |
| Aerospace/Defense | 2.3 |
| Transportation | 2.1 |
| Commercial Services | 2.0 |
| Computers | 1.9 |
| Food | 1.6 |
| Packaging & Containers | 1.3 |
| Chemicals | 1.3 |
| Building Materials | 1.2 |
| Media | 1.2 |
| Beverages | 1.1 |
| Electronics | 1.1 |
| Miscellaneous Manufacturing | 1.0 |
| Electrical Components & Equipment | 0.9 |
| Private Equity | 0.9 |
| Unaffiliated Investment Companies | 0.8 |
| Agriculture | 0.8 |
| Machinery-Diversified | 0.7 |
| Household Products/Wares | 0.7 |
| Oil & Gas Services | 0.7 |
| Auto Parts & Equipment | 0.6 |
| Gas | 0.6 |
| Distribution/Wholesale | 0.6 |
| Home Builders | 0.5 |
| Real Estate | 0.5 |
| Savings & Loans | 0.5 |
| Auto Manufacturers | 0.5 |
| Advertising | 0.5 |
| Machinery-Construction & Mining | 0.4 |
| Airlines | 0.4 |
| Repurchase Agreements | 0.3 |
| Apparel | 0.3 |
| Lodging | 0.2 |
| Biotechnology | 0.1 |
| Environmental Control | 0.1 |
| Leisure Time | 0.1 |
| Pipelines | 0.1 |
| Mining | 0.1 |
| Water | 0.1 |
| Entertainment | 0.1 |
| | 99.0% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 97.9% |
| Advertising — 0.5% |
| Interpublic Group of Cos., Inc. | | 3,937 | $ 112,834 |
| Omnicom Group, Inc. | | 28,518 | 2,124,021 |
| | | | 2,236,855 |
| Aerospace/Defense — 2.3% |
| Boeing Co.† | | 5,799 | 1,111,552 |
| General Dynamics Corp. | | 11,360 | 2,510,219 |
| Howmet Aerospace, Inc. | | 4,005 | 185,231 |
| L3Harris Technologies, Inc. | | 11,610 | 2,021,533 |
| Lockheed Martin Corp. | | 665 | 271,959 |
| Northrop Grumman Corp. | | 407 | 179,158 |
| RTX Corp. | | 69,561 | 5,006,305 |
| TransDigm Group, Inc.† | | 299 | 252,096 |
| | | | 11,538,053 |
| Agriculture — 0.8% |
| Altria Group, Inc. | | 8,712 | 366,340 |
| Archer-Daniels-Midland Co. | | 34,989 | 2,638,871 |
| Bunge, Ltd. | | 909 | 98,399 |
| Philip Morris International, Inc. | | 7,304 | 676,204 |
| | | | 3,779,814 |
| Airlines — 0.4% |
| Alaska Air Group, Inc.† | | 1,301 | 48,241 |
| American Airlines Group, Inc.† | | 6,683 | 85,609 |
| Delta Air Lines, Inc. | | 6,581 | 243,497 |
| Southwest Airlines Co. | | 55,878 | 1,512,617 |
| United Airlines Holdings, Inc.† | | 3,355 | 141,917 |
| | | | 2,031,881 |
| Apparel — 0.3% |
| NIKE, Inc., Class B | | 12,530 | 1,198,119 |
| Ralph Lauren Corp. | | 413 | 47,945 |
| Tapestry, Inc. | | 2,371 | 68,166 |
| VF Corp. | | 3,381 | 59,742 |
| | | | 1,373,972 |
| Auto Manufacturers — 0.5% |
| Cummins, Inc. | | 710 | 162,207 |
| Ford Motor Co. | | 40,210 | 499,408 |
| General Motors Co. | | 45,126 | 1,487,804 |
| PACCAR, Inc. | | 5,347 | 454,602 |
| | | | 2,604,021 |
| Auto Parts & Equipment — 0.6% |
| Aptiv PLC† | | 2,893 | 285,221 |
| BorgWarner, Inc. | | 2,404 | 97,049 |
| Gentex Corp. | | 80,983 | 2,635,187 |
| | | | 3,017,457 |
| Banks — 8.5% |
| Bank of America Corp. | | 70,710 | 1,936,040 |
| Bank of New York Mellon Corp. | | 77,244 | 3,294,457 |
| Citigroup, Inc. | | 19,696 | 810,096 |
| Citizens Financial Group, Inc. | | 4,831 | 129,471 |
| Comerica, Inc. | | 1,348 | 56,009 |
| Fifth Third Bancorp | | 6,964 | 176,398 |
| Goldman Sachs Group, Inc. | | 3,372 | 1,091,078 |
| Huntington Bancshares, Inc. | | 14,809 | 154,014 |
| JPMorgan Chase & Co. | | 105,032 | 15,231,741 |
| KeyCorp | | 9,573 | 103,005 |
| M&T Bank Corp. | | 28,084 | 3,551,222 |
| Morgan Stanley | | 47,349 | 3,866,993 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| Northern Trust Corp. | | 16,372 | $ 1,137,526 |
| PNC Financial Services Group, Inc. | | 29,729 | 3,649,829 |
| Regions Financial Corp. | | 9,598 | 165,086 |
| State Street Corp. | | 3,259 | 218,223 |
| Truist Financial Corp. | | 86,763 | 2,482,289 |
| US Bancorp | | 85,362 | 2,822,068 |
| Wells Fargo & Co. | | 37,422 | 1,529,063 |
| Zions Bancorp NA | | 1,515 | 52,858 |
| | | | 42,457,466 |
| Beverages — 1.1% |
| Anheuser-Busch InBev SA NV | | 15,478 | 859,280 |
| Brown-Forman Corp., Class B | | 842 | 48,575 |
| Coca-Cola Co. | | 13,932 | 779,913 |
| Constellation Brands, Inc., Class A | | 726 | 182,466 |
| Keurig Dr Pepper, Inc. | | 85,558 | 2,701,066 |
| Molson Coors Beverage Co., Class B | | 1,898 | 120,694 |
| PepsiCo, Inc. | | 5,508 | 933,275 |
| | | | 5,625,269 |
| Biotechnology — 0.1% |
| Biogen, Inc.† | | 785 | 201,753 |
| Bio-Rad Laboratories, Inc., Class A† | | 214 | 76,708 |
| Corteva, Inc. | | 2,250 | 115,110 |
| Illumina, Inc.† | | 1,619 | 222,256 |
| | | | 615,827 |
| Building Materials — 1.2% |
| Carrier Global Corp. | | 8,567 | 472,898 |
| Fortune Brands Innovations, Inc. | | 31,509 | 1,958,600 |
| Johnson Controls International PLC | | 52,942 | 2,817,044 |
| Martin Marietta Materials, Inc. | | 632 | 259,423 |
| Masco Corp. | | 667 | 35,651 |
| Mohawk Industries, Inc.† | | 541 | 46,423 |
| Trane Technologies PLC | | 2,336 | 473,998 |
| Vulcan Materials Co. | | 557 | 112,525 |
| | | | 6,176,562 |
| Chemicals — 1.3% |
| Akzo Nobel NV | | 13,097 | 948,229 |
| Axalta Coating Systems, Ltd.† | | 68,231 | 1,835,414 |
| Celanese Corp. | | 1,024 | 128,533 |
| Dow, Inc. | | 7,191 | 370,768 |
| DuPont de Nemours, Inc. | | 4,695 | 350,200 |
| Eastman Chemical Co. | | 1,213 | 93,061 |
| Ecolab, Inc. | | 2,595 | 439,593 |
| International Flavors & Fragrances, Inc. | | 2,611 | 177,992 |
| Linde PLC | | 1,946 | 724,593 |
| LyondellBasell Industries NV, Class A | | 2,620 | 248,114 |
| PPG Industries, Inc. | | 2,409 | 312,688 |
| Sherwin-Williams Co. | | 2,420 | 617,221 |
| | | | 6,246,406 |
| Commercial Services — 2.0% |
| Automatic Data Processing, Inc. | | 6,552 | 1,576,280 |
| Cintas Corp. | | 363 | 174,607 |
| Equifax, Inc. | | 640 | 117,235 |
| FleetCor Technologies, Inc.† | | 356 | 90,901 |
| Global Payments, Inc. | | 23,426 | 2,703,126 |
| H&R Block, Inc. | | 61,479 | 2,647,286 |
| MarketAxess Holdings, Inc. | | 197 | 42,087 |
| Moody's Corp. | | 855 | 270,325 |
| PayPal Holdings, Inc.† | | 11,231 | 656,564 |
| Robert Half, Inc. | | 1,095 | 80,242 |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Commercial Services (continued) |
| S&P Global, Inc. | | 3,328 | $ 1,216,085 |
| United Rentals, Inc. | | 698 | 310,310 |
| Verisk Analytics, Inc. | | 801 | 189,228 |
| | | | 10,074,276 |
| Computers — 1.9% |
| Accenture PLC, Class A | | 15,480 | 4,754,063 |
| Amdocs, Ltd. | | 22,200 | 1,875,678 |
| Cognizant Technology Solutions Corp., Class A | | 5,166 | 349,945 |
| DXC Technology Co.† | | 2,099 | 43,722 |
| EPAM Systems, Inc.† | | 190 | 48,581 |
| Hewlett Packard Enterprise Co. | | 13,210 | 229,458 |
| HP, Inc. | | 8,874 | 228,062 |
| International Business Machines Corp. | | 9,318 | 1,307,316 |
| Leidos Holdings, Inc. | | 492 | 45,343 |
| NetApp, Inc. | | 2,156 | 163,597 |
| Seagate Technology Holdings PLC | | 1,973 | 130,119 |
| Western Digital Corp.† | | 3,272 | 149,301 |
| | | | 9,325,185 |
| Cosmetics/Personal Care — 2.9% |
| Colgate-Palmolive Co. | | 50,850 | 3,615,943 |
| Estee Lauder Cos., Inc., Class A | | 2,372 | 342,873 |
| Kenvue, Inc. | | 90,948 | 1,826,236 |
| Procter & Gamble Co. | | 22,417 | 3,269,744 |
| Unilever PLC ADR | | 110,186 | 5,443,188 |
| | | | 14,497,984 |
| Distribution/Wholesale — 0.6% |
| Fastenal Co. | | 2,980 | 162,827 |
| LKQ Corp. | | 53,190 | 2,633,437 |
| Pool Corp. | | 148 | 52,703 |
| | | | 2,848,967 |
| Diversified Financial Services — 2.6% |
| American Express Co. | | 3,035 | 452,792 |
| BlackRock, Inc. | | 4,921 | 3,181,377 |
| Capital One Financial Corp. | | 3,901 | 378,592 |
| Cboe Global Markets, Inc. | | 356 | 55,611 |
| Charles Schwab Corp. | | 42,800 | 2,349,720 |
| CME Group, Inc. | | 3,680 | 736,810 |
| Discover Financial Services | | 1,074 | 93,041 |
| Franklin Resources, Inc. | | 2,909 | 71,503 |
| Intercontinental Exchange, Inc. | | 5,854 | 644,057 |
| Invesco, Ltd. | | 4,589 | 66,632 |
| LPL Financial Holdings, Inc. | | 7,448 | 1,770,017 |
| Nasdaq, Inc. | | 1,248 | 60,640 |
| Raymond James Financial, Inc. | | 24,421 | 2,452,601 |
| Synchrony Financial | | 4,277 | 130,748 |
| T. Rowe Price Group, Inc. | | 2,294 | 240,572 |
| | | | 12,684,713 |
| Electric — 4.6% |
| AES Corp. | | 99,498 | 1,512,370 |
| Alliant Energy Corp. | | 2,585 | 125,243 |
| Ameren Corp. | | 2,687 | 201,068 |
| American Electric Power Co., Inc. | | 5,269 | 396,334 |
| CenterPoint Energy, Inc. | | 6,456 | 173,344 |
| CMS Energy Corp. | | 2,984 | 158,480 |
| Consolidated Edison, Inc. | | 3,528 | 301,750 |
| Constellation Energy Corp. | | 3,289 | 358,764 |
| Dominion Energy, Inc. | | 8,559 | 382,330 |
| DTE Energy Co. | | 2,109 | 209,381 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| Duke Energy Corp. | | 41,319 | $ 3,646,815 |
| Edison International | | 29,233 | 1,850,157 |
| Entergy Corp. | | 2,163 | 200,077 |
| Evergy, Inc. | | 2,349 | 119,094 |
| Eversource Energy | | 30,377 | 1,766,422 |
| Exelon Corp. | | 70,278 | 2,655,806 |
| FirstEnergy Corp. | | 5,278 | 180,402 |
| NextEra Energy, Inc. | | 20,699 | 1,185,846 |
| NRG Energy, Inc. | | 1,242 | 47,842 |
| Pinnacle West Capital Corp. | | 12,893 | 949,956 |
| PPL Corp. | | 7,539 | 177,619 |
| Public Service Enterprise Group, Inc. | | 5,105 | 290,526 |
| Sempra | | 36,657 | 2,493,776 |
| Southern Co. | | 11,154 | 721,887 |
| WEC Energy Group, Inc. | | 1,549 | 124,772 |
| Xcel Energy, Inc. | | 50,186 | 2,871,643 |
| | | | 23,101,704 |
| Electrical Components & Equipment — 0.9% |
| AMETEK, Inc. | | 1,180 | 174,357 |
| Emerson Electric Co. | | 46,090 | 4,450,911 |
| Generac Holdings, Inc.† | | 637 | 69,408 |
| | | | 4,694,676 |
| Electronics — 1.1% |
| Agilent Technologies, Inc. | | 1,208 | 135,079 |
| Allegion PLC | | 898 | 93,572 |
| Fortive Corp. | | 3,601 | 267,050 |
| Garmin, Ltd. | | 1,567 | 164,848 |
| Honeywell International, Inc. | | 6,791 | 1,254,569 |
| Keysight Technologies, Inc.† | | 839 | 111,008 |
| Mettler-Toledo International, Inc.† | | 78 | 86,430 |
| nVent Electric PLC | | 18,904 | 1,001,723 |
| TE Connectivity, Ltd. | | 15,919 | 1,966,474 |
| Trimble, Inc.† | | 2,540 | 136,804 |
| | | | 5,217,557 |
| Engineering & Construction — 0.0% |
| Jacobs Solutions, Inc. | | 1,288 | 175,812 |
| Entertainment — 0.1% |
| Caesars Entertainment, Inc.† | | 2,202 | 102,063 |
| Live Nation Entertainment, Inc.† | | 1,450 | 120,408 |
| | | | 222,471 |
| Environmental Control — 0.1% |
| Pentair PLC | | 1,689 | 109,363 |
| Republic Services, Inc. | | 946 | 134,814 |
| Waste Management, Inc. | | 1,546 | 235,672 |
| | | | 479,849 |
| Food — 1.6% |
| Campbell Soup Co. | | 825 | 33,891 |
| Conagra Brands, Inc. | | 91,594 | 2,511,507 |
| General Mills, Inc. | | 1,915 | 122,541 |
| Hormel Foods Corp. | | 829 | 31,527 |
| J.M. Smucker Co. | | 1,044 | 128,318 |
| Kellanova | | 1,213 | 72,186 |
| Koninklijke Ahold Delhaize NV | | 42,231 | 1,273,382 |
| Kraft Heinz Co. | | 8,166 | 274,704 |
| Kroger Co. | | 6,754 | 302,242 |
| McCormick & Co., Inc. | | 1,258 | 95,155 |
| Mondelez International, Inc., Class A | | 40,345 | 2,799,943 |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Food (continued) |
| Sysco Corp. | | 5,166 | $ 341,214 |
| Tyson Foods, Inc., Class A | | 2,921 | 147,481 |
| | | | 8,134,091 |
| Forest Products & Paper — 0.0% |
| International Paper Co. | | 3,539 | 125,528 |
| Gas — 0.6% |
| Atmos Energy Corp. | | 26,891 | 2,848,564 |
| NiSource, Inc. | | 4,227 | 104,322 |
| | | | 2,952,886 |
| Hand/Machine Tools — 0.0% |
| Snap-on, Inc. | | 233 | 59,429 |
| Stanley Black & Decker, Inc. | | 1,567 | 130,970 |
| | | | 190,399 |
| Healthcare-Products — 4.1% |
| Abbott Laboratories | | 8,520 | 825,162 |
| Align Technology, Inc.† | | 728 | 222,273 |
| Baxter International, Inc. | | 5,180 | 195,493 |
| Bio-Techne Corp. | | 837 | 56,975 |
| Boston Scientific Corp.† | | 48,160 | 2,542,848 |
| Cooper Cos., Inc. | | 506 | 160,913 |
| DENTSPLY SIRONA, Inc. | | 2,165 | 73,956 |
| Edwards Lifesciences Corp.† | | 6,218 | 430,783 |
| GE HealthCare Technologies, Inc. | | 4,001 | 272,228 |
| IDEXX Laboratories, Inc.† | | 433 | 189,338 |
| Intuitive Surgical, Inc.† | | 1,833 | 535,768 |
| Medtronic PLC | | 99,516 | 7,798,074 |
| ResMed, Inc. | | 691 | 102,178 |
| Revvity, Inc. | | 1,270 | 140,589 |
| STERIS PLC | | 1,009 | 221,395 |
| Stryker Corp. | | 3,457 | 944,694 |
| Teleflex, Inc. | | 481 | 94,473 |
| West Pharmaceutical Services, Inc. | | 755 | 283,283 |
| Zimmer Biomet Holdings, Inc. | | 49,181 | 5,519,092 |
| | | | 20,609,515 |
| Healthcare-Services — 3.1% |
| Catalent, Inc.† | | 1,844 | 83,957 |
| Centene Corp.† | | 51,817 | 3,569,155 |
| Charles River Laboratories International, Inc.† | | 524 | 102,694 |
| DaVita, Inc.† | | 551 | 52,086 |
| Elevance Health, Inc. | | 6,285 | 2,736,615 |
| HCA Healthcare, Inc. | | 947 | 232,943 |
| Humana, Inc. | | 456 | 221,853 |
| IQVIA Holdings, Inc.† | | 974 | 191,634 |
| Laboratory Corp. of America Holdings | | 906 | 182,151 |
| Quest Diagnostics, Inc. | | 24,463 | 2,981,061 |
| UnitedHealth Group, Inc. | | 5,677 | 2,862,287 |
| Universal Health Services, Inc., Class B | | 17,603 | 2,213,225 |
| | | | 15,429,661 |
| Home Builders — 0.5% |
| D.R. Horton, Inc. | | 1,557 | 167,331 |
| Lennar Corp., Class A | | 19,365 | 2,173,334 |
| NVR, Inc.† | | 33 | 196,789 |
| PulteGroup, Inc. | | 2,244 | 166,168 |
| | | | 2,703,622 |
| Home Furnishings — 0.0% |
| Whirlpool Corp. | | 561 | 75,006 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Household Products/Wares — 0.7% |
| Avery Dennison Corp. | | 824 | $ 150,520 |
| Church & Dwight Co., Inc. | | 2,517 | 230,633 |
| Clorox Co. | | 697 | 91,349 |
| Kimberly-Clark Corp. | | 25,097 | 3,032,972 |
| | | | 3,505,474 |
| Insurance — 6.1% |
| Aflac, Inc. | | 5,529 | 424,351 |
| Allstate Corp. | | 33,698 | 3,754,294 |
| American International Group, Inc.(1) | | 7,281 | 441,229 |
| Aon PLC, Class A | | 705 | 228,575 |
| Arthur J. Gallagher & Co. | | 794 | 180,976 |
| Assurant, Inc. | | 542 | 77,820 |
| Berkshire Hathaway, Inc., Class B† | | 36,889 | 12,922,217 |
| Brown & Brown, Inc. | | 987 | 68,932 |
| Chubb, Ltd. | | 22,438 | 4,671,143 |
| Cincinnati Financial Corp. | | 1,604 | 164,073 |
| Everest Group, Ltd. | | 186 | 69,131 |
| Globe Life, Inc. | | 267 | 29,031 |
| Hartford Financial Services Group, Inc. | | 3,128 | 221,806 |
| Loews Corp. | | 1,891 | 119,719 |
| Marsh & McLennan Cos., Inc. | | 1,819 | 346,156 |
| MetLife, Inc. | | 73,858 | 4,646,407 |
| Principal Financial Group, Inc. | | 887 | 63,926 |
| Prudential Financial, Inc. | | 3,713 | 352,327 |
| Travelers Cos., Inc. | | 1,077 | 175,885 |
| Willis Towers Watson PLC | | 6,736 | 1,407,554 |
| | | | 30,365,552 |
| Internet — 5.1% |
| Airbnb, Inc., Class A† | | 2,616 | 358,941 |
| Alphabet, Inc., Class C† | | 19,475 | 2,567,779 |
| Amazon.com, Inc.† | | 50,148 | 6,374,814 |
| Booking Holdings, Inc.† | | 365 | 1,125,642 |
| CDW Corp. | | 507 | 102,292 |
| eBay, Inc. | | 5,443 | 239,982 |
| Etsy, Inc.† | | 528 | 34,098 |
| Expedia Group, Inc.† | | 1,410 | 145,329 |
| F5, Inc.† | | 33,526 | 5,402,379 |
| Gen Digital, Inc. | | 2,705 | 47,824 |
| Match Group, Inc.† | | 2,844 | 111,414 |
| Meta Platforms, Inc., Class A† | | 22,733 | 6,824,674 |
| Netflix, Inc.† | | 4,533 | 1,711,661 |
| VeriSign, Inc.† | | 468 | 94,784 |
| | | | 25,141,613 |
| Leisure Time — 0.1% |
| Carnival Corp.† | | 10,303 | 141,357 |
| Norwegian Cruise Line Holdings, Ltd.† | | 4,351 | 71,704 |
| Royal Caribbean Cruises, Ltd.† | | 2,411 | 222,150 |
| | | | 435,211 |
| Lodging — 0.2% |
| Hilton Worldwide Holdings, Inc. | | 1,391 | 208,901 |
| Las Vegas Sands Corp. | | 3,362 | 154,114 |
| Marriott International, Inc., Class A | | 1,256 | 246,879 |
| MGM Resorts International | | 2,871 | 105,538 |
| Wynn Resorts, Ltd. | | 991 | 91,578 |
| | | | 807,010 |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Machinery-Construction & Mining — 0.4% |
| Caterpillar, Inc. | | 2,087 | $ 569,751 |
| Oshkosh Corp. | | 16,253 | 1,551,024 |
| | | | 2,120,775 |
| Machinery-Diversified — 0.7% |
| Dover Corp. | | 1,431 | 199,639 |
| IDEX Corp. | | 333 | 69,271 |
| Ingersoll Rand, Inc. | | 4,136 | 263,546 |
| Middleby Corp.† | | 13,738 | 1,758,464 |
| Nordson Corp. | | 554 | 123,636 |
| Otis Worldwide Corp. | | 4,211 | 338,185 |
| Rockwell Automation, Inc. | | 1,175 | 335,897 |
| Westinghouse Air Brake Technologies Corp. | | 1,832 | 194,687 |
| Xylem, Inc. | | 2,463 | 224,207 |
| | | | 3,507,532 |
| Media — 1.2% |
| Charter Communications, Inc., Class A† | | 1,041 | 457,853 |
| Comcast Corp., Class A | | 42,095 | 1,866,492 |
| FactSet Research Systems, Inc. | | 156 | 68,213 |
| Fox Corp., Class A | | 2,595 | 80,964 |
| Fox Corp., Class B | | 1,349 | 38,959 |
| News Corp., Class A | | 3,896 | 78,154 |
| News Corp., Class B | | 1,181 | 24,647 |
| Paramount Global, Class B | | 4,932 | 63,623 |
| Walt Disney Co.† | | 38,546 | 3,124,153 |
| Warner Bros. Discovery, Inc.† | | 22,686 | 246,370 |
| | | | 6,049,428 |
| Mining — 0.1% |
| Newmont Corp. | | 8,129 | 300,367 |
| Miscellaneous Manufacturing — 1.0% |
| 3M Co. | | 5,646 | 528,578 |
| A.O. Smith Corp. | | 1,274 | 84,250 |
| Eaton Corp. PLC | | 4,081 | 870,396 |
| General Electric Co. | | 11,132 | 1,230,643 |
| Illinois Tool Works, Inc. | | 1,379 | 317,597 |
| Parker-Hannifin Corp. | | 1,312 | 511,050 |
| Siemens AG | | 5,735 | 822,551 |
| Teledyne Technologies, Inc.† | | 481 | 196,527 |
| Textron, Inc. | | 2,026 | 158,312 |
| | | | 4,719,904 |
| Office/Business Equipment — 0.0% |
| Zebra Technologies Corp., Class A† | | 525 | 124,178 |
| Oil & Gas — 3.7% |
| Chevron Corp. | | 7,154 | 1,206,307 |
| ConocoPhillips | | 14,332 | 1,716,974 |
| EOG Resources, Inc. | | 15,526 | 1,968,076 |
| Exxon Mobil Corp. | | 43,641 | 5,131,309 |
| Marathon Petroleum Corp. | | 2,127 | 321,900 |
| Phillips 66 | | 30,249 | 3,634,417 |
| Shell PLC | | 42,991 | 1,366,933 |
| TotalEnergies SE ADR | | 42,244 | 2,777,965 |
| Valero Energy Corp. | | 3,612 | 511,857 |
| | | | 18,635,738 |
| Oil & Gas Services — 0.7% |
| Baker Hughes Co. | | 70,967 | 2,506,554 |
| Halliburton Co. | | 9,190 | 372,195 |
| Schlumberger NV | | 6,832 | 398,306 |
| | | | 3,277,055 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Packaging & Containers — 1.3% |
| Amcor PLC | | 15,050 | $ 137,858 |
| Ball Corp. | | 3,222 | 160,391 |
| Packaging Corp. of America | | 16,449 | 2,525,744 |
| Sealed Air Corp. | | 48,462 | 1,592,461 |
| Sonoco Products Co. | | 37,617 | 2,044,484 |
| WestRock Co. | | 2,621 | 93,832 |
| | | | 6,554,770 |
| Pharmaceuticals — 7.8% |
| AstraZeneca PLC ADR | | 31,868 | 2,158,101 |
| Becton Dickinson & Co. | | 21,378 | 5,526,854 |
| Cardinal Health, Inc. | | 2,604 | 226,079 |
| Cencora, Inc. | | 1,705 | 306,849 |
| Cigna Group | | 8,816 | 2,521,993 |
| CVS Health Corp. | | 35,703 | 2,492,784 |
| Eli Lilly & Co. | | 3,162 | 1,698,405 |
| Henry Schein, Inc.† | | 35,494 | 2,635,430 |
| Johnson & Johnson | | 57,525 | 8,959,519 |
| McKesson Corp. | | 745 | 323,963 |
| Merck & Co., Inc. | | 34,221 | 3,523,052 |
| Organon & Co. | | 2,614 | 45,379 |
| Pfizer, Inc. | | 117,368 | 3,893,097 |
| Roche Holding AG | | 6,084 | 1,664,650 |
| Roche Holding AG ADR | | 61,371 | 2,082,318 |
| Viatris, Inc. | | 12,269 | 120,972 |
| Zoetis, Inc. | | 4,708 | 819,098 |
| | | | 38,998,543 |
| Pipelines — 0.1% |
| Kinder Morgan, Inc. | | 19,827 | 328,732 |
| Private Equity — 0.9% |
| Ares Management Corp., Class A | | 25,874 | 2,661,658 |
| Blackstone, Inc. | | 16,428 | 1,760,096 |
| | | | 4,421,754 |
| Real Estate — 0.5% |
| CBRE Group, Inc., Class A† | | 35,928 | 2,653,642 |
| REITS — 3.0% |
| Alexandria Real Estate Equities, Inc. | | 1,593 | 159,459 |
| American Tower Corp. | | 2,241 | 368,532 |
| AvalonBay Communities, Inc. | | 1,453 | 249,538 |
| Boston Properties, Inc. | | 1,476 | 87,793 |
| Camden Property Trust | | 1,092 | 103,281 |
| Crown Castle, Inc. | | 4,436 | 408,245 |
| Digital Realty Trust, Inc. | | 3,096 | 374,678 |
| Equinix, Inc. | | 957 | 695,031 |
| Equity Residential | | 3,528 | 207,129 |
| Essex Property Trust, Inc. | | 656 | 139,131 |
| Extra Space Storage, Inc. | | 1,080 | 131,306 |
| Federal Realty Investment Trust | | 750 | 67,973 |
| Gaming & Leisure Properties, Inc. | | 51,423 | 2,342,318 |
| Healthpeak Properties, Inc. | | 5,595 | 102,724 |
| Host Hotels & Resorts, Inc. | | 141,169 | 2,268,586 |
| Invitation Homes, Inc. | | 5,884 | 186,464 |
| Iron Mountain, Inc. | | 1,104 | 65,633 |
| Kimco Realty Corp. | | 6,340 | 111,521 |
| Mid-America Apartment Communities, Inc. | | 1,193 | 153,479 |
| Prologis, Inc. | | 9,449 | 1,060,272 |
| Public Storage | | 615 | 162,065 |
| Realty Income Corp. | | 7,250 | 362,065 |
| Regency Centers Corp. | | 1,681 | 99,919 |
| SBA Communications Corp. | | 488 | 97,683 |
| Simon Property Group, Inc. | | 3,347 | 361,576 |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| REITS (continued) |
| UDR, Inc. | | 3,100 | $ 110,577 |
| Ventas, Inc. | | 4,116 | 173,407 |
| VICI Properties, Inc. | | 4,457 | 129,699 |
| Welltower, Inc. | | 46,491 | 3,808,543 |
| Weyerhaeuser Co. | | 3,214 | 98,541 |
| | | | 14,687,168 |
| Retail — 3.4% |
| Bath & Body Works, Inc. | | 2,341 | 79,126 |
| Best Buy Co., Inc. | | 1,986 | 137,967 |
| CarMax, Inc.† | | 1,618 | 114,441 |
| Costco Wholesale Corp. | | 1,541 | 870,603 |
| Darden Restaurants, Inc. | | 1,236 | 177,020 |
| Dollar Tree, Inc.† | | 19,629 | 2,089,507 |
| Domino's Pizza, Inc. | | 194 | 73,485 |
| Genuine Parts Co. | | 402 | 58,041 |
| Home Depot, Inc. | | 14,923 | 4,509,134 |
| Lowe's Cos., Inc. | | 1,858 | 386,167 |
| McDonald's Corp. | | 2,832 | 746,062 |
| Ross Stores, Inc. | | 3,484 | 393,518 |
| Starbucks Corp. | | 5,740 | 523,890 |
| Target Corp. | | 4,721 | 522,001 |
| TJX Cos., Inc. | | 4,232 | 376,140 |
| Victoria's Secret & Co.† | | 57,026 | 951,194 |
| Walgreens Boots Alliance, Inc. | | 7,328 | 162,975 |
| Walmart, Inc. | | 29,469 | 4,712,977 |
| Yum! Brands, Inc. | | 1,032 | 128,938 |
| | | | 17,013,186 |
| Savings & Loans — 0.5% |
| New York Community Bancorp, Inc. | | 233,654 | 2,649,636 |
| Semiconductors — 3.1% |
| Advanced Micro Devices, Inc.† | | 7,602 | 781,638 |
| Analog Devices, Inc. | | 14,875 | 2,604,464 |
| Broadcom, Inc. | | 1,688 | 1,402,019 |
| Intel Corp. | | 42,835 | 1,522,784 |
| Microchip Technology, Inc. | | 2,839 | 221,584 |
| Micron Technology, Inc. | | 11,203 | 762,140 |
| NXP Semiconductors NV | | 15,115 | 3,021,791 |
| Qorvo, Inc.† | | 1,001 | 95,566 |
| QUALCOMM, Inc. | | 20,922 | 2,323,597 |
| Skyworks Solutions, Inc. | | 1,630 | 160,702 |
| Teradyne, Inc. | | 803 | 80,669 |
| Texas Instruments, Inc. | | 15,838 | 2,518,400 |
| | | | 15,495,354 |
| Shipbuilding — 0.0% |
| Huntington Ingalls Industries, Inc. | | 408 | 83,469 |
| Software — 6.7% |
| Activision Blizzard, Inc. | | 3,000 | 280,890 |
| Adobe, Inc.† | | 2,471 | 1,259,963 |
| Akamai Technologies, Inc.† | | 1,555 | 165,670 |
| ANSYS, Inc.† | | 888 | 264,224 |
| Autodesk, Inc.† | | 984 | 203,599 |
| Broadridge Financial Solutions, Inc. | | 628 | 112,443 |
| Ceridian HCM Holding, Inc.† | | 1,592 | 108,017 |
| Electronic Arts, Inc. | | 19,842 | 2,388,977 |
| Fidelity National Information Services, Inc. | | 6,060 | 334,936 |
| Fiserv, Inc.† | | 1,933 | 218,352 |
| Intuit, Inc. | | 1,346 | 687,725 |
| Microsoft Corp. | | 73,557 | 23,225,623 |
| MSCI, Inc. | | 348 | 178,552 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Software (continued) |
| Oracle Corp. | | 6,602 | $ 699,284 |
| Paychex, Inc. | | 1,411 | 162,731 |
| Roper Technologies, Inc. | | 1,091 | 528,350 |
| Salesforce, Inc.† | | 9,962 | 2,020,094 |
| Take-Two Interactive Software, Inc.† | | 1,615 | 226,730 |
| Tyler Technologies, Inc.† | | 228 | 88,040 |
| | | | 33,154,200 |
| Telecommunications — 4.1% |
| AT&T, Inc. | | 73,120 | 1,098,262 |
| BCE, Inc. | | 20,923 | 798,717 |
| Cisco Systems, Inc. | | 185,355 | 9,964,685 |
| Corning, Inc. | | 104,295 | 3,177,869 |
| Juniper Networks, Inc. | | 41,509 | 1,153,535 |
| Motorola Solutions, Inc. | | 769 | 209,353 |
| T-Mobile US, Inc.† | | 1,694 | 237,245 |
| Verizon Communications, Inc. | | 114,562 | 3,712,954 |
| | | | 20,352,620 |
| Toys/Games/Hobbies — 0.0% |
| Hasbro, Inc. | | 1,334 | 88,231 |
| Transportation — 2.1% |
| C.H. Robinson Worldwide, Inc. | | 548 | 47,199 |
| CSX Corp. | | 10,671 | 328,133 |
| FedEx Corp. | | 2,367 | 627,066 |
| Knight-Swift Transportation Holdings, Inc. | | 36,176 | 1,814,226 |
| Norfolk Southern Corp. | | 12,443 | 2,450,400 |
| Union Pacific Corp. | | 3,117 | 634,715 |
| United Parcel Service, Inc., Class B | | 28,575 | 4,453,985 |
| | | | 10,355,724 |
| Water — 0.1% |
| American Water Works Co., Inc. | | 1,991 | 246,546 |
Total Common Stocks
(cost $472,544,314) | | | 487,320,897 |
| UNAFFILIATED INVESTMENT COMPANIES — 0.8% |
| iShares S&P 500 Value ETF | | 17,100 | 2,630,664 |
| iShares Russell 1000 Value ETF | | 10,223 | 1,552,056 |
Total Unaffiliated Investment Companies
(cost $4,384,311) | | | 4,182,720 |
Total Long-Term Investment Securities
(cost $476,928,625) | | | 491,503,617 |
| SHORT-TERM INVESTMENTS — 0.0% |
| U.S. Government — 0.0% |
| United States Treasury Bills | | | |
3.97%, 10/05/2023(2)
(cost $99,956) | | $100,000 | 99,956 |
| REPURCHASE AGREEMENTS — 0.3% |
| Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $403,536 and collateralized by $457,400 of United States Treasury Notes, bearing interest at 0.75% due 05/31/2026 and having an approximate value of $411,615 | | 403,482 | 403,482 |
| Bank of America Securities LLC Joint Repurchase Agreement(3) | | 210,000 | 210,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(3) | | 245,000 | 245,000 |
| BNP Paribas SA Joint Repurchase Agreement(3) | | 225,000 | 225,000 |
| Deutsche Bank AG Joint Repurchase Agreement(3) | | 210,000 | 210,000 |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| REPURCHASE AGREEMENTS (continued) |
| RBS Securities, Inc. Joint Repurchase Agreement(3) | | $210,000 | | $ 210,000 |
Total Repurchase Agreements
(cost $1,503,482) | | | | 1,503,482 |
TOTAL INVESTMENTS
(cost $478,532,063)(4) | | 99.0% | | 493,107,055 |
| Other assets less liabilities | | 1.0 | | 4,864,252 |
| NET ASSETS | | 100.0% | | $497,971,307 |
| † | Non-income producing security |
| (1) | Security represents an investment in an affiliated company (see Note 8) |
| (2) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (3) | See Note 2 for details of Joint Repurchase Agreements. |
| (4) | See Note 4 for cost of investments on a tax basis. |
| ADR—American Depositary Receipt |
| ETF—Exchange Traded Fund |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 3 | Long | S&P 500 E-Mini Index | December 2023 | $680,841 | $648,825 | $(32,016) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
| Forward Foreign Currency Contracts |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| Bank of America, N.A. | EUR | 1,797,214 | USD | 1,910,336 | 12/22/2023 | $ 3,016 | | $ — |
| Goldman Sachs & Co. LLC | CAD | 927,603 | USD | 687,954 | 12/22/2023 | 4,138 | | — |
| | GBP | 3,126,209 | USD | 3,819,602 | 12/22/2023 | 3,143 | | — |
| | USD | 21,249 | CAD | 28,653 | 12/22/2023 | — | | (126) |
| | | | | | | 7,281 | | (126) |
| JPMorgan Chase Bank, N.A. | EUR | 1,797,214 | USD | 1,910,681 | 12/22/2023 | 3,362 | | — |
| Morgan Stanley & Co. International PLC | CHF | 1,289,747 | USD | 1,428,110 | 12/22/2023 | 6,366 | | — |
| | EUR | 1,797,214 | USD | 1,911,064 | 12/22/2023 | 3,744 | | — |
| | | | | | | 10,110 | | — |
| Unrealized Appreciation (Depreciation) | | | | | | $ 23,769 | | $ (126) |
| CAD—Canadian Dollar |
| CHF—Swiss Franc |
| EUR—Euro Currency |
| GBP—British Pound |
| USD—United States Dollar |
Seasons Series Trust SA Multi-Managed Large Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Common Stocks | $487,320,897 | | $ — | | $— | | $487,320,897 |
| Unaffiliated Investment Companies | 4,182,720 | | — | | — | | 4,182,720 |
| Short-Term Investments | — | | 99,956 | | — | | 99,956 |
| Repurchase Agreements | — | | 1,503,482 | | — | | 1,503,482 |
| Total Investments at Value | $491,503,617 | | $1,603,438 | | $— | | $493,107,055 |
| Other Financial Instruments:† | | | | | | | |
| Forward Foreign Currency Contracts | $ — | | $ 23,769 | | $— | | $ 23,769 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 32,016 | | $ — | | $— | | $ 32,016 |
| Forward Foreign Currency Contracts | — | | 126 | | — | | 126 |
| Total Other Financial Instruments | $ 32,016 | | $ 126 | | $— | | $ 32,142 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Software | 15.9% |
| Healthcare-Products | 8.1 |
| Commercial Services | 7.5 |
| Retail | 6.1 |
| Internet | 4.3 |
| Electronics | 3.9 |
| Pharmaceuticals | 3.5 |
| Distribution/Wholesale | 3.3 |
| Computers | 3.1 |
| Diversified Financial Services | 3.1 |
| Unaffiliated Investment Companies | 2.9 |
| Semiconductors | 2.6 |
| Biotechnology | 2.6 |
| Healthcare-Services | 2.4 |
| Oil & Gas | 2.2 |
| Pipelines | 2.1 |
| Machinery-Diversified | 1.8 |
| Beverages | 1.6 |
| Building Materials | 1.6 |
| Insurance | 1.5 |
| Entertainment | 1.3 |
| Transportation | 1.3 |
| Lodging | 1.2 |
| Private Equity | 1.2 |
| Miscellaneous Manufacturing | 1.1 |
| Advertising | 1.0 |
| Media | 1.0 |
| Apparel | 0.9 |
| Auto Parts & Equipment | 0.8 |
| REITS | 0.8 |
| Repurchase Agreements | 0.7 |
| Aerospace/Defense | 0.7 |
| Engineering & Construction | 0.7 |
| Electrical Components & Equipment | 0.7 |
| Cosmetics/Personal Care | 0.7 |
| Household Products/Wares | 0.6 |
| Energy-Alternate Sources | 0.6 |
| Home Builders | 0.6 |
| Food | 0.5 |
| Auto Manufacturers | 0.4 |
| Chemicals | 0.4 |
| Environmental Control | 0.4 |
| Banks | 0.3 |
| Oil & Gas Services | 0.3 |
| Leisure Time | 0.3 |
| Metal Fabricate/Hardware | 0.2 |
| Telecommunications | 0.2 |
| Electric | 0.2 |
| Packaging & Containers | 0.1 |
| Hand/Machine Tools | 0.1 |
| Airlines | 0.1 |
| Short-Term Investments | 0.1 |
| Computer Data Security | 0.1 |
| Machinery-Construction & Mining | 0.1 |
| Office/Business Equipment | 0.1 |
| E-Commerce/Services | 0.1 |
| | 100.0% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 95.7% |
| Advertising — 1.0% |
| Omnicom Group, Inc. | | 1,950 | $ 145,236 |
| Trade Desk, Inc., Class A† | | 17,187 | 1,343,164 |
| | | | 1,488,400 |
| Aerospace/Defense — 0.7% |
| HEICO Corp. | | 1,906 | 308,639 |
| HEICO Corp., Class A | | 1,251 | 161,654 |
| Hexcel Corp. | | 900 | 58,626 |
| Howmet Aerospace, Inc. | | 2,450 | 113,313 |
| Spirit AeroSystems Holdings, Inc., Class A | | 187 | 3,018 |
| TransDigm Group, Inc.† | | 464 | 391,212 |
| | | | 1,036,462 |
| Airlines — 0.1% |
| Alaska Air Group, Inc.† | | 981 | 36,376 |
| American Airlines Group, Inc.† | | 4,189 | 53,661 |
| Delta Air Lines, Inc. | | 569 | 21,053 |
| United Airlines Holdings, Inc.† | | 1,100 | 46,530 |
| | | | 157,620 |
| Apparel — 0.9% |
| Crocs, Inc.† | | 1,057 | 93,259 |
| Deckers Outdoor Corp.† | | 2,216 | 1,139,224 |
| Skechers USA, Inc., Class A† | | 1,564 | 76,558 |
| Tapestry, Inc. | | 263 | 7,561 |
| | | | 1,316,602 |
| Auto Manufacturers — 0.4% |
| Rivian Automotive, Inc., Class A† | | 26,649 | 647,038 |
| Auto Parts & Equipment — 0.8% |
| Allison Transmission Holdings, Inc. | | 153 | 9,036 |
| Aptiv PLC† | | 520 | 51,267 |
| Mobileye Global, Inc., Class A† | | 26,890 | 1,117,279 |
| | | | 1,177,582 |
| Banks — 0.3% |
| First Citizens BancShares, Inc., Class A | | 21 | 28,982 |
| NU Holdings, Ltd.† | | 59,072 | 428,272 |
| | | | 457,254 |
| Beverages — 1.6% |
| Boston Beer Co., Inc., Class A† | | 151 | 58,819 |
| Brown-Forman Corp., Class A | | 675 | 39,218 |
| Brown-Forman Corp., Class B | | 5,325 | 307,199 |
| Celsius Holdings, Inc.† | | 10,183 | 1,747,403 |
| Constellation Brands, Inc., Class A | | 450 | 113,098 |
| | | | 2,265,737 |
| Biotechnology — 2.6% |
| Alnylam Pharmaceuticals, Inc.† | | 3,278 | 580,534 |
| Apellis Pharmaceuticals, Inc.† | | 3,633 | 138,199 |
| Argenx SE ADR† | | 297 | 146,014 |
| BioMarin Pharmaceutical, Inc.† | | 384 | 33,976 |
| BioNTech SE ADR† | | 435 | 47,258 |
| Bio-Rad Laboratories, Inc., Class A† | | 165 | 59,144 |
| Certara, Inc.† | | 751 | 10,920 |
| Exelixis, Inc.† | | 4,113 | 89,869 |
| Genmab A/S ADR† | | 1,516 | 53,469 |
| Horizon Therapeutics PLC† | | 3,442 | 398,205 |
| Illumina, Inc.† | | 1,574 | 216,079 |
| Incyte Corp.† | | 3,291 | 190,121 |
| Ionis Pharmaceuticals, Inc.† | | 2,131 | 96,662 |
| Karuna Therapeutics, Inc.† | | 1,311 | 221,677 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Biotechnology (continued) |
| Legend Biotech Corp. ADR† | | 1,700 | $ 114,189 |
| Maravai LifeSciences Holdings, Inc., Class A† | | 1,105 | 11,050 |
| Roivant Sciences, Ltd.† | | 5,714 | 66,740 |
| Sarepta Therapeutics, Inc.† | | 2,655 | 321,839 |
| Seagen, Inc.† | | 2,437 | 517,010 |
| Ultragenyx Pharmaceutical, Inc.† | | 1,175 | 41,889 |
| United Therapeutics Corp.† | | 1,768 | 399,338 |
| | | | 3,754,182 |
| Building Materials — 1.6% |
| Armstrong World Industries, Inc. | | 227 | 16,344 |
| Builders FirstSource, Inc.† | | 4,046 | 503,686 |
| Carrier Global Corp. | | 1,200 | 66,240 |
| Eagle Materials, Inc. | | 402 | 66,941 |
| Fortune Brands Innovations, Inc. | | 894 | 55,571 |
| Trane Technologies PLC | | 2,443 | 495,709 |
| Trex Co., Inc.† | | 4,187 | 258,045 |
| Vulcan Materials Co. | | 3,896 | 787,070 |
| | | | 2,249,606 |
| Chemicals — 0.4% |
| Albemarle Corp. | | 325 | 55,263 |
| Axalta Coating Systems, Ltd.† | | 411 | 11,056 |
| CF Industries Holdings, Inc. | | 750 | 64,305 |
| FMC Corp. | | 323 | 21,631 |
| PPG Industries, Inc. | | 2,624 | 340,595 |
| RPM International, Inc. | | 1,072 | 101,637 |
| Valvoline, Inc. | | 754 | 24,309 |
| | | | 618,796 |
| Commercial Services — 7.5% |
| Avis Budget Group, Inc.† | | 122 | 21,922 |
| Block, Inc.† | | 26,284 | 1,163,330 |
| Booz Allen Hamilton Holding Corp. | | 3,161 | 345,402 |
| Bright Horizons Family Solutions, Inc.† | | 774 | 63,050 |
| Cintas Corp. | | 2,660 | 1,279,487 |
| CoStar Group, Inc.† | | 19,600 | 1,507,044 |
| Equifax, Inc. | | 2,064 | 378,084 |
| Euronet Worldwide, Inc.† | | 1,085 | 86,127 |
| FleetCor Technologies, Inc.† | | 2,522 | 643,967 |
| FTI Consulting, Inc.† | | 397 | 70,829 |
| Gartner, Inc.† | | 3,960 | 1,360,696 |
| Grand Canyon Education, Inc.† | | 146 | 17,064 |
| H&R Block, Inc. | | 1,710 | 73,633 |
| MarketAxess Holdings, Inc. | | 1,332 | 284,568 |
| Morningstar, Inc. | | 820 | 192,077 |
| Paylocity Holding Corp.† | | 1,635 | 297,079 |
| Quanta Services, Inc. | | 1,917 | 358,613 |
| RB Global, Inc. | | 3,715 | 232,188 |
| Rollins, Inc. | | 6,149 | 229,542 |
| Service Corp. International | | 1,729 | 98,795 |
| Shift4 Payments, Inc., Class A† | | 945 | ��� 52,325 |
| Toast, Inc., Class A† | | 10,957 | 205,225 |
| TransUnion | | 1,325 | 95,122 |
| U-Haul Holding Co. † | | 51 | 2,783 |
| U-Haul Holding Co. (Non-Voting) | | 669 | 35,049 |
| United Rentals, Inc. | | 595 | 264,519 |
| Verisk Analytics, Inc. | | 4,876 | 1,151,906 |
| WEX, Inc.† | | 935 | 175,864 |
| WillScot Mobile Mini Holdings Corp.† | | 3,361 | 139,784 |
| | | | 10,826,074 |
| Computer Data Security — 0.0% |
| Snyk, Ltd.(1)(2) | | 4,274 | 43,424 |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Computer Graphics — 0.0% |
| Canva, Inc.(1)(2) | | 41 | $ 43,733 |
| Computers — 3.1% |
| Crowdstrike Holdings, Inc., Class A† | | 7,659 | 1,281,963 |
| EPAM Systems, Inc.† | | 1,229 | 314,243 |
| ExlService Holdings, Inc.† | | 24,431 | 685,045 |
| Fortinet, Inc.† | | 900 | 52,812 |
| Genpact, Ltd. | | 776 | 28,091 |
| Globant SA† | | 1,031 | 203,983 |
| HP, Inc. | | 3,065 | 78,771 |
| KBR, Inc. | | 11,546 | 680,521 |
| NetApp, Inc. | | 1,458 | 110,633 |
| Pure Storage, Inc., Class A† | | 7,122 | 253,686 |
| Super Micro Computer, Inc.† | | 400 | 109,688 |
| Zscaler, Inc.† | | 4,537 | 705,912 |
| | | | 4,505,348 |
| Cosmetics/Personal Care — 0.7% |
| e.l.f. Beauty, Inc.† | | 8,203 | 900,935 |
| Kenvue, Inc. | | 2,400 | 48,192 |
| | | | 949,127 |
| Distribution/Wholesale — 3.3% |
| Copart, Inc.† | | 53,859 | 2,320,784 |
| Fastenal Co. | | 14,587 | 797,034 |
| Ferguson PLC | | 1,244 | 204,601 |
| Pool Corp. | | 1,365 | 486,076 |
| SiteOne Landscape Supply, Inc.† | | 1,299 | 212,321 |
| Watsco, Inc. | | 394 | 148,822 |
| WW Grainger, Inc. | | 776 | 536,868 |
| | | | 4,706,506 |
| Diversified Financial Services — 3.1% |
| Ameriprise Financial, Inc. | | 1,828 | 602,655 |
| Apollo Global Management, Inc. | | 18,772 | 1,684,975 |
| Blue Owl Capital, Inc. | | 6,307 | 81,739 |
| Cboe Global Markets, Inc. | | 400 | 62,484 |
| Houlihan Lokey, Inc. | | 65 | 6,963 |
| LPL Financial Holdings, Inc. | | 2,796 | 664,469 |
| Rocket Cos., Inc., Class A† | | 779 | 6,372 |
| SLM Corp. | | 1,540 | 20,975 |
| TPG, Inc. | | 323 | 9,729 |
| Tradeweb Markets, Inc., Class A | | 16,274 | 1,305,175 |
| UWM Holdings Corp. | | 577 | 2,798 |
| Western Union Co. | | 956 | 12,600 |
| XP, Inc., Class A | | 479 | 11,041 |
| | | | 4,471,975 |
| Electric — 0.2% |
| AES Corp. | | 7,095 | 107,844 |
| Vistra Corp. | | 3,865 | 128,241 |
| | | | 236,085 |
| Electrical Components & Equipment — 0.7% |
| AMETEK, Inc. | | 1,050 | 155,148 |
| ChargePoint Holdings, Inc.† | | 5,192 | 25,804 |
| Littelfuse, Inc. | | 224 | 55,400 |
| Universal Display Corp. | | 4,821 | 756,849 |
| | | | 993,201 |
| Electronics — 3.9% |
| Agilent Technologies, Inc. | | 11,918 | 1,332,671 |
| Allegion PLC | | 2,461 | 256,436 |
| Amphenol Corp., Class A | | 11,201 | 940,772 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electronics (continued) |
| Flex, Ltd.† | | 50,900 | $ 1,373,282 |
| Hubbell, Inc. | | 1,150 | 360,422 |
| Jabil, Inc. | | 1,392 | 176,631 |
| Keysight Technologies, Inc.† | | 1,540 | 203,757 |
| Mettler-Toledo International, Inc.† | | 790 | 875,375 |
| National Instruments Corp. | | 1,781 | 106,183 |
| TE Connectivity, Ltd. | | 400 | 49,412 |
| Vontier Corp. | | 914 | 28,261 |
| | | | 5,703,202 |
| Energy-Alternate Sources — 0.6% |
| Enphase Energy, Inc.† | | 4,424 | 531,543 |
| First Solar, Inc.† | | 2,125 | 343,379 |
| | | | 874,922 |
| Engineering & Construction — 0.7% |
| EMCOR Group, Inc. | | 282 | 59,330 |
| Fluor Corp.† | | 25,582 | 938,859 |
| TopBuild Corp.† | | 36 | 9,058 |
| | | | 1,007,247 |
| Enterprise Software / Services — 0.0% |
| Socure, Inc.†(1)(2) | | 920 | 5,051 |
| Entertainment — 1.3% |
| Caesars Entertainment, Inc.† | | 3,612 | 167,416 |
| Churchill Downs, Inc. | | 2,536 | 294,277 |
| DraftKings, Inc., Class A† | | 15,967 | 470,069 |
| Liberty Media Corp.-Liberty Live, Class C† | | 451 | 14,477 |
| Live Nation Entertainment, Inc.† | | 9,487 | 787,801 |
| TKO Group Holdings, Inc. | | 749 | 62,961 |
| Vail Resorts, Inc. | | 251 | 55,694 |
| | | | 1,852,695 |
| Environmental Control — 0.4% |
| Clean Harbors, Inc.† | | 1,300 | 217,568 |
| Republic Services, Inc. | | 1,150 | 163,886 |
| Tetra Tech, Inc. | | 167 | 25,389 |
| Waste Connections, Inc. | | 873 | 117,244 |
| | | | 524,087 |
| Food — 0.5% |
| Albertsons Cos., Inc., Class A | | 623 | 14,173 |
| Hershey Co. | | 405 | 81,032 |
| Lamb Weston Holdings, Inc. | | 3,395 | 313,902 |
| Performance Food Group Co.† | | 4,852 | 285,589 |
| | | | 694,696 |
| Hand/Machine Tools — 0.1% |
| Lincoln Electric Holdings, Inc. | | 907 | 164,884 |
| MSA Safety, Inc. | | 108 | 17,026 |
| | | | 181,910 |
| Healthcare-Products — 8.1% |
| 10X Genomics, Inc., Class A† | | 1,595 | 65,794 |
| Align Technology, Inc.† | | 7,566 | 2,310,051 |
| Bio-Techne Corp. | | 6,291 | 428,228 |
| Bruker Corp. | | 3,895 | 242,659 |
| Exact Sciences Corp.† | | 18,658 | 1,272,849 |
| Globus Medical, Inc., Class A† | | 2,685 | 133,310 |
| IDEXX Laboratories, Inc.† | | 2,691 | 1,176,694 |
| Inspire Medical Systems, Inc.† | | 4,609 | 914,610 |
| Insulet Corp.† | | 6,925 | 1,104,468 |
| Lantheus Holdings, Inc.† | | 1,000 | 69,480 |
| Masimo Corp.† | | 1,950 | 170,976 |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Healthcare-Products (continued) |
| Natera, Inc.† | | 1,799 | $ 79,606 |
| Novocure, Ltd.† | | 3,692 | 59,626 |
| Penumbra, Inc.† | | 1,546 | 373,993 |
| Repligen Corp.† | | 1,133 | 180,158 |
| ResMed, Inc. | | 4,975 | 735,653 |
| Shockwave Medical, Inc.† | | 4,822 | 960,060 |
| STERIS PLC | | 575 | 126,167 |
| Tandem Diabetes Care, Inc.† | | 151 | 3,136 |
| Teleflex, Inc. | | 301 | 59,119 |
| Waters Corp.† | | 1,018 | 279,146 |
| West Pharmaceutical Services, Inc. | | 2,596 | 974,045 |
| | | | 11,719,828 |
| Healthcare-Services — 2.4% |
| Acadia Healthcare Co., Inc.† | | 796 | 55,967 |
| agilon health, Inc.† | | 46,786 | 830,919 |
| Charles River Laboratories International, Inc.† | | 270 | 52,914 |
| Chemed Corp. | | 182 | 94,585 |
| DaVita, Inc.† | | 939 | 88,764 |
| Encompass Health Corp. | | 117 | 7,858 |
| Ginkgo Bioworks Holdings, Inc.† | | 2,428 | 4,395 |
| ICON PLC† | | 211 | 51,959 |
| IQVIA Holdings, Inc.† | | 5,917 | 1,164,170 |
| Medpace Holdings, Inc.† | | 2,833 | 685,954 |
| Molina Healthcare, Inc.† | | 1,321 | 433,143 |
| Sotera Health Co.† | | 1,206 | 18,066 |
| Tenet Healthcare Corp.† | | 700 | 46,123 |
| | | | 3,534,817 |
| Home Builders — 0.6% |
| Lennar Corp., Class A | | 4,804 | 539,153 |
| NVR, Inc.† | | 53 | 316,055 |
| | | | 855,208 |
| Home Furnishings — 0.0% |
| Tempur Sealy International, Inc. | | 589 | 25,527 |
| Household Products/Wares — 0.6% |
| Avery Dennison Corp. | | 1,087 | 198,562 |
| Church & Dwight Co., Inc. | | 4,406 | 403,722 |
| Clorox Co. | | 2,150 | 281,779 |
| | | | 884,063 |
| Housewares — 0.0% |
| Scotts Miracle-Gro Co. | | 717 | 37,055 |
| Insurance — 1.5% |
| Arch Capital Group, Ltd.† | | 5,727 | 456,499 |
| Arthur J. Gallagher & Co. | | 2,556 | 582,589 |
| Assurant, Inc. | | 350 | 50,253 |
| Brighthouse Financial, Inc.† | | 118 | 5,775 |
| Brown & Brown, Inc. | | 1,608 | 112,303 |
| Equitable Holdings, Inc. | | 6,213 | 176,387 |
| Everest Group, Ltd. | | 101 | 37,539 |
| Globe Life, Inc. | | 650 | 70,674 |
| Hartford Financial Services Group, Inc. | | 1,700 | 120,547 |
| Kinsale Capital Group, Inc. | | 379 | 156,955 |
| Lincoln National Corp. | | 273 | 6,740 |
| Primerica, Inc. | | 409 | 79,350 |
| RenaissanceRe Holdings, Ltd. | | 231 | 45,720 |
| RLI Corp. | | 154 | 20,927 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Insurance (continued) |
| Ryan Specialty Holdings, Inc.† | | 5,512 | $ 266,781 |
| Willis Towers Watson PLC | | 228 | 47,643 |
| | | | 2,236,682 |
| Internet — 4.3% |
| CDW Corp. | | 4,364 | 880,481 |
| Chewy, Inc., Class A† | | 1,538 | 28,084 |
| Coupang, Inc.† | | 40,749 | 692,733 |
| DoorDash, Inc., Class A† | | 8,457 | 672,078 |
| eBay, Inc. | | 576 | 25,396 |
| Etsy, Inc.† | | 2,022 | 130,581 |
| Expedia Group, Inc.† | | 1,828 | 188,412 |
| Gen Digital, Inc. | | 1,502 | 26,555 |
| GoDaddy, Inc., Class A† | | 1,624 | 120,956 |
| Lyft, Inc., Class A† | | 5,836 | 61,511 |
| Match Group, Inc.† | | 8,649 | 338,825 |
| Okta, Inc.† | | 167 | 13,612 |
| Pinterest, Inc., Class A† | | 21,914 | 592,335 |
| Roku, Inc.† | | 266 | 18,777 |
| Spotify Technology SA† | | 15,514 | 2,399,085 |
| VeriSign, Inc.† | | 380 | 76,961 |
| Wayfair, Inc., Class A† | | 500 | 30,285 |
| | | | 6,296,667 |
| Iron/Steel — 0.0% |
| Steel Dynamics, Inc. | | 650 | 69,693 |
| Leisure Time — 0.3% |
| Brunswick Corp. | | 99 | 7,821 |
| Norwegian Cruise Line Holdings, Ltd.† | | 1,771 | 29,186 |
| Peloton Interactive, Inc., Class A† | | 5,505 | 27,800 |
| Planet Fitness, Inc., Class A† | | 707 | 34,770 |
| Polaris, Inc. | | 82 | 8,540 |
| Royal Caribbean Cruises, Ltd.† | | 2,325 | 214,226 |
| YETI Holdings, Inc.† | | 1,505 | 72,571 |
| | | | 394,914 |
| Lodging — 1.2% |
| Choice Hotels International, Inc. | | 528 | 64,685 |
| Hilton Worldwide Holdings, Inc. | | 5,673 | 851,971 |
| Hyatt Hotels Corp., Class A | | 500 | 53,040 |
| Las Vegas Sands Corp. | | 14,666 | 672,290 |
| MGM Resorts International | | 1,300 | 47,788 |
| Travel & Leisure Co. | | 566 | 20,789 |
| Wyndham Hotels & Resorts, Inc. | | 104 | 7,232 |
| Wynn Resorts, Ltd. | | 911 | 84,186 |
| | | | 1,801,981 |
| Machinery-Construction & Mining — 0.1% |
| BWX Technologies, Inc. | | 1,171 | 87,802 |
| Vertiv Holdings Co. | | 436 | 16,219 |
| | | | 104,021 |
| Machinery-Diversified — 1.8% |
| Graco, Inc. | | 1,988 | 144,885 |
| IDEX Corp. | | 381 | 79,256 |
| Middleby Corp.† | | 350 | 44,800 |
| Otis Worldwide Corp. | | 1,224 | 98,299 |
| Rockwell Automation, Inc. | | 4,233 | 1,210,088 |
| Toro Co. | | 10,494 | 872,051 |
| Westinghouse Air Brake Technologies Corp. | | 600 | 63,762 |
| Xylem, Inc. | | 491 | 44,696 |
| | | | 2,557,837 |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Media — 1.0% |
| Cable One, Inc. | | 7 | $ 4,309 |
| Endeavor Group Holdings, Inc., Class A | | 2,450 | 48,755 |
| FactSet Research Systems, Inc. | | 1,395 | 609,978 |
| Liberty Broadband Corp., Class A† | | 59 | 5,364 |
| Liberty Broadband Corp., Class C† | | 419 | 38,263 |
| Liberty Media Corp.-Liberty Formula One, Class C† | | 10,362 | 645,553 |
| Nexstar Media Group, Inc. | | 204 | 29,247 |
| | | | 1,381,469 |
| Metal Fabricate/Hardware — 0.2% |
| Advanced Drainage Systems, Inc. | | 1,835 | 208,878 |
| RBC Bearings, Inc.† | | 200 | 46,826 |
| Valmont Industries, Inc. | | 224 | 53,807 |
| | | | 309,511 |
| Miscellaneous Manufacturing — 1.1% |
| A.O. Smith Corp. | | 1,078 | 71,288 |
| Axon Enterprise, Inc.† | | 7,634 | 1,519,090 |
| Donaldson Co., Inc. | | 873 | 52,066 |
| | | | 1,642,444 |
| Office/Business Equipment — 0.1% |
| Zebra Technologies Corp., Class A† | | 400 | 94,612 |
| Oil & Gas — 2.2% |
| APA Corp. | | 9,479 | 389,587 |
| Coterra Energy, Inc. | | 2,050 | 55,452 |
| Devon Energy Corp. | | 1,350 | 64,395 |
| Diamondback Energy, Inc. | | 4,350 | 673,728 |
| Hess Corp. | | 5,647 | 863,991 |
| Magnolia Oil & Gas Corp., Class A | | 2,600 | 59,566 |
| Matador Resources Co. | | 800 | 47,584 |
| Noble Corp. PLC | | 2,000 | 101,300 |
| Ovintiv, Inc. | | 1,977 | 94,046 |
| Pioneer Natural Resources Co. | | 2,553 | 586,041 |
| Texas Pacific Land Corp. | | 100 | 182,356 |
| | | | 3,118,046 |
| Oil & Gas Services — 0.3% |
| Halliburton Co. | | 11,090 | 449,145 |
| Packaging & Containers — 0.1% |
| Ardagh Metal Packaging SA | | 2,318 | 7,255 |
| Ball Corp. | | 806 | 40,123 |
| Graphic Packaging Holding Co. | | 2,831 | 63,075 |
| Sealed Air Corp. | | 3,232 | 106,203 |
| | | | 216,656 |
| Pharmaceuticals — 3.5% |
| Ascendis Pharma A/S ADR† | | 560 | 52,438 |
| Cardinal Health, Inc. | | 2,269 | 196,995 |
| Cencora, Inc. | | 6,361 | 1,144,789 |
| Dexcom, Inc.† | | 27,712 | 2,585,530 |
| Jazz Pharmaceuticals PLC† | | 3,628 | 469,608 |
| McKesson Corp. | | 401 | 174,375 |
| Neurocrine Biosciences, Inc.† | | 3,513 | 395,212 |
| | | | 5,018,947 |
| Pipelines — 2.1% |
| Antero Midstream Corp. | | 1,968 | 23,577 |
| Cheniere Energy, Inc. | | 12,271 | 2,036,495 |
| New Fortress Energy, Inc. | | 1,125 | 36,877 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Pipelines (continued) |
| ONEOK, Inc. | | 427 | $ 27,085 |
| Targa Resources Corp. | | 11,238 | 963,321 |
| | | | 3,087,355 |
| Private Equity — 1.2% |
| Ares Management Corp., Class A | | 15,063 | 1,549,531 |
| KKR & Co., Inc. | | 2,763 | 170,201 |
| | | | 1,719,732 |
| REITS — 0.8% |
| CubeSmart | | 1,450 | 55,289 |
| Equity LifeStyle Properties, Inc. | | 1,960 | 124,872 |
| Iron Mountain, Inc. | | 2,492 | 148,149 |
| Lamar Advertising Co., Class A | | 3,017 | 251,829 |
| Rexford Industrial Realty, Inc. | | 1,100 | 54,285 |
| SBA Communications Corp. | | 484 | 96,882 |
| Simon Property Group, Inc. | | 2,680 | 289,520 |
| Sun Communities, Inc. | | 466 | 55,146 |
| UDR, Inc. | | 319 | 11,379 |
| | | | 1,087,351 |
| Retail — 6.1% |
| AutoZone, Inc.† | | 55 | 139,699 |
| Best Buy Co., Inc. | | 464 | 32,234 |
| BJ's Wholesale Club Holdings, Inc.† | | 2,350 | 167,720 |
| Burlington Stores, Inc.† | | 1,953 | 264,241 |
| CarMax, Inc.† | | 154 | 10,892 |
| Casey's General Stores, Inc. | | 318 | 86,343 |
| Cava Group, Inc.† | | 217 | 6,647 |
| Chipotle Mexican Grill, Inc.† | | 242 | 443,303 |
| Darden Restaurants, Inc. | | 2,690 | 385,262 |
| Dick's Sporting Goods, Inc. | | 77 | 8,361 |
| Dollar Tree, Inc.† | | 450 | 47,903 |
| Domino's Pizza, Inc. | | 1,117 | 423,108 |
| Five Below, Inc.† | | 2,102 | 338,212 |
| Floor & Decor Holdings, Inc., Class A† | | 2,959 | 267,790 |
| Freshpet, Inc.† | | 218 | 14,362 |
| Genuine Parts Co. | | 400 | 57,752 |
| Lululemon Athletica, Inc.† | | 180 | 69,410 |
| Murphy USA, Inc. | | 325 | 111,062 |
| Ollie's Bargain Outlet Holdings, Inc.† | | 1,194 | 92,153 |
| Restaurant Brands International, Inc. | | 1,692 | 112,721 |
| RH † | | 189 | 49,964 |
| Ross Stores, Inc. | | 21,907 | 2,474,396 |
| Texas Roadhouse, Inc. | | 1,162 | 111,668 |
| Tractor Supply Co. | | 4,029 | 818,088 |
| Ulta Beauty, Inc.† | | 1,866 | 745,374 |
| Victoria's Secret & Co.† | | 597 | 9,958 |
| Wendy's Co. | | 3,006 | 61,352 |
| Williams-Sonoma, Inc. | | 593 | 92,152 |
| Wingstop, Inc. | | 1,455 | 261,667 |
| Yum! Brands, Inc. | | 8,831 | 1,103,345 |
| | | | 8,807,139 |
| Semiconductors — 2.6% |
| Allegro MicroSystems, Inc.† | | 1,303 | 41,618 |
| Analog Devices, Inc. | | 1 | 175 |
| Entegris, Inc. | | 2,066 | 194,018 |
| Lattice Semiconductor Corp.† | | 5,840 | 501,831 |
| Microchip Technology, Inc. | | 14,269 | 1,113,695 |
| MKS Instruments, Inc. | | 5,695 | 492,845 |
| Monolithic Power Systems, Inc. | | 1,659 | 766,458 |
| ON Semiconductor Corp.† | | 1,700 | 158,015 |
| Onto Innovation, Inc.† | | 500 | 63,760 |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Semiconductors (continued) |
| Silicon Laboratories, Inc.† | | 350 | $ 40,562 |
| Skyworks Solutions, Inc. | | 550 | 54,225 |
| Teradyne, Inc. | | 4,007 | 402,543 |
| | | | 3,829,745 |
| Software — 15.5% |
| Alteryx, Inc., Class A† | | 1,064 | 40,102 |
| ANSYS, Inc.† | | 2,585 | 769,167 |
| Appfolio, Inc., Class A† | | 530 | 96,794 |
| AppLovin Corp., Class A† | | 2,438 | 97,422 |
| Atlassian Corp., Class A† | | 270 | 54,408 |
| Bentley Systems, Inc., Class B | | 5,912 | 296,546 |
| Bill.com Holdings, Inc.† | | 550 | 59,714 |
| Broadridge Financial Solutions, Inc. | | 3,434 | 614,858 |
| Ceridian HCM Holding, Inc. | | 1,140 | 77,350 |
| Cloudflare, Inc., Class A† | | 11,000 | 693,440 |
| Confluent, Inc., Class A† | | 6,967 | 206,293 |
| Databricks, Inc.(1)(2) | | 2,067 | 151,924 |
| Datadog, Inc., Class A† | | 10,162 | 925,657 |
| Descartes Systems Group, Inc.† | | 1,450 | 106,401 |
| DocuSign, Inc.† | | 3,516 | 147,672 |
| DoubleVerify Holdings, Inc.† | | 3,910 | 109,284 |
| Doximity, Inc., Class A† | | 908 | 19,268 |
| Dropbox, Inc., Class A† | | 3,989 | 108,620 |
| Duolingo, Inc.† | | 3,974 | 659,167 |
| Dynatrace, Inc.† | | 8,471 | 395,850 |
| Elastic NV† | | 1,352 | 109,836 |
| Electronic Arts, Inc. | | 850 | 102,340 |
| Fair Isaac Corp.† | | 891 | 773,860 |
| Five9, Inc.† | | 1,236 | 79,475 |
| Gitlab, Inc., Class A† | | 1,524 | 68,915 |
| Global-e Online, Ltd.† | | 13,775 | 547,418 |
| HashiCorp, Inc., Class A† | | 1,156 | 26,391 |
| HubSpot, Inc.† | | 1,704 | 839,220 |
| Informatica, Inc., Class A† | | 58 | 1,222 |
| Jack Henry & Associates, Inc. | | 401 | 60,607 |
| Klaviyo, Inc., Class A† | | 200 | 6,900 |
| Magic Leap, Inc., Class A†(1)(2) | | 9 | 99 |
| Manhattan Associates, Inc.† | | 2,221 | 439,003 |
| Monday.com, Ltd.† | | 700 | 111,454 |
| MongoDB, Inc.† | | 3,345 | 1,156,902 |
| MSCI, Inc. | | 1,447 | 742,427 |
| nCino, Inc.† | | 2,398 | 76,256 |
| New Relic, Inc.† | | 976 | 83,565 |
| Nutanix, Inc., Class A† | | 970 | 33,834 |
| Palantir Technologies, Inc., Class A† | | 32,571 | 521,136 |
| Paychex, Inc. | | 10,754 | 1,240,259 |
| Paycom Software, Inc. | | 6,325 | 1,639,883 |
| Paycor HCM, Inc.† | | 2,540 | 57,988 |
| Pegasystems, Inc. | | 729 | 31,646 |
| Playtika Holding Corp.† | | 343 | 3,303 |
| Procore Technologies, Inc.† | | 2,629 | 171,726 |
| PTC, Inc.† | | 2,632 | 372,902 |
| RingCentral, Inc., Class A† | | 1,483 | 43,941 |
| ROBLOX Corp., Class A† | | 16,032 | 464,287 |
| Samsara, Inc., Class A† | | 5,800 | 146,218 |
| SentinelOne, Inc., Class A† | | 536 | 9,037 |
| Smartsheet, Inc., Class A† | | 2,180 | 88,203 |
| Snowflake, Inc., Class A† | | 4,832 | 738,185 |
| Splunk, Inc.† | | 2,655 | 388,294 |
| Take-Two Interactive Software, Inc.† | | 500 | 70,195 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Software (continued) |
Tanium
Class B†(1)(2) | | 1,910 | $ 8,423 |
| Teradata Corp.† | | 1,746 | 78,605 |
| Twilio, Inc., Class A† | | 486 | 28,446 |
| Tyler Technologies, Inc.† | | 1,251 | 483,061 |
| UiPath, Inc., Class A† | | 5,007 | 85,670 |
| Unity Software, Inc.† | | 1,968 | 61,776 |
| Veeva Systems, Inc., Class A† | | 13,961 | 2,840,365 |
| Workday, Inc., Class A† | | 7,020 | 1,508,247 |
| Workiva, Inc.† | | 650 | 65,871 |
| ZoomInfo Technologies, Inc.† | | 24,006 | 393,698 |
| | | | 22,431,026 |
| Telecommunications — 0.2% |
| Iridium Communications, Inc. | | 2,028 | 92,254 |
| Motorola Solutions, Inc. | | 550 | 149,732 |
| Ubiquiti, Inc. | | 61 | 8,863 |
| | | | 250,849 |
| Transportation — 1.3% |
| C.H. Robinson Worldwide, Inc. | | 1,557 | 134,105 |
| Expeditors International of Washington, Inc. | | 907 | 103,969 |
| JB Hunt Transport Services, Inc. | | 602 | 113,489 |
| Landstar System, Inc. | | 920 | 162,785 |
| Old Dominion Freight Line, Inc. | | 3,212 | 1,314,158 |
| Saia, Inc.† | | 51 | 20,331 |
| | | | 1,848,837 |
Total Common Stocks
(cost $136,046,477) | | | 138,599,719 |
| CONVERTIBLE PREFERRED STOCKS — 0.6% |
| Computer Data Security — 0.1% |
Snyk, Ltd.
Series F†(1)(2) | | 7,164 | 72,786 |
| Computer Graphics — 0.0% |
Canva, Inc.
Series A†(1)(2) | | 2 | 2,133 |
| E-Commerce/Services — 0.1% |
Rappi, Inc.
Series E†(1)(2) | | 1,959 | 72,013 |
| Enterprise Software / Services — 0.0% |
Socure, Inc.
Series A†(1)(2) | | 1,118 | 6,138 |
Socure, Inc.
Series A1†(1)(2) | | 918 | 5,040 |
Socure, Inc.
Series B†(1)(2) | | 17 | 93 |
Socure, Inc.
Series E†(1)(2) | | 2,127 | 11,677 |
| | | | 22,948 |
| Internet — 0.0% |
DataRobot, Inc.
Series G†(1)(2) | | 2,952 | 11,247 |
| Software — 0.4% |
Databricks, Inc.
Series F†(1)(2) | | 5,040 | 370,440 |
Databricks, Inc.
Series G†(1)(2) | | 486 | 35,721 |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CONVERTIBLE PREFERRED STOCKS (continued) |
| Software (continued) |
Databricks, Inc.
Series H†(1)(2) | | 1,092 | $ 80,262 |
Tanium, Inc.
Series G†(1)(2) | | 32,619 | 143,850 |
| | | | 630,273 |
Total Convertible Preferred Stocks
(cost $713,654) | | | 811,400 |
| UNAFFILIATED INVESTMENT COMPANIES — 2.9% |
| iShares Russell Midcap Growth Index Fund | | 37,792 | 3,452,299 |
| Vanguard Mid-Cap Growth ETF | | 4,146 | 807,517 |
Total Unaffiliated Investment Companies
(cost $4,367,179) | | | 4,259,816 |
Total Long-Term Investment Securities
(cost $141,127,310) | | | 143,670,935 |
| SHORT-TERM INVESTMENTS — 0.1% |
| Unaffiliated Investment Companies — 0.1% |
State Street Institutional U.S. Government Money Market Fund, Premier Class
5.29%(3) | | 74,809 | 74,809 |
T. Rowe Price Government Reserve Fund
5.40%(3) | | 142 | 142 |
| | | | 74,951 |
| U.S. Government — 0.0% |
| United States Treasury Bills | | | |
| 3.97%, 10/05/2023(4) | | $ 45,000 | 44,980 |
Total Short-Term Investments
(cost $119,931) | | | 119,931 |
| REPURCHASE AGREEMENTS — 0.7% |
| Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $182,409 and collateralized by $201,000 of United States Treasury Notes, bearing interest at 1.63% due 05/15/2026 and having an approximate value of $186,097 | | 182,385 | 182,385 |
| Bank of America Securities LLC Joint Repurchase Agreement(5) | | 170,000 | 170,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(5) | | 195,000 | 195,000 |
| BNP Paribas SA Joint Repurchase Agreement(5) | | 185,000 | 185,000 |
| Deutsche Bank AG Joint Repurchase Agreement(5) | | 170,000 | 170,000 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| RBS Securities, Inc. Joint Repurchase Agreement(5) | | $170,000 | | $ 170,000 |
Total Repurchase Agreements
(cost $1,072,385) | | | | 1,072,385 |
TOTAL INVESTMENTS
(cost $142,319,626)(6) | | 100.0% | | 144,863,251 |
| Other assets less liabilities | | (0.0) | | (54,613) |
| NET ASSETS | | 100.0% | | $144,808,638 |
| † | Non-income producing security |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2023, the Portfolio held the following restricted securities: |
| Description | | Acquisition
Date | | Shares or
Principal
Amount | | Acquisition
Cost | | Value | | Value
Per Share | | % of
Net Assets |
| Common Stocks |
| Canva, Inc. | | | | | | | | | | | | |
| | | 08/16/2021 | | 15 | | $25,563 | | | | | | |
| | | 11/04/2021 | | 26 | | 44,324 | | | | | | |
| | | | | 41 | | 69,887 | | $ 43,733 | | $1,066.66 | | 0.0% |
| Databricks, Inc. | | | | | | | | | | | | |
| | | 07/24/2020 | | 1,404 | | 22,481 | | | | | | |
| | | 08/28/2020 | | 663 | | 10,608 | | | | | | |
| | | | | 2,067 | | 33,089 | | 151,924 | | 73.50 | | 0.1 |
| Magic Leap, Inc., Class A | | 12/28/2015 | | 9 | | 114,566 | | 99 | | 11.04 | | 0.0 |
| Snyk, Ltd. | | 06/25/2021 | | 4,274 | | 61,309 | | 43,424 | | 10.16 | | 0.0 |
| Socure, Inc. | | 12/22/2021 | | 920 | | 14,783 | | 5,051 | | 5.49 | | 0.0 |
Tanium
Class B | | 09/24/2020 | | 1,910 | | 21,765 | | 8,423 | | 4.41 | | 0.0 |
| Convertible Preferred Stocks |
Canva, Inc.
Series A | | 11/04/2021 | | 2 | | 3,410 | | 2,133 | | 1,066.66 | | 0.0 |
Databricks, Inc.
Series F | | 10/22/2019 | | 5,040 | | 72,153 | | 370,440 | | 73.50 | | 0.3 |
Databricks, Inc.
Series G | | 02/01/2021 | | 486 | | 28,734 | | 35,721 | | 73.50 | | 0.0 |
Databricks, Inc.
Series H | | 08/31/2021 | | 1,092 | | 80,245 | | 80,262 | | 73.50 | | 0.0 |
DataRobot, Inc.
Series G | | 06/11/2021 | | 2,952 | | 80,768 | | 11,247 | | 3.81 | | 0.0 |
Rappi, Inc.
Series E | | 09/08/2020 | | 1,959 | | 117,042 | | 72,013 | | 36.76 | | 0.1 |
Snyk, Ltd.
Series F | | 08/26/2015 | | 7,164 | | 102,205 | | 72,786 | | 10.16 | | 0.1 |
Socure, Inc.
Series A | | 12/22/2021 | | 1,118 | | 17,965 | | 6,138 | | 5.49 | | 0.0 |
Socure, Inc.
Series A1 | | 12/22/2021 | | 918 | | 14,751 | | 5,040 | | 5.49 | | 0.0 |
Socure, Inc.
Series B | | 12/22/2021 | | 17 | | 273 | | 93 | | 5.49 | | 0.0 |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Description | | Acquisition
Date | | Shares or
Principal
Amount | | Acquisition
Cost | | Value | | Value
Per Share | | % of
Net Assets |
| Convertible Preferred Stocks (continued) |
Socure, Inc.
Series E | | 10/27/2021 | | 2,127 | | $34,178 | | $ 11,677 | | $ 5.49 | | 0.0% |
Tanium, Inc.
Series G | | 08/26/2015 | | 32,619 | | 161,930 | | 143,850 | | 4.41 | | 0.1 |
| | | | | | | | | $1,064,054 | | | | 0.7%** |
| ** | Amount represents the total value of the restricted securities divided by the net assets of the Portfolio and may not equal the sum of the individual percentages shown due to rounding. |
| (3) | The rate shown is the 7-day yield as of September 30, 2023. |
| (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 |
| ETF—Exchange Traded Fund |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 1 | Long | S&P Mid Cap 400 E-Mini Index | December 2023 | $260,485 | $252,040 | $(8,445) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (see Note 2):
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| Investments at Value:* | | | | | | | |
| Common Stocks: | | | | | | | |
| Computer Data Security | $ — | | $ — | | $ 43,424 | | $ 43,424 |
| Computer Graphics | — | | — | | 43,733 | | 43,733 |
| Enterprise Software / Services | — | | — | | 5,051 | | 5,051 |
| Software | 22,270,580 | | — | | 160,446 | | 22,431,026 |
| Other Industries | 116,076,485 | | — | | — | | 116,076,485 |
| Convertible Preferred Stocks | — | | — | | 811,400 | | 811,400 |
| Unaffiliated Investment Companies | 4,259,816 | | — | | — | | 4,259,816 |
| Short-Term Investments: | | | | | | | |
| U.S. Government | — | | 44,980 | | — | | 44,980 |
| Other Short-Term Investments | 74,951 | | — | | — | | 74,951 |
| Repurchase Agreements | — | | 1,072,385 | | — | | 1,072,385 |
| Total Investments at Value | $142,681,832 | | $1,117,365 | | $1,064,054 | | $144,863,251 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 8,445 | | $ — | | $ — | | $ 8,445 |
| * | 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. |
Seasons Series Trust SA Multi-Managed Mid Cap Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| | Common Stocks | | Convertible
Preferred Securities | | Warrants |
| Balance as of March 31, 2023 | $ 981,923 | | $ 737,377 | | $ 0 |
| Accrued Discounts | — | | — | | — |
| Accrued Premiums | — | | — | | — |
| Realized Gain | 651,329 | | — | | — |
| Realized Loss | — | | (68,787) | | — |
| Change in unrealized appreciation (1) | 49,014 | | 160,629 | | — |
| Change in unrealized depreciation (1) | (613,094) | | (17,819) | | — |
| Net Purchases | — | | — | | — |
| Net Sales | (816,518) | | (0) | | (0) |
| Transfers into Level 3 | — | | — | | — |
| Transfers out of Level 3 | — | | — | | — |
| Balance as of September 30, 2023 | $ 252,654 | | $ 811,400 | | $— |
| (1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2023 includes: |
| | Common Stocks | | Convertible
Preferred Securities | | Warrants |
| | $41,511 | | $74,024 | | $— |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2023.
Level 3 investments in securities were not considered a significant portion of the Portfolio’s net assets.
See Notes to Financial Statements
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| REITS | 7.3% |
| Electric | 6.6 |
| Insurance | 6.3 |
| Banks | 4.2 |
| Oil & Gas | 3.5 |
| Commercial Services | 3.5 |
| Diversified Financial Services | 3.3 |
| Computers | 3.3 |
| Healthcare-Products | 2.9 |
| Healthcare-Services | 2.9 |
| Building Materials | 2.8 |
| Food | 2.8 |
| Retail | 2.7 |
| Semiconductors | 2.6 |
| Oil & Gas Services | 2.6 |
| Chemicals | 2.5 |
| Packaging & Containers | 2.2 |
| Machinery-Diversified | 2.1 |
| Electronics | 2.0 |
| Software | 1.9 |
| Aerospace/Defense | 1.9 |
| Miscellaneous Manufacturing | 1.9 |
| Media | 1.8 |
| Transportation | 1.8 |
| Auto Manufacturers | 1.5 |
| Telecommunications | 1.4 |
| Hand/Machine Tools | 1.4 |
| Pharmaceuticals | 1.4 |
| Short-Term Investments | 1.2 |
| Biotechnology | 1.2 |
| Apparel | 1.2 |
| Airlines | 1.0 |
| Beverages | 0.9 |
| Home Builders | 0.9 |
| Pipelines | 0.9 |
| Mining | 0.8 |
| Unaffiliated Investment Companies | 0.8 |
| Distribution/Wholesale | 0.8 |
| Internet | 0.7 |
| Environmental Control | 0.7 |
| Auto Parts & Equipment | 0.6 |
| Entertainment | 0.6 |
| Food Service | 0.5 |
| Leisure Time | 0.5 |
| Household Products/Wares | 0.5 |
| Lodging | 0.5 |
| Office/Business Equipment | 0.4 |
| Cosmetics/Personal Care | 0.4 |
| Iron/Steel | 0.4 |
| Housewares | 0.3 |
| Toys/Games/Hobbies | 0.3 |
| Agriculture | 0.3 |
| Real Estate | 0.3 |
| Gas | 0.3 |
| Shipbuilding | 0.3 |
| Electrical Components & Equipment | 0.3 |
| Investment Companies | 0.2 |
| Engineering & Construction | 0.2 |
| Private Equity | 0.2 |
| Water | 0.1 |
| Advertising | 0.1 |
| Energy-Alternate Sources | 0.1 |
| Machinery-Construction & Mining | 0.1 |
| Home Furnishings | 0.1 |
| Repurchase Agreements | 0.1 |
| | |
| Metal Fabricate/Hardware | 0.1% |
| Forest Products & Paper | 0.1 |
| | 100.1% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 98.0% |
| Advertising — 0.1% |
| Interpublic Group of Cos., Inc. | | 3,252 | $ 93,202 |
| Omnicom Group, Inc. | | 1,664 | 123,935 |
| | | | 217,137 |
| Aerospace/Defense — 1.9% |
| Curtiss-Wright Corp. | | 322 | 62,993 |
| HEICO Corp. | | 38 | 6,153 |
| HEICO Corp., Class A | | 67 | 8,658 |
| Hexcel Corp. | | 711 | 46,314 |
| Howmet Aerospace, Inc. | | 17,571 | 812,659 |
| L3Harris Technologies, Inc. | | 5,379 | 936,591 |
| Mercury Systems, Inc.† | | 418 | 15,504 |
| Rolls-Royce Holdings PLC† | | 271,802 | 732,561 |
| Spirit AeroSystems Holdings, Inc., Class A | | 32,092 | 517,965 |
| TransDigm Group, Inc.† | | 368 | 310,272 |
| | | | 3,449,670 |
| Agriculture — 0.3% |
| Bunge, Ltd. | | 4,896 | 529,992 |
| Darling Ingredients, Inc.† | | 1,336 | 69,739 |
| | | | 599,731 |
| Airlines — 1.0% |
| Alaska Air Group, Inc.† | | 6,409 | 237,646 |
| American Airlines Group, Inc.† | | 3,446 | 44,143 |
| Delta Air Lines, Inc. | | 14,473 | 535,501 |
| Southwest Airlines Co. | | 30,789 | 833,458 |
| United Airlines Holdings, Inc.† | | 2,756 | 116,579 |
| | | | 1,767,327 |
| Apparel — 1.2% |
| Capri Holdings, Ltd.† | | 963 | 50,663 |
| Carter's, Inc. | | 310 | 21,437 |
| Columbia Sportswear Co. | | 301 | 22,304 |
| PVH Corp. | | 5,322 | 407,186 |
| Ralph Lauren Corp. | | 7,025 | 815,532 |
| Skechers USA, Inc., Class A† | | 9,947 | 486,906 |
| Tapestry, Inc. | | 1,863 | 53,561 |
| Under Armour, Inc., Class A† | | 1,589 | 10,885 |
| Under Armour, Inc., Class C† | | 1,704 | 10,872 |
| VF Corp. | | 13,300 | 235,011 |
| | | | 2,114,357 |
| Auto Manufacturers — 1.5% |
| Cummins, Inc. | | 1,196 | 273,238 |
| General Motors Co. | | 23,235 | 766,058 |
| Lucid Group, Inc.† | | 6,283 | 35,122 |
| PACCAR, Inc. | | 17,063 | 1,450,696 |
| Rivian Automotive, Inc., Class A† | | 5,592 | 135,774 |
| | | | 2,660,888 |
| Auto Parts & Equipment — 0.6% |
| Allison Transmission Holdings, Inc. | | 692 | 40,870 |
| Aptiv PLC† | | 5,360 | 528,442 |
| BorgWarner, Inc. | | 1,967 | 79,408 |
| Gentex Corp. | | 1,976 | 64,299 |
| Lear Corp. | | 3,166 | 424,877 |
| Phinia, Inc. | | 393 | 10,528 |
| QuantumScape Corp.† | | 2,481 | 16,598 |
| | | | 1,165,022 |
| Banks — 4.2% |
| Bank of New York Mellon Corp. | | 6,580 | 280,637 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| Bank OZK | | 910 | $ 33,734 |
| BOK Financial Corp. | | 239 | 19,115 |
| Citizens Financial Group, Inc. | | 3,995 | 107,066 |
| Columbia Banking System, Inc. | | 16,433 | 333,590 |
| Comerica, Inc. | | 1,110 | 46,120 |
| Commerce Bancshares, Inc. | | 964 | 46,253 |
| Cullen/Frost Bankers, Inc. | | 499 | 45,514 |
| East West Bancorp, Inc. | | 5,895 | 310,725 |
| Fifth Third Bancorp | | 45,341 | 1,148,488 |
| First Citizens BancShares, Inc., Class A | | 82 | 113,168 |
| First Hawaiian, Inc. | | 1,072 | 19,350 |
| First Horizon Corp. | | 4,688 | 51,662 |
| FNB Corp. | | 3,015 | 32,532 |
| Huntington Bancshares, Inc. | | 12,133 | 126,183 |
| KeyCorp | | 7,858 | 84,552 |
| M&T Bank Corp. | | 5,892 | 745,043 |
| Northern Trust Corp. | | 7,690 | 534,301 |
| NU Holdings, Ltd.† | | 6,130 | 44,442 |
| Pinnacle Financial Partners, Inc. | | 634 | 42,503 |
| Popular, Inc. | | 13,237 | 834,063 |
| Prosperity Bancshares, Inc. | | 5,775 | 315,199 |
| Regions Financial Corp. | | 30,579 | 525,959 |
| State Street Corp. | | 5,579 | 373,570 |
| Synovus Financial Corp. | | 1,219 | 33,888 |
| Webster Financial Corp. | | 17,590 | 709,053 |
| Western Alliance Bancorp | | 10,012 | 460,252 |
| Wintrust Financial Corp. | | 513 | 38,732 |
| Zions Bancorp NA | | 5,758 | 200,897 |
| | | | 7,656,591 |
| Beverages — 0.9% |
| Boston Beer Co., Inc., Class A† | | 6 | 2,337 |
| Brown-Forman Corp., Class A | | 85 | 4,938 |
| Brown-Forman Corp., Class B | | 319 | 18,403 |
| Coca-Cola Europacific Partners PLC | | 7,382 | 461,227 |
| Constellation Brands, Inc., Class A | | 3,332 | 837,432 |
| Molson Coors Beverage Co., Class B | | 1,474 | 93,732 |
| Monster Beverage Corp.† | | 5,818 | 308,063 |
| | | | 1,726,132 |
| Biotechnology — 1.2% |
| Alnylam Pharmaceuticals, Inc.† | | 206 | 36,483 |
| Biogen, Inc.† | | 2,195 | 564,137 |
| BioMarin Pharmaceutical, Inc.† | | 1,392 | 123,164 |
| Bio-Rad Laboratories, Inc., Class A† | | 177 | 63,446 |
| Certara, Inc.† | | 642 | 9,335 |
| Corteva, Inc. | | 16,940 | 866,650 |
| Exelixis, Inc.† | | 709 | 15,492 |
| Horizon Therapeutics PLC† | | 219 | 25,336 |
| Illumina, Inc.† | | 936 | 128,494 |
| Incyte Corp.† | | 407 | 23,512 |
| Ionis Pharmaceuticals, Inc.† | | 167 | 7,575 |
| Karuna Therapeutics, Inc.† | | 32 | 5,411 |
| Maravai LifeSciences Holdings, Inc., Class A† | | 7,558 | 75,580 |
| Mirati Therapeutics, Inc.† | | 385 | 16,771 |
| Roivant Sciences, Ltd.† | | 158 | 1,845 |
| Royalty Pharma PLC, Class A | | 3,132 | 85,003 |
| United Therapeutics Corp.† | | 381 | 86,056 |
| | | | 2,134,290 |
| Building Materials — 2.8% |
| Armstrong World Industries, Inc. | | 3,017 | 217,224 |
| AZEK Co., Inc.† | | 1,112 | 33,071 |
| Builders FirstSource, Inc.† | | 1,074 | 133,702 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Building Materials (continued) |
| Carrier Global Corp. | | 7,030 | $ 388,056 |
| Eagle Materials, Inc. | | 101 | 16,819 |
| Fortune Brands Innovations, Inc. | | 5,783 | 359,471 |
| Hayward Holdings, Inc.† | | 1,119 | 15,778 |
| Johnson Controls International PLC | | 11,335 | 603,135 |
| Lennox International, Inc. | | 270 | 101,099 |
| Louisiana-Pacific Corp. | | 542 | 29,956 |
| Martin Marietta Materials, Inc. | | 521 | 213,860 |
| Masco Corp. | | 12,457 | 665,827 |
| MDU Resources Group, Inc. | | 1,704 | 33,364 |
| Mohawk Industries, Inc.† | | 446 | 38,271 |
| Owens Corning | | 757 | 103,263 |
| Summit Materials, Inc., Class A† | | 15,836 | 493,133 |
| Trane Technologies PLC | | 3,348 | 679,343 |
| Vulcan Materials Co. | | 5,137 | 1,037,777 |
| | | | 5,163,149 |
| Chemicals — 2.5% |
| Albemarle Corp. | | 988 | 168,000 |
| Ashland, Inc. | | 5,336 | 435,845 |
| Axalta Coating Systems, Ltd.† | | 12,369 | 332,726 |
| Celanese Corp. | | 834 | 104,684 |
| CF Industries Holdings, Inc. | | 1,649 | 141,385 |
| Chemours Co. | | 1,253 | 35,147 |
| Dow, Inc. | | 6,202 | 319,775 |
| DuPont de Nemours, Inc. | | 12,463 | 929,615 |
| Eastman Chemical Co. | | 8,058 | 618,210 |
| Element Solutions, Inc. | | 1,882 | 36,906 |
| FMC Corp. | | 3,096 | 207,339 |
| Huntsman Corp. | | 1,426 | 34,794 |
| International Flavors & Fragrances, Inc. | | 7,431 | 506,571 |
| LyondellBasell Industries NV, Class A | | 2,183 | 206,730 |
| Mosaic Co. | | 2,791 | 99,360 |
| NewMarket Corp. | | 53 | 24,117 |
| Olin Corp. | | 1,089 | 54,428 |
| PPG Industries, Inc. | | 1,483 | 192,493 |
| RPM International, Inc. | | 868 | 82,295 |
| Valvoline, Inc. | | 1,030 | 33,207 |
| Westlake Corp. | | 273 | 34,035 |
| | | | 4,597,662 |
| Commercial Services — 3.5% |
| ADT, Inc. | | 1,772 | 10,632 |
| Affirm Holdings, Inc.† | | 1,834 | 39,009 |
| Ashtead Group PLC | | 6,493 | 396,264 |
| Avis Budget Group, Inc.† | | 843 | 151,479 |
| Block, Inc.† | | 2,873 | 127,159 |
| Bright Horizons Family Solutions, Inc.† | | 8,290 | 675,304 |
| Cintas Corp. | | 80 | 38,481 |
| Clarivate PLC† | | 3,969 | 26,632 |
| CoStar Group, Inc.† | | 1,944 | 149,474 |
| Driven Brands Holdings, Inc.† | | 524 | 6,597 |
| Dun & Bradstreet Holdings, Inc. | | 21,772 | 217,502 |
| Equifax, Inc. | | 317 | 58,068 |
| Euronet Worldwide, Inc.† | | 200 | 15,876 |
| FleetCor Technologies, Inc.† | | 3,926 | 1,002,465 |
| FTI Consulting, Inc.† | | 229 | 40,856 |
| Global Payments, Inc. | | 13,220 | 1,525,456 |
| Grand Canyon Education, Inc.† | | 184 | 21,506 |
| H&R Block, Inc. | | 451 | 19,420 |
| Hertz Global Holdings, Inc.† | | 1,134 | 13,892 |
| ManpowerGroup, Inc. | | 425 | 31,161 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial Services (continued) |
| Mister Car Wash, Inc.† | | 631 | $ 3,477 |
| Morningstar, Inc. | | 1,760 | 412,262 |
| Quanta Services, Inc. | | 3,577 | 669,149 |
| R1 RCM, Inc.† | | 1,289 | 19,425 |
| RB Global, Inc. | | 360 | 22,500 |
| Robert Half, Inc. | | 887 | 64,999 |
| SEACOR Marine Holdings, Inc.† | | 14,386 | 199,678 |
| Service Corp. International | | 788 | 45,026 |
| TransUnion | | 1,629 | 116,946 |
| U-Haul Holding Co. † | | 40 | 2,183 |
| U-Haul Holding Co. (Non-Voting) | | 521 | 27,295 |
| United Rentals, Inc. | | 460 | 204,502 |
| WEX, Inc.† | | 195 | 36,678 |
| WillScot Mobile Mini Holdings Corp.† | | 1,241 | 51,613 |
| | | | 6,442,966 |
| Computers — 3.3% |
| Amdocs, Ltd. | | 4,557 | 385,021 |
| CACI International, Inc., Class A† | | 190 | 59,647 |
| Check Point Software Technologies, Ltd.† | | 1,907 | 254,165 |
| Cognizant Technology Solutions Corp., Class A | | 4,286 | 290,334 |
| Crane NXT Co. | | 406 | 22,561 |
| DXC Technology Co.† | | 1,773 | 36,931 |
| Genpact, Ltd. | | 1,135 | 41,087 |
| Hewlett Packard Enterprise Co. | | 10,912 | 189,541 |
| HP, Inc. | | 5,803 | 149,137 |
| KBR, Inc. | | 14,020 | 826,339 |
| Kyndryl Holdings, Inc.† | | 1,915 | 28,916 |
| Leidos Holdings, Inc. | | 8,500 | 783,360 |
| Lumentum Holdings, Inc.† | | 576 | 26,024 |
| NCR Corp.† | | 1,076 | 29,020 |
| NetApp, Inc. | | 1,070 | 81,192 |
| Pure Storage, Inc., Class A† | | 14,085 | 501,708 |
| Science Applications International Corp. | | 453 | 47,810 |
| Seagate Technology Holdings PLC | | 4,175 | 275,341 |
| Western Digital Corp.† | | 44,549 | 2,032,771 |
| | | | 6,060,905 |
| Cosmetics/Personal Care — 0.4% |
| Coty, Inc., Class A† | | 3,038 | 33,327 |
| Kenvue, Inc. | | 36,138 | 725,651 |
| Olaplex Holdings, Inc.† | | 1,099 | 2,143 |
| | | | 761,121 |
| Distribution/Wholesale — 0.8% |
| Core & Main, Inc., Class A† | | 910 | 26,253 |
| Fastenal Co. | | 1,209 | 66,060 |
| Ferguson PLC | | 1,647 | 270,882 |
| LKQ Corp. | | 17,470 | 864,940 |
| SiteOne Landscape Supply, Inc.† | | 254 | 41,516 |
| Watsco, Inc. | | 210 | 79,321 |
| WESCO International, Inc. | | 373 | 53,645 |
| | | | 1,402,617 |
| Diversified Financial Services — 3.3% |
| Affiliated Managers Group, Inc. | | 301 | 39,232 |
| Air Lease Corp. | | 872 | 34,366 |
| Ally Financial, Inc. | | 2,282 | 60,884 |
| Apollo Global Management, Inc. | | 7,969 | 715,297 |
| Blue Owl Capital, Inc. | | 3,207 | 41,563 |
| Cboe Global Markets, Inc. | | 3,318 | 518,305 |
| Coinbase Global, Inc., Class A† | | 1,406 | 105,563 |
| Credit Acceptance Corp.† | | 54 | 24,846 |
| Discover Financial Services | | 2,105 | 182,356 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Diversified Financial Services (continued) |
| Evercore, Inc., Class A | | 3,829 | $ 527,943 |
| Franklin Resources, Inc. | | 2,400 | 58,992 |
| Houlihan Lokey, Inc. | | 395 | 42,312 |
| Interactive Brokers Group, Inc., Class A | | 852 | 73,749 |
| Invesco, Ltd. | | 17,130 | 248,728 |
| Janus Henderson Group PLC | | 1,129 | 29,151 |
| Jefferies Financial Group, Inc. | | 1,604 | 58,755 |
| Lazard, Ltd., Class A | | 923 | 28,622 |
| Nasdaq, Inc. | | 2,881 | 139,988 |
| OneMain Holdings, Inc. | | 13,102 | 525,259 |
| Raymond James Financial, Inc. | | 8,191 | 822,622 |
| Rocket Cos., Inc., Class A† | | 677 | 5,538 |
| SEI Investments Co. | | 858 | 51,677 |
| SLM Corp. | | 28,819 | 392,515 |
| SoFi Technologies, Inc.† | | 7,736 | 61,811 |
| Stifel Financial Corp. | | 866 | 53,207 |
| Synchrony Financial | | 3,512 | 107,362 |
| T. Rowe Price Group, Inc. | | 1,861 | 195,163 |
| TPG, Inc. | | 8,751 | 263,580 |
| Tradeweb Markets, Inc., Class A | | 632 | 50,686 |
| UWM Holdings Corp. | | 502 | 2,435 |
| Virtu Financial, Inc., Class A | | 753 | 13,004 |
| Voya Financial, Inc. | | 8,514 | 565,755 |
| Western Union Co. | | 2,691 | 35,467 |
| XP, Inc., Class A | | 2,569 | 59,215 |
| | | | 6,135,948 |
| Electric — 6.6% |
| AES Corp. | | 27,176 | 413,075 |
| Alliant Energy Corp. | | 2,119 | 102,665 |
| Ameren Corp. | | 12,205 | 913,300 |
| Avangrid, Inc. | | 599 | 18,072 |
| Brookfield Renewable Corp., Class A | | 1,123 | 26,885 |
| CenterPoint Energy, Inc. | | 39,084 | 1,049,405 |
| Clearway Energy, Inc., Class A | | 292 | 5,817 |
| Clearway Energy, Inc., Class C | | 691 | 14,622 |
| CMS Energy Corp. | | 10,942 | 581,130 |
| Consolidated Edison, Inc. | | 2,928 | 250,432 |
| Constellation Energy Corp. | | 8,511 | 928,380 |
| DTE Energy Co. | | 1,738 | 172,549 |
| Edison International | | 8,662 | 548,218 |
| Entergy Corp. | | 1,786 | 165,205 |
| Evergy, Inc. | | 12,284 | 622,799 |
| Eversource Energy | | 8,477 | 492,937 |
| FirstEnergy Corp. | | 35,972 | 1,229,523 |
| Hawaiian Electric Industries, Inc. | | 924 | 11,374 |
| IDACORP, Inc. | | 426 | 39,895 |
| NRG Energy, Inc. | | 1,946 | 74,960 |
| OGE Energy Corp. | | 1,686 | 56,194 |
| PG&E Corp.† | | 116,665 | 1,881,806 |
| Pinnacle West Capital Corp. | | 7,410 | 545,969 |
| PPL Corp. | | 6,227 | 146,708 |
| Public Service Enterprise Group, Inc. | | 13,821 | 786,553 |
| Sempra | | 6,837 | 465,121 |
| Vistra Corp. | | 2,205 | 73,162 |
| WEC Energy Group, Inc. | | 2,663 | 214,505 |
| Xcel Energy, Inc. | | 4,649 | 266,016 |
| | | | 12,097,277 |
| Electrical Components & Equipment — 0.3% |
| Acuity Brands, Inc. | | 263 | 44,792 |
| AMETEK, Inc. | | 1,941 | 286,802 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electrical Components & Equipment (continued) |
| Generac Holdings, Inc.† | | 513 | $ 55,896 |
| Littelfuse, Inc. | | 204 | 50,453 |
| Universal Display Corp. | | 216 | 33,910 |
| | | | 471,853 |
| Electronics — 2.0% |
| Agilent Technologies, Inc. | | 3,206 | 358,495 |
| Allegion PLC | | 56 | 5,835 |
| Amphenol Corp., Class A | | 2,445 | 205,356 |
| Arrow Electronics, Inc.† | | 483 | 60,491 |
| Avnet, Inc. | | 766 | 36,914 |
| Coherent Corp.† | | 1,005 | 32,803 |
| Flex, Ltd.† | | 22,878 | 617,249 |
| Fortive Corp. | | 2,984 | 221,293 |
| Garmin, Ltd. | | 1,296 | 136,339 |
| Hubbell, Inc. | | 246 | 77,099 |
| Jabil, Inc. | | 400 | 50,756 |
| Keysight Technologies, Inc.† | | 1,114 | 147,393 |
| National Instruments Corp. | | 241 | 14,368 |
| nVent Electric PLC | | 1,387 | 73,497 |
| Sensata Technologies Holding PLC | | 10,410 | 393,706 |
| TD SYNNEX Corp. | | 350 | 34,951 |
| TE Connectivity, Ltd. | | 7,331 | 905,598 |
| Trimble, Inc.† | | 2,078 | 111,921 |
| Vontier Corp. | | 869 | 26,870 |
| Woodward, Inc. | | 499 | 62,006 |
| | | | 3,572,940 |
| Energy-Alternate Sources — 0.1% |
| First Solar, Inc.† | | 898 | 145,108 |
| Plug Power, Inc.† | | 4,434 | 33,698 |
| Sunrun, Inc.† | | 1,779 | 22,344 |
| | | | 201,150 |
| Engineering & Construction — 0.2% |
| AECOM | | 1,104 | 91,676 |
| EMCOR Group, Inc. | | 259 | 54,491 |
| Jacobs Solutions, Inc. | | 1,061 | 144,827 |
| MasTec, Inc.† | | 524 | 37,712 |
| TopBuild Corp.† | | 250 | 62,900 |
| | | | 391,606 |
| Entertainment — 0.6% |
| AMC Entertainment Holdings, Inc., Class A† | | 496 | 3,963 |
| Caesars Entertainment, Inc.† | | 1,025 | 47,509 |
| International Game Technology PLC | | 14,398 | 436,547 |
| Liberty Media Corp.-Liberty Live, Class A† | | 165 | 5,267 |
| Liberty Media Corp.-Liberty Live, Class C† | | 394 | 12,647 |
| Live Nation Entertainment, Inc.† | | 1,022 | 84,867 |
| Madison Square Garden Entertainment Corp.† | | 5,813 | 191,306 |
| Madison Square Garden Sports Corp. | | 157 | 27,679 |
| Marriott Vacations Worldwide Corp. | | 308 | 30,994 |
| Penn Entertainment, Inc.† | | 1,292 | 29,651 |
| Sphere Entertainment Co.† | | 4,928 | 183,125 |
| Vail Resorts, Inc. | | 291 | 64,570 |
| | | | 1,118,125 |
| Environmental Control — 0.7% |
| Clean Harbors, Inc.† | | 427 | 71,463 |
| GFL Environmental, Inc. | | 10,561 | 335,417 |
| Pentair PLC | | 1,384 | 89,614 |
| Republic Services, Inc. | | 4,393 | 626,046 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Environmental Control (continued) |
| Stericycle, Inc.† | | 776 | $ 34,695 |
| Tetra Tech, Inc. | | 366 | 55,643 |
| | | | 1,212,878 |
| Food — 2.8% |
| Albertsons Cos., Inc., Class A | | 20,741 | 471,858 |
| Campbell Soup Co. | | 1,613 | 66,262 |
| Conagra Brands, Inc. | | 4,013 | 110,036 |
| Flowers Foods, Inc. | | 34,221 | 759,022 |
| Grocery Outlet Holding Corp.† | | 800 | 23,080 |
| Hormel Foods Corp. | | 2,442 | 92,869 |
| Ingredion, Inc. | | 6,540 | 643,536 |
| J.M. Smucker Co. | | 3,326 | 408,799 |
| Kellanova | | 2,192 | 130,446 |
| Kroger Co. | | 5,506 | 246,393 |
| Lamb Weston Holdings, Inc. | | 69 | 6,380 |
| McCormick & Co., Inc. | | 2,120 | 160,357 |
| Performance Food Group Co.† | | 685 | 40,319 |
| Pilgrim's Pride Corp.† | | 346 | 7,899 |
| Post Holdings, Inc.† | | 451 | 38,669 |
| Seaboard Corp. | | 2 | 7,506 |
| Sysco Corp. | | 8,879 | 586,458 |
| Tyson Foods, Inc., Class A | | 16,618 | 839,043 |
| US Foods Holding Corp.† | | 11,460 | 454,962 |
| | | | 5,093,894 |
| Food Service — 0.5% |
| Aramark | | 14,882 | 516,406 |
| Compass Group PLC | | 19,916 | 485,990 |
| | | | 1,002,396 |
| Forest Products & Paper — 0.1% |
| International Paper Co. | | 2,921 | 103,608 |
| Gas — 0.3% |
| Atmos Energy Corp. | | 3,485 | 369,166 |
| National Fuel Gas Co. | | 749 | 38,881 |
| NiSource, Inc. | | 3,487 | 86,059 |
| UGI Corp. | | 1,762 | 40,526 |
| | | | 534,632 |
| Hand/Machine Tools — 1.4% |
| Lincoln Electric Holdings, Inc. | | 31 | 5,635 |
| MSA Safety, Inc. | | 258 | 40,674 |
| Regal Rexnord Corp. | | 4,326 | 618,099 |
| Snap-on, Inc. | | 439 | 111,971 |
| Stanley Black & Decker, Inc. | | 21,731 | 1,816,277 |
| | | | 2,592,656 |
| Healthcare-Products — 2.9% |
| Avantor, Inc.† | | 5,691 | 119,966 |
| Azenta, Inc.† | | 542 | 27,203 |
| Baxter International, Inc. | | 23,932 | 903,194 |
| Bio-Techne Corp. | | 75 | 5,105 |
| Cooper Cos., Inc. | | 410 | 130,384 |
| DENTSPLY SIRONA, Inc. | | 15,161 | 517,900 |
| Enovis Corp.† | | 442 | 23,307 |
| Envista Holdings Corp.† | | 1,381 | 38,502 |
| Exact Sciences Corp.† | | 983 | 67,060 |
| Globus Medical, Inc., Class A† | | 716 | 35,549 |
| Hologic, Inc.† | | 2,050 | 142,270 |
| ICU Medical, Inc.† | | 170 | 20,232 |
| Integra LifeSciences Holdings Corp.† | | 602 | 22,990 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Healthcare-Products (continued) |
| Koninklijke Philips NV† | | 19,473 | $ 390,469 |
| QIAGEN NV† | | 1,918 | 77,679 |
| QuidelOrtho Corp.† | | ��450 | 32,868 |
| Repligen Corp.† | | 261 | 41,502 |
| Revvity, Inc. | | 3,620 | 400,734 |
| STERIS PLC | | 2,661 | 583,877 |
| Tandem Diabetes Care, Inc.† | | 470 | 9,762 |
| Teleflex, Inc. | | 3,308 | 649,724 |
| Zimmer Biomet Holdings, Inc. | | 9,578 | 1,074,843 |
| | | | 5,315,120 |
| Healthcare-Services — 2.9% |
| Acadia Healthcare Co., Inc.† | | 756 | 53,154 |
| agilon health, Inc.† | | 8,065 | 143,234 |
| Amedisys, Inc.† | | 270 | 25,218 |
| Catalent, Inc.† | | 12,117 | 551,687 |
| Centene Corp.† | | 6,178 | 425,541 |
| Charles River Laboratories International, Inc.† | | 4,120 | 807,438 |
| Chemed Corp. | | 35 | 18,190 |
| Encompass Health Corp. | | 776 | 52,116 |
| Fortrea Holdings, Inc.† | | 746 | 21,328 |
| Ginkgo Bioworks Holdings, Inc.† | | 11,768 | 21,300 |
| ICON PLC† | | 2,264 | 557,510 |
| IQVIA Holdings, Inc.† | | 114 | 22,429 |
| Laboratory Corp. of America Holdings | | 2,362 | 474,880 |
| Molina Healthcare, Inc.† | | 222 | 72,792 |
| Quest Diagnostics, Inc. | | 945 | 115,158 |
| Select Medical Holdings Corp. | | 48,304 | 1,220,642 |
| Sotera Health Co.† | | 247 | 3,700 |
| Teladoc Health, Inc.† | | 1,374 | 25,543 |
| Tenet Healthcare Corp.† | | 851 | 56,072 |
| Universal Health Services, Inc., Class B | | 4,791 | 602,372 |
| | | | 5,270,304 |
| Home Builders — 0.9% |
| D.R. Horton, Inc. | | 2,626 | 282,216 |
| Lennar Corp., Class A | | 2,099 | 235,571 |
| Lennar Corp., Class B | | 113 | 11,552 |
| NVR, Inc.† | | 23 | 137,156 |
| PulteGroup, Inc. | | 1,839 | 136,178 |
| Thor Industries, Inc. | | 432 | 41,096 |
| Toll Brothers, Inc. | | 11,389 | 842,330 |
| | | | 1,686,099 |
| Home Furnishings — 0.1% |
| Dolby Laboratories, Inc., Class A | | 499 | 39,551 |
| Leggett & Platt, Inc. | | 1,117 | 28,383 |
| Tempur Sealy International, Inc. | | 1,121 | 48,584 |
| Whirlpool Corp. | | 451 | 60,299 |
| | | | 176,817 |
| Household Products/Wares — 0.5% |
| Avery Dennison Corp. | | 2,818 | 514,764 |
| Church & Dwight Co., Inc. | | 214 | 19,609 |
| Henkel AG & Co. KGaA (Preference Shares) | | 3,851 | 274,661 |
| Reynolds Consumer Products, Inc. | | 458 | 11,738 |
| Spectrum Brands Holdings, Inc. | | 339 | 26,561 |
| | | | 847,333 |
| Housewares — 0.3% |
| Newell Brands, Inc. | | 32,577 | 294,170 |
| Scotts Miracle-Gro Co. | | 6,232 | 322,070 |
| | | | 616,240 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Insurance — 6.3% |
| Aflac, Inc. | | 5,079 | $ 389,813 |
| Allstate Corp. | | 6,113 | 681,049 |
| American Financial Group, Inc. | | 614 | 68,565 |
| Arch Capital Group, Ltd.† | | 2,592 | 206,608 |
| Arthur J. Gallagher & Co. | | 5,511 | 1,256,122 |
| Assurant, Inc. | | 8,201 | 1,177,500 |
| Assured Guaranty, Ltd. | | 479 | 28,989 |
| Axis Capital Holdings, Ltd. | | 655 | 36,922 |
| Brighthouse Financial, Inc.† | | 505 | 24,715 |
| Brown & Brown, Inc. | | 1,220 | 85,205 |
| Cincinnati Financial Corp. | | 4,067 | 416,014 |
| CNA Financial Corp. | | 219 | 8,618 |
| Corebridge Financial, Inc. | | 1,247 | 24,628 |
| Equitable Holdings, Inc. | | 21,843 | 620,123 |
| Everest Group, Ltd. | | 1,636 | 608,052 |
| Fidelity National Financial, Inc. | | 2,188 | 90,364 |
| First American Financial Corp. | | 845 | 47,734 |
| Globe Life, Inc. | | 741 | 80,569 |
| Hanover Insurance Group, Inc. | | 3,681 | 408,517 |
| Hartford Financial Services Group, Inc. | | 19,221 | 1,362,961 |
| Jackson Financial, Inc., Class A | | 19,539 | 746,781 |
| Kemper Corp. | | 12,956 | 544,541 |
| Lincoln National Corp. | | 1,292 | 31,900 |
| Loews Corp. | | 1,559 | 98,700 |
| Markel Group, Inc.† | | 111 | 163,446 |
| MGIC Investment Corp. | | 2,400 | 40,056 |
| Old Republic International Corp. | | 2,265 | 61,019 |
| Primerica, Inc. | | 107 | 20,759 |
| Principal Financial Group, Inc. | | 2,039 | 146,951 |
| Prudential Financial, Inc. | | 3,097 | 293,874 |
| Reinsurance Group of America, Inc. | | 561 | 81,452 |
| RenaissanceRe Holdings, Ltd. | | 3,562 | 704,991 |
| RLI Corp. | | 264 | 35,875 |
| Unum Group | | 1,657 | 81,508 |
| W.R. Berkley Corp. | | 1,708 | 108,441 |
| White Mountains Insurance Group, Ltd. | | 21 | 31,410 |
| Willis Towers Watson PLC | | 3,365 | 703,150 |
| | | | 11,517,922 |
| Internet — 0.7% |
| CDW Corp. | | 66 | 13,316 |
| DoorDash, Inc., Class A† | | 552 | 43,867 |
| eBay, Inc. | | 4,230 | 186,501 |
| Etsy, Inc.† | | 454 | 29,319 |
| Expedia Group, Inc.† | | 325 | 33,498 |
| F5, Inc.† | | 508 | 81,859 |
| Gen Digital, Inc. | | 3,943 | 69,712 |
| GoDaddy, Inc., Class A† | | 512 | 38,134 |
| IAC, Inc.† | | 625 | 31,494 |
| Match Group, Inc.† | | 233 | 9,128 |
| Okta, Inc.† | | 1,186 | 96,671 |
| Open Lending Corp.† | | 31,443 | 230,163 |
| Robinhood Markets, Inc., Class A† | | 5,598 | 54,916 |
| Roku, Inc.† | | 910 | 64,237 |
| TripAdvisor, Inc.† | | 936 | 15,519 |
| VeriSign, Inc.† | | 723 | 146,429 |
| Wayfair, Inc., Class A† | | 451 | 27,317 |
| Zillow Group, Inc., Class A† | | 466 | 20,872 |
| Zillow Group, Inc., Class C† | | 1,303 | 60,147 |
| | | | 1,253,099 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Investment Companies — 0.2% |
| Main Street Capital Corp. | | 9,968 | $ 405,000 |
| Iron/Steel — 0.4% |
| Cleveland-Cliffs, Inc.† | | 4,286 | 66,990 |
| Nucor Corp. | | 2,124 | 332,088 |
| Reliance Steel & Aluminum Co. | | 493 | 129,279 |
| Steel Dynamics, Inc. | | 1,355 | 145,283 |
| United States Steel Corp. | | 1,868 | 60,673 |
| | | | 734,313 |
| Leisure Time — 0.5% |
| Brunswick Corp. | | 7,161 | 565,719 |
| Carnival Corp.† | | 8,384 | 115,029 |
| Harley-Davidson, Inc. | | 1,105 | 36,531 |
| Norwegian Cruise Line Holdings, Ltd.† | | 2,706 | 44,595 |
| Planet Fitness, Inc., Class A† | | 376 | 18,492 |
| Polaris, Inc. | | 415 | 43,218 |
| Royal Caribbean Cruises, Ltd.† | | 1,380 | 127,153 |
| | | | 950,737 |
| Lodging — 0.5% |
| Boyd Gaming Corp. | | 620 | 37,715 |
| Hilton Worldwide Holdings, Inc. | | 1,176 | 176,612 |
| Hyatt Hotels Corp., Class A | | 3,638 | 385,919 |
| MGM Resorts International | | 2,468 | 90,724 |
| Travel & Leisure Co. | | 332 | 12,194 |
| Wyndham Hotels & Resorts, Inc. | | 659 | 45,827 |
| Wynn Resorts, Ltd. | | 823 | 76,053 |
| | | | 825,044 |
| Machinery-Construction & Mining — 0.1% |
| BWX Technologies, Inc. | | 638 | 47,837 |
| Oshkosh Corp. | | 550 | 52,487 |
| Vertiv Holdings Co. | | 2,684 | 99,845 |
| | | | 200,169 |
| Machinery-Diversified — 2.1% |
| AGCO Corp. | | 528 | 62,452 |
| CNH Industrial NV | | 8,244 | 99,752 |
| Cognex Corp. | | 1,457 | 61,835 |
| Crane Co. | | 405 | 35,980 |
| Dover Corp. | | 1,177 | 164,203 |
| Esab Corp. | | 7,231 | 507,761 |
| Flowserve Corp. | | 1,103 | 43,866 |
| Gates Industrial Corp. PLC† | | 892 | 10,356 |
| Graco, Inc. | | 833 | 60,709 |
| IDEX Corp. | | 586 | 121,900 |
| Ingersoll Rand, Inc. | | 11,686 | 744,632 |
| Middleby Corp.† | | 4,416 | 565,248 |
| Nordson Corp. | | 482 | 107,568 |
| Otis Worldwide Corp. | | 3,282 | 263,578 |
| Westinghouse Air Brake Technologies Corp. | | 8,122 | 863,125 |
| Xylem, Inc. | | 1,763 | 160,486 |
| | | | 3,873,451 |
| Media — 1.8% |
| Cable One, Inc. | | 44 | 27,088 |
| DISH Network Corp., Class A† | | 17,848 | 104,589 |
| Fox Corp., Class A | | 2,236 | 69,763 |
| Fox Corp., Class B | | 1,133 | 32,721 |
| Liberty Broadband Corp., Class A† | | 110 | 10,000 |
| Liberty Broadband Corp., Class C† | | 4,881 | 445,733 |
| Liberty Media Corp.-Liberty Formula One, Class A† | | 201 | 11,365 |
| Liberty Media Corp.-Liberty Formula One, Class C† | | 1,636 | 101,923 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Media (continued) |
| Liberty Media Corp.-Liberty SiriusXM† | | 1,295 | $ 32,971 |
| Liberty Media Corp.-Liberty SiriusXM, Class A† | | 626 | 15,932 |
| New York Times Co., Class A | | 1,362 | 56,114 |
| News Corp., Class A | | 65,910 | 1,322,155 |
| News Corp., Class B | | 7,325 | 152,873 |
| Nexstar Media Group, Inc. | | 190 | 27,240 |
| Paramount Global, Class A | | 77 | 1,216 |
| Paramount Global, Class B | | 22,457 | 289,695 |
| Scholastic Corp. | | 10,065 | 383,879 |
| Sirius XM Holdings, Inc. | | 5,433 | 24,557 |
| Warner Bros. Discovery, Inc.† | | 18,590 | 201,887 |
| | | | 3,311,701 |
| Metal Fabricate/Hardware — 0.1% |
| RBC Bearings, Inc.† | | 238 | 55,723 |
| Timken Co. | | 527 | 38,729 |
| Valmont Industries, Inc. | | 163 | 39,154 |
| | | | 133,606 |
| Mining — 0.8% |
| Alcoa Corp. | | 1,499 | 43,561 |
| Cameco Corp. | | 13,511 | 535,576 |
| Franco-Nevada Corp. | | 3,752 | 500,902 |
| Freeport-McMoRan, Inc. | | 7,117 | 265,393 |
| MP Materials Corp.† | | 877 | 16,751 |
| Royal Gold, Inc. | | 553 | 58,800 |
| SSR Mining, Inc. | | 1,739 | 23,111 |
| | | | 1,444,094 |
| Miscellaneous Manufacturing — 1.9% |
| A.O. Smith Corp. | | 924 | 61,104 |
| Alstom SA | | 16,709 | 399,242 |
| Carlisle Cos., Inc. | | 419 | 108,630 |
| Donaldson Co., Inc. | | 597 | 35,605 |
| Eaton Corp. PLC | | 3,048 | 650,077 |
| ITT, Inc. | | 5,283 | 517,259 |
| Parker-Hannifin Corp. | | 1,078 | 419,903 |
| Teledyne Technologies, Inc.† | | 393 | 160,572 |
| Textron, Inc. | | 14,022 | 1,095,679 |
| | | | 3,448,071 |
| Office/Business Equipment — 0.4% |
| Zebra Technologies Corp., Class A† | | 3,282 | 776,291 |
| Oil & Gas — 3.5% |
| Antero Resources Corp.† | | 2,385 | 60,531 |
| APA Corp. | | 298 | 12,248 |
| Chesapeake Energy Corp. | | 6,484 | 559,115 |
| Coterra Energy, Inc. | | 6,298 | 170,361 |
| Devon Energy Corp. | | 14,896 | 710,539 |
| Diamondback Energy, Inc. | | 5,471 | 847,349 |
| EQT Corp. | | 3,041 | 123,404 |
| Hess Corp. | | 8,828 | 1,350,684 |
| HF Sinclair Corp. | | 1,191 | 67,804 |
| Marathon Oil Corp. | | 5,243 | 140,250 |
| Ovintiv, Inc. | | 1,206 | 57,370 |
| Phillips 66 | | 3,889 | 467,263 |
| Pioneer Natural Resources Co. | | 2,677 | 614,505 |
| Range Resources Corp. | | 1,974 | 63,977 |
| Southwestern Energy Co.† | | 9,251 | 59,669 |
| Suncor Energy, Inc. | | 18,615 | 639,984 |
| Valero Energy Corp. | | 3,772 | 534,530 |
| | | | 6,479,583 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas Services — 2.6% |
| Baker Hughes Co. | | 22,921 | $ 809,570 |
| Expro Group Holdings NV† | | 18,749 | 435,539 |
| Halliburton Co. | | 16,497 | 668,129 |
| NOV, Inc. | | 3,308 | 69,137 |
| TechnipFMC PLC | | 79,408 | 1,615,159 |
| Tidewater, Inc.† | | 15,949 | 1,133,495 |
| | | | 4,731,029 |
| Packaging & Containers — 2.2% |
| Amcor PLC | | 12,483 | 114,344 |
| AptarGroup, Inc. | | 552 | 69,022 |
| Ardagh Group SA† | | 205 | 1,604 |
| Ardagh Metal Packaging SA | | 85 | 266 |
| Ball Corp. | | 13,933 | 693,585 |
| Berry Global Group, Inc. | | 9,145 | 566,167 |
| Crown Holdings, Inc. | | 5,248 | 464,343 |
| Graphic Packaging Holding Co. | | 22,726 | 506,335 |
| Packaging Corp. of America | | 746 | 114,548 |
| Sealed Air Corp. | | 542 | 17,810 |
| Silgan Holdings, Inc. | | 704 | 30,350 |
| Sonoco Products Co. | | 824 | 44,785 |
| WestRock Co. | | 40,324 | 1,443,599 |
| | | | 4,066,758 |
| Pharmaceuticals — 1.4% |
| Cardinal Health, Inc. | | 5,613 | 487,321 |
| Cencora, Inc. | | 3,982 | 716,640 |
| Elanco Animal Health, Inc.† | | 31,468 | 353,700 |
| Henry Schein, Inc.† | | 1,099 | 81,601 |
| Jazz Pharmaceuticals PLC† | | 248 | 32,101 |
| Organon & Co. | | 15,044 | 261,164 |
| Perrigo Co. PLC | | 1,138 | 36,359 |
| Premier, Inc., Class A | | 1,000 | 21,500 |
| Viatris, Inc. | | 49,360 | 486,690 |
| | | | 2,477,076 |
| Pipelines — 0.9% |
| Antero Midstream Corp. | | 1,904 | 22,810 |
| DT Midstream, Inc. | | 818 | 43,289 |
| ONEOK, Inc. | | 3,564 | 226,064 |
| Plains GP Holdings LP, Class A | | 29,092 | 468,963 |
| Targa Resources Corp. | | 6,614 | 566,952 |
| Williams Cos., Inc. | | 10,277 | 346,232 |
| | | | 1,674,310 |
| Private Equity — 0.2% |
| Carlyle Group, Inc. | | 1,779 | 53,655 |
| KKR & Co., Inc. | | 4,109 | 253,114 |
| | | | 306,769 |
| Real Estate — 0.3% |
| CBRE Group, Inc., Class A† | | ���2,614 | 193,070 |
| Howard Hughes Holdings, Inc.† | | 284 | 21,053 |
| Jones Lang LaSalle, Inc.† | | 2,405 | 339,538 |
| | | | 553,661 |
| REITS — 7.3% |
| AGNC Investment Corp. | | 5,009 | 47,285 |
| Agree Realty Corp. | | 775 | 42,811 |
| Alexandria Real Estate Equities, Inc. | | 1,447 | 144,845 |
| American Homes 4 Rent, Class A | | 2,808 | 94,602 |
| Americold Realty Trust, Inc. | | 2,277 | 69,244 |
| Annaly Capital Management, Inc. | | 4,164 | 78,325 |
| Apartment Income REIT Corp. | | 1,255 | 38,528 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| REITS (continued) |
| Apartment Investment & Management Co., Class A† | | 47,480 | $ 322,864 |
| AvalonBay Communities, Inc. | | 1,196 | 205,401 |
| Boston Properties, Inc. | | 1,323 | 78,692 |
| Brixmor Property Group, Inc. | | 22,230 | 461,939 |
| Camden Property Trust | | 875 | 82,757 |
| Cousins Properties, Inc. | | 1,276 | 25,992 |
| CubeSmart | | 1,886 | 71,913 |
| Digital Realty Trust, Inc. | | 5,033 | 609,094 |
| Douglas Emmett, Inc. | | 9,648 | 123,108 |
| EastGroup Properties, Inc. | | 370 | 61,616 |
| EPR Properties | | 626 | 26,004 |
| Equity LifeStyle Properties, Inc. | | 1,008 | 64,220 |
| Equity Residential | | 12,417 | 729,002 |
| Essex Property Trust, Inc. | | 2,488 | 527,680 |
| Extra Space Storage, Inc. | | 6,505 | 790,878 |
| Federal Realty Investment Trust | | 682 | 61,810 |
| First Industrial Realty Trust, Inc. | | 1,113 | 52,968 |
| Gaming & Leisure Properties, Inc. | | 2,122 | 96,657 |
| Healthcare Realty Trust, Inc. | | 3,203 | 48,910 |
| Healthpeak Properties, Inc. | | 4,615 | 84,731 |
| Highwoods Properties, Inc. | | 877 | 18,075 |
| Host Hotels & Resorts, Inc. | | 28,269 | 454,283 |
| Invitation Homes, Inc. | | 5,156 | 163,394 |
| Iron Mountain, Inc. | | 1,234 | 73,361 |
| Kilroy Realty Corp. | | 984 | 31,104 |
| Kimco Realty Corp. | | 5,104 | 89,779 |
| Lamar Advertising Co., Class A | | 168 | 14,023 |
| Medical Properties Trust, Inc. | | 5,005 | 27,277 |
| Mid-America Apartment Communities, Inc. | | 2,719 | 349,799 |
| National Storage Affiliates Trust | | 673 | 21,361 |
| NNN REIT, Inc. | | 1,530 | 54,070 |
| Omega Healthcare Investors, Inc. | | 1,975 | 65,491 |
| Park Hotels & Resorts, Inc. | | 1,801 | 22,188 |
| Rayonier, Inc. | | 17,284 | 491,903 |
| Realty Income Corp. | | 5,685 | 283,909 |
| Regency Centers Corp. | | 10,500 | 624,120 |
| Rexford Industrial Realty, Inc. | | 15,926 | 785,948 |
| Rithm Capital Corp. | | 4,062 | 37,736 |
| SBA Communications Corp. | | 814 | 162,938 |
| Simon Property Group, Inc. | | 3,672 | 396,686 |
| Spirit Realty Capital, Inc. | | 8,370 | 280,646 |
| STAG Industrial, Inc. | | 9,485 | 327,327 |
| Starwood Property Trust, Inc. | | 2,485 | 48,085 |
| Sun Communities, Inc. | | 5,121 | 606,019 |
| UDR, Inc. | | 2,613 | 93,206 |
| Ventas, Inc. | | 3,371 | 142,020 |
| VICI Properties, Inc. | | 29,287 | 852,252 |
| Vornado Realty Trust | | 17,092 | 387,647 |
| Welltower, Inc. | | 4,193 | 343,491 |
| Weyerhaeuser Co. | | 19,624 | 601,672 |
| WP Carey, Inc. | | 8,563 | 463,087 |
| | | | 13,354,773 |
| Retail — 2.7% |
| Advance Auto Parts, Inc. | | 7,908 | 442,294 |
| AutoNation, Inc.† | | 248 | 37,547 |
| Bath & Body Works, Inc. | | 19,599 | 662,446 |
| Best Buy Co., Inc. | | 7,756 | 538,809 |
| BJ's Wholesale Club Holdings, Inc.† | | 734 | 52,386 |
| Burlington Stores, Inc.† | | 2,824 | 382,087 |
| CarMax, Inc.† | | 1,258 | 88,978 |
| Casey's General Stores, Inc. | | 269 | 73,039 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail (continued) |
| Cava Group, Inc.† | | 31 | $ 950 |
| Darden Restaurants, Inc. | | 543 | 77,768 |
| Dick's Sporting Goods, Inc. | | 469 | 50,924 |
| Dollar General Corp. | | 7,393 | 782,179 |
| Dollar Tree, Inc.† | | 1,760 | 187,352 |
| Freshpet, Inc.† | | 279 | 18,381 |
| GameStop Corp., Class A† | | 2,258 | 37,167 |
| Gap, Inc. | | 1,639 | 17,423 |
| Genuine Parts Co. | | 1,183 | 170,802 |
| Kohl's Corp. | | 932 | 19,535 |
| Lithia Motors, Inc. | | 228 | 67,335 |
| Macy's, Inc. | | 2,281 | 26,482 |
| MSC Industrial Direct Co., Inc., Class A | | 387 | 37,984 |
| Murphy USA, Inc. | | 9 | 3,076 |
| Nordstrom, Inc. | | 962 | 14,372 |
| Ollie's Bargain Outlet Holdings, Inc.† | | 353 | 27,245 |
| Penske Automotive Group, Inc. | | 169 | 28,233 |
| Petco Health & Wellness Co., Inc.† | | 691 | 2,826 |
| RH † | | 122 | 32,252 |
| Ross Stores, Inc. | | 3,773 | 426,160 |
| Victoria's Secret & Co.† | | 360 | 6,005 |
| Walgreens Boots Alliance, Inc. | | 6,044 | 134,419 |
| Wendy's Co. | | 23,515 | 479,941 |
| Williams-Sonoma, Inc. | | 468 | 72,727 |
| Yum! Brands, Inc. | | 289 | 36,108 |
| | | | 5,035,232 |
| Savings & Loans — 0.0% |
| New York Community Bancorp, Inc. | | 6,005 | 68,097 |
| TFS Financial Corp. | | 422 | 4,988 |
| | | | 73,085 |
| Semiconductors — 2.6% |
| Cirrus Logic, Inc.† | | 465 | 34,391 |
| Entegris, Inc. | | 1,194 | 112,129 |
| GlobalFoundries, Inc.† | | 661 | 38,464 |
| IPG Photonics Corp.† | | 253 | 25,690 |
| Marvell Technology, Inc. | | 29,070 | 1,573,559 |
| Microchip Technology, Inc. | | 1,303 | 101,699 |
| MKS Instruments, Inc. | | 13,540 | 1,171,752 |
| NXP Semiconductors NV | | 3,222 | 644,142 |
| ON Semiconductor Corp.† | | 9,434 | 876,890 |
| Qorvo, Inc.† | | 826 | 78,858 |
| Skyworks Solutions, Inc. | | 1,341 | 132,209 |
| Teradyne, Inc. | | 220 | 22,101 |
| Wolfspeed, Inc.† | | 1,046 | 39,853 |
| | | | 4,851,737 |
| Shipbuilding — 0.3% |
| Huntington Ingalls Industries, Inc. | | 2,572 | 526,180 |
| Software — 1.9% |
| Akamai Technologies, Inc.† | | 1,298 | 138,289 |
| ANSYS, Inc.† | | 128 | 38,086 |
| AppLovin Corp., Class A† | | 1,316 | 52,587 |
| Aspen Technology, Inc.† | | 235 | 48,001 |
| Bentley Systems, Inc., Class B | | 118 | 5,919 |
| Bill.com Holdings, Inc.† | | 865 | 93,913 |
| Broadridge Financial Solutions, Inc. | | 162 | 29,006 |
| CCC Intelligent Solutions Holdings, Inc.† | | 1,696 | 22,642 |
| Ceridian HCM Holding, Inc.† | | 1,137 | 77,145 |
| Concentrix Corp. | | 370 | 29,641 |
| Doximity, Inc., Class A† | | 570 | 12,095 |
| Dropbox, Inc., Class A† | | 242 | 6,590 |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Software (continued) |
| Electronic Arts, Inc. | | 5,132 | $ 617,893 |
| Fidelity National Information Services, Inc. | | 4,995 | 276,074 |
| Guidewire Software, Inc.† | | 688 | 61,920 |
| HashiCorp, Inc., Class A† | | 259 | 5,913 |
| Informatica, Inc., Class A† | | 330 | 6,953 |
| Jack Henry & Associates, Inc. | | 419 | 63,328 |
| MSCI, Inc. | | 324 | 166,238 |
| nCino, Inc.† | | 536 | 17,045 |
| Nutanix, Inc., Class A† | | 1,466 | 51,134 |
| Paycor HCM, Inc.† | | 253 | 5,776 |
| Playtika Holding Corp.† | | 30 | 289 |
| PTC, Inc.† | | 461 | 65,314 |
| SentinelOne, Inc., Class A† | | 1,680 | 28,325 |
| SS&C Technologies Holdings, Inc. | | 11,981 | 629,482 |
| Take-Two Interactive Software, Inc.† | | 1,391 | 195,282 |
| Twilio, Inc., Class A† | | 1,192 | 69,768 |
| Tyler Technologies, Inc.† | | 86 | 33,208 |
| UiPath, Inc., Class A† | | 738 | 12,627 |
| Unity Software, Inc.† | | 1,469 | 46,112 |
| Verint Systems, Inc.† | | 4,740 | 108,973 |
| Verra Mobility Corp.† | | 16,200 | 302,940 |
| Zoom Video Communications, Inc., Class A† | | 2,117 | 148,063 |
| ZoomInfo Technologies, Inc.† | | 1,271 | 20,844 |
| | | | 3,487,415 |
| Telecommunications — 1.4% |
| Arista Networks, Inc.† | | 1,985 | 365,101 |
| Ciena Corp.† | | 1,251 | 59,122 |
| Corning, Inc. | | 50,848 | 1,549,339 |
| ESC GCI Liberty, Inc.†(1) | | 1,285 | 0 |
| Frontier Communications Parent, Inc.† | | 2,064 | 32,302 |
| Iridium Communications, Inc. | | 67 | 3,048 |
| Juniper Networks, Inc. | | 2,684 | 74,588 |
| Motorola Solutions, Inc. | | 1,981 | 539,307 |
| Ubiquiti, Inc. | | 5 | 726 |
| Viasat, Inc.† | | 986 | 18,202 |
| | | | 2,641,735 |
| Toys/Games/Hobbies — 0.3% |
| Hasbro, Inc. | | 1,102 | 72,886 |
| Mattel, Inc.† | | 24,488 | 539,471 |
| | | | 612,357 |
| Transportation — 1.8% |
| C.H. Robinson Worldwide, Inc. | | 214 | 18,432 |
| Expeditors International of Washington, Inc. | | 1,110 | 127,239 |
| GXO Logistics, Inc.† | | 987 | 57,888 |
| JB Hunt Transport Services, Inc. | | 4,815 | 907,724 |
| Kirby Corp.† | | 502 | 41,566 |
| Knight-Swift Transportation Holdings, Inc. | | 6,768 | 339,415 |
| Landstar System, Inc. | | 62 | 10,970 |
| Norfolk Southern Corp. | | 4,836 | 952,353 |
| Old Dominion Freight Line, Inc. | | 57 | 23,321 |
| Ryder System, Inc. | | 379 | 40,534 |
| Saia, Inc.† | | 199 | 79,331 |
| Schneider National, Inc., Class B | | 462 | 12,793 |
| XPO, Inc.† | | 8,697 | 649,318 |
| | | | 3,260,884 |
| Security Description | | Shares or
Principal
Amount | | Value |
|
| Water — 0.1% |
| American Water Works Co., Inc. | | 1,644 | | $ 203,577 |
| Essential Utilities, Inc. | | 2,047 | | 70,273 |
| | | | | 273,850 |
Total Common Stocks
(cost $161,200,776) | | | | 179,640,373 |
| UNAFFILIATED INVESTMENT COMPANIES — 0.8% |
iShares Russell Mid-Cap Value ETF
(cost $1,498,320) | | 13,765 | | 1,436,240 |
Total Long-Term Investment Securities
(cost $162,699,096) | | | | 181,076,613 |
| SHORT-TERM INVESTMENTS — 1.2% |
| Sovereign — 0.3% |
| Federal Home Loan Bank | | | | |
| 5.20%, 10/02/2023(2) | | $ 582,000 | | 582,000 |
| Unaffiliated Investment Companies — 0.9% |
State Street Institutional U.S. Government Money Market Fund, Premier Class
5.29%(2) | | 1,446,940 | | 1,446,940 |
T. Rowe Price Government Reserve Fund
5.40%(2) | | 156,034 | | 156,034 |
| | | | | 1,602,974 |
| U.S. Government — 0.0% |
| United States Treasury Bills | | | | |
| 3.97%, 10/05/2023(3) | | 50,000 | | 49,978 |
Total Short-Term Investments
(cost $2,234,868) | | | | 2,234,952 |
| REPURCHASE AGREEMENTS — 0.1% |
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $175,101 and collateralized by $181,800 of United States Treasury Notes, bearing interest at 3.63% due 05/15/2026 and having an approximate value of $178,586
(cost $175,078) | | 175,078 | | 175,078 |
TOTAL INVESTMENTS
(cost $165,109,042)(4) | | 100.1% | | 183,486,643 |
| Other assets less liabilities | | (0.1) | | (260,729) |
| NET ASSETS | | 100.0% | | $183,225,914 |
| † | Non-income producing security |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | The rate shown is the 7-day yield as of September 30, 2023. |
| (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. |
Seasons Series Trust SA Multi-Managed Mid Cap Value Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 1 | Long | S&P Mid Cap 400 E-Mini Index | December 2023 | $260,485 | $252,040 | $(8,445) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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: | | | | | | | |
| Packaging & Containers | $ 4,065,154 | | $ 1,604 | | $— | | $ 4,066,758 |
| Telecommunications | 2,641,735 | | — | | 0 | | 2,641,735 |
| Other Industries | 172,931,880 | | — | | — | | 172,931,880 |
| Unaffiliated Investment Companies | 1,436,240 | | — | | — | | 1,436,240 |
| Short-Term Investments: | | | | | | | |
| Unaffiliated Investment Companies | 1,602,974 | | — | | — | | 1,602,974 |
| Other Short-Term Investments | — | | 631,978 | | — | | 631,978 |
| Repurchase Agreements | — | | 175,078 | | — | | 175,078 |
| Total Investments at Value | $182,677,983 | | $808,660 | | $ 0 | | $183,486,643 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 8,445 | | $ — | | $— | | $ 8,445 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| U.S. Government & Agency Obligations | 22.5% |
| Internet | 15.4 |
| Software | 13.4 |
| Collateralized Mortgage Obligations | 7.7 |
| Biotechnology | 4.4 |
| Commercial Services | 4.1 |
| Banks | 3.6 |
| Other Asset Backed Securities | 3.0 |
| Advertising | 2.9 |
| Electric | 2.3 |
| Auto Manufacturers | 2.0 |
| Retail | 1.9 |
| Diversified Financial Services | 1.8 |
| Oil & Gas | 1.6 |
| REITS | 1.5 |
| Auto Loan Receivables | 1.2 |
| Foreign Government Obligations | 1.0 |
| Healthcare-Products | 1.0 |
| Repurchase Agreements | 0.9 |
| Semiconductors | 0.9 |
| Media | 0.9 |
| Municipal Securities | 0.8 |
| Insurance | 0.7 |
| Healthcare-Services | 0.6 |
| Pipelines | 0.6 |
| Pharmaceuticals | 0.6 |
| Computers | 0.5 |
| Telecommunications | 0.5 |
| Engineering & Construction | 0.5 |
| Home Builders | 0.5 |
| Chemicals | 0.4 |
| Gas | 0.4 |
| Building Materials | 0.4 |
| Agriculture | 0.4 |
| Electronics | 0.3 |
| Distribution/Wholesale | 0.3 |
| Apparel | 0.3 |
| Entertainment | 0.3 |
| Transportation | 0.3 |
| Oil & Gas Services | 0.3 |
| Environmental Control | 0.3 |
| Food | 0.3 |
| Packaging & Containers | 0.2 |
| Home Furnishings | 0.2 |
| Home Equity | 0.2 |
| Cosmetics/Personal Care | 0.2 |
| Auto Parts & Equipment | 0.2 |
| Credit Card Receivables | 0.2 |
| Lodging | 0.2 |
| Savings & Loans | 0.2 |
| Purchased Options | 0.2 |
| Iron/Steel | 0.1 |
| Machinery-Diversified | 0.1 |
| Electrical Components & Equipment | 0.1 |
| Mining | 0.1 |
| Coal | 0.1 |
| Aerospace/Defense | 0.1 |
| Investment Companies | 0.1 |
| Trucking & Leasing | 0.1 |
| Metal Fabricate/Hardware | 0.1 |
| Miscellaneous Manufacturing | 0.1 |
| Hand/Machine Tools | 0.1 |
| Office/Business Equipment | 0.1 |
| Household Products/Wares | 0.1 |
| Machinery-Construction & Mining | 0.1 |
| Beverages | 0.1 |
| | |
| Airlines | 0.1% |
| Leisure Time | 0.1 |
| | 106.8% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 55.8% |
| Advertising — 2.8% |
| Trade Desk, Inc., Class A† | | 19,500 | $ 1,523,925 |
| Aerospace/Defense — 0.0% |
| Joby Aviation, Inc.† | | 1,848 | 11,920 |
| Agriculture — 0.1% |
| Andersons, Inc. | | 398 | 20,501 |
| Darling Ingredients, Inc.† | | 288 | 15,034 |
| Vital Farms, Inc.† | | 490 | 5,674 |
| | | | 41,209 |
| Airlines — 0.1% |
| Alaska Air Group, Inc.† | | 228 | 8,454 |
| SkyWest, Inc.† | | 693 | 29,065 |
| | | | 37,519 |
| Apparel — 0.1% |
| Crocs, Inc.† | | 626 | 55,232 |
| Steven Madden, Ltd. | | 521 | 16,552 |
| | | | 71,784 |
| Auto Manufacturers — 2.0% |
| Tesla, Inc.† | | 4,306 | 1,077,447 |
| Auto Parts & Equipment — 0.2% |
| Adient PLC† | | 1,014 | 37,214 |
| American Axle & Manufacturing Holdings, Inc.† | | 4,447 | 32,285 |
| Lear Corp. | | 75 | 10,065 |
| Visteon Corp.† | | 130 | 17,949 |
| XPEL, Inc.† | | 188 | 14,497 |
| | | | 112,010 |
| Banks — 1.3% |
| Ameris Bancorp | | 655 | 25,145 |
| Bancorp, Inc.† | | 353 | 12,179 |
| Bank of N.T. Butterfield & Son, Ltd. | | 1,092 | 29,571 |
| Banner Corp. | | 396 | 16,782 |
| Business First Bancshares, Inc. | | 129 | 2,420 |
| Byline Bancorp, Inc. | | 801 | 15,788 |
| Capital City Bank Group, Inc. | | 385 | 11,485 |
| Central Pacific Financial Corp. | | 220 | 3,670 |
| Coastal Financial Corp.† | | 143 | 6,136 |
| Columbia Banking System, Inc. | | 281 | 5,704 |
| ConnectOne Bancorp, Inc. | | 2,367 | 42,204 |
| Customers Bancorp, Inc.† | | 1,597 | 55,017 |
| CVB Financial Corp. | | 1,238 | 20,514 |
| Dime Community Bancshares, Inc. | | 155 | 3,094 |
| Eastern Bankshares, Inc. | | 1,606 | 20,139 |
| Enterprise Financial Services Corp. | | 567 | 21,262 |
| Financial Institutions, Inc. | | 58 | 976 |
| First BanCorp/Puerto Rico | | 4,340 | 58,416 |
| First Bancshares, Inc. | | 134 | 3,614 |
| First Citizens BancShares, Inc., Class A | | 19 | 26,222 |
| First Commonwealth Financial Corp. | | 414 | 5,055 |
| First Financial Corp. | | 144 | 4,869 |
| First Merchants Corp. | | 591 | 16,442 |
| First Mid Bancshares, Inc. | | 186 | 4,940 |
| FNB Corp. | | 308 | 3,323 |
| Heritage Commerce Corp. | | 838 | 7,098 |
| Mercantile Bank Corp. | | 54 | 1,669 |
| Merchants Bancorp | | 835 | 23,146 |
| Mid Penn Bancorp, Inc. | | 55 | 1,107 |
| MidWestOne Financial Group, Inc. | | 87 | 1,769 |
| MVB Financial Corp. | | 25 | 565 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| OFG Bancorp | | 1,300 | $ 38,818 |
| Old National Bancorp | | 1,763 | 25,634 |
| Old Second Bancorp, Inc. | | 1,038 | 14,127 |
| Pathward Financial, Inc. | | 638 | 29,405 |
| Peapack-Gladstone Financial Corp. | | 237 | 6,079 |
| Peoples Bancorp, Inc. | | 88 | 2,233 |
| Pinnacle Financial Partners, Inc. | | 190 | 12,738 |
| Popular, Inc. | | 769 | 48,455 |
| Premier Financial Corp. | | 124 | 2,115 |
| QCR Holdings, Inc. | | 361 | 17,516 |
| South Plains Financial, Inc. | | 31 | 820 |
| Southside Bancshares, Inc. | | 131 | 3,760 |
| SouthState Corp. | | 323 | 21,757 |
| Towne Bank | | 80 | 1,834 |
| TriCo Bancshares | | 396 | 12,684 |
| Univest Financial Corp. | | 99 | 1,721 |
| Veritex Holdings, Inc. | | 683 | 12,260 |
| Wintrust Financial Corp. | | 499 | 37,674 |
| | | | 739,951 |
| Beverages — 0.1% |
| Coca-Cola Consolidated, Inc. | | 24 | 15,272 |
| Primo Water Corp. | | 1,813 | 25,019 |
| | | | 40,291 |
| Biotechnology — 4.2% |
| 2seventy bio, Inc.† | | 1,276 | 5,002 |
| ACADIA Pharmaceuticals, Inc.† | | 1,273 | 26,529 |
| Allogene Therapeutics, Inc.† | | 2,150 | 6,815 |
| Amicus Therapeutics, Inc.† | | 3,902 | 47,448 |
| Arrowhead Pharmaceuticals, Inc.† | | 410 | 11,017 |
| Atara Biotherapeutics, Inc.† | | 6,113 | 9,047 |
| Axsome Therapeutics, Inc.† | | 533 | 37,251 |
| Beam Therapeutics, Inc.† | | 244 | 5,868 |
| Biohaven, Ltd.† | | 58 | 1,509 |
| Bluebird Bio, Inc.† | | 133 | 404 |
| Blueprint Medicines Corp.† | | 218 | 10,948 |
| Bridgebio Pharma, Inc.† | | 229 | 6,039 |
| Dyne Therapeutics, Inc.† | | 1,337 | 11,980 |
| Esperion Therapeutics, Inc.† | | 7,263 | 7,118 |
| EyePoint Pharmaceuticals, Inc.† | | 2,674 | 21,365 |
| Fate Therapeutics, Inc.† | | 3,755 | 7,961 |
| Illumina, Inc.† | | 4,178 | 573,556 |
| Immunovant, Inc.† | | 1,536 | 58,967 |
| Inhibrx, Inc.† | | 1,366 | 25,066 |
| Insmed, Inc.† | | 495 | 12,499 |
| Intellia Therapeutics, Inc.† | | 416 | 13,154 |
| Kymera Therapeutics, Inc.† | | 646 | 8,979 |
| MeiraGTx Holdings PLC† | | 1,549 | 7,606 |
| NGM Biopharmaceuticals, Inc.† | | 4,121 | 4,409 |
| OmniAb, Inc. (Earnout Shares 12.50)†(1) | | 85 | 0 |
| OmniAb, Inc. (Earnout Shares 15.00)†(1) | | 85 | 0 |
| Ovid therapeutics, Inc.† | | 7,069 | 27,145 |
| Point Biopharma Global, Inc.† | | 2,466 | 16,448 |
| Prothena Corp. PLC† | | 472 | 22,774 |
| PTC Therapeutics, Inc.† | | 399 | 8,942 |
| Recursion Pharmaceuticals, Inc., Class A† | | 1,186 | 9,073 |
| Relay Therapeutics, Inc.† | | 1,506 | 12,665 |
| Replimune Group, Inc.† | | 1,049 | 17,948 |
| REVOLUTION Medicines, Inc.† | | 1,429 | 39,555 |
| Royalty Pharma PLC, Class A | | 39,980 | 1,085,057 |
| Sage Therapeutics, Inc.† | | 506 | 10,413 |
| Sana Biotechnology, Inc.† | | 11 | 43 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Biotechnology (continued) |
| SpringWorks Therapeutics, Inc.† | | 954 | $ 22,056 |
| Sutro Biopharma, Inc.† | | 113 | 392 |
| Syndax Pharmaceuticals, Inc.† | | 1,230 | 17,860 |
| Travere Therapeutics, Inc.† | | 1,485 | 13,276 |
| Twist Bioscience Corp.† | | 468 | 9,482 |
| Tyra Biosciences, Inc.† | | 1,754 | 24,153 |
| Vericel Corp.† | | 341 | 11,430 |
| Viking Therapeutics, Inc.† | | 1,965 | 21,753 |
| Xencor, Inc.† | | 1,858 | 37,439 |
| | | | 2,328,441 |
| Building Materials — 0.2% |
| Apogee Enterprises, Inc. | | 194 | 9,134 |
| Boise Cascade Co. | | 226 | 23,287 |
| Gibraltar Industries, Inc.† | | 196 | 13,232 |
| JELD-WEN Holding, Inc.† | | 365 | 4,876 |
| Louisiana-Pacific Corp. | | 141 | 7,793 |
| Summit Materials, Inc., Class A† | | 132 | 4,110 |
| UFP Industries, Inc. | | 655 | 67,072 |
| | | | 129,504 |
| Chemicals — 0.3% |
| AdvanSix, Inc. | | 303 | 9,417 |
| Avient Corp. | | 471 | 16,636 |
| Cabot Corp. | | 449 | 31,102 |
| Ecovyst, Inc.† | | 271 | 2,667 |
| H.B. Fuller Co. | | 312 | 21,407 |
| Ingevity Corp.† | | 305 | 14,521 |
| Livent Corp.† | | 298 | 5,486 |
| Minerals Technologies, Inc. | | 113 | 6,188 |
| Orion SA | | 2,258 | 48,050 |
| Tronox Holdings PLC | | 1,039 | 13,964 |
| | | | 169,438 |
| Coal — 0.1% |
| Alpha Metallurgical Resources, Inc. | | 144 | 37,401 |
| Arch Resources, Inc. | | 129 | 22,015 |
| CONSOL Energy, Inc. | | 57 | 5,980 |
| Peabody Energy Corp. | | 163 | 4,236 |
| SunCoke Energy, Inc. | | 376 | 3,817 |
| | | | 73,449 |
| Commercial Services — 3.7% |
| Aaron's Co., Inc. | | 666 | 6,973 |
| ABM Industries, Inc. | | 1,642 | 65,696 |
| Adyen NV*† | | 1,186 | 884,876 |
| AMN Healthcare Services, Inc.† | | 159 | 13,544 |
| API Group Corp.† | | 1,977 | 51,264 |
| Block, Inc.† | | 2,376 | 105,162 |
| Brink's Co. | | 312 | 22,664 |
| CBIZ, Inc.† | | 596 | 30,932 |
| Cross Country Healthcare, Inc.† | | 620 | 15,370 |
| EVERTEC, Inc. | | 923 | 34,317 |
| Flywire Corp.† | | 1,175 | 37,471 |
| Heidrick & Struggles International, Inc. | | 425 | 10,633 |
| Herc Holdings, Inc. | | 202 | 24,026 |
| Information Services Group, Inc. | | 5,459 | 23,910 |
| John Wiley & Sons, Inc., Class A | | 347 | 12,898 |
| Kforce, Inc. | | 367 | 21,895 |
| LiveRamp Holdings, Inc.† | | 1,402 | 40,434 |
| Medifast, Inc. | | 296 | 22,156 |
| PROG Holdings, Inc.† | | 743 | 24,675 |
| Progyny, Inc.† | | 1,518 | 51,642 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial Services (continued) |
| Remitly Global, Inc.† | | 381 | $ 9,609 |
| Repay Holdings Corp.† | | 2,801 | 21,259 |
| Riot Platforms, Inc.† | | 1,732 | 16,159 |
| Toast, Inc., Class A† | | 17,897 | 335,211 |
| TriNet Group, Inc.† | | 581 | 67,675 |
| TrueBlue, Inc.† | | 922 | 13,526 |
| Upbound Group, Inc. | | 1,184 | 34,869 |
| V2X, Inc.† | | 665 | 34,354 |
| | | | 2,033,200 |
| Computers — 0.4% |
| CACI International, Inc., Class A† | | 129 | 40,497 |
| Insight Enterprises, Inc.† | | 20 | 2,910 |
| Integral Ad Science Holding Corp.† | | 651 | 7,740 |
| KBR, Inc. | | 532 | 31,356 |
| Qualys, Inc.† | | 271 | 41,341 |
| Rapid7, Inc.† | | 687 | 31,451 |
| Super Micro Computer, Inc.† | | 191 | 52,376 |
| Unisys Corp.† | | 5,362 | 18,499 |
| | | | 226,170 |
| Cosmetics/Personal Care — 0.2% |
| e.l.f. Beauty, Inc.† | | 628 | 68,973 |
| Edgewell Personal Care Co. | | 863 | 31,897 |
| | | | 100,870 |
| Distribution/Wholesale — 0.3% |
| MRC Global, Inc.† | | 1,972 | 20,213 |
| Resideo Technologies, Inc.† | | 474 | 7,489 |
| Rush Enterprises, Inc., Class A | | 1,196 | 48,833 |
| ScanSource, Inc.† | | 318 | 9,638 |
| Titan Machinery, Inc.† | | 341 | 9,064 |
| Veritiv Corp. | | 180 | 30,402 |
| WESCO International, Inc. | | 407 | 58,535 |
| | | | 184,174 |
| Diversified Financial Services — 1.3% |
| AssetMark Financial Holdings, Inc.† | | 430 | 10,784 |
| Avantax, Inc.† | | 530 | 13,557 |
| Enova International, Inc.† | | 1,020 | 51,887 |
| Federated Hermes, Inc. | | 457 | 15,479 |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | 58 | 1,230 |
| Intercontinental Exchange, Inc. | | 3,338 | 367,247 |
| International Money Express, Inc.† | | 1,600 | 27,088 |
| Mr. Cooper Group, Inc.† | | 1,108 | 59,345 |
| PennyMac Financial Services, Inc. | | 173 | 11,522 |
| Piper Sandler Cos. | | 140 | 20,343 |
| PJT Partners, Inc., Class A | | 230 | 18,271 |
| Radian Group, Inc. | | 1,369 | 34,376 |
| Stifel Financial Corp. | | 68 | 4,178 |
| StoneX Group, Inc.† | | 157 | 15,216 |
| Victory Capital Holdings, Inc., Class A | | 1,322 | 44,076 |
| Virtus Investment Partners, Inc. | | 75 | 15,149 |
| | | | 709,748 |
| Electric — 0.3% |
| Northwestern Energy Group Inc | | 222 | 10,670 |
| Clearway Energy, Inc., Class A | | 249 | 4,960 |
| Clearway Energy, Inc., Class C | | 938 | 19,848 |
| IDACORP, Inc. | | 222 | 20,790 |
| MGE Energy, Inc. | | 398 | 27,267 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Electric (continued) |
| Portland General Electric Co. | | 786 | $ 31,817 |
| Unitil Corp. | | 510 | 21,782 |
| | | | 137,134 |
| Electrical Components & Equipment — 0.1% |
| Belden, Inc. | | 310 | 29,931 |
| Encore Wire Corp. | | 281 | 51,271 |
| | | | 81,202 |
| Electronics — 0.3% |
| Allient, Inc. | | 458 | 14,161 |
| Atkore, Inc.† | | 564 | 84,143 |
| Benchmark Electronics, Inc. | | 701 | 17,006 |
| NEXTracker, Inc., Class A† | | 314 | 12,610 |
| OSI Systems, Inc.† | | 460 | 54,299 |
| | | | 182,219 |
| Energy-Alternate Sources — 0.0% |
| Green Plains, Inc.† | | 415 | 12,491 |
| REX American Resources Corp.† | | 207 | 8,429 |
| Sunnova Energy International, Inc.† | | 451 | 4,722 |
| | | | 25,642 |
| Engineering & Construction — 0.5% |
| Comfort Systems USA, Inc. | | 456 | 77,707 |
| IES Holdings, Inc.† | | 165 | 10,869 |
| MasTec, Inc.† | | 425 | 30,587 |
| MYR Group, Inc.† | | 545 | 73,444 |
| Primoris Services Corp. | | 682 | 22,322 |
| Sterling Infrastructure, Inc.† | | 621 | 45,631 |
| | | | 260,560 |
| Entertainment — 0.2% |
| Everi Holdings, Inc.† | | 1,341 | 17,728 |
| Lions Gate Entertainment Corp., Class A† | | 1,339 | 11,355 |
| Marriott Vacations Worldwide Corp. | | 243 | 24,453 |
| SeaWorld Entertainment, Inc.† | | 1,136 | 52,540 |
| | | | 106,076 |
| Environmental Control — 0.1% |
| Heritage-Crystal Clean, Inc.† | | 543 | 24,625 |
| Tetra Tech, Inc. | | 312 | 47,433 |
| | | | 72,058 |
| Food — 0.2% |
| Hostess Brands, Inc.† | | 1,400 | 46,634 |
| John B. Sanfilippo & Son, Inc. | | 240 | 23,712 |
| SpartanNash Co. | | 516 | 11,352 |
| United Natural Foods, Inc.† | | 1,752 | 24,773 |
| | | | 106,471 |
| Gas — 0.1% |
| Chesapeake Utilities Corp. | | 180 | 17,595 |
| New Jersey Resources Corp. | | 394 | 16,008 |
| Northwest Natural Holding Co. | | 301 | 11,486 |
| ONE Gas, Inc. | | 318 | 21,713 |
| | | | 66,802 |
| Hand/Machine Tools — 0.0% |
| Luxfer Holdings PLC | | 234 | 3,054 |
| Healthcare-Products — 0.8% |
| Adaptive Biotechnologies Corp.† | | 158 | 861 |
| Alphatec Holdings, Inc.† | | 1,068 | 13,852 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Healthcare-Products (continued) |
| AngioDynamics, Inc.† | | 1,597 | $ 11,674 |
| AtriCure, Inc.† | | 1,046 | 45,815 |
| Axonics, Inc.† | | 186 | 10,438 |
| Inari Medical, Inc.† | | 293 | 19,162 |
| Inmode, Ltd.† | | 553 | 16,844 |
| Inspire Medical Systems, Inc.† | | 125 | 24,805 |
| Intuitive Surgical, Inc.† | | 441 | 128,900 |
| Lantheus Holdings, Inc.† | | 796 | 55,306 |
| Merit Medical Systems, Inc.† | | 455 | 31,404 |
| Natera, Inc.† | | 228 | 10,089 |
| OmniAb, Inc.† | | 858 | 4,453 |
| Omnicell, Inc.† | | 251 | 11,305 |
| Quanterix Corp.† | | 297 | 8,061 |
| Shockwave Medical, Inc.† | | 111 | 22,100 |
| SI-BONE, Inc.† | | 677 | 14,380 |
| Treace Medical Concepts, Inc.† | | 541 | 7,093 |
| | | | 436,542 |
| Healthcare-Services — 0.3% |
| Fulgent Genetics, Inc.† | | 338 | 9,038 |
| HealthEquity, Inc.† | | 738 | 53,911 |
| Medpace Holdings, Inc.† | | 209 | 50,605 |
| National HealthCare Corp. | | 457 | 29,239 |
| OPKO Health, Inc.† | | 5,144 | 8,230 |
| Surgery Partners, Inc.† | | 254 | 7,430 |
| Tenet Healthcare Corp.† | | 231 | 15,221 |
| | | | 173,674 |
| Home Builders — 0.4% |
| Forestar Group, Inc.† | | 411 | 11,072 |
| Landsea Homes Corp.† | | 1,910 | 17,171 |
| LGI Homes, Inc.† | | 151 | 15,023 |
| Meritage Homes Corp. | | 319 | 39,043 |
| Skyline Champion Corp.† | | 165 | 10,514 |
| Taylor Morrison Home Corp.† | | 1,753 | 74,695 |
| Tri Pointe Homes, Inc.† | | 928 | 25,381 |
| | | | 192,899 |
| Home Furnishings — 0.2% |
| MillerKnoll, Inc. | | 1,964 | 48,020 |
| Sonos, Inc.† | | 4,982 | 64,317 |
| Xperi, Inc.† | | 1,650 | 16,269 |
| | | | 128,606 |
| Household Products/Wares — 0.1% |
| Central Garden & Pet Co., Class A† | | 1,168 | 46,825 |
| Insurance — 0.4% |
| American Equity Investment Life Holding Co.† | | 328 | 17,594 |
| BRP Group, Inc., Class A† | | 347 | 8,061 |
| Essent Group, Ltd. | | 916 | 43,318 |
| Jackson Financial, Inc., Class A | | 858 | 32,793 |
| James River Group Holdings, Ltd. | | 366 | 5,618 |
| Kinsale Capital Group, Inc. | | 13 | 5,384 |
| NMI Holdings, Inc., Class A† | | 701 | 18,990 |
| Palomar Holdings, Inc.† | | 387 | 19,640 |
| RLI Corp. | | 249 | 33,836 |
| Skyward Specialty Insurance Group, Inc.† | | 264 | 7,223 |
| | | | 192,457 |
| Internet — 15.2% |
| Airbnb, Inc., Class A† | | 8,208 | 1,126,220 |
| Amazon.com, Inc.† | | 6,348 | 806,958 |
| Blade Air Mobility, Inc.† | | 2,563 | 6,638 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Internet (continued) |
| Cars.com, Inc.† | | 499 | $ 8,413 |
| Chewy, Inc., Class A† | | 18,061 | 329,794 |
| DoorDash, Inc., Class A† | | 16,918 | 1,344,473 |
| Magnite, Inc.† | | 911 | 6,869 |
| MercadoLibre, Inc.† | | 661 | 838,069 |
| Meta Platforms, Inc., Class A† | | 2,563 | 769,438 |
| Open Lending Corp.† | | 409 | 2,994 |
| OptimizeRx Corp.† | | 515 | 4,007 |
| Perficient, Inc.† | | 229 | 13,250 |
| Q2 Holdings, Inc.† | | 329 | 10,617 |
| QuinStreet, Inc.† | | 795 | 7,131 |
| Shopify, Inc., Class A† | | 26,404 | 1,440,866 |
| Shutterstock, Inc. | | 480 | 18,264 |
| Squarespace, Inc., Class A† | | 595 | 17,237 |
| Uber Technologies, Inc.† | | 34,490 | 1,586,195 |
| Yelp, Inc.† | | 844 | 35,102 |
| | | | 8,372,535 |
| Iron/Steel — 0.1% |
| ATI, Inc.† | | 149 | 6,131 |
| Commercial Metals Co. | | 1,238 | 61,170 |
| Schnitzer Steel Industries, Inc., Class A | | 196 | 5,459 |
| | | | 72,760 |
| Leisure Time — 0.1% |
| Acushnet Holdings Corp. | | 683 | 36,226 |
| Lodging — 0.2% |
| Bluegreen Vacations Holding Corp. | | 1,033 | 37,891 |
| Boyd Gaming Corp. | | 522 | 31,753 |
| Hilton Grand Vacations, Inc.† | | 569 | 23,158 |
| | | | 92,802 |
| Machinery-Construction & Mining — 0.1% |
| Argan, Inc. | | 616 | 28,040 |
| Bloom Energy Corp., Class A† | | 434 | 5,755 |
| Terex Corp. | | 119 | 6,857 |
| | | | 40,652 |
| Machinery-Diversified — 0.1% |
| Albany International Corp., Class A | | 47 | 4,055 |
| Watts Water Technologies, Inc., Class A | | 340 | 58,759 |
| | | | 62,814 |
| Media — 0.1% |
| Gray Television, Inc. | | 692 | 4,789 |
| Liberty Latin America, Ltd., Class C† | | 2,953 | 24,096 |
| Thryv Holdings, Inc.† | | 717 | 13,458 |
| | | | 42,343 |
| Metal Fabricate/Hardware — 0.1% |
| Mueller Industries, Inc. | | 643 | 48,328 |
| Olympic Steel, Inc. | | 63 | 3,541 |
| Ryerson Holding Corp. | | 226 | 6,574 |
| | | | 58,443 |
| Mining — 0.0% |
| Constellium SE† | | 1,053 | 19,165 |
| Miscellaneous Manufacturing — 0.1% |
| Fabrinet † | | 339 | 56,484 |
| Oil & Gas — 0.9% |
| California Resources Corp. | | 279 | 15,627 |
| Chord Energy Corp. | | 183 | 29,659 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| Civitas Resources, Inc. | | 134 | $ 10,837 |
| CNX Resources Corp.† | | 442 | 9,980 |
| CVR Energy, Inc. | | 368 | 12,523 |
| Delek US Holdings, Inc. | | 618 | 17,557 |
| Gulfport Energy Corp.† | | 45 | 5,340 |
| Helmerich & Payne, Inc. | | 107 | 4,511 |
| Magnolia Oil & Gas Corp., Class A | | 397 | 9,095 |
| Matador Resources Co. | | 968 | 57,577 |
| Murphy Oil Corp. | | 1,083 | 49,114 |
| Noble Corp. PLC | | 760 | 38,494 |
| Northern Oil & Gas, Inc. | | 145 | 5,833 |
| Ovintiv, Inc. | | 735 | 34,964 |
| Patterson-UTI Energy, Inc. | | 3,033 | 41,977 |
| PBF Energy, Inc., Class A | | 426 | 22,804 |
| SM Energy Co. | | 1,564 | 62,013 |
| Valaris, Ltd.† | | 137 | 10,272 |
| Weatherford International PLC† | | 358 | 32,338 |
| | | | 470,515 |
| Oil & Gas Services — 0.3% |
| ChampionX Corp. | | 1,119 | 39,859 |
| Liberty Energy, Inc. | | 2,354 | 43,596 |
| NOW, Inc.† | | 3,929 | 46,637 |
| Oceaneering International, Inc.† | | 852 | 21,914 |
| Oil States International, Inc.† | | 1,232 | 10,312 |
| Select Water Solutions, Inc. | | 972 | 7,727 |
| | | | 170,045 |
| Packaging & Containers — 0.0% |
| Greif, Inc., Class A | | 122 | 8,151 |
| O-I Glass, Inc.† | | 903 | 15,107 |
| | | | 23,258 |
| Pharmaceuticals — 0.5% |
| Acelyrin, Inc.† | | 2,280 | 23,187 |
| Aclaris Therapeutics, Inc.† | | 1,389 | 9,515 |
| Alector, Inc.† | | 1,716 | 11,120 |
| Alkermes PLC† | | 526 | 14,733 |
| Amneal Pharmaceuticals, Inc.† | | 2,267 | 9,567 |
| Arvinas, Inc.† | | 550 | 10,802 |
| BellRing Brands, Inc.† | | 220 | 9,071 |
| Catalyst Pharmaceuticals, Inc.† | | 985 | 11,515 |
| Enanta Pharmaceuticals, Inc.† | | 459 | 5,127 |
| Herbalife, Ltd.† | | 1,832 | 25,630 |
| Kura Oncology, Inc.† | | 1,705 | 15,549 |
| Longboard Pharmaceuticals, Inc.† | | 2,368 | 13,166 |
| Madrigal Pharmaceuticals, Inc.† | | 156 | 22,782 |
| Option Care Health, Inc.† | | 1,338 | 43,284 |
| PMV Pharmaceuticals, Inc.† | | 1,289 | 7,914 |
| Protagonist Therapeutics, Inc.† | | 676 | 11,276 |
| USANA Health Sciences, Inc.† | | 390 | 22,858 |
| Y-mAbs Therapeutics, Inc.† | | 31 | 169 |
| | | | 267,265 |
| REITS — 1.0% |
| Agree Realty Corp. | | 1,104 | 60,985 |
| Apple Hospitality REIT, Inc. | | 2,352 | 36,080 |
| Armada Hoffler Properties, Inc. | | 220 | 2,253 |
| Brandywine Realty Trust | | 2,787 | 12,653 |
| BrightSpire Capital, Inc. | | 585 | 3,662 |
| Broadstone Net Lease, Inc. | | 701 | 10,024 |
| CareTrust REIT, Inc. | | 415 | 8,507 |
| Community Healthcare Trust, Inc. | | 221 | 6,564 |
| COPT Defense Properties | | 652 | 15,537 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| REITS (continued) |
| DiamondRock Hospitality Co. | | 891 | $ 7,155 |
| Dynex Capital, Inc. | | 182 | 2,173 |
| Equity Commonwealth | | 196 | 3,600 |
| Essential Properties Realty Trust, Inc. | | 613 | 13,259 |
| First Industrial Realty Trust, Inc. | | 171 | 8,138 |
| Global Medical REIT, Inc. | | 213 | 1,911 |
| Innovative Industrial Properties, Inc. | | 101 | 7,642 |
| Kite Realty Group Trust | | 1,071 | 22,941 |
| KKR Real Estate Finance Trust, Inc. | | 242 | 2,872 |
| Ladder Capital Corp. | | 933 | 9,573 |
| LXP Industrial Trust | | 1,093 | 9,728 |
| MFA Financial, Inc. | | 3,814 | 36,652 |
| National Storage Affiliates Trust | | 281 | 8,919 |
| PennyMac Mtg. Investment Trust | | 726 | 9,002 |
| Phillips Edison & Co., Inc. | | 858 | 28,777 |
| Physicians Realty Trust | | 2,055 | 25,050 |
| Piedmont Office Realty Trust, Inc., Class A | | 1,115 | 6,266 |
| Plymouth Industrial REIT, Inc. | | 900 | 18,855 |
| PotlatchDeltic Corp. | | 545 | 24,738 |
| Retail Opportunity Investments Corp. | | 1,236 | 15,302 |
| RLJ Lodging Trust | | 2,134 | 20,892 |
| RPT Realty | | 334 | 3,527 |
| Ryman Hospitality Properties, Inc. | | 471 | 39,225 |
| Sabra Health Care REIT, Inc. | | 967 | 13,480 |
| SITE Centers Corp. | | 1,332 | 16,424 |
| SL Green Realty Corp. | | 277 | 10,332 |
| STAG Industrial, Inc. | | 686 | 23,674 |
| Terreno Realty Corp. | | 259 | 14,711 |
| UMH Properties, Inc. | | 496 | 6,954 |
| Veris Residential, Inc. | | 334 | 5,511 |
| | | | 573,548 |
| Retail — 1.5% |
| Abercrombie & Fitch Co., Class A† | | 379 | 21,364 |
| Asbury Automotive Group, Inc.† | | 131 | 30,139 |
| Beacon Roofing Supply, Inc.† | | 1,005 | 77,556 |
| BJ's Wholesale Club Holdings, Inc.† | | 765 | 54,598 |
| Bloomin' Brands, Inc. | | 1,112 | 27,344 |
| BlueLinx Holdings, Inc.† | | 167 | 13,709 |
| Boot Barn Holdings, Inc.† | | 454 | 36,860 |
| Cava Group, Inc.† | | 906 | 27,751 |
| Dine Brands Global, Inc. | | 178 | 8,802 |
| FirstCash Holdings, Inc. | | 295 | 29,612 |
| Floor & Decor Holdings, Inc., Class A† | | 3,645 | 329,873 |
| GMS, Inc.† | | 1,002 | 64,098 |
| Group 1 Automotive, Inc. | | 44 | 11,823 |
| Kura Sushi USA, Inc., Class A† | | 119 | 7,868 |
| Lithia Motors, Inc. | | 40 | 11,813 |
| ODP Corp.† | | 611 | 28,198 |
| Signet Jewelers, Ltd. | | 553 | 39,711 |
| Wingstop, Inc. | | 113 | 20,322 |
| | | | 841,441 |
| Savings & Loans — 0.2% |
| Axos Financial, Inc.† | | 374 | 14,160 |
| Banc of California, Inc. | | 565 | 6,995 |
| HomeTrust Bancshares, Inc. | | 187 | 4,052 |
| OceanFirst Financial Corp. | | 3,008 | 43,526 |
| Washington Federal, Inc. | | 544 | 13,937 |
| | | | 82,670 |
| Semiconductors — 0.7% |
| ACM Research, Inc., Class A† | | 1,449 | 26,234 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Semiconductors (continued) |
| Ambarella, Inc.† | | 89 | $ 4,720 |
| Axcelis Technologies, Inc.† | | 365 | 59,513 |
| Cirrus Logic, Inc.† | | 124 | 9,171 |
| Cohu, Inc.† | | 739 | 25,451 |
| MACOM Technology Solutions Holdings, Inc.† | | 551 | 44,951 |
| MaxLinear, Inc.† | | 273 | 6,074 |
| Onto Innovation, Inc.† | | 128 | 16,323 |
| Power Integrations, Inc. | | 275 | 20,985 |
| Rambus, Inc.† | | 997 | 55,623 |
| Semtech Corp.† | | 1,135 | 29,226 |
| Silicon Laboratories, Inc.† | | 73 | 8,460 |
| SMART Global Holdings, Inc.† | | 1,013 | 24,666 |
| Ultra Clean Holdings, Inc.† | | 413 | 12,254 |
| Veeco Instruments, Inc.† | | 698 | 19,621 |
| | | | 363,272 |
| Software — 12.7% |
| Adeia, Inc. | | 1,219 | 13,019 |
| Asana, Inc., Class A† | | 1,210 | 22,155 |
| AvePoint, Inc.† | | 5,856 | 39,352 |
| Avid Technology, Inc.† | | 933 | 25,070 |
| Bill.com Holdings, Inc.† | | 8,377 | 909,491 |
| BlackLine, Inc.† | | 434 | 24,074 |
| Box, Inc., Class A† | | 1,886 | 45,660 |
| Braze, Inc.† | | 471 | 22,010 |
| C3.ai, Inc., Class A† | | 234 | 5,972 |
| Cloudflare, Inc., Class A† | | 25,648 | 1,616,850 |
| CommVault Systems, Inc.† | | 495 | 33,467 |
| Datadog, Inc., Class A† | | 6,226 | 567,126 |
| Donnelley Financial Solutions, Inc.† | | 1,030 | 57,968 |
| Duolingo, Inc.† | | 128 | 21,231 |
| Envestnet, Inc.† | | 367 | 16,159 |
| Health Catalyst, Inc.† | | 3,863 | 39,094 |
| MicroStrategy, Inc., Class A† | | 13 | 4,268 |
| Oddity Tech, Ltd., Class A† | | 277 | 7,853 |
| Olo, Inc., Class A† | | 2,784 | 16,871 |
| Outset Medical, Inc.† | | 1,058 | 11,511 |
| PDF Solutions, Inc.† | | 262 | 8,489 |
| ROBLOX Corp., Class A† | | 37,119 | 1,074,966 |
| Snowflake, Inc., Class A† | | 8,952 | 1,367,597 |
| Sprout Social, Inc., Class A† | | 274 | 13,667 |
| SPS Commerce, Inc.† | | 229 | 39,070 |
| Veeva Systems, Inc., Class A† | | 1,633 | 332,234 |
| Veradigm, Inc.† | | 1,420 | 18,659 |
| Workiva, Inc.† | | 478 | 48,440 |
| ZoomInfo Technologies, Inc.† | | 35,310 | 579,084 |
| Zuora, Inc., Class A† | | 748 | 6,163 |
| | | | 6,987,570 |
| Telecommunications — 0.2% |
| Aviat Networks, Inc.† | | 407 | 12,698 |
| Calix, Inc.† | | 727 | 33,326 |
| EchoStar Corp., Class A† | | 606 | 10,150 |
| Extreme Networks, Inc.† | | 461 | 11,161 |
| Gogo, Inc.† | | 491 | 5,858 |
| Iridium Communications, Inc. | | 198 | 9,007 |
| Ooma, Inc.† | | 1,325 | 17,238 |
| | | | 99,438 |
| Transportation — 0.3% |
| ArcBest Corp. | | 543 | 55,196 |
| Dorian LPG, Ltd. | | 387 | 11,118 |
| Eagle Bulk Shipping, Inc. | | 102 | 4,287 |
| Forward Air Corp. | | 92 | 6,324 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Transportation (continued) |
| Hub Group, Inc., Class A† | | 588 | $ 46,181 |
| Matson, Inc. | | 284 | 25,196 |
| Radiant Logistics, Inc.† | | 1,447 | 8,176 |
| Safe Bulkers, Inc. | | 1,194 | 3,869 |
| Teekay Tankers, Ltd., Class A | | 371 | 15,445 |
| | | | 175,792 |
| Water — 0.0% |
| American States Water Co. | | 319 | 25,099 |
Total Common Stocks
(cost $30,485,499) | | | 30,757,408 |
| CORPORATE BONDS & NOTES — 13.3% |
| Advertising — 0.1% |
| Lamar Media Corp. | | | |
| 3.63%, 01/15/2031 | | $ 5,000 | 4,072 |
| 4.88%, 01/15/2029 | | 35,000 | 31,675 |
| | | | 35,747 |
| Aerospace/Defense — 0.1% |
| Boeing Co. | | | |
| 5.04%, 05/01/2027 | | 20,000 | 19,527 |
| 5.15%, 05/01/2030 | | 20,000 | 19,110 |
| Northrop Grumman Corp. | | | |
| 5.15%, 05/01/2040 | | 12,000 | 10,955 |
| RTX Corp. | | | |
| 5.15%, 02/27/2033 | | 10,000 | 9,470 |
| | | | 59,062 |
| Agriculture — 0.3% |
| BAT Capital Corp. | | | |
| 6.34%, 08/02/2030 | | 10,000 | 9,850 |
| Philip Morris International, Inc. | | | |
| 4.88%, 02/15/2028 | | 25,000 | 24,219 |
| 5.13%, 11/17/2027 to 02/15/2030 | | 60,000 | 57,946 |
| 5.38%, 02/15/2033 | | 30,000 | 28,435 |
| 5.63%, 11/17/2029 to 09/07/2033 | | 30,000 | 29,119 |
| Reynolds American, Inc. | | | |
| 5.70%, 08/15/2035 | | 10,000 | 8,947 |
| | | | 158,516 |
| Apparel — 0.2% |
| Hanesbrands, Inc. | | | |
| 4.88%, 05/15/2026* | | 30,000 | 27,503 |
| William Carter Co. | | | |
| 5.63%, 03/15/2027* | | 90,000 | 86,557 |
| | | | 114,060 |
| Banks — 2.3% |
| Bank of America Corp. | | | |
| 1.90%, 07/23/2031 | | 5,000 | 3,799 |
| 2.30%, 07/21/2032 | | 5,000 | 3,789 |
| 2.57%, 10/20/2032 | | 20,000 | 15,368 |
| 2.59%, 04/29/2031 | | 50,000 | 40,180 |
| 2.69%, 04/22/2032 | | 65,000 | 51,086 |
| 3.19%, 07/23/2030 | | 80,000 | 68,382 |
| 5.02%, 07/22/2033 | | 5,000 | 4,600 |
| 5.20%, 04/25/2029 | | 25,000 | 24,083 |
| 5.93%, 09/15/2027 | | 35,000 | 34,740 |
| Barclays PLC | | | |
| 7.12%, 06/27/2034 | | 200,000 | 192,627 |
| Citigroup, Inc. | | | |
| 1.28%, 11/03/2025 | | 35,000 | 33,056 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| Goldman Sachs Group, Inc. | | | |
| 2.62%, 04/22/2032 | | $ 75,000 | $ 58,581 |
| 3.81%, 04/23/2029 | | 50,000 | 45,402 |
| 4.02%, 10/31/2038 | | 10,000 | 7,872 |
| HSBC Holdings PLC | | | |
| 5.21%, 08/11/2028 | | 200,000 | 192,553 |
| Huntington Bancshares, Inc. | | | |
| 6.21%, 08/21/2029 | | 5,000 | 4,891 |
| JPMorgan Chase & Co. | | | |
| 3.51%, 01/23/2029 | | 27,000 | 24,490 |
| 3.70%, 05/06/2030 | | 65,000 | 57,972 |
| 4.01%, 04/23/2029 | | 35,000 | 32,255 |
| 5.30%, 07/24/2029 | | 25,000 | 24,325 |
| M&T Bank Corp. | | | |
| 5.05%, 01/27/2034 | | 30,000 | 25,943 |
| Morgan Stanley | | | |
| 1.79%, 02/13/2032 | | 5,000 | 3,703 |
| 2.24%, 07/21/2032 | | 30,000 | 22,611 |
| 2.48%, 01/21/2028 | | 20,000 | 17,832 |
| 2.70%, 01/22/2031 | | 10,000 | 8,176 |
| 4.21%, 04/20/2028 | | 30,000 | 28,208 |
| 4.43%, 01/23/2030 | | 10,000 | 9,251 |
| 5.16%, 04/20/2029 | | 30,000 | 28,862 |
| 5.45%, 07/20/2029 | | 5,000 | 4,872 |
| Morgan Stanley VRS | | | |
| 3.59%, 07/22/2028(2) | | 15,000 | 13,686 |
| Wells Fargo & Co. | | | |
| 2.57%, 02/11/2031 | | 15,000 | 12,125 |
| 3.00%, 10/23/2026 | | 67,000 | 61,532 |
| 3.35%, 03/02/2033 | | 25,000 | 20,209 |
| 4.90%, 07/25/2033 | | 10,000 | 9,050 |
| 5.39%, 04/24/2034 | | 10,000 | 9,349 |
| 5.57%, 07/25/2029 | | 70,000 | 68,291 |
| | | | 1,263,751 |
| Biotechnology — 0.2% |
| Amgen, Inc. | | | |
| 5.25%, 03/02/2030 to 03/02/2033 | | 50,000 | 47,903 |
| CSL Finance PLC | | | |
| 4.05%, 04/27/2029* | | 18,000 | 16,790 |
| Royalty Pharma PLC | | | |
| 2.15%, 09/02/2031 | | 25,000 | 18,708 |
| 2.20%, 09/02/2030 | | 10,000 | 7,763 |
| 3.55%, 09/02/2050 | | 10,000 | 6,112 |
| | | | 97,276 |
| Building Materials — 0.2% |
| Builders FirstSource, Inc. | | | |
| 5.00%, 03/01/2030* | | 55,000 | 49,038 |
| Standard Industries, Inc. | | | |
| 4.38%, 07/15/2030* | | 50,000 | 41,410 |
| | | | 90,448 |
| Chemicals — 0.1% |
| Celanese US Holdings LLC | | | |
| 6.17%, 07/15/2027 | | 25,000 | 24,652 |
| 6.33%, 07/15/2029 | | 20,000 | 19,604 |
| 6.55%, 11/15/2030 | | 15,000 | 14,680 |
| Sherwin-Williams Co. | | | |
| 4.50%, 06/01/2047 | | 5,000 | 3,998 |
| | | | 62,934 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Commercial Services — 0.4% |
| Gartner, Inc. | | | |
| 4.50%, 07/01/2028* | | $ 25,000 | $ 22,808 |
| Howard University | | | |
| 2.80%, 10/01/2030 | | 5,000 | 4,142 |
| 2.90%, 10/01/2031 | | 40,000 | 32,473 |
| Service Corp. International | | | |
| 3.38%, 08/15/2030 | | 65,000 | 52,390 |
| 5.13%, 06/01/2029 | | 51,000 | 47,150 |
| United Rentals North America, Inc. | | | |
| 4.88%, 01/15/2028 | | 40,000 | 37,364 |
| | | | 196,327 |
| Computers — 0.1% |
| Booz Allen Hamilton, Inc. | | | |
| 3.88%, 09/01/2028* | | 80,000 | 71,672 |
| Cosmetics/Personal Care — 0.0% |
| Kenvue, Inc. | | | |
| 5.05%, 03/22/2053* | | 15,000 | 13,625 |
| Distribution/Wholesale — 0.0% |
| LKQ Corp. | | | |
| 5.75%, 06/15/2028* | | 10,000 | 9,769 |
| Diversified Financial Services — 0.5% |
| Capital One Financial Corp. | | | |
| 1.88%, 11/02/2027 | | 65,000 | 56,566 |
| 3.27%, 03/01/2030 | | 15,000 | 12,548 |
| 5.25%, 07/26/2030 | | 8,000 | 7,416 |
| 5.47%, 02/01/2029 | | 10,000 | 9,519 |
| 5.82%, 02/01/2034 | | 10,000 | 9,012 |
| 6.31%, 06/08/2029 | | 10,000 | 9,773 |
| 6.38%, 06/08/2034 | | 10,000 | 9,437 |
| GTP Acquisition Partners I LLC | | | |
| 3.48%, 06/15/2050* | | 135,000 | 129,173 |
| Intercontinental Exchange, Inc. | | | |
| 4.35%, 06/15/2029 | | 10,000 | 9,403 |
| Nasdaq, Inc. | | | |
| 5.35%, 06/28/2028 | | 10,000 | 9,817 |
| 5.55%, 02/15/2034 | | 10,000 | 9,545 |
| OneMain Finance Corp. | | | |
| 6.13%, 03/15/2024 | | 5,000 | 4,984 |
| Synchrony Financial | | | |
| 2.88%, 10/28/2031 | | 10,000 | 7,085 |
| 7.25%, 02/02/2033 | | 15,000 | 13,239 |
| | | | 297,517 |
| Electric — 2.0% |
| AES Corp. | | | |
| 3.30%, 07/15/2025* | | 18,000 | 17,049 |
| Alabama Power Co. | | | |
| 3.45%, 10/01/2049 | | 30,000 | 19,937 |
| 4.15%, 08/15/2044 | | 10,000 | 7,691 |
| Arizona Public Service Co. | | | |
| 5.55%, 08/01/2033 | | 10,000 | 9,694 |
| Berkshire Hathaway Energy Co. | | | |
| 1.65%, 05/15/2031 | | 10,000 | 7,484 |
| 4.60%, 05/01/2053 | | 15,000 | 11,716 |
| Cleco Corporate Holdings LLC | | | |
| 3.38%, 09/15/2029 | | 13,000 | 10,859 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 3.20%, 12/01/2051 | | 15,000 | 9,394 |
| Dominion Energy, Inc. | | | |
| 3.38%, 04/01/2030 | | 5,000 | 4,301 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Electric (continued) |
| 5.38%, 11/15/2032 | | $ 65,000 | $ 62,056 |
| Duke Energy Carolinas LLC | | | |
| 2.55%, 04/15/2031 | | 20,000 | 16,390 |
| Duke Energy Corp. | | | |
| 2.55%, 06/15/2031 | | 55,000 | 43,610 |
| 4.50%, 08/15/2032 | | 20,000 | 17,991 |
| 5.00%, 08/15/2052 | | 5,000 | 4,156 |
| Duke Energy Indiana LLC | | | |
| 2.75%, 04/01/2050 | | 25,000 | 14,316 |
| Duke Energy Progress LLC | | | |
| 3.70%, 10/15/2046 | | 10,000 | 6,938 |
| 4.00%, 04/01/2052 | | 10,000 | 7,275 |
| 4.38%, 03/30/2044 | | 15,000 | 11,976 |
| Edison International | | | |
| 5.25%, 11/15/2028 | | 5,000 | 4,811 |
| 6.95%, 11/15/2029 | | 30,000 | 30,939 |
| Emera, Inc. | | | |
| 6.75%, 06/15/2076 | | 10,000 | 9,600 |
| Evergy Metro, Inc. | | | |
| 2.25%, 06/01/2030 | | 5,000 | 4,035 |
| Evergy, Inc. | | | |
| 2.45%, 09/15/2024 | | 25,000 | 24,151 |
| 2.90%, 09/15/2029 | | 9,000 | 7,687 |
| Eversource Energy | | | |
| 3.38%, 03/01/2032 | | 11,000 | 9,125 |
| 5.13%, 05/15/2033 | | 25,000 | 23,253 |
| 5.45%, 03/01/2028 | | 5,000 | 4,942 |
| Florida Power & Light Co. | | | |
| 5.10%, 04/01/2033 | | 10,000 | 9,674 |
| Georgia Power Co. | | | |
| 4.70%, 05/15/2032 | | 15,000 | 13,898 |
| IPALCO Enterprises, Inc. | | | |
| 3.70%, 09/01/2024 | | 19,000 | 18,557 |
| Kentucky Utilities Co. | | | |
| 5.45%, 04/15/2033 | | 10,000 | 9,770 |
| Monongahela Power Co. | | | |
| 5.85%, 02/15/2034* | | 10,000 | 9,815 |
| National Grid PLC | | | |
| 5.60%, 06/12/2028 | | 5,000 | 4,946 |
| National Rural Utilities Cooperative Finance Corp. | | | |
| 5.80%, 01/15/2033 | | 15,000 | 14,978 |
| Nextera Energy Capital Holdings, Inc. | | | |
| 2.25%, 06/01/2030 | | 20,000 | 16,011 |
| NextEra Energy Capital Holdings, Inc. | | | |
| 1.88%, 01/15/2027 | | 5,000 | 4,427 |
| 4.63%, 07/15/2027 | | 49,000 | 47,229 |
| 5.00%, 02/28/2030 to 07/15/2032 | | 20,000 | 18,795 |
| 6.05%, 03/01/2025 | | 5,000 | 5,008 |
| NRG Energy, Inc. | | | |
| 2.45%, 12/02/2027* | | 17,000 | 14,410 |
| Oglethorpe Power Corp. | | | |
| 4.50%, 04/01/2047 | | 15,000 | 11,204 |
| Ohio Edison Co. | | | |
| 5.50%, 01/15/2033* | | 10,000 | 9,567 |
| Pacific Gas & Electric Co. | | | |
| 2.50%, 02/01/2031 | | 15,000 | 11,412 |
| 4.40%, 03/01/2032 | | 10,000 | 8,470 |
| 4.55%, 07/01/2030 | | 30,000 | 26,519 |
| 4.95%, 07/01/2050 | | 15,000 | 11,181 |
| 5.25%, 03/01/2052 | | 2,000 | 1,541 |
| 5.90%, 06/15/2032 | | 35,000 | 32,687 |
| 6.10%, 01/15/2029 | | 35,000 | 34,185 |
| 6.15%, 01/15/2033 | | 25,000 | 23,711 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Electric (continued) |
| 6.40%, 06/15/2033 | | $ 65,000 | $ 62,649 |
| PPL Capital Funding, Inc. | | | |
| 4.13%, 04/15/2030 | | 5,000 | 4,490 |
| Puget Energy, Inc. | | | |
| 2.38%, 06/15/2028 | | 20,000 | 17,108 |
| 4.10%, 06/15/2030 | | 20,000 | 17,427 |
| Sempra | | | |
| 3.70%, 04/01/2029 | | 7,000 | 6,307 |
| 5.40%, 08/01/2026 | | 20,000 | 19,788 |
| Southern California Edison Co. | | | |
| 2.85%, 08/01/2029 | | 15,000 | 12,937 |
| 5.30%, 03/01/2028 | | 20,000 | 19,740 |
| 5.85%, 11/01/2027 | | 5,000 | 5,027 |
| Southern Co. | | | |
| 3.25%, 07/01/2026 | | 45,000 | 42,194 |
| 3.70%, 04/30/2030 | | 4,000 | 3,543 |
| 5.20%, 06/15/2033 | | 15,000 | 14,178 |
| 5.70%, 03/15/2034 | | 10,000 | 9,793 |
| Southwestern Electric Power Co. | | | |
| 5.30%, 04/01/2033 | | 60,000 | 56,656 |
| Virginia Electric & Power Co. | | | |
| 5.00%, 04/01/2033 | | 20,000 | 18,749 |
| Xcel Energy, Inc. | | | |
| 1.75%, 03/15/2027 | | 55,000 | 48,405 |
| 4.60%, 06/01/2032 | | 9,000 | 8,167 |
| | | | 1,126,529 |
| Electronics — 0.0% |
| Sensata Technologies BV | | | |
| 5.00%, 10/01/2025* | | 20,000 | 19,389 |
| Entertainment — 0.1% |
| Warnermedia Holdings, Inc. | | | |
| 5.05%, 03/15/2042 | | 7,000 | 5,414 |
| 5.14%, 03/15/2052 | | 25,000 | 18,576 |
| WMG Acquisition Corp. | | | |
| 3.88%, 07/15/2030* | | 65,000 | 54,905 |
| | | | 78,895 |
| Environmental Control — 0.2% |
| Clean Harbors, Inc. | | | |
| 4.88%, 07/15/2027* | | 80,000 | 75,387 |
| Veralto Corp. | | | |
| 5.35%, 09/18/2028* | | 20,000 | 19,774 |
| | | | 95,161 |
| Food — 0.1% |
| Kellanova | | | |
| 3.40%, 11/15/2027 | | 20,000 | 18,381 |
| Conagra Brands, Inc. | | | |
| 4.85%, 11/01/2028 | | 18,000 | 17,185 |
| General Mills, Inc. | | | |
| 4.95%, 03/29/2033 | | 5,000 | 4,685 |
| | | | 40,251 |
| Gas — 0.3% |
| Brooklyn Union Gas Co. | | | |
| 6.39%, 09/15/2033* | | 20,000 | 19,618 |
| KeySpan Gas East Corp. | | | |
| 5.99%, 03/06/2033* | | 20,000 | 19,301 |
| NiSource, Inc. | | | |
| 3.49%, 05/15/2027 | | 35,000 | 32,441 |
| 3.60%, 05/01/2030 | | 30,000 | 26,132 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Gas (continued) |
| 5.25%, 03/30/2028 | | $ 25,000 | $ 24,501 |
| Piedmont Natural Gas Co., Inc. | | | |
| 5.40%, 06/15/2033 | | 10,000 | 9,534 |
| Southern California Gas Co. | | | |
| 5.20%, 06/01/2033 | | 20,000 | 18,920 |
| Southern Co. Gas Capital Corp. | | | |
| 5.75%, 09/15/2033 | | 5,000 | 4,902 |
| | | | 155,349 |
| Hand/Machine Tools — 0.1% |
| Regal Rexnord Corp. | | | |
| 6.05%, 04/15/2028* | | 40,000 | 38,907 |
| 6.30%, 02/15/2030* | | 15,000 | 14,489 |
| | | | 53,396 |
| Healthcare-Products — 0.2% |
| Avantor Funding, Inc. | | | |
| 4.63%, 07/15/2028* | | 50,000 | 45,584 |
| Hologic, Inc. | | | |
| 4.63%, 02/01/2028* | | 44,000 | 40,487 |
| | | | 86,071 |
| Healthcare-Services — 0.3% |
| Centene Corp. | | | |
| 2.45%, 07/15/2028 | | 15,000 | 12,673 |
| 4.63%, 12/15/2029 | | 75,000 | 67,547 |
| CommonSpirit Health | | | |
| 3.35%, 10/01/2029 | | 5,000 | 4,365 |
| Humana, Inc. | | | |
| 3.70%, 03/23/2029 | | 18,000 | 16,420 |
| Kaiser Foundation Hospitals | | | |
| 2.81%, 06/01/2041 | | 5,000 | 3,358 |
| 3.00%, 06/01/2051 | | 17,000 | 10,701 |
| Sutter Health | | | |
| 3.36%, 08/15/2050 | | 8,000 | 5,229 |
| UnitedHealth Group, Inc. | | | |
| 2.75%, 05/15/2040 | | 10,000 | 6,794 |
| 3.50%, 08/15/2039 | | 10,000 | 7,700 |
| 4.95%, 05/15/2062 | | 5,000 | 4,310 |
| 5.25%, 02/15/2028 | | 10,000 | 10,017 |
| 5.88%, 02/15/2053 | | 10,000 | 10,036 |
| 6.05%, 02/15/2063 | | 5,000 | 5,059 |
| | | | 164,209 |
| Home Builders — 0.1% |
| Taylor Morrison Communities, Inc. | | | |
| 5.75%, 01/15/2028* | | 42,000 | 39,123 |
| Insurance — 0.3% |
| Aon Corp./Aon Global Holdings PLC | | | |
| 5.35%, 02/28/2033 | | 10,000 | 9,586 |
| Athene Global Funding | | | |
| 2.65%, 10/04/2031* | | 50,000 | 37,021 |
| 2.72%, 01/07/2029* | | 29,000 | 24,090 |
| Equitable Financial Life Global Funding | | | |
| 1.80%, 03/08/2028* | | 58,000 | 48,538 |
| Marsh & McLennan Cos., Inc. | | | |
| 4.75%, 03/15/2039 | | 10,000 | 8,777 |
| Willis North America, Inc. | | | |
| 3.60%, 05/15/2024 | | 20,000 | 19,682 |
| | | | 147,694 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Internet — 0.2% |
| Gen Digital, Inc. | | | |
| 5.00%, 04/15/2025* | | $ 35,000 | $ 34,190 |
| 6.75%, 09/30/2027* | | 30,000 | 29,411 |
| Go Daddy Operating Co. LLC/GD Finance Co., Inc. | | | |
| 5.25%, 12/01/2027* | | 77,000 | 72,633 |
| | | | 136,234 |
| Investment Companies — 0.1% |
| Bain Capital Specialty Finance, Inc. | | | |
| 2.55%, 10/13/2026 | | 75,000 | 64,680 |
| Iron/Steel — 0.0% |
| ArcelorMittal SA | | | |
| 6.80%, 11/29/2032 | | 20,000 | 19,863 |
| Machinery-Diversified — 0.0% |
| Ingersoll Rand, Inc. | | | |
| 5.70%, 08/14/2033 | | 5,000 | 4,826 |
| Otis Worldwide Corp. | | | |
| 2.57%, 02/15/2030 | | 20,000 | 16,581 |
| | | | 21,407 |
| Media — 0.8% |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | |
| 4.50%, 08/15/2030* | | 70,000 | 57,457 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
| 3.50%, 03/01/2042 | | 20,000 | 12,359 |
| 3.90%, 06/01/2052 | | 15,000 | 8,968 |
| 4.80%, 03/01/2050 | | 10,000 | 6,993 |
| 5.13%, 07/01/2049 | | 15,000 | 10,935 |
| 6.48%, 10/23/2045 | | 15,000 | 13,097 |
| Comcast Corp. | | | |
| 2.99%, 11/01/2063 | | 3,000 | 1,659 |
| 3.20%, 07/15/2036 | | 5,000 | 3,855 |
| 3.25%, 11/01/2039 | | 23,000 | 16,802 |
| 7.05%, 03/15/2033 | | 5,000 | 5,456 |
| Cox Communications, Inc. | | | |
| 2.60%, 06/15/2031* | | 20,000 | 15,580 |
| Discovery Communications LLC | | | |
| 3.63%, 05/15/2030 | | 10,000 | 8,465 |
| 3.90%, 11/15/2024 | | 30,000 | 29,172 |
| 4.00%, 09/15/2055 | | 33,000 | 19,799 |
| 5.20%, 09/20/2047 | | 15,000 | 11,372 |
| 5.30%, 05/15/2049 | | 25,000 | 19,143 |
| Paramount Global | | | |
| 4.20%, 05/19/2032 | | 25,000 | 19,874 |
| 4.38%, 03/15/2043 | | 20,000 | 12,936 |
| 4.95%, 01/15/2031 | | 50,000 | 42,938 |
| 5.25%, 04/01/2044 | | 15,000 | 10,474 |
| Sirius XM Radio, Inc. | | | |
| 3.13%, 09/01/2026* | | 60,000 | 53,475 |
| 4.00%, 07/15/2028* | | 20,000 | 17,071 |
| Time Warner Cable LLC | | | |
| 4.50%, 09/15/2042 | | 30,000 | 20,785 |
| 5.88%, 11/15/2040 | | 25,000 | 20,714 |
| | | | 439,379 |
| Mining — 0.1% |
| FMG Resources August 2006 Pty, Ltd. | | | |
| 4.38%, 04/01/2031* | | 10,000 | 8,228 |
| Glencore Funding LLC | | | |
| 2.85%, 04/27/2031* | | 10,000 | 7,935 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Mining (continued) |
| 5.70%, 05/08/2033* | | $ 15,000 | $ 14,224 |
| 6.38%, 10/06/2030* | | 30,000 | 29,919 |
| | | | 60,306 |
| Office/Business Equipment — 0.1% |
| CDW LLC/CDW Finance Corp. | | | |
| 3.25%, 02/15/2029 | | 59,000 | 50,309 |
| Oil & Gas — 0.7% |
| BP Capital Markets America, Inc. | | | |
| 2.94%, 06/04/2051 | | 18,000 | 10,990 |
| 3.00%, 02/24/2050 | | 10,000 | 6,235 |
| 4.81%, 02/13/2033 | | 35,000 | 32,756 |
| 4.89%, 09/11/2033 | | 10,000 | 9,388 |
| ConocoPhillips Co. | | | |
| 4.03%, 03/15/2062 | | 5,000 | 3,592 |
| 5.05%, 09/15/2033 | | 20,000 | 19,146 |
| 5.70%, 09/15/2063 | | 15,000 | 14,291 |
| Continental Resources, Inc. | | | |
| 2.88%, 04/01/2032* | | 5,000 | 3,744 |
| 5.75%, 01/15/2031* | | 10,000 | 9,395 |
| Ecopetrol SA | | | |
| 4.63%, 11/02/2031 | | 7,000 | 5,344 |
| 8.63%, 01/19/2029 | | 40,000 | 40,142 |
| Energean Israel Finance, Ltd. | | | |
| 4.88%, 03/30/2026* | | 10,000 | 9,288 |
| 5.88%, 03/30/2031* | | 30,000 | 26,018 |
| Equinor ASA | | | |
| 3.63%, 04/06/2040 | | 20,000 | 15,434 |
| Hess Corp. | | | |
| 7.13%, 03/15/2033 | | 7,000 | 7,392 |
| 7.30%, 08/15/2031 | | 10,000 | 10,592 |
| Leviathan Bond, Ltd. | | | |
| 6.50%, 06/30/2027* | | 50,000 | 47,375 |
| Marathon Oil Corp. | | | |
| 6.60%, 10/01/2037 | | 10,000 | 9,739 |
| Occidental Petroleum Corp. | | | |
| 6.45%, 09/15/2036 | | 10,000 | 9,819 |
| 6.63%, 09/01/2030 | | 10,000 | 10,133 |
| Ovintiv, Inc. | | | |
| 6.50%, 08/15/2034 | | 5,000 | 4,924 |
| 7.38%, 11/01/2031 | | 40,000 | 41,913 |
| Shell International Finance BV | | | |
| 2.88%, 11/26/2041 | | 15,000 | 10,180 |
| 3.00%, 11/26/2051 | | 3,000 | 1,873 |
| 3.25%, 04/06/2050 | | 13,000 | 8,632 |
| Viper Energy Partners LP | | | |
| 5.38%, 11/01/2027* | | 33,000 | 31,259 |
| | | | 399,594 |
| Packaging & Containers — 0.2% |
| Ball Corp. | | | |
| 4.00%, 11/15/2023 | | 10,000 | 9,954 |
| 6.00%, 06/15/2029 | | 80,000 | 77,666 |
| Graphic Packaging International LLC | | | |
| 4.75%, 07/15/2027* | | 45,000 | 42,418 |
| | | | 130,038 |
| Pharmaceuticals — 0.1% |
| CVS Health Corp. | | | |
| 5.13%, 02/21/2030 | | 20,000 | 19,237 |
| 5.25%, 01/30/2031 | | 15,000 | 14,412 |
| | | | 33,649 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Pipelines — 0.6% |
| Cheniere Energy Partners LP | | | |
| 4.50%, 10/01/2029 | | $ 10,000 | $ 9,055 |
| Columbia Pipelines Holding Co. LLC | | | |
| 6.04%, 08/15/2028* | | 15,000 | 14,924 |
| Columbia Pipelines Operating Co. LLC | | | |
| 5.93%, 08/15/2030* | | 5,000 | 4,936 |
| 6.04%, 11/15/2033* | | 20,000 | 19,522 |
| 6.54%, 11/15/2053* | | 5,000 | 4,888 |
| Enbridge, Inc. | | | |
| 5.70%, 03/08/2033 | | 37,000 | 35,446 |
| 8.50%, 01/15/2084 | | 25,000 | 24,794 |
| Energy Transfer LP | | | |
| 6.13%, 12/15/2045 | | 8,000 | 7,116 |
| EQM Midstream Partners LP | | | |
| 4.13%, 12/01/2026 | | 30,000 | 27,770 |
| MPLX LP | | | |
| 1.75%, 03/01/2026 | | 15,000 | 13,601 |
| 4.95%, 09/01/2032 | | 2,000 | 1,821 |
| 5.20%, 03/01/2047 | | 5,000 | 4,083 |
| ONEOK, Inc. | | | |
| 3.40%, 09/01/2029 | | 15,000 | 13,018 |
| 4.35%, 03/15/2029 | | 5,000 | 4,611 |
| 6.10%, 11/15/2032 | | 15,000 | 14,810 |
| Sabine Pass Liquefaction LLC | | | |
| 4.50%, 05/15/2030 | | 10,000 | 9,171 |
| Targa Resources Corp. | | | |
| 6.13%, 03/15/2033 | | 15,000 | 14,705 |
| 6.25%, 07/01/2052 | | 5,000 | 4,591 |
| 6.50%, 02/15/2053 | | 3,000 | 2,863 |
| TransCanada PipeLines, Ltd. | | | |
| 2.50%, 10/12/2031 | | 10,000 | 7,743 |
| Transcontinental Gas Pipe Line Co. LLC | | | |
| 3.25%, 05/15/2030 | | 10,000 | 8,577 |
| Western Midstream Operating LP | | | |
| 4.75%, 08/15/2028 | | 25,000 | 23,381 |
| 6.15%, 04/01/2033 | | 15,000 | 14,466 |
| Williams Cos., Inc. | | | |
| 4.65%, 08/15/2032 | | 22,000 | 20,013 |
| 5.65%, 03/15/2033 | | 10,000 | 9,663 |
| | | | 315,568 |
| REITS — 0.5% |
| American Tower Corp. | | | |
| 1.45%, 09/15/2026 | | 15,000 | 13,219 |
| 2.40%, 03/15/2025 | | 10,000 | 9,481 |
| 2.70%, 04/15/2031 | | 5,000 | 3,965 |
| 3.65%, 03/15/2027 | | 4,000 | 3,706 |
| 3.80%, 08/15/2029 | | 5,000 | 4,448 |
| 5.80%, 11/15/2028 | | 15,000 | 14,887 |
| Crown Castle, Inc. | | | |
| 4.80%, 09/01/2028 | | 40,000 | 37,967 |
| 5.00%, 01/11/2028 | | 20,000 | 19,321 |
| Crown Castle, Inc. | | | |
| 2.90%, 03/15/2027 | | 15,000 | 13,605 |
| Equinix, Inc. | | | |
| 3.20%, 11/18/2029 | | 20,000 | 17,127 |
| GLP Capital LP/GLP Financing II, Inc. | | | |
| 3.25%, 01/15/2032 | | 10,000 | 7,761 |
| 4.00%, 01/15/2031 | | 7,000 | 5,828 |
| 5.30%, 01/15/2029 | | 18,000 | 16,686 |
| 5.75%, 06/01/2028 | | 15,000 | 14,382 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| REITS (continued) |
| SBA Tower Trust | | | |
| 2.84%, 01/15/2025* | | $ 40,000 | $ 38,286 |
| VICI Properties LP | | | |
| 4.95%, 02/15/2030 | | 39,000 | 35,684 |
| | | | 256,353 |
| Retail — 0.4% |
| AutoZone, Inc. | | | |
| 4.75%, 08/01/2032 | | 14,000 | 12,842 |
| FirstCash, Inc. | | | |
| 4.63%, 09/01/2028* | | 50,000 | 44,304 |
| 5.63%, 01/01/2030* | | 45,000 | 40,488 |
| Gap, Inc. | | | |
| 3.63%, 10/01/2029* | | 59,000 | 43,661 |
| 3.88%, 10/01/2031* | | 61,000 | 42,860 |
| O'Reilly Automotive, Inc. | | | |
| 4.70%, 06/15/2032 | | 31,000 | 28,408 |
| | | | 212,563 |
| Semiconductors — 0.2% |
| Broadcom, Inc. | | | |
| 4.00%, 04/15/2029* | | 33,000 | 29,779 |
| 4.30%, 11/15/2032 | | 15,000 | 13,087 |
| Intel Corp. | | | |
| 3.05%, 08/12/2051 | | 10,000 | 6,079 |
| 3.10%, 02/15/2060 | | 5,000 | 2,875 |
| 5.90%, 02/10/2063 | | 12,000 | 11,376 |
| Marvell Technology, Inc. | | | |
| 2.45%, 04/15/2028 | | 20,000 | 17,276 |
| 2.95%, 04/15/2031 | | 15,000 | 12,135 |
| 5.95%, 09/15/2033 | | 5,000 | 4,908 |
| NXP BV/NXP Funding LLC | | | |
| 5.35%, 03/01/2026 | | 8,000 | 7,881 |
| 5.55%, 12/01/2028 | | 10,000 | 9,788 |
| Qorvo, Inc. | | | |
| 3.38%, 04/01/2031* | | 20,000 | 15,841 |
| | | | 131,025 |
| Software — 0.7% |
| Black Knight InfoServ LLC | | | |
| 3.63%, 09/01/2028* | | 64,000 | 57,360 |
| Fair Isaac Corp. | | | |
| 4.00%, 06/15/2028* | | 60,000 | 53,645 |
| MSCI, Inc. | | | |
| 3.63%, 11/01/2031* | | 20,000 | 16,361 |
| 3.88%, 02/15/2031* | | 10,000 | 8,472 |
| 4.00%, 11/15/2029* | | 10,000 | 8,783 |
| Open Text Corp. | | | |
| 3.88%, 12/01/2029* | | 50,000 | 41,101 |
| 6.90%, 12/01/2027* | | 40,000 | 40,091 |
| Oracle Corp. | | | |
| 2.30%, 03/25/2028 | | 33,000 | 28,590 |
| 2.95%, 04/01/2030 | | 10,000 | 8,415 |
| 3.60%, 04/01/2040 | | 6,000 | 4,335 |
| 3.85%, 04/01/2060 | | 52,000 | 33,067 |
| 4.10%, 03/25/2061 | | 2,000 | 1,334 |
| 4.90%, 02/06/2033 | | 15,000 | 13,826 |
| SS&C Technologies, Inc. | | | |
| 5.50%, 09/30/2027* | | 45,000 | 42,464 |
| | | | 357,844 |
| Telecommunications — 0.3% |
| AT&T, Inc. | | | |
| 2.55%, 12/01/2033 | | 15,000 | 11,017 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Telecommunications (continued) |
| 3.55%, 09/15/2055 | | $ 14,000 | $ 8,570 |
| 3.65%, 09/15/2059 | | 2,000 | 1,217 |
| 3.80%, 12/01/2057 | | 25,000 | 15,838 |
| 4.50%, 05/15/2035 | | 5,000 | 4,265 |
| 5.40%, 02/15/2034 | | 20,000 | 18,718 |
| Nokia Oyj | | | |
| 6.63%, 05/15/2039 | | 20,000 | 17,926 |
| Rogers Communications, Inc. | | | |
| 3.80%, 03/15/2032 | | 15,000 | 12,466 |
| T-Mobile USA, Inc. | | | |
| 2.05%, 02/15/2028 | | 38,000 | 32,676 |
| 2.40%, 03/15/2029 | | 5,000 | 4,207 |
| 5.05%, 07/15/2033 | | 15,000 | 13,917 |
| 5.75%, 01/15/2034 | | 10,000 | 9,755 |
| Verizon Communications, Inc. | | | |
| 2.36%, 03/15/2032 | | 10,000 | 7,630 |
| 2.55%, 03/21/2031 | | 14,000 | 11,147 |
| 2.85%, 09/03/2041 | | 4,000 | 2,586 |
| | | | 171,935 |
| Trucking & Leasing — 0.1% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. | | | |
| 2.70%, 11/01/2024* | | 30,000 | 28,879 |
| 4.40%, 07/01/2027* | | 28,000 | 26,240 |
| 6.05%, 08/01/2028* | | 5,000 | 4,937 |
| | | | 60,056 |
Total Corporate Bonds & Notes
(cost $8,137,151) | | | 7,337,574 |
| ASSET BACKED SECURITIES — 4.6% |
| Auto Loan Receivables — 1.2% |
| American Credit Acceptance Receivables Trust | | | |
Series 2023-3, Class B
6.09%, 11/12/2027* | | 20,000 | 19,967 |
| AmeriCredit Automobile Receivables Trust | | | |
Series 2019-3, Class D
2.58%, 09/18/2025 | | 35,000 | 34,420 |
| ARI Fleet Lease Trust | | | |
Series 2023-A, Class A2
5.41%, 02/17/2032* | | 100,000 | 99,128 |
| Chesapeake Funding II LLC | | | |
Series 2023-1A, Class A1
5.65%, 05/15/2035* | | 89,399 | 88,795 |
| Drive Auto Receivables Trust | | | |
Series 2019-4, Class D
2.70%, 02/16/2027 | | 12,896 | 12,796 |
| DT Auto Owner Trust | | | |
Series 2023-1A, Class B
5.19%, 10/16/2028* | | 15,000 | 14,778 |
Series 2023-2A, Class B
5.41%, 02/15/2029* | | 15,000 | 14,779 |
| Exeter Automobile Receivables Trust | | | |
Series 2022-1A, Class B
2.18%, 06/15/2026 | | 12,744 | 12,656 |
Series 2019-4A, Class D
2.58%, 09/15/2025* | | 26,669 | 26,261 |
Series 2020-1A, Class D
2.73%, 12/15/2025* | | 10,330 | 10,143 |
Series 2023-1A, Class B
5.72%, 04/15/2027 | | 20,000 | 19,859 |
Series 2022-6A, Class B
6.03%, 08/16/2027 | | 9,000 | 8,945 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Auto Loan Receivables (continued) |
Series 2023-3A, Class B
6.11%, 09/15/2027 | | $ 8,000 | $ 7,971 |
| Flagship Credit Auto Trust | | | |
Series 2023-1, Class B
5.05%, 01/18/2028* | | 10,000 | 9,764 |
Series 2023-2, Class B
5.21%, 05/15/2028* | | 19,000 | 18,570 |
Series 2023-3, Class B
5.64%, 07/16/2029* | | 19,000 | 18,859 |
| OneMain Direct Auto Receivables Trust | | | |
Series 2023-1A, Class A
5.41%, 11/14/2029* | | 100,000 | 98,446 |
| Prestige Auto Receivables Trust | | | |
Series 2022-1A, Class B
6.55%, 07/17/2028* | | 30,000 | 29,968 |
| Santander Drive Auto Receivables Trust | | | |
Series 2023-1, Class B
4.98%, 02/15/2028 | | ��� 15,000 | 14,739 |
Series 2023-3, Class B
5.61%, 07/17/2028 | | 25,000 | 24,769 |
Series 2023-4, Class B
5.77%, 12/15/2028 | | 30,000 | 29,891 |
| SFS Auto Receivables Securitization Trust | | | |
Series 2023-1A, Class B
5.71%, 01/22/2030* | | 15,000 | 14,739 |
| Westlake Automobile Receivables Trust | | | |
Series 2020-3A, Class D
1.65%, 02/17/2026* | | 30,000 | 29,121 |
Series 2023-1A, Class B
5.41%, 01/18/2028* | | 10,000 | 9,874 |
| World Omni Auto Receivables Trust | | | |
Series 2023-A, Class B
5.03%, 05/15/2029 | | 15,000 | 14,620 |
| | | | 683,858 |
| Credit Card Receivables — 0.2% |
| Mercury Financial Credit Card Master Trust | | | |
| Series 2022-1A, Class A 2.50%, 09/21/2026* | | 100,000 | 95,725 |
| Home Equity — 0.2% |
| Asset Backed Securities Corp. Home Equity Loan Trust FRS | | | |
Series 2004-HE7, Class M2
7.01%, (TSFR1M+1.69%), 10/25/2034 | | 2,913 | 2,906 |
| Option One Mtg. Loan Trust FRS | | | |
Series 2006-3, Class 2A2
5.53%, (TSFR1M+0.21%), 02/25/2037 | | 25,083 | 12,382 |
| Soundview Home Loan Trust FRS | | | |
Series 2006-3, Class A4
5.93%, (TSFR1M+0.61%), 11/25/2036 | | 122,433 | 112,277 |
| | | | 127,565 |
| Other Asset Backed Securities — 3.0% |
| 510 Asset Backed Trust | | | |
Series 2021-NPL2, Class A1
2.12%, 06/25/2061*(3) | | 49,807 | 45,531 |
Series 2021-NPL1, Class A1
2.24%, 06/25/2061*(3) | | 48,873 | 45,529 |
| Affirm Asset Securitization Trust | | | |
Series 2020-Z2, Class A
1.90%, 01/15/2025* | | 2,886 | 2,865 |
| Aligned Data Centers Issuer LLC | | | |
Series 2023-1A, Class A2
6.00%, 08/17/2048* | | 40,000 | 38,478 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| ASSET BACKED SECURITIES (continued) |
| Other Asset Backed Securities (continued) |
| Bain Capital Credit CLO, Ltd. FRS | | | |
Series 2019-1A, Class AR
6.71%, (SOFR30A+1.39%), 04/19/2034* | | $ 100,000 | $ 99,348 |
| CNH Equipment Trust | | | |
Series 2023-A, Class A4
4.77%, 10/15/2030 | | 10,000 | 9,739 |
| DLLAA LLC | | | |
Series 2023-1A, Class A3
5.64%, 02/22/2028* | | 15,000 | 14,973 |
| Domino's Pizza Master Issuer LLC | | | |
Series 2021-1A, Class A2I
2.66%, 04/25/2051* | | 48,875 | 41,203 |
Series 2018-1A, Class A2I
4.12%, 07/25/2048* | | 47,625 | 45,184 |
| FirstKey Homes Trust | | | |
Series 2022-SFR2, Class A
4.25%, 07/17/2039* | | 99,438 | 93,154 |
| Kubota Credit Owner Trust | | | |
Series 2023-1A, Class A3
5.02%, 06/15/2027* | | 20,000 | 19,685 |
| Navient Private Education Refi Loan Trust | | | |
Series 2023-A, Class A
5.51%, 10/15/2071* | | 95,775 | 93,810 |
| Pretium Mtg. Credit Partners LLC | | | |
Series 2021-RN1, Class A1
1.99%, 02/25/2061*(3) | | 53,090 | 50,069 |
Series 2022-NPL1, Class A1
2.98%, 01/25/2052*(3) | | 66,050 | 61,384 |
| Securitized Asset Backed Receivables LLC Trust FRS | | | |
Series 2007-BR5, Class A2A
5.56%, (TSFR1M+0.24%), 05/25/2037 | | 46,854 | 35,122 |
| Summit Issuer LLC | | | |
Series 2020-1A, Class A2
2.29%, 12/20/2050* | | 25,000 | 22,494 |
| Taco Bell Funding LLC | | | |
Series 2021-1A, Class A2II
2.29%, 08/25/2051* | | 102,180 | 83,465 |
| VCAT LLC | | | |
Series 2021-NPL4, Class A1
1.87%, 08/25/2051*(3) | | 52,556 | 49,031 |
| Venture 42 CLO, Ltd. FRS | | | |
Series 2021-42A, Class A1A
6.70%, (TSFR3M+1.39%), 04/15/2034* | | 100,000 | 98,104 |
| Venture 43 CLO, Ltd. FRS | | | |
Series 2021-43A, Class A1
6.81%, (TSFR3M+1.50%), 04/15/2034* | | 100,000 | 99,031 |
| Vericrest Opportunity Loan Trust | | | |
Series 2021-NP11, Class A1
1.87%, 08/25/2051*(3) | | 65,673 | 60,724 |
| VOLT CIII LLC | | | |
Series 2021-CF1, Class A1
1.99%, 08/25/2051*(3) | | 55,500 | 51,162 |
| VOLT XCIV LLC | | | |
Series 2021-NPL3, Class A1
2.24%, 02/27/2051*(3) | | 52,367 | 49,343 |
| VOLT XCVII LLC | | | |
Series 2021-NPL6, Class A1
2.24%, 04/25/2051*(3) | | 53,570 | 49,894 |
| Voya CLO, Ltd. FRS | | | |
Series 2015-1A, Class A1R
6.47%, (TSFR3M+1.16%), 01/18/2029* | | 91,481 | 91,277 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Other Asset Backed Securities (continued) |
| Wellfleet CLO X, Ltd. FRS | | | |
Series 2019-XA, Class A1R
6.76%, (TSFR3M+1.43%), 07/20/2032* | | $ 250,000 | $ 247,922 |
| Wendy's Funding LLC | | | |
Series 2018-1A, Class A2II
3.88%, 03/15/2048* | | 47,125 | 42,193 |
| | | | 1,640,714 |
Total Asset Backed Securities
(cost $2,586,337) | | | 2,547,862 |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 7.7% |
| Commercial and Residential — 6.1% |
| 1211 Avenue of the Americas Trust | | | |
Series 2015-1211, Class A1A2
3.90%, 08/10/2035* | | 110,000 | 102,958 |
| Angel Oak Mtg. Trust VRS | | | |
Series 2021-1, Class A1
0.91%, 01/25/2066*(2) | | 20,699 | 16,888 |
Series 2020-R1, Class A1
0.99%, 04/25/2053*(2) | | 15,022 | 13,459 |
Series 2021-2, Class A1
0.99%, 04/25/2066*(2) | | 20,342 | 16,428 |
Series 2021-3, Class A1
1.07%, 05/25/2066*(2) | | 37,557 | 30,704 |
Series 2021-4, Class A2
1.24%, 01/20/2065*(2) | | 26,037 | 20,499 |
Series 2020-3, Class A1
1.69%, 04/25/2065*(2) | | 19,408 | 17,661 |
| BANK | | | |
Series 2019-BN17, Class A4
3.71%, 04/15/2052 | | 91,000 | 81,406 |
| BANK VRS | | | |
Series 2017-BNK8, Class XA
0.85%, 11/15/2050(2)(4) | | 814,906 | 19,037 |
Series 2020-BN26, Class XA
1.34%, 03/15/2063(2)(4) | | 972,165 | 53,732 |
| BBCMS Mtg. Trust VRS | | | |
Series 2022-C18, Class A4
5.44%, 12/15/2055(2) | | 20,000 | 19,478 |
Series 2022-C18, Class A5
5.71%, 12/15/2055(2) | | 10,000 | 9,854 |
| Bear Stearns Adjustable Rate Mtg. Trust VRS | | | |
Series 2005-12, Class 12A1
4.81%, 02/25/2036(2) | | 25,986 | 22,806 |
| Benchmark Mtg. Trust VRS | | | |
Series 2018-B4, Class XA
0.61%, 07/15/2051(2)(4) | | 289,882 | 4,499 |
Series 2018-B1, Class XA
0.68%, 01/15/2051(2)(4) | | 132,491 | 2,402 |
Series 2018-B8, Class XA
0.78%, 01/15/2052(2)(4) | | 899,935 | 21,543 |
Series 2019-B10, Class XA
1.36%, 03/15/2062(2)(4) | | 283,664 | 13,251 |
Series 2020-B22, Class XA
1.63%, 01/15/2054(2)(4) | | 149,124 | 12,044 |
Series 2020-B18, Class XA
1.91%, 07/15/2053(2)(4) | | 99,395 | 6,770 |
| Citigroup Commercial Mtg. Trust | | | |
Series 2014-GC19, Class A4
4.02%, 03/11/2047 | | 65,000 | 64,672 |
| Citigroup Mtg. Loan Trust, Inc. FRS | | | |
Series 2006-AR1, Class 3A1
4.10%, (H15T1Y+2.4%), 03/25/2036 | | 11,174 | 10,236 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| COLT Mtg. Loan Trust VRS | | | |
Series 2021-1, Class A1
0.91%, 06/25/2066*(2) | | $ 33,914 | $ 26,721 |
Series 2021-3, Class A1
0.96%, 09/27/2066*(2) | | 72,955 | 55,321 |
Series 2021-2, Class A3
1.34%, 08/25/2066*(2) | | 37,330 | 28,175 |
| Commercial Mtg. Trust | | | |
Series 2015-LC19, Class A4
3.18%, 02/10/2048 | | 90,000 | 86,368 |
Series 2014-CR21, Class A3
3.53%, 12/10/2047 | | 103,223 | 100,142 |
Series 2014-UBS2, Class A5
3.96%, 03/10/2047 | | 123,000 | 122,066 |
Series 2014-CR17, Class A5
3.98%, 05/10/2047 | | 60,000 | 59,074 |
| Countrywide Home Loan Mtg. Pass Through Trust | | | |
Series 2005-29, Class A1
5.75%, 12/25/2035 | | 15,084 | 7,305 |
| CSAIL Commercial Mtg. Trust VRS | | | |
Series 2015-C2, Class XA
0.85%, 06/15/2057(2)(4) | | 826,674 | 6,205 |
| CSMC Trust VRS | | | |
Series 2021-NQM5, Class A1
0.94%, 05/25/2066*(2) | | 64,998 | 49,111 |
Series 2021-NQM4, Class A1
1.10%, 05/25/2066*(2) | | 48,609 | 39,004 |
Series 2021-NQM2, Class A1
1.18%, 02/25/2066*(2) | | 41,754 | 34,554 |
Series 2021-NQM8, Class A1
1.84%, 10/25/2066*(2) | | 78,531 | 63,684 |
Series 2022-NQM1, Class A1
2.27%, 11/25/2066*(2) | | 87,612 | 71,873 |
Series 2017-FHA1, Class A1
3.25%, 04/25/2047*(2) | | 22,559 | 19,755 |
| DBJPM Mtg. Trust | | | |
Series 2016-C3, Class A5
2.89%, 08/10/2049 | | 115,000 | 104,599 |
Series 2016-C1, Class ASB
3.04%, 05/10/2049 | | 32,916 | 31,539 |
| DBJPM Mtg. Trust VRS | | | |
Series 2020-C9, Class XA
1.82%, 09/15/2053(2)(4) | | 99,370 | 5,926 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities Trust FRS | | | |
Series 2023-R06, Class 1M2
8.01%, (SOFR30A+2.70%), 07/25/2043* | | 35,000 | 35,186 |
| First Horizon Alternative Mtg. Securities Trust VRS | | | |
Series 2005-AA3, Class 3A1
5.94%, 05/25/2035(2) | | 17,474 | 15,677 |
| GCAT Trust VRS | | | |
Series 2021-NQM1, Class A1
0.87%, 01/25/2066*(2) | | 31,848 | 26,382 |
Series 2021-NQM3, Class A1
1.09%, 05/25/2066*(2) | | 52,235 | 41,662 |
Series 2021-NQM4, Class A1
1.09%, 08/25/2066*(2) | | 65,107 | 48,892 |
Series 2021-NQM7, Class A1
1.92%, 08/25/2066*(2) | | 61,078 | 51,689 |
| GS Mtg. Securities Corp. II | | | |
Series 2012-BWTR, Class A
2.95%, 11/05/2034* | | 110,000 | 80,549 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2005-ROCK, Class A
5.37%, 05/03/2032* | | $ 30,000 | $ 29,007 |
| GS Mtg. Securities Corp. Trust VRS | | | |
Series 2018-GS10, Class XA
0.46%, 07/10/2051(2)(4) | | 1,046,395 | 14,596 |
| GS Mtg. Securities Trust | | | |
Series 2016-GS2, Class A4
3.05%, 05/10/2049 | | 86,000 | 79,674 |
Series 2014-GC20, Class A5
4.00%, 04/10/2047 | | 115,000 | 113,888 |
| GSR Mtg. Loan Trust VRS | | | |
Series 2007-AR1, Class 2A1
3.84%, 03/25/2047(2) | | 8,734 | 5,554 |
Series 2006-AR2, Class 3A1
4.74%, 04/25/2036(2) | | 2,973 | 1,892 |
| Impac CMB Trust FRS | | | |
Series 2005-4, Class 1A1A
5.97%, (TSFR1M+0.38%), 05/25/2035 | | 13,557 | 12,275 |
| JPMDB Commercial Mtg. Securities Trust | | | |
Series 2016-C4, Class A3
3.14%, 12/15/2049 | | 80,000 | 72,409 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2020-NNN, Class AFX
2.81%, 01/16/2037* | | 20,000 | 18,195 |
Series 2013-C16, Class A4
4.17%, 12/15/2046 | | 2,778 | 2,771 |
| Legacy Mtg. Asset Trust | | | |
Series 2019-GS7, Class A1
6.25%, 11/25/2059*(3) | | 64,871 | 64,267 |
| LSTAR Securities Investment, Ltd. FRS | | | |
Series 2021-1, Class A
8.23%, (TSFR3M+2.91%), 02/01/2026* | | 44,029 | 43,553 |
| Merrill Lynch Mtg. Investors Trust VRS | | | |
Series 2005-A2, Class A2
4.15%, 02/25/2035(2) | | 9,902 | 9,095 |
Series 2005-A1, Class 2A1
4.56%, 12/25/2034(2) | | 4,174 | 4,022 |
| Mill City Mtg. Loan Trust VRS | | | |
Series 2017-3, Class A1
2.75%, 01/25/2061*(2) | | 9,627 | 9,337 |
Series 2018-1, Class A1
3.25%, 05/25/2062*(2) | | 16,639 | 16,046 |
| Morgan Stanley Bank of America Merrill Lynch Trust | | | |
Series 2014-C14, Class A5
4.06%, 02/15/2047 | | 13,515 | 13,416 |
| Morgan Stanley Bank of America Merrill Lynch Trust VRS | | | |
Series 2014-C19, Class XA
1.10%, 12/15/2047(2)(4) | | 167,698 | 1,029 |
| Morgan Stanley Capital I Trust VRS | | | |
Series 2017-H1, Class XA
1.48%, 06/15/2050(2)(4) | | 93,774 | 2,818 |
| Morgan Stanley Mtg. Loan Trust | | | |
Series 2007-12, Class 3A22
6.00%, 08/25/2037 | | 17,159 | 6,058 |
| MortgageIT Trust FRS | | | |
Series 2005-4, Class A1
5.99%, (TSFR1M+0.67%), 10/25/2035 | | 16,668 | 16,086 |
| New Residential Mtg. Loan Trust FRS | | | |
Series 2017-5A, Class A1
6.93%, (TSFR1M+1.61%), 06/25/2057* | | 18,772 | 18,650 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| New Residential Mtg. Loan Trust VRS | | | |
Series 2016-2A, Class A1
3.75%, 11/26/2035*(2) | | $ 20,793 | $ 19,186 |
Series 2015-1A, Class A3
3.75%, 05/28/2052*(2) | | 9,139 | 8,279 |
Series 2016-4A, Class A1
3.75%, 11/25/2056*(2) | | 21,757 | 19,811 |
Series 2017-4A, Class A1
4.00%, 05/25/2057*(2) | | 19,901 | 18,109 |
| NMLT Trust VRS | | | |
Series 2021-INV1, Class A1
1.19%, 05/25/2056*(2) | | 70,518 | 56,074 |
| NRP Mtg. Trust VRS | | | |
Series 2013-1, Class A1
3.25%, 07/25/2043*(2) | | 3,733 | 3,195 |
| OBX Trust VRS | | | |
Series 2021-NQM1, Class A1
1.07%, 02/25/2066*(2) | | 41,503 | 33,626 |
Series 2022-NQM1, Class A1
2.31%, 11/25/2061*(2) | | 79,225 | 65,557 |
| Preston Ridge Partners Mtg. | | | |
Series 2020-4, Class A1
2.95%, 10/25/2025*(3) | | 62,125 | 60,772 |
| PRPM LLC | | | |
Series 2021-7, Class A1
1.87%, 08/25/2026*(3) | | 61,507 | 56,474 |
| SG Commercial Mtg. Securities Trust | | | |
Series 2020-COVE, Class A
2.63%, 03/15/2037* | | 85,000 | 78,982 |
| SG Residential Mtg. Trust VRS | | | |
Series 2021-1, Class A1
1.16%, 07/25/2061*(2) | | 48,065 | 36,458 |
| Stack Infrastructure Issuer LLC | | | |
Series 2023-2A, Class A2
5.90%, 07/25/2048* | | 40,000 | 38,407 |
| STAR Trust VRS | | | |
Series 2021-1, Class A1
1.22%, 05/25/2065*(2) | | 29,686 | 25,649 |
| Starwood Mtg. Residential Trust VRS | | | |
Series 2021-3, Class A1
1.13%, 06/25/2056*(2) | | 52,204 | 41,076 |
| Towd Point Mtg. Trust VRS | | | |
Series 2021-R1, Class A1
2.92%, 11/30/2060*(2) | | 90,501 | 71,371 |
| Verus Securitization Trust VRS | | | |
Series 2021-2, Class A1
1.03%, 02/25/2066*(2) | | 42,039 | 35,033 |
| Wells Fargo Commercial Mtg. Trust | | | |
Series 2014-LC16, Class A5
3.82%, 08/15/2050 | | 65,000 | 63,569 |
| Wells Fargo Commercial Mtg. Trust VRS | | | |
Series 2015-NXS3, Class XA
1.02%, 09/15/2057(2)(4) | | 529,003 | 7,319 |
| Wells Fargo Mtg. Backed Securities Trust VRS | | | |
Series 2006-AR14, Class 2A1
6.32%, 10/25/2036(2) | | 6,829 | 5,957 |
| WF-RBS Commercial Mtg. Trust | | | |
Series 2014-C20, Class A5
4.00%, 05/15/2047 | | 120,000 | 117,564 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2014-LC14, Class A5
4.05%, 03/15/2047 | | $ 110,000 | $ 109,346 |
Series 2014-C19, Class A5
4.10%, 03/15/2047 | | 50,111 | 49,609 |
| | | | 3,347,847 |
| U.S. Government Agency — 1.6% |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | | | |
| 3.24%, 08/25/2027 | | 68,000 | 63,601 |
| Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | | | |
Series K-1510, Class X1
0.64%, 01/25/2034(2)(4) | | 174,159 | 5,858 |
Series K064, Class X1
0.73%, 03/25/2027(2)(4) | | 290,498 | 5,011 |
Series K122, Class X1
0.97%, 11/25/2030(2)(4) | | 99,321 | 4,682 |
Series K121, Class X1
1.12%, 10/25/2030(2)(4) | | 110,534 | 5,941 |
Series K114, Class X1
1.21%, 06/25/2030(2)(4) | | 203,808 | 11,919 |
Series K104, Class X1
1.25%, 01/25/2030(2)(4) | | 166,700 | 9,061 |
Series K111, Class X1
1.68%, 05/25/2030(2)(4) | | 99,296 | 7,925 |
| Federal Home Loan Mtg. Corp. REMIC | | | |
Series 4216, Class KQ
1.70%, 10/15/2039 | | 4,847 | 4,708 |
Series 3964, Class MD
2.00%, 01/15/2041 | | 325 | 309 |
Series 5170, Class DP
2.00%, 07/25/2050 | | 47,793 | 39,155 |
Series 4961, Class JB
2.50%, 12/15/2042 | | 23,262 | 20,219 |
Series 3883, Class PB
3.00%, 05/15/2041 | | 7,221 | 6,623 |
| Federal Home Loan Mtg. Corp. SCRT | | | |
Series 2019-3, Class MV
3.50%, 10/25/2058 | | 12,649 | 11,069 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Debt Notes FRS | | | |
Series 2023-DNA2, Class M1B
8.56%, (SOFR30A+3.25%), 04/25/2043* | | 15,000 | 15,471 |
Series 2023-HQA2, Class M1B
8.66%, (SOFR30A+3.35%), 06/25/2043* | | 55,000 | 56,277 |
Series 2022-HQA2, Class M1B
9.31%, (SOFR30A+4.00%), 07/25/2042* | | 20,000 | 20,788 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2022-DNA3, Class M1B
8.21%, (SOFR30A+2.90%), 04/25/2042* | | 20,000 | 20,429 |
Series 2022-DNA4, Class M1B
8.66%, (SOFR30A+3.35%), 05/25/2042* | | 25,000 | 25,911 |
Series 2023-HQA1, Class M1B
8.81%, (SOFR30A+3.50%), 05/25/2043* | | 50,000 | 51,312 |
Series 2022-HQA3, Class M1B
8.86%, (TSFR1M+3.55%), 08/25/2042* | | 10,000 | 10,335 |
Series 2022-DNA6, Class M1B
9.01%, (SOFR30A+3.70%), 09/25/2042* | | 20,000 | 20,956 |
Series 2022-DNA5, Class M1B
9.81%, (SOFR30A+4.50%), 06/25/2042* | | 35,000 | 37,564 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
| Federal National Mtg. Assoc. | | | |
Series 415, Class A3 STRIPS
3.00%, 11/25/2042 | | $ 13,083 | $ 11,547 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 68 | 68 |
Series 2019-HRP1, Class M2
7.58%, (SOFR30A+2.26%), 11/25/2039* | | 6,712 | 6,712 |
Series 2023-R05, Class 1M2
8.41%, (SOFR30A+3.1%), 06/25/2043* | | 17,000 | 17,417 |
Series 2017-C01, Class 1M2
8.98%, (SOFR30A+3.66%), 07/25/2029 | | 11,380 | 11,778 |
Series 2016-C07, Class 2M2
9.78%, (SOFR30A+4.46%), 05/25/2029 | | 19,559 | 20,591 |
| Federal National Mtg. Assoc. REMIC | | | |
Series 2013-77, Class BP
1.70%, 06/25/2043 | | 5,948 | 5,669 |
Series 2011-117, Class MA
2.00%, 08/25/2040 | | 431 | 416 |
Series 2012-21, Class PQ
2.00%, 09/25/2041 | | 4,530 | 4,032 |
Series 2012-18, Class GA
2.00%, 12/25/2041 | | 7,963 | 6,993 |
Series 2016-11, Class GA
2.50%, 03/25/2046 | | 11,065 | 9,852 |
Series 2019-54, Class KC
2.50%, 09/25/2049 | | 41,672 | 36,765 |
Series 2015-48, Class QB
3.00%, 02/25/2043 | | 8,957 | 8,396 |
Series 2016-38, Class NA
3.00%, 01/25/2046 | | 6,452 | 5,664 |
Series 2017-16, Class PB
3.00%, 03/25/2047 | | 30,000 | 24,173 |
Series 2017-34, Class JK
3.00%, 05/25/2047 | | 4,318 | 4,026 |
Series 2019-45, Class PT
3.00%, 08/25/2049 | | 16,417 | 14,232 |
Series 2012-52, Class PA
3.50%, 05/25/2042 | | 6,699 | 6,216 |
Series 2012-120, Class ZB
3.50%, 11/25/2042 | | 51,258 | 45,370 |
Series 2017-26, Class CG
3.50%, 07/25/2044 | | 6,350 | 6,134 |
Series 2018-23, Class LA
3.50%, 04/25/2048 | | 15,516 | 14,138 |
Series 2019-7, Class JA
3.50%, 03/25/2049 | | 14,283 | 13,035 |
Series 2019-14, Class CA
3.50%, 04/25/2049 | | 17,635 | 16,196 |
Series 2017-35, Class AH
3.50%, 04/25/2053 | | 7,095 | 6,839 |
Series 2017-84, Class KA
3.50%, 04/25/2053 | | 8,322 | 7,904 |
Series 2018-70, Class HA
3.50%, 10/25/2056 | | 11,776 | 11,051 |
Series 2019-12, Class HA
3.50%, 11/25/2057 | | 16,451 | 15,014 |
Series 2017-49, Class JA
4.00%, 07/25/2053 | | 7,287 | 7,039 |
Series 2022-90, Class AY
4.50%, 12/25/2041 | | 70,000 | 64,742 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
| Federal National Mtg. Assoc. REMIC VRS | | | |
Series 2019-M21, Class X3
1.28%, 06/25/2034(2)(4) | | $ 330,666 | $ 23,395 |
| Government National Mtg. Assoc. REMIC | | | |
Series 2015-56, Class LB
1.50%, 04/16/2040 | | 1,496 | 1,484 |
Series 2015-151, Class BA
1.70%, 10/20/2045 | | 269 | 268 |
Series 2013-37, Class LG
2.00%, 01/20/2042 | | 7,631 | 7,130 |
Series 2005-74, Class HB
7.50%, 09/16/2035 | | 107 | 108 |
Series 2005-74, Class HC
7.50%, 09/16/2035 | | 1,418 | 1,438 |
| | | | 890,956 |
Total Collateralized Mortgage Obligations
(cost $4,825,593) | | | 4,238,803 |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 22.5% |
| U.S. Government — 8.4% |
| United States Treasury Bonds | | | |
| 1.25%, 05/15/2050 | | 591,000 | 278,832 |
| 1.38%, 08/15/2050 | | 190,000 | 92,714 |
| 2.25%, 08/15/2046 to 02/15/2052 | | 210,000 | 129,891 |
| 2.50%, 02/15/2045 | | 90,000 | 61,116 |
| 2.88%, 08/15/2045 | | 370,000 | 267,975 |
| 3.00%, 08/15/2052 | | 340,000 | 247,748 |
| 3.13%, 08/15/2044 | | 600,000 | 458,437 |
| 3.38%, 05/15/2044(5)(6) | | 1,015,000 | 809,938 |
| 3.63%, 08/15/2043 to 05/15/2053 | | 460,000 | 382,714 |
| 3.88%, 02/15/2043 | | 130,000 | 113,141 |
| United States Treasury Bonds TIPS | | | |
| 0.13%, 02/15/2052(7) | | 10,980 | 6,025 |
| 0.25%, 02/15/2050(7) | | 261,567 | 153,883 |
| 0.88%, 02/15/2047(7) | | 44,320 | 32,295 |
| United States Treasury Notes | | | |
| 3.63%, 05/31/2028 | | 455,000 | 436,089 |
| 4.13%, 06/15/2026 | | 630,000 | 618,335 |
| United States Treasury Notes TIPS | | | |
| 0.25%, 07/15/2029(7) | | 507,871 | 452,427 |
| 0.75%, 07/15/2028(7) | | 97,418 | 90,645 |
| | | | 4,632,205 |
| U.S. Government Agency — 14.1% |
| Federal Home Loan Mtg. Corp. | | | |
| 2.00%, 03/01/2051 | | 339,835 | 259,629 |
| 2.50%, 01/01/2028 to 01/01/2052 | | 456,624 | 363,869 |
| 3.00%, 08/01/2027 | | 972 | 935 |
| 3.50%, 03/01/2042 to 09/01/2043 | | 19,264 | 17,066 |
| 4.00%, 10/01/2043 | | 9,671 | 8,867 |
| 4.50%, 01/01/2039 | | 379 | 358 |
| 5.00%, 05/01/2034 to 10/01/2052 | | 567,633 | 536,118 |
| 5.50%, 07/01/2034 to 05/01/2037 | | 2,688 | 2,650 |
| 6.00%, 08/01/2026 | | 2,173 | 2,149 |
| 6.50%, 05/01/2029 | | 308 | 314 |
| Federal Home Loan Mtg. Corp. FRS | | | |
| 4.74%, (RFUCCT6M+1.49%), 02/01/2037 | | 339 | 338 |
| Federal National Mtg. Assoc. | | | |
| 2.00%, 04/01/2051 to 05/01/2051 | | 1,018,334 | 777,875 |
| 2.50%, 02/01/2043 to 05/01/2051 | | 229,182 | 184,255 |
| 2.97%, 06/01/2027 | | 96,679 | 89,382 |
| 3.00%, 12/01/2027 to 01/01/2028 | | 5,472 | 5,238 |
| 4.50%, 01/01/2039 to 05/01/2041 | | 10,274 | 9,677 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
| 5.00%, 05/01/2035 to 09/01/2052 | | $ 230,111 | $ 217,627 |
| 5.50%, 12/01/2029 to 06/01/2038 | | 75,619 | 74,753 |
| 6.00%, 12/01/2033 to 11/01/2038 | | 5,699 | 5,778 |
| 7.00%, 06/01/2037 | | 3,795 | 3,951 |
| Federal National Mtg. Assoc. FRS | | | |
| 4.85%, (RFUCCT1Y+1.57%), 05/01/2037 | | 440 | 445 |
| 6.06%, (RFUCCT1Y+1.82%), 10/01/2040 | | 474 | 485 |
| Government National Mtg. Assoc. | | | |
| 2.00%, October 30 TBA | | 50,000 | 39,522 |
| 2.50%, October 30 TBA | | 350,000 | 286,029 |
| 3.00%, October 30 TBA | | 750,000 | 635,566 |
| 3.50%, October 30 TBA | | 600,000 | 525,516 |
| 4.00%, 07/15/2041 to 10/15/2041 | | 14,029 | 12,887 |
| 4.00%, October 30 TBA | | 75,000 | 67,567 |
| 4.50%, 06/15/2041 | | 30,579 | 29,109 |
| 4.50%, October 30 TBA | | 225,000 | 207,853 |
| 6.00%, 11/15/2028 | | 4,170 | 4,138 |
| 7.00%, 07/15/2033 | | 1,729 | 1,764 |
| Uniform Mtg. Backed Securities | | | |
| 1.50%, October 15 TBA | | 175,000 | 145,759 |
| 2.00%, October 15 TBA | | 175,000 | 150,045 |
| 2.00%, October 30 TBA | | 200,000 | 152,109 |
| 3.00%, October 30 TBA | | 250,000 | 206,689 |
| 4.00%, October 30 TBA | | 425,000 | 378,350 |
| 4.50%, October 30 TBA | | 920,000 | 844,675 |
| 5.00%, October 30 TBA | | 200,000 | 188,688 |
| 5.50%, October 30 TBA | | 755,000 | 729,607 |
| 6.00%, October 30 TBA | | 600,000 | 592,125 |
| | | | 7,759,757 |
Total U.S. Government & Agency Obligations
(cost $14,057,056) | | | 12,391,962 |
| FOREIGN GOVERNMENT OBLIGATIONS — 1.0% |
| Sovereign — 1.0% |
| Federative Republic of Brazil | | | |
| 10.00%, 01/01/2031 | BRL | 577,000 | 109,656 |
| Government of Hungary | | | |
| 1.63%, 04/28/2032 | EUR | 110,000 | 86,079 |
| Government of Macedonia | | | |
| 2.75%, 01/18/2025 | EUR | 100,000 | 101,203 |
| Government of Romania | | | |
| 2.63%, 12/02/2040* | EUR | 65,000 | 40,293 |
| 2.75%, 04/14/2041 | EUR | 60,000 | 37,138 |
| 3.38%, 02/08/2038 | EUR | 25,000 | 18,546 |
| Republic of Indonesia | | | |
| 1.10%, 03/12/2033 | EUR | 100,000 | 76,045 |
| Republic of Philippines | | | |
| 1.75%, 04/28/2041 | EUR | 100,000 | 66,630 |
Total Foreign Government Obligations
(cost $782,730) | | | 535,590 |
| MUNICIPAL SECURITIES — 0.8% |
Chicago Board of Education
General Obligation Bonds | | | |
| 6.04%, 12/01/2029 | | 5,000 | 4,820 |
| 6.14%, 12/01/2039 | | 15,000 | 13,437 |
| 6.32%, 11/01/2029 | | 45,000 | 43,643 |
Chicago Transit Authority
Revenue Bonds | | | |
| 3.91%, 12/01/2040 | | 10,000 | 8,083 |
| Security Description | | Shares or
Principal
Amount | Value |
|
County of Riverside, CA
Revenue Bonds | | | |
| 3.07%, 02/15/2028 | | $ 70,000 | $ 63,925 |
Florida State Board of Administration Finance Corp.
Revenue Bonds | | | |
| 1.26%, 07/01/2025 | | 65,000 | 60,341 |
Metropolitan Transportation Authority
Revenue Bonds | | | |
| 4.75%, 11/15/2045 | | 30,000 | 27,901 |
| 5.18%, 11/15/2049 | | 35,000 | 30,081 |
Municipal Electric Authority of Georgia
Revenue Bonds | | | |
| 6.64%, 04/01/2057 | | 10,000 | 10,626 |
New York Transportation Development Corp.
Revenue Bonds | | | |
| 4.25%, 09/01/2035 | | 60,000 | 56,657 |
Philadelphia Authority for Industrial Development
Revenue Bonds | | | |
| 6.55%, 10/15/2028 | | 65,000 | 67,111 |
State of California
General Obligation Bonds | | | |
| 7.30%, 10/01/2039 | | 15,000 | 17,004 |
Texas Natural Gas Securitization Finance Corp.
Series 2023-1, Class A1 | | | |
| 5.10%, 04/01/2035 | | 30,000 | 29,420 |
Total Municipal Securities
(cost $476,569) | | | 433,049 |
| ESCROWS AND LITIGATION TRUSTS — 0.0% |
Lehman Brothers Holdings, Inc.
Escrow Notes
5.50%, 04/04/2016†
(cost $0) | | 10,000 | 15 |
| PURCHASED OPTIONS† — 0.2% |
| Purchased Options - Calls — 0.2% |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 01/17/2024; Strike Price: CNY 7.43; Counterparty: JPMorgan Chase Bank, N.A.) | | 4,993,406 | 23,349 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 05/24/2024; Strike Price: CNY 7.57; Counterparty: Standard Chartered Bank) | | 5,872,577 | 31,477 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 08/12/2024; Strike Price: USD 7.79; Counterparty: JPMorgan Chase Bank, N.A.) | | 5,629,971 | 21,664 |
| Over the Counter call option on the USD vs. CNY (Expiration Date: 10/09/2023; Strike Price: CNY 7.87; Counterparty: Goldman Sachs International) | | 46,638 | 0 |
Total Purchased Options
(cost $71,885) | | | 76,490 |
Total Long-Term Investment Securities
(cost $61,422,820) | | | 58,318,753 |
| REPURCHASE AGREEMENTS — 0.9% |
| Bank of America Securities LLC Joint Repurchase Agreement(8) | | 95,000 | 95,000 |
| Barclays Capital, Inc. Joint Repurchase Agreement(8) | | 115,000 | 115,000 |
| BNP Paribas SA Joint Repurchase Agreement(8) | | 105,000 | 105,000 |
| Deutsche Bank AG Joint Repurchase Agreement(8) | | 95,000 | 95,000 |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| REPURCHASE AGREEMENTS (continued) |
| RBS Securities, Inc. Joint Repurchase Agreement(8) | | $ 95,000 | | $ 95,000 |
Total Repurchase Agreements
(cost $505,000) | | | | 505,000 |
TOTAL INVESTMENTS
(cost $61,927,820)(9) | | 106.8% | | 58,823,753 |
| Other assets less liabilities | | (6.8) | | (3,723,234) |
| NET ASSETS | | 100.0% | | $55,100,519 |
| † | 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 SA Multi-Managed Moderate Growth Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $7,314,689 representing 13.3% of net assets. |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (3) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (4) | Interest Only |
| (5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open swap contracts. |
| (6) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (7) | Principal amount of security is adjusted for inflation. |
| (8) | See Note 2 for details of Joint Repurchase Agreements. |
| (9) | See Note 4 for cost of investments on a tax basis. |
| CLO—Collateralized Loan Obligation |
| FRS—Floating Rate Security |
| H15T1Y—US Treasury Yield Curve Rate Note Constant Maturity 1 Year |
| REMIC—Real Estate Mortgage Investment Conduit |
| RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year |
| RFUCCT6M—Refinitiv USD IBOR Consumer Cash Fallbacks Term 6 Month |
| SCRT—Structured Credit Risk Transfer |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
| STRIPS—Separate Trading of Registered Interest and Principal |
| 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 |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| VRS—Variable Rate Security |
| BRL—Brazilian Real |
| CNY—Chinese Yuan |
| EUR—Euro Currency |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
| Interest Rate Swaps |
Counterparty (OTC)/
Centrally cleared | Notional
amount | Currency | Payments
made | Payments
received | Fixed
payment
frequency | Floating
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | | Value |
| Centrally Cleared | 65,000 | USD | Fixed 2.880% | 12-Month SOFR | Annual | Annual | Mar 2053 | $ 729 | | $ 11,818 | | $ 12,547 |
| Centrally Cleared | 120,000 | USD | Fixed 2.970 | 12-Month SOFR | Annual | Annual | Mar 2053 | 71 | | 21,268 | | 21,339 |
| Centrally Cleared | 230,000 | USD | Fixed 3.590 | 12-Month SOFR | Annual | Annual | Sep 2053 | 1,025 | | 15,462 | | 16,487 |
| | | | | | | | | $1,825 | | $48,548 | | $50,373 |
| Credit Default Swaps - Buyer(1) | |
Counterparty (OTC)/
Centrally cleared | Reference
obligation | Notional
amount(2) | Currency | USD
notional
amount(2) | | Pay
fixed
rate | Fixed
payment
frequency | Maturity
date | Upfront
payment paid
(received) | | Unrealized
appreciation
(depreciation) | Value(3) | |
| Centrally Cleared | Federative Republic of Brazil | $103,000 | USD | $103,000 | | 1.000% | Quarterly | Jun 2027 | $4,231 | | $(3,163) | $1,068 | |
| (1) | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| (2) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (3) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| SOFR—Secured Overnight Financing Rate |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
Appreciation |
| 3 | Long | U.S. Treasury 10 Year Notes | December 2023 | $324,088 | $324,187 | $ 99 |
| 2 | Short | Canada 10 Year Bonds | December 2023 | 174,062 | 169,527 | 4,535 |
| 2 | Short | Euro Buxl 30 Year Bonds | December 2023 | 276,133 | 258,731 | 17,402 |
| 2 | Short | Euro-BTP | December 2023 | 240,916 | 232,024 | 8,892 |
| 5 | Short | U.S. Treasury Ultra Bonds | December 2023 | 623,431 | 593,438 | 29,993 |
| | | | | | | $60,921 |
| | | | | | | Unrealized
(Depreciation) |
| 10 | Long | Canada 5 Year Bonds | December 2023 | $ 804,331 | $ 794,993 | $ (9,338) |
| 2 | Long | E-Mini Russell 2000 Index | December 2023 | 180,524 | 179,860 | (664) |
| 1 | Long | Long Gilt | December 2023 | 115,495 | 114,885 | (610) |
| 15 | Long | U.S. Treasury 2 Year Notes | December 2023 | 3,047,406 | 3,040,664 | (6,742) |
| 5 | Long | U.S. Treasury 5 Year Notes | December 2023 | 530,578 | 526,797 | (3,781) |
| 1 | Long | U.S. Treasury Ultra 10 Year Notes | December 2023 | 114,813 | 111,562 | (3,251) |
| | | | | | | $(24,386) |
| | | Net Unrealized Appreciation (Depreciation) | | $ 36,535 |
| * | 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) |
| Deutsche Bank AG | EUR | 407,000 | USD | 437,768 | 12/20/2023 | $5,889 | | $— |
| Goldman Sachs International | BRL | 551,000 | USD | 109,865 | 12/20/2023 | 1,300 | | — |
| Unrealized Appreciation (Depreciation) | | | | | | $7,189 | | $— |
| BRL—Brazilian Real |
| EUR—Euro Currency |
| USD—United States Dollar |
Seasons Series Trust SA Multi-Managed Moderate Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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: | | | | | | | |
| Biotechnology | $ 2,328,441 | | $ — | | $ 0 | | $ 2,328,441 |
| Other Industries | 28,428,967 | | — | | — | | 28,428,967 |
| Corporate Bonds & Notes | — | | 7,337,574 | | — | | 7,337,574 |
| Asset Backed Securities | — | | 2,547,862 | | — | | 2,547,862 |
| Collateralized Mortgage Obligations | — | | 4,238,803 | | — | | 4,238,803 |
| U.S. Government & Agency Obligations | — | | 12,391,962 | | — | | 12,391,962 |
| Foreign Government Obligations | — | | 535,590 | | — | | 535,590 |
| Municipal Securities | — | | 433,049 | | — | | 433,049 |
| Escrows and Litigation Trusts | — | | 15 | | — | | 15 |
| Purchased Options | — | | 76,490 | | — | | 76,490 |
| Repurchase Agreements | — | | 505,000 | | — | | 505,000 |
| Total Investments at Value | $30,757,408 | | $28,066,345 | | $ 0 | | $58,823,753 |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 48,548 | | $— | | $ 48,548 |
| Futures Contracts | 60,921 | | — | | — | | 60,921 |
| Forward Foreign Currency Contracts | — | | 7,189 | | — | | 7,189 |
| Total Other Financial Instruments | $ 60,921 | | $ 55,737 | | $— | | $ 116,658 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 3,163 | | $— | | $ 3,163 |
| Futures Contracts | 24,386 | | — | | — | | 24,386 |
| Total Other Financial Instruments | $ 24,386 | | $ 3,163 | | $— | | $ 27,549 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Banks | 7.0% |
| Commercial Services | 5.9 |
| REITS | 5.6 |
| Retail | 4.5 |
| Software | 4.4 |
| Healthcare-Products | 3.7 |
| Oil & Gas | 3.7 |
| Biotechnology | 3.6 |
| Chemicals | 3.6 |
| Semiconductors | 3.5 |
| Insurance | 3.5 |
| Diversified Financial Services | 3.3 |
| Building Materials | 2.6 |
| Electronics | 2.3 |
| Computers | 2.3 |
| Engineering & Construction | 2.1 |
| Healthcare-Services | 2.1 |
| Home Builders | 2.0 |
| Telecommunications | 1.9 |
| Internet | 1.9 |
| Pharmaceuticals | 1.8 |
| Machinery-Diversified | 1.7 |
| Miscellaneous Manufacturing | 1.6 |
| Food | 1.4 |
| Transportation | 1.3 |
| Apparel | 1.2 |
| Oil & Gas Services | 1.1 |
| Auto Parts & Equipment | 1.1 |
| Home Furnishings | 1.1 |
| Aerospace/Defense | 1.1 |
| Gas | 1.0 |
| Short-Term Investments | 1.0 |
| Real Estate | 0.9 |
| Savings & Loans | 0.9 |
| Distribution/Wholesale | 0.9 |
| Metal Fabricate/Hardware | 0.9 |
| Environmental Control | 0.8 |
| Unaffiliated Investment Companies | 0.7 |
| Cosmetics/Personal Care | 0.7 |
| Electric | 0.7 |
| Beverages | 0.7 |
| Water | 0.7 |
| Entertainment | 0.6 |
| Iron/Steel | 0.6 |
| Agriculture | 0.5 |
| Media | 0.5 |
| Electrical Components & Equipment | 0.5 |
| Coal | 0.5 |
| Packaging & Containers | 0.5 |
| Investment Companies | 0.4 |
| Household Products/Wares | 0.4 |
| Lodging | 0.3 |
| Airlines | 0.3 |
| Hand/Machine Tools | 0.2 |
| Advertising | 0.2 |
| Leisure Time | 0.2 |
| Energy-Alternate Sources | 0.2 |
| Machinery-Construction & Mining | 0.2 |
| Mining | 0.1 |
| Housewares | 0.1 |
| Textiles | 0.1 |
| Office/Business Equipment | 0.1 |
| | |
| Office Furnishings | 0.1% |
| Forest Products & Paper | 0.1 |
| | 99.5% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 97.8% |
| Advertising — 0.2% |
| Stagwell, Inc.† | | 64,923 | $ 304,489 |
| Aerospace/Defense — 1.1% |
| AAR Corp.† | | 1,646 | 97,986 |
| AeroVironment, Inc.† | | 1,298 | 144,766 |
| Barnes Group, Inc. | | 2,506 | 85,129 |
| Hexcel Corp. | | 13,025 | 848,449 |
| Joby Aviation, Inc.† | | 9,560 | 61,662 |
| Kaman Corp. | | 1,397 | 27,451 |
| Mercury Systems, Inc.† | | 2,535 | 94,023 |
| Moog, Inc., Class A | | 1,422 | 160,629 |
| National Presto Industries, Inc. | | 259 | 18,767 |
| Triumph Group, Inc.† | | 3,798 | 29,093 |
| | | | 1,567,955 |
| Agriculture — 0.5% |
| Andersons, Inc. | | 3,620 | 186,466 |
| Darling Ingredients, Inc.† | | 8,265 | 431,433 |
| Fresh Del Monte Produce, Inc. | | 1,668 | 43,101 |
| Universal Corp. | | 1,220 | 57,596 |
| Vector Group, Ltd. | | 6,562 | 69,820 |
| Vital Farms, Inc.† | | 2,533 | 29,332 |
| | | | 817,748 |
| Airlines — 0.3% |
| Alaska Air Group, Inc.† | | 1,178 | 43,680 |
| Allegiant Travel Co. | | 749 | 57,568 |
| Hawaiian Holdings, Inc.† | | 2,556 | 16,179 |
| JetBlue Airways Corp.† | | 16,498 | 75,891 |
| SkyWest, Inc.† | | 5,668 | 237,716 |
| Sun Country Airlines Holdings, Inc.† | | 1,997 | 29,636 |
| | | | 460,670 |
| Apparel — 1.2% |
| Crocs, Inc.† | | 3,239 | 285,777 |
| Hanesbrands, Inc. | | 17,322 | 68,595 |
| Kontoor Brands, Inc. | | 2,473 | 108,590 |
| Oxford Industries, Inc. | | 4,620 | 444,121 |
| Steven Madden, Ltd. | | 23,882 | 758,731 |
| Urban Outfitters, Inc.† | | 2,799 | 91,499 |
| Wolverine World Wide, Inc. | | 3,936 | 31,724 |
| | | | 1,789,037 |
| Auto Manufacturers — 0.0% |
| Wabash National Corp. | | 2,327 | 49,146 |
| Auto Parts & Equipment — 1.1% |
| Adient PLC† | | 5,246 | 192,528 |
| American Axle & Manufacturing Holdings, Inc.† | | 28,801 | 209,095 |
| Dana, Inc. | | 6,360 | 93,301 |
| Dorman Products, Inc.† | | 1,403 | 106,291 |
| Gentherm, Inc.† | | 10,007 | 542,980 |
| Lear Corp. | | 390 | 52,338 |
| Methode Electronics, Inc. | | 1,783 | 40,742 |
| Phinia, Inc. | | 2,327 | 62,340 |
| Standard Motor Products, Inc. | | 925 | 31,099 |
| Titan International, Inc.† | | 2,546 | 34,193 |
| Visteon Corp.† | | 673 | 92,921 |
| XPEL, Inc.† | | 2,023 | 155,994 |
| | | | 1,613,822 |
| Banks — 7.0% |
| Ameris Bancorp | | 6,604 | 253,528 |
| Atlantic Union Bankshares Corp. | | 3,713 | 106,860 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Banks (continued) |
| BancFirst Corp. | | 718 | $ 62,272 |
| Bancorp, Inc.† | | 4,511 | 155,629 |
| Bank of Hawaii Corp. | | 1,967 | 97,740 |
| Bank of N.T. Butterfield & Son, Ltd. | | 5,651 | 153,029 |
| BankUnited, Inc. | | 3,684 | 83,627 |
| Banner Corp. | | 3,750 | 158,925 |
| Business First Bancshares, Inc. | | 670 | 12,569 |
| Byline Bancorp, Inc. | | 4,148 | 81,757 |
| Capital City Bank Group, Inc. | | 1,993 | 59,451 |
| Cathay General Bancorp | | 3,591 | 124,823 |
| Central Pacific Financial Corp. | | 2,475 | 41,283 |
| City Holding Co. | | 743 | 67,130 |
| Coastal Financial Corp.† | | 741 | 31,796 |
| Columbia Banking System, Inc. | | 1,455 | 29,537 |
| Community Bank System, Inc. | | 2,650 | 111,856 |
| ConnectOne Bancorp, Inc. | | 12,245 | 218,328 |
| Customers Bancorp, Inc.† | | 9,660 | 332,787 |
| CVB Financial Corp. | | 12,956 | 214,681 |
| Dime Community Bancshares, Inc. | | 2,533 | 50,559 |
| Eagle Bancorp, Inc. | | 1,481 | 31,767 |
| Eastern Bankshares, Inc. | | 8,308 | 104,182 |
| Enterprise Financial Services Corp. | | 2,932 | 109,950 |
| FB Financial Corp. | | 1,738 | 49,290 |
| Financial Institutions, Inc. | | 298 | 5,015 |
| First Bancorp | | 2,034 | 57,237 |
| First BanCorp/Puerto Rico | | 66,645 | 897,042 |
| First Bancshares, Inc. | | 691 | 18,636 |
| First Citizens BancShares, Inc., Class A | | 99 | 136,630 |
| First Commonwealth Financial Corp. | | 7,212 | 88,059 |
| First Financial Bancorp | | 4,709 | 92,296 |
| First Financial Corp. | | 743 | 25,121 |
| First Hawaiian, Inc. | | 6,317 | 114,022 |
| First Merchants Corp. | | 16,503 | 459,113 |
| First Mid Bancshares, Inc. | | 962 | 25,551 |
| FNB Corp. | | 1,594 | 17,199 |
| Fulton Financial Corp. | | 8,120 | 98,333 |
| Hanmi Financial Corp. | | 1,509 | 24,491 |
| Heritage Commerce Corp. | | 4,335 | 36,717 |
| Heritage Financial Corp. | | 23,049 | 375,929 |
| Hilltop Holdings, Inc. | | 2,288 | 64,888 |
| Hope Bancorp, Inc. | | 5,942 | 52,587 |
| Independent Bank Corp./MA | | 2,185 | 107,262 |
| Independent Bank Group, Inc. | | 1,778 | 70,320 |
| Lakeland Financial Corp. | | 1,259 | 59,752 |
| Mercantile Bank Corp. | | 280 | 8,655 |
| Merchants Bancorp | | 4,318 | 119,695 |
| Mid Penn Bancorp, Inc. | | 285 | 5,737 |
| MidWestOne Financial Group, Inc. | | 448 | 9,108 |
| MVB Financial Corp. | | 128 | 2,890 |
| National Bank Holdings Corp., Class A | | 1,867 | 55,562 |
| NBT Bancorp, Inc. | | 2,338 | 74,091 |
| OFG Bancorp | | 9,058 | 270,472 |
| Old National Bancorp | | 9,120 | 132,605 |
| Old Second Bancorp, Inc. | | 5,371 | 73,099 |
| PacWest Bancorp | | 5,869 | 46,424 |
| Park National Corp. | | 712 | 67,298 |
| Pathward Financial, Inc. | | 4,598 | 211,922 |
| Peapack-Gladstone Financial Corp. | | 1,224 | 31,396 |
| Peoples Bancorp, Inc. | | 456 | 11,573 |
| Pinnacle Financial Partners, Inc. | | 983 | 65,900 |
| Popular, Inc. | | 3,978 | 250,654 |
| Preferred Bank | | 648 | 40,338 |
| Premier Financial Corp. | | 642 | 10,953 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Banks (continued) |
| QCR Holdings, Inc. | | 1,861 | $ 90,296 |
| Renasant Corp. | | 2,779 | 72,782 |
| S&T Bancorp, Inc. | | 1,893 | 51,262 |
| Seacoast Banking Corp. of Florida | | 23,894 | 524,712 |
| ServisFirst Bancshares, Inc. | | 2,425 | 126,512 |
| Simmons First National Corp., Class A | | 6,251 | 106,017 |
| South Plains Financial, Inc. | | 158 | 4,178 |
| Southside Bancshares, Inc. | | 2,115 | 60,701 |
| SouthState Corp. | | 8,283 | 557,943 |
| Stellar Bancorp, Inc. | | 2,322 | 49,505 |
| Tompkins Financial Corp. | | 619 | 30,325 |
| Towne Bank | | 416 | 9,539 |
| TriCo Bancshares | | 13,218 | 423,373 |
| Triumph Financial, Inc.† | | 1,072 | 69,455 |
| TrustCo Bank Corp. | | 942 | 25,707 |
| Trustmark Corp. | | 3,023 | 65,690 |
| United Community Banks, Inc. | | 21,546 | 547,484 |
| Univest Financial Corp. | | 514 | 8,933 |
| Veritex Holdings, Inc. | | 6,220 | 111,649 |
| Walker & Dunlop, Inc. | | 1,651 | 122,570 |
| Westamerica BanCorp | | 1,319 | 57,047 |
| Wintrust Financial Corp. | | 2,583 | 195,016 |
| | | | 10,368,624 |
| Beverages — 0.7% |
| Coca-Cola Consolidated, Inc. | | 123 | 78,267 |
| MGP Ingredients, Inc. | | 774 | 81,642 |
| National Beverage Corp.† | | 1,155 | 54,308 |
| Primo Water Corp. | | 56,399 | 778,306 |
| | | | 992,523 |
| Biotechnology — 3.6% |
| 2seventy bio, Inc.† | | 6,603 | 25,884 |
| ACADIA Pharmaceuticals, Inc.† | | 6,594 | 137,419 |
| Allogene Therapeutics, Inc.† | | 11,122 | 35,257 |
| Amicus Therapeutics, Inc.† | | 20,187 | 245,474 |
| ANI Pharmaceuticals, Inc.† | | 793 | 46,042 |
| Arcus Biosciences, Inc.† | | 2,656 | 47,675 |
| Arrowhead Pharmaceuticals, Inc.† | | 2,124 | 57,072 |
| Atara Biotherapeutics, Inc.† | | 31,625 | 46,805 |
| Avid Bioservices, Inc.† | | 3,105 | 29,311 |
| Axsome Therapeutics, Inc.† | | 2,755 | 192,547 |
| Beam Therapeutics, Inc.† | | 1,264 | 30,399 |
| Biohaven, Ltd.† | | 302 | 7,855 |
| Bluebird Bio, Inc.† | | 686 | 2,085 |
| Blueprint Medicines Corp.† | | 1,130 | 56,749 |
| Bridgebio Pharma, Inc.† | | 1,186 | 31,275 |
| Certara, Inc.† | | 5,300 | 77,062 |
| Cytek Biosciences, Inc.† | | 4,927 | 27,197 |
| Cytokinetics, Inc.† | | 4,752 | 139,994 |
| Dynavax Technologies Corp.† | | 6,376 | 94,174 |
| Dyne Therapeutics, Inc.† | | 6,915 | 61,958 |
| Esperion Therapeutics, Inc.† | | 37,575 | 36,823 |
| Evolus, Inc.† | | 47,531 | 434,433 |
| EyePoint Pharmaceuticals, Inc.† | | 13,840 | 110,582 |
| Fate Therapeutics, Inc.† | | 19,427 | 41,185 |
| Immunovant, Inc.† | | 7,946 | 305,047 |
| Inhibrx, Inc.† | | 7,065 | 129,643 |
| Innoviva, Inc.† | | 2,836 | 36,840 |
| Insmed, Inc.† | | 2,563 | 64,716 |
| Intellia Therapeutics, Inc.† | | 2,151 | 68,015 |
| Intra-Cellular Therapies, Inc.† | | 5,928 | 308,789 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Biotechnology (continued) |
| iTeos Therapeutics, Inc.† | | 1,311 | $ 14,355 |
| Kymera Therapeutics, Inc.† | | 3,340 | 46,426 |
| Ligand Pharmaceuticals, Inc.† | | 808 | 48,415 |
| MeiraGTx Holdings PLC† | | 8,410 | 41,293 |
| Myriad Genetics, Inc.† | | 4,054 | 65,026 |
| NeoGenomics, Inc.† | | 30,478 | 374,879 |
| NGM Biopharmaceuticals, Inc.† | | 21,318 | 22,810 |
| OmniAb, Inc. (Earnout Shares 12.50)†(1) | | 927 | 0 |
| OmniAb, Inc. (Earnout Shares 15.00)†(1) | | 927 | 0 |
| Ovid therapeutics, Inc.† | | 36,571 | 140,433 |
| Point Biopharma Global, Inc.† | | 12,759 | 85,103 |
| Prothena Corp. PLC† | | 2,442 | 117,826 |
| PTC Therapeutics, Inc.† | | 2,066 | 46,299 |
| Recursion Pharmaceuticals, Inc., Class A† | | 6,137 | 46,948 |
| REGENXBIO, Inc.† | | 2,002 | 32,953 |
| Relay Therapeutics, Inc.† | | 7,793 | 65,539 |
| Replimune Group, Inc.† | | 5,427 | 92,856 |
| REVOLUTION Medicines, Inc.† | | 7,395 | 204,694 |
| Sage Therapeutics, Inc.† | | 2,620 | 53,920 |
| Sana Biotechnology, Inc.† | | 58 | 224 |
| SpringWorks Therapeutics, Inc.† | | 4,933 | 114,051 |
| Sutro Biopharma, Inc.† | | 587 | 2,037 |
| Syndax Pharmaceuticals, Inc.† | | 6,361 | 92,362 |
| Travere Therapeutics, Inc.† | | 7,682 | 68,677 |
| Twist Bioscience Corp.† | | 2,424 | 49,110 |
| Tyra Biosciences, Inc.† | | 9,076 | 124,976 |
| Vericel Corp.† | | 4,123 | 138,203 |
| Viking Therapeutics, Inc.† | | 10,165 | 112,527 |
| Vir Biotechnology, Inc.† | | 4,254 | 39,860 |
| Xencor, Inc.† | | 12,616 | 254,212 |
| | | | 5,424,321 |
| Building Materials — 2.6% |
| AAON, Inc. | | 3,353 | 190,685 |
| American Woodmark Corp.† | | 811 | 61,320 |
| Apogee Enterprises, Inc. | | 2,097 | 98,727 |
| Boise Cascade Co. | | 3,127 | 322,206 |
| Eagle Materials, Inc. | | 2,608 | 434,284 |
| Gibraltar Industries, Inc.† | | 2,521 | 170,193 |
| Griffon Corp. | | 2,027 | 80,411 |
| Hayward Holdings, Inc.† | | 50,679 | 714,574 |
| JELD-WEN Holding, Inc.† | | 1,889 | 25,237 |
| Louisiana-Pacific Corp. | | 730 | 40,347 |
| Masterbrand, Inc.† | | 42,590 | 517,468 |
| PGT Innovations, Inc.† | | 2,889 | 80,170 |
| Simpson Manufacturing Co., Inc. | | 4,271 | 639,838 |
| SPX Technologies, Inc.† | | 2,257 | 183,720 |
| Summit Materials, Inc., Class A† | | 684 | 21,300 |
| UFP Industries, Inc. | | 3,387 | 346,829 |
| | | | 3,927,309 |
| Chemicals — 3.6% |
| AdvanSix, Inc. | | 2,913 | 90,536 |
| American Vanguard Corp. | | 1,349 | 14,745 |
| Ashland, Inc. | | 7,113 | 580,990 |
| Avient Corp. | | 2,436 | 86,040 |
| Balchem Corp. | | 7,943 | 985,250 |
| Cabot Corp. | | 2,323 | 160,914 |
| Ecovyst, Inc.† | | 1,403 | 13,806 |
| Element Solutions, Inc. | | 31,628 | 620,225 |
| H.B. Fuller Co. | | 4,280 | 293,651 |
| Hawkins, Inc. | | 951 | 55,966 |
| Ingevity Corp.† | | 3,246 | 154,542 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Chemicals (continued) |
| Innospec, Inc. | | 1,231 | $ 125,808 |
| Koppers Holdings, Inc. | | 1,033 | 40,855 |
| Livent Corp.† | | 10,438 | 192,164 |
| Mativ Holdings, Inc. | | 8,823 | 125,816 |
| Minerals Technologies, Inc. | | 2,195 | 120,198 |
| Orion SA | | 11,682 | 248,593 |
| Quaker Chemical Corp. | | 686 | 109,760 |
| Rogers Corp.† | | 2,777 | 365,092 |
| Sensient Technologies Corp. | | 2,092 | 122,340 |
| Stepan Co. | | 1,051 | 78,793 |
| Tronox Holdings PLC | | 5,376 | 72,253 |
| Valvoline, Inc. | | 22,294 | 718,759 |
| | | | 5,377,096 |
| Coal — 0.5% |
| Alpha Metallurgical Resources, Inc. | | 743 | 192,979 |
| Arch Resources, Inc. | | 670 | 114,342 |
| CONSOL Energy, Inc. | | 1,719 | 180,340 |
| Peabody Energy Corp. | | 844 | 21,936 |
| SunCoke Energy, Inc. | | 6,091 | 61,824 |
| Warrior Met Coal, Inc. | | 2,575 | 131,531 |
| | | | 702,952 |
| Commercial Services — 5.9% |
| Aaron's Co., Inc. | | 3,444 | 36,059 |
| ABM Industries, Inc. | | 11,769 | 470,878 |
| Adtalem Global Education, Inc.† | | 2,057 | 88,142 |
| Alarm.com Holdings, Inc.† | | 2,471 | 151,077 |
| AMN Healthcare Services, Inc.† | | 2,704 | 230,327 |
| API Group Corp.† | | 10,227 | 265,186 |
| Arlo Technologies, Inc.† | | 4,656 | 47,957 |
| ASGN, Inc.† | | 9,827 | 802,669 |
| Brink's Co. | | 1,613 | 117,168 |
| CBIZ, Inc.† | | 3,085 | 160,111 |
| CoreCivic, Inc.† | | 5,624 | 63,270 |
| CorVel Corp.† | | 449 | 88,296 |
| Cross Country Healthcare, Inc.† | | 4,873 | 120,802 |
| Custom Truck One Source, Inc.† | | 50,696 | 314,315 |
| Deluxe Corp. | | 2,159 | 40,784 |
| EVERTEC, Inc. | | 7,977 | 296,585 |
| Flywire Corp.† | | 6,078 | 193,827 |
| Forrester Research, Inc.† | | 571 | 16,502 |
| GEO Group, Inc.† | | 6,243 | 51,068 |
| Green Dot Corp., Class A† | | 2,228 | 31,036 |
| Healthcare Services Group, Inc. | | 3,673 | 38,309 |
| Heidrick & Struggles International, Inc. | | 3,191 | 79,839 |
| Herc Holdings, Inc. | | 1,046 | 124,411 |
| Information Services Group, Inc. | | 28,245 | 123,713 |
| John Wiley & Sons, Inc., Class A | | 3,904 | 145,112 |
| Kelly Services, Inc., Class A | | 1,587 | 28,868 |
| Kforce, Inc. | | 1,900 | 113,354 |
| Korn Ferry | | 2,653 | 125,858 |
| LiveRamp Holdings, Inc.† | | 40,470 | 1,167,155 |
| Matthews International Corp., Class A | | 1,508 | 58,676 |
| Medifast, Inc. | | 2,069 | 154,865 |
| Mister Car Wash, Inc.† | | 4,487 | 24,723 |
| Monro, Inc. | | 1,555 | 43,182 |
| Payoneer Global, Inc.† | | 12,802 | 78,348 |
| Perdoceo Education Corp. | | 3,248 | 55,541 |
| PROG Holdings, Inc.† | | 6,109 | 202,880 |
| Progyny, Inc.† | | 23,490 | 799,130 |
| Remitly Global, Inc.† | | 1,971 | 49,709 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial Services (continued) |
| Repay Holdings Corp.† | | 14,487 | $ 109,956 |
| Resources Connection, Inc. | | 1,584 | 23,617 |
| Riot Platforms, Inc.† | | 8,959 | 83,587 |
| Sabre Corp.† | | 16,452 | 73,869 |
| Strategic Education, Inc. | | 1,090 | 82,023 |
| Stride, Inc.† | | 2,003 | 90,195 |
| TriNet Group, Inc.† | | 3,004 | 349,906 |
| TrueBlue, Inc.† | | 6,306 | 92,509 |
| Upbound Group, Inc. | | 8,395 | 247,233 |
| V2X, Inc.† | | 12,004 | 620,127 |
| Viad Corp.† | | 1,034 | 27,091 |
| | | | 8,799,845 |
| Computers — 2.3% |
| 3D Systems Corp.† | | 6,608 | 32,445 |
| CACI International, Inc., Class A† | | 667 | 209,391 |
| Corsair Gaming, Inc.† | | 2,137 | 31,051 |
| Insight Enterprises, Inc.† | | 1,600 | 232,800 |
| Integral Ad Science Holding Corp.† | | 3,367 | 40,034 |
| KBR, Inc. | | 2,750 | 162,085 |
| Lumentum Holdings, Inc.† | | 11,532 | 521,016 |
| NetScout Systems, Inc.† | | 3,572 | 100,087 |
| OneSpan, Inc.† | | 1,781 | 19,146 |
| Qualys, Inc.† | | 1,400 | 213,570 |
| Rapid7, Inc.† | | 3,555 | 162,748 |
| Science Applications International Corp. | | 5,022 | 530,022 |
| Super Micro Computer, Inc.† | | 986 | 270,381 |
| TTEC Holdings, Inc. | | 939 | 24,620 |
| Unisys Corp.† | | 27,742 | 95,710 |
| WNS Holdings, Ltd. ADR† | | 10,341 | 707,945 |
| | | | 3,353,051 |
| Cosmetics/Personal Care — 0.7% |
| e.l.f. Beauty, Inc.† | | 5,944 | 652,830 |
| Edgewell Personal Care Co. | | 6,980 | 257,981 |
| Inter Parfums, Inc. | | 886 | 119,025 |
| | | | 1,029,836 |
| Distribution/Wholesale — 0.9% |
| G-III Apparel Group, Ltd.† | | 2,009 | 50,064 |
| MRC Global, Inc.† | | 10,200 | 104,550 |
| OPENLANE, Inc.† | | 5,419 | 80,852 |
| Resideo Technologies, Inc.† | | 9,763 | 154,255 |
| Rush Enterprises, Inc., Class A | | 6,187 | 252,615 |
| ScanSource, Inc.† | | 2,879 | 87,263 |
| Titan Machinery, Inc.† | | 1,765 | 46,914 |
| Veritiv Corp. | | 1,600 | 270,240 |
| WESCO International, Inc. | | 2,104 | 302,597 |
| | | | 1,349,350 |
| Diversified Financial Services — 3.3% |
| Artisan Partners Asset Management, Inc., Class A | | 3,390 | 126,854 |
| AssetMark Financial Holdings, Inc.† | | 2,220 | 55,678 |
| Avantax, Inc.† | | 4,563 | 116,721 |
| B. Riley Financial, Inc. | | 817 | 33,489 |
| Bread Financial Holdings, Inc. | | 2,486 | 85,021 |
| BrightSphere Investment Group, Inc. | | 1,603 | 31,082 |
| Encore Capital Group, Inc.† | | 10,778 | 514,757 |
| Enova International, Inc.† | | 6,801 | 345,967 |
| EZCORP, Inc., Class A† | | 2,579 | 21,277 |
| Federated Hermes, Inc. | | 2,365 | 80,103 |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | 5,606 | 118,847 |
| Houlihan Lokey, Inc. | | 5,080 | 544,170 |
| International Money Express, Inc.† | | 8,246 | 139,605 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Diversified Financial Services (continued) |
| Moelis & Co., Class A | | 3,296 | $ 148,748 |
| Mr. Cooper Group, Inc.† | | 9,037 | 484,022 |
| Navient Corp. | | 4,334 | 74,631 |
| PennyMac Financial Services, Inc. | | 895 | 59,607 |
| Perella Weinberg Partners | | 55,946 | 569,530 |
| Piper Sandler Cos. | | 1,466 | 213,024 |
| PJT Partners, Inc., Class A | | 1,190 | 94,534 |
| PRA Group, Inc.† | | 1,943 | 37,325 |
| Radian Group, Inc. | | 14,876 | 373,536 |
| Stifel Financial Corp. | | 349 | 21,443 |
| StoneX Group, Inc.† | | 1,698 | 164,570 |
| Victory Capital Holdings, Inc., Class A | | 6,838 | 227,979 |
| Virtus Investment Partners, Inc. | | 723 | 146,039 |
| WisdomTree, Inc. | | 5,656 | 39,592 |
| World Acceptance Corp.† | | 169 | 21,473 |
| | | | 4,889,624 |
| Electric — 0.7% |
| Avista Corp. | | 3,788 | 122,617 |
| Clearway Energy, Inc., Class A | | 1,290 | 25,697 |
| Clearway Energy, Inc., Class C | | 4,854 | 102,711 |
| IDACORP, Inc. | | 1,147 | 107,416 |
| MGE Energy, Inc. | | 2,060 | 141,131 |
| Northwestern Energy Group, Inc. | | 1,151 | 55,317 |
| Otter Tail Corp. | | 2,065 | 156,775 |
| Portland General Electric Co. | | 4,067 | 164,632 |
| Unitil Corp. | | 3,434 | 146,666 |
| | | | 1,022,962 |
| Electrical Components & Equipment — 0.5% |
| Belden, Inc. | | 1,606 | 155,059 |
| Encore Wire Corp. | | 2,286 | 417,104 |
| Energizer Holdings, Inc. | | 3,291 | 105,444 |
| Insteel Industries, Inc. | | 962 | 31,226 |
| Powell Industries, Inc. | | 452 | 37,471 |
| | | | 746,304 |
| Electronics — 2.3% |
| Advanced Energy Industries, Inc. | | 1,864 | 192,216 |
| Allient, Inc. | | 2,371 | 73,311 |
| Atkore, Inc.† | | 2,918 | 435,336 |
| Badger Meter, Inc. | | 1,451 | 208,755 |
| Benchmark Electronics, Inc. | | 5,392 | 130,810 |
| Brady Corp., Class A | | 2,273 | 124,833 |
| CTS Corp. | | 1,552 | 64,780 |
| ESCO Technologies, Inc. | | 7,018 | 732,960 |
| Itron, Inc.† | | 2,251 | 136,366 |
| Knowles Corp.† | | 25,235 | 373,730 |
| Mesa Laboratories, Inc. | | 1,751 | 183,978 |
| NEXTracker, Inc., Class A† | | 1,624 | 65,220 |
| OSI Systems, Inc.† | | 3,142 | 370,882 |
| Plexus Corp.† | | 1,360 | 126,453 |
| Sanmina Corp.† | | 2,833 | 153,775 |
| TTM Technologies, Inc.† | | 5,142 | 66,229 |
| | | | 3,439,634 |
| Energy-Alternate Sources — 0.2% |
| Green Plains, Inc.† | | 5,096 | 153,390 |
| REX American Resources Corp.† | | 1,819 | 74,070 |
| Sunnova Energy International, Inc.† | | 2,333 | 24,426 |
| SunPower Corp.† | | 4,250 | 26,222 |
| | | | 278,108 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Engineering & Construction — 2.1% |
| Arcosa, Inc. | | 2,414 | $ 173,567 |
| Comfort Systems USA, Inc. | | 4,129 | 703,623 |
| Dycom Industries, Inc.† | | 1,452 | 129,228 |
| Frontdoor, Inc.† | | 3,977 | 121,656 |
| Granite Construction, Inc. | | 2,174 | 82,655 |
| IES Holdings, Inc.† | | 853 | 56,187 |
| MasTec, Inc.† | | 2,200 | 158,334 |
| MYR Group, Inc.† | | 3,648 | 491,605 |
| NV5 Global, Inc.† | | 629 | 60,529 |
| Primoris Services Corp. | | 26,963 | 882,499 |
| Sterling Infrastructure, Inc.† | | 3,215 | 236,238 |
| | | | 3,096,121 |
| Entertainment — 0.6% |
| Cinemark Holdings, Inc.† | | 5,359 | 98,338 |
| Everi Holdings, Inc.† | | 6,938 | 91,720 |
| Golden Entertainment, Inc. | | 1,072 | 36,641 |
| Lions Gate Entertainment Corp., Class A† | | 6,927 | 58,741 |
| Madison Square Garden Sports Corp. | | 824 | 145,271 |
| Marriott Vacations Worldwide Corp. | | 1,259 | 126,693 |
| Monarch Casino & Resort, Inc. | | 663 | 41,172 |
| SeaWorld Entertainment, Inc.† | | 5,879 | 271,904 |
| Six Flags Entertainment Corp.† | | 3,546 | 83,367 |
| | | | 953,847 |
| Environmental Control — 0.8% |
| Enviri Corp.† | | 3,948 | 28,505 |
| Heritage-Crystal Clean, Inc.† | | 2,811 | 127,479 |
| PureCycle Technologies, Inc.† | | 18,076 | 101,406 |
| Stericycle, Inc.† | | 16,047 | 717,461 |
| Tetra Tech, Inc. | | 1,612 | 245,072 |
| | | | 1,219,923 |
| Food — 1.4% |
| B&G Foods, Inc. | | 3,579 | 35,396 |
| Calavo Growers, Inc. | | 880 | 22,203 |
| Cal-Maine Foods, Inc. | | 2,012 | 97,421 |
| Chefs' Warehouse, Inc.† | | 24,155 | 511,603 |
| Hain Celestial Group, Inc.† | | 4,428 | 45,918 |
| Hostess Brands, Inc.† | | 13,818 | 460,278 |
| J&J Snack Foods Corp. | | 764 | 125,029 |
| John B. Sanfilippo & Son, Inc. | | 1,684 | 166,379 |
| Simply Good Foods Co.† | | 4,485 | 154,822 |
| SpartanNash Co. | | 4,388 | 96,536 |
| Tootsie Roll Industries, Inc. | | 862 | 25,739 |
| TreeHouse Foods, Inc.† | | 2,540 | 110,693 |
| United Natural Foods, Inc.† | | 11,966 | 169,199 |
| | | | 2,021,216 |
| Forest Products & Paper — 0.1% |
| Mercer International, Inc. | | 2,174 | 18,653 |
| Sylvamo Corp. | | 1,762 | 77,422 |
| | | | 96,075 |
| Gas — 1.0% |
| Chesapeake Utilities Corp. | | 5,711 | 558,250 |
| New Jersey Resources Corp. | | 2,039 | 82,845 |
| Northwest Natural Holding Co. | | 3,341 | 127,493 |
| ONE Gas, Inc. | | 10,833 | 739,677 |
| | | | 1,508,265 |
| Hand/Machine Tools — 0.2% |
| Enerpac Tool Group Corp. | | 2,777 | 73,396 |
| Franklin Electric Co., Inc. | | 1,970 | 175,783 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Hand/Machine Tools (continued) |
| Kennametal, Inc. | | 3,946 | $ 98,176 |
| Luxfer Holdings PLC | | 1,211 | 15,804 |
| | | | 363,159 |
| Healthcare-Products — 3.7% |
| Adaptive Biotechnologies Corp.† | | 817 | 4,453 |
| Alphatec Holdings, Inc.† | | 5,525 | 71,659 |
| AngioDynamics, Inc.† | | 8,262 | 60,395 |
| Artivion, Inc.† | | 1,930 | 29,259 |
| AtriCure, Inc.† | | 5,413 | 237,089 |
| Avanos Medical, Inc.† | | 2,320 | 46,910 |
| Axonics, Inc.† | | 960 | 53,875 |
| BioLife Solutions, Inc.† | | 1,701 | 23,491 |
| CONMED Corp. | | 1,522 | 153,494 |
| Embecta Corp. | | 2,837 | 42,697 |
| Envista Holdings Corp.† | | 20,440 | 569,867 |
| Glaukos Corp.† | | 2,408 | 181,202 |
| Haemonetics Corp.† | | 8,512 | 762,505 |
| ICU Medical, Inc.† | | 7,820 | 930,658 |
| Inari Medical, Inc.† | | 1,517 | 99,212 |
| Inmode, Ltd.† | | 2,861 | 87,146 |
| Inspire Medical Systems, Inc.† | | 648 | 128,589 |
| Integer Holdings Corp.† | | 1,649 | 129,331 |
| Lantheus Holdings, Inc.† | | 4,035 | 280,352 |
| LeMaitre Vascular, Inc. | | 981 | 53,445 |
| Merit Medical Systems, Inc.† | | 5,209 | 359,525 |
| Natera, Inc.† | | 10,360 | 458,430 |
| OmniAb, Inc.† | | 4,440 | 23,044 |
| Omnicell, Inc.† | | 3,536 | 159,261 |
| OraSure Technologies, Inc.† | | 3,634 | 21,550 |
| Orthofix Medical, Inc.† | | 1,819 | 23,392 |
| Quanterix Corp.† | | 1,535 | 41,660 |
| Shockwave Medical, Inc.† | | 576 | 114,682 |
| SI-BONE, Inc.† | | 3,504 | 74,425 |
| STAAR Surgical Co.† | | 2,401 | 96,472 |
| Tandem Diabetes Care, Inc.† | | 3,222 | 66,921 |
| Treace Medical Concepts, Inc.† | | 2,800 | 36,708 |
| UFP Technologies, Inc.† | | 348 | 56,185 |
| Varex Imaging Corp.† | | 2,000 | 37,580 |
| | | | 5,515,464 |
| Healthcare-Services — 2.1% |
| Addus HomeCare Corp.† | | 803 | 68,408 |
| Agiliti, Inc.† | | 1,737 | 11,273 |
| Apollo Medical Holdings, Inc.† | | 2,082 | 64,230 |
| Community Health Systems, Inc.† | | 6,298 | 18,264 |
| Enhabit, Inc.† | | 46,958 | 528,278 |
| Ensign Group, Inc. | | 2,782 | 258,531 |
| Fortrea Holdings, Inc.† | | 4,386 | 125,396 |
| Fulgent Genetics, Inc.† | | 2,755 | 73,669 |
| HealthEquity, Inc.† | | 3,820 | 279,051 |
| Medpace Holdings, Inc.† | | 1,082 | 261,985 |
| ModivCare, Inc.† | | 611 | 19,253 |
| National HealthCare Corp. | | 2,364 | 151,249 |
| OPKO Health, Inc.† | | 26,612 | 42,579 |
| Pediatrix Medical Group, Inc. † | | 4,096 | 52,060 |
| RadNet, Inc.† | | 2,986 | 84,175 |
| Select Medical Holdings Corp. | | 5,161 | 130,418 |
| Surgery Partners, Inc.† | | 1,316 | 38,493 |
| Tenet Healthcare Corp.† | | 1,197 | 78,870 |
| U.S. Physical Therapy, Inc. | | 8,332 | 764,294 |
| | | | 3,050,476 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Home Builders — 2.0% |
| Cavco Industries, Inc.† | | 3,018 | $ 801,762 |
| Century Communities, Inc. | | 1,411 | 94,226 |
| Forestar Group, Inc.† | | 2,128 | 57,328 |
| Green Brick Partners, Inc.† | | 1,258 | 52,220 |
| Installed Building Products, Inc. | | 1,167 | 145,747 |
| Landsea Homes Corp.† | | 9,882 | 88,839 |
| LCI Industries | | 1,254 | 147,245 |
| LGI Homes, Inc.† | | 1,793 | 178,385 |
| M/I Homes, Inc.† | | 1,376 | 115,639 |
| MDC Holdings, Inc. | | 2,952 | 121,711 |
| Meritage Homes Corp. | | 3,469 | 424,571 |
| Skyline Champion Corp.† | | 856 | 54,544 |
| Taylor Morrison Home Corp.† | | 9,067 | 386,345 |
| Tri Pointe Homes, Inc.† | | 9,702 | 265,350 |
| Winnebago Industries, Inc. | | 1,496 | 88,937 |
| | | | 3,022,849 |
| Home Furnishings — 1.1% |
| Ethan Allen Interiors, Inc. | | 1,130 | 33,787 |
| iRobot Corp.† | | 1,366 | 51,771 |
| MillerKnoll, Inc. | | 13,909 | 340,075 |
| Sleep Number Corp.† | | 1,045 | 25,696 |
| Snap One Holdings Corp.† | | 34,579 | 319,510 |
| Sonos, Inc.† | | 55,981 | 722,715 |
| Xperi, Inc.† | | 10,681 | 105,315 |
| | | | 1,598,869 |
| Household Products/Wares — 0.4% |
| Central Garden & Pet Co.† | | 472 | 20,834 |
| Central Garden & Pet Co., Class A† | | 8,072 | 323,607 |
| Quanex Building Products Corp. | | 1,631 | 45,945 |
| WD-40 Co. | | 671 | 136,374 |
| | | | 526,760 |
| Housewares — 0.1% |
| Newell Brands, Inc. | | 18,865 | 170,351 |
| Insurance — 3.5% |
| Ambac Financial Group, Inc.† | | 2,243 | 27,051 |
| American Equity Investment Life Holding Co.† | | 4,758 | 255,219 |
| AMERISAFE, Inc. | | 950 | 47,567 |
| Assured Guaranty, Ltd. | | 2,755 | 166,733 |
| Axis Capital Holdings, Ltd. | | 9,082 | 511,952 |
| BRP Group, Inc., Class A† | | 1,795 | 41,698 |
| Employers Holdings, Inc. | | 1,290 | 51,536 |
| Essent Group, Ltd. | | 4,739 | 224,107 |
| Genworth Financial, Inc., Class A† | | 22,926 | 134,346 |
| Goosehead Insurance, Inc., Class A† | | 1,183 | 88,169 |
| HCI Group, Inc. | | 298 | 16,178 |
| Horace Mann Educators Corp. | | 2,022 | 59,406 |
| Jackson Financial, Inc., Class A | | 8,046 | 307,518 |
| James River Group Holdings, Ltd. | | 3,754 | 57,624 |
| Kemper Corp. | | 17,736 | 745,444 |
| Kinsale Capital Group, Inc. | | 69 | 28,575 |
| Lincoln National Corp. | | 8,398 | 207,347 |
| Mercury General Corp. | | 1,316 | 36,887 |
| NMI Holdings, Inc., Class A† | | 7,699 | 208,566 |
| Palomar Holdings, Inc.† | | 3,277 | 166,308 |
| ProAssurance Corp. | | 2,578 | 48,698 |
| Reinsurance Group of America, Inc. | | 5,063 | 735,097 |
| RLI Corp. | | 1,288 | 175,026 |
| Ryan Specialty Holdings, Inc.† | | 12,280 | 594,352 |
| Safety Insurance Group, Inc. | | 732 | 49,915 |
| SiriusPoint, Ltd.† | | 4,380 | 44,545 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Insurance (continued) |
| Skyward Specialty Insurance Group, Inc.† | | 1,368 | $ 37,429 |
| Stewart Information Services Corp. | | 1,354 | 59,305 |
| Trupanion, Inc.† | | 1,761 | 49,660 |
| United Fire Group, Inc. | | 1,049 | 20,718 |
| | | | 5,196,976 |
| Internet — 1.9% |
| Blade Air Mobility, Inc.† | | 13,261 | 34,346 |
| Cargurus, Inc.† | | 4,296 | 75,266 |
| Cars.com, Inc.† | | 5,642 | 95,124 |
| Cogent Communications Holdings, Inc. | | 2,154 | 133,333 |
| ePlus, Inc.† | | 1,334 | 84,736 |
| HealthStream, Inc. | | 1,200 | 25,896 |
| IAC, Inc.† | | 10,768 | 542,599 |
| Liquidity Services, Inc.† | | 1,109 | 19,541 |
| Magnite, Inc.† | | 4,716 | 35,559 |
| Open Lending Corp.† | | 2,110 | 15,445 |
| OptimizeRx Corp.† | | 2,665 | 20,734 |
| Perficient, Inc.† | | 11,254 | 651,156 |
| Q2 Holdings, Inc.† | | 1,700 | 54,859 |
| QuinStreet, Inc.† | | 6,656 | 59,704 |
| Shutterstock, Inc. | | 11,009 | 418,892 |
| Squarespace, Inc., Class A† | | 3,077 | 89,141 |
| TechTarget, Inc.† | | 1,253 | 38,041 |
| TripAdvisor, Inc.† | | 5,330 | 88,371 |
| Yelp, Inc.† | | 7,768 | 323,071 |
| | | | 2,805,814 |
| Investment Companies — 0.4% |
| Compass Diversified Holdings | | 32,297 | 606,215 |
| Iron/Steel — 0.6% |
| ATI, Inc.† | | 7,136 | 293,646 |
| Carpenter Technology Corp. | | 2,404 | 161,573 |
| Commercial Metals Co. | | 6,460 | 319,188 |
| Haynes International, Inc. | | 630 | 29,308 |
| Schnitzer Steel Industries, Inc., Class A | | 1,013 | 28,212 |
| | | | 831,927 |
| Leisure Time — 0.2% |
| Acushnet Holdings Corp. | | 3,532 | 187,337 |
| Vista Outdoor, Inc.† | | 2,872 | 95,121 |
| | | | 282,458 |
| Lodging — 0.3% |
| Bluegreen Vacations Holding Corp. | | 5,346 | 196,091 |
| Boyd Gaming Corp. | | 2,701 | 164,302 |
| Hilton Grand Vacations, Inc.† | | 2,942 | 119,739 |
| Marcus Corp. | | 1,218 | 18,879 |
| | | | 499,011 |
| Machinery-Construction & Mining — 0.2% |
| Argan, Inc. | | 3,189 | 145,163 |
| Astec Industries, Inc. | | 1,126 | 53,046 |
| Bloom Energy Corp., Class A† | | 2,244 | 29,756 |
| Terex Corp. | | 613 | 35,321 |
| | | | 263,286 |
| Machinery-Diversified — 1.7% |
| Alamo Group, Inc. | | 511 | 88,332 |
| Albany International Corp., Class A | | 10,194 | 879,538 |
| Applied Industrial Technologies, Inc. | | 1,914 | 295,924 |
| Cactus, Inc., Class A | | 7,733 | 388,274 |
| CIRCOR International, Inc.† | | 1,009 | 56,252 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Machinery-Diversified (continued) |
| DXP Enterprises, Inc.† | | 679 | $ 23,724 |
| Ichor Holdings, Ltd.† | | 1,448 | 44,830 |
| Kornit Digital, Ltd.† | | 13,595 | 257,081 |
| Lindsay Corp. | | 545 | 64,136 |
| Tennant Co. | | 920 | 68,218 |
| Watts Water Technologies, Inc., Class A | | 1,759 | 303,990 |
| | | | 2,470,299 |
| Media — 0.5% |
| AMC Networks, Inc., Class A† | | 1,506 | 17,741 |
| DISH Network Corp., Class A† | | 12,285 | 71,990 |
| E.W. Scripps Co., Class A† | | 2,909 | 15,941 |
| Gray Television, Inc. | | 3,579 | 24,767 |
| Liberty Latin America, Ltd., Class C† | | 15,280 | 124,685 |
| Scholastic Corp. | | 1,380 | 52,633 |
| TEGNA, Inc. | | 26,527 | 386,498 |
| Thryv Holdings, Inc.† | | 5,218 | 97,942 |
| | | | 792,197 |
| Metal Fabricate/Hardware — 0.9% |
| AZZ, Inc. | | 1,238 | 56,428 |
| Mueller Industries, Inc. | | 6,139 | 461,407 |
| Olympic Steel, Inc. | | 813 | 45,699 |
| Proto Labs, Inc.† | | 10,944 | 288,922 |
| Ryerson Holding Corp. | | 1,171 | 34,064 |
| Standex International Corp. | | 2,860 | 416,673 |
| TimkenSteel Corp.† | | 1,915 | 41,594 |
| | | | 1,344,787 |
| Mining — 0.1% |
| Century Aluminum Co.† | | 2,561 | 18,414 |
| Compass Minerals International, Inc. | | 1,670 | 46,676 |
| Constellium SE† | | 5,449 | 99,172 |
| Kaiser Aluminum Corp. | | 793 | 59,681 |
| | | | 223,943 |
| Miscellaneous Manufacturing — 1.6% |
| EnPro Industries, Inc. | | 3,719 | 450,706 |
| Fabrinet † | | 3,553 | 592,001 |
| Federal Signal Corp. | | 3,020 | 180,385 |
| Hillenbrand, Inc. | | 3,461 | 146,435 |
| John Bean Technologies Corp. | | 1,576 | 165,701 |
| Materion Corp. | | 6,533 | 665,778 |
| Myers Industries, Inc. | | 1,822 | 32,668 |
| Sturm Ruger & Co., Inc. | | 877 | 45,709 |
| Trinity Industries, Inc. | | 4,052 | 98,666 |
| | | | 2,378,049 |
| Office Furnishings — 0.1% |
| HNI Corp. | | 2,304 | 79,788 |
| Interface, Inc. | | 2,877 | 28,223 |
| | | | 108,011 |
| Office/Business Equipment — 0.1% |
| Pitney Bowes, Inc. | | 7,581 | 22,895 |
| Xerox Holdings Corp. | | 5,600 | 87,864 |
| | | | 110,759 |
| Oil & Gas — 3.7% |
| California Resources Corp. | | 4,651 | 260,503 |
| Callon Petroleum Co.† | | 2,767 | 108,245 |
| Chord Energy Corp. | | 947 | 153,480 |
| Civitas Resources, Inc. | | 693 | 56,043 |
| CNX Resources Corp.† | | 2,286 | 51,618 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Oil & Gas (continued) |
| Comstock Resources, Inc. | | 4,550 | $ 50,187 |
| CVR Energy, Inc. | | 3,347 | 113,898 |
| Delek US Holdings, Inc. | | 22,206 | 630,872 |
| Gulfport Energy Corp.† | | 231 | 27,410 |
| Helmerich & Payne, Inc. | | 5,478 | 230,953 |
| Magnolia Oil & Gas Corp., Class A | | 2,053 | 47,034 |
| Matador Resources Co. | | 11,985 | 712,868 |
| Murphy Oil Corp. | | 5,595 | 253,733 |
| Nabors Industries, Ltd.† | | 444 | 54,674 |
| Noble Corp. PLC | | 3,902 | 197,636 |
| Northern Oil & Gas, Inc. | | 4,898 | 197,047 |
| Ovintiv, Inc. | | 3,799 | 180,718 |
| Par Pacific Holdings, Inc.† | | 2,781 | 99,949 |
| Patterson-UTI Energy, Inc. | | 31,559 | 436,777 |
| PBF Energy, Inc., Class A | | 2,205 | 118,034 |
| Permian Resources Corp. | | 39,514 | 551,615 |
| SM Energy Co. | | 13,965 | 553,712 |
| Talos Energy, Inc.† | | 4,975 | 81,789 |
| Valaris, Ltd.† | | 708 | 53,086 |
| Vital Energy, Inc.† | | 829 | 45,943 |
| Weatherford International PLC† | | 1,850 | 167,111 |
| | | | 5,434,935 |
| Oil & Gas Services — 1.1% |
| Archrock, Inc. | | 6,818 | 85,907 |
| Bristow Group, Inc.† | | 1,186 | 33,410 |
| ChampionX Corp. | | 5,790 | 206,240 |
| Core Laboratories, Inc. | | 2,311 | 55,487 |
| Dril-Quip, Inc.† | | 1,692 | 47,664 |
| Helix Energy Solutions Group, Inc.† | | 7,018 | 78,391 |
| Liberty Energy, Inc. | | 19,854 | 367,696 |
| NOW, Inc.† | | 25,613 | 304,026 |
| Oceaneering International, Inc.† | | 9,400 | 241,768 |
| Oil States International, Inc.† | | 9,540 | 79,850 |
| ProPetro Holding Corp.† | | 4,299 | 45,698 |
| RPC, Inc. | | 4,215 | 37,682 |
| Select Water Solutions, Inc. | | 5,029 | 39,980 |
| US Silica Holdings, Inc.† | | 3,818 | 53,605 |
| | | | 1,677,404 |
| Packaging & Containers — 0.5% |
| Clearwater Paper Corp.† | | 827 | 29,979 |
| Graphic Packaging Holding Co. | | 17,874 | 398,232 |
| Greif, Inc., Class A | | 632 | 42,224 |
| O-I Glass, Inc.† | | 12,349 | 206,599 |
| | | | 677,034 |
| Pharmaceuticals — 1.8% |
| Acelyrin, Inc.† | | 12,019 | 122,233 |
| Aclaris Therapeutics, Inc.† | | 7,188 | 49,238 |
| AdaptHealth Corp.† | | 4,043 | 36,791 |
| Alector, Inc.† | | 8,877 | 57,523 |
| Alkermes PLC† | | 2,723 | 76,271 |
| Amneal Pharmaceuticals, Inc.† | | 11,728 | 49,492 |
| Amphastar Pharmaceuticals, Inc.† | | 1,887 | 86,783 |
| Arvinas, Inc.† | | 2,845 | 55,876 |
| BellRing Brands, Inc.† | | 1,138 | 46,920 |
| Catalyst Pharmaceuticals, Inc.† | | 10,055 | 117,543 |
| Collegium Pharmaceutical, Inc.† | | 1,720 | 38,442 |
| Corcept Therapeutics, Inc.† | | 4,467 | 121,704 |
| Enanta Pharmaceuticals, Inc.† | | 2,375 | 26,529 |
| Harmony Biosciences Holdings, Inc.† | | 1,663 | 54,497 |
| Herbalife, Ltd.† | | 9,477 | 132,583 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Pharmaceuticals (continued) |
| Ironwood Pharmaceuticals, Inc.† | | 6,797 | $ 65,455 |
| Kura Oncology, Inc.† | | 8,819 | 80,429 |
| Longboard Pharmaceuticals, Inc.† | | 12,251 | 68,116 |
| Madrigal Pharmaceuticals, Inc.† | | 806 | 117,708 |
| Option Care Health, Inc.† | | 6,923 | 223,959 |
| Owens & Minor, Inc.† | | 3,789 | 61,230 |
| Pacira BioSciences, Inc.† | | 10,530 | 323,060 |
| Phibro Animal Health Corp., Class A | | 1,007 | 12,859 |
| PMV Pharmaceuticals, Inc.† | | 6,670 | 40,954 |
| Premier, Inc., Class A | | 5,895 | 126,743 |
| Prestige Consumer Healthcare, Inc.† | | 2,452 | 140,230 |
| Protagonist Therapeutics, Inc.† | | 3,499 | 58,363 |
| Supernus Pharmaceuticals, Inc.† | | 2,703 | 74,522 |
| USANA Health Sciences, Inc.† | | 2,573 | 150,804 |
| Y-mAbs Therapeutics, Inc.† | | 163 | 888 |
| | | | 2,617,745 |
| Real Estate — 0.9% |
| Anywhere Real Estate, Inc.† | | 5,470 | 35,172 |
| Cushman & Wakefield PLC† | | 8,322 | 63,414 |
| eXp World Holdings, Inc. | | 3,802 | 61,744 |
| Kennedy-Wilson Holdings, Inc. | | 33,156 | 488,719 |
| Marcus & Millichap, Inc. | | 1,181 | 34,651 |
| McGrath RentCorp | | 6,203 | 621,789 |
| St. Joe Co. | | 1,763 | 95,784 |
| | | | 1,401,273 |
| REITS — 5.6% |
| Acadia Realty Trust | | 4,712 | 67,617 |
| Agree Realty Corp. | | 5,713 | 315,586 |
| Alexander & Baldwin, Inc. | | 3,595 | 60,144 |
| American Assets Trust, Inc. | | 2,405 | 46,777 |
| Apollo Commercial Real Estate Finance, Inc. | | 6,438 | 65,217 |
| Apple Hospitality REIT, Inc. | | 22,704 | 348,279 |
| Arbor Realty Trust, Inc. | | 9,233 | 140,157 |
| Armada Hoffler Properties, Inc. | | 4,504 | 46,121 |
| ARMOUR Residential REIT, Inc.† | | 11,303 | 48,038 |
| Blackstone Mtg. Trust, Inc., Class A | | 8,530 | 185,527 |
| Brandywine Realty Trust | | 22,939 | 104,143 |
| BrightSpire Capital, Inc. | | 3,030 | 18,968 |
| Broadstone Net Lease, Inc. | | 3,629 | 51,895 |
| CareTrust REIT, Inc. | | 7,073 | 144,996 |
| Centerspace | | 740 | 44,592 |
| Chatham Lodging Trust | | 2,419 | 23,150 |
| Community Healthcare Trust, Inc. | | 2,366 | 70,270 |
| COPT Defense Properties | | 3,371 | 80,331 |
| DiamondRock Hospitality Co. | | 14,987 | 120,346 |
| Douglas Emmett, Inc. | | 45,161 | 576,254 |
| Dynex Capital, Inc. | | 943 | 11,259 |
| Easterly Government Properties, Inc. | | 4,625 | 52,864 |
| Ellington Financial, Inc. | | 3,367 | 41,986 |
| Elme Communities | | 4,348 | 59,307 |
| Equity Commonwealth | | 1,013 | 18,609 |
| Essential Properties Realty Trust, Inc. | | 10,895 | 235,659 |
| First Industrial Realty Trust, Inc. | | 883 | 42,022 |
| Four Corners Property Trust, Inc. | | 4,484 | 99,500 |
| Franklin BSP Realty Trust, Inc. | | 4,070 | 53,887 |
| Getty Realty Corp. | | 2,275 | 63,086 |
| Global Medical REIT, Inc. | | 1,101 | 9,876 |
| Global Net Lease, Inc. | | 9,621 | 92,458 |
| Highwoods Properties, Inc. | | 5,232 | 107,832 |
| Hudson Pacific Properties, Inc. | | 6,280 | 41,762 |
| Innovative Industrial Properties, Inc. | | 1,911 | 144,586 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| REITS (continued) |
| Invesco Mtg. Capital, Inc. | | 2,207 | $ 22,092 |
| JBG SMITH Properties | | 4,660 | 67,384 |
| Kite Realty Group Trust | | 5,539 | 118,645 |
| KKR Real Estate Finance Trust, Inc. | | 4,124 | 48,952 |
| Ladder Capital Corp. | | 4,825 | 49,505 |
| LTC Properties, Inc. | | 2,050 | 65,867 |
| LXP Industrial Trust | | 20,142 | 179,264 |
| Macerich Co. | | 10,656 | 116,257 |
| MFA Financial, Inc. | | 19,731 | 189,615 |
| National Storage Affiliates Trust | | 1,454 | 46,150 |
| New York Mtg. Trust, Inc. | | 4,517 | 38,349 |
| NexPoint Residential Trust, Inc. | | 1,131 | 36,396 |
| Outfront Media, Inc. | | 7,190 | 72,619 |
| Pebblebrook Hotel Trust | | 5,966 | 81,078 |
| PennyMac Mtg. Investment Trust | | 8,051 | 99,832 |
| Phillips Edison & Co., Inc. | | 10,254 | 343,919 |
| Physicians Realty Trust | | 10,632 | 129,604 |
| Piedmont Office Realty Trust, Inc., Class A | | 5,771 | 32,433 |
| Plymouth Industrial REIT, Inc. | | 4,563 | 95,595 |
| PotlatchDeltic Corp. | | 2,819 | 127,954 |
| Ready Capital Corp. | | 7,822 | 79,080 |
| Redwood Trust, Inc. | | 5,653 | 40,306 |
| Retail Opportunity Investments Corp. | | 12,633 | 156,397 |
| RLJ Lodging Trust | | 11,040 | 108,082 |
| RPT Realty | | 5,681 | 59,991 |
| Ryman Hospitality Properties, Inc. | | 2,436 | 202,870 |
| Sabra Health Care REIT, Inc. | | 5,100 | 71,094 |
| Safehold, Inc. | | 2,216 | 39,445 |
| Saul Centers, Inc. | | 640 | 22,573 |
| Service Properties Trust | | 8,192 | 62,996 |
| SITE Centers Corp. | | 15,803 | 194,851 |
| SL Green Realty Corp. | | 4,622 | 172,401 |
| STAG Industrial, Inc. | | 3,547 | 122,407 |
| Summit Hotel Properties, Inc. | | 5,326 | 30,891 |
| Sunstone Hotel Investors, Inc. | | 10,257 | 95,903 |
| Tanger Factory Outlet Centers, Inc. | | 5,207 | 117,678 |
| Terreno Realty Corp. | | 11,288 | 641,158 |
| Two Harbors Investment Corp. | | 4,761 | 63,036 |
| UMH Properties, Inc. | | 2,565 | 35,961 |
| Uniti Group, Inc. | | 11,817 | 55,776 |
| Universal Health Realty Income Trust | | 630 | 25,471 |
| Urban Edge Properties | | 5,824 | 88,874 |
| Veris Residential, Inc. | | 5,691 | 93,902 |
| Whitestone REIT | | 2,329 | 22,428 |
| Xenia Hotels & Resorts, Inc. | | 5,310 | 62,552 |
| | | | 8,260,734 |
| Retail — 4.5% |
| Abercrombie & Fitch Co., Class A† | | 4,441 | 250,339 |
| Academy Sports & Outdoors, Inc. | | 3,785 | 178,917 |
| Advance Auto Parts, Inc. | | 2,943 | 164,602 |
| American Eagle Outfitters, Inc. | | 9,189 | 152,629 |
| America's Car-Mart, Inc.† | | 296 | 26,933 |
| Asbury Automotive Group, Inc.† | | 4,903 | 1,128,033 |
| Beacon Roofing Supply, Inc.† | | 5,200 | 401,284 |
| BJ's Restaurants, Inc.† | | 1,167 | 27,378 |
| BJ's Wholesale Club Holdings, Inc.† | | 3,956 | 282,340 |
| Bloomin' Brands, Inc. | | 10,065 | 247,498 |
| BlueLinx Holdings, Inc.† | | 865 | 71,008 |
| Boot Barn Holdings, Inc.† | | 3,834 | 311,282 |
| Brinker International, Inc.† | | 2,193 | 69,277 |
| Buckle, Inc. | | 1,474 | 49,217 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail (continued) |
| Caleres, Inc. | | 1,688 | $ 48,547 |
| Cava Group, Inc.† | | 4,774 | 146,228 |
| Cheesecake Factory, Inc. | | 2,335 | 70,751 |
| Chico's FAS, Inc.† | | 6,112 | 45,718 |
| Chuy's Holdings, Inc.† | | 893 | 31,773 |
| Cracker Barrel Old Country Store, Inc. | | 1,097 | 73,718 |
| Dave & Buster's Entertainment, Inc.† | | 1,700 | 63,019 |
| Designer Brands, Inc., Class A | | 2,438 | 30,865 |
| Dine Brands Global, Inc. | | 1,690 | 83,570 |
| FirstCash Holdings, Inc. | | 1,526 | 153,180 |
| Foot Locker, Inc. | | 4,045 | 70,181 |
| GMS, Inc.† | | 7,202 | 460,712 |
| Group 1 Automotive, Inc. | | 926 | 248,825 |
| Guess?, Inc. | | 1,352 | 29,257 |
| Haverty Furniture Cos., Inc. | | 665 | 19,139 |
| Hibbett, Inc. | | 631 | 29,979 |
| Jack in the Box, Inc. | | 995 | 68,715 |
| Kura Sushi USA, Inc., Class A† | | 615 | 40,664 |
| La-Z-Boy, Inc. | | 2,143 | 66,176 |
| Leslie's, Inc.† | | 9,109 | 51,557 |
| Lithia Motors, Inc. | | 205 | 60,543 |
| MarineMax, Inc.† | | 987 | 32,393 |
| Movado Group, Inc. | | 773 | 21,142 |
| National Vision Holdings, Inc.† | | 3,869 | 62,600 |
| Nu Skin Enterprises, Inc., Class A | | 2,473 | 52,452 |
| ODP Corp.† | | 4,835 | 223,135 |
| Papa John's International, Inc. | | 1,621 | 110,585 |
| Patrick Industries, Inc. | | 1,034 | 77,612 |
| PC Connection, Inc. | | 559 | 29,839 |
| PriceSmart, Inc. | | 1,276 | 94,973 |
| Sally Beauty Holdings, Inc.† | | 5,335 | 44,707 |
| Shake Shack, Inc., Class A† | | 1,856 | 107,778 |
| Shoe Carnival, Inc. | | 893 | 21,459 |
| Signet Jewelers, Ltd. | | 5,106 | 366,662 |
| Sonic Automotive, Inc., Class A | | 788 | 37,635 |
| Victoria's Secret & Co.† | | 3,819 | 63,701 |
| Wingstop, Inc. | | 586 | 105,386 |
| | | | 6,705,913 |
| Savings & Loans — 0.9% |
| Axos Financial, Inc.† | | 4,539 | 171,846 |
| Banc of California, Inc. | | 5,516 | 68,288 |
| Berkshire Hills Bancorp, Inc. | | 2,179 | 43,689 |
| Brookline Bancorp, Inc. | | 4,389 | 39,984 |
| Capitol Federal Financial, Inc. | | 6,270 | 29,908 |
| HomeTrust Bancshares, Inc. | | 967 | 20,955 |
| Northfield Bancorp, Inc. | | 1,960 | 18,522 |
| Northwest Bancshares, Inc. | | 6,292 | 64,367 |
| OceanFirst Financial Corp. | | 15,563 | 225,197 |
| Pacific Premier Bancorp, Inc. | | 15,888 | 345,723 |
| Provident Financial Services, Inc. | | 3,740 | 57,185 |
| Washington Federal, Inc. | | 6,022 | 154,284 |
| WSFS Financial Corp. | | 3,023 | 110,339 |
| | | | 1,350,287 |
| Semiconductors — 3.5% |
| ACM Research, Inc., Class A† | | 7,498 | 135,751 |
| Allegro MicroSystems, Inc.† | | 14,474 | 462,300 |
| Alpha & Omega Semiconductor, Ltd.† | | 1,109 | 33,093 |
| Ambarella, Inc.† | | 462 | 24,500 |
| Axcelis Technologies, Inc.† | | 3,511 | 572,469 |
| CEVA, Inc.† | | 1,170 | 22,686 |
| Cirrus Logic, Inc.† | | 639 | 47,260 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Semiconductors (continued) |
| Cohu, Inc.† | | 6,180 | $ 212,839 |
| Diodes, Inc.† | | 2,265 | 178,573 |
| FormFactor, Inc.† | | 3,844 | 134,309 |
| Kulicke & Soffa Industries, Inc. | | 2,796 | 135,969 |
| MACOM Technology Solutions Holdings, Inc.† | | 14,384 | 1,173,447 |
| MaxLinear, Inc.† | | 5,062 | 112,629 |
| Onto Innovation, Inc.† | | 3,092 | 394,292 |
| Photronics, Inc.† | | 3,095 | 62,550 |
| Power Integrations, Inc. | | 1,421 | 108,437 |
| Rambus, Inc.† | | 10,561 | 589,198 |
| Semtech Corp.† | | 9,038 | 232,728 |
| Silicon Laboratories, Inc.† | | 378 | 43,806 |
| SiTime Corp.† | | 847 | 96,770 |
| SMART Global Holdings, Inc.† | | 7,719 | 187,958 |
| Ultra Clean Holdings, Inc.† | | 4,349 | 129,035 |
| Veeco Instruments, Inc.† | | 6,400 | 179,904 |
| | | | 5,270,503 |
| Software — 4.4% |
| Adeia, Inc. | | 11,590 | 123,781 |
| Agilysys, Inc.† | | 1,004 | 66,425 |
| Asana, Inc., Class A† | | 6,259 | 114,602 |
| AvePoint, Inc.† | | 30,294 | 203,576 |
| Avid Technology, Inc.† | | 6,505 | 174,789 |
| BlackLine, Inc.† | | 2,244 | 124,475 |
| Box, Inc., Class A† | | 39,355 | 952,785 |
| Braze, Inc.† | | 2,439 | 113,974 |
| C3.ai, Inc., Class A† | | 1,212 | 30,930 |
| Cerence, Inc.† | | 1,997 | 40,679 |
| CommVault Systems, Inc.† | | 12,980 | 877,578 |
| Consensus Cloud Solutions, Inc.† | | 905 | 22,788 |
| CSG Systems International, Inc. | | 1,506 | 76,987 |
| Digi International, Inc.† | | 1,781 | 48,087 |
| Digital Turbine, Inc.† | | 4,479 | 27,098 |
| Donnelley Financial Solutions, Inc.† | | 6,562 | 369,309 |
| DoubleVerify Holdings, Inc.† | | 6,216 | 173,737 |
| Duolingo, Inc.† | | 664 | 110,138 |
| Ebix, Inc. | | 1,209 | 11,945 |
| Envestnet, Inc.† | | 1,900 | 83,657 |
| Health Catalyst, Inc.† | | 19,985 | 202,248 |
| MicroStrategy, Inc., Class A† | | 68 | 22,323 |
| N-able, Inc.† | | 3,434 | 44,299 |
| NextGen Healthcare, Inc.† | | 2,687 | 63,762 |
| Oddity Tech, Ltd., Class A† | | 1,436 | 40,711 |
| Olo, Inc., Class A† | | 14,401 | 87,270 |
| Outset Medical, Inc.† | | 5,474 | 59,557 |
| PDF Solutions, Inc.† | | 2,865 | 92,826 |
| Phreesia, Inc.† | | 13,497 | 252,124 |
| Privia Health Group, Inc.† | | 5,055 | 116,265 |
| Progress Software Corp. | | 2,147 | 112,889 |
| Schrodinger, Inc.† | | 2,701 | 76,357 |
| Simulations Plus, Inc. | | 789 | 32,901 |
| Sprout Social, Inc., Class A† | | 1,417 | 70,680 |
| SPS Commerce, Inc.† | | 2,997 | 511,318 |
| Veradigm, Inc.† | | 12,754 | 167,588 |
| Verra Mobility Corp.† | | 29,884 | 558,831 |
| Workiva, Inc.† | | 2,472 | 250,512 |
| Zuora, Inc., Class A† | | 3,871 | 31,897 |
| | | | 6,541,698 |
| Telecommunications — 1.9% |
| A10 Networks, Inc. | | 3,449 | 51,838 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Telecommunications (continued) |
| ADTRAN Holdings, Inc. | | 3,505 | $ 28,846 |
| ATN International, Inc. | | 525 | 16,569 |
| Aviat Networks, Inc.† | | 2,107 | 65,738 |
| Calix, Inc.† | | 3,761 | 172,404 |
| Ciena Corp.† | | 11,859 | 560,456 |
| Clearfield, Inc.† | | 642 | 18,400 |
| Consolidated Communications Holdings, Inc.† | | 3,695 | 12,637 |
| Credo Technology Group Holding, Ltd.† | | 22,105 | 337,101 |
| EchoStar Corp., Class A† | | 3,134 | 52,495 |
| Extreme Networks, Inc.† | | 8,712 | 210,918 |
| Gogo, Inc.† | | 5,598 | 66,784 |
| Harmonic, Inc.† | | 5,540 | 53,350 |
| InterDigital, Inc. | | 1,307 | 104,874 |
| Iridium Communications, Inc. | | 1,025 | 46,627 |
| Lumen Technologies, Inc.† | | 49,901 | 70,859 |
| Ooma, Inc.† | | 6,857 | 89,210 |
| Shenandoah Telecommunications Co. | | 2,488 | 51,278 |
| Telephone & Data Systems, Inc. | | 4,847 | 88,749 |
| Viasat, Inc.† | | 3,685 | 68,025 |
| Viavi Solutions, Inc.† | | 70,733 | 646,500 |
| | | | 2,813,658 |
| Textiles — 0.1% |
| UniFirst Corp. | | 748 | 121,931 |
| Transportation — 1.3% |
| ArcBest Corp. | | 3,997 | 406,295 |
| Dorian LPG, Ltd. | | 3,680 | 105,726 |
| Eagle Bulk Shipping, Inc. | | 530 | 22,276 |
| Forward Air Corp. | | 5,658 | 388,931 |
| Heartland Express, Inc. | | 2,269 | 33,332 |
| Hub Group, Inc., Class A† | | 4,596 | 360,970 |
| Marten Transport, Ltd. | | 2,858 | 56,331 |
| Matson, Inc. | | 3,215 | 285,235 |
| Radiant Logistics, Inc.† | | 7,485 | 42,290 |
| RXO, Inc.† | | 5,791 | 114,257 |
| Safe Bulkers, Inc. | | 6,180 | 20,023 |
| Teekay Tankers, Ltd., Class A | | 1,921 | 79,971 |
| World Kinect Corp. | | 2,980 | 66,841 |
| | | | 1,982,478 |
| Trucking & Leasing — 0.0% |
| Greenbrier Cos., Inc. | | 1,529 | 61,160 |
| Water — 0.7% |
| American States Water Co. | | 3,483 | 274,042 |
| California Water Service Group | | 2,857 | 135,165 |
| Middlesex Water Co. | | 879 | 58,234 |
| SJW Group | | 8,420 | 506,126 |
| | | | 973,567 |
Total Common Stocks
(cost $140,675,709) | | | 145,251,833 |
| UNAFFILIATED INVESTMENT COMPANIES — 0.7% |
iShares Core S&P Small-Cap ETF
(cost $1,189,606) | | 12,061 | 1,137,714 |
| WARRANTS — 0.0% |
| Oil & Gas — 0.0% |
Nabors Industries, Ltd.
Expires 06/11/2026†
(cost $0) | | 231 | 3,396 |
Total Long-Term Investment Securities
(cost $141,865,315) | | | 146,392,943 |
Seasons Series Trust SA Multi-Managed Small Cap Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| SHORT-TERM INVESTMENTS — 1.0% |
| Unaffiliated Investment Companies — 0.9% |
State Street Institutional Liquid Reserves Fund, Premier Class
5.45%(2) | | 1,389,048 | | $ 1,389,326 |
| U.S. Government — 0.1% |
| United States Treasury Bills | | | | |
| 3.97%, 10/05/2023(3) | | $ 70,000 | | 69,969 |
Total Short-Term Investments
(cost $1,459,310) | | | | 1,459,295 |
TOTAL INVESTMENTS
(cost $143,324,625)(4) | | 99.5% | | 147,852,238 |
| Other assets less liabilities | | 0.5 | | 683,756 |
| NET ASSETS | | 100.0% | | $148,535,994 |
| † | Non-income producing security |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | The rate shown is the 7-day yield as of September 30, 2023. |
| (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 Fund |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
(Depreciation) |
| 8 | Long | E-Mini Russell 2000 Index | December 2023 | $749,252 | $719,440 | $(29,812) |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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: | | | | | | | |
| Biotechnology | $ 5,424,321 | | $ — | | $ 0 | | $ 5,424,321 |
| Other Industries | 139,827,512 | | — | | — | | 139,827,512 |
| Unaffiliated Investment Companies | 1,137,714 | | — | | — | | 1,137,714 |
| Warrants | 3,396 | | — | | — | | 3,396 |
| Short-Term Investments: | | | | | | | |
| U.S. Government | — | | 69,969 | | — | | 69,969 |
| Other Short-Term Investments | 1,389,326 | | — | | — | | 1,389,326 |
| Total Investments at Value | $147,782,269 | | $69,969 | | $ 0 | | $147,852,238 |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 29,812 | | $ — | | $— | | $ 29,812 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Internet | 9.5% |
| Software | 7.4 |
| U.S. Government & Agency Obligations | 6.3 |
| Pharmaceuticals | 5.8 |
| Banks | 5.5 |
| Computers | 5.1 |
| Semiconductors | 4.6 |
| Oil & Gas | 3.9 |
| Retail | 3.4 |
| Short-Term Investments | 3.3 |
| Insurance | 2.8 |
| Repurchase Agreements | 2.8 |
| Diversified Financial Services | 2.6 |
| Collateralized Mortgage Obligations | 2.5 |
| Commercial Services | 2.5 |
| REITS | 2.4 |
| Electric | 2.4 |
| Telecommunications | 1.9 |
| Auto Manufacturers | 1.8 |
| Healthcare-Products | 1.8 |
| Biotechnology | 1.7 |
| Building Materials | 1.6 |
| Healthcare-Services | 1.4 |
| Chemicals | 1.4 |
| Food | 1.3 |
| Beverages | 1.2 |
| Agriculture | 1.2 |
| Cosmetics/Personal Care | 1.1 |
| Transportation | 0.9 |
| Aerospace/Defense | 0.9 |
| Electrical Components & Equipment | 0.9 |
| Pipelines | 0.9 |
| Electronics | 0.9 |
| Machinery-Construction & Mining | 0.8 |
| Apparel | 0.7 |
| Media | 0.7 |
| Entertainment | 0.6 |
| Mining | 0.6 |
| Engineering & Construction | 0.5 |
| Distribution/Wholesale | 0.5 |
| Iron/Steel | 0.5 |
| Lodging | 0.5 |
| Machinery-Diversified | 0.5 |
| Gas | 0.4 |
| Purchased Options | 0.4 |
| Home Builders | 0.4 |
| Miscellaneous Manufacturing | 0.4 |
| Packaging & Containers | 0.3 |
| Toys/Games/Hobbies | 0.3 |
| Auto Parts & Equipment | 0.3 |
| Unaffiliated Investment Companies | 0.3 |
| Investment Companies | 0.3 |
| Environmental Control | 0.2 |
| Airlines | 0.2 |
| Metal Fabricate/Hardware | 0.2 |
| Private Equity | 0.2 |
| Advertising | 0.2 |
| Oil & Gas Services | 0.1 |
| Leisure Time | 0.1 |
| Coal | 0.1 |
| Real Estate | 0.1 |
| Other Asset Backed Securities | 0.1 |
| | |
| Food Service | 0.1% |
| Trucking & Leasing | 0.1 |
| | 104.4% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 80.5% |
| Advertising — 0.1% |
| Trade Desk, Inc., Class A† | | 1,220 | $ 95,343 |
| Aerospace/Defense — 0.7% |
| Astronics Corp.† | | 522 | 8,279 |
| BAE Systems PLC | | 27,303 | 332,391 |
| Barnes Group, Inc. | | 213 | 7,236 |
| Boeing Co.† | | 518 | 99,290 |
| Dassault Aviation SA | | 410 | 77,331 |
| HEICO Corp. | | 657 | 106,388 |
| L3Harris Technologies, Inc. | | 647 | 112,656 |
| Lockheed Martin Corp. | | 273 | 111,646 |
| RTX Corp. | | 1,356 | 97,591 |
| Thales SA | | 1,625 | 228,670 |
| TransDigm Group, Inc.† | | 123 | 103,705 |
| | | | 1,285,183 |
| Agriculture — 1.2% |
| Andersons, Inc. | | 505 | 26,013 |
| Archer-Daniels-Midland Co. | | 1,444 | 108,906 |
| Dole PLC | | 681 | 7,886 |
| Imperial Brands PLC | | 13,558 | 275,757 |
| Philip Morris International, Inc. | | 17,779 | 1,645,980 |
| Turning Point Brands, Inc. | | 279 | 6,442 |
| Vector Group, Ltd. | | 949 | 10,097 |
| | | | 2,081,081 |
| Airlines — 0.2% |
| Copa Holdings SA, Class A | | 925 | 82,436 |
| Delta Air Lines, Inc. | | 2,746 | 101,602 |
| Deutsche Lufthansa AG† | | 7,129 | 56,574 |
| Qantas Airways, Ltd.† | | 42,215 | 140,596 |
| | | | 381,208 |
| Apparel — 0.7% |
| Hermes International SCA | | 180 | 329,190 |
| LVMH Moet Hennessy Louis Vuitton SE | | 830 | 628,654 |
| PRADA SpA | | 15,300 | 90,069 |
| Shenzhou International Group Holdings, Ltd. | | 10,200 | 97,689 |
| | | | 1,145,602 |
| Auto Manufacturers — 1.7% |
| Bayerische Motoren Werke AG | | 1,513 | 154,171 |
| Blue Bird Corp.† | | 360 | 7,686 |
| BYD Co., Ltd. | | 3,500 | 108,161 |
| Cummins, Inc. | | 500 | 114,230 |
| Dr. Ing. h.c. F. Porsche AG (Preference Shares)* | | 2,238 | 210,585 |
| Ford Motor Co. | | 8,551 | 106,204 |
| General Motors Co. | | 15,996 | 527,388 |
| Kia Corp. | | 1,449 | 86,970 |
| Stellantis NV | | 18,352 | 353,167 |
| Tesla, Inc.† | | 4,420 | 1,105,972 |
| Toyota Motor Corp. | | 1,500 | 26,875 |
| TuSimple Holdings, Inc., Class A† | | 6,183 | 9,646 |
| Volkswagen AG (Preference Shares) | | 2,134 | 245,787 |
| | | | 3,056,842 |
| Auto Parts & Equipment — 0.3% |
| Adient PLC† | | 216 | 7,927 |
| Aeva Technologies, Inc.† | | 4,432 | 3,390 |
| Allison Transmission Holdings, Inc. | | 2,283 | 134,834 |
| American Axle & Manufacturing Holdings, Inc.† | | 3,858 | 28,009 |
| Aptiv PLC† | | 1,377 | 135,758 |
| Dana, Inc. | | 557 | 8,171 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Auto Parts & Equipment (continued) |
| Gentherm, Inc.† | | 131 | $ 7,108 |
| Goodyear Tire & Rubber Co.† | | 700 | 8,701 |
| NGK Insulators, Ltd. | | 6,500 | 86,209 |
| Shyft Group, Inc. | | 488 | 7,305 |
| Standard Motor Products, Inc. | | 101 | 3,396 |
| Titan International, Inc.† | | 846 | 11,362 |
| Visteon Corp.† | | 343 | 47,358 |
| | | | 489,528 |
| Banks — 4.9% |
| Abu Dhabi Islamic Bank PJSC | | 33,446 | 102,506 |
| AIB Group PLC | | 18,771 | 84,542 |
| Amalgamated Financial Corp. | | 405 | 6,974 |
| Associated Banc-Corp | | 456 | 7,802 |
| Banco Bilbao Vizcaya Argentaria SA | | 44,325 | 361,311 |
| Banco do Brasil SA | | 5,700 | 53,501 |
| Bank Central Asia Tbk PT | | 129,700 | 74,060 |
| Bank Hapoalim BM | | 4,474 | 39,781 |
| Bank Leumi Le-Israel BM | | 22,050 | 182,319 |
| Bank Mandiri Persero Tbk PT | | 279,000 | 108,766 |
| Bank of Ireland Group PLC | | 12,890 | 126,604 |
| Bank of N.T. Butterfield & Son, Ltd. | | 408 | 11,049 |
| Bank of New York Mellon Corp. | | 10,779 | 459,724 |
| Banner Corp. | | 775 | 32,844 |
| Cathay General Bancorp | | 1,022 | 35,525 |
| Central Pacific Financial Corp. | | 527 | 8,790 |
| Citigroup, Inc. | | 27,913 | 1,148,062 |
| ConnectOne Bancorp, Inc. | | 552 | 9,842 |
| Customers Bancorp, Inc.† | | 870 | 29,971 |
| DBS Group Holdings, Ltd. | | 12,600 | 310,069 |
| DNB Bank ASA | | 1,263 | 25,457 |
| East West Bancorp, Inc. | | 2,099 | 110,638 |
| Eastern Bankshares, Inc. | | 652 | 8,176 |
| Enterprise Financial Services Corp. | | 569 | 21,337 |
| Erste Group Bank AG | | 2,970 | 103,056 |
| Fifth Third Bancorp | | 4,326 | 109,578 |
| First BanCorp/Puerto Rico | | 3,342 | 44,983 |
| First Financial Corp. | | 178 | 6,018 |
| Fulton Financial Corp. | | 266 | 3,221 |
| Goldman Sachs Group, Inc. | | 863 | 279,241 |
| Grupo Financiero Banorte SAB de CV, Class O | | 21,383 | 179,223 |
| Hancock Whitney Corp. | | 951 | 35,177 |
| Hanmi Financial Corp. | | 675 | 10,955 |
| Heartland Financial USA, Inc. | | 654 | 19,247 |
| Heritage Commerce Corp. | | 944 | 7,996 |
| Hilltop Holdings, Inc. | | 296 | 8,395 |
| Hope Bancorp, Inc. | | 2,088 | 18,479 |
| ICICI Bank, Ltd. | | 30,389 | 348,751 |
| Independent Bank Corp. | | 374 | 6,859 |
| International Bancshares Corp. | | 205 | 8,885 |
| Israel Discount Bank, Ltd., Class A | | 16,271 | 87,831 |
| JPMorgan Chase & Co. | | 11,326 | 1,642,496 |
| Lloyds Banking Group PLC | | 565,860 | 306,333 |
| Mizrahi Tefahot Bank, Ltd. | | 2,640 | 95,566 |
| National Australia Bank, Ltd. | | 13,047 | 243,856 |
| National Bank Holdings Corp., Class A | | 282 | 8,392 |
| Nordea Bank Abp | | 29,051 | 319,399 |
| NU Holdings, Ltd.† | | 15,193 | 110,149 |
| OFG Bancorp | | 793 | 23,679 |
| Pathward Financial, Inc. | | 646 | 29,774 |
| Peapack-Gladstone Financial Corp. | | 255 | 6,541 |
| Preferred Bank | | 320 | 19,920 |
| Premier Financial Corp. | | 431 | 7,353 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Banks (continued) |
| QCR Holdings, Inc. | | 180 | $ 8,734 |
| S&T Bancorp, Inc. | | 272 | 7,366 |
| SouthState Corp. | | 55 | 3,705 |
| TrustCo Bank Corp. | | 268 | 7,314 |
| UBS Group AG | | 17,884 | 443,315 |
| UMB Financial Corp. | | 123 | 7,632 |
| Wells Fargo & Co. | | 19,186 | 783,940 |
| WesBanco, Inc. | | 417 | 10,183 |
| Westamerica BanCorp | | 599 | 25,907 |
| | | | 8,749,099 |
| Beverages — 1.2% |
| Carlsberg A/S, Class B | | 263 | 33,233 |
| Coca-Cola Co. | | 29,255 | 1,637,695 |
| Coca-Cola Consolidated, Inc. | | 71 | 45,179 |
| Coca-Cola HBC AG | | 7,753 | 212,743 |
| Keurig Dr Pepper, Inc. | | 4,174 | 131,773 |
| PepsiCo, Inc. | | 750 | 127,080 |
| Primo Water Corp. | | 497 | 6,858 |
| | | | 2,194,561 |
| Biotechnology — 1.6% |
| 2seventy bio, Inc.† | | 1,569 | 6,151 |
| ACADIA Pharmaceuticals, Inc.† | | 1,841 | 38,366 |
| Agenus, Inc.† | | 6,886 | 7,781 |
| Amgen, Inc. | | 495 | 133,036 |
| Arcellx, Inc.† | | 867 | 31,108 |
| Arcturus Therapeutics Holdings, Inc.† | | 1,296 | 33,113 |
| Arrowhead Pharmaceuticals, Inc.† | | 1,060 | 28,482 |
| Biohaven, Ltd.† | | 1,832 | 47,650 |
| Bio-Rad Laboratories, Inc., Class A† | | 291 | 104,309 |
| Cabaletta Bio, Inc.† | | 1,267 | 19,284 |
| Cogent Biosciences, Inc.† | | 599 | 5,840 |
| Corteva, Inc. | | 2,505 | 128,156 |
| Dyne Therapeutics, Inc.† | | 798 | 7,150 |
| Exelixis, Inc.† | | 5,835 | 127,495 |
| Fate Therapeutics, Inc.† | | 2,892 | 6,131 |
| Genelux Corp.† | | 323 | 7,910 |
| IGM Biosciences, Inc.† | | 774 | 6,463 |
| ImmunoGen, Inc.† | | 1,628 | 25,836 |
| Incyte Corp.† | | 6,685 | 386,192 |
| Keros Therapeutics, Inc.† | | 210 | 6,695 |
| Kiniksa Pharmaceuticals, Ltd., Class A† | | 878 | 15,251 |
| Ligand Pharmaceuticals, Inc.† | | 122 | 7,310 |
| MacroGenics, Inc.† | | 907 | 4,227 |
| Novavax, Inc.† | | 4,313 | 31,226 |
| PTC Therapeutics, Inc.† | | 993 | 22,253 |
| RAPT Therapeutics, Inc.† | | 437 | 7,263 |
| Regeneron Pharmaceuticals, Inc.† | | 150 | 123,444 |
| Sutro Biopharma, Inc.† | | 1,499 | 5,202 |
| Tenaya Therapeutics, Inc.† | | 1,265 | 3,226 |
| TG Therapeutics, Inc.† | | 732 | 6,120 |
| Vertex Pharmaceuticals, Inc.† | | 4,058 | 1,411,129 |
| Zymeworks, Inc.† | | 1,560 | 9,890 |
| | | | 2,803,689 |
| Building Materials — 1.5% |
| AAON, Inc. | | 119 | 6,768 |
| American Woodmark Corp.† | | 365 | 27,598 |
| Apogee Enterprises, Inc. | | 193 | 9,086 |
| Boise Cascade Co. | | 488 | 50,284 |
| Builders FirstSource, Inc.† | | 6,741 | 839,187 |
| Cie de Saint-Gobain | | 5,023 | 302,065 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Building Materials (continued) |
| CRH PLC | | 5,006 | $ 277,417 |
| Fortune Brands Innovations, Inc. | | 1,672 | 103,932 |
| Holcim, Ltd. | | 2,292 | 147,183 |
| JELD-WEN Holding, Inc.† | | 1,483 | 19,813 |
| Johnson Controls International PLC | | 2,079 | 110,624 |
| Martin Marietta Materials, Inc. | | 949 | 389,545 |
| Masonite International Corp.† | | 137 | 12,771 |
| Modine Manufacturing Co.† | | 1,067 | 48,815 |
| Owens Corning | | 926 | 126,316 |
| PGT Innovations, Inc.† | | 374 | 10,378 |
| Simpson Manufacturing Co., Inc. | | 167 | 25,018 |
| SPX Technologies, Inc.† | | 351 | 28,571 |
| UFP Industries, Inc. | | 577 | 59,085 |
| UltraTech Cement, Ltd. | | 757 | 75,480 |
| | | | 2,669,936 |
| Chemicals — 0.9% |
| AdvanSix, Inc. | | 618 | 19,207 |
| American Vanguard Corp. | | 626 | 6,842 |
| Arkema SA | | 843 | 83,386 |
| Avient Corp. | | 201 | 7,099 |
| CF Industries Holdings, Inc. | | 1,510 | 129,467 |
| Dow, Inc. | | 2,071 | 106,781 |
| Ecolab, Inc. | | 587 | 99,438 |
| Element Solutions, Inc. | | 5,351 | 104,933 |
| Hansol Chemical Co., Ltd. | | 342 | 42,503 |
| Huntsman Corp. | | 4,284 | 104,530 |
| Innospec, Inc. | | 264 | 26,981 |
| Lightwave Logic, Inc.† | | 2,929 | 13,093 |
| Linde PLC | | 288 | 107,237 |
| Minerals Technologies, Inc. | | 151 | 8,269 |
| Olin Corp. | | 2,182 | 109,056 |
| Orion SA | | 530 | 11,278 |
| PPG Industries, Inc. | | 843 | 109,421 |
| Sherwin-Williams Co. | | 434 | 110,692 |
| Shin-Etsu Chemical Co., Ltd. | | 11,200 | 325,493 |
| Tronox Holdings PLC | | 2,675 | 35,952 |
| Yara International ASA | | 2,704 | 102,456 |
| | | | 1,664,114 |
| Coal — 0.1% |
| Alpha Metallurgical Resources, Inc. | | 224 | 58,180 |
| Arch Resources, Inc. | | 166 | 28,330 |
| CONSOL Energy, Inc. | | 426 | 44,692 |
| Peabody Energy Corp. | | 395 | 10,266 |
| SunCoke Energy, Inc. | | 1,670 | 16,950 |
| Warrior Met Coal, Inc. | | 1,091 | 55,728 |
| | | | 214,146 |
| Commercial Services — 2.1% |
| AMN Healthcare Services, Inc.† | | 95 | 8,092 |
| Arlo Technologies, Inc.† | | 1,898 | 19,549 |
| Automatic Data Processing, Inc. | | 5,860 | 1,409,799 |
| Barrett Business Services, Inc. | | 89 | 8,031 |
| Brink's Co. | | 544 | 39,516 |
| Cimpress PLC† | | 399 | 27,934 |
| Cintas Corp. | | 221 | 106,303 |
| CoreCivic, Inc.† | | 810 | 9,112 |
| Coursera, Inc.† | | 705 | 13,176 |
| Forrester Research, Inc.† | | 139 | 4,017 |
| Franklin Covey Co.† | | 202 | 8,670 |
| Global Payments, Inc. | | 868 | 100,159 |
| Green Dot Corp., Class A† | | 565 | 7,870 |
| Heidrick & Struggles International, Inc. | | 491 | 12,285 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Commercial Services (continued) |
| Huron Consulting Group, Inc.† | | 92 | $ 9,583 |
| Insperity, Inc. | | 80 | 7,808 |
| International Container Terminal Services, Inc. | | 24,800 | 90,826 |
| Korn Ferry | | 728 | 34,536 |
| Laureate Education, Inc. | | 3,133 | 44,175 |
| LiveRamp Holdings, Inc.† | | 1,465 | 42,251 |
| PayPal Holdings, Inc.† | | 19,028 | 1,112,377 |
| Perdoceo Education Corp. | | 1,328 | 22,709 |
| PROG Holdings, Inc.† | | 218 | 7,240 |
| Recruit Holdings Co., Ltd. | | 10,600 | 326,923 |
| Resources Connection, Inc. | | 488 | 7,276 |
| SP Plus Corp.† | | 248 | 8,953 |
| StoneCo, Ltd., Class A† | | 3,215 | 34,304 |
| Triton International, Ltd. | | 658 | 54,134 |
| Udemy, Inc.† | | 375 | 3,563 |
| WEX, Inc.† | | 530 | 99,688 |
| | | | 3,680,859 |
| Computers — 5.0% |
| Apple, Inc. | | 43,803 | 7,499,512 |
| AURAS Technology Co., Ltd. | | 4,000 | 39,630 |
| Fortinet, Inc.† | | 1,833 | 107,560 |
| Fujitsu, Ltd. | | 2,200 | 259,101 |
| Integral Ad Science Holding Corp.† | | 996 | 11,842 |
| Leidos Holdings, Inc. | | 4,411 | 406,518 |
| NetApp, Inc. | | 748 | 56,758 |
| NetScout Systems, Inc.† | | 291 | 8,154 |
| OneSpan, Inc.† | | 671 | 7,213 |
| PlayAGS, Inc.† | | 822 | 5,359 |
| Pure Storage, Inc., Class A† | | 2,919 | 103,975 |
| Qualys, Inc.† | | 359 | 54,766 |
| Rapid7, Inc.† | | 975 | 44,636 |
| Super Micro Computer, Inc.† | | 251 | 68,829 |
| Tata Consultancy Services, Ltd. | | 3,684 | 156,381 |
| Unisys Corp.† | | 1,924 | 6,638 |
| | | | 8,836,872 |
| Cosmetics/Personal Care — 1.0% |
| Colgate-Palmolive Co. | | 1,540 | 109,510 |
| e.l.f. Beauty, Inc.† | | 70 | 7,688 |
| Inter Parfums, Inc. | | 337 | 45,273 |
| Kenvue, Inc. | | 4,955 | 99,496 |
| L'Oreal SA | | 1,022 | 424,856 |
| Procter & Gamble Co. | | 4,658 | 679,416 |
| Unilever PLC | | 6,754 | 334,731 |
| | | | 1,700,970 |
| Distribution/Wholesale — 0.5% |
| A-Mark Precious Metals, Inc. | | 377 | 11,057 |
| Hudson Technologies, Inc.† | | 920 | 12,236 |
| ITOCHU Corp. | | 2,800 | 101,290 |
| LKQ Corp. | | 2,094 | 103,674 |
| Marubeni Corp. | | 18,300 | 285,570 |
| Mitsui & Co., Ltd. | | 9,400 | 341,115 |
| Resideo Technologies, Inc.† | | 509 | 8,042 |
| Titan Machinery, Inc.† | | 318 | 8,453 |
| | | | 871,437 |
| Diversified Financial Services — 2.3% |
| Affiliated Managers Group, Inc. | | 898 | 117,045 |
| Ally Financial, Inc. | | 3,745 | 99,917 |
| American Express Co. | | 1,004 | 149,787 |
| Ameriprise Financial, Inc. | | 1,562 | 514,960 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Diversified Financial Services (continued) |
| Apollo Global Management, Inc. | | 1,227 | $ 110,135 |
| B3 SA - Brasil Bolsa Balcao | | 24,400 | 59,658 |
| BGC Group, Inc., Class A | | 7,042 | 37,182 |
| Bread Financial Holdings, Inc. | | 1,212 | 41,450 |
| Capital One Financial Corp. | | 1,183 | 114,810 |
| Charles Schwab Corp. | | 1,909 | 104,804 |
| Discover Financial Services | | 11,131 | 964,278 |
| Enova International, Inc.† | | 242 | 12,311 |
| Hong Kong Exchanges & Clearing, Ltd. | | 700 | 26,155 |
| Intercontinental Exchange, Inc. | | 977 | 107,490 |
| Jefferies Financial Group, Inc. | | 2,924 | 107,106 |
| Julius Baer Group, Ltd. | | 1,989 | 127,899 |
| Mastercard, Inc., Class A | | 1,249 | 494,492 |
| Mr. Cooper Group, Inc.† | | 955 | 51,150 |
| Nasdaq, Inc. | | 2,064 | 100,290 |
| Navient Corp. | | 2,509 | 43,205 |
| PennyMac Financial Services, Inc. | | 263 | 17,516 |
| SEI Investments Co. | | 1,864 | 112,269 |
| SLM Corp. | | 7,247 | 98,704 |
| StoneX Group, Inc.† | | 295 | 28,591 |
| Synchrony Financial | | 3,580 | 109,441 |
| Virtu Financial, Inc., Class A | | 6,317 | 109,095 |
| Virtus Investment Partners, Inc. | | 118 | 23,835 |
| Western Union Co. | | 9,334 | 123,022 |
| | | | 4,006,597 |
| Electric — 1.8% |
| AES Corp. | | 5,025 | 76,380 |
| ALLETE, Inc. | | 587 | 30,994 |
| American Electric Power Co., Inc. | | 1,537 | 115,613 |
| Black Hills Corp. | | 154 | 7,791 |
| Constellation Energy Corp. | | 1,024 | 111,698 |
| Dominion Energy, Inc. | | 2,371 | 105,913 |
| DTE Energy Co. | | 1,150 | 114,172 |
| Duke Energy Corp. | | 1,251 | 110,413 |
| E.ON SE | | 25,661 | 303,857 |
| Edison International | | 1,549 | 98,036 |
| Enel SpA | | 32,811 | 201,892 |
| Eversource Energy | | 1,745 | 101,472 |
| Exelon Corp. | | 1,932 | 73,010 |
| NextEra Energy, Inc. | | 1,589 | 91,034 |
| NRG Energy, Inc. | | 3,095 | 119,219 |
| Otter Tail Corp. | | 116 | 8,807 |
| PG&E Corp.† | | 6,472 | 104,393 |
| Pinnacle West Capital Corp. | | 714 | 52,608 |
| PNM Resources, Inc. | | 967 | 43,138 |
| Portland General Electric Co. | | 353 | 14,289 |
| PPL Corp. | | 2,012 | 47,403 |
| Public Service Enterprise Group, Inc. | | 1,797 | 102,267 |
| RWE AG | | 3,890 | 144,562 |
| Sempra | | 728 | 49,526 |
| Southern Co. | | 1,908 | 123,486 |
| Unitil Corp. | | 179 | 7,645 |
| Vistra Corp. | | 20,529 | 681,152 |
| Xcel Energy, Inc. | | 1,874 | 107,230 |
| | | | 3,148,000 |
| Electrical Components & Equipment — 0.9% |
| AMETEK, Inc. | | 5,692 | 841,050 |
| Belden, Inc. | | 219 | 21,144 |
| Emerson Electric Co. | | 1,091 | 105,358 |
| Encore Wire Corp. | | 160 | 29,194 |
| KEI Industries, Ltd. | | 3,786 | 120,909 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Electrical Components & Equipment (continued) |
| Legrand SA | | 1,538 | $ 141,954 |
| nLight, Inc.† | | 567 | 5,897 |
| Powell Industries, Inc. | | 185 | 15,337 |
| Prysmian SpA | | 7,235 | 291,817 |
| | | | 1,572,660 |
| Electronics — 0.8% |
| Allient, Inc. | | 190 | 5,875 |
| Atkore, Inc.† | | 388 | 57,886 |
| ESCO Technologies, Inc. | | 131 | 13,682 |
| Fortive Corp. | | 1,835 | 136,084 |
| Honeywell International, Inc. | | 464 | 85,719 |
| Hoya Corp. | | 2,600 | 266,629 |
| Itron, Inc.† | | 731 | 44,284 |
| Keysight Technologies, Inc.† | | 787 | 104,128 |
| Mettler-Toledo International, Inc.† | | 92 | 101,942 |
| Shimadzu Corp. | | 5,400 | 143,528 |
| Sinbon Electronics Co., Ltd. | | 10,000 | 100,351 |
| Stoneridge, Inc.† | | 394 | 7,907 |
| TDK Corp. | | 1,900 | 70,462 |
| Trimble, Inc.† | | 1,017 | 54,776 |
| TTM Technologies, Inc.† | | 808 | 10,407 |
| Vishay Intertechnology, Inc. | | 423 | 10,456 |
| Vontier Corp. | | 3,459 | 106,952 |
| Woodward, Inc. | | 840 | 104,378 |
| | | | 1,425,446 |
| Engineering & Construction — 0.5% |
| Arcosa, Inc. | | 134 | 9,635 |
| Comfort Systems USA, Inc. | | 55 | 9,372 |
| Eiffage SA | | 1,443 | 137,366 |
| Frontdoor, Inc.† | | 1,173 | 35,882 |
| Grupo Aeroportuario del Centro Norte SAB de CV | | 3,178 | 34,547 |
| Jacobs Solutions, Inc. | | 1,458 | 199,017 |
| Limbach Holdings, Inc.† | | 304 | 9,646 |
| MYR Group, Inc.† | | 93 | 12,533 |
| Sterling Infrastructure, Inc.† | | 587 | 43,133 |
| TopBuild Corp.† | | 424 | 106,678 |
| Tutor Perini Corp.† | | 617 | 4,831 |
| Vinci SA | | 2,773 | 307,893 |
| | | | 910,533 |
| Entertainment — 0.4% |
| Aristocrat Leisure, Ltd. | | 11,497 | 301,963 |
| Caesars Entertainment, Inc.† | | 1,929 | 89,409 |
| DraftKings, Inc., Class A† | | 3,406 | 100,273 |
| Golden Entertainment, Inc. | | 362 | 12,373 |
| International Game Technology PLC | | 1,589 | 48,179 |
| La Francaise des Jeux SAEM* | | 1,095 | 35,657 |
| Light & Wonder, Inc.† | | 816 | 58,205 |
| Red Rock Resorts, Inc., Class A | | 911 | 37,351 |
| | | | 683,410 |
| Environmental Control — 0.1% |
| Enviri Corp.† | | 1,108 | 8,000 |
| Republic Services, Inc. | | 872 | 124,269 |
| Tetra Tech, Inc. | | 757 | 115,086 |
| | | | 247,355 |
| Food — 1.2% |
| Cal-Maine Foods, Inc. | | 175 | 8,473 |
| CK Hutchison Holdings, Ltd. | | 29,500 | 157,842 |
| Coles Group, Ltd. | | 14,885 | 148,914 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Food (continued) |
| Dino Polska SA*† | | 673 | $ 54,688 |
| Hershey Co. | | 555 | 111,044 |
| Hostess Brands, Inc.† | | 1,329 | 44,269 |
| Ingles Markets, Inc., Class A | | 202 | 15,217 |
| Jeronimo Martins SGPS SA | | 3,213 | 72,219 |
| John B. Sanfilippo & Son, Inc. | | 108 | 10,670 |
| Koninklijke Ahold Delhaize NV | | 9,471 | 285,577 |
| Mondelez International, Inc., Class A | | 5,700 | 395,580 |
| Nestle SA | | 2,545 | 288,434 |
| Nissin Foods Holdings Co., Ltd. | | 1,900 | 157,973 |
| Shoprite Holdings, Ltd. | | 5,400 | 68,404 |
| Simply Good Foods Co.† | | 757 | 26,132 |
| Sumber Alfaria Trijaya Tbk PT | | 323,600 | 61,977 |
| United Natural Foods, Inc.† | | 440 | 6,222 |
| WH Group, Ltd.* | | 142,500 | 74,790 |
| Yakult Honsha Co., Ltd. | | 9,000 | 218,797 |
| | | | 2,207,222 |
| Food Service — 0.1% |
| Sodexo SA | | 948 | 97,742 |
| Gas — 0.4% |
| Centrica PLC | | 119,856 | 225,862 |
| Chesapeake Utilities Corp. | | 207 | 20,234 |
| China Resources Gas Group, Ltd. | | 22,600 | 66,233 |
| National Fuel Gas Co. | | 3,048 | 158,222 |
| New Jersey Resources Corp. | | 273 | 11,092 |
| Northwest Natural Holding Co. | | 467 | 17,821 |
| Tokyo Gas Co., Ltd. | | 12,600 | 285,911 |
| | | | 785,375 |
| Hand/Machine Tools — 0.0% |
| Franklin Electric Co., Inc. | | 100 | 8,923 |
| Healthcare-Products — 1.7% |
| Abbott Laboratories | | 14,860 | 1,439,191 |
| Adaptive Biotechnologies Corp.† | | 4,179 | 22,776 |
| AngioDynamics, Inc.† | | 1,101 | 8,048 |
| AtriCure, Inc.† | | 602 | 26,368 |
| Avanos Medical, Inc.† | | 629 | 12,718 |
| Axonics, Inc.† | | 132 | 7,408 |
| Boston Scientific Corp.† | | 2,304 | 121,651 |
| Castle Biosciences, Inc.† | | 553 | 9,340 |
| Danaher Corp. | | 437 | 108,420 |
| DENTSPLY SIRONA, Inc. | | 3,082 | 105,281 |
| Edwards Lifesciences Corp.† | | 1,536 | 106,414 |
| GE HealthCare Technologies, Inc. | | 868 | 59,059 |
| Glaukos Corp.† | | 213 | 16,028 |
| Hologic, Inc.† | | 1,541 | 106,945 |
| Inari Medical, Inc.† | | 140 | 9,156 |
| Inspire Medical Systems, Inc.† | | 451 | 89,497 |
| Lantheus Holdings, Inc.† | | 636 | 44,189 |
| LivaNova PLC† | | 702 | 37,122 |
| Medtronic PLC | | 1,095 | 85,804 |
| MiMedx Group, Inc.† | | 1,874 | 13,662 |
| Nevro Corp.† | | 403 | 7,746 |
| Olympus Corp. | | 9,100 | 118,226 |
| OraSure Technologies, Inc.† | | 2,121 | 12,578 |
| Orthofix Medical, Inc.† | | 450 | 5,787 |
| Pacific Biosciences of California, Inc.† | | 855 | 7,139 |
| Quanterix Corp.† | | 713 | 19,351 |
| Quantum-Si, Inc.† | | 3,396 | 5,637 |
| ResMed, Inc. | | 682 | 100,847 |
| SI-BONE, Inc.† | | 371 | 7,880 |
| STAAR Surgical Co.† | | 544 | 21,858 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Healthcare-Products (continued) |
| Surmodics, Inc.† | | 259 | $ 8,311 |
| Thermo Fisher Scientific, Inc. | | 196 | 99,209 |
| West Pharmaceutical Services, Inc. | | 135 | 50,653 |
| Zimmer Biomet Holdings, Inc. | | 856 | 96,060 |
| | | | 2,990,359 |
| Healthcare-Services — 1.2% |
| Addus HomeCare Corp.† | | 91 | 7,752 |
| Apollo Hospitals Enterprise, Ltd. | | 941 | 58,301 |
| BioMerieux | | 561 | 54,460 |
| Elevance Health, Inc. | | 1,026 | 446,741 |
| Fulgent Genetics, Inc.† | | 578 | 15,456 |
| HCA Healthcare, Inc. | | 387 | 95,194 |
| HealthEquity, Inc.† | | 134 | 9,789 |
| Humana, Inc. | | 861 | 418,894 |
| IQVIA Holdings, Inc.† | | 478 | 94,046 |
| Max Healthcare Institute, Ltd. | | 15,208 | 103,885 |
| Medpace Holdings, Inc.† | | 371 | 89,830 |
| RadNet, Inc.† | | 567 | 15,984 |
| Select Medical Holdings Corp. | | 767 | 19,382 |
| Sonic Healthcare, Ltd. | | 10,337 | 198,056 |
| Teladoc Health, Inc.† | | 5,050 | 93,880 |
| UnitedHealth Group, Inc. | | 720 | 363,017 |
| | | | 2,084,667 |
| Holding Companies-Diversified — 0.0% |
| Jardine Matheson Holdings, Ltd. | | 1,300 | 60,346 |
| Home Builders — 0.3% |
| Beazer Homes USA, Inc.† | | 1,520 | 37,863 |
| Forestar Group, Inc.† | | 616 | 16,595 |
| Hovnanian Enterprises, Inc., Class A† | | 185 | 18,807 |
| KB Home | | 176 | 8,145 |
| Lennar Corp., Class A | | 914 | 102,578 |
| M/I Homes, Inc.† | | 489 | 41,096 |
| NVR, Inc.† | | 17 | 101,376 |
| Open House Group Co., Ltd. | | 700 | 23,768 |
| Skyline Champion Corp.† | | 369 | 23,513 |
| Taylor Morrison Home Corp.† | | 1,129 | 48,107 |
| Toll Brothers, Inc. | | 1,396 | 103,248 |
| Tri Pointe Homes, Inc.† | | 1,501 | 41,052 |
| | | | 566,148 |
| Home Furnishings — 0.0% |
| Rational AG | | 47 | 29,814 |
| Household Products/Wares — 0.0% |
| ACCO Brands Corp. | | 1,623 | 9,316 |
| Insurance — 2.6% |
| AIA Group, Ltd. | | 10,600 | 86,428 |
| Allianz SE | | 580 | 138,400 |
| American Equity Investment Life Holding Co.† | | 1,002 | 53,747 |
| American Financial Group, Inc. | | 1,008 | 112,563 |
| Aviva PLC | | 30,828 | 146,616 |
| AXA SA | | 1,021 | 30,419 |
| Berkshire Hathaway, Inc., Class B† | | 1,083 | 379,375 |
| Chubb, Ltd. | | 591 | 123,034 |
| CNO Financial Group, Inc. | | 1,981 | 47,009 |
| Employers Holdings, Inc. | | 238 | 9,508 |
| Equitable Holdings, Inc. | | 15,973 | 453,474 |
| Essent Group, Ltd. | | 1,111 | 52,539 |
| Genworth Financial, Inc., Class A† | | 7,906 | 46,329 |
| Gjensidige Forsikring ASA | | 1,661 | 24,457 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Insurance (continued) |
| Globe Life, Inc. | | 1,002 | $ 108,948 |
| Horace Mann Educators Corp. | | 807 | 23,710 |
| Jackson Financial, Inc., Class A | | 1,231 | 47,049 |
| Loews Corp. | | 1,769 | 111,995 |
| Marsh & McLennan Cos., Inc. | | 533 | 101,430 |
| MetLife, Inc. | | 12,816 | 806,255 |
| MGIC Investment Corp. | | 11,672 | 194,806 |
| Muenchener Rueckversicherungs-Gesellschaft AG | | 539 | 210,335 |
| NMI Holdings, Inc., Class A† | | 279 | 7,558 |
| Ping An Insurance Group Co. of China, Ltd. | | 16,500 | 94,500 |
| Reinsurance Group of America, Inc. | | 2,196 | 318,837 |
| RenaissanceRe Holdings, Ltd. | | 566 | 112,023 |
| Sampo Oyj, Class A† | | 5,747 | 248,995 |
| SiriusPoint, Ltd.† | | 856 | 8,706 |
| Tokio Marine Holdings, Inc. | | 7,200 | 166,943 |
| Universal Insurance Holdings, Inc. | | 691 | 9,688 |
| Unum Group | | 2,618 | 128,779 |
| W.R. Berkley Corp. | | 1,670 | 106,028 |
| Zurich Insurance Group AG | | 261 | 119,786 |
| | | | 4,630,269 |
| Internet — 9.3% |
| Alibaba Group Holding, Ltd.† | | 13,500 | 147,568 |
| Alphabet, Inc., Class A† | | 34,159 | 4,470,047 |
| Amazon.com, Inc.† | | 22,630 | 2,876,726 |
| Auto Trader Group PLC* | | 15,810 | 119,134 |
| Booking Holdings, Inc.† | | 504 | 1,554,311 |
| Cargurus, Inc.† | | 1,560 | 27,331 |
| DoorDash, Inc., Class A† | | 1,634 | 129,854 |
| eBay, Inc. | | 20,621 | 909,180 |
| Etsy, Inc.† | | 1,642 | 106,040 |
| Expedia Group, Inc.† | | 1,355 | 139,660 |
| F5, Inc.† | | 681 | 109,736 |
| GoDaddy, Inc., Class A† | | 3,742 | 278,704 |
| HealthStream, Inc. | | 379 | 8,179 |
| MakeMyTrip, Ltd.† | | 1,143 | 46,314 |
| Meituan, Class B*† | | 8,810 | 128,928 |
| MercadoLibre, Inc.† | | 82 | 103,966 |
| Meta Platforms, Inc., Class A† | | 7,403 | 2,222,455 |
| Netflix, Inc.† | | 3,690 | 1,393,344 |
| PDD Holdings, Inc. ADR† | | 375 | 36,776 |
| Q2 Holdings, Inc.† | | 267 | 8,616 |
| Squarespace, Inc., Class A† | | 1,390 | 40,268 |
| Tencent Holdings, Ltd. | | 9,306 | 363,876 |
| Uber Technologies, Inc.† | | 27,497 | 1,264,587 |
| Upwork, Inc.† | | 3,052 | 34,671 |
| | | | 16,520,271 |
| Investment Companies — 0.2% |
| EXOR NV | | 1,087 | 96,466 |
| Investor AB, Class B | | 16,589 | 318,554 |
| | | | 415,020 |
| Iron/Steel — 0.4% |
| ArcelorMittal SA | | 10,537 | 264,859 |
| BlueScope Steel, Ltd. | | 10,690 | 133,613 |
| Commercial Metals Co. | | 163 | 8,054 |
| Nucor Corp. | | 685 | 107,100 |
| Reliance Steel & Aluminum Co. | | 425 | 111,448 |
| Steel Dynamics, Inc. | | 1,049 | 112,474 |
| | | | 737,548 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Leisure Time — 0.0% |
| MasterCraft Boat Holdings, Inc.† | | 356 | $ 7,910 |
| Vista Outdoor, Inc.† | | 134 | 4,438 |
| | | | 12,348 |
| Lodging — 0.4% |
| Bluegreen Vacations Holding Corp. | | 100 | 3,668 |
| Boyd Gaming Corp. | | 1,685 | 102,499 |
| H World Group, Ltd.† | | 2,594 | 102,281 |
| Hilton Worldwide Holdings, Inc. | | 695 | 104,375 |
| Indian Hotels Co., Ltd. | | 25,435 | 126,193 |
| Marriott International, Inc., Class A | | 663 | 130,319 |
| MGM Resorts International | | 2,492 | 91,606 |
| | | | 660,941 |
| Machinery-Construction & Mining — 0.7% |
| Astec Industries, Inc. | | 188 | 8,857 |
| Caterpillar, Inc. | | 1,145 | 312,585 |
| Hyster-Yale Materials Handling, Inc. | | 281 | 12,527 |
| Mitsubishi Heavy Industries, Ltd. | | 5,700 | 318,336 |
| Terex Corp. | | 863 | 49,726 |
| Vertiv Holdings Co. | | 16,689 | 620,831 |
| | | | 1,322,862 |
| Machinery-Diversified — 0.5% |
| Alamo Group, Inc. | | 45 | 7,779 |
| Albany International Corp., Class A | | 109 | 9,404 |
| Applied Industrial Technologies, Inc. | | 246 | 38,034 |
| Deere & Co. | | 264 | 99,628 |
| GEA Group AG | | 3,012 | 111,328 |
| GrafTech International, Ltd. | | 5,878 | 22,513 |
| Ingersoll Rand, Inc. | | 1,618 | 103,099 |
| Kone Oyj, Class B | | 667 | 28,151 |
| Otis Worldwide Corp. | | 1,405 | 112,836 |
| Thermon Group Holdings, Inc.† | | 536 | 14,724 |
| Watts Water Technologies, Inc., Class A | | 59 | 10,196 |
| Westinghouse Air Brake Technologies Corp. | | 1,018 | 108,183 |
| Xylem, Inc. | | 1,131 | 102,955 |
| Zurn Elkay Water Solutions Corp. | | 1,363 | 38,191 |
| | | | 807,021 |
| Media — 0.3% |
| Comcast Corp., Class A | | 2,667 | 118,255 |
| Informa PLC | | 25,629 | 234,649 |
| Liberty Latin America, Ltd., Class C† | | 3,918 | 31,971 |
| Sinclair, Inc. | | 731 | 8,202 |
| Wolters Kluwer NV | | 579 | 70,183 |
| | | | 463,260 |
| Metal Fabricate/Hardware — 0.2% |
| APL Apollo Tubes, Ltd. | | 3,149 | 61,881 |
| MISUMI Group, Inc. | | 1,000 | 15,635 |
| Mueller Industries, Inc. | | 552 | 41,488 |
| Ryerson Holding Corp. | | 996 | 28,974 |
| Standex International Corp. | | 63 | 9,179 |
| Tenaris SA | | 5,879 | 93,140 |
| Valmont Industries, Inc. | | 440 | 105,692 |
| Worthington Industries, Inc. | | 53 | 3,277 |
| | | | 359,266 |
| Mining — 0.5% |
| Anglo American PLC (Johannesburg) | | 1,916 | 53,155 |
| BHP Group, Ltd. | | 8,776 | 249,682 |
| BHP Group, Ltd. (LSE) | | 1,260 | 35,966 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Mining (continued) |
| Constellium SE† | | 2,625 | $ 47,775 |
| Freeport-McMoRan, Inc. | | 2,964 | 110,528 |
| Glencore PLC | | 36,701 | 210,416 |
| Rio Tinto PLC | | 2,395 | 151,191 |
| South32, Ltd. | | 23,342 | 50,876 |
| | | | 909,589 |
| Miscellaneous Manufacturing — 0.4% |
| 3M Co. | | 1,033 | 96,709 |
| Eaton Corp. PLC | | 492 | 104,934 |
| Elite Material Co., Ltd. | | 3,000 | 40,084 |
| General Electric Co. | | 991 | 109,555 |
| Hillenbrand, Inc. | | 290 | 12,270 |
| ITT, Inc. | | 1,052 | 103,001 |
| Parker-Hannifin Corp. | | 209 | 81,410 |
| Textron, Inc. | | 1,428 | 111,584 |
| | | | 659,547 |
| Multi-National — 0.0% |
| Banco Latinoamericano de Comercio Exterior SA, Class E | | 329 | 6,975 |
| Office/Business Equipment — 0.0% |
| Pitney Bowes, Inc. | | 4,663 | 14,082 |
| Oil & Gas — 3.4% |
| Amplify Energy Corp.† | | 1,169 | 8,592 |
| APA Corp. | | 2,696 | 110,806 |
| BP PLC | | 74,546 | 483,327 |
| California Resources Corp. | | 906 | 50,745 |
| Chevron Corp. | | 714 | 120,395 |
| Chord Energy Corp. | | 305 | 49,431 |
| Comstock Resources, Inc. | | 681 | 7,511 |
| ConocoPhillips | | 964 | 115,487 |
| Delek US Holdings, Inc. | | 273 | 7,756 |
| Equinor ASA | | 8,629 | 283,273 |
| Exxon Mobil Corp. | | 15,773 | 1,854,589 |
| Marathon Oil Corp. | | 41,977 | 1,122,885 |
| Marathon Petroleum Corp. | | 4,928 | 745,803 |
| Murphy Oil Corp. | | 85 | 3,855 |
| Nabors Industries, Ltd.† | | 133 | 16,378 |
| Par Pacific Holdings, Inc.† | | 1,294 | 46,506 |
| PBF Energy, Inc., Class A | | 1,162 | 62,202 |
| Petro Rio SA† | | 8,200 | 76,738 |
| PetroChina Co., Ltd. | | 194,000 | 146,164 |
| Reliance Industries, Ltd. | | 5,375 | 151,594 |
| Repsol SA | | 19,070 | 313,919 |
| Shell PLC | | 2,480 | 78,854 |
| SM Energy Co. | | 1,099 | 43,575 |
| Valero Energy Corp. | | 987 | 139,868 |
| W&T Offshore, Inc.† | | 1,962 | 8,594 |
| Weatherford International PLC† | | 668 | 60,340 |
| | | | 6,109,187 |
| Oil & Gas Services — 0.1% |
| DMC Global, Inc.† | | 294 | 7,194 |
| Newpark Resources, Inc.† | | 1,281 | 8,852 |
| NOW, Inc.† | | 2,596 | 30,814 |
| Oceaneering International, Inc.† | | 383 | 9,851 |
| Schlumberger NV | | 1,781 | 103,832 |
| US Silica Holdings, Inc.† | | 2,867 | 40,253 |
| | | | 200,796 |
| Packaging & Containers — 0.2% |
| AptarGroup, Inc. | | 803 | 100,407 |
| Berry Global Group, Inc. | | 1,712 | 105,990 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Packaging & Containers (continued) |
| Clearwater Paper Corp.† | | 244 | $ 8,845 |
| O-I Glass, Inc.† | | 2,157 | 36,087 |
| WestRock Co. | | 3,620 | 129,596 |
| | | | 380,925 |
| Pharmaceuticals — 5.5% |
| AbbVie, Inc. | | 4,602 | 685,974 |
| Alkermes PLC† | | 1,709 | 47,869 |
| Amneal Pharmaceuticals, Inc.† | | 3,284 | 13,858 |
| Amylyx Pharmaceuticals, Inc.† | | 1,008 | 18,456 |
| Arvinas, Inc.† | | 333 | 6,540 |
| AstraZeneca PLC | | 1,376 | 186,387 |
| Bristol-Myers Squibb Co. | | 1,975 | 114,629 |
| Cardinal Health, Inc. | | 6,442 | 559,294 |
| Catalyst Pharmaceuticals, Inc.† | | 637 | 7,447 |
| Cigna Group | | 1,485 | 424,814 |
| CinCor Pharma Inc. CVR†(1) | | 279 | 854 |
| Corcept Therapeutics, Inc.† | | 553 | 15,067 |
| CVS Health Corp. | | 5,134 | �� 358,456 |
| Eli Lilly & Co. | | 4,528 | 2,432,125 |
| Enanta Pharmaceuticals, Inc.† | | 666 | 7,439 |
| GSK PLC | | 22,170 | 403,580 |
| Ipsen SA | | 608 | 79,837 |
| Jazz Pharmaceuticals PLC† | | 801 | 103,681 |
| Johnson & Johnson | | 654 | 101,861 |
| Marinus Pharmaceuticals, Inc.† | | 1,123 | 9,040 |
| McKesson Corp. | | 265 | 115,235 |
| Merck & Co., Inc. | | 15,057 | 1,550,118 |
| Neurocrine Biosciences, Inc.† | | 1,057 | 118,913 |
| Novartis AG | | 6,086 | 624,125 |
| Novo Nordisk A/S | | 8,980 | 819,656 |
| Ono Pharmaceutical Co., Ltd. | | 7,100 | 136,261 |
| Option Care Health, Inc.† | | 1,476 | 47,749 |
| PetIQ, Inc.† | | 1,052 | 20,724 |
| Pfizer, Inc. | | 3,658 | 121,336 |
| Roche Holding AG | | 2,113 | 578,140 |
| Sun Pharmaceutical Industries, Ltd. | | 3,975 | 55,505 |
| USANA Health Sciences, Inc.† | | 141 | 8,264 |
| Viatris, Inc. | | 5,494 | 54,171 |
| Voyager Therapeutics, Inc.† | | 1,625 | 12,594 |
| | | | 9,839,999 |
| Pipelines — 0.5% |
| Cheniere Energy, Inc. | | 4,280 | 710,309 |
| Golar LNG, Ltd. | | 1,614 | 39,155 |
| Targa Resources Corp. | | 1,272 | 109,036 |
| | | | 858,500 |
| Private Equity — 0.2% |
| 3i Group PLC | | 12,342 | 312,162 |
| Eurazeo SE | | 509 | 30,378 |
| | | | 342,540 |
| Real Estate — 0.1% |
| Anywhere Real Estate, Inc.† | | 2,965 | 19,065 |
| Cushman & Wakefield PLC† | | 2,202 | 16,779 |
| Kennedy-Wilson Holdings, Inc. | | 1,976 | 29,126 |
| Phoenix Mills, Ltd. | | 3,176 | 69,570 |
| RE/MAX Holdings, Inc., Class A | | 375 | 4,853 |
| RMR Group, Inc., Class A | | 277 | 6,792 |
| | | | 146,185 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| REITS — 2.2% |
| Alexander & Baldwin, Inc. | | 1,012 | $ 16,931 |
| American Assets Trust, Inc. | | 373 | 7,255 |
| American Tower Corp. | | 2,186 | 359,488 |
| Apartment Income REIT Corp. | | 3,407 | 104,595 |
| Apple Hospitality REIT, Inc. | | 1,171 | 17,963 |
| Armada Hoffler Properties, Inc. | | 670 | 6,861 |
| AvalonBay Communities, Inc. | | 613 | 105,277 |
| BrightSpire Capital, Inc. | | 2,906 | 18,191 |
| Brixmor Property Group, Inc. | | 8,155 | 169,461 |
| Broadstone Net Lease, Inc. | | 478 | 6,835 |
| Camden Property Trust | | 1,093 | 103,376 |
| COPT Defense Properties | | 318 | 7,578 |
| Crown Castle, Inc. | | 1,116 | 102,705 |
| Equity Residential | | 5,090 | 298,834 |
| Essential Properties Realty Trust, Inc. | | 363 | 7,852 |
| Essex Property Trust, Inc. | | 489 | 103,712 |
| First Industrial Realty Trust, Inc. | | 2,069 | 98,464 |
| Gaming & Leisure Properties, Inc. | | 2,292 | 104,401 |
| Global Net Lease, Inc. | | 719 | 6,909 |
| Goodman Group | | 22,480 | 310,028 |
| Granite Point Mtg. Trust, Inc. | | 1,658 | 8,091 |
| Host Hotels & Resorts, Inc. | | 6,424 | 103,234 |
| Ladder Capital Corp. | | 777 | 7,972 |
| MFA Financial, Inc. | | 1,316 | 12,647 |
| Mid-America Apartment Communities, Inc. | | 800 | 102,920 |
| National Health Investors, Inc. | | 410 | 21,058 |
| NNN REIT, Inc. | | 7,120 | 251,621 |
| Piedmont Office Realty Trust, Inc., Class A | | 1,647 | 9,256 |
| PotlatchDeltic Corp. | | 328 | 14,888 |
| Public Storage | | 352 | 92,759 |
| Regency Centers Corp. | | 1,683 | 100,037 |
| Retail Opportunity Investments Corp. | | 1,977 | 24,475 |
| Rithm Capital Corp. | | 11,536 | 107,169 |
| Ryman Hospitality Properties, Inc. | | 623 | 51,883 |
| Sabra Health Care REIT, Inc. | | 2,067 | 28,814 |
| Safehold, Inc. | | 417 | 7,423 |
| SBA Communications Corp. | | 1,436 | 287,444 |
| Service Properties Trust | | 968 | 7,444 |
| Simon Property Group, Inc. | | 2,841 | 306,913 |
| SITE Centers Corp. | | 618 | 7,620 |
| Sunstone Hotel Investors, Inc. | | 5,071 | 47,414 |
| Tanger Factory Outlet Centers, Inc. | | 338 | 7,639 |
| Terreno Realty Corp. | | 130 | 7,384 |
| TPG RE Finance Trust, Inc. | | 1,227 | 8,258 |
| UDR, Inc. | | 2,838 | 101,231 |
| Urban Edge Properties | | 540 | 8,240 |
| Vicinity, Ltd. | | 69,884 | 76,160 |
| Weyerhaeuser Co. | | 7,105 | 217,839 |
| Whitestone REIT | | 824 | 7,935 |
| | | | 3,992,484 |
| Retail — 3.1% |
| Alsea SAB de CV† | | 10,902 | 39,786 |
| Arezzo Industria e Comercio SA | | 2,900 | 37,478 |
| AutoZone, Inc.† | | 45 | 114,300 |
| Bloomin' Brands, Inc. | | 281 | 6,910 |
| BlueLinx Holdings, Inc.† | | 220 | 18,060 |
| Buckle, Inc. | | 236 | 7,880 |
| Caleres, Inc. | | 1,185 | 34,081 |
| Carrols Restaurant Group, Inc.† | | 2,247 | 14,808 |
| Costco Wholesale Corp. | | 200 | 112,992 |
| Dave & Buster's Entertainment, Inc.† | | 377 | 13,975 |
| Dillard's, Inc., Class A | | 133 | 43,998 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Retail (continued) |
| First Watch Restaurant Group, Inc.† | | 803 | $ 13,884 |
| GMS, Inc.† | | 551 | 35,247 |
| Group 1 Automotive, Inc. | | 30 | 8,061 |
| Home Depot, Inc. | | 315 | 95,180 |
| Industria de Diseno Textil SA | | 8,919 | 332,771 |
| JD Sports Fashion PLC | | 80,311 | 146,687 |
| Lowe's Cos., Inc. | | 486 | 101,010 |
| Lululemon Athletica, Inc.† | | 291 | 112,213 |
| McDonald's Corp. | | 509 | 134,091 |
| Movado Group, Inc. | | 267 | 7,302 |
| O'Reilly Automotive, Inc.† | | 1,406 | 1,277,857 |
| Pandora A/S | | 1,595 | 165,414 |
| Ross Stores, Inc. | | 3,141 | 354,776 |
| Sally Beauty Holdings, Inc.† | | 2,309 | 19,349 |
| Signet Jewelers, Ltd. | | 624 | 44,809 |
| TJX Cos., Inc. | | 1,257 | 111,722 |
| Wal-Mart de Mexico SAB de CV | | 31,600 | 119,274 |
| Walmart, Inc. | | 12,000 | 1,919,160 |
| | | | 5,443,075 |
| Savings & Loans — 0.0% |
| Axos Financial, Inc.† | | 1,103 | 41,759 |
| OceanFirst Financial Corp. | | 510 | 7,380 |
| | | | 49,139 |
| Semiconductors — 4.5% |
| Advanced Micro Devices, Inc.† | | 642 | 66,010 |
| Ambarella, Inc.† | | 122 | 6,470 |
| Applied Materials, Inc. | | 1,190 | 164,756 |
| ASML Holding NV | | 557 | 329,248 |
| Axcelis Technologies, Inc.† | | 317 | 51,687 |
| Broadcom, Inc. | | 566 | 470,108 |
| CEVA, Inc.† | | 334 | 6,476 |
| Disco Corp. | | 1,700 | 313,745 |
| Hamamatsu Photonics KK | | 1,600 | 67,441 |
| KLA Corp. | | 350 | 160,531 |
| Lam Research Corp. | | 158 | 99,030 |
| MaxLinear, Inc.† | | 1,252 | 27,857 |
| NVIDIA Corp. | | 9,115 | 3,964,934 |
| Qorvo, Inc.† | | 1,152 | 109,981 |
| QUALCOMM, Inc. | | 10,418 | 1,157,023 |
| Rambus, Inc.† | | 882 | 49,207 |
| Samsung Electronics Co., Ltd. | | 6,142 | 311,184 |
| SK Hynix, Inc. | | 1,326 | 112,627 |
| Synaptics, Inc.† | | 191 | 17,083 |
| Taiwan Semiconductor Manufacturing Co., Ltd. | | 36,039 | 584,844 |
| | | | 8,070,242 |
| Shipbuilding — 0.0% |
| Kongsberg Gruppen ASA | | 828 | 34,152 |
| Software — 7.0% |
| Adeia, Inc. | | 2,036 | 21,744 |
| Adobe, Inc.† | | 3,487 | 1,778,021 |
| Agilysys, Inc.† | | 270 | 17,863 |
| Amplitude, Inc., Class A† | | 789 | 9,129 |
| Appfolio, Inc., Class A† | | 46 | 8,401 |
| Asana, Inc., Class A† | | 395 | 7,232 |
| Atlassian Corp., Class A† | | 610 | 122,921 |
| Autodesk, Inc.† | | 568 | 117,525 |
| Bandwidth, Inc., Class A† | | 992 | 11,180 |
| Cadence Design Systems, Inc.† | | 6,147 | 1,440,242 |
| CommVault Systems, Inc.† | | 668 | 45,164 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Software (continued) |
| Computer Programs & Systems, Inc.† | | 249 | $ 3,969 |
| CSG Systems International, Inc. | | 566 | 28,934 |
| DocuSign, Inc.† | | 6,252 | 262,584 |
| Domo, Inc., Class B† | | 2,085 | 20,454 |
| Dropbox, Inc., Class A† | | 3,778 | 102,875 |
| Elastic NV† | | 1,883 | 152,975 |
| Enfusion, Inc., Class A† | | 952 | 8,539 |
| Fidelity National Information Services, Inc. | | 9,147 | 505,555 |
| Fiserv, Inc.† | | 899 | 101,551 |
| Gitlab, Inc., Class A† | | 2,335 | 105,589 |
| HashiCorp, Inc., Class A† | | 4,297 | 98,101 |
| Health Catalyst, Inc.† | | 1,054 | 10,666 |
| HubSpot, Inc.† | | 226 | 111,305 |
| Intapp, Inc.† | | 1,092 | 36,604 |
| Manhattan Associates, Inc.† | | 567 | 112,073 |
| Microsoft Corp. | | 16,184 | 5,110,098 |
| MongoDB, Inc.† | | 325 | 112,405 |
| MSCI, Inc. | | 210 | 107,747 |
| Nexon Co., Ltd. | | 10,900 | 195,002 |
| PDF Solutions, Inc.† | | 226 | 7,322 |
| Phreesia, Inc.† | | 804 | 15,019 |
| PROS Holdings, Inc.† | | 737 | 25,515 |
| RingCentral, Inc., Class A† | | 3,449 | 102,194 |
| ROBLOX Corp., Class A† | | 4,023 | 116,506 |
| Salesforce, Inc.† | | 486 | 98,551 |
| Sapiens International Corp. NV | | 397 | 11,287 |
| Schrodinger, Inc.† | | 253 | 7,152 |
| Smartsheet, Inc., Class A† | | 3,421 | 138,414 |
| Snowflake, Inc., Class A† | | 794 | 121,299 |
| Square Enix Holdings Co., Ltd. | | 3,900 | 133,749 |
| Synopsys, Inc.† | | 1,535 | 704,519 |
| TOTVS SA | | 7,814 | 41,973 |
| Veradigm, Inc.† | | 2,408 | 31,641 |
| Vimeo, Inc.† | | 3,697 | 13,087 |
| Weave Communications, Inc.† | | 1,995 | 16,259 |
| Workday, Inc., Class A† | | 450 | 96,683 |
| Yext, Inc.† | | 3,644 | 23,067 |
| | | | 12,470,685 |
| Telecommunications — 1.6% |
| A10 Networks, Inc. | | 2,213 | 33,261 |
| Accton Technology Corp. | | 6,000 | 91,645 |
| AT&T, Inc. | | 43,370 | 651,417 |
| Calix, Inc.† | | 961 | 44,052 |
| Cambium Networks Corp.† | | 487 | 3,570 |
| Cisco Systems, Inc. | | 20,672 | 1,111,327 |
| Extreme Networks, Inc.† | | 1,939 | 46,943 |
| Iridium Communications, Inc. | | 2,185 | 99,396 |
| KDDI Corp. | | 4,100 | 125,574 |
| Motorola Solutions, Inc. | | 370 | 100,729 |
| Nippon Telegraph & Telephone Corp. | | 121,100 | 143,109 |
| Samsung SDI Co., Ltd. | | 256 | 97,077 |
| Telstra Group, Ltd. | | 72,023 | 178,283 |
| Verizon Communications, Inc. | | 4,100 | 132,881 |
| Viavi Solutions, Inc.† | | 766 | 7,001 |
| | | | 2,866,265 |
| Toys/Games/Hobbies — 0.3% |
| Bandai Namco Holdings, Inc. | | 11,700 | 238,165 |
| Nintendo Co., Ltd. | | 7,900 | 329,343 |
| | | | 567,508 |
| Transportation — 0.9% |
| AP Moller-Maersk A/S, Series B | | 19 | 34,300 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Transportation (continued) |
| ArcBest Corp. | | 281 | $ 28,564 |
| Ardmore Shipping Corp. | | 756 | 9,835 |
| CSX Corp. | | 23,232 | 714,384 |
| Daseke, Inc.† | | 1,027 | 5,268 |
| DHL Group | | 3,968 | 161,661 |
| Dorian LPG, Ltd. | | 540 | 15,514 |
| FedEx Corp. | | 430 | 113,916 |
| Hub Group, Inc., Class A† | | 353 | 27,725 |
| Kuehne & Nagel International AG | | 190 | 54,176 |
| Matson, Inc. | | 533 | 47,288 |
| Nippon Yusen KK | | 5,600 | 145,621 |
| Norfolk Southern Corp. | | 527 | 103,782 |
| Safe Bulkers, Inc. | | 2,271 | 7,358 |
| Scorpio Tankers, Inc. | | 586 | 31,714 |
| SITC International Holdings Co., Ltd. | | 7,000 | 11,763 |
| Teekay Corp.† | | 1,859 | 11,470 |
| Teekay Tankers, Ltd., Class A | | 1,090 | 45,377 |
| Union Pacific Corp. | | 394 | 80,230 |
| | | | 1,649,946 |
| Water — 0.0% |
| SJW Group | | 241 | 14,487 |
Total Common Stocks
(cost $123,376,261) | | | 143,309,497 |
| CONVERTIBLE PREFERRED STOCKS — 0.0% |
| Diversified Financial Services — 0.0% |
Apollo Global Management, Inc.
(cost $18,700) | | 374 | 20,607 |
| CORPORATE BONDS & NOTES — 7.8% |
| Advertising — 0.1% |
| Clear Channel Outdoor Holdings, Inc. | | | |
| 7.75%, 04/15/2028* | | $ 20,000 | 15,968 |
| Interpublic Group of Cos., Inc. | | | |
| 4.65%, 10/01/2028 | | 62,000 | 58,453 |
| Outfront Media Capital LLC/Outfront Media Capital Corp. | | | |
| 5.00%, 08/15/2027* | | 15,000 | 13,216 |
| | | | 87,637 |
| Aerospace/Defense — 0.2% |
| Boeing Co. | | | |
| 2.20%, 02/04/2026 | | 51,000 | 46,827 |
| 3.38%, 06/15/2046 | | 35,000 | 22,302 |
| 6.13%, 02/15/2033 | | 40,000 | 40,272 |
| Bombardier, Inc. | | | |
| 7.13%, 06/15/2026* | | 30,000 | 29,066 |
| Howmet Aerospace, Inc. | | | |
| 3.00%, 01/15/2029 | | 20,000 | 16,929 |
| 5.95%, 02/01/2037 | | 15,000 | 14,084 |
| L3Harris Technologies, Inc. | | | |
| 3.85%, 12/15/2026 | | 35,000 | 33,144 |
| 5.40%, 07/31/2033 | | 40,000 | 38,451 |
| Northrop Grumman Corp. | | | |
| 3.25%, 01/15/2028 | | 33,000 | 30,264 |
| RTX Corp. | | | |
| 5.15%, 02/27/2033 | | 20,000 | 18,939 |
| Spirit AeroSystems, Inc. | | | |
| 4.60%, 06/15/2028 | | 20,000 | 15,584 |
| 7.50%, 04/15/2025* | | 5,000 | 4,905 |
| TransDigm, Inc. | | | |
| 4.63%, 01/15/2029 | | 15,000 | 13,101 |
| 4.88%, 05/01/2029 | | 15,000 | 13,179 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Aerospace/Defense (continued) |
| 5.50%, 11/15/2027 | | $ 15,000 | $ 14,045 |
| 6.75%, 08/15/2028* | | 20,000 | 19,690 |
| 6.88%, 12/15/2030* | | 20,000 | 19,611 |
| | | | 390,393 |
| Airlines — 0.0% |
| American Airlines, Inc./AAdvantage Loyalty IP, Ltd. | | | |
| 5.50%, 04/20/2026* | | 13,750 | 13,429 |
| 5.75%, 04/20/2029* | | 15,000 | 13,951 |
| United Airlines, Inc. | | | |
| 4.38%, 04/15/2026* | | 5,000 | 4,624 |
| 4.63%, 04/15/2029* | | 5,000 | 4,297 |
| | | | 36,301 |
| Apparel — 0.0% |
| Hanesbrands, Inc. | | | |
| 9.00%, 02/15/2031* | | 10,000 | 9,531 |
| Kontoor Brands, Inc. | | | |
| 4.13%, 11/15/2029* | | 20,000 | 16,526 |
| Levi Strauss & Co. | | | |
| 3.50%, 03/01/2031* | | 40,000 | 31,633 |
| | | | 57,690 |
| Auto Manufacturers — 0.1% |
| Allison Transmission, Inc. | | | |
| 4.75%, 10/01/2027* | | 15,000 | 13,843 |
| BMW US Capital LLC | | | |
| 3.95%, 08/14/2028* | | 25,000 | 23,378 |
| Ford Motor Co. | | | |
| 3.25%, 02/12/2032 | | 60,000 | 46,240 |
| | | | 83,461 |
| Auto Parts & Equipment — 0.0% |
| Clarios Global LP | | | |
| 6.75%, 05/15/2025* | | 9,000 | 8,932 |
| Clarios Global LP/Clarios US Finance Co. | | | |
| 6.75%, 05/15/2028* | | 20,000 | 19,525 |
| 8.50%, 05/15/2027* | | 10,000 | 9,972 |
| | | | 38,429 |
| Banks — 0.6% |
| Bank of America Corp. | | | |
| 2.50%, 02/13/2031 | | 52,000 | 41,675 |
| 3.85%, 03/08/2037 | | 97,000 | 78,895 |
| 6.10%, 03/17/2025(2) | | 87,000 | 85,193 |
| Bank of Montreal | | | |
| 3.80%, 12/15/2032 | | 14,000 | 12,229 |
| Citigroup, Inc. | | | |
| 3.88%, 02/18/2026(2) | | 44,000 | 37,547 |
| 4.45%, 09/29/2027 | | 119,000 | 111,723 |
| 6.17%, 05/25/2034 | | 16,000 | 15,290 |
| Deutsche Bank AG | | | |
| 2.31%, 11/16/2027 | | 150,000 | 130,617 |
| Fifth Third Bancorp | | | |
| 6.34%, 07/27/2029 | | 35,000 | 34,575 |
| First-Citizens Bank & Trust Co. | | | |
| 6.13%, 03/09/2028 | | 44,000 | 43,703 |
| Freedom Mtg. Corp. | | | |
| 6.63%, 01/15/2027* | | 10,000 | 8,788 |
| 7.63%, 05/01/2026* | | 15,000 | 13,981 |
| 12.00%, 10/01/2028* | | 5,000 | 5,084 |
| 12.25%, 10/01/2030* | | 5,000 | 5,111 |
| Goldman Sachs Group, Inc. | | | |
| 2.60%, 02/07/2030 | | 29,000 | 23,751 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Banks (continued) |
| 3.65%, 08/10/2026(2) | | $ 7,000 | $ 5,642 |
| 4.22%, 05/01/2029 | | 25,000 | 23,126 |
| 6.75%, 10/01/2037 | | 11,000 | 11,139 |
| JPMorgan Chase & Co. | | | |
| 2.08%, 04/22/2026 | | 9,000 | 8,447 |
| 3.65%, 06/01/2026(2) | | 12,000 | 10,474 |
| 3.78%, 02/01/2028 | | 24,000 | 22,353 |
| 3.96%, 11/15/2048 | | 57,000 | 41,589 |
| 4.60%, 02/01/2025(2) | | 71,000 | 66,420 |
| 6.10%, 10/01/2024(2) | | 12,000 | 11,859 |
| JPMorgan Chase & Co. FRS | | | |
| 6.63%, (TSFR1M+1.26%), 05/15/2077 | | 38,000 | 32,734 |
| PNC Financial Services Group, Inc. | | | |
| 4.63%, 06/06/2033 | | 71,000 | 61,249 |
| Toronto-Dominion Bank | | | |
| 4.11%, 06/08/2027 | | 12,000 | 11,327 |
| US Bancorp | | | |
| 2.49%, 11/03/2036 | | 68,000 | 47,906 |
| Wells Fargo & Co. | | | |
| 3.90%, 03/15/2026(2) | | 22,000 | 19,214 |
| Westpac Banking Corp. | | | |
| 2.96%, 11/16/2040 | | 27,000 | 16,421 |
| 4.42%, 07/24/2039 | | 36,000 | 27,407 |
| | | | 1,065,469 |
| Beverages — 0.0% |
| Keurig Dr Pepper, Inc. | | | |
| 3.20%, 05/01/2030 | | 16,000 | 13,798 |
| Biotechnology — 0.1% |
| Amgen, Inc. | | | |
| 2.60%, 08/19/2026 | | 6,000 | 5,538 |
| 3.20%, 11/02/2027 | | 24,000 | 22,044 |
| 5.25%, 03/02/2030 | | 44,000 | 42,988 |
| 5.65%, 03/02/2053 | | 21,000 | 19,654 |
| 5.75%, 03/02/2063 | | 25,000 | 23,062 |
| | | | 113,286 |
| Building Materials — 0.1% |
| Boise Cascade Co. | | | |
| 4.88%, 07/01/2030* | | 25,000 | 21,816 |
| Builders FirstSource, Inc. | | | |
| 4.25%, 02/01/2032* | | 10,000 | 8,201 |
| 6.38%, 06/15/2032* | | 10,000 | 9,413 |
| Camelot Return Merger Sub, Inc. | | | |
| 8.75%, 08/01/2028* | | 30,000 | 28,940 |
| CP Atlas Buyer, Inc. | | | |
| 7.00%, 12/01/2028* | | 10,000 | 7,841 |
| Emerald Debt Merger Sub LLC | | | |
| 6.63%, 12/15/2030* | | 35,000 | 33,694 |
| Jeld-Wen, Inc. | | | |
| 4.88%, 12/15/2027* | | 10,000 | 8,824 |
| Louisiana-Pacific Corp. | | | |
| 3.63%, 03/15/2029* | | 15,000 | 12,559 |
| Masonite International Corp. | | | |
| 3.50%, 02/15/2030* | | 25,000 | 20,313 |
| 5.38%, 02/01/2028* | | 5,000 | 4,651 |
| MIWD Holdco II LLC/MIWD Finance Corp. | | | |
| 5.50%, 02/01/2030* | | 10,000 | 8,262 |
| Standard Industries, Inc. | | | |
| 3.38%, 01/15/2031* | | 5,000 | 3,865 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Building Materials (continued) |
| 4.38%, 07/15/2030* | | $ 30,000 | $ 24,846 |
| 5.00%, 02/15/2027* | | 10,000 | 9,269 |
| | | | 202,494 |
| Chemicals — 0.4% |
| Avient Corp. | | | |
| 7.13%, 08/01/2030* | | 20,000 | 19,648 |
| Cabot Corp. | | | |
| 5.00%, 06/30/2032 | | 39,000 | 35,651 |
| Celanese US Holdings LLC | | | |
| 1.40%, 08/05/2026 | | 19,000 | 16,544 |
| 6.17%, 07/15/2027 | | 73,000 | 71,983 |
| 6.33%, 07/15/2029 | | 44,000 | 43,129 |
| 6.55%, 11/15/2030 | | 20,000 | 19,573 |
| CF Industries, Inc. | | | |
| 4.95%, 06/01/2043 | | 57,000 | 46,223 |
| FMC Corp. | | | |
| 5.65%, 05/18/2033 | | 45,000 | 40,704 |
| Huntsman International LLC | | | |
| 4.50%, 05/01/2029 | | 73,000 | 66,015 |
| Ingevity Corp. | | | |
| 3.88%, 11/01/2028* | | 15,000 | 12,368 |
| International Flavors & Fragrances, Inc. | | | |
| 2.30%, 11/01/2030* | | 19,000 | 14,293 |
| 4.45%, 09/26/2028 | | 42,000 | 38,570 |
| LSF11 A5 HoldCo LLC | | | |
| 6.63%, 10/15/2029* | | 25,000 | 20,785 |
| Nutrien, Ltd. | | | |
| 4.00%, 12/15/2026 | | 8,000 | 7,582 |
| 4.20%, 04/01/2029 | | 29,000 | 26,859 |
| SCIH Salt Holdings, Inc. | | | |
| 4.88%, 05/01/2028* | | 45,000 | 39,695 |
| 6.63%, 05/01/2029* | | 30,000 | 25,707 |
| Sherwin-Williams Co. | | | |
| 3.45%, 06/01/2027 | | 21,000 | 19,552 |
| Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. | | | |
| 5.13%, 04/01/2029* | | 20,000 | 10,434 |
| Tronox, Inc. | | | |
| 4.63%, 03/15/2029* | | 25,000 | 20,175 |
| Vibrantz Technologies, Inc. | | | |
| 9.00%, 02/15/2030* | | 20,000 | 15,917 |
| Westlake Chemical Corp. | | | |
| 2.88%, 08/15/2041 | | 30,000 | 18,521 |
| WR Grace Holdings LLC | | | |
| 4.88%, 06/15/2027* | | 15,000 | 13,762 |
| 5.63%, 08/15/2029* | | 25,000 | 20,219 |
| 7.38%, 03/01/2031* | | 25,000 | 24,237 |
| | | | 688,146 |
| Commercial Services — 0.3% |
| ADT Security Corp. | | | |
| 4.13%, 08/01/2029* | | 30,000 | 25,365 |
| Block, Inc. | | | |
| 3.50%, 06/01/2031 | | 69,000 | 54,204 |
| Carriage Services, Inc. | | | |
| 4.25%, 05/15/2029* | | 15,000 | 12,831 |
| ERAC USA Finance LLC | | | |
| 5.63%, 03/15/2042* | | 47,000 | 43,858 |
| Garda World Security Corp. | | | |
| 4.63%, 02/15/2027* | | 10,000 | 9,151 |
| 6.00%, 06/01/2029* | | 5,000 | 4,089 |
| 7.75%, 02/15/2028* | | 5,000 | 4,902 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Commercial Services (continued) |
| 9.50%, 11/01/2027* | | $ 22,000 | $ 21,035 |
| Gartner, Inc. | | | |
| 3.63%, 06/15/2029* | | 6,000 | 5,133 |
| 3.75%, 10/01/2030* | | 54,000 | 45,317 |
| Herc Holdings, Inc. | | | |
| 5.50%, 07/15/2027* | | 15,000 | 14,185 |
| Hertz Corp. | | | |
| 5.00%, 12/01/2029* | | 35,000 | 27,402 |
| Neptune Bidco US, Inc. | | | |
| 9.29%, 04/15/2029* | | 35,000 | ��� 31,686 |
| PECF USS Intermediate Holding III Corp. | | | |
| 8.00%, 11/15/2029* | | 30,000 | 16,275 |
| Prime Security Services Borrower LLC/Prime Finance, Inc. | | | |
| 3.38%, 08/31/2027* | | 10,000 | 8,761 |
| 6.25%, 01/15/2028* | | 20,000 | 18,523 |
| S&P Global, Inc. | | | |
| 2.45%, 03/01/2027 | | 8,000 | 7,287 |
| 4.75%, 08/01/2028 | | 16,000 | 15,605 |
| Sabre GLBL, Inc. | | | |
| 8.63%, 06/01/2027* | | 15,000 | 12,717 |
| Service Corp. International | | | |
| 3.38%, 08/15/2030 | | 10,000 | 8,060 |
| 4.00%, 05/15/2031 | | 30,000 | 24,629 |
| 4.63%, 12/15/2027 | | 14,000 | 12,974 |
| 5.13%, 06/01/2029 | | 20,000 | 18,490 |
| Shift4 Payments LLC/Shift4 Payments Finance Sub, Inc. | | | |
| 4.63%, 11/01/2026* | | 15,000 | 14,143 |
| | | | 456,622 |
| Computers — 0.1% |
| Ahead DB Holdings LLC | | | |
| 6.63%, 05/01/2028* | | 15,000 | 12,670 |
| Apple, Inc. | | | |
| 3.95%, 08/08/2052 | | 28,000 | 21,959 |
| 4.30%, 05/10/2033 | | 20,000 | 18,879 |
| 4.38%, 05/13/2045 | | 34,000 | 29,388 |
| Crowdstrike Holdings, Inc. | | | |
| 3.00%, 02/15/2029 | | 35,000 | 29,480 |
| Dell International LLC/EMC Corp. | | | |
| 8.35%, 07/15/2046 | | 3,000 | 3,506 |
| | | | 115,882 |
| Cosmetics/Personal Care — 0.1% |
| Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International US LLC | | | |
| 6.63%, 07/15/2030* | | 15,000 | 14,645 |
| Kenvue, Inc. | | | |
| 4.90%, 03/22/2033* | | 79,000 | 75,500 |
| 5.05%, 03/22/2028 to 03/22/2053* | | 26,000 | 24,558 |
| | | | 114,703 |
| Distribution/Wholesale — 0.0% |
| American Builders & Contractors Supply Co., Inc. | | | |
| 3.88%, 11/15/2029* | | 20,000 | 16,666 |
| 4.00%, 01/15/2028* | | 20,000 | 17,728 |
| Ritchie Bros. Holdings, Inc. | | | |
| 6.75%, 03/15/2028* | | 10,000 | 9,977 |
| 7.75%, 03/15/2031* | | 15,000 | 15,225 |
| | | | 59,596 |
| Diversified Financial Services — 0.3% |
| AG Issuer LLC | | | |
| 6.25%, 03/01/2028* | | 15,000 | 14,008 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Diversified Financial Services (continued) |
| Air Lease Corp. | | | |
| 3.25%, 10/01/2029 | | $ 39,000 | $ 33,180 |
| 4.63%, 10/01/2028 | | 51,000 | 47,252 |
| Ally Financial, Inc. | | | |
| 8.00%, 11/01/2031 | | 50,000 | 50,482 |
| Aretec Escrow Issuer, Inc. | | | |
| 7.50%, 04/01/2029* | | 20,000 | 17,707 |
| Capital One Financial Corp. | | | |
| 3.75%, 03/09/2027 | | 28,000 | 25,628 |
| Cobra AcquisitionCo LLC | | | |
| 6.38%, 11/01/2029* | | 20,000 | 14,800 |
| goeasy, Ltd. | | | |
| 4.38%, 05/01/2026* | | 10,000 | 9,150 |
| 5.38%, 12/01/2024* | | 5,000 | 4,924 |
| Intercontinental Exchange, Inc. | | | |
| 1.85%, 09/15/2032 | | 16,000 | 11,703 |
| 2.65%, 09/15/2040 | | 49,000 | 32,016 |
| 4.35%, 06/15/2029 | | 25,000 | 23,508 |
| Nasdaq, Inc. | | | |
| 5.55%, 02/15/2034 | | 7,000 | 6,681 |
| 5.95%, 08/15/2053 | | 8,000 | 7,473 |
| Nationstar Mortgage Holdings, Inc. | | | |
| 5.50%, 08/15/2028* | | 15,000 | 13,231 |
| 5.75%, 11/15/2031* | | 35,000 | 28,953 |
| Neuberger Berman Group LLC/Neuberger Berman Finance Corp. | | | |
| 4.88%, 04/15/2045* | | 21,000 | 15,625 |
| OneMain Finance Corp. | | | |
| 5.38%, 11/15/2029 | | 50,000 | 41,875 |
| PennyMac Financial Services, Inc. | | | |
| 5.38%, 10/15/2025* | | 20,000 | 19,013 |
| 5.75%, 09/15/2031* | | 10,000 | 8,180 |
| PHH Mortgage Corp. | | | |
| 7.88%, 03/15/2026* | | 25,000 | 22,250 |
| | | | 447,639 |
| Electric — 0.6% |
| AES Corp. | | | |
| 2.45%, 01/15/2031 | | 48,000 | 36,915 |
| American Electric Power Co., Inc. | | | |
| 4.30%, 12/01/2028 | | 38,000 | 35,753 |
| 5.63%, 03/01/2033 | | 10,000 | 9,677 |
| American Transmission Systems, Inc. | | | |
| 2.65%, 01/15/2032* | | 16,000 | 12,648 |
| Appalachian Power Co. | | | |
| 5.80%, 10/01/2035 | | 20,000 | 18,981 |
| Calpine Corp. | | | |
| 3.75%, 03/01/2031* | | 10,000 | 8,056 |
| 4.63%, 02/01/2029* | | 5,000 | 4,187 |
| 5.00%, 02/01/2031* | | 20,000 | 16,172 |
| 5.25%, 06/01/2026* | | 10,000 | 9,709 |
| Commonwealth Edison Co. | | | |
| 5.88%, 02/01/2033 | | 25,000 | 24,761 |
| Consolidated Edison Co. of New York, Inc. | | | |
| 4.20%, 03/15/2042 | | 12,000 | 9,437 |
| Constellation Energy Generation LLC | | | |
| 6.13%, 01/15/2034 | | 20,000 | 19,968 |
| 6.50%, 10/01/2053 | | 50,000 | 50,117 |
| Duke Energy Ohio, Inc. | | | |
| 3.65%, 02/01/2029 | | 35,000 | 32,102 |
| Eversource Energy | | | |
| 5.13%, 05/15/2033 | | 55,000 | 51,157 |
| 5.45%, 03/01/2028 | | 20,000 | 19,768 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Electric (continued) |
| Georgia Power Co. | | | |
| 4.95%, 05/17/2033 | | $ 45,000 | $ 42,180 |
| IPALCO Enterprises, Inc. | | | |
| 3.70%, 09/01/2024 | | 7,000 | 6,837 |
| 4.25%, 05/01/2030 | | 49,000 | 42,974 |
| NRG Energy, Inc. | | | |
| 2.45%, 12/02/2027* | | 30,000 | 25,430 |
| 3.75%, 06/15/2024* | | 54,000 | 52,878 |
| 3.88%, 02/15/2032* | | 20,000 | 15,014 |
| 10.25%, 03/15/2028*(2) | | 10,000 | 9,794 |
| Oncor Electric Delivery Co. LLC | | | |
| 4.95%, 09/15/2052* | | 65,000 | 56,622 |
| Pacific Gas & Electric Co. | | | |
| 2.10%, 08/01/2027 | | 12,000 | 10,261 |
| 2.95%, 03/01/2026 | | 10,000 | 9,210 |
| 4.95%, 07/01/2050 | | 16,000 | 11,926 |
| 5.90%, 06/15/2032 | | 25,000 | 23,348 |
| 6.10%, 01/15/2029 | | 15,000 | 14,651 |
| PacifiCorp | | | |
| 2.70%, 09/15/2030 | | 15,000 | 12,244 |
| 6.25%, 10/15/2037 | | 13,000 | 12,930 |
| PG&E Corp. | | | |
| 5.25%, 07/01/2030 | | 30,000 | 26,072 |
| Puget Sound Energy, Inc. | | | |
| 5.45%, 06/01/2053 | | 25,000 | 22,907 |
| Sempra Energy | | | |
| 5.50%, 08/01/2033 | | 25,000 | 23,917 |
| Southern Co. | | | |
| 5.70%, 03/15/2034 | | 20,000 | 19,587 |
| Vistra Corp. | | | |
| 7.00%, 12/15/2026*(2) | | 5,000 | 4,562 |
| 8.00%, 10/15/2026*(2) | | 15,000 | 14,282 |
| Vistra Operations Co. LLC | | | |
| 3.55%, 07/15/2024* | | 27,000 | 26,332 |
| 4.30%, 07/15/2029* | | 29,000 | 25,356 |
| 5.00%, 07/31/2027* | | 10,000 | 9,194 |
| 6.95%, 10/15/2033* | | 35,000 | 34,329 |
| 7.75%, 10/15/2031* | | 10,000 | 9,850 |
| WEC Energy Group, Inc. FRS | | | |
| 7.74%, (TSFR3M+2.37%), 05/15/2067 | | 71,000 | 63,546 |
| | | | 985,641 |
| Electrical Components & Equipment — 0.0% |
| WESCO Distribution, Inc. | | | |
| 7.25%, 06/15/2028* | | 40,000 | 40,194 |
| Electronics — 0.1% |
| Imola Merger Corp. | | | |
| 4.75%, 05/15/2029* | | 40,000 | 35,056 |
| Sensata Technologies, Inc. | | | |
| 3.75%, 02/15/2031* | | 103,000 | 83,361 |
| TTM Technologies, Inc. | | | |
| 4.00%, 03/01/2029* | | 25,000 | 20,733 |
| | | | 139,150 |
| Engineering & Construction — 0.0% |
| Great Lakes Dredge & Dock Corp. | | | |
| 5.25%, 06/01/2029* | | 55,000 | 45,111 |
| Entertainment — 0.2% |
| Caesars Entertainment, Inc. | | | |
| 4.63%, 10/15/2029* | | 40,000 | 33,882 |
| 7.00%, 02/15/2030* | | 35,000 | 34,057 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Entertainment (continued) |
| Caesars Resort Collection LLC/CRC Finco, Inc. | | | |
| 5.75%, 07/01/2025* | | $ 10,000 | $ 9,958 |
| CDI Escrow Issuer, Inc. | | | |
| 5.75%, 04/01/2030* | | 25,000 | 22,585 |
| Cinemark USA, Inc. | | | |
| 5.25%, 07/15/2028* | | 20,000 | 17,753 |
| 8.75%, 05/01/2025* | | 3,000 | 3,019 |
| Everi Holdings, Inc. | | | |
| 5.00%, 07/15/2029* | | 40,000 | 34,427 |
| Light & Wonder International, Inc. | | | |
| 7.50%, 09/01/2031* | | 5,000 | 4,942 |
| Live Nation Entertainment, Inc. | | | |
| 5.63%, 03/15/2026* | | 20,000 | 19,203 |
| 6.50%, 05/15/2027* | | 10,000 | 9,860 |
| Penn Entertainment, Inc. | | | |
| 5.63%, 01/15/2027* | | 35,000 | 32,918 |
| Raptor Acquisition Corp./Raptor Co-Issuer LLC | | | |
| 4.88%, 11/01/2026* | | 5,000 | 4,681 |
| Scientific Games Holdings LP/Scientific Games US FinCo, Inc. | | | |
| 6.63%, 03/01/2030* | | 30,000 | 25,875 |
| Scientific Games International, Inc. | | | |
| 7.25%, 11/15/2029* | | 35,000 | 34,300 |
| Warnermedia Holdings, Inc. | | | |
| 3.76%, 03/15/2027 | | 86,000 | 79,397 |
| 4.28%, 03/15/2032 | | 20,000 | 16,976 |
| Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. | | | |
| 5.13%, 10/01/2029* | | 30,000 | 26,224 |
| 7.13%, 02/15/2031* | | 20,000 | 18,985 |
| | | | 429,042 |
| Environmental Control — 0.1% |
| Clean Harbors, Inc. | | | |
| 6.38%, 02/01/2031* | | 10,000 | 9,724 |
| Covanta Holding Corp. | | | |
| 4.88%, 12/01/2029* | | 30,000 | 24,612 |
| GFL Environmental, Inc. | | | |
| 3.50%, 09/01/2028* | | 10,000 | 8,609 |
| 4.00%, 08/01/2028* | | 5,000 | 4,369 |
| 4.75%, 06/15/2029* | | 20,000 | 17,778 |
| Madison IAQ LLC | | | |
| 4.13%, 06/30/2028* | | 5,000 | 4,315 |
| 5.88%, 06/30/2029* | | 35,000 | 28,183 |
| Waste Connections, Inc. | | | |
| 4.25%, 12/01/2028 | | 50,000 | 47,281 |
| Waste Management, Inc. | | | |
| 4.88%, 02/15/2029 | | 37,000 | 36,179 |
| Waste Pro USA, Inc. | | | |
| 5.50%, 02/15/2026* | | 10,000 | 9,338 |
| | | | 190,388 |
| Food — 0.1% |
| Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC | | | |
| 4.63%, 01/15/2027* | | 5,000 | 4,721 |
| 4.88%, 02/15/2030* | | 30,000 | 27,031 |
| 7.50%, 03/15/2026* | | 15,000 | 15,208 |
| JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg SARL | | | |
| 6.75%, 03/15/2034* | | 45,000 | 43,785 |
| JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. | | | |
| 3.00%, 02/02/2029 | | 50,000 | 41,959 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Food (continued) |
| Lamb Weston Holdings, Inc. | | | |
| 4.13%, 01/31/2030* | | $ 25,000 | $ 21,379 |
| US Foods, Inc. | | | |
| 4.75%, 02/15/2029* | | 15,000 | 13,406 |
| 7.25%, 01/15/2032* | | 5,000 | 4,995 |
| | | | 172,484 |
| Food Service — 0.0% |
| Aramark Services, Inc. | | | |
| 5.00%, 02/01/2028* | | 25,000 | 23,121 |
| Forest Products & Paper — 0.0% |
| Mercer International, Inc. | | | |
| 5.13%, 02/01/2029 | | 15,000 | 11,827 |
| 12.88%, 10/01/2028* | | 5,000 | 5,055 |
| | | | 16,882 |
| Healthcare-Products — 0.1% |
| Bausch & Lomb Escrow Corp. | | | |
| 8.38%, 10/01/2028* | | 30,000 | 30,089 |
| Medline Borrower LP | | | |
| 3.88%, 04/01/2029* | | 55,000 | 46,498 |
| 5.25%, 10/01/2029* | | 15,000 | 12,965 |
| | | | 89,552 |
| Healthcare-Services — 0.2% |
| Air Methods Corp. | | | |
| 8.00%, 05/15/2025* | | 15,000 | 75 |
| Centene Corp. | | | |
| 3.00%, 10/15/2030 | | 15,000 | 12,099 |
| 4.63%, 12/15/2029 | | 20,000 | 18,013 |
| Charles River Laboratories International, Inc. | | | |
| 3.75%, 03/15/2029* | | 10,000 | 8,575 |
| 4.00%, 03/15/2031* | | 10,000 | 8,462 |
| CHS/Community Health Systems, Inc. | | | |
| 5.25%, 05/15/2030* | | 40,000 | 30,407 |
| 5.63%, 03/15/2027* | | 5,000 | 4,289 |
| 6.88%, 04/01/2028 to 04/15/2029* | | 25,000 | 13,283 |
| 8.00%, 03/15/2026* | | 15,000 | 14,296 |
| HCA, Inc. | | | |
| 3.50%, 09/01/2030 | | 5,000 | 4,230 |
| 3.63%, 03/15/2032 | | 15,000 | 12,433 |
| 4.50%, 02/15/2027 | | 3,000 | 2,864 |
| 5.25%, 06/15/2026 | | 12,000 | 11,748 |
| 5.38%, 09/01/2026 | | 36,000 | 35,330 |
| Humana, Inc. | | | |
| 5.50%, 03/15/2053 | | 10,000 | 9,087 |
| 5.75%, 03/01/2028 | | 50,000 | 50,178 |
| Tenet Healthcare Corp. | | | |
| 4.25%, 06/01/2029 | | 15,000 | 12,911 |
| 4.88%, 01/01/2026 | | 25,000 | 23,951 |
| 5.13%, 11/01/2027 | | 70,000 | 65,144 |
| 6.13%, 06/15/2030 | | 25,000 | 23,439 |
| UnitedHealth Group, Inc. | | | |
| 3.85%, 06/15/2028 | | 62,000 | 58,498 |
| | | | 419,312 |
| Home Builders — 0.1% |
| Lennar Corp. | | | |
| 4.75%, 11/29/2027 | | 67,000 | 64,544 |
| Mattamy Group Corp. | | | |
| 4.63%, 03/01/2030* | | 20,000 | 17,022 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Home Builders (continued) |
| PulteGroup, Inc. | | | |
| 7.88%, 06/15/2032 | | $ 20,000 | $ 22,108 |
| Taylor Morrison Communities, Inc. | | | |
| 5.13%, 08/01/2030* | | 20,000 | 17,475 |
| 5.75%, 01/15/2028* | | 10,000 | 9,315 |
| TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | | | |
| 5.88%, 06/15/2024 | | 5,000 | 4,964 |
| | | | 135,428 |
| Household Products/Wares — 0.0% |
| Spectrum Brands, Inc. | | | |
| 5.00%, 10/01/2029* | | 30,000 | 27,183 |
| Housewares — 0.0% |
| Newell Brands, Inc. | | | |
| 5.20%, 04/01/2026 | | 10,000 | 9,424 |
| Insurance — 0.2% |
| Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer | | | |
| 6.75%, 10/15/2027* | | 30,000 | 27,900 |
| AmWINS Group, Inc. | | | |
| 4.88%, 06/30/2029* | | 5,000 | 4,381 |
| Aon PLC | | | |
| 4.25%, 12/12/2042 | | 20,000 | 14,813 |
| Berkshire Hathaway Finance Corp. | | | |
| 2.85%, 10/15/2050 | | 14,000 | 8,710 |
| 4.30%, 05/15/2043 | | 29,000 | 24,555 |
| CNO Financial Group, Inc. | | | |
| 5.25%, 05/30/2025 to 05/30/2029 | | 26,000 | 24,908 |
| Fairfax Financial Holdings, Ltd. | | | |
| 4.85%, 04/17/2028 | | 71,000 | 67,281 |
| Fidelity National Financial, Inc. | | | |
| 3.20%, 09/17/2051 | | 27,000 | 14,866 |
| HUB International, Ltd. | | | |
| 5.63%, 12/01/2029* | | 5,000 | 4,354 |
| 7.00%, 05/01/2026* | | 35,000 | 34,923 |
| 7.25%, 06/15/2030* | | 15,000 | 14,973 |
| Marsh & McLennan Cos., Inc. | | | |
| 4.38%, 03/15/2029 | | 23,000 | 21,813 |
| Massachusetts Mutual Life Insurance Co. | | | |
| 3.73%, 10/15/2070* | | 72,000 | 43,823 |
| MetLife, Inc. | | | |
| 6.40%, 12/15/2066 | | 45,000 | 43,970 |
| Teachers Insurance & Annuity Assoc. of America | | | |
| 6.85%, 12/16/2039* | | 21,000 | 22,084 |
| USI, Inc. | | | |
| 6.88%, 05/01/2025* | | 10,000 | 9,923 |
| | | | 383,277 |
| Internet — 0.2% |
| Alphabet, Inc. | | | |
| 2.25%, 08/15/2060 | | 33,000 | 17,625 |
| Amazon.com, Inc. | | | |
| 2.10%, 05/12/2031 | | 33,000 | 26,455 |
| 2.70%, 06/03/2060 | | 38,000 | 21,501 |
| Arches Buyer, Inc. | | | |
| 4.25%, 06/01/2028* | | 50,000 | 42,630 |
| 6.13%, 12/01/2028* | | 15,000 | 12,180 |
| Booking Holdings, Inc. | | | |
| 4.63%, 04/13/2030 | | 50,000 | 47,465 |
| Gen Digital, Inc. | | | |
| 6.75%, 09/30/2027* | | 10,000 | 9,804 |
| 7.13%, 09/30/2030* | | 15,000 | 14,777 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Internet (continued) |
| Match Group Holdings II LLC | | | |
| 3.63%, 10/01/2031* | | $ 20,000 | $ 15,782 |
| 4.13%, 08/01/2030* | | 5,000 | 4,126 |
| 4.63%, 06/01/2028* | | 25,000 | 22,413 |
| 5.00%, 12/15/2027* | | 6,000 | 5,534 |
| Meta Platforms, Inc. | | | |
| 4.45%, 08/15/2052 | | 39,000 | 30,871 |
| 4.95%, 05/15/2033 | | 28,000 | 26,834 |
| 5.60%, 05/15/2053 | | 58,000 | 54,895 |
| Netflix, Inc. | | | |
| 5.38%, 11/15/2029* | | 18,000 | 17,563 |
| 5.88%, 11/15/2028 | | 10,000 | 10,057 |
| TripAdvisor, Inc | | | |
| 7.00%, 07/15/2025* | | 20,000 | 19,962 |
| | | | 400,474 |
| Investment Companies — 0.1% |
| Ares Capital Corp. | | | |
| 3.88%, 01/15/2026 | | 88,000 | 82,343 |
| 7.00%, 01/15/2027 | | 5,000 | 5,000 |
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. | | | |
| 4.38%, 02/01/2029 | | 10,000 | 7,996 |
| 6.25%, 05/15/2026 | | 15,000 | 13,936 |
| | | | 109,275 |
| Iron/Steel — 0.1% |
| ArcelorMittal | | | |
| 7.00%, 10/15/2039 | | 37,000 | 37,065 |
| ATI, Inc. | | | |
| 4.88%, 10/01/2029 | | 5,000 | 4,399 |
| 5.88%, 12/01/2027 | | 30,000 | 28,425 |
| 7.25%, 08/15/2030 | | 25,000 | 24,812 |
| Big River Steel LLC/BRS Finance Corp. | | | |
| 6.63%, 01/31/2029* | | 22,000 | 21,737 |
| Commercial Metals Co. | | | |
| 4.38%, 03/15/2032 | | 5,000 | 4,194 |
| TMS International Corp. | | | |
| 6.25%, 04/15/2029* | | 35,000 | 28,945 |
| | | | 149,577 |
| Leisure Time — 0.1% |
| Carnival Corp. | | | |
| 5.75%, 03/01/2027* | | 40,000 | 36,209 |
| 7.00%, 08/15/2029* | | 5,000 | 4,930 |
| 9.88%, 08/01/2027* | | 15,000 | 15,659 |
| 10.50%, 06/01/2030* | | 15,000 | 15,448 |
| Carnival Holdings Bermuda, Ltd. | | | |
| 10.38%, 05/01/2028* | | 5,000 | 5,361 |
| MajorDrive Holdings IV LLC | | | |
| 6.38%, 06/01/2029* | | 40,000 | 32,919 |
| NCL Corp., Ltd. | | | |
| 5.88%, 02/15/2027* | | 10,000 | 9,510 |
| 7.75%, 02/15/2029* | | 15,000 | 13,922 |
| Royal Caribbean Cruises, Ltd. | | | |
| 4.25%, 07/01/2026* | | 5,000 | 4,585 |
| 5.50%, 08/31/2026* | | 10,000 | 9,439 |
| 7.25%, 01/15/2030* | | 15,000 | 14,866 |
| 9.25%, 01/15/2029* | | 35,000 | 36,975 |
| | | | 199,823 |
| Lodging — 0.1% |
| Boyd Gaming Corp. | | | |
| 4.75%, 06/15/2031* | | 35,000 | 29,784 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Lodging (continued) |
| Full House Resorts, Inc. | | | |
| 8.25%, 02/15/2028* | | $ 35,000 | $ 30,625 |
| Hilton Domestic Operating Co., Inc. | | | |
| 4.88%, 01/15/2030 | | 60,000 | 54,605 |
| Las Vegas Sands Corp. | | | |
| 3.90%, 08/08/2029 | | 25,000 | 21,336 |
| Station Casinos LLC | | | |
| 4.50%, 02/15/2028* | | 25,000 | 21,808 |
| 4.63%, 12/01/2031* | | 15,000 | 11,998 |
| Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. | | | |
| 5.88%, 05/15/2025* | | 20,000 | 19,300 |
| Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | | | |
| 5.25%, 05/15/2027* | | 20,000 | 18,604 |
| | | | 208,060 |
| Machinery-Construction & Mining — 0.1% |
| Oshkosh Corp. | | | |
| 3.10%, 03/01/2030 | | 8,000 | 6,827 |
| 4.60%, 05/15/2028 | | 40,000 | 38,222 |
| Terex Corp. | | | |
| 5.00%, 05/15/2029* | | 20,000 | 17,911 |
| Vertiv Group Corp. | | | |
| 4.13%, 11/15/2028* | | 20,000 | 17,580 |
| | | | 80,540 |
| Machinery-Diversified — 0.0% |
| Chart Industries, Inc. | | | |
| 7.50%, 01/01/2030* | | 25,000 | 25,137 |
| 9.50%, 01/01/2031* | | 15,000 | 15,942 |
| | | | 41,079 |
| Media — 0.4% |
| Beasley Mezzanine Holdings LLC | | | |
| 8.63%, 02/01/2026* | | 15,000 | 9,625 |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | |
| 4.25%, 02/01/2031* | | 15,000 | 11,941 |
| 4.50%, 05/01/2032 | | 10,000 | 7,848 |
| 4.75%, 03/01/2030 to 02/01/2032* | | 135,000 | 111,945 |
| 5.38%, 06/01/2029* | | 50,000 | 44,860 |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | |
| 2.25%, 01/15/2029 | | 39,000 | 31,808 |
| 6.48%, 10/23/2045 | | 40,000 | 34,926 |
| Comcast Corp. | | | |
| 2.35%, 01/15/2027 | | 17,000 | 15,397 |
| 3.30%, 02/01/2027 | | 38,000 | 35,481 |
| 4.00%, 11/01/2049 | | 49,000 | 36,360 |
| Directv Financing LLC/Directv Financing Co-Obligor, Inc. | | | |
| 5.88%, 08/15/2027* | | 20,000 | 17,684 |
| DISH DBS Corp. | | | |
| 5.13%, 06/01/2029 | | 35,000 | 19,403 |
| 5.25%, 12/01/2026* | | 10,000 | 8,498 |
| 5.75%, 12/01/2028* | | 15,000 | 11,531 |
| 5.88%, 11/15/2024 | | 10,000 | 9,308 |
| 7.75%, 07/01/2026 | | 25,000 | 18,750 |
| Gray Escrow II, Inc. | | | |
| 5.38%, 11/15/2031* | | 50,000 | 32,722 |
| iHeartCommunications, Inc. | | | |
| 8.38%, 05/01/2027 | | 32,299 | 23,170 |
| McGraw-Hill Education, Inc. | | | |
| 5.75%, 08/01/2028* | | 20,000 | 17,255 |
| 8.00%, 08/01/2029* | | 30,000 | 26,025 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Media (continued) |
| News Corp. | | | |
| 3.88%, 05/15/2029* | | $ 20,000 | $ 17,200 |
| Scripps Escrow II, Inc. | | | |
| 3.88%, 01/15/2029* | | 10,000 | 7,520 |
| Scripps Escrow, Inc. | | | |
| 5.88%, 07/15/2027* | | 10,000 | 7,394 |
| Sirius XM Radio, Inc. | | | |
| 3.88%, 09/01/2031* | | 25,000 | 18,937 |
| 4.00%, 07/15/2028* | | 15,000 | 12,804 |
| Spanish Broadcasting System, Inc. | | | |
| 9.75%, 03/01/2026* | | 10,000 | 6,689 |
| Time Warner Cable Enterprises LLC | | | |
| 8.38%, 07/15/2033 | | 10,000 | 10,751 |
| Townsquare Media, Inc. | | | |
| 6.88%, 02/01/2026* | | 15,000 | 14,166 |
| Univision Communications, Inc. | | | |
| 6.63%, 06/01/2027* | | 30,000 | 27,940 |
| 7.38%, 06/30/2030* | | 10,000 | 9,139 |
| 8.00%, 08/15/2028* | | 20,000 | 19,390 |
| Urban One, Inc. | | | |
| 7.38%, 02/01/2028* | | 20,000 | 17,150 |
| Walt Disney Co. | | | |
| 4.75%, 09/15/2044 | | 24,000 | 20,435 |
| 7.75%, 12/01/2045 | | 3,000 | 3,593 |
| | | | 717,645 |
| Metal Fabricate/Hardware — 0.0% |
| Roller Bearing Co. of America, Inc. | | | |
| 4.38%, 10/15/2029* | | 30,000 | 25,805 |
| Mining — 0.1% |
| Arsenal AIC Parent LLC | | | |
| 8.00%, 10/01/2030* | | 5,000 | 4,975 |
| Compass Minerals International, Inc. | | | |
| 6.75%, 12/01/2027* | | 25,000 | 23,685 |
| Freeport-McMoRan, Inc. | | | |
| 4.38%, 08/01/2028 | | 20,000 | 18,334 |
| 5.45%, 03/15/2043 | | 20,000 | 17,052 |
| Glencore Finance Canada, Ltd. | | | |
| 6.00%, 11/15/2041* | | 7,000 | 6,457 |
| Glencore Funding LLC | | | |
| 2.50%, 09/01/2030* | | 30,000 | 23,713 |
| 6.38%, 10/06/2030* | | 35,000 | 34,906 |
| Hudbay Minerals, Inc. | | | |
| 6.13%, 04/01/2029* | | 20,000 | 18,505 |
| Novelis Corp. | | | |
| 3.88%, 08/15/2031* | | 15,000 | 11,979 |
| 4.75%, 01/30/2030* | | 15,000 | 12,982 |
| | | | 172,588 |
| Miscellaneous Manufacturing — 0.0% |
| Amsted Industries, Inc. | | | |
| 4.63%, 05/15/2030* | | 10,000 | 8,467 |
| 5.63%, 07/01/2027* | | 10,000 | 9,425 |
| | | | 17,892 |
| Office/Business Equipment — 0.0% |
| CDW LLC/CDW Finance Corp. | | | |
| 3.25%, 02/15/2029 | | 25,000 | 21,317 |
| Oil & Gas — 0.5% |
| Antero Resources Corp. | | | |
| 7.63%, 02/01/2029* | | 8,000 | 8,108 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Oil & Gas (continued) |
| Apache Corp. | | | |
| 4.38%, 10/15/2028 | | $ 25,000 | $ 22,610 |
| 5.10%, 09/01/2040 | | 30,000 | 23,831 |
| Callon Petroleum Co. | | | |
| 7.50%, 06/15/2030* | | 40,000 | 38,783 |
| 8.00%, 08/01/2028* | | 20,000 | 20,029 |
| Cenovus Energy, Inc. | | | |
| 6.75%, 11/15/2039 | | 2,000 | 1,995 |
| Chord Energy Corp. | | | |
| 6.38%, 06/01/2026* | | 25,000 | 24,513 |
| Civitas Resources, Inc. | | | |
| 8.38%, 07/01/2028* | | 10,000 | 10,175 |
| 8.75%, 07/01/2031* | | 25,000 | 25,537 |
| Comstock Resources, Inc. | | | |
| 5.88%, 01/15/2030* | | 20,000 | 17,313 |
| 6.75%, 03/01/2029* | | 15,000 | 13,798 |
| Continental Resources, Inc. | | | |
| 5.75%, 01/15/2031* | | 15,000 | 14,092 |
| Devon Energy Corp. | | | |
| 7.95%, 04/15/2032 | | 20,000 | 22,123 |
| Devon Financing Co. LLC | | | |
| 7.88%, 09/30/2031 | | 10,000 | 10,970 |
| Diamondback Energy, Inc. | | | |
| 3.25%, 12/01/2026 | | 39,000 | 36,463 |
| 6.25%, 03/15/2033 | | 35,000 | 35,020 |
| Encino Acquisition Partners Holdings LLC | | | |
| 8.50%, 05/01/2028* | | 30,000 | 28,805 |
| Endeavor Energy Resources LP/EER Finance, Inc. | | | |
| 5.75%, 01/30/2028* | | 45,000 | 43,423 |
| EQT Corp. | | | |
| 7.00%, 02/01/2030 | | 15,000 | 15,431 |
| Nabors Industries, Inc. | | | |
| 5.75%, 02/01/2025 | | 20,000 | 19,575 |
| 7.38%, 05/15/2027* | | 20,000 | 19,348 |
| Occidental Petroleum Corp. | | | |
| 6.20%, 03/15/2040 | | 55,000 | 52,426 |
| 7.50%, 05/01/2031 | | 25,000 | 26,531 |
| Ovintiv, Inc. | | | |
| 5.65%, 05/15/2028 | | 14,000 | 13,694 |
| 6.25%, 07/15/2033 | | 21,000 | 20,305 |
| 6.63%, 08/15/2037 | | 5,000 | 4,797 |
| 7.38%, 11/01/2031 | | 10,000 | 10,478 |
| Patterson-UTI Energy, Inc. | | | |
| 5.15%, 11/15/2029 | | 40,000 | 36,463 |
| Permian Resources Operating LLC | | | |
| 5.38%, 01/15/2026* | | 35,000 | 33,509 |
| 6.88%, 04/01/2027* | | 30,000 | 29,572 |
| Precision Drilling Corp. | | | |
| 7.13%, 01/15/2026* | | 40,000 | 39,609 |
| Rockcliff Energy II LLC | | | |
| 5.50%, 10/15/2029* | | 40,000 | 35,999 |
| SM Energy Co. | | | |
| 6.50%, 07/15/2028 | | 20,000 | 19,200 |
| 6.63%, 01/15/2027 | | 10,000 | 9,800 |
| 6.75%, 09/15/2026 | | 15,000 | 14,724 |
| Southwestern Energy Co. | | | |
| 5.38%, 02/01/2029 to 03/15/2030 | | 60,000 | 55,110 |
| Transocean Aquila, Ltd. | | | |
| 8.00%, 09/30/2028* | | 5,000 | 5,000 |
| Transocean Poseidon, Ltd. | | | |
| 6.88%, 02/01/2027* | | 15,000 | 14,768 |
| Transocean Titan Financing, Ltd. | | | |
| 8.38%, 02/01/2028* | | 15,000 | 15,262 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Oil & Gas (continued) |
| Transocean, Inc. | | | |
| 8.75%, 02/15/2030* | | $ 9,500 | $ 9,714 |
| 11.50%, 01/30/2027* | | 20,000 | 20,975 |
| Viper Energy Partners LP | | | |
| 5.38%, 11/01/2027* | | 20,000 | 18,945 |
| | | | 938,823 |
| Oil & Gas Services — 0.0% |
| USA Compression Partners LP/USA Compression Finance Corp. | | | |
| 6.88%, 04/01/2026 to 09/01/2027 | | 40,000 | 39,081 |
| Packaging & Containers — 0.1% |
| Berry Global, Inc. | | | |
| 1.57%, 01/15/2026 | | 32,000 | 28,926 |
| 1.65%, 01/15/2027 | | 56,000 | 48,133 |
| 4.88%, 07/15/2026* | | 2,000 | 1,914 |
| Crown Cork & Seal Co., Inc. | | | |
| 7.38%, 12/15/2026 | | 25,000 | 25,375 |
| Graphic Packaging International LLC | | | |
| 3.50%, 03/01/2029* | | 10,000 | 8,441 |
| 3.75%, 02/01/2030* | | 10,000 | 8,361 |
| Intelligent Packaging Holdco Issuer LP | | | |
| 9.00%, 01/15/2026*(3) | | 10,000 | 8,279 |
| Intelligent Packaging, Ltd. Finco, Inc./Intelligent Packaging, Ltd. Co.-Issuer LLC | | | |
| 6.00%, 09/15/2028* | | 20,000 | 17,481 |
| Mauser Packaging Solutions Holding Co. | | | |
| 7.88%, 08/15/2026* | | 20,000 | 19,295 |
| 9.25%, 04/15/2027* | | 25,000 | 21,852 |
| Owens-Brockway Glass Container, Inc. | | | |
| 7.25%, 05/15/2031* | | 30,000 | 29,325 |
| Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc. | | | |
| 4.38%, 10/15/2028* | | 15,000 | 13,015 |
| WestRock MWV LLC | | | |
| 7.95%, 02/15/2031 | | 1,000 | 1,095 |
| 8.20%, 01/15/2030 | | 24,000 | 26,419 |
| | | | 257,911 |
| Pharmaceuticals — 0.3% |
| 1375209 BC, Ltd. | | | |
| 9.00%, 01/30/2028* | | 1,000 | 988 |
| Bausch Health Cos., Inc. | | | |
| 4.88%, 06/01/2028* | | 20,000 | 11,374 |
| 6.13%, 02/01/2027* | | 15,000 | 9,329 |
| Becton Dickinson & Co. | | | |
| 3.70%, 06/06/2027 | | 32,000 | 29,988 |
| Elanco Animal Health, Inc. | | | |
| 6.65%, 08/28/2028 | | 15,000 | 14,588 |
| Eli Lilly & Co. | | | |
| 4.88%, 02/27/2053 | | 20,000 | 18,372 |
| Mallinckrodt International Finance SA/Mallinckrodt CB LLC | | | |
| 10.00%, 04/15/2025* | | 14,000 | 910 |
| Option Care Health, Inc. | | | |
| 4.38%, 10/31/2029* | | 5,000 | 4,319 |
| Owens & Minor, Inc. | | | |
| 4.50%, 03/31/2029* | | 10,000 | 8,230 |
| 6.63%, 04/01/2030* | | 20,000 | 17,752 |
| Pfizer Investment Enterprises Pte., Ltd. | | | |
| 4.45%, 05/19/2028 | | 27,000 | 26,031 |
| 4.75%, 05/19/2033 | | 46,000 | 43,483 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Pharmaceuticals (continued) |
| 5.30%, 05/19/2053 | | $ 32,000 | $ 29,733 |
| Teva Pharmaceutical Finance Netherlands III BV | | | |
| 5.13%, 05/09/2029 | | 200,000 | 180,800 |
| Wyeth LLC | | | |
| 5.95%, 04/01/2037 | | 10,000 | 10,274 |
| Zoetis, Inc. | | | |
| 2.00%, 05/15/2030 | | 20,000 | 16,010 |
| 3.90%, 08/20/2028 | | 43,000 | 40,402 |
| | | | 462,583 |
| Pipelines — 0.4% |
| Antero Midstream Partners LP/Antero Midstream Finance Corp. | | | |
| 7.88%, 05/15/2026* | | 10,000 | 10,071 |
| Buckeye Partners LP | | | |
| 3.95%, 12/01/2026 | | 15,000 | 13,470 |
| 4.50%, 03/01/2028* | | 15,000 | 13,163 |
| 5.85%, 11/15/2043 | | 5,000 | 3,650 |
| Cheniere Energy Partners LP | | | |
| 3.25%, 01/31/2032 | | 39,000 | 30,997 |
| 4.50%, 10/01/2029 | | 55,000 | 49,801 |
| Columbia Pipelines Operating Co. LLC | | | |
| 5.93%, 08/15/2030* | | 25,000 | 24,678 |
| 6.54%, 11/15/2053* | | 25,000 | 24,441 |
| DCP Midstream Operating LP | | | |
| 6.75%, 09/15/2037* | | 20,000 | 20,318 |
| El Paso Natural Gas Co. LLC | | | |
| 8.38%, 06/15/2032 | | 26,000 | 28,501 |
| Enbridge, Inc. | | | |
| 4.25%, 12/01/2026 | | 11,000 | 10,494 |
| Energy Transfer LP | | | |
| 6.63%, 02/15/2028(2) | | 85,000 | 67,742 |
| Energy Transfer LP/Regency Energy Finance Corp. | | | |
| 4.50%, 11/01/2023 | | 9,000 | 8,986 |
| Energy Transfer Operating LP | | | |
| 6.50%, 02/01/2042 | | 2,000 | 1,912 |
| EnLink Midstream LLC | | | |
| 5.63%, 01/15/2028* | | 40,000 | 37,819 |
| Enterprise Products Operating LLC | | | |
| 2.80%, 01/31/2030 | | 64,000 | 54,328 |
| 4.25%, 02/15/2048 | | 17,000 | 13,309 |
| Hess Midstream Operations LP | | | |
| 4.25%, 02/15/2030* | | 10,000 | 8,432 |
| 5.13%, 06/15/2028* | | 10,000 | 9,198 |
| 5.50%, 10/15/2030* | | 10,000 | 9,088 |
| 5.63%, 02/15/2026* | | 25,000 | 24,156 |
| Kinder Morgan Energy Partners LP | | | |
| 5.40%, 09/01/2044 | | 6,000 | 5,054 |
| Kinder Morgan, Inc. | | | |
| 7.75%, 01/15/2032 | | 15,000 | 16,266 |
| Kinetik Holdings LP | | | |
| 5.88%, 06/15/2030* | | 64,000 | 60,000 |
| ONEOK, Inc. | | | |
| 6.10%, 11/15/2032 | | 50,000 | 49,368 |
| Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. | | | |
| 5.50%, 01/15/2028* | | 20,000 | 18,200 |
| 6.00%, 12/31/2030* | | 15,000 | 13,241 |
| Targa Resources Partners LP/Targa Resources Partners Finance Corp. | | | |
| 4.88%, 02/01/2031 | | 45,000 | 40,304 |
| Venture Global Calcasieu Pass LLC | | | |
| 3.88%, 08/15/2029* | | 15,000 | 12,622 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Pipelines (continued) |
| 6.25%, 01/15/2030* | | $ 5,000 | $ 4,769 |
| Venture Global LNG, Inc. | | | |
| 8.13%, 06/01/2028* | | 10,000 | 9,902 |
| 8.38%, 06/01/2031* | | 30,000 | 29,492 |
| | | | 723,772 |
| Private Equity — 0.0% |
| KKR Group Finance Co. VI LLC | | | |
| 3.75%, 07/01/2029* | | 31,000 | 27,402 |
| Real Estate — 0.0% |
| Anywhere Real Estate Group LLC/Anywhere Co-Issuer Corp. | | | |
| 7.00%, 04/15/2030* | | 16,000 | 14,440 |
| REITS — 0.2% |
| American Tower Corp. | | | |
| 2.75%, 01/15/2027 | | 12,000 | 10,840 |
| 2.90%, 01/15/2030 | | 40,000 | 33,233 |
| 3.13%, 01/15/2027 | | 82,000 | 74,984 |
| Crown Castle, Inc. | | | |
| 3.80%, 02/15/2028 | | 33,000 | 30,258 |
| 4.75%, 05/15/2047 | | 5,000 | 3,885 |
| Crown Castle, Inc. | | | |
| 3.65%, 09/01/2027 | | 16,000 | 14,688 |
| Equinix, Inc. | | | |
| 3.20%, 11/18/2029 | | 58,000 | 49,667 |
| GLP Capital LP/GLP Financing II, Inc. | | | |
| 3.25%, 01/15/2032 | | 21,000 | 16,298 |
| 5.25%, 06/01/2025 | | 10,000 | 9,794 |
| Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp. | | | |
| 4.25%, 02/01/2027* | | 25,000 | 21,866 |
| 4.75%, 06/15/2029* | | 15,000 | 12,117 |
| 5.25%, 10/01/2025* | | 5,000 | 4,814 |
| Prologis LP | | | |
| 2.25%, 04/15/2030 | | 12,000 | 9,793 |
| Service Properties Trust | | | |
| 7.50%, 09/15/2025 | | 5,000 | 4,912 |
| VICI Properties LP | | | |
| 4.75%, 02/15/2028 | | 28,000 | 26,188 |
| VICI Properties LP/VICI Note Co., Inc. | | | |
| 3.75%, 02/15/2027* | | 12,000 | 10,889 |
| Weyerhaeuser Co. | | | |
| 7.38%, 03/15/2032 | | 6,000 | 6,519 |
| | | | 340,745 |
| Retail — 0.2% |
| 1011778 BC ULC/New Red Finance, Inc. | | | |
| 4.00%, 10/15/2030* | | 40,000 | 33,239 |
| 4.38%, 01/15/2028* | | 20,000 | 18,027 |
| Alimentation Couche-Tard, Inc. | | | |
| 2.95%, 01/25/2030* | | 36,000 | 29,995 |
| 3.55%, 07/26/2027* | | 32,000 | 29,606 |
| Asbury Automotive Group, Inc. | | | |
| 4.63%, 11/15/2029* | | 10,000 | 8,589 |
| AutoNation, Inc. | | | |
| 3.80%, 11/15/2027 | | 20,000 | 17,928 |
| Bath & Body Works, Inc. | | | |
| 6.63%, 10/01/2030* | | 30,000 | 28,125 |
| 6.75%, 07/01/2036 | | 10,000 | 8,761 |
| 7.50%, 06/15/2029 | | 15,000 | 14,817 |
| BCPE Ulysses Intermediate, Inc. | | | |
| 7.75%, 04/01/2027*(3) | | 10,000 | 8,709 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Retail (continued) |
| Beacon Roofing Supply, Inc. | | | |
| 4.13%, 05/15/2029* | | $ 10,000 | $ 8,550 |
| 4.50%, 11/15/2026* | | 10,000 | 9,337 |
| 6.50%, 08/01/2030* | | 5,000 | 4,846 |
| Fertitta Entertainment LLC/Fertitta Entertainment Finance Co., Inc. | | | |
| 4.63%, 01/15/2029* | | 5,000 | 4,238 |
| 6.75%, 01/15/2030* | | 15,000 | 12,226 |
| IRB Holding Corp. | | | |
| 7.00%, 06/15/2025* | | 10,000 | 10,003 |
| LBM Acquisition LLC | | | |
| 6.25%, 01/15/2029* | | 15,000 | 12,300 |
| Macy's Retail Holdings LLC | | | |
| 5.88%, 03/15/2030* | | 5,000 | 4,239 |
| 6.13%, 03/15/2032* | | 5,000 | 4,126 |
| McDonald's Corp. | | | |
| 6.30%, 10/15/2037 | | 25,000 | 26,041 |
| Michaels Cos., Inc. | | | |
| 7.88%, 05/01/2029* | | 10,000 | 6,528 |
| Staples, Inc. | | | |
| 7.50%, 04/15/2026* | | 15,000 | 12,335 |
| Victoria's Secret & Co. | | | |
| 4.63%, 07/15/2029* | | 30,000 | 21,748 |
| White Cap Buyer LLC | | | |
| 6.88%, 10/15/2028* | | 20,000 | 17,676 |
| Yum! Brands, Inc. | | | |
| 5.38%, 04/01/2032 | | 5,000 | 4,572 |
| | | | 356,561 |
| Semiconductors — 0.1% |
| Broadcom, Inc. | | | |
| 3.19%, 11/15/2036* | | 43,000 | 30,874 |
| 4.15%, 11/15/2030 | | 47,000 | 41,629 |
| 4.93%, 05/15/2037* | | 103,000 | 88,778 |
| Marvell Technology, Inc. | | | |
| 5.75%, 02/15/2029 | | 35,000 | 34,679 |
| 5.95%, 09/15/2033 | | 35,000 | 34,353 |
| | | | 230,313 |
| Software — 0.3% |
| Alteryx, Inc. | | | |
| 8.75%, 03/15/2028* | | 10,000 | �� 9,955 |
| AthenaHealth Group, Inc. | | | |
| 6.50%, 02/15/2030* | | 30,000 | 25,095 |
| Boxer Parent Co., Inc. | | | |
| 7.13%, 10/02/2025* | | 5,000 | 4,975 |
| Central Parent, Inc./CDK Global, Inc. | | | |
| 7.25%, 06/15/2029* | | 10,000 | 9,695 |
| Clarivate Science Holdings Corp. | | | |
| 4.88%, 07/01/2029* | | 35,000 | 29,832 |
| Cloud Software Group, Inc. | | | |
| 6.50%, 03/31/2029* | | 75,000 | 66,325 |
| 9.00%, 09/30/2029* | | 30,000 | 26,070 |
| Fidelity National Information Services, Inc. | | | |
| 2.25%, 03/01/2031 | | 7,000 | 5,475 |
| 3.10%, 03/01/2041 | | 14,000 | 9,282 |
| 5.10%, 07/15/2032 | | 12,000 | 11,333 |
| Microsoft Corp. | | | |
| 2.40%, 08/08/2026 | | 8,000 | 7,432 |
| 2.92%, 03/17/2052 | | 31,000 | 20,333 |
| MSCI, Inc. | | | |
| 3.63%, 09/01/2030* | | 15,000 | 12,572 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| CORPORATE BONDS & NOTES (continued) |
| Software (continued) |
| Oracle Corp. | | | |
| 1.65%, 03/25/2026 | | $ 56,000 | $ 50,724 |
| 2.95%, 04/01/2030 | | 15,000 | 12,622 |
| 3.65%, 03/25/2041 | | 73,000 | 52,092 |
| 3.95%, 03/25/2051 | | 13,000 | 8,912 |
| RingCentral, Inc. | | | |
| 8.50%, 08/15/2030* | | 25,000 | 24,150 |
| Rocket Software, Inc. | | | |
| 6.50%, 02/15/2029* | | 45,000 | 37,125 |
| salesforce.com, Inc. | | | |
| 2.90%, 07/15/2051 | | 43,000 | 26,851 |
| 3.05%, 07/15/2061 | | 23,000 | 13,748 |
| ServiceNow, Inc. | | | |
| 1.40%, 09/01/2030 | | 41,000 | 31,474 |
| Twilio, Inc. | | | |
| 3.63%, 03/15/2029 | | 25,000 | 20,929 |
| 3.88%, 03/15/2031 | | 30,000 | 24,392 |
| ZoomInfo Technologies LLC/ZoomInfo Finance Corp. | | | |
| 3.88%, 02/01/2029* | | 50,000 | 41,672 |
| | | | 583,065 |
| Telecommunications — 0.3% |
| AT&T, Inc. | | | |
| 2.30%, 06/01/2027 | | 71,000 | 62,867 |
| 2.55%, 12/01/2033 | | 56,000 | 41,131 |
| 4.35%, 03/01/2029 | | 48,000 | 44,670 |
| 4.75%, 05/15/2046 | | 5,000 | 3,950 |
| CommScope Technologies LLC | | | |
| 6.00%, 06/15/2025* | | 18,000 | 17,135 |
| CommScope, Inc. | | | |
| 6.00%, 03/01/2026* | | 10,000 | 9,332 |
| 8.25%, 03/01/2027* | | 10,000 | 6,535 |
| Embarq Corp. | | | |
| 8.00%, 06/01/2036 | | 20,000 | 11,275 |
| Frontier Communications Holdings LLC | | | |
| 5.88%, 10/15/2027* | | 30,000 | 27,284 |
| 8.75%, 05/15/2030* | | 15,000 | 14,242 |
| Level 3 Financing, Inc. | | | |
| 4.25%, 07/01/2028* | | 5,000 | 3,115 |
| 10.50%, 05/15/2030* | | 11,000 | 11,072 |
| Sprint Capital Corp. | | | |
| 6.88%, 11/15/2028 | | 46,000 | 47,495 |
| T-Mobile USA, Inc. | | | |
| 2.88%, 02/15/2031 | | 10,000 | 8,108 |
| 3.75%, 04/15/2027 | | 65,000 | 60,737 |
| 3.88%, 04/15/2030 | | 7,000 | 6,202 |
| 5.05%, 07/15/2033 | | 60,000 | 55,669 |
| 5.75%, 01/15/2054 | | 10,000 | 9,215 |
| Verizon Communications, Inc. | | | |
| 2.10%, 03/22/2028 | | 12,000 | 10,307 |
| 3.70%, 03/22/2061 | | 39,000 | 24,818 |
| 4.33%, 09/21/2028 | | 91,000 | 85,507 |
| Viasat, Inc. | | | |
| 7.50%, 05/30/2031* | | 20,000 | 13,210 |
| | | | 573,876 |
| Toys/Games/Hobbies — 0.0% |
| Mattel, Inc. | | | |
| 3.38%, 04/01/2026* | | 5,000 | 4,623 |
| 3.75%, 04/01/2029* | | 15,000 | 13,057 |
| | | | 17,680 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Transportation — 0.0% |
| Watco Cos. LLC/Watco Finance Corp. | | | |
| 6.50%, 06/15/2027* | | $ 50,000 | $ 47,485 |
| Trucking & Leasing — 0.1% |
| Penske Truck Leasing Co. LP/PTL Finance Corp. | | | |
| 3.40%, 11/15/2026* | | 11,000 | 10,139 |
| 4.40%, 07/01/2027* | | 91,000 | 85,280 |
| | | | 95,419 |
Total Corporate Bonds & Notes
(cost $15,538,389) | | | 13,930,966 |
| CONVERTIBLE BONDS & NOTES — 0.0% |
| Media — 0.0% |
| DISH Network Corp. | | | |
| 3.38%, 08/15/2026 | | 10,000 | 6,010 |
| Oil & Gas — 0.0% |
| Nabors Industries, Inc. | | | |
| 1.75%, 06/15/2029* | | 10,000 | 8,795 |
| Real Estate — 0.0% |
| Realogy Group LLC/Realogy Co.-Issuer Corp. | | | |
| 0.25%, 06/15/2026 | | 17,000 | 12,920 |
Total Convertible Bonds & Notes
(cost $32,880) | | | 27,725 |
| LOANS(4)(5)(6) — 0.3% | | | |
| Advertising — 0.0% | | | |
| Clear Channel Outdoor Holdings, Inc. BTL-B FRS | | | |
| 8.93%, (3 ML+3.50%), 08/21/2026 | | 19,114 | 18,535 |
| Airlines — 0.0% | | | |
| Aadvantage Loyalty LP, Ltd. BTL FRS | | | |
| 10.43%, (3 ML+4.75%), 04/20/2028 | | 4,750 | 4,889 |
| UKG, Inc. 2nd Lien BTL FRS | | | |
| 9.18%, (3 ML+3.75%), 04/21/2028 | | 11,640 | 11,680 |
| | | | 16,569 |
| Apparel — 0.0% | | | |
| Crocs, Inc. BTL-B FRS | | | |
| 8.54%, (1 ML+3.00%), 02/20/2029 | | 11,679 | 11,698 |
| Building Materials — 0.0% | | | |
| CP Atlas Buyer, Inc. BTL-B FRS | | | |
| 9.17%, (1 ML+3.75%), 11/23/2027 | | 20,474 | 19,256 |
| Chemicals — 0.1% | | | |
| LSF11 A5 HoldCo LLC BTL-B FRS | | | |
| 9.67%, (1 ML+4.25%), 10/15/2028 | | 4,987 | 4,902 |
| Nouryon Finance BV BTL-B FRS | | | |
| 9.43%, (1 ML+4.00%), 04/03/2028 | | 21,491 | 21,238 |
| Sabre GLBL, Inc. BTL-B FRS | | | |
| 9.42%, (1 ML+4.00%), 04/03/2028 | | 9,975 | 9,832 |
| | | | 35,972 |
| Commercial Services — 0.0% | | | |
| Neptune Bidco US, Inc. BTL-B FRS | | | |
| 10.51%, (1 ML+5.00%), 04/11/2029 | | 14,963 | 13,418 |
| PECF USS Intermediate Holding III BTL-B FRS | | | |
| 9.88%, (1 ML+4.25%), 12/15/2028 | | 19,588 | 15,636 |
| Rocket Software, Inc. Incremental BTL-B FRS | | | |
| 10.42%, (1 ML+5.00%), 06/30/2028 | | 4,876 | 4,270 |
| | | | 33,324 |
| Engineering & Construction — 0.0% | | | |
| VM Consolidated, Inc. BTL-B FRS | | | |
| 8.68%, (1 ML+3.25%), 03/24/2028 | | 21,621 | 21,612 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| LOANS (continued) | | | |
| Entertainment — 0.0% | | | |
| AMC Entertainment Holdings, Inc. BTL-B FRS | | | |
| 8.45%, (1 ML+3.00%), 04/22/2026 | | $ 14,593 | $ 11,742 |
| Environmental Control — 0.0% | | | |
| GFL Environmental, Inc. BTL FRS | | | |
| 7.91%, (1 ML+2.50%), 05/31/2027 | | 7,045 | 7,036 |
| Madison IAQ LLC BTL FRS | | | |
| 8.70%, (3 ML+3.25%), 06/21/2028 | | 14,924 | 14,640 |
| Robertshaw US Holding Corp. BTL-B FRS | | | |
| 13.59%, (3 ML+8.00%), 02/27/2027 | | 5,000 | 1,100 |
| | | | 22,776 |
| Healthcare-Services — 0.0% | | | |
| One Call Corp. BTL FRS | | | |
| 11.14%, (3 ML+5.50%), 04/22/2027 | | 9,701 | 7,858 |
| Home Furnishings — 0.0% | | | |
| Mattress Firm, Inc. BTL-B FRS | | | |
| 9.95%, ( 6 ML+4.25%), 09/25/2028 | | 14,882 | 14,733 |
| Insurance — 0.0% | | | |
| Asurion LLC BTL-B9 FRS | | | |
| 8.68%, (1 ML+3.25%), 07/31/2027 | | 9,799 | 9,513 |
| HUB International, Ltd. BTL-B FRS | | | |
| 9.66%, (1 ML+4.25%), 06/20/2030 | | 4,342 | 4,351 |
| | | | 13,864 |
| Internet — 0.0% | | | |
| Proofpoint, Inc. 2nd Lien BTL-B FRS | | | |
| 11.68%, (3 ML+6.25%), 08/31/2029 | | 15,000 | 15,012 |
| Leisure Time — 0.0% | | | |
| MajorDrive Holdings IV LLC BTL-B FRS | | | |
| 9.65%, (3 ML+4.00%), 06/01/2028 | | 19,525 | 19,318 |
| Machinery-Construction & Mining — 0.0% | | | |
| Vertiv Group Corp. BTL-B FRS | | | |
| 8.18%, (1 ML+2.75%), 03/02/2027 | | 28,737 | 28,685 |
| Machinery-Diversified — 0.0% | | | |
| TIBCO Software, Inc. BTL-B FRS | | | |
| 9.38%, ( 6 ML+3.50%), 07/30/2027 | | 9,777 | 9,746 |
| Media — 0.0% | | | |
| DirecTV Financing LLC BTL FRS | | | |
| 10.43%, (1 ML+5.00%), 08/02/2027 | | 10,451 | 10,191 |
| iHeartCommunications, Inc., Incremental BTL-B FRS | | | |
| 8.68%, (1 ML+3.25%), 05/01/2026 | | 13,374 | 11,976 |
| | | | 22,167 |
| Packaging & Containers — 0.0% | | | |
| Klockner Pentaplast of America, Inc. BTL-B FRS | | | |
| 10.48%, ( 6 ML+4.73%), 02/12/2026 | | 14,762 | 14,172 |
| Pipelines — 0.0% | | | |
| CQP Holdco LP BTL-B FRS | | | |
| 8.99%, (1 ML+3.50%), 06/05/2028 | | 19,550 | 19,526 |
| Retail — 0.1% | | | |
| IRB Holding Corp. BTL-B FRS | | | |
| 8.42%, (1 ML+3.00%), 12/15/2027 | | 14,825 | 14,753 |
| Michaels Cos., Inc. BTL-B FRS | | | |
| 9.90%, (3 ML+4.25%), 04/15/2028 | | 9,937 | 9,052 |
| PetSmart, Inc. BTL-B FRS | | | |
| 9.17%, (1 ML+3.75%), 02/11/2028 | | 34,659 | 34,522 |
| Security Description | | Shares or
Principal
Amount | Value |
| | | | |
| Retail (continued) | | | |
| White Cap Buyer LLC BTL-B FRS | | | |
| 9.07%, (1 ML+3.75%), 10/19/2027 | | $ 14,590 | $ 14,554 |
| | | | 72,881 |
| Software — 0.1% | | | |
| Ascend Learning LLC 2nd Lien BTL FRS | | | |
| 11.17%, (1 ML+5.75%), 12/10/2029 | | 10,000 | 8,485 |
| Epicor Software Corp. 2nd Lien BTL FRS | | | |
| 13.12%, (1 ML+7.75%), 07/31/2028 | | 10,000 | 10,006 |
| Greeneden US Holdings II LLC BTL-B4 FRS | | | |
| 9.43%, (1 ML+4.00%), 12/01/2027 | | 14,625 | 14,625 |
| Polaris Newco LLC BTL-B FRS | | | |
| 9.43%, (3 ML+4.00%), 06/02/2028 | | 14,675 | 14,027 |
| Starfruit Finco B.V. BTL-B FRS | | | |
| 9.99%, (3 ML+4.50%), 03/30/2029 | | 4,975 | 4,778 |
| TK Elevator US Newco, Inc. BTL-B FRS | | | |
| 10.76%, (3 ML+5.25%), 05/03/2027 | | 10,000 | 9,963 |
| | | | 61,884 |
Total Loans
(cost $505,201) | | | 491,330 |
| ASSET BACKED SECURITIES — 0.1% |
| Other Asset Backed Securities — 0.1% |
| BDS, Ltd. FRS | | | |
Series 2021-FL8, Class A
6.37%, (TSFR1M+1.03%), 01/18/2036* | | 38,769 | 38,426 |
| Ready Capital Mtg. Financing LLC FRS | | | |
Series 2022-FL8, Class A
6.96%, (TSFR3M+1.65%), 01/25/2037* | | 41,829 | 41,832 |
Series 2022-FL8, Class AS
7.41%, (TSFR1M+2.10%), 01/25/2037* | | 38,000 | 37,935 |
| Towd Point Mtg. Trust FRS | | | |
Series 2018-SL1, Class A
6.03%, (TSFR6M+0.71%), 01/25/2046* | | 6,257 | 6,238 |
Total Asset Backed Securities
(cost $122,292) | | | 124,431 |
| COLLATERALIZED MORTGAGE OBLIGATIONS — 2.5% |
| Commercial and Residential — 2.0% |
| AREIT Trust FRS | | | |
Series 2021-CRE5, Class A
6.53%, (TSFR1M+1.19%), 11/17/2038* | | 63,783 | 62,696 |
| Banc of America Commercial Mtg.Trust VRS | | | |
Series 2015-UBS7, Class AS
3.99%, 09/15/2048(7) | | 47,000 | 43,713 |
| Barclays Commercial Mtg. Trust | | | |
Series 2019-C3, Class C
4.18%, 05/15/2052 | | 199,000 | 148,119 |
| Benchmark Mtg. Trust | | | |
Series 2019-B12, Class A5
3.12%, 08/15/2052 | | 24,000 | 20,573 |
| CD Commercial Mtg. Trust VRS | | | |
Series 2016-CD1, Class XA
1.50%, 08/10/2049(7)(8) | | 234,523 | 6,387 |
| CD Mtg. Trust VRS | | | |
Series 2017-CD5, Class C
4.27%, 08/15/2050(7) | | 56,000 | 43,005 |
Series 2017-CD6, Class C
4.37%, 11/13/2050(7) | | 57,000 | 44,551 |
| Citigroup Commercial Mtg. Trust VRS | | | |
Series 2015-P1, Class B
4.46%, 09/15/2048(7) | | 38,000 | 34,711 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
Series 2015-P1, Class C
4.51%, 09/15/2048(7) | | $ 62,000 | $ 54,879 |
Series 2014-GC21, Class C
4.78%, 05/10/2047(7) | | 68,000 | 57,786 |
Series 2014-GC19, Class D
5.25%, 03/11/2047*(7) | | 30,000 | 27,695 |
| Citigroup Mtg. Loan Trust, Inc. VRS | | | |
Series 2005-2, Class 1A2A
4.65%, 05/25/2035(7) | | 4,754 | 4,588 |
| COMM Mtg. Trust | | | |
Series 2014-UBS4, Class AM
3.97%, 08/10/2047 | | 55,000 | 50,165 |
| Commercial Mtg. Trust | | | |
Series 2013-CR12, Class AM
4.30%, 10/10/2046 | | 41,000 | 35,697 |
| Commercial Mtg. Trust VRS | | | |
Series 2014-UBS6, Class XA
0.97%, 12/10/2047(7)(8) | | 308,090 | 1,865 |
Series 2014-CR20, Class XA
1.07%, 11/10/2047(7)(8) | | 780,747 | 4,461 |
Series 2014-UBS4, Class XA
1.24%, 08/10/2047(7)(8) | | 883,443 | 2,983 |
Series 2013-CR6, Class D
3.99%, 03/10/2046*(7) | | 36,000 | 25,204 |
Series 2015-CR23, Class C
4.44%, 05/10/2048(7) | | 59,000 | 51,514 |
Series 2015-LC21, Class B
4.47%, 07/10/2048(7) | | 127,000 | 117,690 |
Series 2014-UBS6, Class C
4.58%, 12/10/2047(7) | | 18,000 | 15,227 |
Series 2014-CR15, Class B
4.74%, 02/10/2047(7) | | 69,000 | 65,152 |
Series 2014-CR17, Class C
4.94%, 05/10/2047(7) | | 129,000 | 116,986 |
Series 2010-C1, Class D
5.99%, 07/10/2046*(7) | | 62,679 | 58,292 |
| Credit Suisse Mtg. Capital Certs. VRS | | | |
Series 2006-C4, Class AX
1.06%, 09/15/2039*(7)(8) | | 84 | 0 |
| CSAIL Commercial Mtg. Trust | | | |
Series 2019-C17, Class AS
3.28%, 09/15/2052 | | 82,000 | 66,838 |
Series 2017-CX10, Class A3
3.40%, 11/15/2050 | | 39,204 | 37,699 |
| CSAIL Commercial Mtg. Trust VRS | | | |
Series 2015-C1, Class XA
0.95%, 04/15/2050(7)(8) | | 886,472 | 5,572 |
Series 2015-C1, Class AS
3.79%, 04/15/2050(7) | | 53,000 | 48,776 |
Series 2016-C7, Class AS
3.96%, 11/15/2049(7) | | 64,000 | 57,808 |
Series 2015-C1, Class C
4.39%, 04/15/2050(7) | | 81,000 | 59,571 |
| CSMC Trust VRS | | | |
Series 2016-NXSR, Class C
4.57%, 12/15/2049(7) | | 37,000 | 25,757 |
| DBUBS Mtg. Trust VRS | | | |
Series 2011-LC3A, Class D
5.54%, 08/10/2044*(7) | | 96,180 | 80,791 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
| Federal Home Loan Mtg. Corp Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2022-DNA6, Class M1A
7.46%, (SOFR30A+2.15%), 09/25/2042* | | $ 9,681 | $ 9,779 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2022-HQA3, Class M1A
7.61%, (SOFR30A+2.30%), 08/25/2042* | | 28,361 | 28,802 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2022-R05, Class 2M1
7.21%, (SOFR30A+1.90%), 04/25/2042* | | 10,105 | 10,093 |
Series 2018-C05, Class 1M2
7.78%, (SOFR30A+2.46%), 01/25/2031 | | 21,075 | 21,443 |
Series 2022-R07, Class 1M1
8.26%, (SOFR30A+2.95%), 06/25/2042* | | 28,103 | 28,841 |
Series 2016-C03, Class 2M2
11.33%, (SOFR30A+6.01%), 10/25/2028 | | 1,860 | 1,980 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities Trust FRS | | | |
Series 2022-R04, Class 1M1
7.31%, (SOFR30A+2.00%), 03/25/2042* | | 14,187 | 14,284 |
| GS Mtg. Securities Trust | | | |
Series 2014-GC26, Class AS
3.96%, 11/10/2047 | | 32,000 | 30,558 |
| GS Mtg. Securities Trust VRS | | | |
Series 2020-GC47, Class C
3.57%, 05/12/2053(7) | | 47,000 | 32,495 |
Series 2015-GC30, Class C
4.20%, 05/10/2050(7) | | 45,000 | 39,799 |
Series 2014-GC22, Class C
4.84%, 06/10/2047(7) | | 54,000 | 40,169 |
| JPMBB Commercial Mtg. Securities Trust VRS | | | |
Series 2013-C17, Class XA
0.78%, 01/15/2047(7)(8) | | 316,587 | 20 |
Series 2013-C12, Class C
4.10%, 07/15/2045(7) | | 36,893 | 32,060 |
Series 2014-C23, Class B
4.63%, 09/15/2047(7) | | 32,000 | 30,339 |
Series 2014-C22, Class C
4.70%, 09/15/2047(7) | | 19,000 | 14,465 |
Series 2014-C19, Class C
4.78%, 04/15/2047(7) | | 12,000 | 11,349 |
Series 2013-C15, Class C
5.17%, 11/15/2045(7) | | 105,000 | 96,616 |
| JPMDB Commercial Mtg. Securities Trust VRS | | | |
Series 2018-C8, Class C
4.92%, 06/15/2051(7) | | 31,000 | 23,519 |
| JPMorgan Chase Commercial Mtg. Securities Trust | | | |
Series 2013-LC11, Class AS
3.22%, 04/15/2046 | | 21,025 | 19,764 |
| JPMorgan Chase Commercial Mtg. Securities Trust VRS | | | |
Series 2014-C20, Class B
4.40%, 07/15/2047(7) | | 80,000 | 73,359 |
Series 2013-C16, Class C
5.10%, 12/15/2046(7) | | 33,000 | 30,904 |
Series 2012-C6, Class D
5.13%, 05/15/2045(7) | | 43,418 | 39,773 |
| Legacy Mtg. Asset Trust | | | |
Series 2020-GS5, Class A1
6.25%, 06/25/2060*(9) | | 100,282 | 99,177 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| Commercial and Residential (continued) |
| Morgan Stanley Bank of America Merrill Lynch Trust VRS | | | |
Series 2014-C17, Class XA
1.19%, 08/15/2047(7)(8) | | $ 238,828 | $ 641 |
Series 2015-C22, Class B
3.88%, 04/15/2048(7) | | 45,000 | 40,730 |
Series 2016-C32, Class AS
3.99%, 12/15/2049(7) | | 91,000 | 82,232 |
Series 2013-C10, Class AS
4.09%, 07/15/2046(7) | | 5,357 | 5,182 |
Series 2014-C16, Class B
4.44%, 06/15/2047(7) | | 32,000 | 29,000 |
Series 2014-C17, Class C
4.64%, 08/15/2047(7) | | 85,000 | 80,835 |
Series 2012-C5, Class E
4.77%, 08/15/2045*(7) | | 67,000 | 60,156 |
Series 2013-C13, Class B
4.85%, 11/15/2046(7) | | 53,000 | 52,662 |
Series 2013-C12, Class C
5.07%, 10/15/2046(7) | | 55,000 | 52,220 |
Series 2014-C14, Class C
5.22%, 02/15/2047(7) | | 113,000 | 110,490 |
| Morgan Stanley Capital I Trust VRS | | | |
Series 2016-BNK2, Class C
4.01%, 11/15/2049(7) | | 96,000 | 67,060 |
Series 2018-L1, Class A4
4.41%, 10/15/2051(7) | | 85,000 | 79,104 |
| Ready Capital Mtg. Financing LLC FRS | | | |
Series 2021-FL7, Class A
6.63%, (TSFR3M+1.31%), 11/25/2036* | | 66,866 | 66,016 |
| Shelter Growth CRE Issuer, Ltd. FRS | | | |
Series 2021-FL3, Class A
6.53%, (TSFR1M+1.19%), 09/15/2036* | | 97,079 | 95,848 |
| Verus Securitization Trust VRS | | | |
Series 2020-INV1, Class A1
1.98%, 03/25/2060*(7) | | 7,579 | 7,414 |
| Wells Fargo Commercial Mtg. Trust | | | |
Series 2016-BNK1, Class AS
2.81%, 08/15/2049 | | 83,000 | 73,151 |
Series 2017-C39, Class B
4.03%, 09/15/2050 | | 39,000 | 33,523 |
Series 2019-C50, Class B
4.19%, 05/15/2052 | | 50,000 | 42,384 |
Series 2019-C49, Class B
4.55%, 03/15/2052 | | 47,000 | 39,125 |
| Wells Fargo Commercial Mtg. Trust VRS | | | |
Series 2015-LC20, Class C
4.06%, 04/15/2050(7) | | 59,000 | 53,795 |
Series 2020-C57, Class C
4.16%, 08/15/2053(7) | | 44,000 | 34,561 |
| WF-RBS Commercial Mtg. Trust VRS | | | |
Series 2013-C11, Class B
3.71%, 03/15/2045(7) | | 37,712 | 32,706 |
Series 2013-C18, Class AS
4.39%, 12/15/2046(7) | | 67,000 | 66,309 |
Series 2012-C10, Class C
4.48%, 12/15/2045(7) | | 18,000 | 12,330 |
Series 2014-C19, Class B
4.72%, 03/15/2047(7) | | 86,000 | 80,124 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Commercial and Residential (continued) |
Series 2012-C9, Class D
4.88%, 11/15/2045*(7) | | $ 9,646 | $ 9,172 |
Series 2011-C3, Class D
6.05%, 03/15/2044*(7) | | 8,560 | 2,589 |
| | | | 3,515,698 |
| U.S. Government Agency — 0.5% |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk Debt Notes FRS | | | |
Series 2021-DNA2, Class M2
7.61%, (SOFR30A+2.30%), 08/25/2033* | | 67,159 | 67,682 |
| Federal Home Loan Mtg. Corp. Structured Agency Credit Risk REMIC Trust FRS | | | |
Series 2021-DNA6, Class M1
6.11%, (SOFR30A+0.80%), 10/25/2041* | | 15,806 | 15,777 |
Series 2022-DNA2, Class M1A
6.61%, (SOFR30A+1.30%), 02/25/2042* | | 62,146 | 61,988 |
Series 2022-DNA1, Class M1B
7.16%, (SOFR30A+1.85%), 01/25/2042* | | 21,000 | 20,711 |
Series 2022-DNA3, Class M1A
7.31%, (TSFR3M+2.00%), 04/25/2042* | | 13,930 | 14,029 |
Series 2020-DNA6, Class M2
7.31%, (TSFR1M+2.00%), 12/25/2050* | | 73,511 | 74,072 |
Series 2022-DNA4, Class M1A
7.51%, (SOFR30A+2.20%), 05/25/2042* | | 38,991 | 39,402 |
Series 2022-DNA5, Class M1A
8.26%, (TSFR1M+2.95%), 06/25/2042* | | 99,524 | 102,090 |
| Federal Home Loan Mtg. Corp., REMIC FRS | | | |
| 3.58%, (-3.00*SOFR30A+19.52%), 03/15/2035(10) | | 9,060 | 8,796 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities FRS | | | |
Series 2021-R01, Class 1M1
6.06%, (TSFR1M+0.75%), 10/25/2041* | | 1,141 | 1,137 |
Series 2021-R02, Class 2M1
6.21%, (SOFR30A+0.90%), 11/25/2041* | | 4,826 | 4,790 |
Series 2017-C07, Class 1EB2
6.43%, (SOFR30A+1.11%), 05/25/2030 | | 5,862 | 5,854 |
Series 2022-R03, Class 1M1
7.41%, (SOFR30A+2.1%), 03/25/2042* | | 33,332 | 33,722 |
Series 2019-R03, Class 1M2
7.58%, (SOFR30A+2.26%), 09/25/2031* | | 25 | 25 |
Series 2019-HRP1, Class M2
7.58%, (SOFR30A+2.26%), 11/25/2039* | | 5,370 | 5,370 |
Series 2022-R09, Class 2M1
7.81%, (SOFR30A+2.50%), 09/25/2042* | | 8,093 | 8,185 |
Series 2018-R07, Class 1M2
7.83%, (SOFR30A+2.51%), 04/25/2031* | | 3,087 | 3,089 |
Series 2022-R08, Class 1M1
7.86%, (TSFR1M+2.55%), 07/25/2042* | | 13,281 | 13,525 |
Series 2019-R01, Class 2M2
7.88%, (SOFR30A+2.56%), 07/25/2031* | | 6,283 | 6,307 |
Series 2014-C02, Class 2M2
8.03%, (SOFR30A+2.71%), 05/25/2024 | | 10,103 | 10,178 |
Series 2022-R06, Class 1M1
8.06%, (TSFR1M+2.75%), 05/25/2042* | | 21,347 | 21,881 |
Series 2017-C01, Class 1M2
8.98%, (SOFR30A+3.66%), 07/25/2029 | | 86,868 | 89,904 |
Series 2017-C02, Class 2M2C
9.08%, (SOFR30A+3.76%), 09/25/2029 | | 16,000 | 16,765 |
Series 2016-C04, Class 1M2
9.68%, (SOFR30A+4.36%), 01/25/2029 | | 82,155 | 85,846 |
Series 2016-C07, Class 2M2
9.78%, (SOFR30A+4.46%), 05/25/2029 | | 60,633 | 63,832 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COLLATERALIZED MORTGAGE OBLIGATIONS (continued) |
| U.S. Government Agency (continued) |
Series 2016-C05, Class 2M2
9.88%, (SOFR30A+4.56%), 01/25/2029 | | $ 78,801 | $ 82,488 |
Series 2013-C01, Class M2
10.68%, (SOFR30A+5.36%), 10/25/2023 | | 2,145 | 2,160 |
Series 2016-C03, Class 1M2
10.73%, (SOFR30A+5.41%), 10/25/2028 | | 2,838 | 2,998 |
Series 2015-C04, Class 2M2
10.98%, (SOFR30A+5.66%), 04/25/2028 | | 2,982 | 3,098 |
Series 2015-C04, Class 1M2
11.13%, (SOFR30A+5.81%), 04/25/2028 | | 13,192 | 14,076 |
Series 2016-C02, Class 1M2
11.43%, (SOFR30A+6.11%), 09/25/2028 | | 31,308 | 32,873 |
Series 2016-C01, Class 1M2
12.18%, (SOFR30A+6.86%), 08/25/2028 | | 7,537 | 8,044 |
Series 2016-C01, Class 2M2
12.38%, (SOFR30A+7.06%), 08/25/2028 | | 13,023 | 13,672 |
| Federal National Mtg. Assoc. Connecticut Avenue Securities Trust FRS | | | |
Series 2022-R01, Class 1M1
6.31%, (SOFR30A+1.00%), 12/25/2041* | | 5,055 | 5,025 |
Series 2020-R01, Class 1M2
7.48%, (SOFR30A+2.16%), 01/25/2040* | | 5,265 | 5,281 |
| | | | 944,672 |
Total Collateralized Mortgage Obligations
(cost $4,963,351) | | | 4,460,370 |
| U.S. GOVERNMENT & AGENCY OBLIGATIONS — 6.3% |
| U.S. Government — 1.9% |
| United States Treasury Bonds | | | |
| 1.88%, 02/15/2051 | | 490,000 | 274,630 |
| 2.75%, 08/15/2042(11) | | 1,790,000 | 1,312,294 |
| 3.00%, 02/15/2049 | | 170,000 | 124,266 |
| United States Treasury Notes | | | |
| 1.13%, 02/28/2025 | | 90,000 | 84,951 |
| 1.50%, 02/15/2030 | | 260,000 | 215,516 |
| 1.63%, 02/15/2026 to 05/15/2031 | | 1,160,000 | 1,056,485 |
| 1.75%, 12/31/2024 | | 300,000 | 287,039 |
| 2.75%, 08/15/2032 | | 50,000 | 43,297 |
| | | | 3,398,478 |
| U.S. Government Agency — 4.4% |
| Federal Home Loan Mtg. Corp. | | | |
| 5.50%, 06/01/2035 | | 1,143 | 1,138 |
| 7.50%, 10/01/2029 | | 888 | 897 |
| Federal National Mtg. Assoc. | | | |
| 3.00%, 09/01/2046 to 10/01/2046 | | 232,988 | 196,470 |
| 3.50%, 01/01/2047 | | 19,501 | 17,071 |
| 4.00%, 04/01/2049 | | 144,721 | 131,068 |
| 6.00%, 06/01/2036 | | 355 | 352 |
| 6.50%, 06/01/2036 to 11/01/2036 | | 26,517 | 26,855 |
| 7.00%, 06/01/2033 to 04/01/2035 | | 3,344 | 3,403 |
| 7.50%, 04/01/2024 | | 77 | 76 |
| Government National Mtg. Assoc. | | | |
| 3.00%, October 30 TBA | | 1,000,000 | 847,422 |
| 3.50%, October 30 TBA | | 1,000,000 | 875,859 |
| 4.00%, October 30 TBA | | 1,000,000 | 900,898 |
| 6.50%, 08/20/2037 to 09/20/2037 | | 6,537 | 6,899 |
| Uniform Mtg. Backed Securities | | | |
| 2.00%, October 30 TBA | | 1,000,000 | 760,547 |
| 2.50%, October 30 TBA | | 3,000,000 | 2,380,893 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| U.S. Government Agency (continued) |
| 3.00%, October 30 TBA | | $1,000,000 | $ 826,758 |
| 3.50%, October 30 TBA | | 1,000,000 | 859,922 |
| | | | 7,836,528 |
Total U.S. Government & Agency Obligations
(cost $12,231,036) | | | 11,235,006 |
| MUNICIPAL SECURITIES — 0.0% |
North Texas Tollway Authority
Revenue Bonds | | | |
| 6.72%, 01/01/2049 | | 25,000 | 28,150 |
Ohio State University
Revenue Bonds | | | |
| 4.91%, 06/01/2040 | | 15,000 | 13,811 |
State of California
General Obligation Bonds | | | |
| 7.50%, 04/01/2034 | | 30,000 | 34,606 |
Total Municipal Securities
(cost $70,141) | | | 76,567 |
| UNAFFILIATED INVESTMENT COMPANIES — 0.3% |
| SPDR S&P 500 Trust ETF | | 1,081 | 462,106 |
| SPDR S&P MidCap 400 Trust ETF | | 137 | 62,559 |
Total Unaffiliated Investment Companies
(cost $524,684) | | | 524,665 |
| ESCROWS AND LITIGATION TRUSTS — 0.0% |
Seventy Seven Energy, Inc.
6.63%, 11/15/2019(1) | | 20,000 | 2 |
Vistra Energy Corp. CVR
†(12) | | 1,362 | 1,587 |
Total Escrows and Litigation Trusts
(cost $4) | | | 1,589 |
| PURCHASED OPTIONS† — 0.4% |
| Purchased Options - Puts — 0.4% |
| Over the Counter put option on the S&P 500 Index (Expiration Date: 06/21/2024; Strike Price: $4,500.00; Counterparty: Citibank, N.A.) | | 1,262 | 336,311 |
| Over the Counter put option on the S&P 500 Index (Expiration Date: 12/20/2024; Strike Price: $4,500.00; Counterparty: Citibank, N.A.) | | 1,262 | 402,895 |
Total Purchased Options
(cost $513,760) | | | 739,206 |
| WARRANTS — 0.1% |
| Commercial Services — 0.1% |
UBS AG - Centre Testing International Group Co., Ltd.
Expires 03/04/2024† | | 19,535 | 49,961 |
| Electronics — 0.0% |
UBS AG - Shenzhen Inovance Technology Co., Ltd.
Expires 10/27/2023† | | 1,999 | 18,197 |
| Healthcare-Products — 0.0% |
UBS AG - Shenzhen Mindray Bio-Medical Electronics Co., Ltd.
Expires 02/09/2024† | | 650 | 24,011 |
Total Warrants
(cost $115,985) | | | 92,169 |
Total Long-Term Investment Securities
(cost $158,012,684) | | | 175,034,128 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | | Value |
| SHORT-TERM INVESTMENTS — 3.3% |
| Commercial Paper — 0.9% |
Lloyds Bank PLC
5.53%, 12/11/2023 | | $ 250,000 | | $ 247,202 |
Manhattan Asset Funding Co. LLC
5.35%, 10/11/2023 | | 650,000 | | 648,842 |
Sheffield Receivable
5.40%, 10/23/2023 | | 250,000 | | 249,098 |
Swedbank AB
5.42%, 10/17/2023 | | 250,000 | | 249,342 |
Victory Receivables
5.45%, 10/13/2023 | | 250,000 | | 249,478 |
| | | | | 1,643,962 |
| U.S. Government Agency — 2.4% |
| Federal Home Loan Bank | | | | |
| 5.20%, 10/02/2023 | | 4,303,000 | | 4,303,000 |
Total Short-Term Investments
(cost $5,946,804) | | | | 5,946,962 |
| REPURCHASE AGREEMENTS — 2.8% |
Agreement with Bank of America Securities LLC, bearing interest at 5.29% dated 09/29/2023, to be repurchased 10/02/2023 in the amount of $5,002,204 and collateralized by $6,446,000 of United States Treasury Notes, bearing interest at 3.13% due 02/15/2042 and having an approximate value of $5,073,663
(cost $5,000,000) | | 5,000,000 | | 5,000,000 |
TOTAL INVESTMENTS
(cost $168,959,488)(13) | | 104.4% | | 185,981,090 |
| Other assets less liabilities | | (4.4) | | (7,877,783) |
| NET ASSETS | | 100.0% | | $178,103,307 |
| † | 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 SA Putnam Asset Allocation Diversified Growth Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $8,220,994 representing 4.6% of net assets. |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | Perpetual maturity - maturity date reflects the next call date. |
| (3) | 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. |
| (4) | All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated. |
| (5) | The SA Putnam Asset Allocation Diversified Growth Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offer Rate ("LIBOR") or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. The rates shown are the current rates as of September 30, 2023. Senior loans are generally considered to be restrictive in that the SA Putnam Asset Allocation Diversified Growth Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
| (6) | Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
| (7) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
| (8) | Interest Only |
| (9) | "Step-up" security where the rate increases ("steps-up") at a predetermined rate. The rate reflected is as of September 30, 2023. |
| (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 September 30, 2023. |
| (11) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
| (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 September 30, 2023, the Portfolio held the following restricted securities: |
| Description | | Acquisition
Date | | Shares or
Principal
Amount | | Acquisition
Cost | | Value | | Value
Per Share | | % of
Net Assets |
| Escrows and Litigation Trusts |
| Vistra Energy Corp. CVR | | 10/06/2016 | | 1,362 | | $0 | | $1,587 | | $1.17 | | 0.0% |
| (13) | See Note 4 for cost of investments on a tax basis. |
| 1 ML—1 Month USD LIBOR |
| 3 ML—3 Month USD LIBOR |
| 6 ML—6 Month USD LIBOR |
| ADR—American Depositary Receipt |
| BTL—Bank Term Loan |
| CVR—Contingent Value Rights |
| ETF—Exchange Traded Fund |
| FRS—Floating Rate Security |
| LSE—London Stock Exchange |
| REMIC—Real Estate Mortgage Investment Conduit |
| SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
| 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. |
| TSFR1M—Term Secured Overnight Financing Rate 1 Month |
| TSFR3M—Term Secured Overnight Financing Rate 3 Month |
| TSFR6M—Term Secured Overnight Financing Rate 6 Month |
| VRS—Variable Rate Security |
The rates shown on FRS and/or VRS are the current interest rates at September 30, 2023 and unless noted otherwise, the dates shown are the original maturity dates.
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Equity Swaps |
| Counterparty | Pay/
Recieve | Underlying
Reference | Financing
Rate | Payment
Frequency | Maturity
Date | Notional
Amount | Premiums
Paid/
(Received) | | Unrealized
Appreciation/
(Depreciation) | | Value |
| Bank of America, N.A. | Pay | Alinma Bank AB | 1-Month SOFR + 1.000% | Monthly | 06/23/2025 | $105,678 | $— | | $(1,014) | | $(1,014) |
| SOFR—Secured Overnight Financing Rate |
| Written Options on Securities |
| Counterparty (OTC)/Exchange-Traded | Name of Issuer | Strike
price | Expiration
date | Number of
contracts | Notional
amount | Premiums | | Value | | Unrealized
Appreciation
(Depreciation) |
| Puts | | | | | | | | | | |
| Citibank, N.A. | Put option on the S&P 500 Index | 3,500.00 | 12/20/2024 | (1,262) | $1,262 | $92,442 | | $113,646 | | $(21,204) |
Futures Contracts
Number
of
Contracts | Type | Description | Expiration
Month | Notional
Basis* | Notional
Value* | Unrealized
Appreciation |
| 10 | Short | S&P 500 E-Mini Index | December 2023 | $2,255,594 | $2,162,750 | $92,844 |
| | | | | | | Unrealized
(Depreciation) |
| 3 | Long | U.S. Treasury 10 Year Notes | December 2023 | $ 325,078 | $ 324,188 | $ (890) |
| 11 | Long | U.S. Treasury 2 Year Notes | December 2023 | 2,238,609 | 2,229,820 | (8,789) |
| 16 | Long | U.S. Treasury 5 Year Notes | December 2023 | 1,699,930 | 1,685,750 | (14,180) |
| 3 | Long | U.S. Treasury Ultra Bonds | December 2023 | 382,617 | 356,062 | (26,555) |
| | | | | | | $(50,414) |
| | | Net Unrealized Appreciation (Depreciation) | | $ 42,430 |
| * | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
| Forward Foreign Currency Contracts |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| Bank of America, N.A. | USD | 477,744 | TWD | 15,032,700 | 11/15/2023 | $ — | | $ (9,381) |
| Citibank, N.A. | DKK | 632,700 | USD | 91,638 | 12/20/2023 | 1,545 | | — |
| | USD | 317,001 | HKD | 2,480,000 | 11/15/2023 | — | | (6) |
| | | | | | | 1,545 | | (6) |
| Goldman Sachs International | ILS | 1,738,000 | USD | 471,924 | 10/18/2023 | 15,943 | | — |
| | USD | 874,841 | CNH | 6,240,500 | 11/15/2023 | — | | (18,662) |
| | | | | | | 15,943 | | (18,662) |
| HSBC Bank PLC | EUR | 68,900 | USD | 74,163 | 12/20/2023 | 1,052 | | — |
| | USD | 82,309 | JPY | 11,588,600 | 11/15/2023 | — | | (4,229) |
| | USD | 232,679 | SEK | 2,570,500 | 12/20/2023 | 3,512 | | — |
| | | | | | | 4,564 | | (4,229) |
| JPMorgan Chase Bank, N.A. | NOK | 450,600 | USD | 42,184 | 12/20/2023 | — | | (33) |
| | SGD | 310,500 | USD | 232,592 | 11/15/2023 | 5,019 | | — |
| | USD | 80,232 | GBP | 64,400 | 12/20/2023 | — | | (1,615) |
| | USD | 513,520 | JPY | 72,260,000 | 11/15/2023 | — | | (26,652) |
| | USD | 495,636 | KRW | 641,501,100 | 11/15/2023 | — | | (20,317) |
| | | | | | | 5,019 | | (48,617) |
| State Street Bank & Trust Company | EUR | 451,300 | USD | 487,053 | 12/20/2023 | 8,167 | | — |
| | USD | 84,578 | AUD | 127,100 | 10/18/2023 | — | | (2,819) |
| | USD | 459,434 | CHF | 404,300 | 12/20/2023 | — | | (13,875) |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Forward Foreign Currency Contracts — (continued) |
| Counterparty | Contract to
Deliver | In
Exchange For | Delivery
Date | Unrealized
Appreciation | | Unrealized
(Depreciation) |
| | USD | 360,311 | CNY | 2,569,700 | 11/15/2023 | $ — | | $ (3,440) |
| | USD | 327,171 | SGD | 444,700 | 11/15/2023 | — | | (1,239) |
| | | | | | | 8,167 | | (21,373) |
| Toronto Dominion Bank | HKD | 598,900 | USD | 76,857 | 11/15/2023 | 305 | | — |
| | USD | 318,635 | EUR | 296,900 | 12/20/2023 | — | | (3,586) |
| | | | | | | 305 | | (3,586) |
| UBS AG | USD | 253,729 | ILS | 915,000 | 10/18/2023 | — | | (13,670) |
| Unrealized Appreciation (Depreciation) | | | | | | $ 35,543 | | $ (119,524) |
| AUD—Australian Dollar |
| CHF—Swiss Franc |
| CNH—Yuan Renminbi Offshore |
| CNY—Chinese Yuan |
| DKK—Danish Krone |
| EUR—Euro Currency |
| GBP—British Pound |
| HKD—Hong Kong Dollar |
| ILS—Israeli New Sheqel |
| JPY—Japanese Yen |
| KRW—South Korean Won |
| NOK—Norwegian Krone |
| SEK—Swedish Krona |
| SGD—Singapore Dollar |
| TWD—New Taiwan Dollar |
| USD—United States Dollar |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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: | | | | | | | |
| Auto Manufacturers | $ 2,969,872 | | $ 86,970 | | $ — | | $ 3,056,842 |
| Banks | 8,241,096 | | 508,003 | | — | | 8,749,099 |
| Chemicals | 1,621,611 | | 42,503 | | — | | 1,664,114 |
| Commercial Services | 3,626,725 | | 54,134 | | — | | 3,680,859 |
| Computers | 8,797,242 | | 39,630 | | — | | 8,836,872 |
| Electronics | 1,325,095 | | 100,351 | | — | | 1,425,446 |
| Miscellaneous Manufacturing | 619,463 | | 40,084 | | — | | 659,547 |
| Pharmaceuticals | 9,839,145 | | — | | 854 | | 9,839,999 |
| Semiconductors | 7,061,587 | | 1,008,655 | | — | | 8,070,242 |
| Telecommunications | 2,677,543 | | 188,722 | | — | | 2,866,265 |
| Other Industries | 94,460,212 | | — | | — | | 94,460,212 |
| Convertible Preferred Stocks | 20,607 | | — | | — | | 20,607 |
| Corporate Bonds & Notes | — | | 13,930,966 | | — | | 13,930,966 |
| Convertible Bonds & Notes | — | | 27,725 | | — | | 27,725 |
| Loans | — | | 491,330 | | — | | 491,330 |
| Asset Backed Securities | — | | 124,431 | | — | | 124,431 |
| Collateralized Mortgage Obligations | — | | 4,460,370 | | — | | 4,460,370 |
| U.S. Government & Agency Obligations | — | | 11,235,006 | | — | | 11,235,006 |
| Municipal Securities | — | | 76,567 | | — | | 76,567 |
| Unaffiliated Investment Companies | 524,665 | | — | | — | | 524,665 |
| Escrows and Litigation Trusts | — | | 1,587 | | 2 | | 1,589 |
| Purchased Options | — | | 739,206 | | — | | 739,206 |
| Warrants | — | | 92,169 | | — | | 92,169 |
| Short-Term Investments | — | | 5,946,962 | | — | | 5,946,962 |
| Repurchase Agreements | — | | 5,000,000 | | — | | 5,000,000 |
| Total Investments at Value | $141,784,863 | | $44,195,371 | | $856 | | $185,981,090 |
| Other Financial Instruments:† | | | | | | | |
| Futures Contracts | $ 92,844 | | $ — | | $ — | | $ 92,844 |
| Forward Foreign Currency Contracts | — | | 35,543 | | — | | 35,543 |
| Total Other Financial Instruments | $ 92,844 | | $ 35,543 | | $ — | | $ 128,387 |
Seasons Series Trust SA Putnam Asset Allocation Diversified Growth Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| | Level 1 - Unadjusted
Quoted Prices | | Level 2 - Other
Observable Inputs | | Level 3 - Significant
Unobservable Inputs | | Total |
| ASSETS: | | | | | | | |
| LIABILITIES: | | | | | | | |
| Other Financial Instruments:† | | | | | | | |
| Swaps | $ — | | $ 1,014 | | $ — | | $ 1,014 |
| Futures Contracts | 50,414 | | — | | — | | 50,414 |
| Forward Foreign Currency Contracts | — | | 119,524 | | — | | 119,524 |
| Written Options | — | | 21,204 | | — | | 21,204 |
| Total Other Financial Instruments | $ 50,414 | | $ 141,742 | | $ — | | $ 192,156 |
| * | 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
PORTFOLIO PROFILE — September 30, 2023— (unaudited)
| Industry Allocation* | |
| Internet | 23.4% |
| Software | 21.9 |
| Computers | 10.2 |
| Semiconductors | 8.7 |
| Diversified Financial Services | 5.8 |
| Pharmaceuticals | 4.6 |
| Auto Manufacturers | 3.8 |
| Healthcare-Services | 3.7 |
| Healthcare-Products | 2.9 |
| Retail | 1.8 |
| Biotechnology | 1.5 |
| Miscellaneous Manufacturing | 1.2 |
| Insurance | 1.0 |
| Telecommunications | 0.9 |
| Short-Term Investments | 0.8 |
| Oil & Gas Services | 0.8 |
| Cosmetics/Personal Care | 0.8 |
| Beverages | 0.7 |
| Commercial Services | 0.7 |
| Chemicals | 0.6 |
| Electronics | 0.5 |
| Automotive - Cars & Lt. Trucks | 0.5 |
| Entertainment Software | 0.5 |
| Aerospace/Defense | 0.5 |
| Lodging | 0.4 |
| Advertising | 0.4 |
| Transportation | 0.4 |
| E-Commerce/Services | 0.2 |
| Recycling | 0.2 |
| Industrial Automation/Robotics | 0.2 |
| Computer Graphics | 0.1 |
| Auto Parts & Equipment | 0.1 |
| Applications Software | 0.1 |
| Electrical Components & Equipment | 0.1 |
| Computer Software | 0.1 |
| | 100.1% |
| * | Calculated as a percentage of net assets |
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS — 97.9% |
| Advertising — 0.4% |
| Trade Desk, Inc., Class A† | | 13,529 | $ 1,057,291 |
| Aerospace/Defense — 0.5% |
| Airbus SE | | 8,906 | 1,195,627 |
| Applications Software — 0.1% |
| Stripe, Inc., Class B†(1)(2) | | 10,760 | 235,752 |
| Auto Manufacturers — 3.8% |
| Dr. Ing. h.c. F. Porsche AG (Preference Shares)* | | 8,670 | 815,806 |
| Ferrari NV | | 5,251 | 1,551,881 |
| Rivian Automotive, Inc., Class A† | | 145,575 | 3,534,561 |
| Tesla, Inc.† | | 14,128 | 3,535,108 |
| | | | 9,437,356 |
| Auto Parts & Equipment — 0.1% |
| Aurora Innovation, Inc.† | | 102,511 | 240,901 |
| Beverages — 0.7% |
| Constellation Brands, Inc., Class A | | 7,272 | 1,827,672 |
| Biotechnology — 1.5% |
| Argenx SE ADR† | | 3,193 | 1,569,775 |
| Legend Biotech Corp. ADR† | | 9,659 | 648,795 |
| Vertex Pharmaceuticals, Inc.† | | 4,388 | 1,525,883 |
| | | | 3,744,453 |
| Chemicals — 0.6% |
| Linde PLC | | 4,214 | 1,569,083 |
| Commercial Services — 0.7% |
| Cintas Corp. | | 1,329 | 639,262 |
| TransUnion | | 15,302 | 1,098,531 |
| | | | 1,737,793 |
| Computer Graphics — 0.1% |
| Canva, Inc.†(1)(2) | | 215 | 229,332 |
| Computers — 10.2% |
| Accenture PLC, Class A | | 5,982 | 1,837,132 |
| Apple, Inc. | | 136,641 | 23,394,306 |
| | | | 25,231,438 |
| Cosmetics/Personal Care — 0.8% |
| Estee Lauder Cos., Inc., Class A | | 5,872 | 848,798 |
| Procter & Gamble Co. | | 7,111 | 1,037,210 |
| | | | 1,886,008 |
| Diversified Financial Services — 5.6% |
| Charles Schwab Corp. | | 16,365 | 898,439 |
| Mastercard, Inc., Class A | | 15,069 | 5,965,968 |
| Visa, Inc., Class A | | 30,426 | 6,998,284 |
| | | | 13,862,691 |
| E-Commerce/Services — 0.1% |
| Maplebear, Inc. Lockup Shares†(2) | | 11,277 | 334,814 |
| Electronics — 0.5% |
| Amphenol Corp., Class A | | 300 | 25,197 |
| Sartorius AG (Preference Shares) | | 3,865 | 1,314,962 |
| | | | 1,340,159 |
| Entertainment Software — 0.5% |
| Epic Games, Inc.†(1)(2) | | 1,787 | 1,223,076 |
| Healthcare-Products — 2.9% |
| Avantor, Inc.† | | 40,376 | 851,126 |
| Danaher Corp. | | 4,819 | 1,195,594 |
| Security Description | | Shares or
Principal
Amount | Value |
|
| Healthcare-Products (continued) |
| Intuitive Surgical, Inc.† | | 9,888 | $ 2,890,164 |
| Stryker Corp. | | 2,423 | 662,133 |
| Thermo Fisher Scientific, Inc. | | 3,000 | 1,518,510 |
| | | | 7,117,527 |
| Healthcare-Services — 3.7% |
| Humana, Inc. | | 5,197 | 2,528,444 |
| UnitedHealth Group, Inc. | | 13,213 | 6,661,863 |
| | | | 9,190,307 |
| Insurance — 1.0% |
| Chubb, Ltd. | | 11,516 | 2,397,401 |
| Internet — 23.4% |
| Alphabet, Inc., Class A† | | 120,382 | 15,753,189 |
| Alphabet, Inc., Class C† | | 28,698 | 3,783,831 |
| Amazon.com, Inc.† | | 145,745 | 18,527,104 |
| Booking Holdings, Inc.† | | 310 | 956,025 |
| Coupang, Inc.† | | 78,372 | 1,332,324 |
| Maplebear, Inc.† | | 3,338 | 99,105 |
| Match Group, Inc.† | | 22,417 | 878,186 |
| Meta Platforms, Inc., Class A† | | 30,736 | 9,227,255 |
| Netflix, Inc.† | | 7,976 | 3,011,738 |
| Pinterest, Inc., Class A† | | 52,973 | 1,431,860 |
| Shopify, Inc., Class A† | | 21,728 | 1,185,697 |
| Spotify Technology SA† | | 11,957 | 1,849,030 |
| | | | 58,035,344 |
| Lodging — 0.4% |
| Las Vegas Sands Corp. | | 23,897 | 1,095,438 |
| Miscellaneous Manufacturing — 1.2% |
| Teledyne Technologies, Inc.† | | 7,016 | 2,866,597 |
| Oil & Gas Services — 0.8% |
| Schlumberger NV | | 34,500 | 2,011,350 |
| Pharmaceuticals — 4.6% |
| Cigna Group | | 8,303 | 2,375,239 |
| Eli Lilly & Co. | | 13,117 | 7,045,534 |
| McKesson Corp. | | 2,055 | 893,617 |
| Zoetis, Inc. | | 5,619 | 977,594 |
| | | | 11,291,984 |
| Retail — 1.8% |
| Chipotle Mexican Grill, Inc.† | | 964 | 1,765,884 |
| Floor & Decor Holdings, Inc., Class A† | | 6,338 | 573,589 |
| Lululemon Athletica, Inc.† | | 1,455 | 561,062 |
| Ross Stores, Inc. | | 14,103 | 1,592,934 |
| | | | 4,493,469 |
| Semiconductors — 8.7% |
| Advanced Micro Devices, Inc.† | | 15,329 | 1,576,128 |
| ASML Holding NV | | 4,724 | 2,780,830 |
| Lam Research Corp. | | 2,285 | 1,432,169 |
| Marvell Technology, Inc. | | 13,586 | 735,410 |
| NVIDIA Corp. | | 34,518 | 15,014,985 |
| | | | 21,539,522 |
| Software — 21.9% |
| Adobe, Inc.† | | 4,200 | 2,141,580 |
| Atlassian Corp., Class A† | | 3,093 | 623,270 |
| Ceridian HCM Holding, Inc.† | | 10,126 | 687,049 |
| Dynatrace, Inc.† | | 27,996 | 1,308,253 |
| Fiserv, Inc.† | | 29,970 | 3,385,411 |
| Intuit, Inc. | | 8,708 | 4,449,266 |
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Security Description | | Shares or
Principal
Amount | Value |
| COMMON STOCKS (continued) |
| Software (continued) |
| Klaviyo, Inc., Class A† | | 3,198 | $ 110,331 |
| Magic Leap, Inc., Class A†(1)(2) | | 2,188 | 24,158 |
| Microsoft Corp. | | 99,443 | 31,399,127 |
| MongoDB, Inc.† | | 1,505 | 520,519 |
| Roper Technologies, Inc. | | 5,592 | 2,708,094 |
| Salesforce, Inc.† | | 13,188 | 2,674,263 |
| ServiceNow, Inc.† | | 6,464 | 3,613,117 |
| Snowflake, Inc., Class A† | | 3,898 | 595,498 |
| | | | 54,239,936 |
| Telecommunications — 0.9% |
| T-Mobile US, Inc.† | | 16,689 | 2,337,294 |
| Transportation — 0.4% |
| Old Dominion Freight Line, Inc. | | 2,538 | 1,038,397 |
Total Common Stocks
(cost $186,949,700) | | | 242,808,012 |
| CONVERTIBLE PREFERRED STOCKS — 1.2% |
| Automotive - Cars & Lt. Trucks — 0.5% |
GM Cruise Holdings LLC
Class F†(1)(2) | | 33,800 | 608,400 |
GM Cruise Holdings LLC
Series G†(1)(2) | | 17,766 | 346,615 |
Waymo LLC
Series A-2†(1)(2) | | 4,915 | 274,331 |
| | | | 1,229,346 |
| Computer Graphics — 0.0% |
Canva, Inc.
Series A†(1)(2) | | 25 | 26,667 |
Canva, Inc.
Series A-3†(1)(2) | | 5 | 5,333 |
| | | | 32,000 |
| Computer Software — 0.1% |
Formagrid, Inc.
Series F†(1)(2) | | 2,702 | 177,278 |
| E-Commerce/Services — 0.1% |
| Rappi, Inc., Series E†(1)(2) | | 9,191 | 337,861 |
| Electrical Components & Equipment — 0.1% |
Sila Nanotechnologies, Inc.
Series F†(1)(2) | | 8,833 | 179,133 |
| Industrial Automation/Robotics — 0.2% |
| Nuro, Inc., Series C†(1)(2) | | 47,284 | 293,161 |
| Nuro, Inc., Series D†(1)(2) | | 10,245 | 63,519 |
| | | | 356,680 |
| Recycling — 0.2% |
Redwood Materials, Inc.
Series C†(1)(2) | | 9,878 | 471,535 |
| Software — 0.0% |
Celonis
Series D†(1)(2) | | 187 | 41,716 |
Total Convertible Preferred Stocks
(cost $4,346,118) | | | 2,825,549 |
| Security Description | | Shares or
Principal
Amount | | Value |
| ESCROWS AND LITIGATION TRUSTS — 0.2% |
Ant International Co., Ltd.
†(1)(2)
(cost $505,523) | | 505,523 | | $ 495,008 |
Total Long-Term Investment Securities
(cost $191,801,341) | | | | 246,128,569 |
| SHORT-TERM INVESTMENTS — 0.8% |
| Unaffiliated Investment Companies — 0.8% |
State Street Institutional U.S. Government Money Market Fund, Premier Class
5.29%(3) | | 500,000 | | 500,000 |
T. Rowe Price Government Reserve Fund
5.40%(3) | | 1,564,080 | | 1,564,079 |
Total Short-Term Investments
(cost $2,064,079) | | | | 2,064,079 |
TOTAL INVESTMENTS
(cost $193,865,420)(4) | | 100.1% | | 248,192,648 |
| Other assets less liabilities | | (0.1) | | (275,663) |
| NET ASSETS | | 100.0% | | $247,916,985 |
| † | 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 SA T. Rowe Price Growth Stock Portfolio has no right to demand registration of these securities. At September 30, 2023, the aggregate value of these securities was $815,806 representing 0.3% of net assets. |
| (1) | Securities classified as Level 3 (see Note 2). |
| (2) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2023, the Portfolio held the following restricted securities: |
| Description | | Acquisition
Date | | Shares or
Principal
Amount | | Acquisition
Cost | | Value | | Value
Per Share | | % of
Net Assets |
| Common Stocks |
| Canva, Inc. | | | | | | | | | | | | |
| | | 12/17/2021 | | 125 | | $213,020 | | | | | | |
| | | 12/22/2021 | | 90 | | 153,375 | | | | | | |
| | | | | 215 | | 366,395 | | $ 229,332 | | $1,066.66 | | 0.1% |
| Epic Games, Inc. | | | | | | | | | | | | |
| | | 06/18/2020 | | 1,331 | | 766,240 | | | | | | |
| | | 03/29/2021 | | 456 | | 403,874 | | | | | | |
| | | | | 1,787 | | 1,170,114 | | 1,223,076 | | 684.43 | | 0.5 |
| Magic Leap, Inc., Class A | | | | | | | | | | | | |
| | | 01/20/2016 | | 1,263 | | 614,197 | | | | | | |
| | | 10/12/2017 | | 925 | | 450,306 | | | | | | |
| | | | | 2,188 | | 1,064,503 | | 24,158 | | 11.04 | | 0.0 |
| Maplebear, Inc. Lockup Shares | | | | | | | | | | | | |
| | | 07/02/2020 | | 6,559 | | 315,435 | | | | | | |
| | | 08/07/2020 | | 3,378 | | 156,516 | | | | | | |
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
| Description | | Acquisition
Date | | Shares or
Principal
Amount | | Acquisition
Cost | | Value | | Value
Per Share | | % of
Net Assets |
| Common Stocks (continued) |
| | | 11/18/2020 | | 443 | | $27,028 | | | | | | |
| | | 02/26/2021 | | 897 | | 112,125 | | | | | | |
| | | | | 11,277 | | 611,104 | | $ 334,814 | | $ 29.69 | | 0.1% |
| Stripe, Inc., Class B | | 12/17/2019 | | 10,760 | | 168,824 | | 235,752 | | 21.91 | | 0.1 |
| Convertible Preferred Stocks |
Canva, Inc.
Series A | | 12/17/2021 | | 25 | | 42,604 | | 26,667 | | 1,066.66 | | 0.0 |
Canva, Inc.
Series A-3 | | 12/17/2021 | | 5 | | 8,521 | | 5,333 | | 1,066.66 | | 0.0 |
Celonis
Series D | | 10/04/2022 | | 187 | | 69,150 | | 41,716 | | 223.08 | | 0.0 |
Formagrid, Inc.
Series F | | 12/08/2021 | | 2,702 | | 506,043 | | 177,278 | | 65.61 | | 0.1 |
GM Cruise Holdings LLC
Class F | | 05/04/2019 | | 33,800 | | 616,850 | | 608,400 | | 18.00 | | 0.3 |
GM Cruise Holdings LLC
Series G | | 01/21/2021 | | 17,766 | | 468,134 | | 346,615 | | 19.51 | | 0.1 |
| Nuro, Inc., Series C | | | | | | | | | | | | |
| | | 10/30/2020 | | 31,464 | | 410,750 | | | | | | |
| | | 03/02/2021 | | 15,820 | | 206,524 | | | | | | |
| | | | | 47,284 | | 617,274 | | 293,161 | | 6.20 | | 0.1 |
| Nuro, Inc., Series D | | 10/29/2021 | | 10,245 | | 213,564 | | 63,519 | | 6.20 | | 0.1 |
| Description | | Acquisition
Date | | Shares or
Principal
Amount | | Acquisition
Cost | | Value | | Value
Per Share | | % of
Net Assets |
| Convertible Preferred Stocks (continued) |
| Rappi, Inc., Series E | | | | | | | | | | | | |
| | | 09/08/2020 | | 3,782 | | $225,960 | | | | | | |
| | | 09/24/2020 | | 5,409 | | 323,166 | | | | | | |
| | | | | 9,191 | | 549,126 | | $ 337,861 | | $ 36.76 | | 0.2% |
Redwood Materials, Inc.
Series C | | 05/28/2021 | | 9,878 | | 468,252 | | 471,535 | | 47.74 | | 0.2 |
Sila Nanotechnologies, Inc.
Series F | | 01/07/2021 | | 8,833 | | 364,563 | | 179,133 | | 20.28 | | 0.1 |
Waymo LLC
Series A-2 | | 05/08/2020 | | 4,915 | | 422,037 | | 274,331 | | 55.82 | | 0.1 |
| Escrows and Litigation Trusts |
| Ant International Co., Ltd. | | 08/14/2023 | | 505,523 | | 505,523 | | 495,008 | | 0.98 | | 0.2 |
| | | | | | | | | $5,367,689 | | | | 2.3%** |
| ** | Amount represents the total value of the restricted securities divided by the net assets of the Portfolio and may not equal the sum of the individual percentages shown due to rounding. |
| (3) | The rate shown is the 7-day yield as of September 30, 2023. |
| (4) | See Note 4 for cost of investments on a tax basis. |
| ADR—American Depositary Receipt |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2023 (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 | $ — | | $— | | $ 235,752 | | $ 235,752 |
| Computer Graphics | — | | — | | 229,332 | | 229,332 |
| Entertainment Software | — | | — | | 1,223,076 | | 1,223,076 |
| Software | 54,215,778 | | — | | 24,158 | | 54,239,936 |
| Other Industries | 186,879,916 | | — | | — | | 186,879,916 |
| Convertible Preferred Stocks | — | | — | | 2,825,549 | | 2,825,549 |
| Escrows and Litigation Trusts | — | | — | | 495,008 | | 495,008 |
| Short-Term Investments | 2,064,079 | | — | | — | | 2,064,079 |
| Total Investments at Value | $243,159,773 | | $— | | $5,032,875 | | $248,192,648 |
| * | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:
| | Common Stocks | | Convertible
Preferred Securities | | Escrows
and Litigation Trust |
| Balance as of March 31, 2023 | $ 2,464,045 | | $ 3,732,941 | | $ — |
| Accrued Discounts | — | | — | | — |
| Accrued Premiums | — | | — | | — |
| Realized Gain | — | | — | | — |
| Realized Loss | (675,500) | | — | | — |
| Change in unrealized appreciation(1) | 783,100 | | 64,780 | | — |
| Change in unrealized depreciation(1) | (36,858) | | (737,651) | | (10,515) |
| Net purchases | — | | — | | 505,523 |
| Net sales | (722,176) | | — | | — |
| Transfers into Level 3 | — | | — | | — |
| Transfers out of Level 3(2) | (100,293) | | (234,521) | | — |
| Balance as of September 30, 2023 | $ 1,712,318 | | $ 2,825,549 | | $ 495,008 |
| (1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2023 includes: |
| | Common Stocks | | Convertible
Preferred Securities | | Escrows
and Litigation Trust |
| | $117,683 | | $(615,129) | | $(10,515) |
Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2023.
| (2) | Private Common Stock and Convertible Preferred Securities were converted to Common Stock or Common Lock-up Shares following the Companies’ Direct or IPO listings. Securities are now valued using Level 1 inputs. |
Seasons Series Trust SA T. Rowe Price Growth Stock Portfolio
PORTFOLIO OF INVESTMENTS — September 30, 2023— (unaudited) — (continued)
The following is quantitative information about Level 3 fair value measurements:
| Description | Fair Value at
September 30, 2023 | Valuation
Technique(s) | Unobservable
Input (1) | Range
(weighted
average)# |
| Common Stocks | $229,332 | Market Approach | Transaction Price* | $1,066.6611 |
| | $235,752 | Market Approach | Transaction Price* | $20.13 |
| | | | Gross Profit Multiple* | 13.75x |
| | $1,223,076 | Market Approach | Weighted Average of Secondary Transactions* | $690.6500 |
| | | | Revenue Multiple* | 5.63x |
| | $24,158 | Market Approach & | Transaction Price* | $19.20 |
| | | Cost Approach | Tangible Book Value* | $0.00 |
| Convertible Preferred Securities | $503,535 | Market Approach | Transaction Price* | ($47.7359-$1,066.6611)$112.4890 |
| | $356,680 | Market Approach | Transaction Price* | $20.85 |
| | | | Adjustment to Last Capital Raise* | -70.0% |
| | $177,278 | Market Approach | Transaction Price* | $187.2845 |
| | | | Sales Multiple* | 5.8x |
| | | | Gross Profit Multiple* | 7.0x |
| | | | Discount for Lack of Marketability | 10.0% |
| | $337,861 | Market Approach | Transaction Price* | $64.4231 |
| | | | Sales Multiple* | 2.7x |
| | | | Gross Merchandise Volume Multiple* | 0.5x |
| | | | Gross Profit Multiple* | 11.25x |
| | | | Discount for Lack of Marketability | 10.0% |
| | $274,331 | Market Approach | Adjustment to Last Capital Raise* | -20.00% |
| | | | Sales Multiple* | 2.7x |
| | | | Volatility* | 80.00% |
| | | | Term (years)* | 5.00 |
| | | | Discount for Lack of Marketability | 10.00% |
| | $179,133 | Market Approach | Sales Multiple* | 1.4x |
| | | | Discount for Lack of Marketability | 10.0% |
| | $41,716 | Market Approach | Revenue Multiple* | 13.3x |
| | | | Gross Profit Multiple* | 16.9x |
| | $955,015 | Market Approach | Revenue Multiple* | 3.75x |
| | | | Sales Multiple* | 2.7x |
| | | | Volatility* | 85.00% |
| | | | Term (years) | 4.08 |
| | | | Discount for Lack of Marketability | 10.0% |
| Escrow and Litagation Trusts | $495,008 | Income Approach | Discount for Lack of Marketability | $0.0208 |
| (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
| | SA
Allocation
Balanced
Portfolio | | SA
Allocation
Growth
Portfolio | | SA
Allocation
Moderate
Growth
Portfolio | | SA
Allocation
Moderate
Portfolio | | SA
American
Century
Inflation
Protection
Portfolio |
| ASSETS: | | | | | | | | | |
Investments at value (unaffiliated)*
| $ — | | $ — | | $ — | | $ — | | $574,787,999 |
Investments at value (affiliated)*
| 225,188,046 | | 396,197,923 | | 445,091,196 | | 261,854,832 | | — |
Repurchase agreements (cost approximates value)
| — | | — | | — | | — | | — |
Cash
| — | | — | | — | | — | | 8 |
Foreign cash*
| — | | — | | — | | — | | — |
Due from broker
| — | | — | | — | | — | | 595,779 |
| Receivable for: | | | | | | | | | |
Fund shares sold
| 139,417 | | 943,196 | | 179,998 | | 87,249 | | 158,951 |
Dividends and interest
| — | | — | | — | | — | | 2,596,994 |
Investments sold
| — | | — | | 41,749 | | — | | 1,089 |
Receipts on swap contracts
| — | | — | | — | | — | | — |
Prepaid expenses and other assets
| 4,406 | | 4,424 | | 4,437 | | 4,412 | | 4,461 |
Due from investment adviser for expense reimbursements/fee waivers
| 1,891 | | 3,318 | | 3,748 | | 2,198 | | 28,961 |
Variation margin on futures contracts
| — | | — | | — | | — | | 156,344 |
Unrealized appreciation on forward foreign currency contracts
| — | | — | | — | | — | | 8,127 |
Swap premiums paid
| — | | — | | — | | — | | 6,757 |
Unrealized appreciation on swap contracts
| — | | — | | — | | — | | 450,304 |
Total assets
| 225,333,760 | | 397,148,861 | | 445,321,128 | | 261,948,691 | | 578,795,774 |
| LIABILITIES: | | | | | | | | | |
| Payable for: | | | | | | | | | |
Fund shares redeemed
| 51,974 | | 3,945 | | 221,747 | | 40,515 | | 849,831 |
Investments purchased
| 87,443 | | 939,251 | | — | | 46,734 | | — |
Payments on swap contracts
| — | | — | | — | | — | | — |
Investment advisory and management fees
| 18,914 | | 33,227 | | 37,468 | | 21,962 | | 285,961 |
Service fees—Class 2
| — | | — | | — | | — | | — |
Service fees—Class 3
| 47,271 | | 82,852 | | 93,605 | | 54,864 | | 76,036 |
Transfer agent fees and expenses
| 86 | | 85 | | 85 | | 86 | | 196 |
Trustees' fees and expenses
| 2,704 | | 4,270 | | 5,307 | | 3,120 | | 7,609 |
Other accrued expenses
| 68,833 | | 82,517 | | 88,607 | | 72,055 | | 153,300 |
Accrued foreign tax on capital gains
| — | | — | | — | | — | | — |
Variation margin on futures contracts
| — | | — | | — | | — | | — |
Due to custodian
| — | | — | | — | | — | | — |
Due to broker
| — | | — | | — | | — | | — |
Call and put options written, at value@
| — | | — | | — | | — | | — |
Unrealized depreciation on forward foreign currency contracts
| — | | — | | — | | — | | — |
Swap premiums received
| — | | — | | — | | — | | — |
Unrealized depreciation on swap contracts
| — | | — | | — | | — | | 1,492,551 |
Total liabilities
| 277,225 | | 1,146,147 | | 446,819 | | 239,336 | | 2,865,484 |
Net assets
| $225,056,535 | | $396,002,714 | | $444,874,309 | | $261,709,355 | | $575,930,290 |
* Cost | | | | | | | | | |
Investments (unaffiliated)
| $ — | | $ — | | $ — | | $ — | | $659,882,762 |
Investments (affiliated)
| $254,898,964 | | $440,813,895 | | $491,397,581 | | $292,601,472 | | $ — |
Foreign cash
| $ — | | $ — | | $ — | | $ — | | $ — |
@ Premiums received on options written
| $ — | | $ — | | $ — | | $ — | | $ — |
| See Notes to Financial Statements |
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | SA
Allocation
Balanced
Portfolio | | SA
Allocation
Growth
Portfolio | | SA
Allocation
Moderate
Growth
Portfolio | | SA
Allocation
Moderate
Portfolio | | SA
American
Century
Inflation
Protection
Portfolio |
| NET ASSETS REPRESENTED BY: | | | | | | | | | |
Paid in capital
| $246,307,079 | | $405,595,153 | | $453,163,496 | | $275,423,587 | | $663,885,853 |
Total accumulated earnings (loss)
| (21,250,544) | | (9,592,439) | | (8,289,187) | | (13,714,232) | | (87,955,563) |
Net assets
| $225,056,535 | | $396,002,714 | | $444,874,309 | | $261,709,355 | | $575,930,290 |
Class 1 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $ 68,170 | | $ 1,023,197 | | $ 314,522 | | $ 189,255 | | $212,880,512 |
Shares of beneficial interest issued and outstanding
| 7,682 | | 72,801 | | 32,673 | | 19,972 | | 24,431,415 |
Net asset value, offering and redemption price per share
| $ 8.87 | | $ 14.05 | | $ 9.63 | | $ 9.48 | | $ 8.71 |
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
| $224,988,365 | | $394,979,517 | | $444,559,787 | | $261,520,100 | | $363,049,778 |
Shares of beneficial interest issued and outstanding
| 25,367,371 | | 28,332,523 | | 46,395,360 | | 27,732,642 | | 42,196,142 |
Net asset value, offering and redemption price per share
| $ 8.87 | | $ 13.94 | | $ 9.58 | | $ 9.43 | | $ 8.60 |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | SA Columbia
Focused
Value
Portfolio | | SA Multi-
Managed
Diversified
Fixed
Income
Portfolio | | SA Multi-
Managed
Growth
Portfolio | | SA Multi-
Managed
Income
Portfolio | | SA Multi-
Managed
Income/
Equity
Portfolio |
| ASSETS: | | | | | | | | | |
Investments at value (unaffiliated)*
| $285,441,969 | | $816,095,450 | | $34,305,576 | | $31,412,230 | | $39,417,864 |
Investments at value (affiliated)*
| — | | — | | — | | — | | — |
Repurchase agreements (cost approximates value)
| 7,795,077 | | 4,380,000 | | 215,000 | | 320,000 | | 345,000 |
Cash
| 12 | | 436,539 | | 695,081 | | 107,433 | | 309,426 |
Foreign cash*
| — | | 34,945 | | 1,643 | | 475 | | 1,200 |
Due from broker
| — | | — | | — | | — | | — |
| Receivable for: | | | | | | | | | |
Fund shares sold
| 216,895 | | 528,252 | | 8,958 | | 857 | | 210 |
Dividends and interest
| 291,760 | | 5,401,026 | | 76,496 | | 175,300 | | 190,994 |
Investments sold
| 1,671,024 | | 8,617,949 | | 540,490 | | 166,113 | | 347,889 |
Receipts on swap contracts
| — | | — | | 6,176 | | 5,341 | | 7,028 |
Prepaid expenses and other assets
| 9,122 | | 8,021 | | 4,765 | | 4,382 | | 4,383 |
Due from investment adviser for expense reimbursements/fee waivers
| 80,382 | | — | | 18,469 | | 9,486 | | 9,220 |
Variation margin on futures contracts
| — | | 80,686 | | 2,668 | | 6,992 | | 9,380 |
Unrealized appreciation on forward foreign currency contracts
| — | | 125,862 | | 1,377 | | 8,074 | | 7,288 |
Swap premiums paid
| — | | 175,276 | | 1,993 | | 5,885 | | 6,536 |
Unrealized appreciation on swap contracts
| — | | 883,176 | | 56,947 | | 47,395 | | 56,003 |
Total assets
| 295,506,241 | | 836,767,182 | | 35,935,639 | | 32,269,963 | | 40,712,421 |
| LIABILITIES: | | | | | | | | | |
| Payable for: | | | | | | | | | |
Fund shares redeemed
| 125,404 | | 213,709 | | 1,031 | | 4,956 | | 6,887 |
Investments purchased
| — | | 141,228,035 | | 1,916,732 | | 5,364,598 | | 5,479,687 |
Payments on swap contracts
| — | | 995 | | 2,540 | | 3,169 | | 4,105 |
Investment advisory and management fees
| 248,200 | | 376,049 | | 24,811 | | 17,154 | | 23,590 |
Service fees—Class 2
| 1,427 | | 1,598 | | 1,679 | | 1,837 | | 2,315 |
Service fees—Class 3
| 1,431 | | 1,384 | | 2,625 | | 1,896 | | 2,571 |
Transfer agent fees and expenses
| 135 | | 159 | | 49 | | 61 | | 49 |
Trustees' fees and expenses
| 3,585 | | 9,358 | | 350 | | 277 | | 368 |
Other accrued expenses
| 88,850 | | 244,424 | | 77,058 | | 69,746 | | 70,403 |
Accrued foreign tax on capital gains
| — | | — | | — | | — | | — |
Variation margin on futures contracts
| — | | 235,046 | | 4,209 | | 12,603 | | 13,714 |
Due to custodian
| — | | — | | — | | — | | — |
Due to broker
| — | | 1,027,386 | | 81,391 | | 53,894 | | 64,803 |
Call and put options written, at value@
| — | | — | | — | | — | | — |
Unrealized depreciation on forward foreign currency contracts
| — | | — | | — | | — | | — |
Swap premiums received
| — | | 14,972 | | 615 | | — | | — |
Unrealized depreciation on swap contracts
| — | | 86,053 | | 1,198 | | 3,163 | | 3,163 |
Total liabilities
| 469,032 | | 143,439,168 | | 2,114,288 | | 5,533,354 | | 5,671,655 |
Net assets
| $295,037,209 | | $693,328,014 | | $33,821,351 | | $26,736,609 | | $35,040,766 |
* Cost | | | | | | | | | |
Investments (unaffiliated)
| $240,894,401 | | $914,805,367 | | $35,972,748 | | $34,760,202 | | $42,914,358 |
Investments (affiliated)
| $ — | | $ — | | $ — | | $ — | | $ — |
Foreign cash
| $ — | | $ 34,366 | | $ 1,658 | | $ 489 | | $ 1,200 |
@ Premiums received on options written
| $ — | | $ — | | $ — | | $ — | | $ — |
| See Notes to Financial Statements |
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | SA Columbia
Focused
Value
Portfolio | | SA Multi-
Managed
Diversified
Fixed
Income
Portfolio | | SA Multi-
Managed
Growth
Portfolio | | SA Multi-
Managed
Income
Portfolio | | SA Multi-
Managed
Income/
Equity
Portfolio |
| NET ASSETS REPRESENTED BY: | | | | | | | | | |
Paid in capital
| $207,979,556 | | $ 831,378,363 | | $ 44,835,503 | | $34,317,664 | | $ 46,537,619 |
Total accumulated earnings (loss)
| 87,057,653 | | (138,050,349) | | (11,014,152) | | (7,581,055) | | (11,496,853) |
Net assets
| $295,037,209 | | $ 693,328,014 | | $ 33,821,351 | | $26,736,609 | | $ 35,040,766 |
Class 1 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $277,115,198 | | $ 673,797,754 | | $ 7,526,310 | | $ 2,971,375 | | $ 4,142,279 |
Shares of beneficial interest issued and outstanding
| 14,604,622 | | 69,798,826 | | 846,620 | | 365,197 | | 562,673 |
Net asset value, offering and redemption price per share
| $ 18.97 | | $ 9.65 | | $ 8.89 | | $ 8.14 | | $ 7.36 |
Class 2 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $ 11,160,862 | | $ 12,969,141 | | $ 13,562,641 | | $14,581,927 | | $ 18,427,041 |
Shares of beneficial interest issued and outstanding
| 586,844 | | 1,344,610 | | 1,538,295 | | 1,794,767 | | 2,506,370 |
Net asset value, offering and redemption price per share
| $ 19.02 | | $ 9.65 | | $ 8.82 | | $ 8.12 | | $ 7.35 |
Class 3 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $ 6,761,149 | | $ 6,561,119 | | $ 12,732,400 | | $ 9,183,307 | | $ 12,471,446 |
Shares of beneficial interest issued and outstanding
| 355,437 | | 683,684 | | 1,456,871 | | 1,129,913 | | 1,695,205 |
Net asset value, offering and redemption price per share
| $ 19.02 | | $ 9.60 | | $ 8.74 | | $ 8.13 | | $ 7.36 |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | 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 |
| ASSETS: | | | | | | | | | |
Investments at value (unaffiliated)*
| $276,200,290 | | $322,256,906 | | $491,162,344 | | $143,790,866 | | $183,311,565 |
Investments at value (affiliated)*
| — | | — | | 441,229 | | — | | — |
Repurchase agreements (cost approximates value)
| 355,831 | | 284,154 | | 1,503,482 | | 1,072,385 | | 175,078 |
Cash
| 673,885 | | 2,646,288 | | 3,354,175 | | 3,039 | | 3,365 |
Foreign cash*
| 402,011 | | 1,504 | | 10 | | 1 | | 9,408 |
Due from broker
| 33 | | — | | 26 | | — | | — |
| Receivable for: | | | | | | | | | |
Fund shares sold
| 234,341 | | 203,622 | | 288,326 | | 104,711 | | 112,078 |
Dividends and interest
| 1,957,058 | | 77,212 | | 913,826 | | 31,410 | | 308,083 |
Investments sold
| — | | 2,655,458 | | 2,741,170 | | 408,102 | | 412,691 |
Receipts on swap contracts
| — | | — | | — | | — | | — |
Prepaid expenses and other assets
| 4,416 | | 4,425 | | 5,543 | | 4,577 | | 4,403 |
Due from investment adviser for expense reimbursements/fee waivers
| 9,422 | | 20,184 | | — | | — | | — |
Variation margin on futures contracts
| — | | — | | — | | — | | — |
Unrealized appreciation on forward foreign currency contracts
| — | | — | | 23,769 | | — | | — |
Swap premiums paid
| — | | — | | — | | — | | — |
Unrealized appreciation on swap contracts
| — | | — | | — | | — | | — |
Total assets
| 279,837,287 | | 328,149,753 | | 500,433,900 | | 145,415,091 | | 184,336,671 |
| LIABILITIES: | | | | | | | | | |
| Payable for: | | | | | | | | | |
Fund shares redeemed
| 86,508 | | 139,921 | | 276,462 | | 66,095 | | 67,866 |
Investments purchased
| 7,778 | | 1,487,870 | | 1,701,989 | | 333,143 | | 793,216 |
Payments on swap contracts
| — | | — | | — | | — | | — |
Investment advisory and management fees
| 222,150 | | 218,676 | | 326,088 | | 104,688 | | 131,903 |
Service fees—Class 2
| 1,610 | | 3,175 | | 2,400 | | 2,293 | | 2,176 |
Service fees—Class 3
| 1,840 | | 2,960 | | 1,835 | | 2,308 | | 2,100 |
Transfer agent fees and expenses
| 172 | | 147 | | 135 | | 183 | | 155 |
Trustees' fees and expenses
| 3,300 | | 4,381 | | 7,211 | | 1,812 | | 2,316 |
Other accrued expenses
| 181,754 | | 105,543 | | 144,547 | | 94,826 | | 109,903 |
Accrued foreign tax on capital gains
| 11,614 | | — | | — | | — | | — |
Variation margin on futures contracts
| 3,905 | | 1,200 | | 1,800 | | 1,100 | | 1,100 |
Due to custodian
| — | | — | | — | | — | | — |
Due to broker
| — | | 439,999 | | — | | 5 | | 22 |
Call and put options written, at value@
| — | | — | | — | | — | | — |
Unrealized depreciation on forward foreign currency contracts
| — | | — | | 126 | | — | | — |
Swap premiums received
| — | | — | | — | | — | | — |
Unrealized depreciation on swap contracts
| — | | — | | — | | — | | — |
Total liabilities
| 520,631 | | 2,403,872 | | 2,462,593 | | 606,453 | | 1,110,757 |
Net assets
| $279,316,656 | | $325,745,881 | | $497,971,307 | | $144,808,638 | | $183,225,914 |
* Cost | | | | | | | | | |
Investments (unaffiliated)
| $251,734,863 | | $271,998,043 | | $476,631,449 | | $141,247,241 | | $164,933,964 |
Investments (affiliated)
| $ — | | $ — | | $ 397,132 | | $ — | | $ — |
Foreign cash
| $ 401,328 | | $ 1,537 | | $ 10 | | $ 1 | | $ 9,563 |
@ Premiums received on options written
| $ — | | $ — | | $ — | | $ — | | $ — |
| See Notes to Financial Statements |
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | 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 |
| NET ASSETS REPRESENTED BY: | | | | | | | | | |
Paid in capital
| $245,970,264 | | $263,174,703 | | $397,986,630 | | $147,760,280 | | $142,863,559 |
Total accumulated earnings (loss)
| 33,346,392 | | 62,571,178 | | 99,984,677 | | (2,951,642) | | 40,362,355 |
Net assets
| $279,316,656 | | $325,745,881 | | $497,971,307 | | $144,808,638 | | $183,225,914 |
Class 1 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $257,817,209 | | $287,011,452 | | $470,496,940 | | $115,864,250 | | $156,167,425 |
Shares of beneficial interest issued and outstanding
| 32,018,238 | | 28,059,674 | | 34,067,918 | | 10,680,665 | | 9,995,816 |
Net asset value, offering and redemption price per share
| $ 8.05 | | $ 10.23 | | $ 13.81 | | $ 10.85 | | $ 15.62 |
Class 2 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $ 12,743,740 | | $ 24,797,762 | | $ 18,831,730 | | $ 18,032,352 | | $ 17,135,748 |
Shares of beneficial interest issued and outstanding
| 1,578,375 | | 2,558,915 | | 1,366,211 | | 1,910,214 | | 1,101,750 |
Net asset value, offering and redemption price per share
| $ 8.07 | | $ 9.69 | | $ 13.78 | | $ 9.44 | | $ 15.55 |
Class 3 (unlimited shares authorized):
| | | | | | | | | |
Net assets
| $ 8,755,707 | | $ 13,936,667 | | $ 8,642,637 | | $ 10,912,036 | | $ 9,922,741 |
Shares of beneficial interest issued and outstanding
| 1,088,624 | | 1,479,308 | | 626,933 | | 1,261,920 | | 639,708 |
Net asset value, offering and redemption price per share
| $ 8.04 | | $ 9.42 | | $ 13.79 | | $ 8.65 | | $ 15.51 |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | 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 |
| ASSETS: | | | | | | | |
Investments at value (unaffiliated)*
| $58,318,753 | | $147,852,238 | | $180,981,090 | | $248,192,648 |
Investments at value (affiliated)*
| — | | — | | — | | — |
Repurchase agreements (cost approximates value)
| 505,000 | | — | | 5,000,000 | | — |
Cash
| 1,050,295 | | 419,663 | | — | | 79 |
Foreign cash*
| 674 | | — | | 8,987 | | 19 |
Due from broker
| — | | 110,926 | | 941 | | — |
| Receivable for: | | | | | | | |
Fund shares sold
| 791 | | 86,357 | | 5,291 | | 175,755 |
Dividends and interest
| 193,944 | | 155,105 | | 532,224 | | 39,182 |
Investments sold
| 658,199 | | 543,697 | | 1,835,592 | | — |
Receipts on swap contracts
| — | | — | | — | | — |
Prepaid expenses and other assets
| 4,924 | | 7,355 | | 6,178 | | 4,418 |
Due from investment adviser for expense reimbursements/fee waivers
| 16,773 | | — | | 22,661 | | — |
Variation margin on futures contracts
| 330,202 | | — | | 11,352 | | — |
Unrealized appreciation on forward foreign currency contracts
| 7,189 | | — | | 35,543 | | — |
Swap premiums paid
| 6,056 | | — | | — | | — |
Unrealized appreciation on swap contracts
| 48,548 | | — | | — | | — |
Total assets
| 61,141,348 | | 149,175,341 | | 188,439,859 | | 248,412,101 |
| LIABILITIES: | | | | | | | |
| Payable for: | | | | | | | |
Fund shares redeemed
| 25,034 | | 80,031 | | 572,157 | | 33,799 |
Investments purchased
| 5,423,255 | | 345,002 | | 9,194,904 | | 181,203 |
Payments on swap contracts
| 28 | | — | | 577 | | — |
Investment advisory and management fees
| 38,668 | | 107,212 | | 128,414 | | 180,219 |
Service fees—Class 2
| 3,386 | | 1,411 | | 4,297 | | 3,501 |
Service fees—Class 3
| 4,390 | | 1,608 | | 28,435 | | 4,560 |
Transfer agent fees and expenses
| 49 | | 135 | | 257 | | 281 |
Trustees' fees and expenses
| 652 | | 2,183 | | 2,040 | | 3,537 |
Other accrued expenses
| 89,345 | | 97,565 | | 115,036 | | 88,016 |
Accrued foreign tax on capital gains
| — | | — | | 25,222 | | — |
Variation margin on futures contracts
| 12,528 | | 4,200 | | — | | — |
Due to custodian
| — | | — | | 31,029 | | — |
Due to broker
| 440,331 | | — | | — | | — |
Call and put options written, at value@
| — | | — | | 113,646 | | — |
Unrealized depreciation on forward foreign currency contracts
| — | | — | | 119,524 | | — |
Swap premiums received
| — | | — | | — | | — |
Unrealized depreciation on swap contracts
| 3,163 | | — | | 1,014 | | — |
Total liabilities
| 6,040,829 | | 639,347 | | 10,336,552 | | 495,116 |
Net assets
| $55,100,519 | | $148,535,994 | | $178,103,307 | | $247,916,985 |
* Cost | | | | | | | |
Investments (unaffiliated)
| $61,422,820 | | $143,324,625 | | $163,959,488 | | $193,865,420 |
Investments (affiliated)
| $ — | | $ — | | $ — | | $ — |
Foreign cash
| $ 909 | | $ — | | $ 8,989 | | $ 19 |
@ Premiums received on options written
| $ — | | $ — | | $ 92,442 | | $ — |
| See Notes to Financial Statements |
SEASONS SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES — September 30, 2023 (unaudited) — (continued)
| | 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 |
| NET ASSETS REPRESENTED BY: | | | | | | | |
Paid in capital
| $ 71,910,633 | | $140,832,496 | | $165,710,298 | | $165,057,708 |
Total accumulated earnings (loss)
| (16,810,114) | | 7,703,498 | | 12,393,009 | | 82,859,277 |
Net assets
| $ 55,100,519 | | $148,535,994 | | $178,103,307 | | $247,916,985 |
Class 1 (unlimited shares authorized):
| | | | | | | |
Net assets
| $ 6,487,861 | | $129,855,438 | | $ 10,182,489 | | $200,535,183 |
Shares of beneficial interest issued and outstanding
| 818,553 | | 13,222,838 | | 917,739 | | 11,026,096 |
Net asset value, offering and redemption price per share
| $ 7.93 | | $ 9.82 | | $ 11.10 | | $ 18.19 |
Class 2 (unlimited shares authorized):
| | | | | | | |
Net assets
| $ 27,346,915 | | $ 11,080,269 | | $ 33,328,660 | | $ 26,514,533 |
Shares of beneficial interest issued and outstanding
| 3,467,649 | | 1,184,121 | | 3,003,243 | | 1,575,996 |
Net asset value, offering and redemption price per share
| $ 7.89 | | $ 9.36 | | $ 11.10 | | $ 16.82 |
Class 3 (unlimited shares authorized):
| | | | | | | |
Net assets
| $ 21,265,743 | | $ 7,600,287 | | $134,592,158 | | $ 20,867,269 |
Shares of beneficial interest issued and outstanding
| 2,706,925 | | 838,921 | | 12,210,872 | | 1,304,603 |
Net asset value, offering and redemption price per share
| $ 7.86 | | $ 9.06 | | $ 11.02 | | $ 16.00 |
See Notes to Financial Statements
| | SA
Allocation
Balanced
Portfolio | | SA
Allocation
Growth
Portfolio | | SA
Allocation
Moderate
Growth
Portfolio | | SA
Allocation
Moderate
Portfolio | | SA
American
Century
Inflation
Protection
Portfolio |
| INVESTMENT INCOME: | | | | | | | | | |
Dividends (unaffiliated)
| $ — | | $ — | | $ — | | $ — | | $ — |
Interest (unaffiliated)
| — | | — | | — | | — | | 14,481,941 |
Total investment income*
| — | | — | | — | | — | | 14,481,941 |
| EXPENSES: | | | | | | | | | |
Investment advisory and management fees
| 117,590 | | 202,810 | | 233,081 | | 136,429 | | 1,815,735 |
| Service Fees: | | | | | | | | | |
Class 2
| — | | — | | — | | — | | — |
Class 3
| 293,888 | | 503,364 | | 582,299 | | 340,828 | | 476,849 |
Transfer agent fees and expenses
| 530 | | 529 | | 529 | | 530 | | 1,211 |
Custodian and accounting fees
| 5,971 | | 5,971 | | 5,971 | | 5,971 | | 39,184 |
Reports to shareholders
| 8,533 | | 14,531 | | 16,886 | | 9,889 | | 22,785 |
Audit and tax fees
| 16,413 | | 16,413 | | 16,413 | | 16,412 | | 31,689 |
Legal fees
| 7,476 | | 9,572 | | 10,431 | | 7,954 | | 12,487 |
Trustees' fees and expenses
| 3,075 | | 5,053 | | 5,975 | | 3,537 | | 8,159 |
Interest expense
| — | | — | | — | | — | | 7,930 |
License fee
| — | | — | | — | | — | | 461 |
Other expenses
| 14,378 | | 15,563 | | 16,159 | | 14,677 | | 23,946 |
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly
| 467,854 | | 773,806 | | 887,744 | | 536,227 | | 2,440,436 |
Net (fees waived and expenses reimbursed)/ recouped by investment advisor (Note 5)
| (11,759) | | (20,281) | | (23,308) | | (13,643) | | (184,444) |
Fees paid indirectly (Note 5)
| — | | — | | — | | — | | — |
Net expenses
| 456,095 | | 753,525 | | 864,436 | | 522,584 | | 2,255,992 |
Net investment income (loss)
| (456,095) | | (753,525) | | (864,436) | | (522,584) | | 12,225,949 |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | |
Investments (unaffiliated)**
| — | | — | | — | | — | | (6,589,763) |
Investments (affiliated)
| (4,478,656) | | (4,618,459) | | (2,957,049) | | (2,911,655) | | — |
Futures contracts
| — | | — | | — | | — | | (4,151,201) |
Forward contracts
| — | | — | | — | | — | | 351,895 |
Swap contracts
| — | | — | | — | | — | | 121,027 |
Net realized foreign exchange gain (loss) on other assets and liabilities
| — | | — | | — | | — | | (6,691) |
Net realized gain (loss) on investments and foreign currencies
| (4,478,656) | | (4,618,459) | | (2,957,049) | | (2,911,655) | | (10,274,733) |
| Change in unrealized appreciation (depreciation) on: | | | | | | | | | |
Investments (unaffiliated)
| — | | — | | — | | — | | (27,303,619) |
Investments (affiliated)
| 1,705,975 | | 7,702,148 | | 3,774,435 | | 2,067,152 | | — |
Futures contracts
| — | | — | | — | | — | | (3,549,848) |
Forward contracts
| — | | — | | — | | — | | 8,127 |
Swap contracts
| — | | — | | — | | — | | 52,806 |
Written option contracts
| — | | — | | — | | — | | — |
Change in unrealized foreign exchange gain (loss) on other assets and liabilities
| — | | — | | — | | — | | (2,832) |
Change in accrued capital gains tax on unrealized appreciation (depreciation)
| — | | — | | — | | — | | — |
Net unrealized gain (loss) on investments and foreign currencies
| 1,705,975 | | 7,702,148 | | 3,774,435 | | 2,067,152 | | (30,795,366) |
Net realized and unrealized gain (loss) on investments and foreign currencies
| (2,772,681) | | 3,083,689 | | 817,386 | | (844,503) | | (41,070,099) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
| $(3,228,776) | | $ 2,330,164 | | $ (47,050) | | $(1,367,087) | | $(28,844,150) |
* Net of foreign withholding taxes on interest and dividends of
| $ — | | $ — | | $ — | | $ — | | $ — |
** Net of foreign withholding taxes on capital gains of
| $ — | | $ — | | $ — | | $ — | | $— |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENTS OF OPERATIONS — For the Six Months Ended September 30, 2023 (unaudited) — (continued)
| | SA Columbia
Focused
Value
Portfolio | | SA Multi-
Managed
Diversified
Fixed
Income
Portfolio | | SA Multi-
Managed
Growth
Portfolio | | SA Multi-
Managed
Income
Portfolio | | SA Multi-
Managed
Income/
Equity
Portfolio |
| INVESTMENT INCOME: | | | | | | | | | |
Dividends (unaffiliated)
| $ 4,200,121 | | $ 35,497 | | $ 60,358 | | $ 4,083 | | $ 10,190 |
Interest (unaffiliated)
| 51,247 | | 11,195,725 | | 189,901 | | 531,538 | | 541,861 |
Total investment income*
| 4,251,368 | | 11,231,222 | | 250,259 | | 535,621 | | 552,051 |
| EXPENSES: | | | | | | | | | |
Investment advisory and management fees
| 1,597,213 | | 2,403,003 | | 154,577 | | 108,059 | | 147,694 |
| Service Fees: | | | | | | | | | |
Class 2
| 8,921 | | 10,396 | | 10,481 | | 11,814 | | 14,525 |
Class 3
| 9,073 | | 8,742 | | 16,408 | | 11,639 | | 15,859 |
Transfer agent fees and expenses
| 832 | | 983 | | 302 | | 378 | | 302 |
Custodian and accounting fees
| 15,135 | | 118,857 | | 50,767 | | 35,952 | | 36,026 |
Reports to shareholders
| 11,647 | | 27,600 | | 1,232 | | 1,016 | | 1,312 |
Audit and tax fees
| 21,772 | | 33,884 | | 33,246 | | 32,146 | | 32,149 |
Legal fees
| 8,613 | | 14,605 | | 5,278 | | 5,198 | | 5,303 |
Trustees' fees and expenses
| 4,322 | | 10,032 | | 486 | | 415 | | 510 |
Interest expense
| 344 | | 11,008 | | 3,203 | | 709 | | 1,058 |
License fee
| — | | 461 | | 4,693 | | 4,622 | | 4,731 |
Other expenses
| 19,885 | | 26,849 | | 23,329 | | 20,857 | | 19,908 |
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly
| 1,697,757 | | 2,666,420 | | 304,002 | | 232,805 | | 279,377 |
Net (fees waived and expenses reimbursed)/ recouped by investment advisor (Note 5)
| (514,836) | | — | | (88,079) | | (43,047) | | (41,886) |
Fees paid indirectly (Note 5)
| (5,607) | | — | | (464) | | — | | — |
Net expenses
| 1,177,314 | | 2,666,420 | | 215,459 | | 189,758 | | 237,491 |
Net investment income (loss)
| 3,074,054 | | 8,564,802 | | 34,800 | | 345,863 | | 314,560 |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | |
Investments (unaffiliated)**
| 17,469,454 | | (13,384,959) | | (1,117,029) | | (606,929) | | (991,031) |
Investments (affiliated)
| — | | — | | — | | — | | — |
Futures contracts
| — | | 1,748,535 | | 335 | | 32,025 | | 51,497 |
Forward contracts
| — | | (72,006) | | (2,093) | | (4,378) | | (4,575) |
Swap contracts
| — | | (49,834) | | 1,894 | | (197) | | 364 |
Net realized foreign exchange gain (loss) on other assets and liabilities
| — | | 14,108 | | 115 | | 1,208 | | 1,187 |
Net realized gain (loss) on investments and foreign currencies
| 17,469,454 | | (11,744,156) | | (1,116,778) | | (578,271) | | (942,558) |
| Change in unrealized appreciation (depreciation) on: | | | | | | | | | |
Investments (unaffiliated)
| (26,784,516) | | (29,936,395) | | 960,954 | | (802,652) | | (265,385) |
Investments (affiliated)
| — | | — | | — | | — | | — |
Futures contracts
| — | | 2,669,243 | | 14,463 | | 159,505 | | 83,953 |
Forward contracts
| — | | 261,105 | | 3,026 | | 17,793 | | 15,850 |
Swap contracts
| — | | 929,999 | | 28,497 | | 47,297 | | 56,639 |
Written option contracts
| — | | — | | — | | — | | — |
Change in unrealized foreign exchange gain (loss) on other assets and liabilities
| — | | (25,725) | | (382) | | (1,654) | | (1,638) |
Change in accrued capital gains tax on unrealized appreciation (depreciation)
| — | | — | | — | | — | | — |
Net unrealized gain (loss) on investments and foreign currencies
| (26,784,516) | | (26,101,773) | | 1,006,558 | | (579,711) | | (110,581) |
Net realized and unrealized gain (loss) on investments and foreign currencies
| (9,315,062) | | (37,845,929) | | (110,220) | | (1,157,982) | | (1,053,139) |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
| $ (6,241,008) | | $(29,281,127) | | $ (75,420) | | $ (812,119) | | $ (738,579) |
* Net of foreign withholding taxes on interest and dividends of
| $ 16,543 | | $ 9,266 | | $ 564 | | $ 130 | | $ 266 |
** Net of foreign withholding taxes on capital gains of
| $ — | | $ — | | $ — | | $ — | | $— |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENTS OF OPERATIONS — For the Six Months Ended September 30, 2023 (unaudited) — (continued)
| | 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 |
| INVESTMENT INCOME: | | | | | | | | | |
Dividends (unaffiliated)
| $ 5,380,375 | | $ 1,258,299 | | $ 6,145,093 | | $ 500,256 | | $ 1,962,740 |
Interest (unaffiliated)
| 28,022 | | 37,075 | | 72,989 | | 27,324 | | 65,795 |
Total investment income*
| 5,408,397 | | 1,295,374 | | 6,218,082 | | 527,580 | | 2,028,535 |
| EXPENSES: | | | | | | | | | |
Investment advisory and management fees
| 1,437,764 | | 1,416,272 | | 2,084,392 | | 667,015 | | 834,482 |
| Service Fees: | | | | | | | | | |
Class 2
| 10,468 | | 19,771 | | 15,104 | | 14,187 | | 13,814 |
Class 3
| 11,734 | | 18,249 | | 11,433 | | 14,416 | | 13,000 |
Transfer agent fees and expenses
| 1,060 | | 907 | | 832 | | 1,135 | | 1,115 |
Custodian and accounting fees
| 78,133 | | 25,778 | | 46,996 | | 21,085 | | 38,486 |
Reports to shareholders
| 11,322 | | 13,090 | | 19,640 | | 5,623 | | 6,973 |
Audit and tax fees
| 38,965 | | 25,237 | | 24,918 | | 24,862 | | 25,433 |
Legal fees
| 9,912 | | 9,146 | | 11,608 | | 6,468 | | 7,021 |
Trustees' fees and expenses
| 3,985 | | 4,617 | | 7,338 | | 2,067 | | 2,631 |
Interest expense
| 587 | | 4,945 | | 1,661 | | — | | 125 |
License fee
| — | | — | | — | | 14,811 | | 14,811 |
Other expenses
| 28,125 | | 24,780 | | 26,360 | | 22,230 | | 23,262 |
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly
| 1,632,055 | | 1,562,792 | | 2,250,282 | | 793,899 | | 981,153 |
Net (fees waived and expenses reimbursed)/ recouped by investment advisor (Note 5)
| (61,123) | | (131,902) | | — | | — | | — |
Fees paid indirectly (Note 5)
| — | | — | | (1,536) | | (415) | | — |
Net expenses
| 1,570,932 | | 1,430,890 | | 2,248,746 | | 793,484 | | 981,153 |
Net investment income (loss)
| 3,837,465 | | (135,516) | | 3,969,336 | | (265,904) | | 1,047,382 |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | | | | | | | | | |
| Net realized gain (loss) on: | | | | | | | | | |
Investments (unaffiliated)**
| 3,780,911 | | 16,122,379 | | 10,082,880 | | 8,048,597 | | 6,512,824 |
Investments (affiliated)
| — | | — | | 1,073 | | — | | — |
Futures contracts
| 391,015 | | 49,296 | | 73,943 | | 8,440 | | 8,440 |
Forward contracts
| — | | — | | 221,460 | | — | | — |
Swap contracts
| — | | — | | — | | — | | — |
Net realized foreign exchange gain (loss) on other assets and liabilities
| (39,163) | | 137 | | (1,406) | | — | | 1,607 |
Net realized gain (loss) on investments and foreign currencies
| 4,132,763 | | 16,171,812 | | 10,377,950 | | 8,057,037 | | 6,522,871 |
| Change in unrealized appreciation (depreciation) on: | | | | | | | | | |
Investments (unaffiliated)
| (13,236,735) | | 6,690,157 | | (9,905,889) | | (8,483,226) | | (6,407,394) |
Investments (affiliated)
| — | | — | | 84,819 | | — | | — |
Futures contracts
| (370,612) | | (39,972) | | (59,957) | | (14,423) | | (14,423) |
Forward contracts
| — | | — | | 127,556 | | — | | — |
Swap contracts
| — | | — | | — | | — | | — |
Written option contracts
| — | | — | | — | | — | | — |
Change in unrealized foreign exchange gain (loss) on other assets and liabilities
| (32,228) | | (10) | | (1,705) | | — | | (793) |
Change in accrued capital gains tax on unrealized appreciation (depreciation)
| 1,998 | | — | | — | | — | | — |
Net unrealized gain (loss) on investments and foreign currencies
| (13,637,577) | | 6,650,175 | | (9,755,176) | | (8,497,649) | | (6,422,610) |
Net realized and unrealized gain (loss) on investments and foreign currencies
| (9,504,814) | | 22,821,987 | | 622,774 | | (440,612) | | 100,261 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
| $ (5,667,349) | | $22,686,471 | | $ 4,592,110 | | $ (706,516) | | $ 1,147,643 |
* Net of foreign withholding taxes on interest and dividends of
| $ 621,098 | | $ 2,903 | | $ 42,722 | | $ 774 | | $ 7,747 |
** Net of foreign withholding taxes on capital gains of
| $ 893 | | $ — | | $ — | | $ — | | $— |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENTS OF OPERATIONS — For the Six Months Ended September 30, 2023 (unaudited) — (continued)
| | 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 |
| INVESTMENT INCOME: | | | | | | | |
Dividends (unaffiliated)
| $ 86,213 | | $ 1,172,404 | | $ 1,490,325 | | $ 663,064 |
Interest (unaffiliated)
| 519,697 | | 11,865 | | 973,068 | | 24,316 |
Total investment income*
| 605,910 | | 1,184,269 | | 2,463,393 | | 687,380 |
| EXPENSES: | | | | | | | |
Investment advisory and management fees
| 244,789 | | 691,273 | | 785,880 | | 1,128,016 |
| Service Fees: | | | | | | | |
Class 2
| 21,441 | | 8,941 | | 26,886 | | 22,006 |
Class 3
| 27,998 | | 10,004 | | 173,081 | | 28,436 |
Transfer agent fees and expenses
| 302 | | 832 | | 1,589 | | 1,740 |
Custodian and accounting fees
| 61,250 | | 45,697 | | 92,062 | | 19,316 |
Reports to shareholders
| 2,061 | | 5,690 | | 6,616 | | 9,575 |
Audit and tax fees
| 33,237 | | 25,769 | | 37,811 | | 24,124 |
Legal fees
| 5,414 | | 6,618 | | 8,771 | | 7,932 |
Trustees' fees and expenses
| 784 | | 2,450 | | 2,355 | | 3,580 |
Interest expense
| 1,230 | | 2,577 | | 829 | | — |
License fee
| 5,080 | | — | | 6,434 | | — |
Other expenses
| 24,066 | | 23,344 | | 23,207 | | 19,837 |
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly
| 427,652 | | 823,195 | | 1,165,521 | | 1,264,562 |
Net (fees waived and expenses reimbursed)/ recouped by investment advisor (Note 5)
| (77,478) | | — | | (138,685) | | — |
Fees paid indirectly (Note 5)
| (662) | | (4,096) | | (750) | | — |
Net expenses
| 349,512 | | 819,099 | | 1,026,086 | | 1,264,562 |
Net investment income (loss)
| 256,398 | | 365,170 | | 1,437,307 | | (577,182) |
| REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | | | | | | | |
| Net realized gain (loss) on: | | | | | | | |
Investments (unaffiliated)**
| (1,617,042) | | (453,902) | | 693,287 | | 20,672,800 |
Investments (affiliated)
| — | | — | | — | | — |
Futures contracts
| 40,508 | | 76,861 | | (2,077,887) | | — |
Forward contracts
| (4,736) | | — | | (108,902) | | — |
Swap contracts
| (2,300) | | — | | 16,361 | | — |
Net realized foreign exchange gain (loss) on other assets and liabilities
| 818 | | — | | (8,266) | | 982 |
Net realized gain (loss) on investments and foreign currencies
| (1,582,752) | | (377,041) | | (1,485,407) | | 20,673,782 |
| Change in unrealized appreciation (depreciation) on: | | | | | | | |
Investments (unaffiliated)
| 697,463 | | (3,931,881) | | 4,346,770 | | 9,625,170 |
Investments (affiliated)
| — | | — | | — | | — |
Futures contracts
| 101,437 | | (54,623) | | 796,891 | | — |
Forward contracts
| 15,988 | | — | | (53,723) | | — |
Swap contracts
| 48,595 | | — | | (2,522) | | — |
Written option contracts
| — | | — | | (21,204) | | — |
Change in unrealized foreign exchange gain (loss) on other assets and liabilities
| (1,362) | | — | | (2,467) | | (63) |
Change in accrued capital gains tax on unrealized appreciation (depreciation)
| — | | — | | (23,526) | | — |
Net unrealized gain (loss) on investments and foreign currencies
| 862,121 | | (3,986,504) | | 5,040,219 | | 9,625,107 |
Net realized and unrealized gain (loss) on investments and foreign currencies
| (720,631) | | (4,363,545) | | 3,554,812 | | 30,298,889 |
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
| $ (464,233) | | $(3,998,375) | | $ 4,992,119 | | $29,721,707 |
* Net of foreign withholding taxes on interest and dividends of
| $ 782 | | $ 4,157 | | $ 67,767 | | $ 12,238 |
** Net of foreign withholding taxes on capital gains of
| $ — | | $ — | | $ 4,037 | | $— |
See Notes to Financial Statements
| | SA Allocation Balanced | | SA Allocation Growth | | SA Allocation
Moderate Growth |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | |
| OPERATIONS: | | | | | | | | | | | |
Net investment income (loss)
| $ (456,095) | | $ 3,447,501 | | $ (753,525) | | $ 4,429,431 | | $ (864,436) | | $ 6,093,333 |
Net realized gain (loss) on investments and foreign currencies
| (4,478,656) | | 12,017,590 | | (4,618,459) | | 38,363,266 | | (2,957,049) | | 38,958,653 |
Net unrealized gain (loss) on investments and foreign currencies
| 1,705,975 | | (31,900,375) | | 7,702,148 | | (69,476,835) | | 3,774,435 | | (80,287,930) |
Net increase (decrease) in net assets resulting from operations
| (3,228,776) | | (16,435,284) | | 2,330,164 | | (26,684,138) | | (47,050) | | (35,235,944) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | | | | |
Distributable earnings — Class 1
| — | | (5,534) | | — | | (349,916) | | — | | (30,812) |
Distributable earnings — Class 2
| — | | — | | — | | — | | — | | — |
Distributable earnings — Class 3
| — | | (18,488,741) | | — | | (31,031,130) | | — | | (45,069,661) |
Total distributions to shareholders
| — | | (18,494,275) | | — | | (31,381,046) | | — | | (45,100,473) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (9,595,210) | | 8,119,036 | | (2,295,061) | | 54,171,944 | | (21,005,075) | | 20,471,122 |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (12,823,986) | | (26,810,523) | | 35,103 | | (3,893,240) | | (21,052,125) | | (59,865,295) |
| NET ASSETS: | | | | | | | | | | | |
Beginning of period
| 237,880,521 | | 264,691,044 | | 395,967,611 | | 399,860,851 | | 465,926,434 | | 525,791,729 |
End of period
| $225,056,535 | | $237,880,521 | | $396,002,714 | | $395,967,611 | | $444,874,309 | | $465,926,434 |
| | SA Allocation Moderate | | SA American Century
Inflation Protection
Portfolio | | SA Columbia
Focused Value |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | |
| OPERATIONS: | | | | | | | | | | | |
Net investment income (loss)
| $ (522,584) | | $ 3,741,802 | | $ 12,225,949 | | $ 27,878,440 | | $ 3,074,054 | | $ 5,045,470 |
Net realized gain (loss) on investments and foreign currencies
| (2,911,655) | | 19,567,750 | | (10,274,733) | | (25,891,304) | | 17,469,454 | | 18,494,548 |
Net unrealized gain (loss) on investments and foreign currencies
| 2,067,152 | | (43,870,484) | | (30,795,366) | | (53,454,857) | | (26,784,516) | | (45,199,479) |
Net increase (decrease) in net assets resulting from operations
| (1,367,087) | | (20,560,932) | | (28,844,150) | | (51,467,721) | | (6,241,008) | | (21,659,461) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | | | | |
Distributable earnings — Class 1
| — | | (18,689) | | — | | (10,314,132) | | — | | (36,926,095) |
Distributable earnings — Class 2
| — | | — | | — | | — | | — | | (1,617,413) |
Distributable earnings — Class 3
| — | | (26,216,405) | | — | | (15,299,657) | | — | | (990,545) |
Total distributions to shareholders
| — | | (26,235,094) | | — | | (25,613,789) | | — | | (39,534,053) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (10,191,092) | | 7,810,073 | | (33,176,765) | | 5,015,286 | | (33,882,597) | | 32,866,474 |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (11,558,179) | | (38,985,953) | | (62,020,915) | | (72,066,224) | | (40,123,605) | | (28,327,040) |
| NET ASSETS: | | | | | | | | | | | |
Beginning of period
| 273,267,534 | | 312,253,487 | | 637,951,205 | | 710,017,429 | | 335,160,814 | | 363,487,854 |
End of period
| $261,709,355 | | $273,267,534 | | $575,930,290 | | $637,951,205 | | $295,037,209 | | $335,160,814 |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
| | SA Multi-Managed
Diversified Fixed Income | | SA Multi-Managed Growth | | SA Multi-Managed
Income |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | |
| OPERATIONS: | | | | | | | | | | | |
Net investment income (loss)
| $ 8,564,802 | | $ 16,730,404 | | $ 34,800 | | $ (13,074) | | $ 345,863 | | $ 548,827 |
Net realized gain (loss) on investments and foreign currencies
| (11,744,156) | | (33,292,175) | | (1,116,778) | | (7,756,267) | | (578,271) | | (3,582,816) |
Net unrealized gain (loss) on investments and foreign currencies
| (26,101,773) | | (31,592,120) | | 1,006,558 | | 168,482 | | (579,711) | | (312,936) |
Net increase (decrease) in net assets resulting from operations
| (29,281,127) | | (48,153,891) | | (75,420) | | (7,600,859) | | (812,119) | | (3,346,925) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | | | | |
Distributable earnings — Class 1
| — | | (18,011,646) | | — | | (1,313,079) | | — | | (165,624) |
Distributable earnings — Class 2
| — | | (312,078) | | — | | (2,430,764) | | — | | (882,415) |
Distributable earnings — Class 3
| — | | (147,825) | | — | | (2,365,699) | | — | | (490,988) |
Total distributions to shareholders
| — | | (18,471,549) | | — | | (6,109,542) | | — | | (1,539,027) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (52,425,217) | | (54,809,497) | | (787,345) | | 4,093,441 | | (914,290) | | (3,697,991) |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (81,706,344) | | (121,434,937) | | (862,765) | | (9,616,960) | | (1,726,409) | | (8,583,943) |
| NET ASSETS: | | | | | | | | | | | |
Beginning of period
| 775,034,358 | | 896,469,295 | | 34,684,116 | | 44,301,076 | | 28,463,018 | | 37,046,961 |
End of period
| $693,328,014 | | $ 775,034,358 | | $33,821,351 | | $34,684,116 | | $26,736,609 | | $28,463,018 |
| | SA Multi-Managed
Income/Equity | | SA Multi-Managed
International Equity | | SA Multi-Managed
Large Cap Growth |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | |
| OPERATIONS: | | | | | | | | | | | |
Net investment income (loss)
| $ 314,560 | | $ 493,273 | | $ 3,837,465 | | $ 6,169,361 | | $ (135,516) | | $ (220,403) |
Net realized gain (loss) on investments and foreign currencies
| (942,558) | | (6,770,415) | | 4,132,763 | | 1,369,578 | | 16,171,812 | | (284,924) |
Net unrealized gain (loss) on investments and foreign currencies
| (110,581) | | 618,872 | | (13,637,577) | | (19,059,586) | | 6,650,175 | | (87,334,511) |
Net increase (decrease) in net assets resulting from operations
| (738,579) | | (5,658,270) | | (5,667,349) | | (11,520,647) | | 22,686,471 | | (87,839,838) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | | | | |
Distributable earnings — Class 1
| — | | (349,709) | | — | | (24,377,518) | | — | | (54,232,686) |
Distributable earnings — Class 2
| — | | (1,451,387) | | — | | (1,182,585) | | — | | (4,297,225) |
Distributable earnings — Class 3
| — | | (922,917) | | — | | (815,000) | | — | | (2,458,267) |
Total distributions to shareholders
| — | | (2,724,013) | | — | | (26,375,103) | | — | | (60,988,178) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (567,828) | | (2,300,954) | | (27,003,215) | | (10,739,799) | | (64,427,841) | | 14,130,323 |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (1,306,407) | | (10,683,237) | | (32,670,564) | | (48,635,549) | | (41,741,370) | | (134,697,693) |
| NET ASSETS: | | | | | | | | | | | |
Beginning of period
| 36,347,173 | | 47,030,410 | | 311,987,220 | | 360,622,769 | | 367,487,251 | | 502,184,944 |
End of period
| $35,040,766 | | $ 36,347,173 | | $279,316,656 | | $311,987,220 | | $325,745,881 | | $ 367,487,251 |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
| | SA Multi-Managed
Large Cap Value | | SA Multi-Managed
Mid Cap Growth | | SA Multi-Managed
Mid Cap Value |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | |
| OPERATIONS: | | | | | | | | | | | |
Net investment income (loss)
| $ 3,969,336 | | $ 10,434,715 | | $ (265,904) | | $ (384,380) | | $ 1,047,382 | | $ 2,390,902 |
Net realized gain (loss) on investments and foreign currencies
| 10,377,950 | | 67,601,762 | | 8,057,037 | | (12,346,200) | | 6,522,871 | | 16,021,454 |
Net unrealized gain (loss) on investments and foreign currencies
| (9,755,176) | | (99,346,046) | | (8,497,649) | | (10,817,554) | | (6,422,610) | | (36,326,060) |
Net increase (decrease) in net assets resulting from operations
| 4,592,110 | | (21,309,569) | | (706,516) | | (23,548,134) | | 1,147,643 | | (17,913,704) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | | | | |
Distributable earnings — Class 1
| — | | (113,980,675) | | — | | (35,776,644) | | — | | (26,646,782) |
Distributable earnings — Class 2
| — | | (3,884,819) | | — | | (5,597,768) | | — | | (2,840,515) |
Distributable earnings — Class 3
| — | | (1,828,588) | | — | | (3,685,524) | | — | | (1,660,379) |
Total distributions to shareholders
| — | | (119,694,082) | | — | | (45,059,936) | | — | | (31,147,676) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (62,323,256) | | (77,993,890) | | (14,074,518) | | 23,915,242 | | (17,345,274) | | 7,092,016 |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (57,731,146) | | (218,997,541) | | (14,781,034) | | (44,692,828) | | (16,197,631) | | (41,969,364) |
| NET ASSETS: | | | | | | | | | | | |
Beginning of period
| 555,702,453 | | 774,699,994 | | 159,589,672 | | 204,282,500 | | 199,423,545 | | 241,392,909 |
End of period
| $497,971,307 | | $ 555,702,453 | | $144,808,638 | | $159,589,672 | | $183,225,914 | | $199,423,545 |
| | SA Multi-Managed
Moderate Growth | | SA Multi-Managed
Small Cap | | SA Putnam Asset
Allocation
Diversified Growth |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 | | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | |
| OPERATIONS: | | | | | | | | | | | |
Net investment income (loss)
| $ 256,398 | | $ 353,985 | | $ 365,170 | | $ 728,117 | | $ 1,437,307 | | $ 2,394,574 |
Net realized gain (loss) on investments and foreign currencies
| (1,582,752) | | (11,252,953) | | (377,041) | | 4,942,112 | | (1,485,407) | | (6,226,250) |
Net unrealized gain (loss) on investments and foreign currencies
| 862,121 | | (176,904) | | (3,986,504) | | (26,239,078) | | 5,040,219 | | (11,544,803) |
Net increase (decrease) in net assets resulting from operations
| (464,233) | | (11,075,872) | | (3,998,375) | | (20,568,849) | | 4,992,119 | | (15,376,479) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | | | | | | | | | |
Distributable earnings — Class 1
| — | | (860,708) | | — | | (31,051,694) | | — | | (1,936,387) |
Distributable earnings — Class 2
| — | | (3,796,446) | | — | | (2,355,837) | | — | | (6,648,006) |
Distributable earnings — Class 3
| — | | (3,035,484) | | — | | (1,597,719) | | — | | (24,358,528) |
Total distributions to shareholders
| — | | (7,692,638) | | — | | (35,005,250) | | — | | (32,942,921) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (2,560,839) | | (378,283) | | (25,843,843) | | 3,444,352 | | (8,818,429) | | 18,709,723 |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (3,025,072) | | (19,146,793) | | (29,842,218) | | (52,129,747) | | (3,826,310) | | (29,609,677) |
| NET ASSETS: | | | | | | | | | | | |
Beginning of period
| 58,125,591 | | 77,272,384 | | 178,378,212 | | 230,507,959 | | 181,929,617 | | 211,539,294 |
End of period
| $55,100,519 | | $ 58,125,591 | | $148,535,994 | | $178,378,212 | | $178,103,307 | | $181,929,617 |
See Notes to Financial Statements
SEASONS SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS — (continued)
| | SA T. Rowe Price
Growth Stock |
| | For the
Six Months
Ended
September 30,
2023
(unaudited) | | For the
Year Ended
March 31,
2023 |
| INCREASE (DECREASE) IN NET ASSETS | | | |
| OPERATIONS: | | | |
Net investment income (loss)
| $ (577,182) | | $ (1,306,100) |
Net realized gain (loss) on investments and foreign currencies
| 20,673,782 | | 10,763,931 |
Net unrealized gain (loss) on investments and foreign currencies
| 9,625,107 | | (86,712,271) |
Net increase (decrease) in net assets resulting from operations
| 29,721,707 | | (77,254,440) |
| DISTRIBUTIONS TO SHAREHOLDERS FROM: | | | |
Distributable earnings — Class 1
| — | | (37,547,847) |
Distributable earnings — Class 2
| — | | (4,723,285) |
Distributable earnings — Class 3
| — | | (3,843,546) |
Total distributions to shareholders
| — | | (46,114,678) |
CAPITAL SHARE TRANSACTIONS (Note 7)
| (54,445,820) | | (19,216,446) |
TOTAL INCREASE (DECREASE) IN NET ASSETS
| (24,724,113) | | (142,585,564) |
| NET ASSETS: | | | |
Beginning of period
| 272,641,098 | | 415,226,662 |
End of period
| $247,916,985 | | $ 272,641,098 |
See Notes to Financial Statements
Note 1 — Organization
Seasons Series Trust (the “Trust”), a Massachusetts business trust, is registered with the Securities and Exchange Commission (the “SEC”) under the Investment Company Act of 1940, as amended (the “1940 Act”) as an open-end management investment company. The Trust is currently comprised of 19 portfolios (each, a “Portfolio,” and collectively, the “Portfolios”). SunAmerica Asset Management, LLC (“SAAMCo” or the “Adviser”), an indirect wholly owned subsidiary of Corebridge Financial, Inc. (“Corebridge”), which is a majority-owned subsidiary of American International Group, Inc (“AIG”), serves as investment adviser for all the Portfolios of the Trust.
Shares of the Portfolios are issued and redeemed in connection with investments in and payments under variable annuity contracts and variable life policies (collectively, the “Variable Contracts”) offered by life insurance companies affiliated with the Adviser (the “Life Companies”), and are also offered to certain affiliated mutual funds. All shares may be purchased or redeemed at net asset value without any sales or redemption charges.
Class 1 shares, Class 2 shares and Class 3 shares of each Portfolio may be offered in connection with certain variable contracts. Class 2 and 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 shares and Class 3 shares are subject to service fees while Class 1 shares are not; and (iii) Class 2 shares and Class 3 shares have voting rights on matters that pertain to the Rule 12b-1 plan adopted with respect to Class 2 shares 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’s average daily net assets. The Board of Trustees may establish additional portfolios or classes in the future.
Each of the Portfolios represents a separate managed portfolio of securities with its own investment objectives. The Board of Trustees 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. Please refer to your Seasons Variable Contract prospectus for sales and/or redemption charges under your Variable Contract.
Each Seasons Manged 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 certain other affiliated mutual funds (collectively, the “Underlying Portfolios”).
Each Portfolio is diversified with the exception of SA Multi-Managed Large Cap Growth Portfolio and SA T. Rowe Price Growth Stock Portfolio, which are non-diversified as defined by the 1940 Act.
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 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.
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 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 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 American Century Inflation Portfolio seeks long-term total return using a strategy that seeks to protect against U.S. inflation.
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 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 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.
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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.
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 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.
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.
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 U.S. 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 adopted by the Board of Trustees (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.
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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 the Portfolios’ assets and liabilities classified in the fair value hierarchy as of September 30, 2023, is reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s 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 adopted 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 an independent pricing service and are generally categorized as Level 2. The pricing services 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, maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from an independent 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 an independent 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. Investments in 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 an independent pricing service, and are generally categorized as Level 1. 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 an independent pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter (“OTC”) market are valued at a mid valuation provided by an independent pricing service, and are generally categorized as Level 2. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by an independent 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 an independent 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. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
The Board must determine fair value in good faith for portfolio holdings for which market quotations are not readily available or are unreliable. The Board has designated SAAMCo as the valuation designee (“Valuation Designee”) to perform the fair valuation determinations relating to any or all fund investments. SAAMCo, as the Valuation Designee, has adopted policies and procedures and has establishment a pricing review committee to determine the fair value of the designated portfolio holdings on its behalf.
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
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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.
Loans: Certain Portfolios invests 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.
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.
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 September 30, 2023, 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 Diversified Fixed Income Portfolio | | 6.50% | | $845,000 |
| SA Multi-Managed Growth Portfolio | | 0.31 | | 40,000 |
| SA Multi-Managed Income Portfolio | | 0.46 | | 60,000 |
| SA Multi-Managed Income/Equity Portfolio | | 0.50 | | 65,000 |
| SA Multi-Managed Large Cap Value Portfolio | | 1.62 | | 210,000 |
| SA Multi-Managed Mid Cap Growth Portfolio | | 1.31 | | 170,000 |
| SA Multi-Managed Moderate Growth Portfolio | | 0.73 | | 95,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated September 29, 2023, bearing interest at a rate of 5.28% per annum, with a principal amount of $12,993,000, a repurchase price of $12,998,717, and a maturity date of , October 2, 2023. The repurchase agreement is collateralized by the following:
| Type of Collateral | | Interest
Rate | | Maturity
Date | | Principal
Amount | | Value |
| U.S. Treasury Bonds | | 4.38% | | 05/15/2040 | | $13,734,000 | | $13,249,001 |
As of September 30, 2023, the following Portfolios held an undivided interest in the joint repurchase agreement with Barclays Capital, Inc.:
| Portfolio | | Percentage
Ownership | | Principal
Amount |
| SA Multi-Managed Diversified Fixed Income Portfolio | | 6.64% | | $930,000 |
| SA Multi-Managed Growth Portfolio | | 0.39 | | 55,000 |
| SA Multi-Managed Income Portfolio | | 0.54 | | 75,000 |
| SA Multi-Managed Income/Equity Portfolio | | 0.57 | | 80,000 |
| SA Multi-Managed Large Cap Value Portfolio | | 1.75 | | 245,000 |
| SA Multi-Managed Mid Cap Growth Portfolio | | 1.39 | | 195,000 |
| SA Multi-Managed Moderate Growth Portfolio | | 0.82 | | 115,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
Barclays Capital, Inc., dated September 29, 2023, bearing interest at a rate of 5.30% per annum, with a principal amount of $14,000,000, a repurchase price of $14,006,183, and a maturity date of October 2, 2023. The repurchase agreement is collateralized by the following:
| Type of Collateral | | Interest
Rate | | Maturity
Date | | Principal
Amount | | Value |
| U.S. Treasury Notes | | 0.38% | | 09/30/2027 | | $16,850,000 | | $14,242,210 |
As of September 30, 2023, the following Portfolios held an undivided interest in the joint repurchase agreement with BNP Paribas SA:
| Portfolio | | Percentage
Ownership | | Principal
Amount |
| SA Multi-Managed Diversified Fixed Income Portfolio | | 6.54% | | $915,000 |
| SA Multi-Managed Growth Portfolio | | 0.29 | | 40,000 |
| SA Multi-Managed Income Portfolio | | 0.46 | | 65,000 |
| SA Multi-Managed Income/Equity Portfolio | | 0.50 | | 70,000 |
| SA Multi-Managed Large Cap Value Portfolio | | 1.61 | | 225,000 |
| SA Multi-Managed Mid Cap Growth Portfolio | | 1.32 | | 185,000 |
| SA Multi-Managed Moderate Growth Portfolio | | 0.75 | | 105,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated September 29, 2023, bearing interest at a rate of 5.27% per annum, with a principal amount of $14,000,000, a repurchase price of $14,006,148 and a maturity date of October 2, 2023. The repurchase agreement is collateralized by the following:
| Type of Collateral | | Interest
Rate | | Maturity
Date | | Principal
Amount | | Value |
| U.S. Treasury Bonds | | 1.13% | | 05/15/2040 | | $24,762,100 | | $14,319,396 |
As of September 30, 2023, the following Portfolios held an undivided interest in the joint repurchase agreement with Deutsche Bank AG:
| Portfolio | | Percentage
Ownership | | Principal
Amount |
| SA Multi-Managed Diversified Fixed Income Portfolio | | 6.50% | | $845,000 |
| SA Multi-Managed Growth Portfolio | | 0.31 | | 40,000 |
| SA Multi-Managed Income Portfolio | | 0.46 | | 60,000 |
| SA Multi-Managed Income/Equity Portfolio | | 0.50 | | 65,000 |
| SA Multi-Managed Large Cap Value Portfolio | | 1.62 | | 210,000 |
| SA Multi-Managed Mid Cap Growth Portfolio | | 1.31 | | 170,000 |
| SA Multi-Managed Moderate Growth Portfolio | | 0.73 | | 95,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated September 29, 2023, bearing interest at a rate of 5.28% per annum, with a principal amount of $12,993,000, a repurchase price of $12,998,717, and a maturity date of October 2, 2023. The repurchase agreement is collateralized by the following:
| Type of Collateral | | Interest
Rate | | Maturity
Date | | Principal
Amount | | Value |
| U.S. Treasury Notes | | 3.88% | | 12/31/2029 | | $13,808,000 | | $13,353,820 |
As of September 30, 2023, the following Portfolios held an undivided interest in the joint repurchase agreement with RBS Securities, Inc.:
| Portfolio | | Percentage
Ownership | | Principal
Amount |
| SA Multi-Managed Diversified Fixed Income Portfolio | | 6.50% | | $845,000 |
| SA Multi-Managed Growth Portfolio | | 0.31 | | 40,000 |
| SA Multi-Managed Income Portfolio | | 0.46 | | 60,000 |
| SA Multi-Managed Income/Equity Portfolio | | 0.50 | | 65,000 |
| SA Multi-Managed Large Cap Value Portfolio | | 1.62 | | 210,000 |
| SA Multi-Managed Mid Cap Growth Portfolio | | 1.31 | | 170,000 |
| SA Multi-Managed Moderate Growth Portfolio | | 0.73 | | 95,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
RBS Securities, Inc., dated September 29, 2023, bearing interest at a rate of 5.27% per annum, with a principal amount of $12,994,000 a repurchase price of $12,999,707, and a maturity date of October 2, 2023. The repurchase agreement is collateralized by the following:
| Type of Collateral | | Interest
Rate | | Maturity
Date | | Principal
Amount | | Value |
| U.S. Treasury Notes | | 2.63% | | 05/31/2027 | | $14,145,000 | | $13,262,069 |
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.
When-Issued Securities and Forward Commitments: Certain Portfolios may purchase or sell when-issued securities, including TBA 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.
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 Portfolio’ 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.
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. 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. For financial statement purposes, the Portfolios amortize all premiums and accrete all discounts on fixed income securities. Distributions from income from underlying mutual fund investments, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from underlying mutual fund investments, if any, are recorded to realized gains on the ex-dividend date.
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 certain other countries’ tax regulations require that taxes be paid on capital gains realized by a 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.
Income, expenses other than class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based upon the relative net asset value of outstanding shares of each class of shares at the beginning of the day (after adjusting for current capital share 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.The expenses included in the accompanying financial statements reflect the expenses of each of the respective funds and do not include indirect expenses associated with the investments in the Underlying Portfolios.
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.
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.
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 recognized 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, SOFR 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. In April 2023, the FCA announced that the 1-month, 3-month and 6-month U.S. dollar LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. All other LIBOR settings have ceased to be published. On March 15, 2022, the Adjustable Interest Rate (LIBOR) Act (the “LIBOR Act”) was signed into law, providing a statutory fallback mechanism to replace LIBOR with a benchmark rate that is selected by the Federal Reserve Board and based on the SOFR for certain contracts that reference LIBOR without adequate fallback provisions. On December 16, 2022, the Federal Reserve Board adopted regulations implementing the LIBOR Act by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. These regulations apply only to contracts governed by U.S. law, among other limitations. The LIBOR Act and any additional regulatory or market changes may have an adverse impact on a Portfolio or its investments. Neither the effect of the LIBOR transition process nor its ultimate success can yet be known.
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. As a result of an extension in the planned discontinuation date of USD LIBOR, the FASB issued ASU No. 2022-06, Reference Rate Reform” in December 2022, which extends the temporary relief provided by ASU 2020-04 to December 31, 2024. Management is evaluating the potential impact of ASU 2020-04 and ASU 2022-06 to the financial statements.
Note 3 — 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 the 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 Statements 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, the Portfolios record 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.
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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 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 securities, 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 cleared 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 Portfolio 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 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
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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 following each Portfolio’s Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Portfolio for the same referenced entity or entities.
Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Equity Swap Agreements: 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.
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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 Portfolio receiving or paying, as the case may be, only the net amount of the two payments.
A cross-currency swap is an interest rate swap agreement where the two instruments are denominated in two different currencies. Each agreement comprises both long and short exposures based on the reference legs of the swap.
Interest rate swaps do not involve the delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to interest rate swaps is limited to the net amount of interest payments that a Portfolio is contractually obligated to make. If the other party to an interest rate swap defaults, a Portfolio’s risk of loss consists of the net discounted amount of interest payments that the Portfolio is contractually entitled to receive, if any. The use of interest rate swaps is a highly specialized activity which involves investment techniques and risks different from those associated with ordinary Portfolio securities transactions.
Interest rate swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Risks of Entering into Swap Agreements: Risks to a Portfolio of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Portfolio may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset’s perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Portfolio may suffer a loss, which may be in excess of the amount reflected on the statement of assets and liabilities.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a 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 in a 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 September 30, 2023, by their primary underlying risk exposure and the respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the six months ended September 30, 2023. For a detailed presentation of derivatives held as of September 30, 2023, please refer to the schedule at the end of each Portfolio’s Portfolio of Investments.
| | | Asset Derivatives | | Liability Derivatives | |
| | | Futures
Contracts(1) | | Swap
Contracts(2) | | Options
Purchased(3) | | Foreign
Forward
Exchange
Contracts(4) | | Futures
Contracts(1) | | Swap
Contracts(2) | | Options
Written(5) | | Foreign
Forward
Exchange
Contracts(6) |
| Portfolio | | Interest Rate Contracts | |
SA American Century Inflation Protection
| | $ — | | $452,652 | | $— | | $— | | $1,341,440 | | $1,488,142 | | $— | | $— |
SA Multi-Managed Diversified Fixed Income
| | 1,665,714 | | 890,700 | | — | | — | | 458,715 | | — | | — | | — |
SA Multi-Managed Growth
| | 19,847 | | 56,723 | | — | | — | | 13,086 | | — | | — | | — |
SA Multi-Managed Income
| | 88,363 | | 49,049 | | — | | — | | 32,545 | | — | | — | | — |
SA Multi-Managed Income/Equity
| | 60,027 | | 58,308 | | — | | — | | 42,357 | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | 60,921 | | 50,373 | | — | | — | | 23,722 | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | — | | — | | — | | — | | 50,414 | | — | | — | | — |
| | | Equity Contracts | |
SA Multi-Managed International Equity
| | — | | — | | — | | — | | 35,818 | | — | | — | | — |
SA Multi-Managed Large Cap Growth
| | — | | — | | — | | — | | 21,344 | | — | | — | | — |
SA Multi-Managed Large Cap Value
| | — | | — | | — | | — | | 32,016 | | — | | — | | — |
SA Multi-Managed Mid Cap Growth
| | — | | — | | — | | — | | 8,445 | | — | | — | | — |
SA Multi-Managed Mid Cap Value
| | — | | — | | — | | — | | 8,445 | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | — | | — | | — | | — | | 664 | | — | | — | | — |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | | Asset Derivatives | | Liability Derivatives | |
| | | Futures
Contracts(1) | | Swap
Contracts(2) | | Options
Purchased(3) | | Foreign
Forward
Exchange
Contracts(4) | | Futures
Contracts(1) | | Swap
Contracts(2) | | Options
Written(5) | | Foreign
Forward
Exchange
Contracts(6) |
| Portfolio | | Equity Contracts | |
SA Multi-Managed Small Cap
| | $ — | | $ — | | $ — | | $ — | | $29,812 | | $ — | | $ — | | $ — |
SA Putnam Asset Allocation Diversified Growth
| | 92,844 | | — | | 739,206 | | — | | — | | 1,014 | | 113,646 | | — |
| | | Credit Contracts | |
SA Multi-Managed Diversified Fixed Income
| | — | | 66,727 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Growth
| | — | | 404 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Income
| | — | | 1,068 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Income/Equity
| | — | | 1,068 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | — | | 1,068 | | — | | — | | — | | — | | — | | — |
| | | Foreign Exchange Contracts | |
SA American Century Inflation Protection
| | — | | — | | — | | 8,127 | | — | | — | | — | | — |
SA Multi-Managed Diversified Fixed Income
| | — | | — | | — | | 125,862 | | — | | — | | — | | — |
SA Multi-Managed Growth
| | — | | — | | 60,194 | | 1,377 | | — | | — | | — | | — |
SA Multi-Managed Income
| | — | | — | | 15,622 | | 8,074 | | — | | — | | — | | — |
SA Multi-Managed Income/Equity
| | — | | — | | 38,340 | | 7,288 | | — | | — | | — | | — |
SA Multi-Managed Large Cap Growth
| | — | | — | | 352,901 | | — | | — | | — | | — | | — |
SA Multi-Managed Large Cap Value
| | — | | — | | — | | 23,769 | | — | | — | | — | | 126 |
SA Multi-Managed Moderate Growth
| | — | | — | | 76,490 | | 7,189 | | — | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | — | | — | | — | | 35,543 | | — | | — | | — | | 119,524 |
|
| (1) | Amount represents cumulative appreciation/depreciation on futures as disclosed in the Portfolio of Investments. Only the Variation margin on futures contracts is separately disclosed on the Statements of Assets and Liabilities. |
| (2) | Amount represents the cumulative appreciation and depreciation on centrally cleared swaps, if applicable, as disclosed within the Portfolio of Investments. Only the current day’s variation margin, if any, are reported within the Statements of Assets and Liabilities. OTC swaps are reported within the Statement of Assets and Liabilities within Unrealized appreciation and depreciation on swap contracts and Swap premiums paid and Swap premiums received, if applicable. |
| (3) | Investments at value (unaffiliated) |
| (4) | Unrealized appreciation on forward foreign currency contracts |
| (5) | Call and put options written, at value |
| (6) | Unrealized depreciation on forward foreign currency contracts |
| | | Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |
| | | Futures
Contracts(1) | | Swap
Contracts(2) | | Written
Options(3) | | Purchased
Options(4) | | Foreign
Forward
Exchange
Contracts(5) |
| Portfolio | | Interest Rate Contracts | |
SA American Century Inflation Protection
| | $(4,151,201) | | $121,027 | | $— | | $— | | $— |
SA Multi-Managed Diversified Fixed Income
| | 1,748,535 | | (18,911) | | — | | — | | — |
SA Multi-Managed Growth
| | 2,142 | | 2,308 | | — | | — | | — |
SA Multi-Managed Income
| | 32,025 | | 880 | | — | | — | | — |
SA Multi-Managed Income/Equity
| | 51,497 | | 1,446 | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | 31,289 | | (1,206) | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | 226,643 | | — | | — | | — | | — |
| | | Equity Contracts | |
SA Multi-Managed Growth
| | (1,807) | | — | | — | | — | | — |
SA Multi-Managed International Equity
| | 391,015 | | — | | — | | — | | — |
SA Multi-Managed Large Cap Growth
| | 49,296 | | — | | — | | — | | — |
SA Multi-Managed Large Cap Value
| | 73,943 | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Growth
| | 8,440 | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Value
| | 8,440 | | — | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | 9,219 | | — | | — | | — | | — |
SA Multi-Managed Small Cap
| | 76,861 | | — | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | (2,304,530) | | 16,361 | | — | | — | | — |
| | | Credit Contracts | |
SA Multi-Managed Diversified Fixed Income
| | — | | (30,923) | | — | | — | | — |
SA Multi-Managed Growth
| | — | | (414) | | — | | — | | — |
SA Multi-Managed Income
| | — | | (1,077) | | — | | — | | — |
SA Multi-Managed Income/Equity
| | — | | (1,082) | | — | | — | | — |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | | Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |
| | | Futures
Contracts(1) | | Swap
Contracts(2) | | Written
Options(3) | | Purchased
Options(4) | | Foreign
Forward
Exchange
Contracts(5) |
| Portfolio | | Credit Contracts | |
SA Multi-Managed Moderate Growth
| | $— | | $(1,094) | | $— | | $ — | | $ — |
| | | Foreign Forward Exchange Contracts | |
SA American Century Inflation Protection
| | — | | — | | — | | — | | 351,895 |
SA Multi-Managed Diversified Fixed Income
| | — | | — | | — | | — | | (72,006) |
SA Multi-Managed Growth
| | — | | — | | — | | (42,011) | | (2,093) |
SA Multi-Managed Income
| | — | | — | | — | | (11,487) | | (4,378) |
SA Multi-Managed Income/Equity
| | — | | — | | — | | (27,281) | | (4,575) |
SA Multi-Managed Large Cap Growth
| | — | | — | | — | | (194,371) | | — |
SA Multi-Managed Large Cap Value
| | — | | — | | — | | — | | 221,460 |
SA Multi-Managed Moderate Growth
| | — | | — | | — | | (55,280) | | (4,736) |
SA Putnam Asset Allocation Diversified Growth
| | — | | — | | — | | — | | (108,902) |
| | | Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |
| | | Futures
Contracts(6) | | Swap
Contracts(7) | | Written
Options(8) | | Purchased
Options(9) | | Foreign
Forward
Exchange
Contracts(10) |
| Portfolio | | Interest Rate Contracts | |
SA American Century Inflation Protection
| | $(3,549,848) | | $ 52,806 | | $ — | | $ — | | $ — |
SA Multi-Managed Diversified Fixed Income
| | 2,669,243 | | 985,892 | | — | | — | | — |
SA Multi-Managed Growth
| | 18,471 | | 29,011 | | — | | — | | — |
SA Multi-Managed Income
| | 159,505 | | 48,660 | | — | | — | | — |
SA Multi-Managed Income/Equity
| | 83,953 | | 58,002 | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | 110,127 | | 49,952 | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | (164,008) | | — | | — | | — | | — |
| | | Equity Contracts | |
SA Multi-Managed Growth
| | (4,008) | | — | | — | | — | | — |
SA Multi-Managed International Equity
| | (370,612) | | — | | — | | — | | — |
SA Multi-Managed Large Cap Growth
| | (39,972) | | — | | — | | — | | — |
SA Multi-Managed Large Cap Value
| | (59,957) | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Growth
| | (14,423) | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Value
| | (14,423) | | — | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | (8,690) | | — | | — | | — | | — |
SA Multi-Managed Small Cap
| | (54,623) | | — | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | 960,899 | | (2,522) | | (21,204) | | — | | — |
| | | Credit Contracts | |
SA Multi-Managed Diversified Fixed Income
| | — | | (55,893) | | — | | — | | — |
SA Multi-Managed Growth
| | — | | (514) | | — | | — | | — |
SA Multi-Managed Income
| | — | | (1,363) | | — | | — | | — |
SA Multi-Managed Income/Equity
| | — | | (1,363) | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | — | | (1,357) | | — | | — | | — |
| | | Foreign Forward Exchange Contracts | |
SA American Century Inflation Protection
| | — | | — | | — | | — | | 8,127 |
SA Multi-Managed Diversified Fixed Income
| | — | | — | | — | | — | | 261,105 |
SA Multi-Managed Growth
| | — | | — | | — | | 43,806 | | 3,026 |
SA Multi-Managed Income
| | — | | — | | — | | 11,942 | | 17,793 |
SA Multi-Managed Income/Equity
| | — | | — | | — | | 28,412 | | 15,850 |
SA Multi-Managed Large Cap Growth
| | — | | — | | — | | 210,966 | | — |
SA Multi-Managed Large Cap Value
| | — | | — | | — | | — | | 127,556 |
SA Multi-Managed Moderate Growth
| | — | | — | | — | | 57,448 | | 15,988 |
SA Putnam Asset Allocation Diversified Growth
| | — | | — | | — | | — | | (53,723) |
|
| (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 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| (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 |
The following table represents the average monthly balances of derivatives held during the six months ended September 30, 2023.
| | | Average Amount Outstanding During the Period | |
| Portfolio | | Futures
Contracts(1) | | Foreign
Forward
Exchange
Contracts(1) | | Purchased
Put Options
Contracts(2) | | Interest
Rate Swap
Contracts(1) | | Credit
Default
Swap
Contracts(1) | | Equity
Swaps(2) | | Written
Put Option
Contracts(2) |
SA American Century Inflation Protection
| | $152,404,503 | | $13,580,399 | | $ — | | $262,825,000 | | $ — | | $ — | | $ — |
SA Multi-Managed Diversified Fixed Income
| | 104,713,879 | | 9,446,921 | | — | | 4,795,833 | | 3,145,000 | | — | | — |
SA Multi-Managed Growth
| | 3,007,525 | | 110,427 | | 43,530 | | 180,000 | | 39,000 | | — | | — |
SA Multi-Managed Income
| | 7,358,060 | | 761,605 | | 11,457 | | 217,500 | | 103,000 | | — | | — |
SA Multi-Managed Income/Equity
| | 7,512,404 | | 685,805 | | 27,856 | | 273,333 | | 103,000 | | — | | — |
SA Multi-Managed International Equity
| | 2,596,840 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Large Cap Growth
| | 438,721 | | — | | 250,971 | | — | | — | | — | | — |
SA Multi-Managed Large Cap Value
| | 658,081 | | 14,950,370 | | — | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Growth
| | 257,770 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Value
| | 257,770 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | 9,089,608 | | 690,161 | | 55,673 | | 223,333 | | 103,000 | | — | | — |
SA Multi-Managed Small Cap
| | 1,094,568 | | — | | — | | — | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | 21,043,123 | | 5,918,387 | | 212,903 | | — | | — | | 114,314 | | 34,517 |
|
| (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 for the six months ended September 30, 2023:
| | | Objectives for Using Derivatives | | |
| Fund | | Futures
Contracts | | Foreign
Forward
Exchange
Contracts | | Options
Contracts | | Interest
Rate Swap
Contracts | | Credit
Default
Swap
Contracts | | Equity
Swap
Contracts |
SA American Century Inflation Protection
| | 1 | | 2 | | — | | 3 | | — | | — |
SA Multi-Managed Diversified Fixed Income . . ..
| | 1 | | 2 | | — | | 1 | | 3, 4 | | — |
SA Multi-Managed Growth
| | 1, 5 | | 2 | | 6 | | 1 | | 3, 4 | | — |
SA Multi-Managed Income
| | 1 | | 2 | | 6 | | 1 | | 3, 4 | | — |
SA Multi-Managed Income/Equity
| | 1 | | 2 | | 6 | | 1 | | 3, 4 | | — |
SA Multi-Managed International Equity
| | 5 | | — | | — | | — | | — | | — |
SA Multi-Managed Large Cap Growth
| | 5 | | — | | 6 | | — | | — | | — |
SA Multi-Managed Large Cap Value
| | 5 | | 2 | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Growth
| | 5 | | — | | — | | — | | — | | — |
SA Multi-Managed Mid Cap Value
| | 5 | | — | | — | | — | | — | | — |
SA Multi-Managed Moderate Growth
| | 1, 5 | | 2 | | 6 | | 1 | | 3, 4 | | — |
SA Multi-Managed Small Cap
| | 5 | | — | | — | | — | | — | | — |
SA Putnam Asset Allocation Diversified Growth . ..
| | 1, 5 | | 2 | | 3 | | — | | — | | 3 |
| (1) | To manage interest rate risk and the duration of the portfolio. |
| (2) | To manage foreign currency exchange rate risk. |
| (3) | To manage against or gain exposure to certain securities and/or sectors. |
| (4) | To manage credit risk. |
| (5) | To manage exposures in certain securities markets. |
| (6) | To manage foreign currency risk resulting directly or indirectly from investments in equity holdings. |
The following tables set forth the Portfolios’ derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged (received) as of September 30, 2023. The repurchase agreements held by the Portfolios as of September 30, 2023, are also subject to Master Agreements but
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
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 American Century Inflation Protection Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Morgan Stanley & Co., Inc.
| | $8,127 | | $— | | $— | | $8,127 | | $— | | $— | | $— | | $— | | $8,127 | | $— | | $8,127 |
Total
| | $8,127 | | $— | | $— | | $8,127 | | $— | | $— | | $— | | $— | | $8,127 | | $— | | $8,127 |
|
| (1) | Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities. |
| (2) | For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above. |
| (3) | Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
| | | SA Multi-Managed Diversified Fixed Income Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Bank of Montreal
| | $ 3,112 | | $— | | $— | | $ 3,112 | | $— | | $— | | $— | | $— | | $ 3,112 | | $— | | $ 3,112 |
Deutsche Bank AG
| | 94,224 | | — | | — | | 94,224 | | — | | — | | — | | — | | 94,224 | | — | | 94,224 |
Goldman Sachs International
| | 23,817 | | — | | — | | 23,817 | | — | | — | | — | | — | | 23,817 | | — | | 23,817 |
JPMorgan Chase Bank, N.A.
| | 3,116 | | — | | — | | 3,116 | | — | | — | | — | | — | | 3,116 | | — | | 3,116 |
Morgan Stanley & Co. International PLC
| | 1,593 | | — | | — | | 1,593 | | — | | — | | — | | — | | 1,593 | | — | | 1,593 |
Total
| | $125,862 | | $— | | $— | | $125,862 | | $— | | $— | | $— | | $— | | $125,862 | | $— | | $125,862 |
|
| (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 Growth Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Deutsche Bank AG
| | $ 926 | | $— | | $ — | | $ 926 | | $— | | $— | | $— | | $— | | $ 926 | | $ — | | $ 926 |
Goldman Sachs International
| | 451 | | — | | — | | 451 | | — | | — | | — | | — | | 451 | | — | | 451 |
JPMorgan Chase Bank, N.A.
| | — | | — | | 35,515 | | 35,515 | | — | | — | | — | | — | | 35,515 | | (10,000) | | 25,515 |
Standard Chartered Bank
| | — | | — | | 24,679 | | 24,679 | | — | | — | | — | | — | | 24,679 | | (10,000) | | 14,679 |
Total
| | $1,377 | | $— | | $60,194 | | $61,571 | | $— | | $— | | $— | | $— | | $61,571 | | $(20,000) | | $41,571 |
|
| (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. |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | | SA Multi-Managed Income Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Deutsche Bank AG
| | $6,743 | | $— | | $ — | | $ 6,743 | | $— | | $— | | $— | | $— | | $ 6,743 | | $— | | $ 6,743 |
Goldman Sachs International
| | 1,331 | | — | | — | | 1,331 | | — | | — | | — | | — | | 1,331 | | — | | 1,331 |
JPMorgan Chase Bank, N.A.
| | — | | — | | 9,192 | | 9,192 | | — | | — | | — | | — | | 9,192 | | — | | 9,192 |
Standard Chartered Bank
| | — | | — | | 6,430 | | 6,430 | | — | | — | | — | | — | | 6,430 | | — | | 6,430 |
Total
| | $8,074 | | $— | | $15,622 | | $23,696 | | $— | | $— | | $— | | $— | | $23,696 | | $— | | $23,696 |
|
| (1) | Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities. |
| (2) | For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above. |
| (3) | Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
| | | SA Multi-Managed Income/Equity Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Deutsche Bank AG
| | $5,947 | | $— | | $ — | | $ 5,947 | | $— | | $— | | $— | | $— | | $ 5,947 | | $— | | $ 5,947 |
Goldman Sachs International
| | 1,341 | | — | | — | | 1,341 | | — | | — | | — | | — | | 1,341 | | — | | 1,341 |
JPMorgan Chase Bank, N.A.
| | — | | — | | 22,484 | | 22,484 | | — | | — | | — | | — | | 22,484 | | — | | 22,484 |
Standard Chartered Bank
| | — | | — | | 15,856 | | 15,856 | | — | | — | | — | | — | | 15,856 | | — | | 15,856 |
Total
| | $7,288 | | $— | | $38,340 | | $45,628 | | $— | | $— | | $— | | $— | | $45,628 | | $— | | $45,628 |
|
| (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 | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Goldman Sachs International
| | $— | | $— | | $ — | | $ — | | $— | | $— | | $— | | $— | | $ — | | $ — | | $— |
JPMorgan Chase Bank, N.A.
| | — | | — | | 206,197 | | 206,197 | | — | | — | | — | | — | | 206,197 | | (206,197) | | — |
Standard Chartered Bank
| | — | | — | | 146,704 | | 146,704 | | — | | — | | — | | — | | 146,704 | | (146,704) | | — |
Total
| | $— | | $— | | $352,901 | | $352,901 | | $— | | $— | | $— | | $— | | $352,901 | | $(352,901) | | $— |
|
| (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 Value Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Bank of America, N.A.
| | $ 3,016 | | $— | | $— | | $ 3,016 | | $ — | | $— | | $— | | $ — | | $ 3,016 | | $— | | $ 3,016 |
Goldman Sachs International
| | 7,281 | | — | | — | | 7,281 | | 126 | | — | | — | | 126 | | 7,155 | | — | | 7,155 |
JPMorgan Chase Bank, N.A.
| | 3,362 | | — | | — | | 3,362 | | — | | — | | — | | — | | 3,362 | | — | | 3,362 |
Morgan Stanley & Co. International PLC
| | 10,110 | | — | | — | | 10,110 | | — | | — | | — | | — | | 10,110 | | — | | 10,110 |
Total
| | $23,769 | | $— | | $— | | $23,769 | | $126 | | $— | | $— | | $126 | | $23,643 | | $— | | $23,643 |
|
| (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. |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | | SA Multi-Managed Moderate Growth Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Deutsche Bank AG
| | $5,889 | | $— | | $ — | | $ 5,889 | | $— | | $— | | $— | | $— | | $ 5,889 | | $ — | | $ 5,889 |
Goldman Sachs International
| | 1,300 | | — | | — | | 1,300 | | — | | — | | — | | — | | 1,300 | | — | | 1,300 |
JPMorgan Chase Bank, N.A.
| | — | | — | | 45,013 | | 45,013 | | — | | — | | — | | — | | 45,013 | | (45,013) | | — |
Standard Chartered Bank
| | — | | — | | 31,477 | | 31,477 | | — | | — | | — | | — | | 31,477 | | (10,000) | | 21,477 |
Total
| | $7,189 | | $— | | $76,490 | | $83,679 | | $— | | $— | | $— | | $— | | $83,679 | | $(55,013) | | $28,666 |
|
| (1) | Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities. |
| (2) | For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above. |
| (3) | Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
| | | SA Putnam Asset Allocation Diversified Growth Portfolio | | | | | | |
| | | Derivative Assets(1) | | Derivative Liabilities(1) | | | | | | |
| Counterparty | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Purchased | | Total | | Forward
Foreign
Currency
Contracts | | OTC
Swaps | | Options
Written | | Total | | Net
Derivative
Assets
(Liabilities) | | Collateral
Pledged/
(Received)(2) | | Net
Amount(3) |
Bank of America, N.A.
| | $ — | | $— | | $ — | | $ — | | $ 9,381 | | $1,014 | | $ — | | $ 10,395 | | $ (10,395) | | $— | | $ (10,395) |
Citibank, N.A.
| | 1,545 | | — | | 739,206 | | 740,751 | | 6 | | — | | 113,646 | | 113,652 | | 627,099 | | — | | 627,099 |
Goldman Sachs International
| | 15,943 | | — | | — | | 15,943 | | 18,662 | | — | | — | | 18,662 | | (2,719) | | — | | (2,719) |
HSBC Bank PLC
| | 4,564 | | — | | — | | 4,564 | | 4,229 | | — | | — | | 4,229 | | 335 | | — | | 335 |
JPMorgan Chase Bank, N.A.
| | 5,019 | | — | | — | | 5,019 | | 48,617 | | — | | — | | 48,617 | | (43,598) | | — | | (43,598) |
State Street Bank & Trust Company
| | 8,167 | | — | | — | | 8,167 | | 21,373 | | — | | — | | 21,373 | | (13,206) | | — | | (13,206) |
Toronto Dominion Bank
| | 305 | | — | | — | | 305 | | 3,586 | | — | | — | | 3,586 | | (3,281) | | — | | (3,281) |
UBS AG
| | — | | — | | — | | — | | 13,670 | | — | | — | | 13,670 | | (13,670) | | — | | (13,670) |
Total
| | $35,543 | | $— | | $739,206 | | $774,749 | | $119,524 | | $1,014 | | $113,646 | | $234,184 | | $540,565 | | $— | | $540,565 |
|
| (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. |
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 capital losses, investments in passive foreign investment companies, investments in real estate investment trusts, investments in regulated investment companies, straddle loss deferrals, foreign taxes payable, contingent payment debt securities, inflation securities, late year ordinary losses, investments in partnerships, treatment of defaulted securities and derivative transactions.
| | | Distributable Earnings | | Tax Distributions |
| | | For the year ended March 31, 2023 |
| Portfolio | | Ordinary
Income | | Long-term
Gains/Capital
Loss Carryover | | Unrealized
Appreciation
(Depreciation)* | | Ordinary
Income | | Long-Term
Capital
Gains |
SA Allocation Balanced
| | $ 5,174,688 | | $ 12,286,320 | | $(35,482,776) | | $ 6,649,554 | | $11,844,721 |
SA Allocation Growth
| | 8,784,544 | | 36,033,835 | | (56,740,982) | | 9,324,721 | | 22,056,325 |
SA Allocation Moderate Growth
| | 10,729,477 | | 36,100,264 | | (55,071,877) | | 13,608,667 | | 31,491,806 |
SA Allocation Moderate
| | 6,184,872 | | 18,802,633 | | (37,334,650) | | 8,159,367 | | 18,075,727 |
SA American Century Inflation Protection
| | 27,136,550 | | (26,679,346) | | (59,568,612) | | 25,613,789 | | — |
SA Columbia Focused Value
| | 4,709,933 | | 18,333,995 | | 70,254,730 | | 6,170,511 | | 33,363,542 |
SA Multi-Managed Diversified Fixed Income
| | 15,576,320 | | (47,914,227) | | (75,378,943) | | 18,471,549 | | — |
SA Multi-Managed Growth
| | — | | (7,830,365) | | (3,101,226) | | — | | 6,109,542 |
SA Multi-Managed Income
| | 497,173 | | (2,862,351) | | (4,374,348) | | 449,848 | | 1,089,179 |
SA Multi-Managed Income/Equity
| | 415,156 | | (6,370,605) | | (4,775,575) | | 266,713 | | 2,457,300 |
SA Multi-Managed International Equity
| | 6,316,575 | | 867,221 | | 31,926,531 | | 6,884,084 | | 19,491,019 |
SA Multi-Managed Large Cap Growth
| | — | | 1,058,935 | | 39,776,037 | | 29,803 | | 60,958,375 |
SA Multi-Managed Large Cap Value
| | 10,334,594 | | 67,255,538 | | 17,802,430 | | 22,271,283 | | 97,422,799 |
SA Multi-Managed Mid Cap Growth
| | — | | (12,330,944) | | 10,177,625 | | 2,293,640 | | 42,766,296 |
SA Multi-Managed Mid Cap Value
| | 2,190,782 | | 14,504,104 | | 22,519,825 | | 7,521,793 | | 23,625,883 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | | Distributable Earnings | | Tax Distributions |
| | | For the year ended March 31, 2023 |
| Portfolio | | Ordinary
Income | | Long-term
Gains/Capital
Loss Carryover | | Unrealized
Appreciation
(Depreciation)* | | Ordinary
Income | | Long-Term
Capital
Gains |
SA Multi-Managed Moderate Growth
| | $ 202,289 | | $(10,380,715) | | $ (6,143,154) | | $ 325,352 | | $ 7,367,286 |
SA Multi-Managed Small Cap
| | 637,117 | | 5,026,985 | | 6,037,770 | | 4,420,598 | | 30,584,652 |
SA Putnam Asset Allocation Diversified Growth
| | 2,605,016 | | (6,716,047) | | 11,572,521 | | 6,700,659 | | 26,242,262 |
SA T. Rowe Price Growth Stock
| | — | | 10,322,448 | | 43,652,917 | | — | | 46,114,678 |
|
| * | Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency. |
As of March 31, 2023, for Federal income tax purposes, the Portfolios indicated below have capital loss carryforwards, which are available to offset future capital gains, if any:
| | | Capital Loss
Carryforward
Unlimited |
| Portfolio | | ST | | LT |
SA American Century Inflation Protection
| | $20,114,421 | | $ 6,564,925 |
SA Multi-Managed Diversified Fixed Income
| | 28,214,819 | | 19,699,408 |
SA Multi-Managed Growth
| | 3,954,312 | | 3,876,053 |
SA Multi-Managed Income
| | 1,064,287 | | 1,798,064 |
SA Multi-Managed Income/Equity
| | 2,544,869 | | 3,825,736 |
SA Multi-Managed Mid Cap Growth
| | 11,196,355 | | 1,134,589 |
SA Multi-Managed Moderate Growth
| | 4,802,550 | | 5,578,165 |
SA Putnam Asset Allocation Diversified Growth
| | 6,716,047 | | — |
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, 2023, 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
| | $ 7,141 | | $— | | $— |
SA Multi-Managed Large Cap Growth
| | 950,267 | | — | | — |
SA Multi-Managed Mid Cap Growth
| | 91,815 | | — | | — |
SA T. Rowe Price Growth Stock
| | 837,795 | | — | | — |
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 Allocation Balanced
| | $ 1,794,216 | | $ (35,571,017) | | $ (33,776,801) | | $258,964,847 |
SA Allocation Growth
| | 5,386,580 | | (54,425,414) | | (49,038,834) | | 445,236,757 |
SA Allocation Moderate Growth
| | 9,080,801 | | (60,378,243) | | (51,297,442) | | 496,388,638 |
SA Allocation Moderate
| | 3,792,505 | | (39,060,003) | | (35,267,498) | | 297,122,330 |
SA American Century Inflation Protection
| | (1,547,220) | | (88,813,926) | | (90,361,146) | | 660,571,934 |
SA Columbia Focused Value
| | 68,771,197 | | (25,300,983) | | 43,470,214 | | 249,766,832 |
SA Multi-Managed Diversified Fixed Income
| | 3,400,111 | | (104,878,007) | | (101,477,896) | | 925,373,585 |
SA Multi-Managed Growth
| | 3,147,196 | | (5,241,814) | | (2,094,618) | | 36,680,566 |
SA Multi-Managed Income
| | 774,328 | | (5,728,160) | | (4,953,832) | | 36,887,163 |
SA Multi-Managed Income/Equity
| | 1,471,622 | | (6,357,602) | | (4,885,980) | | 44,779,906 |
SA Multi-Managed International Equity
| | 48,005,989 | | (29,653,834) | | 18,352,155 | | 257,833,354 |
SA Multi-Managed Large Cap Growth
| | 76,361,437 | | (29,935,189) | | 46,426,248 | | 276,074,840 |
SA Multi-Managed Large Cap Value
| | 52,996,613 | | (44,945,908) | | 8,050,705 | | 485,123,949 |
SA Multi-Managed Mid Cap Growth
| | 17,456,269 | | (15,776,293) | | 1,679,976 | | 143,168,852 |
SA Multi-Managed Mid Cap Value
| | 32,308,611 | | (16,210,079) | | 16,098,532 | | 167,373,688 |
SA Multi-Managed Moderate Growth
| | 4,499,671 | | (9,780,280) | | (5,280,609) | | 64,245,112 |
SA Multi-Managed Small Cap
| | 24,403,410 | | (22,352,144) | | 2,051,266 | | 145,746,349 |
SA Putnam Asset Allocation Diversified Growth
| | 28,169,907 | | (11,528,740) | | 16,641,167 | | 170,050,818 |
SA T. Rowe Price Growth Stock
| | 62,220,852 | | (8,942,889) | | 53,277,963 | | 194,914,685 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
Note 5 — Investment Advisory and Management Agreement, and Service Plan (12b-1 Plan)
SAAMCo serves as investment adviser to the Trust and employs investment subadvisers that make investment decisions for all or portions of certain of the Portfolios. The Portfolios pay SAAMCo a monthly fee, calculated daily based on net assets at the annual rates set forth in the table below. SAAMCo has contractually (unless otherwise indicated) agreed to waive a portion of its advisory fee for certain Portfolios. The subadvisers are compensated for their services by SAAMCo.
| Portfolio | | Subadviser | | Advisory Fee | | Advisory Fee after Waiver |
| SA Allocation Balanced | | | | 0.10% | | 0.09% |
| SA Allocation Growth | | | | 0.10% | | 0.09% |
| SA Allocation Moderate Growth | | | | 0.10% | | 0.09% |
| SA Allocation Moderate | | | | 0.10% | | 0.09% |
| SA American Century Inflation Protection | | American Century Invesment Management, Inc. | | 0.60% on the first $500 million
0.55% over $500 million | | 0.54% on the first $500 million
0.49% over $500 million *
* Voluntary Waiver |
| SA Columbia Focused Value | | Columbia Management Investment Advisers, LLC | | 1.00% on the first $250 million
0.95% on the next $250 million
0.90% over $500 million | | 0.67% |
| SA Multi-Managed Diversified Fixed Income | | PineBridge Investments LLC
Wellington Management Company LLP | | 0.70% on the first $200 million
0.65% on the next $200 million
0.60% over $400 million | | No fee waiver |
| SA Multi-Managed Growth | | J.P. Morgan Investment Management, Inc.
Morgan Stanley Investment Management Inc.
Wellington Management Company LLP | | 0.89% on the first $250 million
0.84% on the next $250 million
0.79% over $500 million | | 0.62% on the first $250 million
0.57% on the next $250 million
0.52% over $500 million |
| SA Multi-Managed Income | | Morgan Stanley Investment Management Inc.
Wellington Management Company LLP | | 0.77% on the first $250 million
0.72% on the next $250 million
0.67% over $500 million | | 0.69% on the first $250 million
0.64% on the next $250 million
0.59% over $500 million |
| SA Multi-Managed Income/Equity | | Morgan Stanley Investment Management Inc.
Wellington Management Company LLP | | 0.81% on the first $250 million
0.76% on the next $250 million
0.71% over $500 million | | 0.75% on the first $250 million
0.70% on the next $250 million
0.65% over $500 million |
| SA Multi-Managed International Equity | | Schroder Investment Management North America Inc.
T. Rowe Price Associates, Inc. | | 0.95% on the first $250 million
0.90% on the next $250 million
0.85% over $500 million | | 0.91% on the first $250 million
0.86% on the next $250 million
0.81% over $500 million |
| SA Multi-Managed Large Cap Growth | | Goldman Sachs Asset Management, L.P.
Morgan Stanley Investment Management Inc. | | 0.80% on the first $250 million
0.75% on the next $250 million
0.70% over $500 million | | 0.73% on the first $250 million
0.67% on the next $250 million
0.58% over $500 million |
| SA Multi-Managed Large Cap Value | | American Century Invesment Management, Inc.
Wellington Management Company LLP | | 0.80% on the first $250 million
0.75% on the next $250 million
0.70% over $500 million | | No fee waiver |
| SA Multi-Managed Mid Cap Growth | | T. Rowe Price Associates, Inc.
Wellington Management Company LLP | | 0.85% on the first $250 million
0.80% on the next $250 million
0.75% over $500 million | | No fee waiver |
| SA Multi-Managed Mid Cap Value | | Massachusetts Financial Services Company
T. Rowe Price Associates, Inc. | | 0.85% on the first $250 million
0.80% on the next $250 million
0.75% over $500 million | | No fee waiver |
| SA Multi-Managed Moderate Growth | | J.P. Morgan Investment Management, Inc.
Morgan Stanley Investment Management Inc.
Wellington Management Company LLP | | 0.85% on the first $250 million
0.80% on the next $250 million
0.75% over $500 million | | 0.75% on the first $250 million
0.70% on the next $250 million
0.65% over $500 million |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| Portfolio | | Subadviser | | Advisory Fee | | Advisory Fee after Waiver |
| SA Multi-Managed Small Cap | | J.P. Morgan Investment Management, Inc.
Schroder Investment Management North America Inc. | | 0.85% on the first $250 million
0.80% on the next $250 million
0.75% over $500 million | | No fee waiver |
| SA Putnam Asset Allocation Diversified Growth | | Putnam Investment Management, LLC | | 0.85% on the first $250 million
0.80% on the next $250 million
0.75% over $500 million | | 0.70% on the first $250 million
0.65% on the next $250 million
0.60% over $500 million |
| SA T. Rowe Price Growth Stock | | T. Rowe Price Associates, Inc. | | 0.85% on the first $250 million
0.80% on the next $250 million
0.75% over $500 million | | No fee waiver |
For the six months ended September 30, 2023, advisory fees waived were as follows:
| Portfolio | | Amount |
SA Allocation Balanced
| | $ 11,759 |
SA Allocation Growth
| | 20,281 |
SA Allocation Moderate Growth
| | 23,308 |
SA Allocation Moderate
| | 13,643 |
SA American Century Inflation Protection
| | 184,444 |
SA Columbia Focused Value
| | 514,836 |
SA Multi-Managed Growth
| | 46,894 |
SA Multi-Managed Income
| | 11,227 |
SA Multi-Managed Income/Equity
| | 10,940 |
SA Multi-Managed International Equity
| | 61,123 |
SA Multi-Managed Large Cap Growth
| | 131,902 |
SA Multi-Managed Moderate Growth
| | 28,800 |
SA Putnam Asset Allocation Diversified Growth
| | 138,685 |
The Adviser has contractually agreed to waive its fees and/or reimburse expenses, if necessary, to keep annual operating expenses at or below certain percentages of the following Portfolios’ average net assets. This agreement may be modified or discontinued prior to July 31, 2024, only with the approval of the Board, including a majority of the trustees who are not “interested persons” of the Trust as defined in the 1940 Act. For purposes of the waived fees and reimbursed expense calculations, annual Portfolio operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and infrequent in occurrence such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Portfolio’s business. During the period ended September 30, 2023, the Adviser waived its fees and/or reimbursed expenses, if necessary, to keep annual operating expenses at or below the following percentages:
| Portfolio | | Class 1 | | Class 2 | | Class 3 |
SA Multi-Managed Growth
| | 1.07% | | 1.22% | | 1.32% |
SA Multi-Managed Income
| | 1.18% | | 1.33% | | 1.43% |
SA Multi-Managed Income/Equity
| | 1.13% | | 1.28% | | 1.38% |
SA Multi-Managed Moderate Growth
| | 1.04% | | 1.19% | | 1.29% |
The Adviser may also voluntarily waive additional fees and/or reimburse additional expenses. The Adviser may terminate all such voluntary waivers and/or reimbursements at any time.
For the six months ended September 30, 2023, expenses reimbursed were as follows:
| Portfolio | | Amount |
SA Multi-Managed Growth
| | $41,185 |
SA Multi-Managed Income
| | 31,820 |
SA Multi-Managed Income/Equity
| | 30,946 |
SA Multi-Managed Moderate Growth
| | 48,678 |
Waivers or reimbursements made by the Adviser with respect to a Portfolio, with the exception of advisory fee waivers, are subject to recoupment from that Portfolio within the following two years, provided that the Portfolio is able to effect such payment to the Adviser without exceeding the applicable expense limitations in effect at the time such waivers and/or reimbursements occurred or the current expense limitation of that share class.
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
For the six months ended September 30, 2023, the amounts repaid to the Adviser which are included in the Statement of Operations along with the remaining balance subject to recoupment were as follows:
| | | Balance Subject to
Recoupment |
| Portfolio | | March 31, 2024 | | March 31, 2025 |
SA Multi-Managed Growth
| | $49,253 | | $41,185 |
SA Multi-Managed Income
| | 44,300 | | 31,820 |
SA Multi-Managed Income/Equity
| | 46,523 | | 30,945 |
SA Multi-Managed Moderate Growth
| | 58,362 | | 48,678 |
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. Accordingly, for the six months ended September 30, 2023, 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 will be used to compensate 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. Accordingly, for the six months ended September 30, 2023, service fees were paid (see Statement of Operations) based on the aforementioned rates.
Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Portfolios have been reduced. For the six months ended September 30, 2023, the amount of expense reductions received by each Portfolio used to offset non-affiliated expenses are reflected as “Fees paid indirectly” in the Statement of Operations.
Note 6 — Purchases and Sales of Investment Securities
The cost of purchases and proceeds from sales and maturities of long—term investments during the six months ended September 30, 2023 were as follows:
| Portfolio | | Purchases of
Investment
Securities
(excluding U.S.
Government
Securities) | | Sales of
Investment
Securities
(Excluding U.S.
Government
Securities) | | Purchase of U.S.
Government
Securities | | Sales of U.S.
Government
Securities |
SA Allocation Balanced
| | $22,025,757 | | $ 32,076,066 | | $ — | | $ — |
SA Allocation Growth
| | 28,395,377 | | 31,434,186 | | — | | — |
SA Allocation Moderate Growth
| | 21,752,730 | | 43,617,587 | | — | | — |
SA Allocation Moderate
| | 17,148,101 | | 27,859,780 | | — | | — |
SA American Century Inflation Protection
| | 33,103,006 | | 44,321,175 | | 51,545,827 | | 50,593,017 |
SA Columbia Focused Value
| | 15,896,033 | | 47,807,534 | | — | | — |
SA Multi-Managed Diversified Fixed Income
| | 87,445,782 | | 98,919,980 | | 74,592,290 | | 98,641,838 |
SA Multi-Managed Growth
| | 9,263,229 | | 11,155,761 | | 1,755,890 | | 1,458,527 |
SA Multi-Managed Income
| | 4,399,166 | | 5,107,596 | | 3,771,729 | | 3,383,761 |
SA Multi-Managed Income/Equity
| | 6,471,192 | | 7,839,125 | | 4,694,508 | | 3,835,153 |
SA Multi-Managed International Equity
| | 23,747,064 | | 43,335,519 | | — | | — |
SA Multi-Managed Large Cap Growth
| | 53,029,049 | | 117,264,843 | | — | | — |
SA Multi-Managed Large Cap Value
| | 57,560,906 | | 116,402,422 | | — | | — |
SA Multi-Managed Mid Cap Growth
| | 58,761,638 | | 73,245,447 | | — | | — |
SA Multi-Managed Mid Cap Value
| | 31,136,574 | | 45,092,968 | | — | | — |
SA Multi-Managed Moderate Growth
| | 13,329,602 | | 17,213,588 | | 4,472,006 | | 3,764,614 |
SA Multi-Managed Small Cap
| | 41,262,760 | | 64,492,524 | | — | | — |
SA Putnam Asset Allocation Diversified Growth
| | 47,807,550 | | 55,777,979 | | 957,699 | | 393,376 |
SA T. Rowe Price Growth Stock
| | 30,846,918 | | 88,145,500 | | — | | — |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
Note 7 — Capital Share Transactions
Transactions in capital shares of each class of each Portfolio were as follows:
| | SA Allocation Balanced Portfolio | | SA Allocation Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 30 | | $ 275 | | 9,788 | | $ 100,190 | | 4,897 | | $ 68,976 | | 8,487 | | $ 125,935 |
Reinvested dividends
| — | | — | | 629 | | 5,534 | | — | | — | | 25,939 | | 349,916 |
Shares redeemed
| (62) | | (563) | | (19,336) | | (180,423) | | (241,646) | | (3,522,824) | | (57,978) | | (894,609) |
Total
| (32) | | $ (288) | | (8,919) | | $ (74,699) | | (236,749) | | $ (3,453,848) | | (23,552) | | $ (418,758) |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 726,334 | | $ 6,569,922 | | 1,982,767 | | $ 18,475,365 | | 935,334 | | $ 13,316,250 | | 3,071,117 | | $ 44,019,706 |
Reinvested dividends
| — | | — | | 2,098,609 | | 18,488,741 | | — | | — | | 2,314,029 | | 31,031,130 |
Shares redeemed
| (1,785,394) | | (16,164,844) | | (3,081,951) | | (28,770,371) | | (851,817) | | (12,157,463) | | (1,461,066) | | (20,460,134) |
Total
| (1,059,060) | | $ (9,594,922) | | 999,425 | | $ 8,193,735 | | 83,517 | | $ 1,158,787 | | 3,924,080 | | $ 54,590,702 |
Net increase (decrease)
| (1,059,092) | | $ (9,595,210) | | 990,506 | | $ 8,119,036 | | (153,232) | | $ (2,295,061) | | 3,900,528 | | $ 54,171,944 |
| | SA Allocation Moderate Growth Portfolio | | SA Allocation Moderate Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 133 | | $ 1,308 | | 26,243 | | $ 288,324 | | 92 | | $ 906 | | 6,388 | | $ 67,099 |
Reinvested dividends
| — | | — | | 3,299 | | 30,813 | | — | | — | | 2,016 | | 18,689 |
Shares redeemed
| (625) | | (6,158) | | (18,902) | | (183,023) | | (400) | | (3,871) | | (696) | | (6,772) |
Total
| (492) | | $ (4,850) | | 10,640 | | $ 136,114 | | (308) | | $ (2,965) | | 7,708 | | $ 79,016 |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 559,345 | | $ 5,438,066 | | 2,052,751 | | $ 20,532,267 | | 576,462 | | $ 5,532,517 | | 1,408,119 | | $ 13,898,017 |
Reinvested dividends
| — | | — | | 4,835,800 | | 45,069,660 | | — | | — | | 2,834,206 | | 26,216,405 |
Shares redeemed
| (2,698,682) | | (26,438,291) | | (4,525,904) | | (45,266,919) | | (1,628,371) | | (15,720,644) | | (3,274,362) | | (32,383,365) |
Total
| (2,139,337) | | $(21,000,225) | | 2,362,647 | | $ 20,335,008 | | (1,051,909) | | $(10,188,127) | | 967,963 | | $ 7,731,057 |
Net increase (decrease)
| (2,139,829) | | $(21,005,075) | | 2,373,287 | | $ 20,471,122 | | (1,052,217) | | $(10,191,092) | | 975,671 | | $ 7,810,073 |
| | SA American Century Inflation Protection Portfolio | | SA Columbia Focused Value Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 317,066 | | $ 2,897,562 | | 1,828,994 | | $ 17,215,604 | | 40,653 | | $ 793,759 | | 1,951,204 | | $ 39,475,465 |
Reinvested dividends
| — | | — | | 1,142,207 | | 10,314,132 | | — | | — | | 1,859,320 | | 36,926,094 |
Shares redeemed
| (2,757,839) | | (24,744,769) | | (3,230,464) | | (30,248,570) | | (1,683,817) | | (33,486,866) | | (2,037,815) | | (42,835,582) |
Total
| (2,440,773) | | $(21,847,207) | | (259,263) | | $ (2,718,834) | | (1,643,164) | | $(32,693,107) | | 1,772,709 | | $ 33,565,977 |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| | | | | | | | | 24,833 | | $ 506,129 | | 15,168 | | $ 302,983 |
Reinvested dividends
| | | | | | | | | — | | — | | 81,155 | | 1,617,414 |
Shares redeemed
| | | | | | | | | (61,758) | | (1,219,579) | | (107,202) | | (2,268,541) |
Total
| | | | | | | | | (36,925) | | $ (713,450) | | (10,879) | | $ (348,144) |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 2,021,658 | | $ 17,972,867 | | 5,052,614 | | $ 46,740,926 | | 6,269 | | $ 124,190 | | 18,524 | | $ 392,243 |
Reinvested dividends
| — | | — | | 1,713,287 | | 15,299,657 | | — | | — | | 49,651 | | 990,545 |
Shares redeemed
| (3,302,666) | | (29,302,425) | | (5,850,094) | | (54,306,463) | | (30,236) | | (600,230) | | (83,969) | | (1,734,147) |
Total
| (1,281,008) | | $(11,329,558) | | 915,807 | | $ 7,734,120 | | (23,967) | | $ (476,040) | | (15,794) | | $ (351,359) |
Net increase (decrease)
| (3,721,781) | | $(33,176,765) | | 656,544 | | $ 5,015,286 | | (1,704,056) | | $(33,882,597) | | 1,746,036 | | $ 32,866,474 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | SA Multi-Managed Diversified Fixed Income Portfolio | | SA Multi-Managed Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 3,251,341 | | $ 32,478,812 | | 3,789,575 | | $ 38,515,992 | | 33,662 | | $ 305,558 | | 43,213 | | $ 401,955 |
Reinvested dividends
| — | | — | | 1,812,037 | | 18,011,646 | | — | | — | | 157,822 | | 1,313,079 |
Shares redeemed
| (8,475,724) | | (84,063,467) | | (10,698,402) | | (108,003,322) | | (23,812) | | (219,824) | | (94,629) | | (934,798) |
Total
| (5,224,383) | | $(51,584,655) | | (5,096,790) | | $ (51,475,684) | | 9,850 | | $ 85,734 | | 106,406 | | $ 780,236 |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| 130,553 | | $ 1,299,097 | | 50,781 | | $ 506,774 | | 62,227 | | $ 560,482 | | 100,334 | | $ 933,528 |
Reinvested dividends
| — | | — | | 31,396 | | 312,078 | | — | | — | | 294,281 | | 2,430,764 |
Shares redeemed
| (177,786) | | (1,765,422) | | (280,937) | | (2,837,749) | | (100,910) | | (923,812) | | (144,287) | | (1,421,400) |
Total
| (47,233) | | $ (466,325) | | (198,760) | | $ (2,018,897) | | (38,683) | | $ (363,330) | | 250,328 | | $ 1,942,892 |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 25,154 | | $ 249,168 | | 31,678 | | $ 311,003 | | 83,905 | | $ 762,302 | | 141,517 | | $ 1,323,641 |
Reinvested dividends
| — | | — | | 14,932 | | 147,825 | | — | | — | | 288,852 | | 2,365,699 |
Shares redeemed
| (63,077) | | (623,405) | | (175,873) | | (1,773,744) | | (140,195) | | (1,272,051) | | (236,388) | | (2,319,027) |
Total
| (37,923) | | $ (374,237) | | (129,263) | | $ (1,314,916) | | (56,290) | | $ (509,749) | | 193,981 | | $ 1,370,313 |
Net increase (decrease)
| (5,309,539) | | $(52,425,217) | | (5,424,813) | | $ (54,809,497) | | (85,123) | | $ (787,345) | | 550,715 | | $ 4,093,441 |
| | SA Multi-Managed Income Portfolio | | SA Multi-Managed Income/Equity Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 18,545 | | $ 155,849 | | 10,393 | | $ 89,706 | | 30,541 | | $ 232,740 | | 5,789 | | $ 42,171 |
Reinvested dividends
| — | | — | | 20,422 | | 165,624 | | — | | — | | 48,842 | | 349,709 |
Shares redeemed
| (10,030) | | (84,258) | | (67,728) | | (574,544) | | (60,743) | | (464,410) | | (119,342) | | (936,258) |
Total
| 8,515 | | $ 71,591 | | (36,913) | | $ (319,214) | | (30,202) | | $ (231,670) | | (64,711) | | $ (544,378) |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| 98,298 | | $ 825,289 | | 29,943 | | $ 250,905 | | 141,462 | | $ 1,076,007 | | 107,881 | | $ 828,398 |
Reinvested dividends
| — | | — | | 108,806 | | 882,415 | | — | | — | | 202,708 | | 1,451,387 |
Shares redeemed
| (224,674) | | (1,880,648) | | (404,995) | | (3,438,469) | | (216,212) | | (1,635,737) | | (448,887) | | (3,516,950) |
Total
| (126,376) | | $(1,055,359) | | (266,246) | | $(2,305,149) | | (74,750) | | $ (559,730) | | (138,298) | | $(1,237,165) |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 82,872 | | $ 696,456 | | 177,195 | | $ 1,488,372 | | 116,701 | | $ 888,829 | | 91,323 | | $ 676,411 |
Reinvested dividends
| — | | — | | 60,467 | | 490,988 | | — | | — | | 128,719 | | 922,917 |
Shares redeemed
| (74,782) | | (626,978) | | (356,363) | | (3,052,988) | | (87,392) | | (665,257) | | (272,784) | | (2,118,739) |
Total
| 8,090 | | $ 69,478 | | (118,701) | | $(1,073,628) | | 29,309 | | $ 223,572 | | (52,742) | | $ (519,411) |
Net increase (decrease)
| (109,771) | | $ (914,290) | | (421,860) | | $(3,697,991) | | (75,643) | | $ (567,828) | | (255,751) | | $(2,300,954) |
| | SA Multi-Managed International Equity Portfolio | | SA Multi-Managed Large Cap Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 136,973 | | $ 1,143,134 | | 465,647 | | $ 3,738,533 | | 87,671 | | $ 915,486 | | 2,113,950 | | $ 21,049,499 |
Reinvested dividends
| — | | — | | 3,170,028 | | 24,377,518 | | — | | — | | 6,066,296 | | 54,232,686 |
Shares redeemed
| (3,084,774) | | (26,105,623) | | (4,652,107) | | (37,573,010) | | (5,920,018) | | (62,328,937) | | (5,917,730) | | (65,145,208) |
Total
| (2,947,801) | | $(24,962,489) | | (1,016,432) | | $ (9,456,959) | | (5,832,347) | | $(61,413,451) | | 2,262,516 | | $ 10,136,977 |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| 6,231 | | $ 52,390 | | 60,654 | | $ 481,615 | | 13,277 | | $ 141,019 | | 134,519 | | $ 1,191,944 |
Reinvested dividends
| — | | — | | 153,185 | | 1,182,585 | | — | | — | | 506,748 | | 4,297,225 |
Shares redeemed
| (182,970) | | (1,544,630) | | (284,419) | | (2,329,593) | | (226,398) | | (2,243,700) | | (300,256) | | (3,150,194) |
Total
| (176,739) | | $ (1,492,240) | | (70,580) | | $ (665,393) | | (213,121) | | $ (2,102,681) | | 341,011 | | $ 2,338,975 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | SA Multi-Managed International Equity Portfolio | | SA Multi-Managed Large Cap Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 11,956 | | $ 99,326 | | 41,088 | | $ 307,398 | | 2,261 | | $ 20,744 | | 148,945 | | $ 1,317,495 |
Reinvested dividends
| — | | — | | 105,844 | | 815,000 | | — | | — | | 297,972 | | 2,458,267 |
Shares redeemed
| (77,430) | | (647,812) | | (217,567) | | (1,739,845) | | (96,041) | | (932,453) | | (220,252) | | (2,121,391) |
Total
| (65,474) | | $ (548,486) | | (70,635) | | $ (617,447) | | (93,780) | | $ (911,709) | | 226,665 | | $ 1,654,371 |
Net increase (decrease)
| (3,190,014) | | $(27,003,215) | | (1,157,647) | | $(10,739,799) | | (6,139,248) | | $(64,427,841) | | 2,830,192 | | $ 14,130,323 |
| | SA Multi-Managed Large Cap Value Portfolio | | SA Multi-Managed Mid Cap Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 95,867 | | $ 1,351,612 | | 428,691 | | $ 6,526,862 | | 23,856 | | $ 268,762 | | 55,065 | | $ 678,528 |
Reinvested dividends
| — | | — | | 8,301,579 | | 113,980,675 | | — | | — | | 3,410,548 | | 35,776,644 |
Shares redeemed
| (4,304,998) | | (61,589,406) | | (13,087,762) | | (199,730,107) | | (1,151,241) | | (13,134,872) | | (1,519,917) | | (19,817,735) |
Total
| (4,209,131) | | $(60,237,794) | | (4,357,492) | | $ (79,222,570) | | (1,127,385) | | $(12,866,110) | | 1,945,696 | | $ 16,637,437 |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| 9,034 | | $ 126,703 | | 27,830 | | $ 404,604 | | 45,922 | | $ 474,296 | | 44,846 | | $ 443,109 |
Reinvested dividends
| — | | — | | 283,150 | | 3,884,819 | | — | | — | | 612,447 | | 5,597,768 |
Shares redeemed
| (114,560) | | (1,617,259) | | (206,849) | | (3,175,809) | | (111,721) | | (1,093,623) | | (152,858) | | (1,818,208) |
Total
| (105,526) | | $ (1,490,556) | | 104,131 | | $ 1,113,614 | | (65,799) | | $ (619,327) | | 504,435 | | $ 4,222,669 |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 3,753 | | $ 53,782 | | 34,695 | | $ 518,489 | | 8,664 | | $ 75,929 | | 81,843 | | $ 847,121 |
Reinvested dividends
| — | | — | | 133,182 | | 1,828,588 | | — | | — | | 439,800 | | 3,685,524 |
Shares redeemed
| (45,998) | | (648,688) | | (149,685) | | (2,232,011) | | (74,100) | | (665,010) | | (139,902) | | (1,477,509) |
Total
| (42,245) | | $ (594,906) | | 18,192 | | $ 115,066 | | (65,436) | | $ (589,081) | | 381,741 | | $ 3,055,136 |
Net increase (decrease)
| (4,356,902) | | $(62,323,256) | | (4,235,169) | | $ (77,993,890) | | (1,258,620) | | $(14,074,518) | | 2,831,872 | | $ 23,915,242 |
| | SA Multi-Managed Mid Cap Value Portfolio | | SA Multi-Managed Moderate Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 24,707 | | $ 393,008 | | 68,917 | | $ 1,177,095 | | 33,547 | | $ 273,634 | | 21,105 | | $ 170,188 |
Reinvested dividends
| — | | — | | 1,710,320 | | 26,646,782 | | — | | — | | 113,850 | | 860,708 |
Shares redeemed
| (956,198) | | (15,539,961) | | (1,254,659) | | (21,603,370) | | (27,846) | | (225,415) | | (139,488) | | (1,210,673) |
Total
| (931,491) | | $(15,146,953) | | 524,578 | | $ 6,220,507 | | 5,701 | | $ 48,219 | | (4,533) | | $ (179,777) |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| 3,129 | | $ 50,749 | | 35,155 | | $ 565,673 | | 142,378 | | $ 1,156,677 | | 95,079 | | $ 761,970 |
Reinvested dividends
| — | | — | | 182,905 | | 2,840,515 | | — | | — | | 504,176 | | 3,796,446 |
Shares redeemed
| (102,360) | | (1,658,282) | | (134,442) | | (2,289,669) | | (301,315) | | (2,456,195) | | (615,442) | | (5,314,147) |
Total
| (99,231) | | $ (1,607,533) | | 83,618 | | $ 1,116,519 | | (158,937) | | $(1,299,518) | | (16,187) | | $ (755,731) |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 3,529 | | $ 57,020 | | 16,924 | | $ 282,942 | | 121,889 | | $ 988,530 | | 186,329 | | $ 1,541,186 |
Reinvested dividends
| — | | — | | 107,121 | | 1,660,379 | | — | | — | | 404,192 | | 3,035,484 |
Shares redeemed
| (40,979) | | (647,808) | | (128,655) | | (2,188,331) | | (281,602) | | (2,298,070) | | (476,193) | | (4,019,445) |
Total
| (37,450) | | $ (590,788) | | (4,610) | | $ (245,010) | | (159,713) | | $(1,309,540) | | 114,328 | | $ 557,225 |
Net increase (decrease)
| (1,068,172) | | $(17,345,274) | | 603,586 | | $ 7,092,016 | | (312,949) | | $(2,560,839) | | 93,608 | | $ (378,283) |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| | SA Multi-Managed Small Cap Portfolio | | SA Putnam Asset Allocation Diversified Growth Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 | | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount | | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | | | | | | | | | |
Shares sold
| 36,018 | | $ 366,876 | | 97,363 | | $ 1,099,436 | | 32,141 | | $ 360,642 | | 55,337 | | $ 621,438 |
Reinvested dividends
| — | | — | | 3,095,882 | | 31,051,694 | | — | | — | | 186,012 | | 1,936,387 |
Shares redeemed
| (2,471,409) | | (25,089,880) | | (2,721,972) | | (30,301,352) | | (65,596) | | (740,033) | | (242,489) | | (2,804,576) |
Total
| (2,435,391) | | $(24,723,004) | | 471,273 | | $ 1,849,778 | | (33,455) | | $ (379,391) | | (1,140) | | $ (246,751) |
| Class 2 | | | | | | | | | | | | | | | |
Shares sold
| 7,544 | | $ 74,121 | | 7,915 | | $ 78,106 | | 40,360 | | $ 454,387 | | 198,414 | | $ 2,229,317 |
Reinvested dividends
| — | | — | | 246,169 | | 2,355,837 | | — | | — | | 638,004 | | 6,648,005 |
Shares redeemed
| (91,510) | | (889,338) | | (152,011) | | (1,698,259) | | (350,181) | | (3,938,914) | | (827,785) | | (9,580,349) |
Total
| (83,966) | | $ (815,217) | | 102,073 | | $ 735,684 | | (309,821) | | $(3,484,527) | | 8,633 | | $ (703,027) |
| Class 3 | | | | | | | | | | | | | | | |
Shares sold
| 11,468 | | $ 109,122 | | 29,421 | | $ 317,935 | | 323,233 | | $ 3,603,886 | | 1,040,726 | | $ 12,431,855 |
Reinvested dividends
| — | | — | | 172,354 | | 1,597,719 | | — | | — | | 2,351,209 | | 24,358,528 |
Shares redeemed
| (44,160) | | (414,744) | | (98,743) | | (1,056,764) | | (768,376) | | (8,558,397) | | (1,481,093) | | (17,130,882) |
Total
| (32,692) | | $ (305,622) | | 103,032 | | $ 858,890 | | (445,143) | | $(4,954,511) | | 1,910,842 | | $ 19,659,501 |
Net increase (decrease)
| (2,552,049) | | $(25,843,843) | | 676,378 | | $ 3,444,352 | | (788,419) | | $(8,818,429) | | 1,918,335 | | $ 18,709,723 |
| | SA T. Rowe Price Growth Stock Portfolio |
| | Six Months Ended 9/30/23
(unaudited) | | Year Ended 3/31/23 |
| | Shares | | Amount | | Shares | | Amount |
| Class 1 | | | | | | | |
Shares sold
| 21,933 | | $ 395,447 | | 149,585 | | $ 2,481,670 |
Reinvested dividends
| — | | — | | 2,523,377 | | 37,547,847 |
Shares redeemed
| (2,573,445) | | (45,334,792) | | (3,695,691) | | (64,367,098) |
Total
| (2,551,512) | | $(44,939,345) | | (1,022,729) | | $(24,337,581) |
| Class 2 | | | | | | | |
Shares sold
| 1,591 | | $ 25,135 | | 257,737 | | $ 3,863,922 |
Reinvested dividends
| — | | — | | 342,764 | | 4,723,285 |
Shares redeemed
| (328,513) | | (5,561,520) | | (373,544) | | (5,963,663) |
Total
| (326,922) | | $ (5,536,385) | | 226,957 | | $ 2,623,544 |
| Class 3 | | | | | | | |
Shares sold
| 17,862 | | $ 290,194 | | 263,108 | | $ 3,821,177 |
Reinvested dividends
| — | | — | | 293,177 | | 3,843,546 |
Shares redeemed
| (265,313) | | (4,260,284) | | (341,153) | | (5,167,132) |
Total
| (247,451) | | $ (3,970,090) | | 215,132 | | $ 2,497,591 |
Net increase (decrease)
| (3,125,885) | | $(54,445,820) | | (580,640) | | $(19,216,446) |
Note 8 — Transactions with Affiliates
Transactions in shares of Underlying Portfolios and securities issued by AIG or an affiliate thereof for the six months ended September 30, 2023 were as follows:
| SA Allocation Balanced Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| Seasons Series Trust | | | | | | | | | | | | | | | | |
| SA American Century Inflation Protection Portfolio, Class 1 | | $— | | $— | | $ 7,172,172 | | $ 482,067 | | $ 433,885 | | $ (15,350) | | $ (323,667) | | $ 6,881,337 |
| SA Columbia Focused Value Portfolio, Class 1 | | — | | — | | 2,798,970 | | 54,697 | | 180,326 | | 309 | | (61,530) | | 2,612,120 |
| SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | — | | — | | 39,968,940 | | 721,812 | | 8,381,154 | | (1,709,431) | | 182,175 | | 30,782,342 |
| SA Multi-Managed International Equity Portfolio, Class 1 | | — | | — | | 5,735,548 | | 105,018 | | 346,226 | | (49,629) | | (73,117) | | 5,371,594 |
| SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | — | | — | | 4,499,733 | | 70,012 | | 830,617 | | (153,738) | | 399,052 | | 3,984,442 |
| SA Multi-Managed Large Cap Value Portfolio, Class 1 | | — | | — | | 4,624,242 | | 87,515 | | 288,521 | | 53,404 | | (29,342) | | 4,447,298 |
| SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | — | | — | | 803,220 | | 17,504 | | 57,704 | | (41,464) | | 35,631 | | 757,187 |
| SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | — | | — | | 1,585,581 | | 26,692 | | 290,281 | | (15,076) | | 17,117 | | 1,324,033 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| SA Allocation Balanced Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| SA Multi-Managed Small Cap Portfolio, Class 1 | | $— | | $— | | $ 1,602,148 | | $ 26,255 | | $ 536,557 | | $ (174,080) | | $ 128,069 | | $ 1,045,835 |
| SA T. Rowe Price Growth Stock Portfolio, Class 1 | | — | | — | | 2,226,794 | | 33,236 | | 358,692 | | (234,726) | | 462,939 | | 2,129,551 |
| SunAmerica Series Trust | | | | | | | | | | | | | | | | |
| SA AB Growth Portfolio, Class 1 | | — | | — | | 5,273,914 | | 91,406 | | 802,628 | | 43,417 | | 258,682 | | 4,864,791 |
| SA AB Small & Mid Cap Value Portfolio, Class 1 | | — | | — | | 1,229,343 | | 21,878 | | 122,130 | | 24,032 | | (28,969) | | 1,124,154 |
| SA DFA Ultra Short Bond Portfolio, Class 1 | | — | | — | | 2,832,982 | | 52,905 | | 173,664 | | 3,458 | | 55,300 | | 2,770,981 |
| SA Emerging Markets Equity Index Portfolio, Class 1 | | — | | — | | 571,847 | | 10,940 | | 36,065 | | (1,595) | | (15,044) | | 530,083 |
| SA Federated Hermes Corporate Bond Portfolio, Class 1 | | — | | — | | 5,754,941 | | 6,134,372 | | 424,565 | | (72,259) | | (159,112) | | 11,233,377 |
| SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | — | | — | | 2,171,555 | | 35,235 | | 620,843 | | (33,676) | | (66,013) | | 1,486,258 |
| SA Fidelity Institutional International Growth Portfolio, Class 1 | | — | | — | | 3,035,501 | | 52,510 | | 373,113 | | (20,349) | | (59,560) | | 2,634,989 |
| SA Fixed Income Index Portfolio, Class 1 | | — | | — | | 13,596,635 | | 251,473 | | 829,315 | | (49,387) | | (449,540) | | 12,519,866 |
| SA Fixed Income Intermediate Index Portfolio, Class 1 | | — | | — | | 12,857,355 | | 232,321 | | 773,492 | | (44,703) | | (145,125) | | 12,126,356 |
| SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | — | | — | | 5,267,490 | | 85,778 | | 883,556 | | (57,790) | | 108,405 | | 4,520,327 |
| SA Franklin Small Company Value Portfolio, Class 1 | | — | | — | | 1,094,339 | | 20,129 | | 68,642 | | (7,122) | | (7,757) | | 1,030,947 |
| SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | — | | — | | 1,511,781 | | 28,441 | | 93,769 | | 16,007 | | 35,321 | | 1,497,781 |
| SA International Index Portfolio, Class 1 | | — | | — | | 741,319 | | 13,127 | | 43,278 | | 5,041 | | (17,437) | | 698,772 |
| SA Invesco Growth Opportunities Portfolio, Class 1 | | — | | — | | 1,214,716 | | 21,878 | | 72,130 | | (68,940) | | 12,896 | | 1,108,420 |
| SA Janus Focused Growth Portfolio, Class 1 | | — | | — | | 2,151,734 | | 30,630 | | 750,982 | | (303,424) | | 455,430 | | 1,583,388 |
| SA JPMorgan Emerging Markets Portfolio, Class 1 | | — | | — | | 853,128 | | 15,315 | | 50,491 | | 336 | | (11,252) | | 807,036 |
| SA JPMorgan Equity-Income Portfolio, Class 1 | | — | | — | | 6,558,679 | | 109,846 | | 962,900 | | (39,086) | | (13,958) | | 5,652,581 |
| SA JPMorgan Large Cap Core Portfolio, Class 1 | | — | | — | | 2,846,435 | | 50,322 | | 165,900 | | (13,777) | | 185,155 | | 2,902,235 |
| SA JPMorgan MFS Core Bond Portfolio, Class 1 | | — | | — | | 30,737,378 | | 4,564,068 | | 1,852,052 | | (226,891) | | (842,034) | | 32,380,469 |
| SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | — | | — | | 2,297,003 | | 43,409 | | 141,660 | | (33,646) | | 59,082 | | 2,224,188 |
| SA Large Cap Growth Index Portfolio, Class 1 | | — | | — | | 4,215,156 | | 1,091,575 | | 295,389 | | 45,090 | | 331,986 | | 5,388,418 |
| SA Large Cap Index Portfolio, Class 1 | | — | | — | | 5,411,262 | | 109,783 | | 360,390 | | 54,899 | | 214,843 | | 5,430,397 |
| SA Large Cap Value Index Portfolio, Class 1 | | — | | — | | 3,653,592 | | 2,051,927 | | 334,517 | | 61,200 | | 50,596 | | 5,482,798 |
| SA MFS Blue Chip Growth, Class 1 | | — | | — | | 4,703,036 | | 78,105 | | 1,208,250 | | (75,838) | | 510,327 | | 4,007,380 |
| SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | — | | — | | 2,864,453 | | 54,698 | | 180,326 | | (32,428) | | 121,099 | | 2,827,496 |
| SA Mid Cap Index Portfolio, Class 1 | | — | | — | | 1,384,323 | | 24,067 | | 179,343 | | 18,292 | | (18,147) | | 1,229,192 |
| SA Morgan Stanley International Equities Portfolio, Class 1 | | — | | — | | 4,001,027 | | 70,012 | | 430,817 | | (53,157) | | (114,324) | | 3,472,741 |
| SA PIMCO RAE International Value Portfolio, Class 1 | | — | | — | | 1,657,047 | | 26,256 | | 336,558 | | (13,571) | | 47,933 | | 1,381,107 |
| SA PineBridge High-Yield Bond Portfolio, Class 1 | | — | | — | | 4,180,312 | | 3,099,179 | | 321,419 | | (21,920) | | 221,516 | | 7,157,668 |
| SA Putnam International Growth and Income Portfolio, Class 1 | | — | | — | | 4,670,256 | | 80,951 | | 666,882 | | 147,691 | | 2,057 | | 4,234,073 |
| SA Small Cap Index Portfolio, Class 1 | | — | | — | | 1,126,219 | | 17,503 | | 207,704 | | 15,395 | | (19,708) | | 931,705 |
| SA Wellington Capital Appreciation Portfolio, Class 1 | | — | | — | | — | | 1,352,085 | | 17,601 | | (83) | | (60,226) | | 1,274,175 |
| SA Wellington Government & Quality Bond Portfolio, Class 1 | | — | | — | | 26,528,930 | | 478,825 | | 6,591,732 | | (1,404,091) | | 326,226 | | 19,338,158 |
| | | $— | | $— | | $238,011,036 | | $22,025,757 | | $32,076,066 | | $(4,478,656) | | $1,705,975 | | $225,188,046 |
|
| † | Includes reinvestment of distributions paid. |
| SA Allocation Growth Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| Seasons Series Trust | | | | | | | | | | | | | | | | |
| SA American Century Inflation Protection Portfolio, Class 1 | | $— | | $— | | $ 5,650,968 | | $ 643,276 | | $ 1,192,380 | | $ (195,924) | | $ (89,778) | | $ 4,816,162 |
| SA Columbia Focused Value Portfolio, Class 1 | | — | | — | | 9,724,688 | | 255,981 | | 334,989 | | 5,266 | | (224,707) | | 9,426,239 |
| SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | — | | — | | 18,583,119 | | 445,411 | | 581,583 | | (131,908) | | (604,163) | | 17,710,876 |
| SA Multi-Managed International Equity Portfolio, Class 1 | | — | | — | | 22,702,535 | | 561,187 | | 734,399 | | (114,186) | | (401,758) | | 22,013,379 |
| SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | — | | — | | 14,593,598 | | 338,578 | | 3,446,043 | | (1,918,608) | | 2,923,757 | | 12,491,282 |
| SA Multi-Managed Large Cap Value Portfolio, Class 1 | | — | | — | | 18,287,550 | | 457,810 | | 599,115 | | (42,117) | | 130,188 | | 18,234,316 |
| SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | — | | — | | 2,394,036 | | 59,073 | | 77,305 | | (57,058) | | 39,223 | | 2,357,969 |
| SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | — | | — | | 6,098,761 | | 156,215 | | 203,438 | | 3,336 | | 16,200 | | 6,071,074 |
| SA Multi-Managed Small Cap Portfolio, Class 1 | | — | | — | | 5,075,855 | | 108,299 | | 1,141,726 | | (443,139) | | 299,799 | | 3,899,088 |
| SA T. Rowe Price Growth Stock Portfolio, Class 1 | | — | | — | | 4,974,489 | | 118,144 | | 254,610 | | (166,464) | | 727,056 | | 5,398,615 |
| SunAmerica Series Trust | | | | | | | | | | | | | | | | |
| SA AB Growth Portfolio, Class 1 | | — | | — | | 15,989,197 | | 398,743 | | 523,998 | | 45,735 | | 912,358 | | 16,822,035 |
| SA AB Small & Mid Cap Value Portfolio, Class 1 | | — | | — | | 3,226,810 | | 78,763 | | 103,074 | | 23,892 | | (32,173) | | 3,194,218 |
| SA DFA Ultra Short Bond Portfolio, Class 1 | | — | | — | | 2,137,638 | | 48,598 | | 64,295 | | 1,160 | | 43,995 | | 2,167,096 |
| SA Emerging Markets Equity Index Portfolio, Class 1 | | — | | — | | 3,874,546 | | 103,376 | | 135,284 | | (5,996) | | (109,907) | | 3,726,735 |
| SA Federated Hermes Corporate Bond Portfolio, Class 1 | | — | | — | | 8,059,535 | | 3,738,066 | | 2,315,032 | | (565,011) | | 228,885 | | 9,146,443 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| SA Allocation Growth Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | $— | | $— | | $ 5,655,014 | | $ 118,048 | | $ 1,150,390 | | $ (181,395) | | $ (101,683) | | $ 4,339,594 |
| SA Fidelity Institutional International Growth Portfolio, Class 1 | | — | | — | | 12,138,861 | | 329,819 | | 431,620 | | 10,780 | | (359,818) | | 11,688,022 |
| SA Fixed Income Index Portfolio, Class 1 | | — | | — | | 9,487,437 | | 234,920 | | 1,314,402 | | (286,373) | | (70,005) | | 8,051,577 |
| SA Fixed Income Intermediate Index Portfolio, Class 1 | | — | | — | | 6,347,908 | | 154,380 | | 205,517 | | (25,517) | | (71,234) | | 6,200,020 |
| SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | — | | — | | 15,739,847 | | 344,588 | | 2,354,033 | | (381,319) | | 534,730 | | 13,883,813 |
| SA Franklin Small Company Value Portfolio, Class 1 | | — | | — | | 3,382,815 | | 82,376 | | 256,807 | | (17,950) | | (27,684) | | 3,162,750 |
| SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | — | | — | | 4,187,610 | | 93,532 | | 522,400 | | 83,912 | | 49,454 | | 3,892,108 |
| SA International Index Portfolio, Class 1 | | — | | — | | 4,889,552 | | 108,299 | | 141,726 | | 19,296 | | (107,132) | | 4,768,289 |
| SA Invesco Growth Opportunities Portfolio, Class 1 | | — | | — | | 3,747,858 | | 108,299 | | 141,726 | | (71,716) | | (102,955) | | 3,539,760 |
| SA Janus Focused Growth Portfolio, Class 1 | | — | | — | | 5,650,839 | | 127,989 | | 767,494 | | (192,337) | | 627,838 | | 5,446,835 |
| SA JPMorgan Emerging Markets Portfolio, Class 1 | | — | | — | | 4,845,525 | | 118,145 | | 154,610 | | (41,421) | | (22,982) | | 4,744,657 |
| SA JPMorgan Equity-Income Portfolio, Class 1 | | — | | — | | 17,833,473 | | 393,814 | | 2,618,453 | | (137,418) | | (6,237) | | 15,465,179 |
| SA JPMorgan Large Cap Core Portfolio, Class 1 | | — | | — | | 10,997,366 | | 270,748 | | 354,315 | | (24,165) | | 692,608 | | 11,582,242 |
| SA JPMorgan MFS Core Bond Portfolio, Class 1 | | — | | — | | 13,614,944 | | 4,351,730 | | 441,466 | | (62,404) | | (430,328) | | 17,032,476 |
| SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | — | | — | | 7,505,677 | | 209,353 | | 274,528 | | (20,978) | | 107,656 | | 7,527,180 |
| SA Large Cap Growth Index Portfolio, Class 1 | | — | | — | | 15,285,867 | | 388,892 | | 508,925 | | 110,272 | | 1,028,852 | | 16,304,958 |
| SA Large Cap Index Portfolio, Class 1 | | — | | — | | 21,761,986 | | 570,487 | | 750,590 | | 192,210 | | 901,871 | | 22,675,964 |
| SA Large Cap Value Index Portfolio, Class 1 | | — | | — | | 9,446,649 | | 6,024,125 | | 483,427 | | 96,487 | | 208,605 | | 15,292,439 |
| SA MFS Blue Chip Growth, Class 1 | | — | | — | | 14,410,110 | | 336,664 | | 2,043,147 | | (89,543) | | 1,562,626 | | 14,176,710 |
| SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | — | | — | | 4,777,482 | | 123,067 | | 161,052 | | (25,827) | | 173,038 | | 4,886,708 |
| SA Mid Cap Index Portfolio, Class 1 | | — | | — | | 3,815,749 | | 88,608 | | 115,958 | | 18,291 | | (10,161) | | 3,796,529 |
| SA Morgan Stanley International Equities Portfolio, Class 1 | | — | | — | | 16,189,719 | | 383,970 | | 502,483 | | (80,350) | | (684,165) | | 15,306,691 |
| SA PIMCO RAE International Value Portfolio, Class 1 | | — | | — | | 6,727,251 | | 113,222 | | 1,398,168 | | (54,719) | | 193,582 | | 5,581,168 |
| SA PineBridge High-Yield Bond Portfolio, Class 1 | | — | | — | | 3,735,508 | | 126,102 | | 167,116 | | (13,495) | | 195,085 | | 3,876,084 |
| SA Putnam International Growth and Income Portfolio, Class 1 | | — | | — | | 16,774,722 | | 374,124 | | 1,489,599 | | 213,598 | | 326,703 | | 16,199,548 |
| SA Small Cap Index Portfolio, Class 1 | | — | | — | | 3,290,284 | | 68,917 | | 540,189 | | (5,391) | | (7,567) | | 2,806,054 |
| SA Wellington Capital Appreciation Portfolio, Class 1 | | — | | — | | — | | 4,932,656 | | 31,552 | | 417 | | (320,388) | | 4,581,133 |
| SA Wellington Government & Quality Bond Portfolio, Class 1 | | — | | — | | 12,539,665 | | 306,983 | | 405,222 | | (90,382) | | (437,136) | | 11,913,908 |
| | | $— | | $— | | $396,153,043 | | $28,395,377 | | $31,434,186 | | $(4,618,459) | | $7,702,148 | | $396,197,923 |
|
| † | Includes reinvestment of distributions paid. |
| SA Allocation Moderate Growth Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| Seasons Series Trust | | | | | | | | | | | | | | | | |
| SA American Century Inflation Protection Portfolio, Class 1 | | $— | | $— | | $ 9,093,222 | | $ 1,031,410 | | $ 468,308 | | $ (45,364) | | $ (413,862) | | $ 9,197,098 |
| SA Columbia Focused Value Portfolio, Class 1 | | — | | — | | 9,648,715 | | 34,600 | | 515,627 | | 4,184 | | (211,597) | | 8,960,275 |
| SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | — | | — | | 39,779,571 | | 133,108 | | 1,957,046 | | (337,885) | | (1,194,457) | | 36,423,291 |
| SA Multi-Managed International Equity Portfolio, Class 1 | | — | | — | | 20,600,035 | | 69,986 | | 1,042,973 | | 154,192 | | (589,854) | | 19,191,386 |
| SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | — | | — | | 13,647,908 | | 43,079 | | 1,938,037 | | (579,357) | | 1,430,351 | | 12,603,944 |
| SA Multi-Managed Large Cap Value Portfolio, Class 1 | | — | | — | | 17,069,564 | | 58,977 | | 878,909 | | (14,746) | | 110,090 | | 16,344,976 |
| SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | — | | — | | 2,505,575 | | 8,651 | | 128,907 | | (65,940) | | 49,614 | | 2,368,993 |
| SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | — | | — | | 4,814,416 | | 16,628 | | 253,124 | | 27 | | 18,569 | | 4,596,516 |
| SA Multi-Managed Small Cap Portfolio, Class 1 | | — | | — | | 4,461,313 | | 11,796 | | 1,675,782 | | (522,026) | | 393,602 | | 2,668,903 |
| SA T. Rowe Price Growth Stock Portfolio, Class 1 | | — | | — | | 5,591,515 | | 15,727 | | 234,376 | | (119,086) | | 759,839 | | 6,013,619 |
| SunAmerica Series Trust | | | | | | | | | | | | | | | | |
| SA AB Growth Portfolio, Class 1 | | — | | — | | 16,010,470 | | 54,759 | | 1,958,678 | | 362,668 | | 658,347 | | 15,127,566 |
| SA AB Small & Mid Cap Value Portfolio, Class 1 | | — | | — | | 3,803,907 | | 12,582 | | 687,501 | | 130,382 | | (153,514) | | 3,105,856 |
| SA DFA Ultra Short Bond Portfolio, Class 1 | | — | | — | | 3,700,692 | | 12,582 | | 187,501 | | 3,967 | | 72,744 | | 3,602,484 |
| SA Emerging Markets Equity Index Portfolio, Class 1 | | — | | — | | 3,074,264 | | 11,009 | | 164,063 | | (12,904) | | (75,006) | | 2,833,300 |
| SA Federated Hermes Corporate Bond Portfolio, Class 1 | | — | | — | | 14,460,062 | | 4,055,312 | | 822,979 | | (142,575) | | (375,587) | | 17,174,233 |
| SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | — | | — | | 5,855,031 | | 20,296 | | 1,255,990 | | (229,490) | | (53,606) | | 4,336,241 |
| SA Fidelity Institutional International Growth Portfolio, Class 1 | | — | | — | | 11,183,289 | | 37,745 | | 562,502 | | 13,331 | | (318,215) | | 10,353,648 |
| SA Fixed Income Index Portfolio, Class 1 | | — | | — | | 17,828,425 | | 60,106 | | 1,897,908 | | (163,546) | | (489,962) | | 15,337,115 |
| SA Fixed Income Intermediate Index Portfolio, Class 1 | | — | | — | | 13,087,502 | | 43,593 | | 2,151,814 | | (144,238) | | (49,732) | | 10,785,311 |
| SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | — | | — | | 15,495,934 | | 46,396 | | 2,515,874 | | (434,902) | | 587,434 | | 13,178,988 |
| SA Franklin Small Company Value Portfolio, Class 1 | | — | | — | | 3,291,762 | | 10,337 | | 359,374 | | (934) | | (41,244) | | 2,900,547 |
| SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | — | | — | | 4,377,957 | | 13,368 | | 199,220 | | 35,951 | | 115,180 | | 4,343,236 |
| SA International Index Portfolio, Class 1 | | — | | — | | 4,067,788 | | 12,582 | | 187,501 | | 31,230 | | (98,898) | | 3,825,201 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| SA Allocation Moderate Growth Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| SA Invesco Growth Opportunities Portfolio, Class 1 | | $— | | $— | | $ 3,427,462 | | $ 14,154 | | $ 210,938 | | $ (93,243) | | $ (61,354) | | $ 3,076,081 |
| SA Janus Focused Growth Portfolio, Class 1 | | — | | — | | 5,868,405 | | 17,299 | | 757,813 | | (132,486) | | 592,068 | | 5,587,473 |
| SA JPMorgan Emerging Markets Portfolio, Class 1 | | — | | — | | 4,239,393 | | 14,154 | | 210,938 | | (14,551) | | (37,818) | | 3,990,240 |
| SA JPMorgan Equity-Income Portfolio, Class 1 | | — | | — | | 17,674,087 | | 51,901 | | 3,187,905 | | (34,530) | | (88,168) | | 14,415,385 |
| SA JPMorgan Large Cap Core Portfolio, Class 1 | | — | | — | | 10,903,715 | | 35,387 | | 527,346 | | (88,284) | | 753,577 | | 11,077,049 |
| SA JPMorgan MFS Core Bond Portfolio, Class 1 | | — | | — | | 30,598,132 | | 5,603,868 | | 1,539,866 | | (217,369) | | (850,380) | | 33,594,385 |
| SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | — | | — | | 7,086,084 | | 27,409 | | 406,231 | | (62,648) | | 148,881 | | 6,793,495 |
| SA Large Cap Growth Index Portfolio, Class 1 | | — | | — | | 14,412,935 | | 49,541 | | 738,284 | | 190,131 | | 883,024 | | 14,797,347 |
| SA Large Cap Index Portfolio, Class 1 | | — | | — | | 19,675,233 | | 67,105 | | 1,055,604 | | 361,132 | | 634,450 | | 19,682,316 |
| SA Large Cap Value Index Portfolio, Class 1 | | — | | — | | 10,460,115 | | 5,134,259 | | 799,667 | | 146,935 | | 185,302 | | 15,126,944 |
| SA MFS Blue Chip Growth, Class 1 | | — | | — | | 13,919,797 | | 46,051 | | 2,328,414 | | 72,182 | | 1,372,991 | | 13,082,607 |
| SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | — | | — | | 5,336,116 | | 19,660 | | 292,970 | | (48,795) | | 217,782 | | 5,231,793 |
| SA Mid Cap Index Portfolio, Class 1 | | — | | — | | 3,535,740 | | 11,795 | | 175,781 | | 33,869 | | (24,560) | | 3,381,063 |
| SA Morgan Stanley International Equities Portfolio, Class 1 | | — | | — | | 14,484,578 | | 47,182 | | 703,128 | | (95,707) | | (557,805) | | 13,175,120 |
| SA PIMCO RAE International Value Portfolio, Class 1 | | — | | — | | 6,217,587 | | 12,582 | | 1,187,501 | | (48,564) | | 176,381 | | 5,170,485 |
| SA PineBridge High-Yield Bond Portfolio, Class 1 | | — | | — | | 7,920,741 | | 32,894 | | 490,858 | | (351) | | 378,846 | | 7,841,272 |
| SA Putnam International Growth and Income Portfolio, Class 1 | | — | | — | | 15,776,733 | | 50,327 | | 1,750,002 | | 82,121 | | 430,048 | | 14,589,227 |
| SA Small Cap Index Portfolio, Class 1 | | — | | — | | 3,261,665 | | 8,650 | | 778,907 | | (29,451) | | 19,230 | | 2,481,187 |
| SA Wellington Capital Appreciation Portfolio, Class 1 | | — | | — | | — | | 4,601,148 | | 45,337 | | 470 | | (292,233) | | 4,264,048 |
| SA Wellington Government & Quality Bond Portfolio, Class 1 | | — | | — | | 27,891,232 | | 92,735 | | 4,386,103 | | (900,849) | | (236,063) | | 22,460,952 |
| | | $— | | $— | | $466,138,667 | | $21,752,730 | | $43,617,587 | | $(2,957,049) | | $ 3,774,435 | | $445,091,196 |
|
| † | Includes reinvestment of distributions paid. |
| SA Allocation Moderate Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| Seasons Series Trust | | | | | | | | | | | | | | | | |
| SA American Century Inflation Protection Portfolio, Class 1 | | $— | | $— | | $ 5,649,873 | | $ 468,728 | | $ 288,836 | | $ (26,737) | | $ (248,035) | | $ 5,554,993 |
| SA Columbia Focused Value Portfolio, Class 1 | | — | | — | | 3,849,016 | | 49,697 | | 210,372 | | 2,810 | | (85,298) | | 3,605,853 |
| SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | | — | | — | | 32,994,165 | | 393,702 | | 4,662,856 | | (988,084) | | (282,505) | | 27,454,422 |
| SA Multi-Managed International Equity Portfolio, Class 1 | | — | | — | | 9,960,658 | | 120,928 | | 511,905 | | (40,530) | | (172,979) | | 9,356,172 |
| SA Multi-Managed Large Cap Growth Portfolio, Class 1 | | — | | — | | 7,174,659 | | 79,190 | | 819,659 | | (259,142) | | 680,224 | | 6,855,272 |
| SA Multi-Managed Large Cap Value Portfolio, Class 1 | | — | | — | | 8,917,724 | | 109,332 | | 462,817 | | (11,502) | | 61,309 | | 8,614,046 |
| SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | | — | | — | | 1,146,510 | | 16,566 | | 70,124 | | (35,522) | | 28,276 | | 1,085,706 |
| SA Multi-Managed Mid Cap Value Portfolio, Class 1 | | — | | — | | 2,268,097 | | 25,173 | | 308,472 | | 1,841 | | 3,671 | | 1,990,310 |
| SA Multi-Managed Small Cap Portfolio, Class 1 | | — | | — | | 2,652,385 | | 28,161 | | 919,210 | | (331,462) | | 256,714 | | 1,686,588 |
| SA T. Rowe Price Growth Stock Portfolio, Class 1 | | — | | — | | 2,964,667 | | 32,644 | | 197,971 | | (111,108) | | 443,843 | | 3,132,075 |
| SunAmerica Series Trust | | | | | | | | | | | | | | | | |
| SA AB Growth Portfolio, Class 1 | | — | | — | | 8,294,120 | | 102,057 | | 930,477 | | 181,354 | | 342,005 | | 7,989,059 |
| SA AB Small & Mid Cap Value Portfolio, Class 1 | | — | | — | | 1,830,551 | | 21,536 | | 291,161 | | 38,006 | | (47,513) | | 1,551,419 |
| SA DFA Ultra Short Bond Portfolio, Class 1 | | — | | — | | 2,439,619 | | 30,088 | | 126,666 | | 2,575 | | 48,110 | | 2,393,726 |
| SA Emerging Markets Equity Index Portfolio, Class 1 | | — | | — | | 1,038,825 | | 13,252 | | 56,099 | | (1,868) | | (27,952) | | 966,158 |
| SA Federated Hermes Corporate Bond Portfolio, Class 1 | | — | | — | | 8,382,730 | | 3,518,386 | | 494,851 | | (44,072) | | (262,844) | | 11,099,349 |
| SA Fidelity Institutional AM Real Estate Portfolio, Class 1 | | — | | — | | 2,968,054 | | 33,460 | | 731,553 | | (126,736) | | (13,686) | | 2,129,539 |
| SA Fidelity Institutional International Growth Portfolio, Class 1 | | — | | — | | 4,945,000 | | 56,322 | | 238,421 | | 26,939 | | (163,415) | | 4,626,425 |
| SA Fixed Income Index Portfolio, Class 1 | | — | | — | | 12,109,977 | | 147,163 | | 623,660 | | (38,021) | | (408,532) | | 11,186,927 |
| SA Fixed Income Intermediate Index Portfolio, Class 1 | | — | | — | | 11,362,452 | | 135,337 | | 578,488 | | (34,246) | | (135,165) | | 10,749,890 |
| SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | | — | | — | | 7,957,207 | | 86,203 | | 1,382,098 | | (198,491) | | 279,374 | | 6,742,195 |
| SA Franklin Small Company Value Portfolio, Class 1 | | — | | — | | 1,822,315 | | 21,859 | | 94,447 | | (8,039) | | (15,133) | | 1,726,555 |
| SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | | — | | — | | 1,992,697 | | 24,848 | | 105,186 | | 19,052 | | 49,971 | | 1,981,382 |
| SA International Index Portfolio, Class 1 | | — | | — | | 1,973,660 | | 18,222 | | 277,136 | | 20,093 | | (46,534) | | 1,688,305 |
| SA Invesco Growth Opportunities Portfolio, Class 1 | | — | | — | | 1,812,641 | | 23,192 | | 98,174 | | (91,005) | | 8,734 | | 1,655,388 |
| SA Janus Focused Growth Portfolio, Class 1 | | — | | — | | 3,371,789 | | 33,131 | | 790,248 | | (101,106) | | 358,174 | | 2,871,740 |
| SA JPMorgan Emerging Markets Portfolio, Class 1 | | — | | — | | 1,658,470 | | 19,879 | | 84,149 | | (20,045) | | (496) | | 1,573,659 |
| SA JPMorgan Equity-Income Portfolio, Class 1 | | — | | — | | 9,900,080 | | 109,396 | | 1,540,272 | | (18,835) | | (54,394) | | 8,395,975 |
| SA JPMorgan Large Cap Core Portfolio, Class 1 | | — | | — | | 5,064,366 | | 61,292 | | 259,458 | | (13,698) | | 322,737 | | 5,175,239 |
| SA JPMorgan MFS Core Bond Portfolio, Class 1 | | — | | — | | 24,306,648 | | 5,294,968 | | 1,239,786 | | (165,886) | | (687,975) | | 27,507,969 |
| SA JPMorgan Mid Cap Growth Portfolio, Class 1 | | — | | — | | 3,659,591 | | 51,029 | | 215,867 | | (25,298) | | 69,830 | | 3,539,285 |
| SA Large Cap Growth Index Portfolio, Class 1 | | — | | — | | 7,351,032 | | 92,767 | | 392,694 | | 107,164 | | 440,365 | | 7,598,634 |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| SA Allocation Moderate Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases† | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| SA Large Cap Index Portfolio, Class 1 | | $— | | $— | | $ 9,269,433 | | $ 115,954 | | $ 504,711 | | $ 172,758 | | $ 296,347 | | $ 9,349,781 |
| SA Large Cap Value Index Portfolio, Class 1 | | — | | — | | 5,546,773 | | 2,795,953 | | 411,810 | | 79,882 | | 93,139 | | 8,103,937 |
| SA MFS Blue Chip Growth, Class 1 | | — | | — | | 7,219,250 | | 83,997 | | 1,354,519 | | 3,969 | | 744,531 | | 6,697,228 |
| SA MFS Massachusetts Investors Trust Portfolio, Class 1 | | — | | — | | 3,370,074 | | 41,414 | | 175,310 | | (29,291) | | 135,272 | | 3,342,159 |
| SA Mid Cap Index Portfolio, Class 1 | | — | | — | | 2,168,888 | | 24,848 | | 105,186 | | 20,672 | | (14,738) | | 2,094,484 |
| SA Morgan Stanley International Equities Portfolio, Class 1 | | — | | — | | 6,434,612 | | 74,545 | | 315,558 | | (41,998) | | (250,501) | | 5,901,100 |
| SA PIMCO RAE International Value Portfolio, Class 1 | | — | | — | | 2,339,808 | | 24,848 | | 405,186 | | (15,812) | | 65,023 | | 2,008,681 |
| SA PineBridge High-Yield Bond Portfolio, Class 1 | | — | | — | | 5,081,363 | | 76,561 | | 323,160 | | 13,427 | | 230,186 | | 5,078,377 |
| SA Putnam International Growth and Income Portfolio, Class 1 | | — | | — | | 6,934,644 | | 79,514 | | 836,595 | | 70,228 | | 153,776 | | 6,401,567 |
| SA Small Cap Index Portfolio, Class 1 | | — | | — | | 1,636,541 | | 16,566 | | 310,124 | | 17,361 | | (22,283) | | 1,338,061 |
| SA Wellington Capital Appreciation Portfolio, Class 1 | | — | | — | | — | | 2,337,921 | | 17,841 | | 326 | | (132,845) | | 2,187,561 |
| SA Wellington Government & Quality Bond Portfolio, Class 1 | | — | | — | | 21,590,050 | | 257,472 | | 4,096,667 | | (911,578) | | 28,364 | | 16,867,641 |
| | | $— | | $— | | $273,411,014 | | $17,148,101 | | $27,859,780 | | $(2,911,655) | | $2,067,152 | | $261,854,832 |
|
| † | Includes reinvestment of distributions paid. |
| SA Multi-Managed Large Cap Value Portfolio |
| Security | | Income | | Capital Gain
Distribution
Received | | Value at
March 31,
2023 | | Cost of
Purchases | | Proceeds
of Sales | | Realized
Gain/(Loss) | | Change in
Unrealized
Gain (Loss) | | Value at
September 30,
2023 |
| American International Group, Inc. | | | | | | | | | | | | | | | | |
| | | $5,657 | | $— | | $430,376 | | $— | | $75,039 | | $1,073 | | $84,819 | | $441,229 |
The following Portfolios incurred brokerage commissions with affiliated brokers for the six months ended September 30, 2023:
| Portfolio | | American
Century
Investments | | Goldman
Sachs & Co. | | JPMorgan Chase
Bank, N.A. | | Morgan
Stanley |
| SA Multi-Managed Growth | | $— | | $ — | | $306 | | $1,290 |
| SA Multi-Managed Income | | — | | — | | — | | 323 |
| SA Multi-Managed Income/Equity | | — | | — | | — | | 651 |
| SA Multi-Managed Large Cap Growth | | — | | 105 | | — | | 186 |
| SA Multi-Managed Large Cap Value | | 40 | | — | | — | | — |
| SA Multi-Managed Moderate Growth | | — | | — | | 738 | | 321 |
| SA Multi-Managed Small Cap | | — | | — | | 260 | | — |
At September 30, 2023, the following affiliates owned outstanding shares of the following Portfolios:
| Portfolio | | American General
Life Insurance Co. | | The United States
Life Insurance Co. | | SST
SA Allocation
Balanced
Portfolio | | SST
SA Allocation
Growth
Portfolio | | SST
Allocation
SA Moderate
Growth
Portfolio | | SST
SA Allocation
Moderate
Portfolio | | SAST
SA VCP
Dynamic
Strategy
Portfolio | | SAST
SA VCP
Dynamic
Allocation
Portfolio |
SA Allocation Balanced
| | 90.95% | | 9.05% | | —% | | —% | | —% | | —% | | —% | | —% |
SA Allocation Growth
| | 92.24 | | 7.76 | | — | | — | | — | | — | | — | | — |
SA Allocation Moderate Growth
| | 92.38 | | 7.62 | | — | | — | | — | | — | | — | | — |
SA Allocation Moderate
| | 91.86 | | 8.14 | | — | | — | | — | | — | | — | | — |
SA American Century Inflation Protection
| | 59.45 | | 3.91 | | 1.19 | | 0.83 | | 1.58 | | 0.96 | | 9.65 | | 22.43 |
SA Columbia Focused Value
| | 5.99 | | 0.06 | | 0.89 | | 3.20 | | 3.04 | | 1.22 | | 32.90 | | 52.70 |
SA Multi-Managed Diversified Fixed Income
| | 2.97 | | 0.05 | | 4.44 | | 2.56 | | 5.25 | | 3.96 | | 21.00 | | 59.77 |
SA Multi-Managed Growth
| | 98.46 | | 1.54 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Income
| | 99.08 | | 0.92 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed Income/Equity
| | 99.45 | | 0.55 | | — | | — | | — | | — | | — | | — |
SA Multi-Managed International Equity
| | 7.82 | | 0.18 | | 1.92 | | 7.88 | | 6.87 | | 3.35 | | 26.40 | | 45.58 |
SA Multi-Managed Large Cap Growth
| | 13.72 | | 0.11 | | 1.21 | | 3.80 | | 3.84 | | 2.09 | | 34.88 | | 40.35 |
SA Multi-Managed Large Cap Value
| | 6.24 | | 0.04 | | 0.89 | | 3.66 | | 3.28 | | 1.73 | | 39.29 | | 44.87 |
SA Multi-Managed Mid Cap Growth
| | 23.94 | | 0.49 | | 0.50 | | 1.57 | | 1.58 | | 0.72 | | 34.34 | | 36.86 |
SA Multi-Managed Mid Cap Value
| | 16.12 | | 0.10 | | 0.72 | | 3.31 | | 2.51 | | 1.09 | | 22.70 | | 53.45 |
SA Multi-Managed Moderate Growth
| | 99.43 | | 0.57 | | — | | — | | — | | — | | — | | — |
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
| Portfolio | | American General
Life Insurance Co. | | The United States
Life Insurance Co. | | SST
SA Allocation
Balanced
Portfolio | | SST
SA Allocation
Growth
Portfolio | | SST
Allocation
SA Moderate
Growth
Portfolio | | SST
SA Allocation
Moderate
Portfolio | | SAST
SA VCP
Dynamic
Strategy
Portfolio | | SAST
SA VCP
Dynamic
Allocation
Portfolio |
SA Multi-Managed Small Cap
| | 13.88% | | 0.21% | | 0.70% | | 2.60% | | 1.78% | | 1.13% | | 47.41% | | 32.29% |
SA Putnam Asset Allocation Diversified Growth
| | 94.96 | | 5.04 | | — | | — | | — | | — | | — | | — |
SA T. Rowe Price Growth Stock
| | 23.73 | | 0.23 | | 0.84 | | 2.13 | | 2.38 | | 1.24 | | 7.49 | | 61.96 |
The fund-of-funds do not invest in the Portfolios for the purpose of exercising management or control; however, investments by these funds within the set limits across their asset allocations may represent a significant portion of net assets of the Portfolios.
Note 9 — Investment Concentration
Certain Portfolios invest 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. These risks are primary risks of the SA International Equity Portfolio.
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 portfolio 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 the U.S. Government, its agencies or instrumentalities.
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 Portfoliopurchases 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.
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 six months ended September 30, 2023, the following Portfolios had borrowings:
| Portfolio | | Days
Outstanding | | Interest
Charges | | Average
Debt
Utilized | | Weighted
Average
Interest | | Balance
Outstanding
at 09/30/23 |
SA Columbia Focused Value
| | 1 | | $ 344 | | $1,925,000 | | 6.43% | | $— |
SA Multi-Managed Diversified Fixed Income
| | 8 | | 445 | | 300,000 | | 6.68 | | — |
SA Multi-Managed Growth
| | 5 | | 441 | | 495,000 | | 6.42 | | — |
SA Multi-Managed Income
| | 3 | | 268 | | 500,000 | | 6.42 | | — |
SA Multi-Managed Income/Equity
| | 3 | | 495 | | 925,000 | | 6.42 | | — |
SA Multi-Managed International Equity
| | 9 | | 306 | | 186,111 | | 6.57 | | — |
SA Multi-Managed Large Cap Growth
| | 32 | | 4,945 | | 867,188 | | 6.43 | | — |
SA Multi-Managed Large Cap Value
| | 23 | | 1,661 | | 403,261 | | 6.46 | | — |
SA Multi-Managed Mid Cap Value
| | 2 | | 125 | | 337,500 | | 6.68 | | — |
SA Multi-Managed Moderate Growth
| | 3 | | 776 | | 1,450,000 | | 6.42 | | — |
SA Multi-Managed Small Cap
| | 28 | | 2,577 | | 534,821 | | 6.27 | | — |
SA Putnam Asset Allocation Diversified Growth
| | 50 | | 829 | | 93,500 | | 6.38 | | — |
Note 11 — 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
SEASONS SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (unaudited) — (continued)
purposes. An interfund loan will be made under this facility only if the participating Portfolios receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction. For the six months ended September 30, 2023, none of the Portfolios participated in this program.
Note 12 — 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. 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.
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3)(4) | Total expenses
after waivers
and/or
reimburse-
ments(3) | Net
investment
income
(loss)(3) | Portfolio
turnover |
| SA Allocation Balanced Portfolio — Class 1 |
| 03/31/19 | $10.83 | $ 0.24 | $ 0.11 | $ 0.35 | | $(0.55) | $(0.97) | $(1.52) | $ 9.66 | 4.33% | $ 114 | 0.14% | 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 | 0.15 | 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 | 0.14 | 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 | 0.14 | 0.13 | 1.50 | 14 |
| 03/31/23 | 10.40 | 0.09 | (0.73) | (0.64) | | (0.29) | (0.48) | (0.77) | 8.99 | (5.92) | 69 | 0.15 | 0.14 | 0.89 | 14 |
| 09/30/23@ | 8.99 | (0.01) | (0.11) | (0.12) | | — | — | — | 8.87 | (1.33) | 68 | 0.15 | 0.14(5) | (0.14)(5) | 9 |
| SA Allocation Balanced Portfolio — Class 3 |
| 03/31/19 | 10.80 | 0.21 | 0.12 | 0.33 | | (0.50) | (0.97) | (1.47) | 9.66 | 4.11 | 215,693 | 0.39 | 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 | 0.40 | 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 | 0.39 | 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 | 0.39 | 0.38 | 1.17 | 14 |
| 03/31/23 | 10.40 | 0.14 | (0.79) | (0.65) | | (0.27) | (0.48) | (0.75) | 9.00 | (6.09) | 237,811 | 0.40 | 0.39 | 1.45 | 14 |
| 09/30/23@ | 9.00 | (0.02) | (0.11) | (0.13) | | — | — | — | 8.87 | (1.44) | 224,988 | 0.40 | 0.39(5) | (0.39)(5) | 9 |
| SA Allocation Growth Portfolio — Class 1 |
| 03/31/19 | 14.45 | 0.33 | 0.07 | 0.40 | | (0.54) | (1.05) | (1.59) | 13.26 | 4.14 | 150 | 0.16 | 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 | 0.16 | 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 | 0.14 | 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 | 0.13 | 0.12 | 0.45 | 10 |
| 03/31/23 | 16.32 | 0.20 | (1.33) | (1.13) | | (0.39) | (0.84) | (1.23) | 13.96 | (6.65) | 4,322 | 0.13 | 0.12 | 1.40 | 15 |
| 09/30/23@ | 13.96 | (0.01) | 0.10 | 0.09 | | — | — | — | 14.05 | 0.64 | 1,023 | 0.13 | 0.12(5) | (0.12)(5) | 7 |
| SA Allocation Growth Portfolio — Class 3 |
| 03/31/19 | 14.41 | 0.21 | 0.16 | 0.37 | | (0.49) | (1.05) | (1.54) | 13.24 | 3.89 | 160,980 | 0.41 | 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 | 0.41 | 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 | 0.39 | 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 | 0.38 | 0.37 | 0.92 | 10 |
| 03/31/23 | 16.21 | 0.17 | (1.33) | (1.16) | | (0.35) | (0.84) | (1.19) | 13.86 | (6.87) | 391,646 | 0.38 | 0.37 | 1.18 | 15 |
| 09/30/23@ | 13.86 | (0.03) | 0.11 | 0.08 | | — | — | — | 13.94 | 0.58 | 394,980 | 0.38 | 0.37(5) | (0.37)(5) | 7 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Does not include underlying portfolio expenses that the Portfolio bears indirectly. |
| (4) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (5) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3)(4) | Total expenses
after waivers
and/or
reimburse-
ments(3) | Net
investment
income
(loss)(3) | Portfolio
turnover |
| SA Allocation Moderate Growth Portfolio — Class 1 |
| 03/31/19 | $11.75 | $ 0.15 | $ 0.13 | $ 0.28 | | $(0.56) | $(1.40) | $(1.96) | $10.07 | 4.24% | $ 374 | 0.13% | 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 | 0.13 | 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 | 0.13 | 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 | 0.12 | 0.11 | 1.30 | 10 |
| 03/31/23 | 11.42 | 0.13 | (0.88) | (0.75) | | (0.33) | (0.71) | (1.04) | 9.63 | (6.28) | 319 | 0.13 | 0.12 | 1.31 | 12 |
| 09/30/23@ | 9.63 | (0.01) | 0.01 | — | | — | — | — | 9.63 | 0.00 | 315 | 0.13 | 0.12(5) | (0.12)(5) | 5 |
| SA Allocation Moderate Growth Portfolio — Class 3 |
| 03/31/19 | 11.72 | 0.19 | 0.07 | 0.26 | | (0.51) | (1.40) | (1.91) | 10.07 | 3.95 | 462,493 | 0.38 | 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 | 0.38 | 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 | 0.38 | 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 | 0.37 | 0.36 | 1.05 | 10 |
| 03/31/23 | 11.38 | 0.13 | (0.91) | (0.78) | | (0.30) | (0.71) | (1.01) | 9.59 | (6.60) | 465,607 | 0.38 | 0.37 | 1.31 | 12 |
| 09/30/23@ | 9.59 | (0.02) | 0.01 | (0.01) | | — | — | — | 9.58 | (0.10) | 444,560 | 0.38 | 0.37(5) | (0.37)(5) | 5 |
| SA Allocation Moderate Portfolio — Class 1 |
| 03/31/19 | 11.61 | 0.19 | 0.16 | 0.35 | | (0.56) | (1.20) | (1.76) | 10.20 | 4.52 | 213 | 0.14 | 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 | 0.14 | 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 | 0.14 | 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 | 0.13 | 0.12 | 1.46 | 12 |
| 03/31/23 | 11.26 | 0.18 | (0.91) | (0.73) | | (0.33) | (0.68) | (1.01) | 9.52 | (6.19) | 193 | 0.14 | 0.13 | 1.90 | 13 |
| 09/30/23@ | 9.52 | (0.01) | (0.03) | (0.04) | | — | — | — | 9.48 | (0.42) | 189 | 0.14 | 0.13(5) | (0.13)(5) | 6 |
| SA Allocation Moderate Portfolio — Class 3 |
| 03/31/19 | 11.58 | 0.20 | 0.12 | 0.32 | | (0.50) | (1.20) | (1.70) | 10.20 | 4.27 | 294,856 | 0.39 | 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 | 0.39 | 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 | 0.39 | 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 | 0.38 | 0.37 | 1.09 | 12 |
| 03/31/23 | 11.22 | 0.13 | (0.88) | (0.75) | | (0.30) | (0.68) | (0.98) | 9.49 | (6.42) | 273,074 | 0.39 | 0.38 | 1.36 | 13 |
| 09/30/23@ | 9.49 | (0.02) | (0.04) | (0.06) | | — | — | — | 9.43 | (0.63) | 261,520 | 0.39 | 0.38(5) | (0.38)(5) | 6 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Does not include underlying portfolio expenses that the Portfolio bears indirectly. |
| (4) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (5) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA American Century Inflation Protection Portfolio — Class 1 |
| 03/31/19 | $ 9.64 | $0.12 | $ 0.10 | $ 0.22 | | $(0.36) | $ — | $(0.36) | $ 9.50 | 2.40% | $337,714 | 0.65% | 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 | 0.64 | 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 | 0.64 | 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 | 0.64 | 0.59 | 3.51 | 109 |
| 03/31/23 | 10.26 | 0.42 | (1.16) | (0.74) | | (0.25) | (0.14) | (0.39) | 9.13 | (7.11) | 245,407 | 0.65 | 0.59 | 4.48 | 57 |
| 09/30/23@ | 9.13 | 0.19 | (0.61) | (0.42) | | — | — | — | 8.71 | (4.60) | 212,881 | 0.64 | 0.58(4) | 4.14(4) | 14 |
| SA American Century Inflation Protection Portfolio — Class 3 |
| 03/31/19 | 9.56 | 0.10 | 0.10 | 0.20 | | (0.32) | — | (0.32) | 9.44 | 2.17 | 387,047 | 0.90 | 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 | 0.89 | 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 | 0.89 | 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 | 0.89 | 0.84 | 3.23 | 109 |
| 03/31/23 | 10.14 | 0.39 | (1.14) | (0.75) | | (0.22) | (0.14) | (0.36) | 9.03 | (7.26) | 392,544 | 0.90 | 0.84 | 4.20 | 57 |
| 09/30/23@ | 9.03 | 0.17 | (0.60) | (0.43) | | — | — | — | 8.60 | (4.76) | 363,050 | 0.89 | 0.83(4) | 3.88(4) | 14 |
| SA Columbia Focused Value Portfolio — Class 1 |
| 03/31/19 | 20.36 | 0.58 | (0.51) | 0.07 | | (0.84) | (1.96) | (2.80) | 17.63 | 1.76 | 273,629 | 1.04 | 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 | 1.05 | 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 | 1.04 | 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 | 1.02 | 0.71 | 1.59 | 14 |
| 03/31/23 | 23.44 | 0.33 | (1.53) | (1.20) | | (0.41) | (2.41) | (2.82) | 19.42 | (5.40) | 315,610 | 1.04 | 0.72 | 1.58 | 14 |
| 09/30/23@ | 19.42 | 0.19 | (0.64) | (0.45) | | — | — | — | 18.97 | (2.32) | 277,115 | 1.04 | 0.72(4) | 1.91(4) | 5 |
| SA Columbia Focused Value Portfolio — Class 2 |
| 03/31/19 | 20.33 | 0.55 | (0.49) | 0.06 | | (0.74) | (1.96) | (2.70) | 17.69 | 1.61 | 13,536 | 1.19 | 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 | 1.20 | 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 | 1.19 | 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 | 1.17 | 0.86 | 1.45 | 14 |
| 03/31/23 | 23.50 | 0.30 | (1.54) | (1.24) | | (0.37) | (2.41) | (2.78) | 19.48 | (5.55) | 12,154 | 1.19 | 0.87 | 1.44 | 14 |
| 09/30/23@ | 19.48 | 0.17 | (0.63) | (0.46) | | — | — | — | 19.02 | (2.36) | 11,161 | 1.19 | 0.87(4) | 1.76(4) | 5 |
| SA Columbia Focused Value Portfolio — Class 3 |
| 03/31/19 | 20.28 | 0.53 | (0.49) | 0.04 | | (0.65) | (1.96) | (2.61) | 17.71 | 1.51 | 9,295 | 1.29 | 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 | 1.30 | 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 | 1.29 | 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 | 1.27 | 0.96 | 1.35 | 14 |
| 03/31/23 | 23.50 | 0.28 | (1.53) | (1.25) | | (0.34) | (2.41) | (2.75) | 19.50 | (5.59) | 7,398 | 1.29 | 0.97 | 1.34 | 14 |
| 09/30/23@ | 19.50 | 0.16 | (0.64) | (0.48) | | — | — | — | 19.02 | (2.46) | 6,761 | 1.29 | 0.97(4) | 1.66(4) | 5 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA Multi-Managed Diversified Fixed Income Portfolio — Class 1 |
| 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% | 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 | 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 | 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 | 0.68 | 1.68 | 39 |
| 03/31/23 | 10.86 | 0.21 | (0.78) | (0.57) | | (0.24) | — | (0.24) | 10.05 | (5.25) | 753,833 | 0.70 | 0.70 | 2.09 | 38 |
| 09/30/23@ | 10.05 | 0.11 | (0.51) | (0.40) | | — | — | — | 9.65 | (3.98) | 673,798 | 0.71 | 0.71(4) | 2.29(4) | 18 |
| SA Multi-Managed Diversified Fixed Income Portfolio — Class 2 |
| 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 | 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 | 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 | 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 | 0.83 | 1.53 | 39 |
| 03/31/23 | 10.85 | 0.20 | (0.78) | (0.58) | | (0.22) | — | (0.22) | 10.05 | (5.35) | 13,984 | 0.85 | 0.85 | 1.93 | 38 |
| 09/30/23@ | 10.05 | 0.11 | (0.51) | (0.40) | | — | — | — | 9.65 | (3.98) | 12,969 | 0.86 | 0.86(4) | 2.13(4) | 18 |
| SA Multi-Managed Diversified Fixed Income Portfolio — Class 3 |
| 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 | 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 | 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 | 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 | 0.93 | 1.43 | 39 |
| 03/31/23 | 10.80 | 0.19 | (0.79) | (0.60) | | (0.20) | — | (0.20) | 10.00 | (5.53) | 7,217 | 0.95 | 0.95 | 1.83 | 38 |
| 09/30/23@ | 10.00 | 0.10 | (0.50) | (0.40) | | — | — | — | 9.60 | (4.00) | 6,561 | 0.96 | 0.96(4) | 2.04(4) | 18 |
| SA Multi-Managed Growth Portfolio — Class 1 |
| 03/31/19 | 17.02 | 0.09 | 1.05 | 1.14 | | (0.18) | (1.61) | (1.79) | 16.37 | 7.37 | 9,349 | 1.29 | 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 | 1.38 | 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 | 1.34 | 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 | 1.34 | 1.27 | (0.38) | 68 |
| 03/31/23 | 13.20 | 0.01 | (2.44) | (2.43) | | — | (1.86) | (1.86) | 8.91 | (17.37) | 7,458 | 1.54 | 1.25 | 0.12 | 61 |
| 09/30/23@ | 8.91 | 0.02 | (0.04) | (0.02) | | — | — | — | 8.89 | (0.22) | 7,526 | 1.60 | 1.09(4) | 0.35(4) | 31 |
| SA Multi-Managed Growth Portfolio — Class 2 |
| 03/31/19 | 17.01 | 0.07 | 1.04 | 1.11 | | (0.15) | (1.61) | (1.76) | 16.36 | 7.18 | 17,915 | 1.44 | 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 | 1.52 | 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 | 1.49 | 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 | 1.49 | 1.42 | (0.53) | 68 |
| 03/31/23 | 13.14 | (0.00) | (2.43) | (2.43) | | — | (1.86) | (1.86) | 8.85 | (17.44) | 13,950 | 1.69 | 1.40 | (0.03) | 61 |
| 09/30/23@ | 8.85 | 0.01 | (0.04) | (0.03) | | — | — | — | 8.82 | (0.34) | 13,563 | 1.75 | 1.24(4) | 0.20(4) | 31 |
| SA Multi-Managed Growth Portfolio — Class 3 |
| 03/31/19 | 16.97 | 0.05 | 1.04 | 1.09 | | (0.12) | (1.61) | (1.73) | 16.33 | 7.11 | 21,872 | 1.54 | 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 | 1.63 | 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 | 1.59 | 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 | 1.59 | 1.52 | (0.63) | 68 |
| 03/31/23 | 13.06 | (0.01) | (2.42) | (2.43) | | — | (1.86) | (1.86) | 8.77 | (17.56) | 13,276 | 1.79 | 1.50 | (0.13) | 61 |
| 09/30/23@ | 8.77 | 0.00 | (0.03) | (0.03) | | — | — | — | 8.74 | (0.34) | 12,732 | 1.85 | 1.34(4) | 0.10(4) | 31 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA Multi-Managed Income Portfolio — Class 1 |
| 03/31/19 | $11.05 | $0.23 | $ 0.33 | $ 0.56 | | $(0.25) | $(0.30) | $(0.55) | $11.06 | 5.39% | $ 5,122 | 1.16% | 1.14% | 2.07% | 49% |
| 03/31/20 | 11.06 | 0.19 | 0.32 | 0.51 | | (0.31) | (0.25) | (0.56) | 11.01 | 4.50 | 4,271 | 1.25 | 1.22 | 1.67 | 63 |
| 03/31/21 | 11.01 | 0.11 | 1.78 | 1.89 | | (0.23) | (0.85) | (1.08) | 11.82 | 16.94 | 5,027 | 1.27 | 1.24 | 0.90 | 48 |
| 03/31/22 | 11.82 | 0.12 | (1.05) | (0.93) | | (0.11) | (1.08) | (1.19) | 9.70 | (8.97) | 3,820 | 1.26 | 1.23 | 1.02 | 41 |
| 03/31/23 | 9.70 | 0.17 | (1.02) | (0.85) | | (0.15) | (0.32) | (0.47) | 8.38 | (8.61) | 2,987 | 1.44 | 1.25 | 1.96 | 48 |
| 09/30/23@ | 8.38 | 0.11 | (0.35) | (0.24) | | — | — | — | 8.14 | (2.86) | 2,971 | 1.49 | 1.19(4) | 2.63(4) | 24 |
| SA Multi-Managed Income Portfolio — Class 2 |
| 03/31/19 | 11.04 | 0.21 | 0.33 | 0.54 | | (0.23) | (0.30) | (0.53) | 11.05 | 5.22 | 24,779 | 1.31 | 1.29 | 1.92 | 49 |
| 03/31/20 | 11.05 | 0.17 | 0.32 | 0.49 | | (0.29) | (0.25) | (0.54) | 11.00 | 4.33 | 21,120 | 1.40 | 1.37 | 1.52 | 63 |
| 03/31/21 | 11.00 | 0.09 | 1.78 | 1.87 | | (0.21) | (0.85) | (1.06) | 11.81 | 16.79 | 25,124 | 1.42 | 1.39 | 0.74 | 48 |
| 03/31/22 | 11.81 | 0.10 | (1.05) | (0.95) | | (0.09) | (1.08) | (1.17) | 9.69 | (9.12) | 21,200 | 1.41 | 1.38 | 0.87 | 41 |
| 03/31/23 | 9.69 | 0.16 | (1.03) | (0.87) | | (0.13) | (0.32) | (0.45) | 8.37 | (8.82) | 16,079 | 1.59 | 1.40 | 1.81 | 48 |
| 09/30/23@ | 8.37 | 0.10 | (0.35) | (0.25) | | — | — | — | 8.12 | (2.99) | 14,582 | 1.64 | 1.34(4) | 2.48(4) | 24 |
| SA Multi-Managed Income Portfolio — Class 3 |
| 03/31/19 | 11.04 | 0.20 | 0.33 | 0.53 | | (0.22) | (0.30) | (0.52) | 11.05 | 5.10 | 15,206 | 1.41 | 1.39 | 1.82 | 49 |
| 03/31/20 | 11.05 | 0.16 | 0.31 | 0.47 | | (0.27) | (0.25) | (0.52) | 11.00 | 4.21 | 12,143 | 1.50 | 1.47 | 1.41 | 63 |
| 03/31/21 | 11.00 | 0.08 | 1.78 | 1.86 | | (0.20) | (0.85) | (1.05) | 11.81 | 16.66 | 14,519 | 1.52 | 1.49 | 0.65 | 48 |
| 03/31/22 | 11.81 | 0.09 | (1.05) | (0.96) | | (0.08) | (1.08) | (1.16) | 9.69 | (9.21) | 12,027 | 1.51 | 1.48 | 0.77 | 41 |
| 03/31/23 | 9.69 | 0.15 | (1.02) | (0.87) | | (0.12) | (0.32) | (0.44) | 8.38 | (8.85) | 9,397 | 1.69 | 1.50 | 1.71 | 48 |
| 09/30/23@ | 8.38 | 0.10 | (0.35) | (0.25) | | — | — | — | 8.13 | (2.98) | 9,183 | 1.74 | 1.44(4) | 2.38(4) | 24 |
| SA Multi-Managed Income/Equity Portfolio — Class 1 |
| 03/31/19 | 11.19 | 0.19 | 0.53 | 0.72 | | (0.23) | (0.52) | (0.75) | 11.16 | 6.86 | 8,087 | 1.13 | 1.10 | 1.71 | 51 |
| 03/31/20 | 11.16 | 0.14 | 0.22 | 0.36 | | (0.24) | (0.51) | (0.75) | 10.77 | 3.13 | 6,646 | 1.19 | 1.15 | 1.22 | 77 |
| 03/31/21 | 10.77 | 0.07 | 3.10 | 3.17 | | (0.19) | (1.33) | (1.52) | 12.42 | 28.99 | 7,846 | 1.19 | 1.15 | 0.55 | 60 |
| 03/31/22 | 12.42 | 0.08 | (1.31) | (1.23) | | (0.09) | (1.86) | (1.95) | 9.24 | (12.13) | 6,075 | 1.19 | 1.15 | 0.64 | 47 |
| 03/31/23 | 9.24 | 0.12 | (1.24) | (1.12) | | (0.07) | (0.54) | (0.61) | 7.51 | (11.79) | 4,453 | 1.35 | 1.18 | 1.47 | 52 |
| 09/30/23@ | 7.51 | 0.07 | (0.22) | (0.15) | | — | — | — | 7.36 | (2.00) | 4,142 | 1.37 | 1.14(4) | 1.89(4) | 27 |
| SA Multi-Managed Income/Equity Portfolio — Class 2 |
| 03/31/19 | 11.17 | 0.18 | 0.52 | 0.70 | | (0.21) | (0.52) | (0.73) | 11.14 | 6.69 | 30,313 | 1.28 | 1.25 | 1.56 | 51 |
| 03/31/20 | 11.14 | 0.12 | 0.22 | 0.34 | | (0.22) | (0.51) | (0.73) | 10.75 | 2.96 | 25,142 | 1.34 | 1.30 | 1.07 | 77 |
| 03/31/21 | 10.75 | 0.05 | 3.10 | 3.15 | | (0.17) | (1.33) | (1.50) | 12.40 | 28.85 | 31,277 | 1.34 | 1.30 | 0.40 | 60 |
| 03/31/22 | 12.40 | 0.06 | (1.30) | (1.24) | | (0.07) | (1.86) | (1.93) | 9.23 | (12.21) | 25,089 | 1.34 | 1.30 | 0.49 | 47 |
| 03/31/23 | 9.23 | 0.10 | (1.23) | (1.13) | | (0.05) | (0.54) | (0.59) | 7.51 | (11.90) | 19,375 | 1.50 | 1.33 | 1.32 | 52 |
| 09/30/23@ | 7.51 | 0.07 | (0.23) | (0.16) | | — | — | — | 7.35 | (2.13) | 18,427 | 1.52 | 1.29(4) | 1.74(4) | 27 |
| SA Multi-Managed Income/Equity Portfolio — Class 3 |
| 03/31/19 | 11.18 | 0.16 | 0.53 | 0.69 | | (0.20) | (0.52) | (0.72) | 11.15 | 6.55 | 17,028 | 1.38 | 1.35 | 1.46 | 51 |
| 03/31/20 | 11.15 | 0.11 | 0.22 | 0.33 | | (0.21) | (0.51) | (0.72) | 10.76 | 2.86 | 15,171 | 1.44 | 1.40 | 0.97 | 77 |
| 03/31/21 | 10.76 | 0.04 | 3.09 | 3.13 | | (0.15) | (1.33) | (1.48) | 12.41 | 28.70 | 18,292 | 1.44 | 1.40 | 0.30 | 60 |
| 03/31/22 | 12.41 | 0.05 | (1.31) | (1.26) | | (0.06) | (1.86) | (1.92) | 9.23 | (12.36) | 15,867 | 1.44 | 1.40 | 0.39 | 47 |
| 03/31/23 | 9.23 | 0.10 | (1.23) | (1.13) | | (0.04) | (0.54) | (0.58) | 7.52 | (11.91) | 12,519 | 1.60 | 1.43 | 1.22 | 52 |
| 09/30/23@ | 7.52 | 0.06 | (0.22) | (0.16) | | — | — | — | 7.36 | (2.13) | 12,471 | 1.62 | 1.39(4) | 1.64(4) | 27 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA Multi-Managed International Equity Portfolio — Class 1 |
| 03/31/19 | $ 9.69 | $ 0.21 | $(0.66) | $(0.45) | | $(0.26) | $ — | $(0.26) | $ 8.98 | (4.44)% | $410,320 | 1.03% | 0.99% | 2.27% | 22% |
| 03/31/20 | 8.98 | 0.17 | (1.23) | (1.06) | | (0.30) | (0.78) | (1.08) | 6.84 | (14.19) | 265,249 | 1.08 | 1.04 | 1.88 | 20 |
| 03/31/21 | 6.84 | 0.11 | 3.29 | 3.40 | | (0.16) | (0.14) | (0.30) | 9.94 | 49.70 | 354,716 | 1.01 | 0.97 | 1.27 | 22 |
| 03/31/22 | 9.94 | 0.16 | (0.20) | (0.04) | | (0.15) | (0.51) | (0.66) | 9.24 | (0.84) | 332,409 | 1.04 | 1.00 | 1.55 | 18 |
| 03/31/23 | 9.24 | 0.16 | (0.42) | (0.26) | | (0.18) | (0.56) | (0.74) | 8.24 | (2.25) | 287,976 | 1.07 | 1.03 | 2.03 | 13 |
| 09/30/23@ | 8.24 | 0.11 | (0.30) | (0.19) | | — | — | — | 8.05 | (2.31) | 257,817 | 1.05 | 1.01(4) | 2.53(4) | 8 |
| SA Multi-Managed International Equity Portfolio — Class 2 |
| 03/31/19 | 9.71 | 0.19 | (0.66) | (0.47) | | (0.24) | — | (0.24) | 9.00 | (4.61) | 17,959 | 1.18 | 1.14 | 2.07 | 22 |
| 03/31/20 | 9.00 | 0.14 | (1.22) | (1.08) | | (0.28) | (0.78) | (1.06) | 6.86 | (14.30) | 13,398 | 1.23 | 1.19 | 1.61 | 20 |
| 03/31/21 | 6.86 | 0.10 | 3.29 | 3.39 | | (0.14) | (0.14) | (0.28) | 9.97 | 49.49 | 19,379 | 1.16 | 1.12 | 1.15 | 22 |
| 03/31/22 | 9.97 | 0.14 | (0.20) | (0.06) | | (0.14) | (0.51) | (0.65) | 9.26 | (1.08) | 16,909 | 1.19 | 1.15 | 1.41 | 18 |
| 03/31/23 | 9.26 | 0.15 | (0.43) | (0.28) | | (0.16) | (0.56) | (0.72) | 8.26 | (2.46) | 14,505 | 1.22 | 1.18 | 1.89 | 13 |
| 09/30/23@ | 8.26 | 0.10 | (0.29) | (0.19) | | — | — | — | 8.07 | (2.30) | 12,744 | 1.20 | 1.16(4) | 2.39(4) | 8 |
| SA Multi-Managed International Equity Portfolio — Class 3 |
| 03/31/19 | 9.67 | 0.18 | (0.65) | (0.47) | | (0.23) | — | (0.23) | 8.97 | (4.66) | 13,689 | 1.28 | 1.24 | 1.96 | 22 |
| 03/31/20 | 8.97 | 0.14 | (1.22) | (1.08) | | (0.27) | (0.78) | (1.05) | 6.84 | (14.34) | 10,100 | 1.33 | 1.29 | 1.53 | 20 |
| 03/31/21 | 6.84 | 0.09 | 3.28 | 3.37 | | (0.13) | (0.14) | (0.27) | 9.94 | 49.35 | 13,369 | 1.26 | 1.22 | 1.04 | 22 |
| 03/31/22 | 9.94 | 0.13 | (0.20) | (0.07) | | (0.13) | (0.51) | (0.64) | 9.23 | (1.18) | 11,304 | 1.29 | 1.25 | 1.31 | 18 |
| 03/31/23 | 9.23 | 0.14 | (0.42) | (0.28) | | (0.15) | (0.56) | (0.71) | 8.24 | (2.49) | 9,506 | 1.32 | 1.28 | 1.78 | 13 |
| 09/30/23@ | 8.24 | 0.10 | (0.30) | (0.20) | | — | — | — | 8.04 | (2.43) | 8,756 | 1.30 | 1.26(4) | 2.27(4) | 8 |
| SA Multi-Managed Large Cap Growth Portfolio — Class 1 |
| 03/31/19 | 15.32 | 0.07 | 1.52 | 1.59 | | (0.10) | (2.45) | (2.55) | 14.36 | 11.68 | 445,895 | 0.82 | 0.77 | 0.44 | 45 |
| 03/31/20 | 14.36 | 0.03 | (0.18) | (0.15) | | (0.07) | (1.88) | (1.95) | 12.26 | (2.43) | 388,579 | 0.83 | 0.76 | 0.23 | 69 |
| 03/31/21 | 12.26 | (0.02) | 8.73 | 8.71 | | (0.04) | (2.47) | (2.51) | 18.46 | 71.02 | 450,154 | 0.81 | 0.73 | (0.13) | 45 |
| 03/31/22 | 18.46 | (0.05) | 0.93 | 0.88 | | — | (5.08) | (5.08) | 14.26 | 0.39 | 450,952 | 0.81 | 0.73 | (0.29) | 42 |
| 03/31/23 | 14.26 | (0.00) | (2.68) | (2.68) | | — | (1.90) | (1.90) | 9.68 | (17.70) | 328,010 | 0.84 | 0.77 | (0.04) | 46 |
| 09/30/23@ | 9.68 | (0.00) | 0.55 | 0.55 | | — | — | — | 10.23 | 5.68 | 287,011 | 0.84 | 0.77(4) | (0.05)(4) | 15 |
| SA Multi-Managed Large Cap Growth Portfolio — Class 2 |
| 03/31/19 | 15.02 | 0.04 | 1.49 | 1.53 | | (0.07) | (2.45) | (2.52) | 14.03 | 11.52 | 31,938 | 0.97 | 0.92 | 0.28 | 45 |
| 03/31/20 | 14.03 | 0.01 | (0.18) | (0.17) | | (0.05) | (1.88) | (1.93) | 11.93 | (2.65) | 25,851 | 0.98 | 0.91 | 0.08 | 69 |
| 03/31/21 | 11.93 | (0.05) | 8.51 | 8.46 | | (0.02) | (2.47) | (2.49) | 17.90 | 70.84 | 38,448 | 0.96 | 0.88 | (0.28) | 45 |
| 03/31/22 | 17.90 | (0.08) | 0.93 | 0.85 | | — | (5.08) | (5.08) | 13.67 | 0.23 | 33,225 | 0.96 | 0.88 | (0.44) | 42 |
| 03/31/23 | 13.67 | (0.02) | (2.57) | (2.59) | | — | (1.90) | (1.90) | 9.18 | (17.81) | 25,437 | 0.99 | 0.92 | (0.19) | 46 |
| 09/30/23@ | 9.18 | (0.01) | 0.52 | 0.51 | | — | — | — | 9.69 | 5.56 | 24,798 | 0.99 | 0.92(4) | (0.20)(4) | 15 |
| SA Multi-Managed Large Cap Growth Portfolio — Class 3 |
| 03/31/19 | 14.87 | 0.03 | 1.47 | 1.50 | | (0.06) | (2.45) | (2.51) | 13.86 | 11.38 | 17,679 | 1.07 | 1.02 | 0.19 | 45 |
| 03/31/20 | 13.86 | (0.00) | (0.18) | (0.18) | | (0.03) | (1.88) | (1.91) | 11.77 | (2.73) | 13,717 | 1.08 | 1.01 | (0.02) | 69 |
| 03/31/21 | 11.77 | (0.07) | 8.39 | 8.32 | | — | (2.47) | (2.47) | 17.62 | 70.65 | 20,395 | 1.06 | 0.98 | (0.38) | 45 |
| 03/31/22 | 17.62 | (0.10) | 0.93 | 0.83 | | — | (5.08) | (5.08) | 13.37 | 0.09 | 18,008 | 1.06 | 0.98 | (0.54) | 42 |
| 03/31/23 | 13.37 | (0.03) | (2.51) | (2.54) | | — | (1.90) | (1.90) | 8.93 | (17.84) | 14,040 | 1.09 | 1.02 | (0.29) | 46 |
| 09/30/23@ | 8.93 | (0.01) | 0.50 | 0.49 | | — | — | — | 9.42 | 5.49 | 13,937 | 1.09 | 1.02(4) | (0.30)(4) | 15 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA Multi-Managed Large Cap Value Portfolio — Class 1 |
| 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% | 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 | 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 | 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 | 0.78 | 1.36 | 40 |
| 03/31/23 | 17.35 | 0.25 | (0.71) | (0.46) | | (0.32) | (2.82) | (3.14) | 13.75 | (2.63) | 526,295 | 0.80 | 0.80 | 1.60 | 39 |
| 09/30/23@ | 13.75 | 0.11 | (0.05) | 0.06 | | — | — | — | 13.81 | 0.44 | 470,497 | 0.82 | 0.82(4) | 1.47(4) | 11 |
| SA Multi-Managed Large Cap Value Portfolio — Class 2 |
| 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 | 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 | 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 | 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 | 0.93 | 1.21 | 40 |
| 03/31/23 | 17.33 | 0.23 | (0.72) | (0.49) | | (0.29) | (2.82) | (3.11) | 13.73 | (2.81) | 20,212 | 0.95 | 0.95 | 1.46 | 39 |
| 09/30/23@ | 13.73 | 0.09 | (0.04) | 0.05 | | — | — | — | 13.78 | 0.36 | 18,832 | 0.97 | 0.97(4) | 1.33(4) | 11 |
| SA Multi-Managed Large Cap Value Portfolio — Class 3 |
| 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 | 1.04 | 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 | 1.05 | 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 | 1.04 | 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 | 1.03 | 1.11 | 40 |
| 03/31/23 | 17.33 | 0.21 | (0.71) | (0.50) | | (0.27) | (2.82) | (3.09) | 13.74 | (2.88) | 9,196 | 1.05 | 1.05 | 1.36 | 39 |
| 09/30/23@ | 13.74 | 0.09 | (0.04) | 0.05 | | — | — | — | 13.79 | 0.36 | 8,643 | 1.07 | 1.07(4) | 1.23(4) | 11 |
| SA Multi-Managed Mid Cap Growth Portfolio — Class 1 |
| 03/31/19 | 18.98 | (0.01) | 2.20 | 2.19 | | — | (2.19) | (2.19) | 18.98 | 12.89 | 187,604 | 0.94 | 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 | 0.95 | (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 | 0.94 | (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 | 0.94 | (0.56) | 60 |
| 03/31/23 | 17.01 | (0.03) | (2.00) | (2.03) | | — | (4.04) | (4.04) | 10.94 | (10.93) | 129,176 | 0.97 | 0.97 | (0.20) | 48 |
| 09/30/23@ | 10.94 | (0.02) | (0.07) | (0.09) | | — | — | — | 10.85 | (0.82) | 115,864 | 0.98 | 0.98(4) | (0.30)(4) | 38 |
| SA Multi-Managed Mid Cap Growth Portfolio — Class 2 |
| 03/31/19 | 18.16 | (0.04) | 2.09 | 2.05 | | — | (2.19) | (2.19) | 18.02 | 12.69 | 22,407 | 1.09 | 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 | 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 | 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 | 1.09 | (0.71) | 60 |
| 03/31/23 | 15.45 | (0.04) | (1.84) | (1.88) | | — | (4.04) | (4.04) | 9.53 | (11.07) | 18,825 | 1.12 | 1.12 | (0.35) | 48 |
| 09/30/23@ | 9.53 | (0.02) | (0.07) | (0.09) | | — | — | — | 9.44 | (0.94) | 18,032 | 1.13 | 1.13(4) | (0.45)(4) | 38 |
| SA Multi-Managed Mid Cap Growth Portfolio — Class 3 |
| 03/31/19 | 17.70 | (0.06) | 2.04 | 1.98 | | — | (2.19) | (2.19) | 17.49 | 12.62 | 14,806 | 1.19 | 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 | 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 | 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 | 1.19 | (0.81) | 60 |
| 03/31/23 | 14.56 | (0.05) | (1.74) | (1.79) | | — | (4.04) | (4.04) | 8.73 | (11.15) | 11,589 | 1.22 | 1.22 | (0.45) | 48 |
| 09/30/23@ | 8.73 | (0.02) | (0.06) | (0.08) | | — | — | — | 8.65 | (0.92) | 10,912 | 1.23 | 1.23(4) | (0.55)(4) | 38 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA Multi-Managed Mid Cap Value Portfolio — Class 1 |
| 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% | 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 | 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 | 0.95 | 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 | 0.95 | 0.67 | 29 |
| 03/31/23 | 19.80 | 0.20 | (1.63) | (1.43) | | (0.16) | (2.63) | (2.79) | 15.58 | (7.25) | 170,288 | 0.96 | 0.96 | 1.17 | 31 |
| 09/30/23@ | 15.58 | 0.09 | (0.05) | 0.04 | | — | — | — | 15.62 | 0.26 | 156,167 | 0.97 | 0.97(4) | 1.09(4) | 16 |
| SA Multi-Managed Mid Cap Value Portfolio — Class 2 |
| 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 | 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 | 1.11 | 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 | 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 | 1.10 | 0.51 | 29 |
| 03/31/23 | 19.73 | 0.18 | (1.63) | (1.45) | | (0.12) | (2.63) | (2.75) | 15.53 | (7.35) | 18,646 | 1.11 | 1.11 | 1.02 | 31 |
| 09/30/23@ | 15.53 | 0.08 | (0.06) | 0.02 | | — | — | — | 15.55 | 0.13 | 17,136 | 1.12 | 1.12(4) | 0.94(4) | 16 |
| SA Multi-Managed Mid Cap Value Portfolio — Class 3 |
| 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 | 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 | 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 | 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 | 1.20 | 0.41 | 29 |
| 03/31/23 | 19.68 | 0.16 | (1.62) | (1.46) | | (0.10) | (2.63) | (2.73) | 15.49 | (7.45) | 10,490 | 1.21 | 1.21 | 0.92 | 31 |
| 09/30/23@ | 15.49 | 0.07 | (0.05) | 0.02 | | — | — | — | 15.51 | 0.13 | 9,923 | 1.22 | 1.22(4) | 0.85(4) | 16 |
| SA Multi-Managed Moderate Growth Portfolio — Class 1 |
| 03/31/19 | 12.90 | 0.13 | 0.66 | 0.79 | | (0.18) | (0.90) | (1.08) | 12.61 | 6.67 | 9,208 | 1.11 | 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 | 1.17 | 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 | 1.15 | 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 | 1.14 | 1.09 | 0.16 | 60 |
| 03/31/23 | 10.74 | 0.06 | (1.63) | (1.57) | | — | (1.17) | (1.17) | 8.00 | (14.01) | 6,500 | 1.27 | 1.11 | 0.75 | 59 |
| 09/30/23@ | 8.00 | 0.04 | (0.11) | (0.07) | | — | — | — | 7.93 | (0.88) | 6,488 | 1.31 | 1.04(4) | 1.06(4) | 28 |
| SA Multi-Managed Moderate Growth Portfolio — Class 2 |
| 03/31/19 | 12.88 | 0.12 | 0.65 | 0.77 | | (0.16) | (0.90) | (1.06) | 12.59 | 6.50 | 39,368 | 1.26 | 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 | 1.32 | 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 | 1.30 | 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 | 1.29 | 1.24 | 0.01 | 60 |
| 03/31/23 | 10.72 | 0.05 | (1.64) | (1.59) | | — | (1.17) | (1.17) | 7.96 | (14.24) | 28,876 | 1.42 | 1.26 | 0.60 | 59 |
| 09/30/23@ | 7.96 | 0.04 | (0.11) | (0.07) | | — | — | — | 7.89 | (0.88) | 27,347 | 1.46 | 1.19(4) | 0.91(4) | 28 |
| SA Multi-Managed Moderate Growth Portfolio — Class 3 |
| 03/31/19 | 12.87 | 0.10 | 0.65 | 0.75 | | (0.14) | (0.90) | (1.04) | 12.58 | 6.37 | 32,172 | 1.36 | 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 | 1.42 | 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 | 1.40 | 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 | 1.39 | 1.34 | (0.09) | 60 |
| 03/31/23 | 10.70 | 0.04 | (1.63) | (1.59) | | — | (1.17) | (1.17) | 7.94 | (14.26) | 22,749 | 1.52 | 1.36 | 0.50 | 59 |
| 09/30/23@ | 7.94 | 0.03 | (0.11) | (0.08) | | — | — | — | 7.86 | (1.01) | 21,266 | 1.56 | 1.29(4) | 0.81(4) | 28 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA Multi-Managed Small Cap Portfolio — Class 1 |
| 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% | 0.92% | 0.19% | 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 | 0.96 | 0.24 | 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 | 0.95 | 0.26 | 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 | 0.94 | 0.15 | 50 |
| 03/31/23 | 13.54 | 0.05 | (1.26) | (1.21) | | (0.05) | (2.19) | (2.24) | 10.09 | (8.84) | 158,048 | 0.96 | 0.96 | 0.39 | 41 |
| 09/30/23@ | 10.09 | 0.02 | (0.29) | (0.27) | | — | — | — | 9.82 | (2.68) | 129,855 | 0.99 | 0.99(4) | 0.47(4) | 25 |
| SA Multi-Managed Small Cap Portfolio — Class 2 |
| 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 | 1.07 | 0.03 | 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 | 1.11 | 0.10 | 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 | 1.10 | 0.11 | 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 | 1.09 | 0.00 | 50 |
| 03/31/23 | 13.01 | 0.03 | (1.20) | (1.17) | | (0.03) | (2.19) | (2.22) | 9.62 | (8.93) | 12,205 | 1.11 | 1.11 | 0.24 | 41 |
| 09/30/23@ | 9.62 | 0.02 | (0.28) | (0.26) | | — | — | — | 9.36 | (2.70) | 11,080 | 1.14 | 1.14(4) | 0.32(4) | 25 |
| SA Multi-Managed Small Cap Portfolio — Class 3 |
| 03/31/19 | 13.69 | (0.01) | (0.15) | (0.16) | | — | (1.06) | (1.06) | 12.47 | (0.92) | 10,647 | 1.17 | 1.17 | (0.07) | 41 |
| 03/31/20 | 12.47 | 0.00 | (2.80) | (2.80) | | — | (1.11) | (1.11) | 8.56 | (25.05) | 6,905 | 1.21 | 1.21 | (0.01) | 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 | 1.20 | 0.01 | 55 |
| 03/31/22 | 14.41 | (0.01) | 0.12 | 0.11 | | — | (1.84) | (1.84) | 12.68 | 0.06 | 9,747 | 1.19 | 1.19 | (0.10) | 50 |
| 03/31/23 | 12.68 | 0.02 | (1.17) | (1.15) | | (0.02) | (2.19) | (2.21) | 9.32 | (9.03) | 8,126 | 1.21 | 1.21 | 0.14 | 41 |
| 09/30/23@ | 9.32 | 0.01 | (0.27) | (0.26) | | — | — | — | 9.06 | (2.79) | 7,600 | 1.24 | 1.24(4) | 0.22(4) | 25 |
| SA Putnam Asset Allocation Diversified Growth Portfolio — Class 1 |
| 03/31/19 | 12.15 | 0.18 | 0.08 | 0.26 | | (0.25) | (0.44) | (0.69) | 11.72 | 2.43(5) | 14,836 | 1.05 | 0.93 | 1.47 | 101 |
| 03/31/20 | 11.72 | 0.20 | (1.39) | (1.19) | | (0.17) | (0.41) | (0.58) | 9.95 | (10.95) | 12,257 | 1.06 | 0.91 | 1.68 | 66 |
| 03/31/21 | 9.95 | 0.16 | 4.41 | 4.57 | | (0.18) | — | (0.18) | 14.34 | 45.93 | 16,639 | 1.01 | 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 | 1.00 | 0.85 | 1.00 | 102 |
| 03/31/23 | 14.15 | 0.18 | (1.22) | (1.04) | | (0.18) | (2.14) | (2.32) | 10.79 | (6.73) | 10,266 | 1.05 | 0.90 | 1.53 | 50 |
| 09/30/23@ | 10.79 | 0.10 | 0.21 | 0.31 | | — | — | — | 11.10 | 2.87 | 10,182 | 1.04 | 0.89(4) | 1.76(4) | 27 |
| SA Putnam Asset Allocation Diversified Growth Portfolio — Class 2 |
| 03/31/19 | 12.15 | 0.16 | 0.08 | 0.24 | | (0.23) | (0.44) | (0.67) | 11.72 | 2.26(5) | 50,708 | 1.20 | 1.08 | 1.32 | 101 |
| 03/31/20 | 11.72 | 0.18 | (1.39) | (1.21) | | (0.15) | 0.41 | (0.56) | 9.95 | (11.09) | 42,497 | 1.21 | 1.06 | 1.54 | 66 |
| 03/31/21 | 9.95 | 0.14 | 4.41 | 4.55 | | (0.16) | — | (0.16) | 14.34 | 45.75 | 56,213 | 1.16 | 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 | 1.15 | 1.00 | 0.85 | 102 |
| 03/31/23 | 14.15 | 0.16 | (1.22) | (1.06) | | (0.15) | (2.14) | (2.29) | 10.80 | (6.87) | 35,792 | 1.20 | 1.05 | 1.37 | 50 |
| 09/30/23@ | 10.80 | 0.09 | 0.21 | 0.30 | | — | — | — | 11.10 | 2.78 | 33,329 | 1.19 | 1.04(4) | 1.62(4) | 27 |
| SA Putnam Asset Allocation Diversified Growth Portfolio — Class 3 |
| 03/31/19 | 12.11 | 0.15 | 0.09 | 0.24 | | (0.22) | (0.44) | (0.66) | 11.69 | 2.25(5) | 100,587 | 1.30 | 1.18 | 1.23 | 101 |
| 03/31/20 | 11.69 | 0.17 | (1.39) | (1.22) | | (0.14) | (0.41) | (0.55) | 9.92 | (11.16) | 97,057 | 1.31 | 1.16 | 1.42 | 66 |
| 03/31/21 | 9.92 | 0.13 | 4.39 | 4.52 | | (0.15) | — | (0.15) | 14.29 | 45.59 | 139,730 | 1.26 | 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 | 1.25 | 1.10 | 0.75 | 102 |
| 03/31/23 | 14.08 | 0.15 | (1.21) | (1.06) | | (0.14) | (2.14) | (2.28) | 10.74 | (6.88) | 135,871 | 1.30 | 1.15 | 1.28 | 50 |
| 09/30/23@ | 10.74 | 0.08 | 0.20 | 0.28 | | — | — | — | 11.02 | 2.61 | 134,592 | 1.29 | 1.14(4) | 1.52(4) | 27 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
| (5) | 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
SEASONS SERIES TRUST
FINANCIAL HIGHLIGHTS — (continued)
| Selected Data for a Share Outstanding Throughout each Period | | | Ratios and Supplemental Data |
| | | Investment Operations | | Distributions to
Shareholders From | | | | Ratios to Average Net Assets | |
Period
ended | Net Asset
Value
beginning
of period | Net
investment
income
(loss)(1) | Net realized
& unrealized
gain (loss)
on
investments | Total from
investment
operations | | Net
investment
income | Net
realized
gain on
investments | Total
distributions | Net Asset
Value
end of
period | Total
Return(2) | Net Assets
end of
period (000’s) | Total
expenses(3) | Total expenses
after waivers
and/or
reimburse-
ments | Net
investment
income
(loss) | Portfolio
turnover |
| SA T. Rowe Price Growth Stock Portfolio — Class 1 |
| 03/31/19 | $27.31 | $ 0.01 | $ 2.29 | $ 2.30 | | $ — | $(6.91) | $(6.91) | $22.70 | 10.40% | $328,479 | 0.88% | 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 | 0.89 | (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 | 0.87 | (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 | 0.87 | (0.58) | 30 |
| 03/31/23 | 23.89 | (0.07) | (4.61) | (4.68) | | — | (2.89) | (2.89) | 16.32 | (18.44) | 221,588 | 0.90 | 0.90 | (0.40) | 26 |
| 09/30/23@ | 16.32 | (0.04) | 1.91 | 1.87 | | — | — | — | 18.19 | 11.46 | 200,535 | 0.91 | 0.91(4) | (0.40)(4) | 12 |
| SA T. Rowe Price Growth Stock Portfolio — Class 2 |
| 03/31/19 | 26.57 | (0.03) | 2.21 | 2.18 | | — | (6.91) | (6.91) | 21.84 | 10.23 | 40,322 | 1.03 | 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 | 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 | 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 | 1.02 | (0.73) | 30 |
| 03/31/23 | 22.44 | (0.09) | (4.35) | (4.44) | | — | (2.89) | (2.89) | 15.11 | (18.56) | 28,749 | 1.05 | 1.05 | (0.55) | 26 |
| 09/30/23@ | 15.11 | (0.05) | 1.76 | 1.71 | | — | — | — | 16.82 | 11.32 | 26,515 | 1.06 | 1.06(4) | (0.54)(4) | 12 |
| SA T. Rowe Price Growth Stock Portfolio — Class 3 |
| 03/31/19 | 26.13 | (0.06) | 2.16 | 2.10 | | — | (6.91) | (6.91) | 21.32 | 10.08 | 32,944 | 1.13 | 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 | 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 | 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 | 1.12 | (0.83) | 30 |
| 03/31/23 | 21.55 | (0.10) | (4.19) | (4.29) | | — | (2.89) | (2.89) | 14.37 | (18.64) | 22,304 | 1.15 | 1.15 | (0.65) | 26 |
| 09/30/23@ | 14.37 | (0.05) | 1.68 | 1.63 | | — | — | — | 16.00 | 11.34 | 20,867 | 1.16 | 1.16(4) | (0.64)(4) | 12 |
|
| @ | Unaudited |
| (1) | Calculated based upon average shares outstanding. |
| (2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
| (3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
| (4) | Annualized |
See Notes to Financial Statements
Seasons Series Trust
STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM
Pursuant to Rule 22e-4 under the 1940 Act, the Portfolios have adopted a liquidity risk management program. SunAmerica Asset Management, LLC (the “Adviser” or “SunAmerica”), the investment adviser to the Trust, has been designated by the Board to administer the Portfolios’ liquidity risk management program (the “Program”). The Adviser has appointed a Liquidity Risk Management Committee (the “Committee”) comprised of certain officers as well as certain personnel of the Adviser. The Committee is subject to the oversight of the Adviser. The Adviser and the Committee are referred to collectively herein as the “Program Administrator.” The Program is designed to assess, manage and periodically review each Portfolio’s liquidity risk, based on factors specific to the circumstances of each Portfolio. “Liquidity risk” means the risk that a Portfolio could not meet requests to redeem shares issued by the Portfolio without significant dilution of remaining investors’ interests in the Portfolio. During the fiscal year, the Program Administrator provided the Board with a report covering the time period from January 1, 2022, to December 31, 2022 (the “Review Period”) addressing the operations of the program and assessing its adequacy and effectiveness of implementation. The Board reviewed the report at a meeting held on June 8, 2023.
During the Review Period covered by the liquidity Program report to the Board, the Program supported each Portfolio’s ability to honor redemption requests timely and the Adviser’s management of each Portfolio’s liquidity profile, including during periods of market volatility and net redemptions. The Program Administrator reported that it has reviewed the Program and believes that the Program is reasonably designed to assess and manage the liquidity risk of each Portfolio, that the Program has been effectively implemented to monitor and respond to liquidity developments (where necessary) and is operating effectively, and that the Program addresses potential liquidity risks in connection with the management of the Portfolios. Furthermore, the Program Administrator reported that each Portfolio operated as a “Primarily Highly Liquid Fund” during the review period, and therefore, did not have to comply with the Highly Liquid Investment Minimum requirements. Finally, the Program Administrator reported that each Portfolio had no breaches of the limit on illiquid investments, except as permitted through extended market holiday closures, and therefore, no Board notification or regulatory filings were required.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to your Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other principal risks to which an investment in the Portfolio may be subject.
Seasons Series Trust
SUPPLEMENTS TO THE PROSPECTUS
Filed under Rules 497(e) and 497(k)
Registration No. 333-08653
Not Part of the Semi-Annual Report
SEASONS SERIES TRUST
SA Multi-Managed Income Portfolio
(the “Portfolio”)
Supplement dated October 24, 2023, to the Portfolio’s
Summary Prospectus, Prospectus and Statement of Additional Information, each dated
July 28, 2023, as supplemented and amended to date
At a meeting held on October 12, 2023, the Board of Trustees of Seasons Series Trust (the “Trust”) approved an advisory fee waiver agreement (the “Fee Waiver Agreement”) and an expense limitation agreement (the “Expense Limitation Agreement”), each between SunAmerica Asset Management, LLC (“SunAmerica”) and the Trust, on behalf of the Portfolio. Each of the Fee Waiver Agreement and the Expense Limitation Agreement became effective on November 1, 2023.
Pursuant to the Fee Waiver Agreement, SunAmerica is contractually obligated to waive a portion of its advisory fee with respect to the Portfolio so that the net advisory fee rate payable by the Portfolio to SunAmerica under the Investment Advisory and Management Agreement with the Trust is equal to 0.64% of the Portfolio’s average daily net assets on the first $250 million, 0.59% of the Portfolio’s average daily net assets on the next $250 million and 0.54% of the Portfolio’s average daily net assets over $500 million. The Fee Waiver Agreement will continue in effect through July 31, 2025. In addition, the Fee Waiver Agreement will automatically terminate upon the termination of the Investment Advisory and Management Agreement with respect to the Portfolio.
Pursuant to the Expense Limitation Agreement, SunAmerica has contractually agreed to waive its fees and/or reimburse expenses to the extent necessary so that the total annual portfolio operating expenses for the Portfolio do not exceed 1.13% of its average daily net assets for Class 1 shares, 1.28% of its average daily net assets for Class 2 shares, and 1.38% of its average daily net assets for Class 3 shares. The Expense Limitation Agreement will continue in effect through July 31, 2025. In addition, the Expense Limitation Agreement will automatically terminate upon the termination of the Investment Advisory and Management Agreement with respect to the Portfolio.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
Seasons Series Trust
SUPPLEMENTS TO THE PROSPECTUS (continued)
Filed under Rules 497(e) and 497(k)
Registration No. 333-08653
Not Part of the Semi-Annual Report
SEASONS SERIES TRUST
SA T. Rowe Price Growth Stock Portfolio
(the “Portfolio”)
Supplement dated October 24, 2023, to the Portfolio’s
Summary Prospectus, Prospectus and Statement of Additional Information, each dated
July 28, 2023, as supplemented and amended to date
At a meeting held on October 12, 2023, the Board of Trustees of Seasons Series Trust (the “Trust”) approved an advisory fee waiver agreement (the “Fee Waiver Agreement”) between SunAmerica Asset Management, LLC (“SunAmerica”) and the Trust, on behalf of the Portfolio. The Fee Waiver Agreement became effective on November 1, 2023.
Pursuant to the Fee Waiver Agreement, SunAmerica is contractually obligated to waive a portion of its advisory fee with respect to the Portfolio so that the net advisory fee rate payable by the Portfolio to SunAmerica under the Investment Advisory and Management Agreement with the Trust is equal to 0.80% of the Portfolio’s average daily net assets on the first $250 million, 0.75% of the Portfolio’s average daily net assets on the next $250 million and 0.70% of the Portfolio’s average daily net assets over $500 million. The Fee Waiver Agreement will continue in effect through July 31, 2025. In addition, the Fee Waiver Agreement will automatically terminate upon the termination of the Investment Advisory and Management Agreement with respect to the Portfolio.
PLEASE RETAIN THIS SUPPLEMENT FOR FUTURE REFERENCE.
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.
| | |
ANNUITY SERVICE CENTER P.O. BOX 15570 AMARILLO, TX 79105-5570 CHANGE SERVICE REQUESTED | | |
J1906SAR.20 (11/23)
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Included in Item 1 to the Form.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by Item 22(b) (15) of Schedule 14A (17 CFR 240.14a-101)), or this Item 10.
Item 11. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a) (1) Not applicable.
(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT.
(3) Not applicable.
(4) Not applicable.
(b) Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) and Section 906 of the Sarbanes-Oxley Act of 2002 attached hereto as Exhibit 99.906.CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| Seasons Series Trust |
| |
| By: | | /s/ John T. Genoy |
| | John T. Genoy |
| | President |
Date: December 7, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ John T. Genoy |
| | John T. Genoy |
| | President |
Date: December 7, 2023
| | |
| By: | | /s/ Gregory R. Kingston |
| | Gregory R. Kingston |
| | Treasurer |
Date: December 7, 2023
